2012 VOLUNTARY INVESTMENT 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, 2012
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, 2012 and 2011, and for the Year Ended December 31, 2012, Supplemental Schedule as of December 31, 2012, and Report of Independent Registered Public Accounting Firm


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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
TABLE OF CONTENTS 
 
  
Page
  
FINANCIAL STATEMENTS:
  
 
  
  
  
SUPPLEMENTAL SCHEDULE AS OF DECEMBER 31, 2012
  
 
  
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 or are not required.
  
 

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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

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, 2012 and 2011, and the related statement of changes in net assets available for benefits for the year ended December 31, 2012. These financial statements are the responsibility of the Plan's management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with 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. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2012 and 2011, and the change in net assets available for benefits for the year ended December 31, 2012 in conformity with accounting principles generally accepted in the United States of America.
Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year) as of December 31, 2012, is presented for the purpose of additional analysis and is not a required part of the basic financial statements, but is supplementary information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This schedule is the responsibility of the Plan's management. The schedule has been subjected to the auditing procedures applied in our audit of the basic 2012 financial statements and, in our opinion, is fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.
/s/ DELOITTE & TOUCHE LLP
Seattle, Washington
June 26, 2013




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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AS OF DECEMBER 31, 2012 AND 2011
(Dollars in millions)
 
2012

 
2011

ASSETS:
 
 
 
 
Investments — at fair value — interest in Master Trust
 

$36,593

 

$33,086

Receivables:
 
 
 
 
Employer contributions
 


 
26

Loans to Members
 
675

 
648

 
 
675

 
674

NET ASSETS AVAILABLE FOR BENEFITS — At fair value
 
37,268

 
33,760

ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE FOR FULLY BENEFIT-RESPONSIVE INVESTMENT CONTRACTS
 
(656
)
 
(503
)
NET ASSETS AVAILABLE FOR BENEFITS
 

$36,612

 

$33,257

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, 2012
(Dollars in millions)
 
ADDITIONS:
 
Net Master Trust activity

$2,794

Income from loans
23

Contributions:
 
Employer
661

Member
1,576

Total contributions
2,237

Total additions
5,054

DEDUCTIONS — Benefits paid
1,855

NET ADDITIONS
3,199

ASSETS TRANSFERRED FROM OTHER PLANS
156

NET ASSETS AVAILABLE FOR BENEFITS:
 
Beginning of year
33,257

End of year

$36,612

See notes to financial statements.



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THE BOEING COMPANY VOLUNTARY INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2012 AND 2011 AND FOR THE YEAR ENDED DECEMBER 31, 2012
(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 savings plan designed to provide Members with a means of making regular savings to provide additional security for their retirement. An employee becomes eligible to participate on the first day of employment.
Effective September 30, 2011, the net assets and liabilities of a defined contribution profit-sharing plan, The Boeing Company Employee Financial Security Plan (“FSP”), were transferred into the Plan. The FSP balances provide for salary continuation during extended illness of certain bargaining units of active employees or disbursement of remaining account balance at termination.
The Plan includes an auto-enrollment provision whereby all newly eligible employees since January 1, 2010, are automatically enrolled in the Plan unless they affirmatively elect not to participate in the Plan. Automatically enrolled participants have their deferral rate set at a percentage of eligible compensation as defined in the Plan document and their contributions are invested in a designated balanced fund until changed by the participant.
The assets of the Plan, excluding loans and receivables, are held in The Boeing Company Employee Savings Plans Master Trust (the “Master Trust”). State Street Bank and Trust Company (SSBT) serves as trustee for the Master Trust. The Employee Benefit Plans Committee controls and manages the operation and administration of the Plan. The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974 (ERISA).
Contributions — Members may elect to contribute to the Plan from pretax, after-tax, or a combination of both and subject to statutory limitations, between 1% and 25% of their eligible compensation. Certain eligible employees are allowed to make catch-up contributions. This provision is available to Members of age 50 or older during the plan year and who contribute either at least 8% in pretax contributions or have reached a statutory or plan limit for the plan year. Catch-up contributions are ineligible for a Company matching contribution. The Plan also accepts certain rollover contributions.
Under the terms of the Plan, The Boeing Company (the “Company” or “Boeing”) makes matching and Company contributions for eligible Members. Members should refer to the Plan document for details.
Members may elect to change contribution percentages to be effective the next pay period after the request is received, or as soon as administratively possible. The allocation of both their 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 Plan Member. Each Member’s account is credited with the Member’s contribution and Company’s contribution, 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 their contributions and any employer-matching contributions to the investment funds in the Master Trust. These  investment funds consisted of common/collective trusts, separately managed U.S. equity accounts, separately managed non-U.S.

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equity accounts, a separately managed fixed-income account (new for 2012), custom target date funds, a stable value fund (composed of six synthetic guaranteed investment contracts (synthetic GICs)), and Boeing common stock, which is The Boeing Employee Stock Ownership Plan Stock Fund (the “Boeing Stock Fund”) (a dividend payout program), as of December 31, 2012 and 2011. Investment funds are valued daily and Members may elect to change their investment allocations on a daily basis.
Vesting — Member contributions, both pretax and after-tax, 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 own pretax contribution accounts, after-tax contribution accounts, employer-matching contribution accounts, Company contribution accounts, and rollover 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 pretax contribution accounts are subject to 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 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.
Finally, in the event of illness or injury and if a Member has used all of his or her regular sick leave benefits, a Member with a FSP balance may elect to withdraw, subject to Plan requirements, all or a portion of his or her FSP account balance.
Loans — Members are permitted to borrow up to 50% of the total value of their total vested account balance (excluding a Member’s FSP balance and minus any current outstanding loan balance) with a minimum of one thousand dollars and a maximum of fifty thousand dollars, reduced by the highest outstanding loan balance under all the Company’s savings plans during the last 12 months. Members may have two loans outstanding within the Company’s savings plans at any time. Loans may be additionally limited in accordance with the Plan provisions. 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 2.0% to 9.8% at December 31, 2012, with loans maturing at various dates through December 2032.
Loan repayment is 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 continue to 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 their net account balance before the loan is paid off. If the loan defaults, the loan balance will become taxable income to the Member. Member loans are measured at their unpaid principal balance, plus any accrued but unpaid interest.
Benefit Payments — Upon termination of service, a Member may elect to receive a lump-sum amount equal to the 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 an annuity contract. If a Member makes no election, annual distributions of the required minimum amount will begin after age 70-1/2.
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).

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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. 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. 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 (ETFs), 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 available for benefits.
•
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 available for benefits.
•
Mutual funds, which are registered investment companies, are valued using a market approach based on quoted market prices to represent the net asset value on the last trading day of the year.
•
Investments in common/collective trust funds are valued based on the year-end unit 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.
•
Synthetic GICs are stated at fair value and then adjusted to 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 using prices provided by SSBT, which are based on the pricing methodology stated below for fixed-income securities.
•
Fixed-income 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, and 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. TBAs are included in synthetic GICs and payables for securities purchased on the Master Trust’s statements of net assets available for benefits.
•
Investments in limited partnerships are recorded based upon the Net Asset Value (NAV) provided by the partnerships. There are no unfunded commitments and the Plan does not have the ability to make redemption requests from limited partnerships.

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•
Other investments include over-the-counter (OTC) priced 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.
•
Cash equivalents and other short-term investments include certificates of deposits, Treasury bills, and discounted notes with original maturities of three months or less for cash equivalents and greater than three months, but less than one year for short-term investments. These investments are primarily valued using a market approach in the same manner as fixed-income securities referenced above. 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.
In accordance with the Financial Accounting Standards Board (FASB) Accounting Standards Codification (ASC) 946-210-45 through 946-210-55, the synthetic GICs are included at fair value in participant-directed investments in the statements of net assets available for benefits, and an additional line item is presented representing the adjustment from fair value to contract value. 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. Dividends are recorded on the ex-dividend date. The net appreciation/depreciation in fair value of investments includes both realized and unrealized gains or losses and is calculated as the difference between the fair value of the assets 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.
Valuation Control Process  — Plan management has control 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 control processes consist of a framework that provides for oversight of the fair value methodologies and valuations, as well as validation procedures.
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 the Trust Investments group and chairs the Valuation Committee. The Trust Investments group 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 the Trust Investment group including, Risk Management and Trust Operations, Public Markets, Private Markets, and Investment Strategy. The Valuation Committee meets at least quarterly 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
•
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
Limited partnerships are generally valued using the NAV or its equivalent. Valuations provided by the funds are reviewed at least quarterly. The asset manager's 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

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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 on 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.
Loans Receivable from Members — Loans receivable from Members is 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 — In May 2011, the FASB issued Accounting Standards Update (ASU) No. 2011-04, Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs, which amends ASC 820, Fair Value Measurements and Disclosures, as of the beginning of the year ended December 31, 2012 (see Note 4). ASU No. 2011-04 is effective for financial statements issued for fiscal years beginning after December 15, 2011, and expands certain disclosures about fair value measurements. The ASU requires the categorization by level for items that are only required to be disclosed at fair value and information about transfers between Level 1 and Level 2. It provides guidance on measuring the fair value of financial instruments managed within a portfolio and the application of premiums and discounts on fair value measurements. The ASU requires additional disclosure for Level 3 measurements regarding the sensitivity of fair value to changes in unobservable inputs. The effect of the adoption of ASU No. 2011-04 had no impact on the Plan's statement of net assets available for benefits and statement of changes in net assets available for benefits.
Recent Accounting Guidance Not Yet Adopted — In December 2011, the FASB issued ASU No. 2011-11, Disclosures about Offsetting Assets and Liabilities, which was subsequently modified in January 2013, by ASU No. 2013-01, Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. ASU No. 2011-11 has requirements that are disclosure-only in nature. It requires disclosures about offsetting and related arrangements for certain financial instruments and derivative instruments, including gross and net information and evaluation of the effect of netting arrangements on the statement of financial position. The Plan does not expect the provisions of this ASU, which are effective for the Plan beginning January 1, 2013, to have a material impact on the Plan's financial statements.
3.
SYNTHETIC GUARANTEED INVESTMENT CONTRACTS
The Master Trust includes the VIP Stable Value Fund (VIP SVF), which is managed by Dwight Asset Management Company LLP (“Dwight”). The VIP SVF holds six synthetic GICs, issued by Bank of America, ING Life Insurance and Annuity Company, Natixis Financial Products, Pacific Life Insurance Company, Prudential Fixed Income Management, and Royal Bank of Canada (collectively, the “wrap providers”).
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 bond 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

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immediately in the net assets of the VIP SVF, but rather are amortized, at a maximum over the duration of the underlying assets, through adjustments to the future interest-crediting rate. Primary variables impacting the future crediting rate of the wrap contracts include current yield of the underlying assets within the wrap contract, duration of the underlying assets covered by the wrap contract, and the existing difference between market value and contract value of the underlying assets within the wrap contract. The issuer guarantees that all qualified participant withdrawals will occur at contract value (or book value), which represents contributions made under the contract, plus earnings, less withdrawals made under the contract and administrative expenses.
The synthetic GICs are included in the Master Trust’s statements of net assets available for benefits, as discussed in Note 4, at fair value in participant-directed investments, and an additional line item is presented representing the adjustment from fair value to contract value. There are no reserves against contract value for credit risk of the contract issuer. The fixed-income securities underlying the contracts are valued using prices provided by SSBT, which are 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; SSBT is the custodian for the Master Trust assets. The underlying assets of the synthetic GICs are invested in diversified bond portfolios managed by BlackRock Financial Management Inc., ING Investment Management Co., JPMorgan Asset Management (JPMAM), Pacific Investment Management Company, Prudential Fixed Income Management, and Western Asset Management Co. In addition to the diversified bond portfolios, Dwight oversees an allocation to a cash component, which was invested in a SSBT Demand Deposit Account for the majority of 2012 and in a separately managed account, managed by JPMAM, as of December 17, 2012.
The wrap providers are each contractually obligated to pay the principal and specified interest rate that is guaranteed to the VIP SVF, respectively. The respective interest-crediting rates are each based on a formula agreed upon with each issuer; each one may not be less than 0%. Such interest rates are reviewed and reset on a quarterly basis. Synthetic GICs provide prospective crediting interest rates, which are adjusted quarterly based on the interest earnings, fair value, and duration of the underlying diversified bond portfolios. The crediting rate of each contract in any given quarter will reflect market experience from the previous quarter. The wrap providers may not terminate the contracts at any amount less than contract value.
Certain events, such as 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 wrapper 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.
The average yields of the VIP SVF for the years ended December 31, 2012 and 2011, are as follows:
 
 
2012

 
2011

Average yields:
 
 
 
 
Based on annualized earnings (1)
 
1.01
%
 
1.64
%
Based on interest rate credited to participants (2)
 
2.45
%
 
2.72
%
(1) 
Computed by dividing the annualized one-day actual earnings of the VIP SVF on the last day of the plan year by the fair value of the investments of the VIP SVF on the same date.
(2) 
Computed by dividing the annualized one-day earnings credited to participants in the VIP SVF on the last day of the plan year by the fair value of the investments of the VIP SVF on the same date.
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 participant allocation elections. The allocation of net assets available for benefits 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 available for benefits is calculated daily based on the units held by the plans’ members as of that day’s end.

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Effective September 30, 2011, the FSP was merged into the Plan. At December 31, 2012 and 2011, all the net assets of the Master Trust were owned by the Plan.
The Plan’s interest in the Master Trust was $36,593 million and $33,086 million representing 100% of the Master Trust’s net assets at December 31, 2012 and 2011.
Although the Plan is the only participating plan in the Master Trust as of December 31, 2012, the Company intends to keep the Master Trust for potential future acquired plans and file a Form 5500 as a master trust.

The Master Trust’s statements of net assets available for benefits as of December 31, 2012 and 2011, are as follows:

 
 
2012

 
2011

ASSETS:
 
 
 
 
Investments — at fair value:
 
 
 
 
Common/collective trusts
 

$14,458

 

$12,148

Common and preferred stock
 
3,676

 
3,121

Mutual funds
 
4

 
66

Boeing common stock
 
4,805

 
5,270

Synthetic GICs
 
12,578

 
10,547

Limited partnerships
 
1

 
1

Fixed-income securities
 
617

 
3

Other investments
 
3

 
—

Total investments — at fair value
 
36,142

 
31,156

Cash and cash equivalents
 
529

 
2,031

Receivables:
 
 
 
 
Receivables for securities sold
 
156

 
74

Accrued investment income
 
61

 
62

Other
 
17

 
7

Total receivables
 
234

 
143

Total assets
 
36,905

 
33,330

LIABILITIES:
 
 
 
 
Payables for securities purchased
 
263

 
220

Accrued investment and administration expenses
 
18

 
18

Other
 
31

 
6

Total liabilities
 
312

 
244

NET ASSETS AVAILABLE FOR BENEFITS — At fair value
 
36,593

 
33,086

ADJUSTMENT FROM FAIR VALUE TO CONTRACT VALUE FOR FULLY BENEFIT-RESPONSIVE INVESTMENT CONTRACTS
 
(656
)
 
(503
)
NET ASSETS AVAILABLE FOR BENEFITS
 

$35,937

 

$32,583


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Changes in net assets for the Master Trust for the year ended December 31, 2012, are as follows:
Net appreciation of investments:
 
Common/collective trusts

$1,656

Common and preferred stock
485

Boeing common stock
158

Fixed-income securities
23

Net appreciation of investments
2,322

Interest income
348

Dividend income
193

Investment income
541

Net investment income
2,863

Amounts received from participating plans
2,582

Deductions:
 
Amounts paid to participating plans
2,178

Investment and administration expenses
69

Total deductions
2,247

Assets transferred from other plans
156

Increase in net assets
3,354

Beginning of year
32,583

End of year

$35,937

The net appreciation in fair value of investments, investment income, and investment and administration expenses included in the net Master Trust activity of the Plan were $2,322, $541, and $69, respectively for the year ended December 31, 2012.
5.
FAIR VALUE OF FINANCIAL ASSETS AND FINANCIAL LIABILITIES
ASC 820 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:
Basis of Fair Value Measurement:
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.

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The following tables set forth by level within the fair value hierarchy a summary of Master Trust investments by classes of assets and liabilities on the basis of the nature and risk of the investments measured at fair value on a recurring basis as of December 31, 2012 and 2011, respectively. 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. The Plan’s policy is to recognize transfers between levels at the beginning of the reporting period.

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)

 
Balance as of December 31, 2012

Investment assets:
 
 
 
 
 
 
 
 
Common/collective trusts:
 
 
 
 
 
 
 
 
U.S. equity
 
 

 

$7,616

 
 

 

$7,616

Non-U.S. equity
 
 
 
3,141

 
 
 
3,141

Fixed income
 

$9

 
3,374

 
 
 
3,383

Other
 
 
 
318

 
 
 
318

Total common/collective trusts
 
9
 
14,449
 
—

 
14,458
Common and preferred stocks:
 
 
 
 
 
 
 
 
U.S. equity
 
2,980

 
 
 
 
 
2,980

Non-U.S. equity
 
566

 
130

 
 
 
696

Total common and preferred stocks
 
3,546

 
130

 
—

 
3,676

Fixed-income securities:
 
 
 
 
 
 
 
 
Corporate bonds
 
 
 
185

 

$1

 
186

Mortgage backed and asset backed
 
 
 
71

 
5

 
76

U.S. government and agency
 
 
 
132

 
 
 
132

Other
 
 
 
223

 
 
 
223

Total fixed-income securities
 
—

 
611

 
6

 
617

Mutual funds — equity
 
4

 
 
 
 
 
4

Boeing common stock
 
4,805

 
 
 
 
 
4,805

Synthetic GICs:
 
 
 
 
 
 
 
 
U.S. government and agency
 
 
 
5,184

 
14

 
5,198

Corporate bonds
 
 
 
2,835

 
 
 
2,835

Mortgage backed and asset backed
 
 
 
2,734

 
180

 
2,914

Short-term investment
 
 
 
534

 
 
 
534

Other
 
 
 
280

 
9

 
289

Common/collective trusts — fixed-income
 
 
 
808

 
 
 
808

Total synthetic GICs
 
—

 
12,375

 
203

 
12,578

Limited partnerships
 
 
 
 
 
1

 
1

Other investments
 
 
 
3

 
 
 
3

Total investment assets
 
8,364

 
27,568

 
210

 
36,142

Receivables:
 
 
 
 
 
 
 
 
Forward currency contracts
 
 
 
6

 
 
 
6

Futures
 
2

 
 
 
 
 
2

Total receivables
 
2

 
6

 
—

 
8

Cash equivalents
 
 
 
12

 
 
 
12

Total financial assets
 

$8,366

 

$27,586

 

$210

 

$36,162

Investment liabilities:
 
 
 
 
 
 
 
 
TBAs
 
 

 

$3

 
 

 

$3

Forward currency contracts
 
 
 
3

 
 
 
3

Total investment liabilities
 


 

$6

 


 

$6


13
Table of Contents

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

 
Significant
Other
Observable
Inputs
(Level 2)

 
Significant
Unobservable
Inputs
(Level 3)

 
Balance as of December 31, 2011

Investment assets:
 
 
 
 
 
 
 
 
Common/collective trusts:
 
 
 
 
 
 
 
 
U.S. equity
 
 

 

$6,588

 
 

 

$6,588

Non-U.S. equity
 
 
 
2,136

 
 
 
2,136

Fixed income
 
 
 
3,423

 
 
 
3,423

Short-term investment
 
 
 
1

 
 
 
1

Total common/collective trusts
 
—

 
12,148

 
—

 
12,148

Common and preferred stocks:
 
 
 
 
 
 
 
 
U.S. equity
 

$2,513

 
 
 
 
 
2,513

Non-U.S. equity
 
465

 
143

 
 
 
608

Total common and preferred stocks
 
2,978

 
143

 
—

 
3,121

Fixed-income securities:
 
 
 
 
 
 
 
 
Corporate bonds
 
 
 
3

 
 
 
3

Total fixed-income securities
 
—

 
3

 
—

 
3

Mutual funds — equity
 
66

 
 
 
 
 
66

Boeing common stock
 
5,270

 
 
 
 
 
5,270

Synthetic GICs:
 
 
 
 
 
 
 
 
U.S. government and agency
 
 
 
4,388

 

$30

 
4,418

Corporate bonds
 
 
 
2,710

 
 
 
2,710

Mortgage backed and asset backed
 
 
 
3,058

 
18

 
3,076

Short-term investment
 
 
 
150

 
 
 
150

Other
 
 
 
192

 
1

 
193

Total synthetic GICs
 
—

 
10,498

 
49

 
10,547

Limited partnerships
 
 
 
 
 
1

 
1

Total investment assets
 
8,314

 
22,792

 
50

 
31,156

Receivables:
 
 
 
 
 
 
 
 
Forward currency contracts
 
 
 
 
 
 
 
—

Futures
 
 
 
 
 
 
 
—

Total receivables
 
—

 
—

 
—

 
—

Cash equivalents
 
 
 
12

 
 
 
12

Total financial assets
 

$8,314

 

$22,804

 

$50

 

$31,168

Investment liabilities:
 
 
 
 
 
 
 
 
TBAs
 
 

 

$6

 
 

 

$6

Futures
 
 
 
 
 
 
 
—

Forward currency contracts
 
 
 
 
 
 
 
—

Total investment liabilities
 
 
 

$6

 
 
 

$6

Total Master Trust investment assets at fair value classified within Level 3 were $210 and $50 as of December 31, 2012 and 2011, respectively, which primarily consist of fixed-income securities, including those underlying the synthetic GICs, and an investment in a limited partnership. Such amounts were 0.58% and 0.16% of “Total investment assets” in the Master Trust’s statements of net assets available for benefits as of December 31, 2012 and 2011, respectively.


14
Table of Contents

Level 3 Gains and Losses — A summary of changes in the fair value of the Master Trust’s Level 3 investment assets for the years ended December 31, 2012 and 2011, are as follows:
 
January 1, 2012 Beginning Balance

Net Unrealized and Realized Gains

Purchases

Sales

Transfers into Level 3

Transfers out of Level 3

December 31, 2012 Ending Balance

Financial assets:
 
 
 
 
 
 
 
Fixed-income securities:
 
 
 
 
 
 

Corporate bonds
 


$1

 
 
 

$1

Mortgage-backed and asset- backed
 

5


 
 
5

Synthetic GIC:
 
 
 
 
 
 

U.S. government and agency

$30


$1

 

($1
)
 

($16
)
14

Mortgage-backed and asset- backed
18

27

3

(33
)

$178

(13
)
180

Other
1


 

8

 
9

Limited partnerships
1


 
 
 
 
1

Total financial assets

$50


$28


$9


($34
)

$186


($29
)

$210

 
January 1, 2011 Beginning Balance

Net Unrealized and Realized Gains (Losses)

Purchases

Sales

Transfers into Level 3

Transfers out of Level 3

December 31, 2011 Ending Balance

Financial assets:
 
 
 
 
 
 
 
Synthetic GIC:
 
 
 
 
 
 

Corporate bonds

$5

 
 
 
 

($5
)

$—

U.S. government and agency
26


$2

 

($3
)

$5

 
30

Mortgage-backed and asset- backed
20



$1

(3
)
 
 
18

Other
1


 

 
 
1

Limited partnerships
3

(1
)
 
(1
)
 
 
1

Total financial assets

$55


$1


$1


($7
)

$5


($5
)

$50

The net unrealized gain (loss) on Level 3 investment assets still held as of December 31, 2012 and 2011, were $1 and $1 for U.S. government and agency securities, $27 and $0 for mortgage-backed and asset-backed securities and $0 and $(1) for limited partnerships, respectively.
Transfers Between Levels — 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. In such instances, the transfer is reported at the beginning of the reporting period.
$178 and $8 of mortgage and asset-backed securities and other securities, respectively, were transferred into Level 3 during 2012 because the pricing vendor notified Plan management that the significant valuation input was unobservable. Mortgage and asset-backed and U.S. government and agency securities in the amounts of $13 and $16, respectively, were reclassified from Level 3 to Level 2 as additional pricing information, including significant observable inputs, on these securities became available. There were no reclassifications between Level 1 and Level 2 during 2012.

15
Table of Contents

Level 3 Quantitative Disclosure — A summary of quantitative data of the Master Trust’s Level 3 investment assets for the year ended December 31, 2012, is as follows:
 
Level 3 Total

Valuation Technique
Assumptions*
Minimum

Maximum

Weighted Average

Fixed-income securities
 
 
 
 
 
 
    Mortgage-backed and asset-backed
1

Matrix Pricing
Yield
2.72
%
3.97
%
3.45
%
 
 
 
Prepayment Speed
1.00
%
3.00
%
1.84
%
 
 
 
Default Rate
3.00
%
4.00
%
3.42
%
 
 
 
Severity
45.00
%
100.00
%
76.96
%
Fixed-income

$1

 
 
 
 
 
Synthetic GIC
 
 
 
 
 
 
    Mortgage-backed and asset-backed
149

Matrix Pricing
Yield
0.93
%
12.13
%
4.01
%
 
 
 
Prepayment Speed
1.00
%
32.54
%
4.28
%
 
 
 
Default Rate
0.03
%
21.46
%
4.86
%
 
 
 
Severity
6.00
%
100.00
%
50.20
%
    Other (Municipals)
8

Matrix Pricing
Yield
3.00
%
3.01
%
3.00
%
Synthetic GIC
$157
 
 
 
 
 
*Valuation techniques for which no unobservable inputs are disclosed generally reflect the use of third-party pricing services or dealers, and the range of unobservable inputs applied by these sources is not readily available or cannot be reasonably estimated.
Sensitivity Disclosures for Level 3 — For residential mortgage-backed securities, commercial mortgage-backed securities and asset-backed securities, an increase in unobservable yields, loss severity rates, or default rates in isolation would generally result in a decrease in fair value.
For mortgage-backed securities and asset-backed securities, an increase in unobservable prepayment speeds in isolation may result in an increase or a decrease in fair value, depending upon the nature of the security.
For corporate issues, including structured notes and auction rate securities, an increase in unobservable spreads or yields, in isolation, would generally result in a decrease in fair value.
Although the sensitivities of the fair value of these securities to various unobservable inputs are discussed in isolation above, interrelationships exist among observable and unobservable inputs such that a change in any significant unobservable input may affect changes to one or more of the other inputs.
6.
DERIVATIVE FINANCIAL INSTRUMENTS
ASC 815, Derivatives and Hedging, requires disclosures to enable Members to understand 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.

16
Table of Contents

As of December 31, 2012 and 2011, the Master Trust has invested in derivative contracts which are reflected on the Master Trust’s statements of net assets available for benefits, as discussed in Note 4, as follows:
 
Interest rate

Credit
Foreign
Currency

Equity

Future
Settlement

Total

December 31, 2012
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
Synthetic GICs:
 
 
 
 
 
 
TBAs
 
 
 
 

$3


$3

Other investments:
 
 
 
 
 
 
Swaps

$3

 
 
 
 
3

Other receivables:
 
 
 
 
 
 
Forward contracts
 
 

$6

 
 
6

Futures
 
 
 

$2

 
2

Total assets

$3



$6


$2


$3


$14

Liabilities:
 
 
 
 
 
 
Other liabilities:
 
 
 
 
 
 
Forward contracts
 
 

$3

 
 

$3

Payable for securities purchased:
 
 
 
 
 
 
TBAs
 
 
 
 

$3

3

Total liabilities




$3




$3


$6

December 31, 2011
 
 
 
 
 
 
Assets:
 
 
 
 
 
 
Synthetic GICs:
 
 
 
 
 
 
TBAs
 
 
 
 

$9


$9

Total assets








$9


$9

Liabilities:
 
 
 
 
 
 
Payable for securities purchased:
 
 
 
 
 


TBAs
 
 
 
 

$6


$6

Total liabilities








$6


$6

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 available for benefits as net appreciation or depreciation in the fair value 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, 2012, is reflected in the following tables:
 
 
Interest rate

Credit
Foreign
Currency

Equity

Future
Settlement

Total

December 31, 2012
 
 
 
 
 
 
Net gains:
 
 
 
 
 
 
Forward contracts
 
 

$3

 
 

$3

Futures

$1

 
 

$17

 
18

Options
 
 
 
 
 
—

Swaps
3

 
 
 
 
3

TBAs
 
 
 
 

$1

1

Total net gains

$4



$3


$17


$1


$25



17
Table of Contents

The following table summarizes the gross notional value of derivative contracts outstanding as of December 31, 2012 and 2011. The gross notional amounts give an indication of the volume of the Master Trust’s derivative activity and significantly exceed the net notional 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

Future
Settlement

Total

December 31, 2012
 
 
 
 
 
 
Forward contracts
 
 

$348

 
 

$348

Futures

$47

 
1

 
 
48

Options
39

 
4

 
 
43

Swaps
136


$20

 
 
 
156

TBAs
 
 
 
 

$1,580

1,580

Total

$222


$20


$353




$1,580


$2,175

December 31, 2011
 
 
 
 
 
 
Forward contracts
 
 

$21

 
 

$21

Futures
 
 
1


$113

 
114

TBAs
 
 
 
 

$2,670

2,670

Total





$22


$113


$2,670


$2,805

Derivatives are generally used to achieve the desired market exposure of a security, index or currency, or adjust 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. A derivative instrument could be a contract negotiated on behalf of the Master Trust and a specific counterparty; this would typically be referred to as an “OTC contract” or may be a contract eligible for central clearing such as swaps, forward contracts, options, and TBAs. Alternatively, a derivative instrument, such as futures, could be listed and traded on an exchange and referred to as “exchange traded.”
Inherent in the use of OTC derivatives, the Master Trust is exposed to counterparty credit risk on all open OTC positions. Counterparty credit risk is the risk that a derivative counterparty may fail to meet its payment obligation under the derivative contract. As of December 31, 2012 and 2011, the Master Trust counterparty risk was not deemed to be significant, when evaluating counterparty exposure outright or netting collateral against net asset positions on contracts with each counterparty. Additionally, with the use of collateral, master netting agreements assist in mitigating counterparty credit risk.
The Master Trust may be subject to credit-related contingent features for those contracts governed by an International Swaps and Derivatives Association Master Agreement (generally swaps) with each counterparty for each open contract in a net liability position. In those instances, the Master Trust is generally regarded as having liquidity risk. In the event the Master Trust's assets decline by various, prespecified rates over predetermined time periods, the Master Trust is either 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, 2012, the Master Trust had an insignificant amount of contracts in a net liability position with contingent features; $2 was posted in collateral against those positions.
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 off a set of predetermined conditions.

18
Table of Contents

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 achieve the desired 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 are generally used to achieve the desired 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.
Future Settlement Risk — Future settlement risk is the risk of not receiving the asset or associated gains specified in the contract. Associated gains are derived from the change in market value of the contract due to a change in price of the underlying security. Mortgage TBAs are used to achieve the desired market exposure of a security or asset class or adjust portfolio duration. A TBA is a contract for the purchase or sale of agency mortgage-backed securities to be delivered at a future agreed-upon date.
7.
PLAN AMENDMENTS
Effective January 1, 2012, the Plan was amended to include an auto-escalation feature to automatically increase the pre-tax contribution on an annual basis, up to certain limits, for certain Members who have a default rate of contribution in place. Members should refer to the Plan document for details.
Effective May 15, 2012, the Boeing Helena, Inc. 401(k) Plan & Trust (“Boeing Helena”) and the Solutions Made Simple, Inc. 401(k) Profit Sharing Plan (“SMSi”) were merged into the Plan. Transferred employees are eligible to participate in the Plan coinciding with the date their former plan was frozen.
Effective June 15, 2012, the Argon ST, Inc. 401(k) Profit Sharing Plan & Trust (“Argon”) and the Digital Receiver Technology, Inc. 401(k) Plan (“DRT”) were merged into the Plan. Transferred employees are eligible to participate in the Plan coinciding with the date their former plan was frozen.
Effective September 30, 2011, the FSP merged into the Plan.
Effective September 15, 2011, the Global Aeronautica, LLC 401(k) Plan and the eXMeritus Software Federal Systems, Inc. 401(k) Plan were merged into the Plan. Transferred employees are eligible to participate in the Plan coinciding with the date their former plan was frozen.
8.
ASSETS TRANSFERRED FROM OTHER PLANS
Upon the merger of Boeing Helena and SMSi, effective May 15, 2012, all assets and liabilities of Boeing Helena and SMSi were transferred to the Plan. The fair value of all the assets transferred totaled $2 and $4, respectively.
Upon the merger of Argon and DRT, effective June 15, 2012, all assets and liabilities of Argon and DRT were transferred to the Plan. The fair value of the assets transferred totaled $129 and $21, respectively.
9.
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, 2012 and 2011, to Form 5500:

19
Table of Contents

 
 
 
2012

 
2011

Net assets available for benefits per the financial statements
 

$36,612

 

$33,257

Amounts allocated to withdrawing Members
 
(17
)
 
(5
)
Adjustment from contract value to fair value for fully benefit-responsive investment contracts
 
656

 
503

Net assets available for benefits per Form 5500
 

$37,251

 

$33,755

The following is a reconciliation of total additions per the financial statements for the year ended December 31, 2012, to total income per Form 5500:
Total additions per the financial statements

$5,054

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2012
656

Adjustment from contract value to fair value for fully benefit-responsive investment contracts — December 31, 2011
(503
)
Total income per Form 5500

$5,207

The following is a reconciliation of benefits paid to Members per the financial statements for the year ended December 31, 2012, to Form 5500:
Benefits paid to Members per the financial statements

$1,855

Amounts allocated to withdrawing Members — December 31, 2012
17

Amounts allocated to withdrawing Members — December 31, 2011
(5
)
Amounts deemed distributions of Member loans as reflected in the Form 5500
(2
)
Benefits paid to Members per Form 5500

$1,865

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.
Amounts deemed distributions of Member loans as reflected in the Form 5500 are for loans that Members failed to make a payment within 90 days of receipt of the last loan payment made or Members who failed to repay the loan in full within 30 days after the end of the repayment period for the year ended December 31, 2012.
10.
SIGNIFICANT INVESTMENTS
At the direction of the participating Members of the Plan, the Master Trust has invested in the following funds, representing 5% or more of net assets available for benefits as of December 31, 2012 and 2011, stated at fair value:
 
2012

 
2011

SSBT Flagship S&P 500 Index Non-Lending Series Fund Class A

$5,981

 

$4,586

Boeing common stock
4,805

 
5,270

SSBT Bond Market Index Non-Lending Series Fund Class A
3,102

 
2,589

SSBT Global All Cap Equity ex-US Index Non-lending Series Fund Class A
2,726

 
1,863

11.
RELATED-PARTY TRANSACTIONS
Certain Master Trust investments are managed by SSBT. SSBT is the trustee as defined by the Plan and, therefore, these transactions qualify as party-in-interest transactions. The investment management fees for the Plan are paid at the Master Trust level and included as a reduction of the return earned on each investment.

20
Table of Contents

As of December 31, 2012 and 2011, the Plan held 63,758,333 and 71,851,618 shares of common stock of the Company, with a cost basis of $4,008 and $4,391 and recorded dividend income of $122 and $119, respectively, during the years then ended.
Evercore Trust Company, N.A. (“Evercore”) is the named fiduciary and investment manager of the Boeing Stock Fund. The Company has authorized Evercore 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 certain limited circumstances. In the event Evercore determined to sell or dispose of stock in the Boeing Stock Fund, Evercore 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.
12.
TAX STATUS
The Internal Revenue Service (IRS) has determined and informed the Company by a letter, dated December 10, 2003, that the Plan is designed in accordance with applicable sections of the Internal Revenue Code (IRC). The Plan has been amended since receiving the determination letter. On November 20, 2009, a request for a letter of determination was filed with the IRS. 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 the Plan’s tax-exempt status 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 administrator has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2012 and 2011, there are no uncertain tax positions taken or expected to be taken that would require recognition of a liability (or asset) or disclosure in the financial statements. 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 2005.
13.
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 Members and Company contributions, including any income earned, will be distributed to the Members.
14.
SUBSEQUENT EVENTS
Effective March 1, 2013, the Plan was amended to include a Company contribution and to increase the matching contribution for Society of Professional Engineering Employees in Aerospace (“SPEEA”) Northwest Engineers Members hired on or after March 1, 2013.
Effective March 22, 2013, the Plan was amended to include a Company contribution and to increase the matching contribution for SPEEA Northwest Technical Unit Members hired on or after March 22, 2013.
*  *  *  *  *  *

21
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 26, 2013
 
 
  
/s/ Rita Daily      
 
 
Date
 
 
  
Rita Daily
 
 
 
 
 
  
Vice President
 
 
 
 
 
  
Chief Financial Officer Finance
 
 
 
 
 
  
Shared Services Group


22
Table of Contents

SUPPLEMENTAL SCHEDULE

23
Table of Contents


THE BOEING COMPANY
VOLUNTARY INVESTMENT PLAN
SCHEDULE OF ASSETS (HELD AT END OF YEAR)
AS OF DECEMBER 31, 2012

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

317U449D3 IRO USD10Y P2.25 BOA MAR13 PUT 2.25
3/11/2013
 

$10,063

317U450D9 IRO USD10Y P 2.25 BP MAR13 PUT 2.25
3/11/2013
 
10,063

3M CO COMMON STOCK USD.01
 
 
6,902,469

AALBERTS INDUSTRIES NV COMMON STOCK EUR.25
 
 
264,946

ABB FINANCE USA INC COMPANY GUAR 05/22 2.875
5/8/2022
2.88
624,543

ABB LTD REG COMMON STOCK CHF1.03
 
 
1,075,306

ABB TREASURY CENTER USA SR UNSECURED 144A 06/16 2.5
6/15/2016
2.50
519,889

ABBEY NATL TREASURY SERV BANK GUARANT 04/14 2.875
4/25/2014
5.75
888,180

ABBEY NATL TREASURY SERV BANK GUARANT 04/14 VAR
4/25/2014
1.89
399,085

ABBEY NATL TREASURY SERV COVERED REGS 06/15 3.125
6/30/2015
3.13
82,007

ABBOTT LABORATORIES COMMON STOCK NPV
 
 
9,789,368

ABBVIE INC COMPANY GUAR 144A 11/15 1.2
11/6/2015
1.20
5,033,405

ABBVIE INC COMPANY GUAR 144A 11/17 1.75
11/6/2017
3.50
7,232,825

ABBVIE INC SR UNSECURED 144A 11/22 2.9
11/6/2022
8.70
4,618,353

ABC MART INC COMMON STOCK
 
 
60,961

ABERCROMBIE + FITCH CO CL A COMMON STOCK USD.01
 
 
2,739,087

ABERDEEN ASSET MGMT PLC COMMON STOCK GBP.1
 
 
185,580

ABN AMRO BANK NV COVERED 09/15 3.25
9/21/2015
3.25
353,830

ABN AMRO BANK NV SR UNSECURED 144A 01/14 3.
1/31/2014
3.00
2,969,809

ABN AMRO BANK NV SR UNSECURED 144A 01/14 VAR
1/30/2014
2.08
222,550

ACADIA REALTY TRUST REIT USD.001
 
 
1,461,412

ACCENTURE PLC CL A COMMON STOCK USD.0022.5
 
 
15,760,234

ACCESS GROUP INC ACCSS 2005 1 A3
6/22/2022
0.52
1,531,621

ACCESS GROUP INC ACCSS 2008 1 A
10/27/2025
1.62
6,600,058

ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2A2
10/25/2034
1.41
1,994,148

ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 3 A2D
9/25/2035
0.58
1,392,359

ACE INA HOLDINGS COMPANY GUAR 06/14 5.875
6/15/2014
5.88
590,647

ACE INA HOLDINGS COMPANY GUAR 11/15 2.6
11/23/2015
2.60
456,663

ACE LTD COMMON STOCK CHF29.34
 
 
13,534,080

ACE SECURITIES CORP. ACE 2004 HE3 M1
11/25/2034
1.15
1,615,211

ACE SECURITIES CORP. ACE 2004 SD1 A1
11/25/2033
0.70
92,632


24
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

ACE SECURITIES CORP. ACE 2005 ASP1 A2D
9/25/2035
0.56
1,226,131

ACHMEA HYPOTHEEKBANK NV GOVT LIQUID 144A 11/14 3.2
11/3/2014
3.20
8,386

ACME PACKET INC COMMON STOCK USD.001
 
 
7,877,839

ACORDA THERAPEUTICS INC COMMON STOCK USD.001
 
 
914,848

ACTAVIS INC COMMON STOCK USD.0033
 
 
6,925,725

ACTAVIS INC SR UNSECURED 08/14 5.
8/15/2014
5.00
553,954

ACTAVIS INC SR UNSECURED 10/17 1.875
10/1/2017
1.88
1,190,450

ACTAVIS INC SR UNSECURED 10/22 3.25
10/1/2022
3.25
745,219

ACTELION LTD REG COMMON STOCK CHF.5
 
 
1,098,486

ACTIVISION BLIZZARD INC COMMON STOCK USD.000001
 
 
1,815,861

ACTUANT CORP A COMMON STOCK USD.2
 
 
1,323,101

ACXIOM CORP COMMON STOCK USD.1
 
 
953,316

ADECCO SA REG COMMON STOCK CHF1.
 
 
708,148

ADIDAS AG COMMON STOCK NPV
 
 
295,863

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 7A2
2/25/2035
1.06
449,428

ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1
9/25/2035
3.11
2,200,242

ADOBE SYSTEMS INC COMMON STOCK USD.0001
 
 
27,181,222

ADT CORP SR UNSECURED 144A 07/17 2.25
7/15/2017
2.25
595,235

ADTRAN INC COMMON STOCK USD.01
 
 
2,690,306

ADVANCE AUTO PARTS INC COMMON STOCK USD.0001
 
 
2,340,523

ADVANTECH CO LTD COMMON STOCK TWD10.
 
 
3,674,283

ADVISORY BOARD CO/THE COMMON STOCK USD.01
 
 
3,612,656

AEGON NV JR SUBORDINA 07/49 VAR
12/31/2049
1.87
2,192,220

AEP TEXAS NORTH COMPANY SR UNSECURED 03/13 5.5
3/1/2013
5.50
2,217,681

AERCAP HOLDINGS NV COMMON STOCK EUR.01
 
 
1,920,800

AETNA INC COMMON STOCK USD.01
 
 
3,279,198

AETNA INC SR UNSECURED 06/16 6.
6/15/2016
6.00
110,239

AETNA INC SR UNSECURED 09/18 6.5
9/15/2018
6.50
1,050,603

AETNA INC SR UNSECURED 09/20 3.95
9/1/2020
3.95
610,323

AETNA INC SR UNSECURED 11/17 1.5
11/15/2017
1.50
140,283

AEW GLOBAL PROPERTIES AEW GLOBAL PROPERTIES FUND 4
 
 
138,399,838

AFFILIATED MANAGERS GROUP COMMON STOCK USD.01
 
 
1,130,613

AFLAC INC SR UNSECURED 02/17 2.65
2/15/2017
2.65
315,366

AFLAC INC SR UNSECURED 08/15 3.45
8/15/2015
3.45
240,099

AGILENT TECHNOLOGIES INC COMMON STOCK USD.01
 
 
8,222,963

AGL CAPITAL CORP COMPANY GUAR 07/16 6.375
7/15/2016
6.38
588,565

AIR LIQUIDE SA COMMON STOCK EUR5.5
 
 
1,253,641

AIR METHODS CORP COMMON STOCK USD.06
 
 
3,325,634

AIR PRODUCTS + CHEMICALS INC COMMON STOCK USD1.
 
 
3,442,299


25
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

AIRGAS INC COMMON STOCK USD.01
 
 
1,023,543

AKAMAI TECHNOLOGIES INC COMMON STOCK USD.01
 
 
5,455,349

AKER SOLUTIONS ASA COMMON STOCK NOK1.66
 
 
507,165

AKORN INC COMMON STOCK NPV
 
 
2,215,489

AKZO NOBEL COMMON STOCK EUR2.
 
 
768,839

ALABAMA POWER CO SR UNSECURED 10/15 0.55
10/15/2015
0.55
299,165

ALABAMA POWER CO SR UNSECURED 11/13 5.8
11/15/2013
5.80
627,097

ALAMOS GOLD INC COMMON STOCK NPV
 
 
588,852

ALEXION PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
5,811,436

ALGETA ASA COMMON STOCK NOK.5
 
 
1,558,278

ALIGN TECHNOLOGY INC COMMON STOCK USD.0001
 
 
1,850,953

ALK ABELLO A/S COMMON STOCK DKK10.
 
 
508,736

ALKERMES PLC COMMON STOCK USD.01
 
 
3,289,152

ALLEGHENY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
2,100,912

ALLEGIANT TRAVEL CO COMMON STOCK USD.001
 
 
1,908,660

ALLERGAN INC COMMON STOCK USD.01
 
 
23,651,663

ALLETE INC COMMON STOCK NPV
 
 
1,680,385

ALLIANCE DATA SYSTEMS CORP COMMON STOCK USD.01
 
 
12,072,550

ALLIANT ENERGY CORP SR UNSECURED 10/14 4.
10/15/2014
4.00
342,478

ALLIANZ SE REG COMMON STOCK NPV
 
 
1,799,781

ALLIED WORLD ASSURANCE COMPANY GUAR 08/16 7.5
8/1/2016
7.50
1,772,279

ALLSCRIPTS HEALTHCARE SOLUTI COMMON STOCK USD.01
 
 
393,756

ALLSTATE CORP SR UNSECURED 05/14 6.2
5/16/2014
12.40
5,713,393

ALLSTATE CORP SR UNSECURED 08/14 5.
8/15/2014
10.00
2,930,386

ALLY AUTO RECEIVABLES TRUST ALLYA 2009 B A4 144A
12/15/2014
3.05
825,564

ALLY AUTO RECEIVABLES TRUST ALLYA 2010 1 A3
5/15/2014
1.45
65,348

ALLY AUTO RECEIVABLES TRUST ALLYA 2010 2 A3
7/15/2014
1.38
480,631

ALLY AUTO RECEIVABLES TRUST ALLYA 2010 3 A4
8/17/2015
1.55
947,773

ALLY AUTO RECEIVABLES TRUST ALLYA 2010 4 A3
11/17/2014
0.91
227,812

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 1 A3
1/15/2015
1.38
591,666

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 2 A4
4/15/2016
1.98
921,290

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 3 A3
8/17/2015
0.97
992,344

ALLY AUTO RECEIVABLES TRUST ALLYA 2011 4 A4
6/15/2016
1.14
2,209,127

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 2 A3
4/15/2016
0.74
2,270,661

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A3
8/15/2016
0.85
237,299

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 3 A4
2/15/2017
1.06
797,308

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A3
1/17/2017
0.59
444,656

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 4 A4
10/16/2017
0.80
857,752

ALLY AUTO RECEIVABLES TRUST ALLYA 2012 5 A3
3/15/2017
0.62
3,089,513


26
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

ALLY FINANCIAL INC COMPANY GUAR 02/15 8.3
2/12/2015
8.30
89,100

ALMIRALL SA COMMON STOCK EUR.12
 
 
977,778

ALTEN COMMON STOCK NPV
 
 
320,628

ALTERA CORP COMMON STOCK USD.001
 
 
7,114,512

ALTERRA CAPITAL HOLDINGS LTD COMMON STOCK USD1.
 
 
3,149,528

ALTRIA GROUP INC COMMON STOCK USD.333
 
 
2,102,941

ALTRIA GROUP INC COMPANY GUAR 05/21 4.75
5/5/2021
9.50
4,646,423

ALTRIA GROUP INC COMPANY GUAR 08/19 9.25
8/6/2019
18.50
150,243

ALTRIA GROUP INC COMPANY GUAR 08/22 2.85
8/9/2022
5.70
4,037,278

ALTRIA GROUP INC COMPANY GUAR 11/13 8.5
11/10/2013
25.50
4,528,218

ALTRIA GROUP INC COMPANY GUAR 11/18 9.7
11/10/2018
19.40
1,819,906

AMAZON.COM INC COMMON STOCK USD.01
 
 
46,280,079

AMAZON.COM INC SR UNSECURED 11/15 0.65
11/27/2015
1.30
5,127,906

AMAZON.COM INC SR UNSECURED 11/17 1.2
11/29/2017
1.20
775,713

AMDOCS LTD COMMON STOCK GBP.0001
 
 
4,778,994

AMEC PLC COMMON STOCK GBP.5
 
 
395,578

AMER EXPRESS CREDIT CO SR UNSECURED 08/13 7.3
8/20/2013
14.60
17,782,434

AMER EXPRESS CREDIT CO SR UNSECURED 08/14 5.125
8/25/2014
5.13
391,040

AMER EXPRESS CREDIT CO SR UNSECURED 09/15 2.75
9/15/2015
5.50
1,415,316

AMER SPORTS OYJ COMMON STOCK NPV
 
 
260,302

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/14 5.5
3/1/2014
5.50
1,054,188

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/20 5.
3/30/2020
5.00
93,078

AMERICA MOVIL SAB DE CV COMPANY GUAR 03/35 6.375
3/1/2035
6.38
105,292

AMERICAN ASSETS TRUST INC REIT USD.01
 
 
1,058,268

AMERICAN CAMPUS COMMUNITIES REIT USD.01
 
 
2,394,147

AMERICAN CREDIT ACCEPTANCE REC ACAR 2012 2 A 144A
7/15/2016
1.89
257,270

AMERICAN ELECTRIC POWER SR UNSECURED 12/17 1.65
12/15/2017
1.65
597,085

AMERICAN EXPR CENTURION COMPANY GUAR 11/15 0.875
11/13/2015
0.88
3,497,428

AMERICAN EXPRESS BK FSB SR UNSECURED 09/17 6.
9/13/2017
6.00
168,974

AMERICAN EXPRESS CO SR UNSECURED 05/14 7.25
5/20/2014
7.25
408,078

AMERICAN EXPRESS CO SR UNSECURED 144A 12/22 2.65
12/2/2022
10.60
5,050,807

AMERICAN EXPRESS CO SUBORDINATED 09/66 VAR
9/1/2066
6.80
4,466,800

AMERICAN EXPRESS CREDIT SR UNSECURED 06/15 1.75
6/12/2015
1.75
3,573,304

AMERICAN HONDA FINAN
1/14/2013
 
9,999,133

AMERICAN HONDA FINANCE SR UNSECURED 144A 04/13 4.625
4/2/2013
4.63
464,781

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/14 1.85
9/19/2014
1.85
5,594,056

AMERICAN HONDA FINANCE SR UNSECURED 144A 09/15 2.5
9/21/2015
2.50
312,843


27
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

AMERICAN HONDA FINANCE SR UNSECURED 144A 10/13 6.7
10/1/2013
6.70
867,694

AMERICAN HONDA FINANCE UNSECURED 144A 08/15 1.
8/11/2015
1.00
2,493,980

AMERICAN HONDA FINANCE UNSECURED 144A 09/17 1.5
9/11/2017
1.50
299,917

AMERICAN INTL GROUP SR UNSECURED 01/14 3.65
1/15/2014
3.65
3,460,131

AMERICAN INTL GROUP SR UNSECURED 01/18 5.85
1/16/2018
23.40
17,106,391

AMERICAN INTL GROUP SR UNSECURED 03/15 3.
3/20/2015
3.00
1,628,408

AMERICAN INTL GROUP SR UNSECURED 03/17 3.8
3/22/2017
7.60
5,005,795

AMERICAN INTL GROUP SR UNSECURED 05/17 5.45
5/18/2017
5.45
1,694,060

AMERICAN INTL GROUP SR UNSECURED 08/18 8.25
8/15/2018
16.50
18,525,793

AMERICAN INTL GROUP SR UNSECURED 10/15 5.05
10/1/2015
10.10
1,765,392

AMERICAN INTL GROUP SR UNSECURED 12/20 6.4
12/15/2020
19.20
5,273,392

AMERICAN INTL GROUP SR UNSECURED 144A 11/13 3.75
11/30/2013
7.50
2,051,638

AMERICAN MUNI PWR OHIO INC OH AMEPWR 02/28 FIXED 7.334
2/15/2028
7.33
259,126

AMERICAN TOWER CORP REIT USD.01
 
 
6,545,774

AMERICAN TOWER CORP SR UNSECURED 03/22 4.7
3/15/2022
4.70
193,623

AMERICAN TRANSMISSION SY SR UNSECURED 144A 01/22 5.25
1/15/2022
5.25
2,752,267

AMERICAN WATER CAP CORP SR UNSECURED 10/17 6.085
10/15/2017
6.09
65,737

AMERICAN WATER CAP CORP SR UNSECURED 12/42 4.3
12/1/2042
4.30
7,270

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 1 A3
9/8/2015
1.39
2,428,360

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 2 A3
10/8/2015
1.61
663,598

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 3 A3
1/8/2016
1.17
1,105,754

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 5 A2
8/8/2015
1.19
544,078

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2011 5 A3
7/8/2016
1.55
1,113,714

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 1 A2
10/8/2015
0.91
551,497

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 2 A2
10/8/2015
1.52
10,423,670

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 2 A3
10/11/2016
1.05
4,535,519

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 3 A2
12/8/2015
0.71
7,988,565

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 3 A3
1/9/2017
0.96
1,307,878

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 3 B
7/10/2017
1.59
6,661,162

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 4 A2
4/8/2016
0.49
3,001,407

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 4 A3
6/8/2017
0.67
1,296,425

AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2012 5 A2
1/8/2016
0.51
7,226,039

AMETEK INC COMMON STOCK USD.01
 
 
1,246,648

AMGEN INC SR UNSECURED 02/19 5.7
2/1/2019
5.70
1,269,538

AMGEN INC SR UNSECURED 05/22 3.625
5/15/2022
3.63
48,359

AMGEN INC SR UNSECURED 06/16 2.3
6/15/2016
6.90
463,682

AMGEN INC SR UNSECURED 06/17 5.85
6/1/2017
5.85
1,438,846

AMGEN INC SR UNSECURED 11/14 1.875
11/15/2014
5.63
9,326,750


28
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

AMGEN INC SR UNSECURED 11/21 3.875
11/15/2021
7.75
1,208,002

AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5
10/25/2034
0.71
2,052,425

AMPHENOL CORP CL A COMMON STOCK USD.001
 
 
3,675,607

AMPLIFON SPA COMMON STOCK EUR.02
 
 
282,604

AMS AG COMMON STOCK NPV
 
 
235,538

ANADARKO FINANCE CO COMPANY GUAR 05/31 7.5
5/1/2031
7.50
4,227,196

ANADARKO PETROLEUM CORP COMMON STOCK USD.1
 
 
4,267,326

ANADARKO PETROLEUM CORP SR UNSECURED 03/14 7.625
3/15/2014
15.25
2,790,446

ANADARKO PETROLEUM CORP SR UNSECURED 06/14 5.75
6/15/2014
5.75
1,462,988

ANADARKO PETROLEUM CORP SR UNSECURED 09/16 5.95
9/15/2016
11.90
4,678,196

ANADARKO PETROLEUM CORP SR UNSECURED 09/17 6.375
9/15/2017
19.13
2,139,341

ANADARKO PETROLEUM CORP SR UNSECURED 09/36 6.45
9/15/2036
6.45
225,498

ANALOG DEVICES INC COMMON STOCK USD.167
 
 
3,586,246

ANHEUSER BUSCH COS INC COMPANY GUAR 01/13 4.375
1/15/2013
4.38
900,996

ANHEUSER BUSCH INBEV NV COMMON STOCK NPV
 
 
1,251,798

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/15 4.125
1/15/2015
4.13
213,717

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/19 7.75
1/15/2019
7.75
454,109

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 01/20 5.375
1/15/2020
5.38
839,753

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 03/13 2.5
3/26/2013
2.50
10,628,869

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/15 3.625
4/15/2015
7.25
1,920,695

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 04/20 5.
4/15/2020
5.00
1,663,371

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/14 1.5
7/14/2014
1.50
177,528

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/15 0.8
7/15/2015
0.80
2,025,284

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/17 1.375
7/15/2017
2.75
3,648,013

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 07/22 2.5
7/15/2022
2.50
1,298,075

ANHEUSER BUSCH INBEV WOR COMPANY GUAR 11/14 5.375
11/15/2014
16.13
7,691,072

ANNIE S INC COMMON STOCK USD.001
 
 
1,967,356

ANRITSU CORP COMMON STOCK
 
 
754,988

ANSALDO STS SPA COMMON STOCK EUR.5
 
 
181,963

ANSYS INC COMMON STOCK USD.01
 
 
1,771,715

ANZ NEW ZEALAND INTL/LDN BANK GUARANT 144A 08/15 3.125
8/10/2015
3.13
403,416

AON CORP COMPANY GUAR 09/15 3.5
9/30/2015
3.50
484,474

AON PLC COMMON STOCK USD.01
 
 
4,253,956

AON PLC COMPANY GUAR 144A 12/42 4.25
12/12/2042
4.25
44,809


29
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

APACHE CORP COMMON STOCK USD.625
 
 
2,355,785

APACHE CORP SR UNSECURED 01/37 6.
1/15/2037
6.00
3,005,788

APACHE CORP SR UNSECURED 04/22 3.25
4/15/2022
3.25
678,276

APACHE CORP SR UNSECURED 09/13 6.
9/15/2013
18.00
539,764

APACHE CORP SR UNSECURED 09/18 6.9
9/15/2018
6.90
567,519

APOLLO GLOBAL MANAGEMENT A LTD PART
 
 
2,126,600

APPALACHIAN POWER CO SR UNSECURED 06/17 5.
6/1/2017
5.00
228,701

APPLE INC COMMON STOCK NPV
 
 
72,372,681

APPLIED MICRO CIRCUITS CORP COMMON STOCK USD.01
 
 
1,018,903

APPROACH RESOURCES INC COMMON STOCK USD.01
 
 
1,761,955

ARCH CAPITAL GROUP LTD COMMON STOCK USD.01
 
 
3,670,364

ARENA PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
1,710,192

ARES CAPITAL CORP COMMON STOCK USD.001
 
 
2,297,750

ARGENT SECURITIES INC. ARSI 2003 W3 M1
9/25/2033
1.34
1,376,906

ARGENT SECURITIES INC. ARSI 2004 W11 M2
11/25/2034
0.91
2,711,833

ARGENT SECURITIES INC. ARSI 2004 W5 AV3B
4/25/2034
0.66
1,217,699

ARIAD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
815,150

ARIZONA PUBLIC SERVICE SR UNSECURED 06/14 5.8
6/30/2014
5.80
227,716

ARIZONA PUBLIC SERVICE SR UNSECURED 08/16 6.25
8/1/2016
6.25
234,758

ARKLE MASTER ISSUER PLC ARKLE 2010 2A 1A1 144A
5/17/2060
1.71
8,342,249

ARM HOLDINGS PLC COMMON STOCK GBP.0005
 
 
1,305,024

ARRAN RESIDENTIAL MORTGAGES FU ARRMF 2010 1A A1C 144A
5/16/2047
1.64
322,631

ARRAN RESIDENTIAL MORTGAGES FU ARRMF 2010 1A A2B 144A
5/16/2047
1.59
268,443

ARROW ELECTRONICS INC SR UNSECURED 07/13 6.875
7/1/2013
6.88
699,135

ARROW ELECTRONICS INC SR UNSECURED 11/15 3.375
11/1/2015
3.38
398,428

ARUBA NETWORKS INC COMMON STOCK USD.0001
 
 
3,955,241

ASBURY AUTOMOTIVE GROUP COMMON STOCK USD.01
 
 
1,596,055

ASHMORE GROUP PLC COMMON STOCK GBP.0001
 
 
413,033

ASIAN PROPERTY DEVE FOREIGN COMMON STOCK THB1. A
 
 
307,795

ASIF GLOBAL FINANCNG XIX SR SECURED 144A 01/13 4.9
1/17/2013
4.90
1,000,411

ASM INTERNATIONAL NV COMMON STOCK EUR.04
 
 
340,111

ASM PACIFIC TECHNOLOGY COMMON STOCK HKD.1
 
 
2,961,304

ASML HOLDING NV COMMON STOCK EUR.09
 
 
1,761,045

ASML HOLDING NV NY REG SHS NY REG SHRS EUR.09
 
 
3,090,778

ASOS PLC COMMON STOCK GBP.035
 
 
244,956

ASPEN TECHNOLOGY INC COMMON STOCK USD.1
 
 
7,270,011

ASSA ABLOY AB B COMMON STOCK NPV
 
 
521,051


30
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

ASSET BACKED SECURITIES CORP H ABSHE 2003 HE7 M1
12/15/2033
1.18
2,668,463

ASTELLAS PHARMA INC COMMON STOCK
 
 
2,524,251

ASTRAZENECA PLC SPONS ADR ADR
 
 
5,068,526

ASTRAZENECA PLC SR UNSECURED 09/37 6.45
9/15/2037
6.45
60,945

AT+T CORP SR UNSECURED 03/13 6.5
3/15/2013
6.50
606

AT+T INC COMMON STOCK USD1.
 
 
8,391,430

AT+T INC SR UNSECURED 01/38 6.3
1/15/2038
6.30
2,602,917

AT+T INC SR UNSECURED 02/17 1.6
2/15/2017
1.60
809,393

AT+T INC SR UNSECURED 02/18 5.5
2/1/2018
11.00
6,474,667

AT+T INC SR UNSECURED 02/22 3.
2/15/2022
3.00
145,603

AT+T INC SR UNSECURED 05/18 5.6
5/15/2018
5.60
168,879

AT+T INC SR UNSECURED 06/16 5.625
6/15/2016
5.63
143,473

AT+T INC SR UNSECURED 08/15 2.5
8/15/2015
5.00
4,066,054

AT+T INC SR UNSECURED 08/16 2.4
8/15/2016
4.80
260,893

AT+T INC SR UNSECURED 08/21 3.875
8/15/2021
3.88
713,285

AT+T INC SR UNSECURED 08/41 5.55
8/15/2041
5.55
1,092,113

AT+T INC SR UNSECURED 09/14 5.1
9/15/2014
20.40
8,621,521

AT+T INC SR UNSECURED 12/15 0.8
12/1/2015
2.40
4,749,862

AT+T INC SR UNSECURED 12/22 2.625
12/1/2022
2.63
1,342,204

ATHENAHEALTH INC COMMON STOCK USD.01
 
 
1,803,932

ATLAS AIR WORLDWIDE HOLDINGS COMMON STOCK USD.01
 
 
1,896,468

ATLAS COPCO AB A SHS COMMON STOCK NPV
 
 
1,177,219

ATMOS ENERGY CORP SR UNSECURED 10/14 4.95
10/15/2014
4.95
428,657

ATRIUM EUROPEAN REAL ESTATE COMMON STOCK NPV
 
 
270,997

AUST + NZ BANKING GROUP SR UNSECURED 144A 01/14 2.125
1/10/2014
2.13
2,454,100

AUST + NZ BANKING GROUP SR UNSECURED 144A 03/16 3.25
3/1/2016
3.25
212,768

AUSTRALIAN GOVERNMENT SR UNSECURED 06/16 4.75
6/15/2016
4.75
33,241

AUSTRALIAN INDEX LINKED SR UNSECURED 09/25 3.
9/20/2025
3.00
2,563,881

AUTOMATIC DATA PROCESSING COMMON STOCK USD.1
 
 
5,727,738

AUTOMETAL SA COMMON STOCK NPV
 
 
146,806

AUTOZONE INC SR UNSECURED 01/15 5.75
1/15/2015
5.75
410,356

AUXILIUM PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
998,767

AVAGO TECHNOLOGIES LTD COMMON STOCK
 
 
7,244,346

AVG TECHNOLOGIES COMMON STOCK EUR.01
 
 
1,258,643

AVIATION CAPITAL GROUP SR UNSECURED 144A 10/20 7.125
10/15/2020
7.13
326,477

AVIS BUDGET RENTAL CAR FUNDING AESOP 2010 5A A 144A
3/20/2017
3.15
708,591


31
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 2A A 144A
5/20/2018
2.80
1,212,691

AVIS BUDGET RENTAL CAR FUNDING AESOP 2012 3A A 144A
3/20/2019
2.10
102,009

AVNET INC COMMON STOCK USD1.
 
 
2,201,777

AXA SA COMMON STOCK EUR2.29
 
 
1,318,799

AXIS SPECIALTY FINANCE COMPANY GUAR 06/20 5.875
6/1/2020
5.88
840,080

AYGAZ AS COMMON STOCK TRY1.
 
 
185,129

AZBIL CORP COMMON STOCK
 
 
144,891

B/E AEROSPACE INC COMMON STOCK USD.01
 
 
1,296,799

BA COVERED BOND ISSUER COVERED 08/17 4.25
8/3/2017
4.25
1,745,628

BAE SYSTEMS HOLDINGS INC COMPANY GUAR 144A 06/14 4.95
6/1/2014
4.95
236,343

BAE SYSTEMS HOLDINGS INC COMPANY GUAR 144A 08/15 5.2
8/15/2015
5.20
465,413

BAIDU INC SPON ADR ADR USD.00005
 
 
3,736,003

BAKER HUGHES INC SR UNSECURED 09/40 5.125
9/15/2040
5.13
3,394,172

BAKER HUGHES INC SR UNSECURED 11/18 7.5
11/15/2018
15.00
3,378,115

BALLY TECHNOLOGIES INC COMMON STOCK USD.1
 
 
1,685,567

BAMLL DB TRUST BMLDB 2012 OSI A1 144A
4/13/2029
2.34
3,582,993

BANC OF AMERICA COMMERCIAL MOR BACM 2004 1 A4
11/10/2039
4.76
7,757,740

BANC OF AMERICA COMMERCIAL MOR BACM 2004 5 AAB
11/10/2041
4.67
13,501

BANC OF AMERICA COMMERCIAL MOR BACM 2006 1 AM
9/10/2045
5.42
665,051

BANC OF AMERICA COMMERCIAL MOR BACM 2006 2 AM
5/10/2045
5.76
224,174

BANC OF AMERICA COMMERCIAL MOR BACM 2006 3 A4
7/10/2044
5.89
1,599,486

BANC OF AMERICA COMMERCIAL MOR BACM 2006 4 A2
7/10/2046
5.52
1,221,546

BANC OF AMERICA COMMERCIAL MOR BACM 2006 4 A4
7/10/2046
5.63
91,522

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A2
9/10/2047
5.32
230,081

BANC OF AMERICA COMMERCIAL MOR BACM 2006 5 A4
9/10/2047
5.41
170,610

BANC OF AMERICA COMMERCIAL MOR BACM 2006 6 A2
10/10/2045
5.31
3,110,869

BANC OF AMERICA COMMERCIAL MOR BACM 2007 2 A4
4/10/2049
5.63
5,029,190

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A3
6/10/2049
5.69
2,325,064

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 A4
6/10/2049
5.69
28,398,783

BANC OF AMERICA COMMERCIAL MOR BACM 2007 3 AM
6/10/2049
5.69
3,454,016

BANC OF AMERICA COMMERCIAL MOR BACM 2007 5 A3
2/10/2051
5.62
4,866,730

BANC OF AMERICA LARGE LOAN BALL 2010 UB5 A4A 144A
2/17/2051
5.64
89,694

BANC OF AMERICA MERRILL LYNCH BAMLL 2012 CLRN A 144A
8/15/2029
1.36
1,008,571

BANCO DO BRASIL (CAYMAN) SR UNSECURED 144A 01/20 6.
1/22/2020
6.00
662,625

BANCO DO BRASIL (CAYMAN) SR UNSECURED 144A 07/14 VAR
7/2/2014
3.06
737,508


32
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/18 6.369
6/16/2018
6.37
165,900

BANCO NAC DE DESEN ECONO SR UNSECURED 144A 06/19 6.5
6/10/2019
6.50
73,500

BANCO SANTANDER BRASIL SR UNSECURED 144A 01/16 4.25
1/14/2016
4.25
2,521,125

BANCO SANTANDER BRASIL SR UNSECURED 144A 04/15 4.5
4/6/2015
4.50
289,800

BANCO SANTANDER BRAZ CI SR UNSECURED 144A 03/14 VAR
3/18/2014
2.41
139,500

BANK BUKOPIN TBK PT COMMON STOCK IDR100.
 
 
172,153

BANK OF AMERICA AUTO TRUST BAAT 2009 1A A4 144A
6/15/2016
3.52
152,213

BANK OF AMERICA AUTO TRUST BAAT 2009 2A A4 144A
10/15/2016
3.03
944,735

BANK OF AMERICA AUTO TRUST BAAT 2010 1A A4 144A
2/15/2017
2.18
528,277

BANK OF AMERICA AUTO TRUST BAAT 2010 2 A3
7/15/2014
1.31
36,625

BANK OF AMERICA CORP SENIOR NOTES 10/15 1.5
10/9/2015
1.50
3,331,950

BANK OF AMERICA CORP SR UNSECURED 01/22 5.7
1/24/2022
5.70
3,904,677

BANK OF AMERICA CORP SR UNSECURED 03/17 3.875
3/22/2017
3.88
726,629

BANK OF AMERICA CORP SR UNSECURED 04/15 4.5
4/1/2015
9.00
9,166,964

BANK OF AMERICA CORP SR UNSECURED 05/13 4.9
5/1/2013
9.80
7,060,024

BANK OF AMERICA CORP SR UNSECURED 05/14 7.375
5/15/2014
7.38
4,547,957

BANK OF AMERICA CORP SR UNSECURED 05/18 5.65
5/1/2018
5.65
337,398

BANK OF AMERICA CORP SR UNSECURED 05/21 5.
5/13/2021
10.00
4,144,197

BANK OF AMERICA CORP SR UNSECURED 06/19 7.625
6/1/2019
22.88
4,651,241

BANK OF AMERICA CORP SR UNSECURED 07/16 3.75
7/12/2016
7.50
11,138,219

BANK OF AMERICA CORP SR UNSECURED 07/20 5.625
7/1/2020
11.25
1,926,644

BANK OF AMERICA CORP SR UNSECURED 08/16 6.5
8/1/2016
6.50
10,294,676

BANK OF AMERICA CORP SR UNSECURED 09/17 6.
9/1/2017
12.00
23,841,865

BANK OF AMERICA CORP SR UNSECURED 10/16 5.625
10/14/2016
5.63
2,035,265

BANK OF AMERICA CORP SR UNSECURED 12/17 5.75
12/1/2017
23.00
5,221,866

BANK OF AMERICA CORP SUBORDINATED 03/19 5.49
3/15/2019
5.49
333,245

BANK OF AMERICA CREDIT CARD TR BACCT 2006 A8 A8
5/16/2016
0.24
5,862,352

BANK OF AMERICA CREDIT CARD TR BACCT 2010 A1 A1
9/15/2015
0.51
3,617,437

BANK OF MONTREAL COVERED 144A 06/15 2.85
6/9/2015
2.85
1,499,804

BANK OF MONTREAL COVERED 144A 10/14 1.3
10/31/2014
1.30
507,950

BANK OF MONTREAL SR UNSECURED 04/14 1.75
4/29/2014
1.75
12,183,301

BANK OF MONTREAL SR UNSECURED 06/13 2.125
6/28/2013
4.25
2,112,768

BANK OF MONTREAL SR UNSECURED 11/15 0.8
11/6/2015
0.80
2,286,723

BANK OF NEW YORK MELLON CORP COMMON STOCK USD.01
 
 
6,450,186

BANK OF NEW YORK MELLON SR UNSECURED 01/15 3.1
1/15/2015
3.10
17,811,325

BANK OF NEW YORK MELLON SR UNSECURED 01/16 2.5
1/15/2016
2.50
576,341


33
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BANK OF NEW YORK MELLON SR UNSECURED 01/18 1.3
1/25/2018
1.30
154,498

BANK OF NEW YORK MELLON SR UNSECURED 02/15 1.2
2/20/2015
2.40
4,565,499

BANK OF NEW YORK MELLON SR UNSECURED 04/13 4.5
4/1/2013
4.50
202,037

BANK OF NEW YORK MELLON SR UNSECURED 06/15 2.95
6/18/2015
2.95
316,415

BANK OF NEW YORK MELLON SR UNSECURED 07/16 2.3
7/28/2016
2.30
313,576

BANK OF NEW YORK MELLON SR UNSECURED 11/14 1.7
11/24/2014
1.70
3,477,132

BANK OF NOVA SCOTIA COVERED 144A 10/15 1.65
10/29/2015
3.30
737,865

BANK OF NOVA SCOTIA SR UNSECURED 01/15 3.4
1/22/2015
3.40
969,936

BANK OF NOVA SCOTIA SR UNSECURED 03/16 2.9
3/29/2016
2.90
1,457,320

BANK OF NOVA SCOTIA SR UNSECURED 10/15 0.75
10/9/2015
1.50
4,777,684

BANK OF NOVA SCOTIA SR UNSECURED 12/13 2.375
12/17/2013
7.13
36,752,273

BANK OF SCOTLAND PLC COVERED 01/13 3.25
1/25/2013
3.25
435,820

BANK OF SCOTLAND PLC COVERED 01/14 3.875
1/15/2014
3.88
805,510

BANK OF SCOTLAND PLC JR SUBORDINA 05/49 VAR
12/31/2049
7.29
155,560

BANK OF THE OZARKS COMMON STOCK USD.01
 
 
3,115,421

BANKERS PETROLEUM LTD COMMON STOCK NPV
 
 
113,802

BANQUE CANTONALE VAUDOIS REG COMMON STOCK CHF10.
 
 
151,460

BARCLAYS BANK PLC COVERED 01/15 3.125
1/14/2015
3.13
903,280

BARCLAYS BANK PLC SR UNSECURED 01/14 2.375
1/13/2014
4.75
9,424,444

BARCLAYS BANK PLC SR UNSECURED 01/14 VAR
1/13/2014
1.38
8,040,424

BARCLAYS BANK PLC SR UNSECURED 02/15 2.75
2/23/2015
2.75
103,583

BARCLAYS BANK PLC SR UNSECURED 07/14 5.2
7/10/2014
10.40
2,053,553

BARCLAYS BANK PLC SR UNSECURED 09/16 5.
9/22/2016
15.00
2,437,929

BARCLAYS BANK PLC SUBORDINATED 144A 06/21 10.179
6/12/2021
20.36
14,362,981

BARCLAYS BANK PLC SUBORDINATED 144A 12/17 6.05
12/4/2017
12.10
10,920,050

BARCLAYS CAPITAL REPO REPO
1/11/2013
0.39
46,500,000

BARCLAYS PLC COMMON STOCK GBP.25
 
 
2,419,819

BARRICK GOLD CORP COMMON STOCK NPV
 
 
8,017,290

BARRICK GOLD CORP SR UNSECURED 04/19 6.95
4/1/2019
13.90
1,617,493

BARRICK GOLD CORP SR UNSECURED 04/22 3.85
4/1/2022
3.85
656,286

BARRICK GOLD CORP SR UNSECURED 05/14 1.75
5/30/2014
1.75
2,448,730

BARRICK GOLD CORP SR UNSECURED 05/16 2.9
5/30/2016
2.90
446,960

BARRICK NA FINANCE LLC COMPANY GUAR 05/21 4.4
5/30/2021
4.40
2,171,343

BASF SE COMMON STOCK NPV
 
 
1,811,452

BAT INTL FINANCE PLC COMPANY GUAR 144A 06/22 3.25
6/7/2022
3.25
3,312,557

BAXTER INTERNATIONAL INC COMMON STOCK USD1.
 
 
9,259,074

BAXTER INTERNATIONAL INC SR UNSECURED 03/13 1.8
3/15/2013
1.80
205,568

BAYER AG REG COMMON STOCK NPV
 
 
3,630,824

BAYERISCHE MOTOREN WERKE AG COMMON STOCK EUR1.
 
 
1,808,695


34
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BAYVIEW FINANCIAL ACQUISITION BAYV 2006 A 2A4
2/28/2041
0.51
616,769

BB UBS TRUST BBUBS 2012 TFT A 144A
6/5/2030
2.89
467,673

BB+T CORP COMMON STOCK USD5.
 
 
7,283,322

BB+T CORPORATION SR UNSECURED 03/16 3.2
3/15/2016
3.20
1,708,275

BB+T CORPORATION SR UNSECURED 04/14 2.05
4/28/2014
2.05
2,635,902

BB+T CORPORATION SR UNSECURED 04/14 5.7
4/30/2014
5.70
426,322

BB+T CORPORATION SR UNSECURED 04/16 3.95
4/29/2016
3.95
328,226

BB+T CORPORATION SR UNSECURED 08/17 1.6
8/15/2017
1.60
2,386,315

BB+T CORPORATION SUBORDINATED 12/15 5.2
12/23/2015
5.20
61,317

BBVA US SENIOR SA UNIPER BANK GUARANT 10/15 4.664
10/9/2015
4.66
1,537,976

BCAP LLC TRUST BCAP 2010 RR4 5A7 144A
5/26/2037
0.53
324,350

BCE INC COMMON STOCK NPV
 
 
8,291,714

BCE INC COMMON STOCK NPV
 
 
659,508

BEACON ROOFING SUPPLY INC COMMON STOCK USD.01
 
 
828,739

BEAM INC COMMON STOCK USD3.125
 
 
2,077,060

BEAM INC SR UNSECURED 01/16 5.375
1/15/2016
5.38
78,200

BEAM INC SR UNSECURED 05/17 1.875
5/15/2017
1.88
255,375

BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1
11/25/2030
2.86
71,401

BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1
2/25/2033
4.13
11,866

BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 2A1
2/25/2034
2.98
1,111,658

BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1
1/25/2035
2.89
196,367

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A1
3/25/2035
2.57
6,299,584

BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 2 A2
3/25/2035
3.08
55,725

BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2
5/25/2035
2.89
2,567,913

BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1
2/25/2034
0.37
433,076

BEAR STEARNS ASSET BACKED SECU BSABS 2003 2 A3
3/25/2043
0.96
2,102,367

BEAR STEARNS ASSET BACKED SECU BSABS 2005 SD1 1A3
8/25/2043
0.61
1,511,801

BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A
8/25/2036
5.50
2,189,017

BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1
10/25/2037
1.21
1,018,281

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 AAB
12/11/2040
5.38
393,232

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 PW10 AM
12/11/2040
5.45
2,425,410

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2005 T20 AAB
10/12/2042
5.13
2,021,885

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW11 A4
3/11/2039
5.45
795,449

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW12 A4
9/11/2038
5.71
3,205,191


35
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 PW14 A3
12/11/2038
5.21
4,019,240

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T22 AM
4/12/2038
5.57
409,646

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW16 AM
6/11/2040
5.72
242,024

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 PW17 A3
6/11/2050
5.74
4,987,598

BEAR STEARNS COMMERCIAL MORTGA BSCMS 2007 T28 A3
9/11/2042
5.79
1,290,681

BEAR STEARNS COS LLC SR UNSECURED 02/18 7.25
2/1/2018
21.75
2,199,090

BEAR STEARNS COS LLC SR UNSECURED 10/17 6.4
10/2/2017
19.20
5,740,770

BEAR STEARNS COS LLC SR UNSECURED 11/14 5.7
11/15/2014
5.70
326,002

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1
1/26/2036
2.85
105,926

BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1
12/26/2046
2.84
2,696,572

BEC WORLD PCL FOREIGN COMMON STOCK THB1. A
 
 
426,371

BECTON DICKINSON AND CO COMMON STOCK USD1.
 
 
2,073,599

BEIERSDORF AG COMMON STOCK NPV
 
 
343,136

BELDEN INC COMMON STOCK USD.01
 
 
2,391,443

BELLSOUTH CORP SR UNSECURED 09/14 5.2
9/15/2014
5.20
714,287

BELLSOUTH CORP SR UNSECURED 12/16 5.2
12/15/2016
5.20
286,734

BERKSHIRE HATHAWAY FIN COMPANY GUAR 01/14 1.5
1/10/2014
1.50
9,606,951

BERKSHIRE HATHAWAY FIN COMPANY GUAR 05/13 4.6
5/15/2013
4.60
507,751

BERKSHIRE HATHAWAY FIN COMPANY GUAR 05/18 5.4
5/15/2018
5.40
2,718,498

BERKSHIRE HATHAWAY FIN COMPANY GUAR 07/14 5.1
7/15/2014
5.10
1,897,266

BERKSHIRE HATHAWAY FIN COMPANY GUAR 08/13 5.
8/15/2013
5.00
925,600

BERKSHIRE HATHAWAY FIN COMPANY GUAR 12/15 2.45
12/15/2015
2.45
3,679,466

BERKSHIRE HATHAWAY INC SR UNSECURED 01/17 1.9
1/31/2017
1.90
242,925

BERKSHIRE HATHAWAY INC SR UNSECURED 02/15 3.2
2/11/2015
6.40
452,697

BERKSHIRE HILLS BANCORP INC COMMON STOCK USD.01
 
 
1,659,582

BERRY PLASTICS GROUP INC COMMON STOCK
 
 
1,718,952

BG ENERGY CAPITAL PLC COMPANY GUAR 144A 10/16 2.875
10/15/2016
2.88
211,089

BHP BILLITON FIN USA LTD COMPANY GUAR 02/15 1.
2/24/2015
1.00
8,034,087

BHP BILLITON FIN USA LTD COMPANY GUAR 02/17 1.625
2/24/2017
3.25
2,428,639

BHP BILLITON FIN USA LTD COMPANY GUAR 04/14 5.5
4/1/2014
11.00
7,398,146

BHP BILLITON FIN USA LTD COMPANY GUAR 04/19 6.5
4/1/2019
6.50
593,015

BHP BILLITON FINANCE COMPANY GUAR 04/13 4.8
4/15/2013
4.80
936,590

BHP BILLITON PLC COMMON STOCK USD.5
 
 
4,436,956

BIO RAD LABORATORIES A COMMON STOCK USD.0001
 
 
945,450

BIOGEN IDEC INC COMMON STOCK USD.0005
 
 
7,201,644

BK NEDERLANDSE GEMEENTEN SR UNSECURED 03/17 3.
3/30/2017
3.00
144,491


36
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BK NEDERLANDSE GEMEENTEN SR UNSECURED 11/19 3.875
11/4/2019
3.88
153,963

BK NEGARA MONETARY NOTE NOTES 03/13 0.00000
3/21/2013
 
9,586,050

BK NEGARA MONETARY NOTE UNSECURED 03/13 0.00000
3/28/2013
 
7,631,907

BK NEGARA MONETARY NOTE UNSECURED 04/13 0.00000
4/2/2013
 
5,225,661

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 01/13 2.6
1/22/2013
2.60
403,365

BK TOKYO MITSUBISHI UFJ SR UNSECURED 144A 01/15 3.85
1/22/2015
7.70
1,532,198

BLACKROCK INC COMMON STOCK USD.01
 
 
12,673,390

BLACKROCK INC SR UNSECURED 06/15 1.375
6/1/2015
1.38
1,953,005

BLACKROCK INC SR UNSECURED 12/14 3.5
12/10/2014
3.50
1,098,360

BLUE LABEL TELECOMS LTD COMMON STOCK ZAR.000.01
 
 
78,183

BLUESTREAM VENTURES
 
 
1,351,362

BMC SOFTWARE INC COMMON STOCK USD.01
 
 
15,233,406

BMW VEHICLE LEASE TRUST BMWLT 2012 1 A2
6/20/2014
0.59
7,349,854

BNP PARIBAS BANK GUARANT 01/21 5.
1/15/2021
5.00
909,748

BNP PARIBAS COMMON STOCK EUR2.
 
 
4,517,015

BNP PARIBAS HOME LOAN COVERED 144A 11/15 2.2
11/2/2015
2.20
1,749,619

BNP PARIBAS SR UNSECURED 09/17 2.375
9/14/2017
2.38
1,846,112

BOEING CO/THE COMMON STOCK USD5.
 
 
4,804,827,975

BOK FINANCIAL CORPORATION COMMON STOCK USD.00006
 
 
2,570,512

BOLSA MEXICANA DE VALORES SA COMMON STOCK NPV
 
 
613,039

BONANZA CREEK ENERGY INC COMMON STOCK USD.001
 
 
979,598

BONOS Y OBLIG DEL ESTADO BONDS 04/21 5.5
4/30/2021
5.50
4,181,844

BONOS Y OBLIG DEL ESTADO SR UNSECURED 10/16 4.25
10/31/2016
4.25
4,480,240

BONOS Y OBLIG DEL ESTADO SR UNSUB 01/22 5.85
1/31/2022
5.85
960,903

BONOS Y OBLIG DEL ESTADO SR UNSUB 04/20 4.
4/30/2020
4.00
500,696

BONOS Y OBLIG DEL ESTADO SR UNSUB 10/20 4.85
10/31/2020
4.85
1,044,068

BORGWARNER INC COMMON STOCK USD.01
 
 
3,800,587

BOSTON SCIENTIFIC CORP COMMON STOCK USD.01
 
 
3,653,878

BOSTON SCIENTIFIC CORP SR UNSECURED 01/20 6.
1/15/2020
12.00
1,493,060

BOTTLING GROUP LLC COMPANY GUAR 01/19 5.125
1/15/2019
5.13
361,313

BOTTLING GROUP LLC COMPANY GUAR 04/16 5.5
4/1/2016
5.50
285,684

BP CAPITAL MARKETS PLC COMPANY GUAR 03/14 VAR
3/11/2014
1.82
7,250,621

BP CAPITAL MARKETS PLC COMPANY GUAR 03/15 3.875
3/10/2015
15.50
4,847,343

BP CAPITAL MARKETS PLC COMPANY GUAR 03/19 4.75
3/10/2019
9.50
643,519

BP CAPITAL MARKETS PLC COMPANY GUAR 05/22 3.245
5/6/2022
9.74
6,726,642

BP CAPITAL MARKETS PLC COMPANY GUAR 10/15 3.125
10/1/2015
9.38
15,817,065

BP CAPITAL MARKETS PLC COMPANY GUAR 11/13 5.25
11/7/2013
21.00
8,220,795

BP CAPITAL MARKETS PLC COMPANY GUAR 11/15 0.7
11/6/2015
1.40
2,870,880


37
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BP CAPITAL MARKETS PLC COMPANY GUAR 11/16 2.248
11/1/2016
2.25
1,040,384

BP CAPITAL MARKETS PLC COMPANY GUAR 11/21 3.561
11/1/2021
10.68
1,064,382

BPCE SA SR UNSECURED 144A 02/14 VAR
2/7/2014
2.06
454,989

BPCE SA SR UNSECURED 144A 10/13 2.375
10/4/2013
2.38
11,807,476

BRAMMER PLC COMMON STOCK GBP.2
 
 
110,560

BRENNTAG AG COMMON STOCK NPV
 
 
640,892

BRFKREDIT AS GOVT LIQUID 144A 04/13 2.05
4/15/2013
2.05
30,143

BRIDGESTONE CORP COMMON STOCK
 
 
1,124,025

BRISTOL MYERS SQUIBB CO COMMON STOCK USD.1
 
 
10,807,659

BRISTOW GROUP INC COMMON STOCK USD.01
 
 
884,585

BRITISH AMERICAN TOBACCO PLC COMMON STOCK GBP.25
 
 
673,466

BRITISH COLUMBIA PROV OF SR UNSECURED 10/22 2.
10/23/2022
2.00
5,557,814

BRITISH TELECOM PLC SR UNSECURED 01/18 5.95
1/15/2018
5.95
1,344,426

BRITISH TELECOM PLC SR UNSECURED 06/15 2.
6/22/2015
4.00
1,644,829

BRITISH TELECOM PLC SR UNSECURED 12/30 9.625
12/15/2030
9.63
158,868

BRITVIC PLC COMMON STOCK GBP.2
 
 
210,992

BROADCOM CORP CL A COMMON STOCK USD.0001
 
 
2,486,433

BROADSOFT INC COMMON STOCK
 
 
1,337,671

BROOKDALE SENIOR LIVING INC COMMON STOCK USD.01
 
 
3,432,962

BROWN + BROWN INC COMMON STOCK USD.1
 
 
1,897,457

BRUNEL INTERNATIONAL COMMON STOCK EUR.05
 
 
241,267

BT GROUP PLC COMMON STOCK GBP.05
 
 
567,477

BUCKEYE OH TOBACCO SETTLEMENT BUCGEN 06/47 FIXED OID 5.875
6/1/2047
5.88
18,335,815

BUFFALO WILD WINGS INC COMMON STOCK NPV
 
 
1,478,246

BUNDESREPUB. DEUTSCHLAND BONDS 07/17 4.25
7/4/2017
4.25
388,790

BUNDESSCHATZANWEISUNGEN BONDS 06/13 1.75
6/14/2013
1.75
4,517,130

BUNDESSCHATZANWEISUNGEN BONDS 09/13 0.75
9/13/2013
0.75
4,372,740

BUNGE LIMITED FINANCE CO COMPANY GUAR 03/16 4.1
3/15/2016
8.20
472,659

BUNGE LIMITED FINANCE CO COMPANY GUAR 05/13 5.875
5/15/2013
5.88
279,876

BUNGE LTD COMMON STOCK USD.01
 
 
2,820,372

BUNGE LTD FINANCE CORP COMPANY GUAR 07/15 5.1
7/15/2015
5.10
324,788

BUONI POLIENNALI DEL TES BONDS 09/21 2.1
9/15/2021
2.10
3,213,002

BUONI POLIENNALI DEL TES BONDS 11/22 5.5
11/1/2022
5.50
1,282,820

BUONI POLIENNALI DEL TES UNSECURED 06/17 4.75
6/1/2017
4.75
1,824,204

BUONI POLIENNALI DEL TES UNSECURED 09/22 5.5
9/1/2022
5.50
857,709

BURBERRY GROUP PLC SPON ADR ADR
 
 
756,673

BURLINGTN NORTH SANTA FE SR UNSECURED 03/18 5.75
3/15/2018
5.75
998,090

BURLINGTN NORTH SANTA FE SR UNSECURED 05/17 5.65
5/1/2017
5.65
223,650


38
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

BURLINGTN NORTH SANTA FE SR UNSECURED 09/21 3.45
9/15/2021
3.45
134,528

C.H. ROBINSON WORLDWIDE INC COMMON STOCK USD.1
 
 
1,460,192

C+C GROUP PLC COMMON STOCK EUR.01
 
 
482,631

CADBURY SCHWEPPES US FIN COMPANY GUAR 144A 10/13 5.125
10/1/2013
5.13
689,516

CADENCE DESIGN SYS INC COMMON STOCK USD.01
 
 
5,842,872

CADENCE PHARMACEUTICALS INC COMMON STOCK USD.0001
 
 
394,217

CAISSE CENTRALE DESJARDN SR UNSECURED 144A 09/15 2.65
9/16/2015
2.65
3,794,882

CALIFORNIA REPUBLIC AUTO RECEI CRART 2012 1 A 144A
8/15/2017
1.18
507,234

CALIFORNIA ST CAS 03/19 FIXED 6.2
3/1/2019
6.20
241,152

CALIFORNIA ST CAS 03/36 FIXED 7.95
3/1/2036
7.95
12,427

CALIFORNIA ST CAS 04/16 FIXED 5.95
4/1/2016
5.95
560,840

CALIFORNIA ST CAS 04/34 FIXED 7.5
4/1/2034
7.50
4,728,550

CALIFORNIA ST CAS 04/39 FIXED 7.55
4/1/2039
7.55
8,794,980

CALIFORNIA ST CAS 06/37 FIXED 5
6/1/2037
5.00
2,842,372

CALIFORNIA ST CAS 08/28 FIXED 4.5
8/1/2028
4.50
4,434,601

CALIFORNIA ST CAS 10/19 FIXED 6.2
10/1/2019
6.20
2,193,966

CALIFORNIA ST CAS 11/37 FIXED 5
11/1/2037
5.00
1,321,752

CALIFORNIA ST PUB WKS BRD LEAS CASFAC 11/26 FIXED 5
11/1/2026
5.00
2,308,660

CALIFORNIA ST PUB WKS BRD LEAS CASFAC 11/30 FIXED 5
11/1/2030
5.00
7,570,799

CALLON PETROLEUM CO COMMON STOCK USD.01
 
 
887,548

CAMERON INTL CORP SR UNSECURED 04/15 1.6
4/30/2015
1.60
2,992,408

CAMPBELL SOUP CO SR UNSECURED 08/14 VAR
8/1/2014
1.00
4,184,879

CANADA GOV T REAL RETURN BONDS 12/21 4.25
12/1/2021
4.25
1,331,458

CANADA GOV T REAL RETURN BONDS 12/36 3.
12/1/2036
3.00
330,073

CANADA HOUSING TRUST GOVT GUARANT 144A 12/22 2.4
12/15/2022
2.40
8,073,034

CANADA HOUSING TRUST GOVT GUARANT 144A 12/22 2.4
12/15/2022
2.40
504,565

CANADIAN IMPERIAL BANK SR UNSECURED 10/15 0.9
10/1/2015
0.90
2,265,723

CANADIAN IMPERIAL BANK SR UNSECURED 12/15 2.35
12/11/2015
2.35
241,356

CANADIAN NAT L RAILWAY SR UNSECURED 03/13 4.4
3/15/2013
4.40
176,379

CANADIAN NATL RAILWAY CO COMMON STOCK NPV
 
 
1,951,254

CANADIAN NATL RAILWAY SR UNSECURED 01/14 4.95
1/15/2014
4.95
386,893

CANADIAN NATL RAILWAY SR UNSECURED 03/19 5.55
3/1/2019
5.55
217,278

CANADIAN NATL RAILWAY SR UNSECURED 07/18 6.8
7/15/2018
6.80
775,664

CANADIAN NATL RESOURCES SR UNSECURED 02/13 5.15
2/1/2013
5.15
7,451,032

CANADIAN NATL RESOURCES SR UNSECURED 11/14 1.45
11/14/2014
1.45
304,265

CANADIAN NATL RESOURCES SR UNSECURED 12/14 4.9
12/1/2014
4.90
392,954

CANADIAN OIL SANDS LTD SR UNSECURED 144A 04/22 4.5
4/1/2022
4.50
709,192


39
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CANADIAN PACIFIC RAILWAY LTD COMMON STOCK NPV
 
 
1,185,697

CAPCOM CO LTD COMMON STOCK
 
 
206,992

CAPITAL ONE BANK USA NA SUBORDINATED 06/13 6.5
6/13/2013
6.50
2,103,562

CAPITAL ONE FINANCIAL CO SR UNSECURED 03/15 2.15
3/23/2015
2.15
204,148

CAPITAL ONE FINANCIAL CO SR UNSECURED 05/14 7.375
5/23/2014
22.13
4,813,639

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/16 3.15
7/15/2016
3.15
477,759

CAPITAL ONE FINANCIAL CO SR UNSECURED 07/21 4.75
7/15/2021
9.50
5,881,126

CAPITAL ONE FINANCIAL CO SR UNSECURED 09/17 6.75
9/15/2017
6.75
1,624,301

CAPITAL ONE FINANCIAL CO SR UNSECURED 11/15 1.
11/6/2015
1.00
2,989,866

CAPITAL ONE FINANCIAL CORP COMMON STOCK USD.01
 
 
12,237,713

CAPITAL ONE FINANCIAL SR UNSECURED 06/15 5.5
6/1/2015
5.50
413,290

CARDINAL HEALTH INC COMMON STOCK NPV
 
 
5,274,129

CARDINAL HEALTH INC SR UNSECURED 06/13 5.5
6/15/2013
5.50
336,874

CARDINAL HEALTH INC SR UNSECURED 12/20 4.625
12/15/2020
9.25
663,914

CARDTRONICS INC COMMON STOCK USD.0001
 
 
676,281

CAREFUSION CORP SR UNSECURED 08/19 6.375
8/1/2019
6.38
721,431

CARGILL INC SR UNSECURED 144A 06/13 4.375
6/1/2013
4.38
365,433

CARGILL INC UNSECURED 144A 03/17 1.9
3/1/2017
1.90
224,018

CARLSBERG BREWERY MALAYSIA B COMMON STOCK MYR.5
 
 
125,691

CARMAX AUTO OWNER TRUST CARMX 2010 3 A4
2/16/2016
1.41
810,395

CARMAX AUTO OWNER TRUST CARMX 2011 3 A3
6/15/2016
1.07
5,036,435

CARMAX AUTO OWNER TRUST CARMX 2012 1 A3
9/15/2016
0.89
3,694,879

CARMAX AUTO OWNER TRUST CARMX 2012 1 A4
6/15/2017
2.50
8,217,675

CAROLINA POWER + LIGHT 1ST MORTGAGE 04/15 5.15
4/1/2015
5.15
492,912

CARPENTER TECHNOLOGY COMMON STOCK USD5.
 
 
2,479,789

CASTELLUM AB COMMON STOCK NPV
 
 
306,463

CATAMARAN CORP COMMON STOCK NPV
 
 
1,203,378

CATERPILLAR FIN SERV CRP SR UNSECURED 02/14 6.125
2/17/2014
6.13
1,679,182

CATERPILLAR FIN SERV CRP SR UNSECURED 08/13 4.9
8/15/2013
4.90
5,831,795

CATERPILLAR FIN SERV CRP SR UNSECURED 09/13 6.2
9/30/2013
12.40
3,703,246

CATERPILLAR FINANCIAL SE SR UNSECURED 02/19 7.15
2/15/2019
7.15
65,103

CATERPILLAR FINANCIAL SE SR UNSECURED 05/14 1.375
5/20/2014
1.38
4,180,163

CATERPILLAR FINANCIAL SE SR UNSECURED 05/15 1.1
5/29/2015
1.10
2,238,433

CATERPILLAR FINANCIAL SE SR UNSECURED 06/22 2.85
6/1/2022
2.85
80,798

CATERPILLAR FINANCIAL SE SR UNSECURED 11/15 0.7
11/6/2015
0.70
2,365,942

CATERPILLAR INC COMMON STOCK USD1.
 
 
5,966,028

CATERPILLAR INC SR UNSECURED 05/14 1.375
5/27/2014
1.38
9,312,028

CATERPILLAR INC SR UNSECURED 05/21 3.9
5/27/2021
3.90
1,750,147

CATHOLIC HEALTH INITIATI SECURED 11/17 1.6
11/1/2017
1.60
141,498

CATLIN GROUP LTD COMMON STOCK USD.01
 
 
449,176


40
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CAVIUM INC COMMON STOCK USD.001
 
 
2,995,536

CBS CORP COMPANY GUAR 02/21 4.3
2/15/2021
4.30
99,285

CBS CORP COMPANY GUAR 03/22 3.375
3/1/2022
3.38
488,695

CBS CORP COMPANY GUAR 07/17 1.95
7/1/2017
1.95
101,879

CBS CORP COMPANY GUAR 09/23 7.875
9/1/2023
7.88
66,442

CD COMMERCIAL MORTGAGE TRUST CD 2005 CD1 A4
7/15/2044
5.22
1,775,622

CD COMMERCIAL MORTGAGE TRUST CD 2005 CD1 AJ
7/15/2044
5.22
342,891

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD2 AM
1/15/2046
5.36
546,193

CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 A5
10/15/2048
5.62
747,072

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A2B
12/11/2049
5.21
70,017

CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 A4
12/11/2049
5.32
481,786

CDP FINANCIAL COMPANY GUAR 144A 11/14 3.
11/25/2014
6.00
17,422,134

CDP FINANCIAL COMPANY GUAR 144A 11/19 4.4
11/25/2019
8.80
8,181,001

CEBU AIR INC COMMON STOCK PHP1.
 
 
152,130

CELANESE CORP SERIES A COMMON STOCK USD.0001
 
 
3,357,562

CELGENE CORP COMMON STOCK USD.01
 
 
7,950,720

CELGENE CORP SR UNSECURED 08/17 1.9
8/15/2017
1.90
305,385

CELGENE CORP SR UNSECURED 10/20 3.95
10/15/2020
3.95
54,264

CELLCO PART/VERI WIRELSS SR UNSECURED 02/14 5.55
2/1/2014
16.65
11,316,240

CELLCO PART/VERI WIRELSS SR UNSECURED 11/18 8.5
11/15/2018
8.50
412,710

CENOVUS ENERGY INC COMMON STOCK NPV
 
 
519,026

CENOVUS ENERGY INC SR UNSECURED 09/14 4.5
9/15/2014
4.50
519,851

CENOVUS ENERGY INC SR UNSECURED 10/19 5.7
10/15/2019
5.70
436,556

CENTENE CORP COMMON STOCK USD.001
 
 
2,853,313

CENTERPOINT ENERGY RESOU SR UNSECURED 01/14 5.95
1/15/2014
5.95
682,313

CENTERPOINT ENERGY RESOU SR UNSECURED 01/21 4.5
1/15/2021
4.50
227,450

CENTERPOINT ENERGY RESOU SR UNSECURED 01/41 5.85
1/15/2041
5.85
63,283

CENTERPOINT ENERGY RESOU SR UNSECURED 04/13 7.875
4/1/2013
7.88
254,237

CENTRICA PLC COMMON STOCK GBP.061728
 
 
586,814

CEPHEID INC COMMON STOCK NPV
 
 
1,253,134

CHALLENGER LTD COMMON STOCK NPV
 
 
335,787

CHARLES SCHWAB CORP SR UNSECURED 12/15 0.85
12/4/2015
0.85
2,088,741

CHART INDUSTRIES INC COMMON STOCK USD.01
 
 
1,385,403

CHARTER HALL RETAIL REIT REIT NPV
 
 
262,980

CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 1A1
2/25/2037
3.01
219,627

CHEMTURA CORP COMMON STOCK USD.01
 
 
4,035,297

CHESAPEAKE UTILITIES CORP COMMON STOCK USD.4867
 
 
1,176,359

CHEUNG KONG HOLDINGS LTD COMMON STOCK HKD.5
 
 
614,126

CHEVRON CORP COMMON STOCK USD.75
 
 
8,529,002

CHEVRON CORP SR UNSECURED 12/22 2.355
12/5/2022
2.36
1,297,125


41
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CHICAGO IL CHI 01/32 FIXED 4.75
1/1/2032
4.75
9,735,995

CHICAGO IL CHI 01/39 FIXED OID 5
1/1/2039
5.00
2,933,545

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.2
12/1/2040
6.20
11,308

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.90
485,464

CHICAGO IL TRANSIT AUTH SALES CHITRN 12/40 FIXED 6.899
12/1/2040
6.90
606,830

CHILDREN S PLACE COMMON STOCK USD.1
 
 
1,212,882

CHINA AUTOMATION GROUP COMMON STOCK HKD.01
 
 
90,990

CHINA RESOURCES GAS GROUP LT COMMON STOCK HKD.1
 
 
359,186

CHIPBOND TECHNOLOGY CORP COMMON STOCK TWD10.
 
 
269,386

CHIPOTLE MEXICAN GRILL INC COMMON STOCK USD.01
 
 
5,591,653

CHIYODA CO LTD COMMON STOCK
 
 
222,642

CHIYODA CORP COMMON STOCK
 
 
326,652

CHRISTIAN DIOR COMMON STOCK EUR2.
 
 
721,485

CHROMA ATE INC COMMON STOCK TWD10.
 
 
249,315

CHUBB CORP COMMON STOCK USD1.
 
 
3,127,286

CHUBB CORP SR UNSECURED 05/37 6.
5/11/2037
6.00
2,622,859

CIA HERING COMMON STOCK NPV
 
 
82,032

CIE FINANCIERE RICHEMON BR A COMMON STOCK CHF1.
 
 
2,140,401

CIENA CORP COMMON STOCK USD.01
 
 
2,549,680

CIGNA CORP COMMON STOCK USD.25
 
 
3,326,281

CIGNA CORP SR UNSECURED 02/22 4.
2/15/2022
4.00
1,311,785

CIGNA CORP SR UNSECURED 03/17 5.375
3/15/2017
5.38
1,092,797

CIGNA CORP SR UNSECURED 12/20 4.375
12/15/2020
4.38
303,694

CIPUTRA DEVELOPMENT TBK PT COMMON STOCK IDR250.
 
 
315,974

CISCO SYSTEMS INC COMMON STOCK USD.001
 
 
66,816,779

CISCO SYSTEMS INC SR UNSECURED 01/20 4.45
1/15/2020
4.45
2,278,551

CISCO SYSTEMS INC SR UNSECURED 02/16 5.5
2/22/2016
5.50
640,111

CISCO SYSTEMS INC SR UNSECURED 02/19 4.95
2/15/2019
4.95
526,799

CISCO SYSTEMS INC SR UNSECURED 03/14 1.625
3/14/2014
3.25
7,921,794

CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 1 AF5
2/25/2033
14.42
652,847

CIT GROUP INC COMMON STOCK USD.01
 
 
1,576,512

CITIBANK CREDIT CARD ISSUANCE CCCIT 2003 A7 A7
7/7/2017
4.15
1,065,783

CITIBANK CREDIT CARD ISSUANCE CCCIT 2005 A9 A9
11/20/2017
5.10
2,538,938

CITIBANK CREDIT CARD ISSUANCE CCCIT 2006 A3 A3
3/15/2018
5.30
9,116,864

CITIBANK CREDIT CARD ISSUANCE CCCIT 2007 A8 A8
9/20/2019
5.65
3,149,203

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2005 C3 A2
5/15/2043
4.64
1,698,735

CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 A4
12/10/2049
5.71
1,849,713


42
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CITIGROUP INC COMMON STOCK USD.01
 
 
15,675,650

CITIGROUP INC NOTES 10/14 5.5
10/15/2014
11.00
2,006,213

CITIGROUP INC SR UNSECURED 01/15 6.01
1/15/2015
12.02
4,053,973

CITIGROUP INC SR UNSECURED 01/17 4.45
1/10/2017
4.45
437,581

CITIGROUP INC SR UNSECURED 01/22 4.5
1/14/2022
4.50
89,256

CITIGROUP INC SR UNSECURED 03/15 2.65
3/2/2015
2.65
3,630,955

CITIGROUP INC SR UNSECURED 03/38 6.875
3/5/2038
6.88
3,001,522

CITIGROUP INC SR UNSECURED 05/14 5.125
5/5/2014
20.50
7,578,577

CITIGROUP INC SR UNSECURED 05/15 4.75
5/19/2015
9.50
1,536,201

CITIGROUP INC SR UNSECURED 05/19 8.5
5/22/2019
17.00
1,425,315

CITIGROUP INC SR UNSECURED 06/16 3.953
6/15/2016
3.95
2,185,013

CITIGROUP INC SR UNSECURED 08/13 6.5
8/19/2013
13.00
1,241,516

CITIGROUP INC SR UNSECURED 08/14 6.375
8/12/2014
25.50
3,069,046

CITIGROUP INC SR UNSECURED 08/15 2.25
8/7/2015
2.25
4,608,576

CITIGROUP INC SR UNSECURED 08/16 5.85
8/2/2016
5.85
228,591

CITIGROUP INC SR UNSECURED 08/17 6.
8/15/2017
6.00
1,413,775

CITIGROUP INC SR UNSECURED 08/20 5.375
8/9/2020
10.75
4,360,258

CITIGROUP INC SR UNSECURED 11/14 VAR
11/5/2014
0.59
555,801

CITIGROUP INC SR UNSECURED 11/17 6.125
11/21/2017
12.25
10,056,827

CITIGROUP INC SR UNSECURED 12/13 6.
12/13/2013
18.00
7,215,585

CITIGROUP INC SR UNSECURED 12/15 4.587
12/15/2015
9.17
6,232,801

CITIGROUP INC SUBORDINATED 09/14 5.
9/15/2014
5.00
841,670

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1
9/25/2035
2.27
75,473

CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 AR4 1A1A 144A
11/25/2038
3.04
662,535

CITRIX SYSTEMS INC COMMON STOCK USD.001
 
 
2,858,744

CITY NATIONAL CORP COMMON STOCK USD1.
 
 
1,381,608

CLARCOR INC COMMON STOCK USD1.
 
 
2,719,064

CLEAN HARBORS INC COMMON STOCK USD.01
 
 
3,768,185

CLECO CORPORATION COMMON STOCK USD1.
 
 
2,811,903

CLICKS GROUP LTD COMMON STOCK ZAR.01
 
 
350,523

CLIFFS NATURAL RESOURCES SR UNSECURED 01/18 3.95
1/15/2018
3.95
1,851,929

CLIFFS NATURAL RESOURCES SR UNSECURED 04/21 4.875
4/1/2021
4.88
297,949

CLIFFS NATURAL RESOURCES SR UNSECURED 10/20 4.8
10/1/2020
4.80
626,095

CLUB MEDITERRANEE SA COMMON STOCK EUR4.
 
 
317,524

CME GROUP INC COMMON STOCK USD.01
 
 
7,555,790

CME GROUP INC SR UNSECURED 02/14 5.75
2/15/2014
5.75
946,224

CME GROUP INC SR UNSECURED 08/13 5.4
8/1/2013
5.40
260,210

CME GROUP INC SR UNSECURED 09/22 3.
9/15/2022
3.00
71,025

CMS ENERGY CORP COMMON STOCK USD.01
 
 
2,145,440

CNA FINANCIAL CORP SR UNSECURED 12/14 5.85
12/15/2014
5.85
531,984


43
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CNH EQUIPMENT TRUST CNH 2011 A A3
5/16/2016
1.20
1,520,608

CNH EQUIPMENT TRUST CNH 2011 B A3
8/15/2016
0.91
1,060,163

CNH EQUIPMENT TRUST CNH 2012 A A3
5/15/2017
0.94
1,654,205

CNH EQUIPMENT TRUST CNH 2012 B A3
9/15/2017
0.86
628,729

CNH EQUIPMENT TRUST CNH 2012 C A3
12/15/2017
0.57
1,625,257

CNH EQUIPMENT TRUST CNH 2012 D A3
4/16/2018
1.35
9,398,386

COACH INC COMMON STOCK USD.01
 
 
5,480,613

COBALT CMBS COMMERCIAL MORTGAG CWCI 2006 C1 A4
8/15/2048
5.22
170,035

COBIZ FINANCIAL INC COMMON STOCK USD.01
 
 
1,253,093

COCA COLA CO/THE COMMON STOCK USD.25
 
 
3,161,000

COCA COLA CO/THE SR UNSECURED 03/14 3.625
3/15/2014
3.63
518,785

COCA COLA CO/THE SR UNSECURED 03/15 0.75
3/13/2015
1.50
12,091,404

COCA COLA CO/THE SR UNSECURED 09/16 1.8
9/1/2016
3.60
6,259,071

COCA COLA ENTERPRISES COMMON STOCK USD1.
 
 
1,104,839

COCA COLA HELLENIC BOTTLING COMMON STOCK EUR1.01
 
 
274,428

COCA COLA ICECEK AS COMMON STOCK TRY1.
 
 
352,440

COGNIZANT TECH SOLUTIONS A COMMON STOCK USD.01
 
 
17,778,368

COINSTAR INC COMMON STOCK USD.001
 
 
1,853,116

COLGATE PALMOLIVE CO SR UNSECURED 05/14 1.25
5/1/2014
1.25
3,545,752

COMCAST CABLE COMM HLDGS COMPANY GUAR 03/13 8.375
3/15/2013
8.38
934,507

COMCAST CABLE COMMUNICAT COMPANY GUAR 05/17 8.875
5/1/2017
17.75
1,634,025

COMCAST CABLE COMMUNICAT COMPANY GUAR 06/13 7.125
6/15/2013
14.25
1,672,788

COMCAST CORP CLASS A COMMON STOCK USD1.
 
 
10,230,719

COMCAST CORP COMPANY GUAR 01/14 5.3
1/15/2014
5.30
5,980,349

COMCAST CORP COMPANY GUAR 01/15 6.5
1/15/2015
19.50
8,039,516

COMCAST CORP COMPANY GUAR 02/18 5.875
2/15/2018
11.75
2,235,370

COMCAST CORP COMPANY GUAR 03/16 5.9
3/15/2016
11.80
2,498,931

COMCAST CORP COMPANY GUAR 06/16 4.95
6/15/2016
4.95
112,722

COMCAST CORP COMPANY GUAR 06/35 5.65
6/15/2035
5.65
246,400

COMCAST CORP COMPANY GUAR 07/19 5.7
7/1/2019
5.70
121,844

COMCAST CORP COMPANY GUAR 07/22 3.125
7/15/2022
3.13
2,411,848

COMCAST CORP SPECIAL CL A COMMON STOCK USD1.
 
 
4,010,942

COMERICA INC COMMON STOCK USD5.
 
 
3,436,733

COMERICA INC SR UNSECURED 09/15 3.
9/16/2015
3.00
432,925

COMM MORTGAGE TRUST COMM 2006 C7 A3
6/10/2046
5.69
1,418,091

COMM MORTGAGE TRUST COMM 2012 FL2 A 144A
9/17/2029
1.00
2,162,712

COMMERCE BANCSHARES INC COMMON STOCK USD5.
 
 
1,350,734

COMMERCIAL MORTGAGE ASSET TRUS CMAT 1999 C1 D
1/17/2032
7.35
1,249,937


44
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

COMMERZBANK AG COMMON STOCK NPV
 
 
675,359

COMMONWEALTH EDISON 1ST MORTGAGE 01/14 1.625
1/15/2014
3.25
4,225,023

COMMONWEALTH EDISON 1ST MORTGAGE 04/15 4.7
4/15/2015
4.70
54,342

COMMONWEALTH REIT SR UNSECURED 01/18 6.65
1/15/2018
6.65
84,060

COMMONWEALTH REIT SR UNSECURED 02/15 6.4
2/15/2015
6.40
493,741

COMMONWEALTH REIT SR UNSECURED 11/15 5.75
11/1/2015
5.75
166,657

COMMUNITY HEALTH SYSTEMS INC COMMON STOCK USD.01
 
 
2,520,680

COMMVAULT SYSTEMS INC COMMON STOCK USD.01
 
 
1,463,910

COMPASS GROUP PLC COMMON STOCK GBP.1
 
 
2,393,156

COMPUTER PROGRAMS + SYSTEMS COMMON STOCK USD.001
 
 
1,268,065

COMPUTER SCIENCES CORP SR UNSECURED 09/15 2.5
9/15/2015
2.50
2,102,531

COMUNIDAD DE MADRID SR UNSECURED 03/14 4.305
3/6/2014
4.31
392,395

COMUNIDAD DE MADRID SR UNSECURED 09/14 4.2
9/24/2014
4.20
636,671

CONCHO RESOURCES INC COMMON STOCK USD.001
 
 
3,930,925

CONMED CORP COMMON STOCK USD.01
 
 
1,439,006

CONOCO INC SR UNSECURED 04/29 6.95
4/15/2029
6.95
2,209,764

CONOCOPHILLIPS CANADA COMPANY GUAR 10/16 5.625
10/15/2016
11.25
451,473

CONOCOPHILLIPS COMPANY COMPANY GUAR 12/22 2.4
12/15/2022
2.40
897,142

CONOCOPHILLIPS COMPANY GUAR 01/15 4.6
1/15/2015
13.80
6,742,462

CONOCOPHILLIPS COMPANY GUAR 01/20 6.
1/15/2020
6.00
939,083

CONOCOPHILLIPS COMPANY GUAR 02/14 4.75
2/1/2014
4.75
188,150

CONOCOPHILLIPS COMPANY GUAR 02/19 5.75
2/1/2019
5.75
178,339

CONOCOPHILLIPS COMPANY GUAR 02/39 6.5
2/1/2039
6.50
113,451

CONS EDISON CO OF NY SR UNSECURED 02/14 4.7
2/1/2014
4.70
313,190

CONS EDISON CO OF NY SR UNSECURED 03/42 4.2
3/15/2042
4.20
85,260

CONS EDISON CO OF NY SR UNSECURED 06/13 3.85
6/15/2013
3.85
202,863

CONSOLIDATED NATURAL GAS SR UNSECURED 12/14 5.
12/1/2014
5.00
263,498

CONSTELLATION BRANDS INC A COMMON STOCK USD.01
 
 
2,778,115

CONSTELLATION ENERGY GRO COMPANY GUAR 12/20 5.15
12/1/2020
5.15
91,450

CONSTELLATION ENERGY GRP COMPANY GUAR 06/15 4.55
6/15/2015
4.55
5,671,979

CONSTELLATION SOFTWARE INC COMMON STOCK
 
 
216,915

CONSUMERS ENERGY COMPANY 1ST MORTGAGE 02/14 6.
2/15/2014
6.00
381,178

CONSUMERS ENERGY COMPANY 1ST MORTGAGE 04/20 5.65
4/15/2020
5.65
37,052

CONTINENTAL AG COMMON STOCK NPV
 
 
1,198,322

CONTL AIRLINES 2007 1 PASS THRU CE 10/23 5.983
10/19/2023
11.97
1,892,983

CONTL AIRLINES 2012 1 A PASS THRU CE 10/25 4.15
10/11/2025
4.15
347,325

CONTL AIRLINES 2012 2 A PASS THRU CE 04/26 4.
4/29/2026
8.00
915,638

COOPER US INC COMPANY GUAR 04/15 5.45
4/1/2015
5.45
197,854


45
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

COOPERATIEVE CENTRALE RA BANK GUARANT 10/15 2.125
10/13/2015
4.25
5,057,305

COPPER MOUNTAIN MINING CORP COMMON STOCK
 
 
222,215

CORE LABORATORIES N.V. COMMON STOCK EUR.02
 
 
479,762

CORE MARK HOLDING CO INC COMMON STOCK USD.01
 
 
1,171,534

CORESITE REALTY CORP REIT USD.01
 
 
932,695

CORNERSTONE ONDEMAND INC COMMON STOCK USD.0001
 
 
1,587,090

CORPORACION GEO SA DE CV COMPANY GUAR 144A 03/22 8.875
3/27/2022
8.88
351,450

CORPORACION GEO SA DE CV COMPANY GUAR 144A 06/20 9.25
6/30/2020
9.25
150,500

CORPORATE EXECUTIVE BOARD CO COMMON STOCK USD.01
 
 
3,146,598

COSTAR GROUP INC COMMON STOCK USD.01
 
 
2,913,462

COSTCO WHOLESALE CORP COMMON STOCK USD.005
 
 
7,859,919

COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A
7/20/2046
0.42
222,782

COUNTRYWIDE ASSET BACKED CERTI CWL 2001 BC3 A
12/25/2031
0.69
184,867

COUNTRYWIDE ASSET BACKED CERTI CWL 2005 4 AF3
10/25/2035
4.46
339,517

COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A
2/25/2037
0.41
366,099

COUNTRYWIDE HOME LOANS CWHL 2003 56 6A1
12/25/2033
2.97
422,443

COUNTRYWIDE HOME LOANS CWHL 2004 R2 1AF1 144A
11/25/2034
0.64
265,005

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1
4/25/2035
2.76
1,148,632

COUNTRYWIDE HOME LOANS CWHL 2005 11 3A3
4/25/2035
2.76
149,263

COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2
4/25/2035
0.50
644,591

COUNTRYWIDE HOME LOANS CWHL 2005 R1 1AF1 144A
3/25/2035
0.57
1,298,445

COVANCE INC COMMON STOCK USD.01
 
 
1,704,215

COVENTRY HEALTH CARE INC SR UNSECURED 03/17 5.95
3/15/2017
5.95
185,992

COVENTRY HEALTH CARE INC SR UNSECURED 06/21 5.45
6/15/2021
5.45
885,473

COVIDIEN INTL FINANCE SA COMPANY GUAR 05/15 1.35
5/29/2015
1.35
3,747,028

COVIDIEN PLC COMMON STOCK USD.2
 
 
13,203,983

COX COMMUNICATIONS INC SR UNSECURED 06/13 4.625
6/1/2013
4.63
3,051,651

COX COMMUNICATIONS INC SR UNSECURED 12/14 5.45
12/15/2014
27.25
2,521,433

COX COMMUNICATIONS INC SR UNSECURED 144A 01/19 9.375
1/15/2019
9.38
89,373

COX COMMUNICATIONS INC SR UNSECURED 144A 12/16 5.875
12/1/2016
5.88
198,457

CPS AUTO TRUST CPS 2012 C A 144A
12/16/2019
1.82
445,639

CPS AUTO TRUST CPS 2012 D A 144A
3/16/2020
3.07
915,897

CREDIT AG HOME LOAN SFH COVERED 144A 07/14 VAR
7/21/2014
1.07
200,335

CREDIT AGRICOLE LONDON SR UNSECURED 144A 01/14 2.625
1/21/2014
2.63
1,286,553


46
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CREDIT AGRICOLE LONDON SR UNSECURED 144A 01/14 VAR
1/21/2014
1.77
847,013

CREDIT AGRICOLE SA COMMON STOCK EUR3.
 
 
1,511,914

CREDIT AGRICOLE SA JR SUBORDINA 144A 10/49 VAR
12/31/2049
8.38
3,784,200

CREDIT BASED ASSET SERVICING A CBASS 2006 CB2 AF4
12/25/2036
4.34
1,080,962

CREDIT SUISSE COMMERCIAL MORTG CSMC 2006 C1 AM
2/15/2039
5.41
785,967

CREDIT SUISSE COMMERCIAL MORTG CSMC 2006 C2 A3
3/15/2039
5.68
1,647,207

CREDIT SUISSE COMMERCIAL MORTG CSMC 2006 C3 A3
6/15/2038
5.80
3,678,009

CREDIT SUISSE COMMERCIAL MORTG CSMC 2006 C3 AM
6/15/2038
5.80
1,169,828

CREDIT SUISSE COMMERCIAL MORTG CSMC 2007 C1 A2
2/15/2040
5.27
139,424

CREDIT SUISSE COMMERCIAL MORTG CSMC 2009 RR3 A5A 144A
12/15/2043
5.34
1,035,166

CREDIT SUISSE COMMERCIAL MORTG CSMC 2010 RR5 2A 144A
12/18/2043
5.34
2,896,349

CREDIT SUISSE GROUP AG REG COMMON STOCK CHF.04
 
 
1,519,740

CREDIT SUISSE NEW YORK SR UNSECURED 03/15 3.5
3/23/2015
7.00
13,048,965

CREDIT SUISSE NEW YORK SR UNSECURED 05/13 5.
5/15/2013
5.00
5,082,315

CREDIT SUISSE NEW YORK SR UNSECURED 05/14 5.5
5/1/2014
11.00
7,958,668

CREDIT SUISSE NEW YORK SR UNSECURED 08/20 4.375
8/5/2020
4.38
980,642

CREDIT SUISSE NEW YORK SUBORDINATED 02/18 6.
2/15/2018
6.00
1,074,943

CREDIT SUISSE USA INC BANK GUARANT 01/14 5.125
1/15/2014
10.25
1,044,545

CREDIT SUISSE USA INC BANK GUARANT 08/15 5.125
8/15/2015
5.13
3,662,366

CRH AMERICA INC COMPANY GUAR 10/13 5.3
10/15/2013
5.30
723,122

CRODA INTERNATIONAL PLC COMMON STOCK GBP.1
 
 
305,113

CROWN CASTLE INTL CORP COMMON STOCK USD.01
 
 
25,944,839

CROWN CASTLE TOWERS LLC SR SECURED 144A 01/40 6.113
1/15/2040
6.11
11,972,561

CROWN CASTLE TOWERS LLC SR SECURED 144A 08/35 3.214
8/15/2035
3.21
531,735

CROWN HOLDINGS INC COMMON STOCK USD5.
 
 
705,758

CS FIRST BOSTON COMMERCIAL MOR CSFB 2004 8 6A1
12/25/2019
4.50
747,643

CS FIRST BOSTON COMMERCIAL MOR CSFB 2004 AR5 7A2
6/25/2034
2.92
534,657

CS FIRST BOSTON COMMERCIAL MOR CSFB 2004 C2 A1
5/15/2036
3.82
34,434

CS FIRST BOSTON COMMERCIAL MOR CSFB 2005 C2 A4
4/15/2037
4.83
3,966,639

CSL LTD COMMON STOCK NPV
 
 
1,149,789

CSN ISLANDS XI CORP COMPANY GUAR 144A 09/19 6.875
9/21/2019
6.88
78,400

CSN ISLANDS XI CORP COMPANY GUAR REGS 09/19 6.875
9/21/2019
6.88
44,800

CSN RESOURCES SA COMPANY GUAR 144A 07/20 6.5
7/21/2020
6.50
1,236,900

CSN RESOURCES SA COMPANY GUAR REGS 07/20 6.5
7/21/2020
6.50
227,850

CSX CORP SR UNSECURED 02/14 5.3
2/15/2014
5.30
418,814

CSX CORP SR UNSECURED 02/19 7.375
2/1/2019
7.38
2,002,753

CSX CORP SR UNSECURED 03/13 5.75
3/15/2013
5.75
161,649


47
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

CSX CORP SR UNSECURED 04/15 6.25
4/1/2015
6.25
3,083,816

CSX CORP SR UNSECURED 05/17 5.6
5/1/2017
5.60
321,238

CTS EVENTIM COMMON STOCK NPV
 
 
107,459

CUBIC CORP COMMON STOCK NPV
 
 
1,458,960

CUBIST PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
1,440,219

CULLEN/FROST BANKERS INC COMMON STOCK USD.01
 
 
1,127,731

CUMMINS INC COMMON STOCK USD2.5
 
 
7,584,500

CVS CAREMARK CORP COMMON STOCK USD.01
 
 
8,438,042

CVS CAREMARK CORP SR UNSECURED 06/17 5.75
6/1/2017
5.75
695,822

CVS CAREMARK CORP SR UNSECURED 12/22 2.75
12/1/2022
2.75
2,459,116

CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943
1/10/2030
6.94
4,712,646

CYPRESS SEMICONDUCTOR CORP COMMON STOCK USD.01
 
 
1,463,400

CYTEC INDUSTRIES INC COMMON STOCK USD.01
 
 
1,016,275

DAH CHONG HONG COMMON STOCK HKD.15
 
 
170,552

DAH SING FINANCIAL HOLDINGS COMMON STOCK HKD2.
 
 
220,048

DAIICHI SANKYO CO LTD COMMON STOCK
 
 
3,407,248

DAIKIN INDUSTRIES LTD COMMON STOCK
 
 
2,391,096

DAIMLER FINANCE NA LLC COMPANY GUAR 11/13 6.5
11/15/2013
26.00
18,050,245

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/15 1.3
7/31/2015
2.60
2,413,932

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 07/19 2.25
7/31/2019
2.25
176,324

DAIMLER FINANCE NA LLC COMPANY GUAR 144A 09/16 2.625
9/15/2016
2.63
2,846,893

DAIRY CREST GROUP PLC COMMON STOCK GBP.25
 
 
331,681

DANAHER CORP COMMON STOCK USD.01
 
 
5,100,875

DANAHER CORP SR UNSECURED 06/14 1.3
6/23/2014
1.30
423,595

DANONE COMMON STOCK EUR.25
 
 
837,304

DANONE SPONS ADR ADR
 
 
4,127,869

DANSKE BANK A/S COVERED 11/19 4.125
11/26/2019
4.13
123,599

DARDEN RESTAURANTS INC COMMON STOCK NPV
 
 
461,517

DASSAULT SYSTEMES SA COMMON STOCK EUR1.
 
 
418,099

DAUM COMMUNICATIONS CORP COMMON STOCK KRW500.
 
 
283,790

DAVITA HEALTHCARE PARTNERS I COMMON STOCK USD.001
 
 
3,658,543

DBUBS MORTGAGE TRUST DBUBS 2011 LC2A XA 144A
7/10/2044
1.43
125,251

DCC PLC COMMON STOCK EUR.25
 
 
130,785

DE LONGHI SPA COMMON STOCK EUR1.5
 
 
155,487

DEALERTRACK TECHNOLOGIES INC COMMON STOCK USD.01
 
 
380,167


48
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

DECKERS OUTDOOR CORP COMMON STOCK USD.01
 
 
651,810

DEERE + COMPANY SR UNSECURED 06/22 2.6
6/8/2022
5.20
769,577

DELHAIZE GROUP COMPANY GUAR 06/17 6.5
6/15/2017
6.50
1,004,591

DELL INC SR UNSECURED 04/13 4.7
4/15/2013
4.70
379,395

DELL INC SR UNSECURED 04/14 2.1
4/1/2014
2.10
3,482,593

DELMARVA PWR + LIGHT CO 1ST MORTGAGE 12/13 6.4
12/1/2013
6.40
903,316

DELPHI AUTOMOTIVE PLC COMMON STOCK USD.01
 
 
2,457,945

DELTA AIR LINES 2007 1 A PASS THRU CE 02/24 6.821
2/10/2024
13.64
1,109,026

DELTA ELECTRONICS INC COMMON STOCK TWD10.
 
 
1,646,699

DEMANDWARE INC COMMON STOCK USD.01
 
 
747,202

DENA CO LTD COMMON STOCK
 
 
1,627,005

DENBURY RESOURCES INC COMMON STOCK USD.001
 
 
1,532,520

DENVER ARENA TR ARENA REVENUE BKD NT 144A
11/15/2019
6.94
997,459

DESARROLLADORA HOMEX SA COMPANY GUAR 144A 03/20 9.75
3/25/2020
9.75
368,900

DESARROLLADORA HOMEX SA COMPANY GUAR 144A 12/19 9.5
12/11/2019
9.50
150,500

DETOUR GOLD CORP COMMON STOCK NPV
 
 
282,472

DEUTSCHE BANK AG LONDON SR UNSECURED 01/16 3.25
1/11/2016
3.25
518,518

DEUTSCHE BANK AG LONDON SR UNSECURED 05/13 4.875
5/20/2013
4.88
1,678,637

DEUTSCHE BK FINL LLC BANK GUARANT 03/15 5.375
3/2/2015
5.38
423,625

DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 4 7AR2
6/25/2034
0.67
500,450

DEUTSCHE POST AG REG COMMON STOCK NPV
 
 
1,432,906

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 03/16 5.75
3/23/2016
5.75
569,708

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 07/13 5.25
7/22/2013
5.25
4,102,296

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 07/14 4.875
7/8/2014
4.88
581,933

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 08/13 5.875
8/20/2013
5.88
258,191

DEUTSCHE TELEKOM INT FIN COMPANY GUAR 144A 03/17 2.25
3/6/2017
2.25
153,823

DEUTSCHLAND I/L BOND BONDS 04/20 1.75
4/15/2020
1.75
50,878

DEVON ENERGY CORPORATION SR UNSECURED 01/14 5.625
1/15/2014
5.63
315,630

DEVON ENERGY CORPORATION SR UNSECURED 04/32 7.95
4/15/2032
7.95
3,447,139

DEVON ENERGY CORPORATION SR UNSECURED 05/17 1.875
5/15/2017
1.88
101,943

DEVON ENERGY CORPORATION SR UNSECURED 05/22 3.25
5/15/2022
3.25
730,584

DEVON ENERGY CORPORATION SR UNSECURED 07/16 2.4
7/15/2016
2.40
362,516

DEXIA CREDIT LOCAL GOVT LIQUID 144A 04/14 2.75
4/29/2014
2.75
13,081,980

DIAGEO CAPITAL PLC COMPANY GUAR 01/13 5.2
1/30/2013
5.20
5,018,390

DIAGEO CAPITAL PLC COMPANY GUAR 01/14 7.375
1/15/2014
7.38
1,342,249

DIAGEO CAPITAL PLC COMPANY GUAR 05/17 1.5
5/11/2017
1.50
133,866

DIAGEO CAPITAL PLC COMPANY GUAR 07/20 4.828
7/15/2020
4.83
5,603,772


49
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

DIAGEO CAPITAL PLC COMPANY GUAR 09/16 5.5
9/30/2016
5.50
348,660

DIAGEO CAPITAL PLC COMPANY GUAR 10/17 5.75
10/23/2017
5.75
180,715

DIAGEO INVESTMENT CORP COMPANY GUAR 05/22 2.875
5/11/2022
2.88
82,582

DIAGEO PLC COMMON STOCK GBP.893518
 
 
5,590,491

DIAGEO PLC SPONSORED ADR ADR
 
 
7,510,084

DICK S SPORTING GOODS INC COMMON STOCK USD.01
 
 
2,169,600

DIGITAL REALTY TRUST INC REIT USD.01
 
 
820,519

DIGITAL RIVER INC COMMON STOCK USD.01
 
 
917,291

DIRECTV HOLDINGS/FING COMPANY GUAR 02/16 3.125
2/15/2016
3.13
515,238

DIRECTV HOLDINGS/FING COMPANY GUAR 03/15 3.55
3/15/2015
3.55
4,207,824

DIRECTV HOLDINGS/FING COMPANY GUAR 03/16 3.5
3/1/2016
7.00
3,045,792

DIRECTV HOLDINGS/FING COMPANY GUAR 03/17 2.4
3/15/2017
2.40
2,816,872

DIRECTV HOLDINGS/FING COMPANY GUAR 03/22 3.8
3/15/2022
3.80
319,813

DIRECTV HOLDINGS/FING COMPANY GUAR 03/41 6.375
3/1/2041
6.38
57,861

DIRECTV HOLDINGS/FING COMPANY GUAR 10/14 4.75
10/1/2014
9.50
1,767,077

DISCOVER BANK SUBORDINATED 11/19 8.7
11/18/2019
8.70
478,872

DISCOVER CARD MASTER TRUST I DCENT 2012 A1 A1
8/15/2017
0.81
1,228,194

DISCOVER FINANCIAL SVS SR UNSECURED 144A 11/22 3.85
11/21/2022
3.85
1,219,675

DISCOVERY COMMUNICATIONS COMPANY GUAR 06/15 3.7
6/1/2015
3.70
474,088

DISCOVERY COMMUNICATIONS COMPANY GUAR 08/19 5.625
8/15/2019
5.63
322,498

DIVERSIFIED REAL ASSET FUND WELLINGTON
 
 
240,966,370

DNB ASA COMMON STOCK NOK10.
 
 
457,624

DNB BOLIGKREDITT AS COVERED 144A 03/17 2.9
3/29/2017
2.90
978,126

DNB BOLIGKREDITT AS COVERED 144A 10/16 2.1
10/14/2016
4.20
1,467,589

DNB BOLIGKREDITT AS COVERED REGS 10/17 2.5
10/18/2017
2.50
1,689,277

DOLPHIN ENERGY LTD SR SECURED 144A 06/19 5.888
6/15/2019
5.89
238,802

DOLPHIN ENERGY LTD SR SECURED 144A 12/21 5.5
12/15/2021
5.50
758,063

DOLPHIN ENERGY LTD SR SECURED REGS 06/19 5.888
6/15/2019
5.89
119,382

DOMINION RESOURCES INC SR UNSECURED 01/19 8.875
1/15/2019
17.75
1,745,070

DOMINION RESOURCES INC SR UNSECURED 03/14 1.8
3/15/2014
3.60
2,790,094

DOMINION RESOURCES INC SR UNSECURED 03/21 4.45
3/15/2021
4.45
92,165

DOMINION RESOURCES INC SR UNSECURED 06/18 6.4
6/15/2018
19.20
5,784,769

DOW CHEMICAL CO/THE SR UNSECURED 02/15 5.9
2/15/2015
11.80
4,694,235

DOW CHEMICAL CO/THE SR UNSECURED 05/14 7.6
5/15/2014
15.20
1,005,530

DOW CHEMICAL CO/THE SR UNSECURED 05/19 8.55
5/15/2019
17.10
742,542

DOW CHEMICAL CO/THE SR UNSECURED 11/20 4.25
11/15/2020
4.25
505,829

DOW CHEMICAL CO/THE SR UNSECURED 11/22 3.
11/15/2022
6.00
937,908

DR PEPPER SNAPPLE GROUP COMPANY GUAR 01/16 2.9
1/15/2016
2.90
410,933

DR PEPPER SNAPPLE GROUP INC COMMON STOCK USD.01
 
 
1,697,837

DRAGON OIL PLC COMMON STOCK EUR.1
 
 
623,316


50
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

DRIL QUIP INC COMMON STOCK USD.01
 
 
1,314,900

DRYROCK ISSUANCE TRUST DROCK 2012 2 A
8/15/2018
1.00
5,310,840

DT AUTO OWNER TRUST DTAOT 2012 2A A 144A
11/16/2015
0.91
99,853

DTE ENERGY COMPANY SR UNSECURED 06/16 6.35
6/1/2016
6.35
348,572

DUFRY AG REG COMMON STOCK CHF5.
 
 
1,162,094

DUKE ENERGY CAROLINAS 1ST REF MORT 11/13 5.75
11/15/2013
5.75
501,470

DUKE ENERGY CORP SR UNSECURED 06/13 5.65
6/15/2013
5.65
680,195

DUKE ENERGY CORP SR UNSECURED 09/19 5.05
9/15/2019
5.05
92,799

DUKE ENERGY CORP SR UNSECURED 11/16 2.15
11/15/2016
2.15
82,721

DUKE ENERGY INDIANA INC 1ST MORTGAGE 07/20 3.75
7/15/2020
3.75
376,499

DUKE REALTY LP SR UNSECURED 03/16 5.5
3/1/2016
5.50
441,037

DUKE REALTY LP SR UNSECURED 05/13 6.25
5/15/2013
6.25
9,775,611

DUN + BRADSTREET CORP COMMON STOCK USD.01
 
 
1,904,903

DUNKIN BRANDS GROUP INC COMMON STOCK
 
 
5,819,407

E.I. DU PONT DE NEMOURS SR UNSECURED 01/20 4.625
1/15/2020
4.63
872,382

E.I. DU PONT DE NEMOURS SR UNSECURED 03/14 1.75
3/25/2014
1.75
4,037,518

E.I. DU PONT DE NEMOURS SR UNSECURED 04/16 2.75
4/1/2016
2.75
121,385

E.I. DU PONT DE NEMOURS SR UNSECURED 12/16 5.25
12/15/2016
5.25
254,124

EADS NV COMMON STOCK EUR1.
 
 
1,392,246

EAGLE BANCORP INC COMMON STOCK USD.01
 
 
1,845,887

EARTHLINK INC COMMON STOCK USD.01
 
 
1,851,210

EAST WEST BANCORP INC COMMON STOCK USD.001
 
 
3,667,311

EASTGROUP PROPERTIES INC REIT NPV
 
 
1,437,534

EASTMAN CHEMICAL CO COMMON STOCK USD.01
 
 
2,009,448

EATON CORP COMPANY GUAR 144A 11/17 1.5
11/2/2017
1.50
1,052,145

EATON CORP COMPANY GUAR 144A 11/22 2.75
11/2/2022
5.50
7,187,750

EATON CORP COMPANY GUAR 144A 11/42 4.15
11/2/2042
4.15
1,092,207

EATON CORP PLC COMMON STOCK USD.01
 
 
3,584,246

EATON CORP SR UNSECURED 06/14 VAR
6/16/2014
0.64
8,887,300

EBAY INC COMMON STOCK USD.001
 
 
36,519,759

EBAY INC SR UNSECURED 07/15 0.7
7/15/2015
0.70
8,029,944

EBAY INC SR UNSECURED 07/17 1.35
7/15/2017
2.70
460,299

EBAY INC SR UNSECURED 10/15 1.625
10/15/2015
1.63
616,091

ECOLAB INC SR UNSECURED 08/15 1.
8/9/2015
1.00
2,074,779

ECOLAB INC SR UNSECURED 12/14 2.375
12/8/2014
4.75
1,574,161

ECOLAB INC SR UNSECURED 12/16 3.
12/8/2016
3.00
765,154

ECOLAB INC SR UNSECURED 12/21 4.35
12/8/2021
8.70
1,579,396

EDP ENERGIAS DE PORTUGAL SA COMMON STOCK EUR1.
 
 
783,315

EDUCATION REALTY TRUST INC REIT USD.01
 
 
1,376,614

EDWARDS LIFESCIENCES CORP COMMON STOCK USD1.
 
 
1,065,088


51
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

EFS VOLUNTEER NO 3 LLC EFSV3 2012 1 A3 144A
4/25/2033
1.21
4,442,413

EFSF GOVT GUARANT REGS 07/21 3.375
7/5/2021
3.38
4,504,420

EHEALTH INC COMMON STOCK USD.001
 
 
714,810

EISAI CO LTD COMMON STOCK
 
 
3,592,089

EKSPORTFINANS ASA SR UNSECURED 05/16 5.5
5/25/2016
5.50
4,621,756

EKSPORTFINANS ASA SR UNSECURED 06/17 5.5
6/26/2017
5.50
1,578,641

EL PASO PIPELINE PART OP COMPANY GUAR 04/20 6.5
4/1/2020
6.50
36,580

ELAN CORP PLC SPONS ADR ADR
 
 
5,692,330

ELEKTA AB B SHS COMMON STOCK SEK.5
 
 
1,173,976

ELI LILLY + CO COMMON STOCK NPV
 
 
13,842,891

ELI LILLY + CO SR UNSECURED 03/14 4.2
3/6/2014
4.20
3,651,466

ELI LILLY + CO SR UNSECURED 03/17 5.2
3/15/2017
5.20
1,908,205

ELRINGKLINGER AG COMMON STOCK NPV
 
 
531,183

EMC CORP/MA COMMON STOCK USD.01
 
 
26,933,520

EMCOR GROUP INC COMMON STOCK USD.01
 
 
2,283,949

EMERSON ELECTRIC CO SR UNSECURED 12/14 5.
12/15/2014
5.00
173,493

EMPRESAS ICA S.A.B COMMON STOCK NPV
 
 
164,009

ENCANA CORP COMMON STOCK NPV
 
 
5,473,520

ENCANA HLDINGS FIN CORP COMPANY GUAR 05/14 5.8
5/1/2014
5.80
1,780,505

ENERGY TRANSFER PARTNERS SR UNSECURED 02/22 5.2
2/1/2022
5.20
3,422,136

ENERGYO SOLUTIONS RUSSIA AB EOS RUSSIA
 
 
72,654

ENERSYS COMMON STOCK USD.01
 
 
1,085,981

ENI SPA COMMON STOCK NPV
 
 
1,649,378

ENN ENERGY HOLDINGS LTD SR UNSECURED REGS 05/21 6.
5/13/2021
6.00
230,542

ENTERGY LOUISIANA LLC 1ST MORTGAGE 12/14 1.875
12/15/2014
3.75
3,103,973

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/14 9.75
1/31/2014
19.50
5,382,967

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/19 6.5
1/31/2019
6.50
507,548

ENTERPRISE PRODUCTS OPER COMPANY GUAR 01/20 5.25
1/31/2020
5.25
83,180

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/16 3.2
2/1/2016
3.20
3,777,477

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/41 5.95
2/1/2041
5.95
325,963

ENTERPRISE PRODUCTS OPER COMPANY GUAR 02/42 5.7
2/15/2042
5.70
529,364

ENTERPRISE PRODUCTS OPER COMPANY GUAR 06/15 3.7
6/1/2015
3.70
318,795

ENTERPRISE PRODUCTS OPER COMPANY GUAR 08/15 1.25
8/13/2015
3.75
2,590,813

ENTERPRISE PRODUCTS OPER COMPANY GUAR 10/14 5.6
10/15/2014
5.60
3,767,295

ENTERPRISE PRODUCTS OPER COMPANY GUAR 10/39 6.125
10/15/2039
6.13
96,647

EOG RESOURCES CANADA COMPANY GUAR 144A 03/14 4.75
3/15/2014
4.75
330,351

EOG RESOURCES INC COMMON STOCK USD.01
 
 
28,515,862

EPISTAR CORP COMMON STOCK TWD10.
 
 
54,444


52
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

EQT CORP COMMON STOCK NPV
 
 
2,689,488

EQUINIX INC COMMON STOCK USD.001
 
 
6,676,756

ERAC USA FINANCE LLC COMPANY GUAR 144A 04/16 1.4
4/15/2016
1.40
221,475

ERAC USA FINANCE LLC COMPANY GUAR 144A 07/13 2.75
7/1/2013
2.75
373,935

ERP OPERATING LP SR UNSECURED 04/13 5.2
4/1/2013
5.20
212,196

ERP OPERATING LP SR UNSECURED 09/14 5.25
9/15/2014
5.25
198,730

ERSTE ABWICKLUNGSANSTALT LOCAL GOVT G 03/16 3.125
3/29/2016
3.13
285,658

ERSTE GROUP BANK AG COMMON STOCK NPV
 
 
426,276

ESCO TECHNOLOGIES INC COMMON STOCK USD.01
 
 
3,056,434

ESSILOR INTERNATIONAL COMMON STOCK EUR.18
 
 
867,846

ESTEE LAUDER COMPANIES CL A COMMON STOCK USD.01
 
 
4,057,131

EULER HERMES SA COMMON STOCK EUR.32
 
 
179,962

EUROCASH SA COMMON STOCK PLN1.
 
 
278,164

EUROCOMMERCIAL PROPERTIE CV REIT EUR.5
 
 
317,177

EUROPEAN INVESTMENT BANK SR UNSECURED 01/21 3.625
1/15/2021
3.63
2,149,133

EUROPEAN INVESTMENT BANK SR UNSECURED 04/20 4.625
4/15/2020
4.63
3,240,986

EUTELSAT COMMUNICATIONS COMMON STOCK EUR1.
 
 
703,632

EXEDY CORP COMMON STOCK
 
 
259,979

EXELIXIS INC COMMON STOCK USD.001
 
 
2,139,103

EXELON CORP SR UNSECURED 06/35 5.625
6/15/2035
5.63
2,489,612

EXELON GENERATION CO LLC SR UNSECURED 10/41 5.75
10/1/2041
5.75
33,291

EXLSERVICE HOLDINGS INC COMMON STOCK USD.001
 
 
1,372,833

EXPEDITORS INTL WASH INC COMMON STOCK USD.01
 
 
954,579

EXPERIAN PLC COMMON STOCK USD.1
 
 
520,988

EXPORT IMPORT BK KOREA SR UNSECURED 01/17 4.
1/11/2017
4.00
1,615,668

EXPORT IMPORT BK KOREA SR UNSECURED 01/21 4.
1/29/2021
4.00
430,085

EXPORT IMPORT BK KOREA SR UNSECURED 04/22 5.
4/11/2022
5.00
549,463

EXPORT IMPORT BK KOREA SR UNSECURED 06/20 5.125
6/29/2020
5.13
34,473

EXPORT IMPORT BK KOREA SR UNSECURED 144A 07/13 VAR
7/26/2013
2.68
1,399,884

EXPRESS SCRIPTS HOLDING CO COMMON STOCK USD.01
 
 
6,313,140

EXPRESS SCRIPTS HOLDING COMPANY GUAR 144A 11/16 3.5
11/15/2016
7.00
6,190,465

EXXON MOBIL CORP COMMON STOCK NPV
 
 
22,235,561

F5 NETWORKS INC COMMON STOCK NPV
 
 
2,407,086

FACEBOOK INC A COMMON STOCK USD.000006
 
 
28,177,709

FACTSET RESEARCH SYSTEMS INC COMMON STOCK USD.01
 
 
1,109,204


53
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FAIRCHILD SEMICONDUCTOR INTE COMMON STOCK USD.01
 
 
4,165,920

FANNIE DISCOUNT NOTE DISCOUNT NOT 01/13 0.00000
1/3/2013
0.01
1,699,998

FANNIE DISCOUNT NOTE DISCOUNT NOT 02/13 0.00000
2/1/2013
0.01
17,199,432

FANNIE DISCOUNT NOTE DISCOUNT NOT 02/13 0.00000
2/6/2013
0.01
1,299,949

FANNIE DISCOUNT NOTE DISCOUNT NOT 02/13 0.00000
2/13/2013
0.01
6,829,679

FANNIE DISCOUNT NOTE DISCOUNT NOT 03/13 0.00000
3/13/2013
0.01
4,999,515

FANNIE DISCOUNT NOTE DISCOUNT NOT 03/13 0.00000
3/20/2013
0.01
1,678,820

FANNIE DISCOUNT NOTE DISCOUNT NOT 04/13 0.00000
4/1/2013
0.01
19,993,000

FANNIE DISCOUNT NOTE DISCOUNT NOT 08/13 0.00000
8/1/2013
0.01
5,983,827

FANNIE MAE 12/17 0.875
12/20/2017
0.88
1,192,324

FANNIE MAE FNR 1994 15 ZK
2/25/2024
5.50
1,469,550

FANNIE MAE FNR 1994 29 Z
2/25/2024
6.50
165,876

FANNIE MAE FNR 1997 89 ZA
12/20/2027
7.00
522,929

FANNIE MAE FNR 2001 81 HE
1/25/2032
6.50
1,959,297

FANNIE MAE FNR 2002 11 QC
3/25/2017
5.50
123,523

FANNIE MAE FNR 2002 86 PG
12/25/2032
6.00
424,079

FANNIE MAE FNR 2003 105 CG
8/25/2030
5.50
8,743

FANNIE MAE FNR 2003 21 OU
3/25/2033
5.50
363,606

FANNIE MAE FNR 2003 49 YD
6/25/2023
5.50
273,339

FANNIE MAE FNR 2003 89 DC
12/25/2032
5.00
734,056

FANNIE MAE FNR 2003 92 PE
9/25/2018
4.50
1,068,960

FANNIE MAE FNR 2004 2 QK
9/25/2017
4.00
81,509

FANNIE MAE FNR 2004 36 EB
3/25/2018
4.00
70,544

FANNIE MAE FNR 2004 38 FK
5/25/2034
0.56
1,116,051

FANNIE MAE FNR 2004 80 WB
11/25/2019
4.00
2,330,302

FANNIE MAE FNR 2004 81 KD
7/25/2018
4.50
614,417

FANNIE MAE FNR 2005 100 BA
4/25/2024
5.50
265,755

FANNIE MAE FNR 2005 12 JE
9/25/2033
5.00
1,768,856

FANNIE MAE FNR 2005 27 ND
3/25/2032
5.50
2,852,210

FANNIE MAE FNR 2005 64 EA
6/25/2032
5.25
1,362,131

FANNIE MAE FNR 2005 69 LE
11/25/2033
5.50
574,686

FANNIE MAE FNR 2005 70 NA
8/25/2035
5.50
161,681

FANNIE MAE FNR 2005 8 CA
10/25/2023
5.00
59,671

FANNIE MAE FNR 2005 87 PE
12/25/2033
10.00
3,512,302

FANNIE MAE FNR 2005 91 DA
10/25/2020
4.50
336,290

FANNIE MAE FNR 2006 63 QE
11/25/2032
5.50
305,297

FANNIE MAE FNR 2006 9 KZ
3/25/2036
6.00
361,540

FANNIE MAE FNR 2007 100 YF
10/25/2037
1.00
2,528,701

FANNIE MAE FNR 2007 106 A7
10/25/2037
5.95
171,539

FANNIE MAE FNR 2007 59 AQ
7/25/2035
5.75
951,894


54
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FANNIE MAE FNR 2007 73 A1
7/25/2037
0.27
1,505,053

FANNIE MAE FNR 2007 76 DB
5/25/2033
6.00
161,077

FANNIE MAE FNR 2007 95 A1
8/27/2036
0.46
1,200,603

FANNIE MAE FNR 2008 80 ME
5/25/2032
5.00
366,646

FANNIE MAE FNR 2009 29 LA
5/25/2039
3.34
2,329,153

FANNIE MAE FNR 2009 62 HJ
5/25/2039
6.00
1,778,473

FANNIE MAE FNR 2010 110 AE
11/25/2018
9.75
2,471,317

FANNIE MAE FNR 2010 111 AE
4/25/2038
5.50
1,852,397

FANNIE MAE FNR 2010 19 VA
2/25/2021
5.00
2,488,379

FANNIE MAE FNR 2010 54 FT
4/25/2037
1.00
6,359,724

FANNIE MAE FNR 2010 64 DM
6/25/2040
5.00
1,498,601

FANNIE MAE FNR 2010 64 EH
10/25/2035
5.00
644,020

FANNIE MAE FNR 2010 87 A
4/25/2037
4.50
1,464,183

FANNIE MAE FNR 2011 15 AB
8/25/2019
9.75
848,022

FANNIE MAE FNR 2011 52 GB
6/25/2041
5.00
5,616,225

FANNIE MAE FNR 2011 59 NZ
7/25/2041
5.50
3,033,181

FANNIE MAE FNR 2011 99 DB
10/25/2041
5.00
7,909,818

FANNIE MAE FNR 2012 132 US
12/25/2042
11.67
221,716

FANNIE MAE FNR 2012 17 FG
3/25/2042
1.00
10,414,327

FANNIE MAE FNR 2012 25 B
3/25/2042
6.50
5,495,484

FANNIE MAE FNR 2012 28 B
6/25/2039
6.50
1,001,227

FANNIE MAE FNR 2012 35 MA
8/25/2029
5.50
1,797,819

FANNIE MAE FNR 2012 35 MB
4/25/2042
5.50
17,470,630

FANNIE MAE FNR 2012 69 PL
1/25/2042
3.00
4,204,014

FANNIE MAE FNR 2012 76 AC
7/25/2042
6.50
9,696,448

FANNIE MAE NOTES 01/13 3.55
1/28/2013
3.55
2,881,843

FANNIE MAE NOTES 01/17 1.25
1/30/2017
1.25
5,125,830

FANNIE MAE NOTES 01/17 VAR
1/25/2017
0.50
2,505,103

FANNIE MAE NOTES 02/13 3.625
2/12/2013
3.63
9,225,556

FANNIE MAE NOTES 02/16 0.6
2/22/2016
0.60
12,790,683

FANNIE MAE NOTES 03/14 2.75
3/13/2014
2.75
10,303,840

FANNIE MAE NOTES 03/16 2.
3/8/2016
2.00
1,048,916

FANNIE MAE NOTES 03/16 2.25
3/15/2016
2.25
10,563,590

FANNIE MAE NOTES 03/16 5.
3/15/2016
5.00
760,993

FANNIE MAE NOTES 03/22 2.7
3/28/2022
2.70
10,048,470

FANNIE MAE NOTES 04/13 4.
4/8/2013
4.00
3,889,809

FANNIE MAE NOTES 04/15 5.
4/15/2015
5.00
9,955,458

FANNIE MAE NOTES 04/16 2.375
4/11/2016
2.38
5,622,275

FANNIE MAE NOTES 05/15 0.5
5/27/2015
0.50
10,036,300

FANNIE MAE NOTES 05/16 1.05
5/13/2016
1.05
40,142,506


55
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FANNIE MAE NOTES 06/17 5.375
6/12/2017
5.38
2,699,561

FANNIE MAE NOTES 07/15 0.6
7/24/2015
0.60
13,593,370

FANNIE MAE NOTES 07/15 2.375
7/28/2015
2.38
2,102,714

FANNIE MAE NOTES 08/15 0.52
8/27/2015
0.52
4,005,564

FANNIE MAE NOTES 08/17 0.875
8/28/2017
0.88
762,193

FANNIE MAE NOTES 08/18 1.25
8/22/2018
1.25
4,993,745

FANNIE MAE NOTES 09/15 0.5
9/28/2015
1.00
8,321,171

FANNIE MAE NOTES 09/16 1.25
9/28/2016
1.25
4,616,753

FANNIE MAE NOTES 10/13 1.125
10/8/2013
1.13
720,174

FANNIE MAE NOTES 10/14 0.625
10/30/2014
0.63
9,961,697

FANNIE MAE NOTES 10/15 1.625
10/26/2015
1.63
3,620,789

FANNIE MAE NOTES 10/15 4.375
10/15/2015
8.75
1,937,563

FANNIE MAE NOTES 10/17 0.875
10/26/2017
0.88
1,621,536

FANNIE MAE NOTES 11/16 1.375
11/15/2016
1.38
8,241,520

FANNIE MAE NOTES 12/13 0.75
12/18/2013
0.75
11,686,931

FANNIE MAE SUB DEBENTUR 10/19 0.00000
10/9/2019
0.02
9,054,049

FANNIE MAE SUB NOTES 01/14 5.125
1/2/2014
5.13
13,796,740

FANNIEMAE ACES FNA 2011 M2 A1
7/25/2021
2.02
931,907

FANNIEMAE ACES FNA 2012 M8 ASQ1
12/25/2019
1.17
2,706,844

FANNIEMAE ACES FNA 2012 M8 ASQ2
12/25/2019
1.52
315,244

FANNIEMAE ACES FNA 2012 M8 ASQ3
12/25/2019
1.80
348,877

FANNIEMAE STRIP FNS 404 F13
5/25/2040
1.00
1,751,042

FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1
12/25/2042
6.28
288,300

FANNIEMAE WHOLE LOAN FNW 2003 W15 1A
7/25/2043
6.50
292,299

FANNIEMAE WHOLE LOAN FNW 2004 W1 1A7
11/25/2043
5.68
532,080

FANNIEMAE WHOLE LOAN FNW 2004 W1 2A1
12/25/2043
6.50
338,966

FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2
2/25/2044
7.00
142,582

FANNIEMAE WHOLE LOAN FNW 2009 W1 A
12/25/2049
6.00
363,982

FANUC CORP COMMON STOCK
 
 
3,279,559

FARMER MAC DISCOUNT NOTE DISCOUNT NOT 01/13 0.00000
1/2/2013
0.01
1,000,000

FARMER MAC GTD TR 07 1 SECURED 144A 04/17 5.125
4/19/2017
5.13
8,470,337

FDIC STRUCTURED SALE GUARANTEE SSGN 2010 S1 1A 144A
2/25/2048
0.76
3,209,397

FED HM LN PC POOL 1B1580
3/1/2034
3.06
462,730

FED HM LN PC POOL 1B8062
3/1/2041
3.13
966,806

FED HM LN PC POOL 1G1381
12/1/2036
3.01
148,880

FED HM LN PC POOL 1G2201
9/1/2037
5.98
14,584

FED HM LN PC POOL 1G2511
5/1/2036
3.04
1,218,774

FED HM LN PC POOL 1J1467
12/1/2036
2.72
396,693

FED HM LN PC POOL 1J1492
11/1/2036
2.74
326,166


56
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL 2B0646
7/1/2042
2.05
1,812,235

FED HM LN PC POOL 360077
8/1/2019
9.00
706

FED HM LN PC POOL 410792
2/1/2030
2.40
49,365

FED HM LN PC POOL 538275
12/1/2019
9.00
1,551

FED HM LN PC POOL 540880
10/1/2019
9.00
6,056

FED HM LN PC POOL 547356
3/1/2020
9.00
225

FED HM LN PC POOL 549820
9/1/2020
9.00
3,004

FED HM LN PC POOL 555152 555152
7/1/2020
9.00
282

FED HM LN PC POOL 555248
1/1/2020
8.50
7,022

FED HM LN PC POOL 555294
10/1/2017
9.00
1,002

FED HM LN PC POOL 555330
10/1/2019
10.00
11,848

FED HM LN PC POOL 846004
12/1/2024
2.95
22,453

FED HM LN PC POOL 846313
2/1/2026
2.51
1,857

FED HM LN PC POOL 846661
2/1/2029
2.33
3,060

FED HM LN PC POOL 847153
5/1/2033
2.40
505,738

FED HM LN PC POOL A00936
1/1/2019
9.00
360

FED HM LN PC POOL A01672
9/1/2019
9.50
7,025

FED HM LN PC POOL A01770
6/1/2019
9.75
266

FED HM LN PC POOL A14551
7/1/2033
6.00
124,294

FED HM LN PC POOL A17092
12/1/2033
6.00
297,651

FED HM LN PC POOL A34551
4/1/2035
4.50
54,308

FED HM LN PC POOL A39803
11/1/2035
11.00
2,184,147

FED HM LN PC POOL A47038
9/1/2035
5.00
752,976

FED HM LN PC POOL A53630
10/1/2036
6.00
418,026

FED HM LN PC POOL A62077
6/1/2037
6.00
708,954

FED HM LN PC POOL A62378
6/1/2037
6.00
540,890

FED HM LN PC POOL A63809
8/1/2037
6.00
497,933

FED HM LN PC POOL A69654
12/1/2037
6.00
204,667

FED HM LN PC POOL A71410
1/1/2038
6.00
4,834

FED HM LN PC POOL A75218
4/1/2038
6.00
289,806

FED HM LN PC POOL A85726
4/1/2039
5.00
835,614

FED HM LN PC POOL A87307
7/1/2039
4.50
89,660

FED HM LN PC POOL A88872
10/1/2033
4.50
33,025

FED HM LN PC POOL A90222
12/1/2039
4.50
5,104,524

FED HM LN PC POOL A90826
1/1/2040
4.50
1,374,454

FED HM LN PC POOL A91235
2/1/2040
4.50
1,499,259

FED HM LN PC POOL A93318
8/1/2040
5.00
2,865,978

FED HM LN PC POOL A93625
8/1/2040
5.00
1,705,893

FED HM LN PC POOL A93652
9/1/2040
5.00
433,589

FED HM LN PC POOL A93713
9/1/2040
5.00
1,889,563


57
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL A94069
9/1/2040
5.00
1,506,689

FED HM LN PC POOL A94113
10/1/2040
5.00
1,370,410

FED HM LN PC POOL A94132
9/1/2040
5.00
80,120

FED HM LN PC POOL A94898
11/1/2040
4.50
1,026,258

FED HM LN PC POOL A95519
12/1/2040
4.50
531,278

FED HM LN PC POOL A97040
2/1/2041
4.00
839,535

FED HM LN PC POOL A97479
3/1/2041
4.50
204,272

FED HM LN PC POOL A97620
3/1/2041
4.50
6,005,071

FED HM LN PC POOL A97673
3/1/2041
4.50
79,914

FED HM LN PC POOL C00098
2/1/2022
8.00
14,592

FED HM LN PC POOL C00371
9/1/2024
7.00
2,893

FED HM LN PC POOL C00516
5/1/2027
8.00
15,116

FED HM LN PC POOL C00522
5/1/2027
7.00
21,465

FED HM LN PC POOL C00632
7/1/2028
7.00
20,939

FED HM LN PC POOL C00636
7/1/2028
22.50
43,359

FED HM LN PC POOL C00650
9/1/2028
7.00
13,116

FED HM LN PC POOL C00984
5/1/2030
8.00
4,494

FED HM LN PC POOL C00987
5/1/2030
7.50
4,998

FED HM LN PC POOL C01116
1/1/2031
7.50
112,938

FED HM LN PC POOL C03478
6/1/2040
4.50
165,956

FED HM LN PC POOL C03517
9/1/2040
4.50
1,224,517

FED HM LN PC POOL C03520
9/1/2040
4.00
7,112,620

FED HM LN PC POOL C03545
8/1/2040
5.00
2,071,766

FED HM LN PC POOL C03701
9/1/2041
4.50
1,069,888

FED HM LN PC POOL C03744
2/1/2042
4.00
58,919,263

FED HM LN PC POOL C09001
6/1/2042
4.00
366,254

FED HM LN PC POOL C10542
6/1/2028
7.00
14,195

FED HM LN PC POOL C12274
7/1/2028
6.00
921

FED HM LN PC POOL C12585
7/1/2028
7.00
1,271

FED HM LN PC POOL C14084
8/1/2028
7.00
33,989

FED HM LN PC POOL C22347
2/1/2029
6.00
45,086

FED HM LN PC POOL C26742
5/1/2029
6.00
1,570

FED HM LN PC POOL C80373
1/1/2026
7.50
1,127

FED HM LN PC POOL C80379
2/1/2026
7.00
26,687

FED HM LN PC POOL C80407
6/1/2026
7.00
3,471

FED HM LN PC POOL C90148
9/1/2016
7.50
4,364

FED HM LN PC POOL C91028
2/1/2027
5.00
92,371

FED HM LN PC POOL C91161
2/1/2028
5.00
101,479

FED HM LN PC POOL D52246
4/1/2024
7.00
2,780

FED HM LN PC POOL D64290
10/1/2025
7.00
20,628


58
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL D64990
3/1/2025
8.50
5,270

FED HM LN PC POOL D67104
1/1/2026
7.50
97,341

FED HM LN PC POOL D70703
4/1/2026
7.00
30,636

FED HM LN PC POOL D71569
5/1/2026
7.50
773

FED HM LN PC POOL D74278
8/1/2026
8.00
1,487

FED HM LN PC POOL D75342
10/1/2026
8.00
944

FED HM LN PC POOL D75558
10/1/2026
8.00
1,487

FED HM LN PC POOL D75787
11/1/2026
8.00
8,044

FED HM LN PC POOL D77162
1/1/2027
7.50
7,665

FED HM LN PC POOL D77163
1/1/2027
7.50
7,476

FED HM LN PC POOL D77260
1/1/2027
7.50
6,093

FED HM LN PC POOL D77475
1/1/2027
7.00
6,961

FED HM LN PC POOL D77487
1/1/2027
7.50
2,472

FED HM LN PC POOL D77490
1/1/2027
7.50
966

FED HM LN PC POOL D77541
1/1/2027
7.50
11,006

FED HM LN PC POOL D77609
1/1/2027
15.00
899

FED HM LN PC POOL D77687
2/1/2027
7.50
100,993

FED HM LN PC POOL D80165
5/1/2027
7.00
24,302

FED HM LN PC POOL D80177
5/1/2027
7.00
24,847

FED HM LN PC POOL D91280
4/1/2016
7.50
17,893

FED HM LN PC POOL D93618
7/1/2019
13.00
39,190

FED HM LN PC POOL D98914
1/1/2032
4.00
264,423

FED HM LN PC POOL E00532
2/1/2013
6.50
319

FED HM LN PC POOL E00548
5/1/2013
6.50
301

FED HM LN PC POOL E00592
12/1/2013
6.00
130,333

FED HM LN PC POOL E00619
1/1/2014
6.50
993

FED HM LN PC POOL E00626
2/1/2014
6.50
2,270

FED HM LN PC POOL E00634
3/1/2014
6.00
19,413

FED HM LN PC POOL E00659
4/1/2014
6.00
3,784

FED HM LN PC POOL E00956
3/1/2016
6.00
2,082

FED HM LN PC POOL E01007
8/1/2016
6.00
1,392

FED HM LN PC POOL E01095
1/1/2017
6.00
604

FED HM LN PC POOL E01495
9/1/2018
6.00
11,649

FED HM LN PC POOL E02965
9/1/2026
3.00
—

FED HM LN PC POOL E03001
11/1/2026
3.00
—

FED HM LN PC POOL E04113
11/1/2027
2.50
2,605,282

FED HM LN PC POOL E69288
3/1/2013
6.00
265

FED HM LN PC POOL E70615
6/1/2013
6.00
47

FED HM LN PC POOL E71793
8/1/2013
6.00
115

FED HM LN PC POOL E72223
9/1/2013
6.00
45


59
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL E72994
11/1/2013
6.00
849

FED HM LN PC POOL E73145
11/1/2013
6.00
369

FED HM LN PC POOL E73338
12/1/2013
6.00
7,374

FED HM LN PC POOL E73717
12/1/2013
6.00
720

FED HM LN PC POOL E73765
12/1/2013
6.00
259

FED HM LN PC POOL E73939
1/1/2014
6.00
784

FED HM LN PC POOL E75480
3/1/2014
6.00
8,269

FED HM LN PC POOL E75521
3/1/2014
12.00
23,498

FED HM LN PC POOL E75946
4/1/2014
6.00
51,238

FED HM LN PC POOL E77556
6/1/2014
6.00
8,603

FED HM LN PC POOL E77592
7/1/2014
6.00
334

FED HM LN PC POOL E83637
5/1/2016
6.00
6,807

FED HM LN PC POOL E83638
5/1/2016
6.00
776

FED HM LN PC POOL E83641
5/1/2016
6.00
1,286

FED HM LN PC POOL E83651
5/1/2016
6.00
6,300

FED HM LN PC POOL E84225
6/1/2016
6.00
34,799

FED HM LN PC POOL E84260
7/1/2016
6.00
35,707

FED HM LN PC POOL E84467
7/1/2016
6.00
396

FED HM LN PC POOL E84885
8/1/2016
6.00
2,606

FED HM LN PC POOL E85131
9/1/2016
6.00
575

FED HM LN PC POOL E85346
9/1/2016
6.00
8,417

FED HM LN PC POOL E86208
11/1/2016
6.00
3,538

FED HM LN PC POOL E87156
1/1/2017
6.00
14,571

FED HM LN PC POOL E87634
1/1/2017
6.00
76,855

FED HM LN PC POOL E87908
2/1/2017
6.00
8,738

FED HM LN PC POOL E87940
2/1/2017
6.00
958

FED HM LN PC POOL E88001
2/1/2017
6.00
467,841

FED HM LN PC POOL E88056
2/1/2017
6.00
3,481

FED HM LN PC POOL E88063
2/1/2017
6.00
12,934

FED HM LN PC POOL E88123
2/1/2017
6.00
19,434

FED HM LN PC POOL E88197
2/1/2017
6.00
998

FED HM LN PC POOL E88282
3/1/2017
6.00
23,482

FED HM LN PC POOL E88283
3/1/2017
6.00
1,011

FED HM LN PC POOL E88410
3/1/2017
6.00
1,849

FED HM LN PC POOL E88474
3/1/2017
6.00
10,145

FED HM LN PC POOL E88603
4/1/2017
6.00
7,139

FED HM LN PC POOL E88729
4/1/2017
6.00
17,048

FED HM LN PC POOL E88749
3/1/2017
6.00
8,749

FED HM LN PC POOL E88750
3/1/2017
6.00
3,886

FED HM LN PC POOL E88765
3/1/2017
6.00
4,724


60
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL E88776
3/1/2017
6.00
3,536

FED HM LN PC POOL E88791
3/1/2017
6.00
3,342

FED HM LN PC POOL E88809
4/1/2017
6.00
25,775

FED HM LN PC POOL E88884
4/1/2017
6.00
14,555

FED HM LN PC POOL E89041
4/1/2017
6.00
1,623

FED HM LN PC POOL E89080
4/1/2017
6.00
15,666

FED HM LN PC POOL E89092
4/1/2017
6.00
2,910

FED HM LN PC POOL E89102
4/1/2017
6.00
17,332

FED HM LN PC POOL E89118
4/1/2017
6.00
21,959

FED HM LN PC POOL E89149
4/1/2017
6.00
15,074

FED HM LN PC POOL E89216
4/1/2017
6.00
22,462

FED HM LN PC POOL E89294
4/1/2017
6.00
36,953

FED HM LN PC POOL E89347
4/1/2017
6.00
29,200

FED HM LN PC POOL E89369
4/1/2017
6.00
6,543

FED HM LN PC POOL E89434
5/1/2017
6.00
15,124

FED HM LN PC POOL E89435
5/1/2017
6.00
13,580

FED HM LN PC POOL E89593
5/1/2017
6.00
18,676

FED HM LN PC POOL E89601
5/1/2017
6.00
608

FED HM LN PC POOL E89645
5/1/2017
6.00
19,000

FED HM LN PC POOL E89686
5/1/2017
6.00
17,070

FED HM LN PC POOL E89687
5/1/2017
6.00
12,190

FED HM LN PC POOL E89696
5/1/2017
6.00
4,462

FED HM LN PC POOL E89704
5/1/2017
6.00
4,331

FED HM LN PC POOL E89707
5/1/2017
6.00
11,819

FED HM LN PC POOL E89746
5/1/2017
6.00
758

FED HM LN PC POOL E89777
5/1/2017
6.00
7,119

FED HM LN PC POOL E89856
5/1/2017
6.00
6,655

FED HM LN PC POOL E89883
5/1/2017
6.00
10,261

FED HM LN PC POOL E89913
5/1/2017
6.00
29,709

FED HM LN PC POOL E89969
5/1/2017
6.00
9,701

FED HM LN PC POOL E90103
5/1/2017
6.00
8,228

FED HM LN PC POOL E90135
6/1/2017
6.00
2,752

FED HM LN PC POOL E90171
6/1/2017
6.00
25,330

FED HM LN PC POOL E90237
6/1/2017
6.00
17,118

FED HM LN PC POOL E90295
6/1/2017
6.00
6,734

FED HM LN PC POOL E90313
6/1/2017
6.00
832

FED HM LN PC POOL E90315
7/1/2017
6.00
17,059

FED HM LN PC POOL E90322
6/1/2017
6.00
9,084

FED HM LN PC POOL E90348
6/1/2017
6.00
17,412

FED HM LN PC POOL E90402
7/1/2017
6.00
19,382


61
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL E90472
7/1/2017
6.00
20,049

FED HM LN PC POOL E90473
7/1/2017
6.00
30,521

FED HM LN PC POOL E90551
7/1/2017
6.00
9,769

FED HM LN PC POOL E90623
8/1/2017
6.00
663

FED HM LN PC POOL E90689
8/1/2017
6.00
824

FED HM LN PC POOL E90690
7/1/2017
6.00
768

FED HM LN PC POOL E90781
8/1/2017
6.00
16,262

FED HM LN PC POOL E90831
8/1/2017
6.00
1,163

FED HM LN PC POOL E90985
8/1/2017
6.00
281

FED HM LN PC POOL E91012
8/1/2017
6.00
27,711

FED HM LN PC POOL E91278
7/1/2017
6.00
480

FED HM LN PC POOL E91485
9/1/2017
6.00
29,663

FED HM LN PC POOL E91879
10/1/2017
6.00
3,085

FED HM LN PC POOL E93128
10/1/2017
6.00
21,488

FED HM LN PC POOL E99733
9/1/2018
6.00
42,929

FED HM LN PC POOL G00144
3/1/2021
10.00
10,988

FED HM LN PC POOL G00280
12/1/2022
9.50
3,919

FED HM LN PC POOL G00473
3/1/2026
7.50
514

FED HM LN PC POOL G00529
8/1/2026
7.50
6,539

FED HM LN PC POOL G00552
3/1/2023
8.50
24,341

FED HM LN PC POOL G00561
6/1/2025
9.50
38,513

FED HM LN PC POOL G00627
6/1/2025
8.00
27,699

FED HM LN PC POOL G00675
3/1/2027
7.50
26,394

FED HM LN PC POOL G00704
12/1/2026
7.00
26,872

FED HM LN PC POOL G00825
12/1/2027
7.00
1,763

FED HM LN PC POOL G00869
1/1/2028
7.50
39,309

FED HM LN PC POOL G01091
12/1/2029
7.00
76,878

FED HM LN PC POOL G01665
3/1/2034
5.50
2,168,966

FED HM LN PC POOL G01838
7/1/2035
5.00
7,472,099

FED HM LN PC POOL G01840
7/1/2035
5.00
5,410,882

FED HM LN PC POOL G02031
2/1/2036
5.50
915,380

FED HM LN PC POOL G02408
12/1/2036
5.50
1,491,993

FED HM LN PC POOL G02427
12/1/2036
5.50
2,391,216

FED HM LN PC POOL G03073
7/1/2037
5.50
1,324,551

FED HM LN PC POOL G03233
8/1/2037
6.00
77,702

FED HM LN PC POOL G03358
8/1/2037
5.50
37,461

FED HM LN PC POOL G03628
12/1/2037
5.50
1,489,245

FED HM LN PC POOL G03695
11/1/2037
5.50
901,013

FED HM LN PC POOL G03812
2/1/2038
5.50
1,149,880

FED HM LN PC POOL G03819
1/1/2038
6.00
283,635


62
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL G04448
7/1/2038
5.50
491,947

FED HM LN PC POOL G04585
2/1/2038
5.50
868,097

FED HM LN PC POOL G04588
8/1/2038
5.50
490,504

FED HM LN PC POOL G04636
12/1/2035
5.00
163,203

FED HM LN PC POOL G04688
9/1/2038
5.50
436,777

FED HM LN PC POOL G04913
3/1/2038
5.00
8,423,226

FED HM LN PC POOL G05132
12/1/2038
5.00
2,850,323

FED HM LN PC POOL G05179
1/1/2039
5.50
463,701

FED HM LN PC POOL G05205
1/1/2039
5.00
2,193,901

FED HM LN PC POOL G05527
7/1/2039
4.00
205,689

FED HM LN PC POOL G05645
10/1/2039
4.50
62,069

FED HM LN PC POOL G05676
11/1/2039
4.00
2,792,571

FED HM LN PC POOL G05726
8/1/2039
5.00
1,142,993

FED HM LN PC POOL G05741
12/1/2039
4.50
2,076,367

FED HM LN PC POOL G05927
7/1/2040
4.50
3,176,328

FED HM LN PC POOL G06021
1/1/2040
5.50
1,314,879

FED HM LN PC POOL G06087
9/1/2040
5.00
281,701

FED HM LN PC POOL G06172
12/1/2038
5.50
3,164,491

FED HM LN PC POOL G06385
8/1/2040
5.50
2,850,333

FED HM LN PC POOL G06506
12/1/2040
4.00
5,472,798

FED HM LN PC POOL G06507
2/1/2041
4.00
882,836

FED HM LN PC POOL G06601
12/1/2040
4.50
5,672,987

FED HM LN PC POOL G06669
9/1/2039
6.50
1,072,064

FED HM LN PC POOL G06817
5/1/2040
5.50
14,433,098

FED HM LN PC POOL G06875
12/1/2038
5.50
7,862,882

FED HM LN PC POOL G07129
9/1/2042
3.50
2,124,427

FED HM LN PC POOL G08273
6/1/2038
5.50
247,073

FED HM LN PC POOL G08368
10/1/2039
9.00
5,937,376

FED HM LN PC POOL G08372
11/1/2039
4.50
1,990,847

FED HM LN PC POOL G08464
10/1/2041
4.50
44,797

FED HM LN PC POOL G08492
5/1/2042
4.00
2,565,730

FED HM LN PC POOL G10834
9/1/2013
6.00
5,970

FED HM LN PC POOL G10907
5/1/2014
6.00
418

FED HM LN PC POOL G11300
8/1/2017
6.00
1,510

FED HM LN PC POOL G11410
7/1/2018
4.00
3,490,580

FED HM LN PC POOL G11557 G1 1557
3/1/2019
6.00
2,639

FED HM LN PC POOL G11634
11/1/2019
5.50
26,624

FED HM LN PC POOL G11652
1/1/2020
6.00
939,048

FED HM LN PC POOL G12467
11/1/2021
6.00
1,006,404

FED HM LN PC POOL G12978
12/1/2022
5.50
1,067,104


63
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HM LN PC POOL G13300
5/1/2023
4.50
356,140

FED HM LN PC POOL G13492
2/1/2024
5.00
807,070

FED HM LN PC POOL G13868
7/1/2025
4.50
1,557,015

FED HM LN PC POOL G14171
10/1/2024
6.00
1,031,009

FED HM LN PC POOL G14239
9/1/2026
4.00
652,749

FED HM LN PC POOL G14492
10/1/2025
4.00
2,007,459

FED HM LN PC POOL G18401
9/1/2026
3.50
547,047

FED HM LN PC POOL G18406
10/1/2026
3.00
—

FED HM LN PC POOL G20028 10/39 FIXED 7.5
12/1/2036
7.50
3,050,561

FED HM LN PC POOL G30591
2/1/2028
6.00
328,153

FED HM LN PC POOL J09212
1/1/2024
5.00
389,381

FED HM LN PC POOL J11089
4/1/2019
4.00
233,954

FED HM LN PC POOL J12398
6/1/2025
4.50
1,397,469

FED HM LN PC POOL J12439
6/1/2025
9.00
2,497,951

FED HM LN PC POOL J15658
6/1/2026
4.00
1,310,523

FED HM LN PC POOL J15719
6/1/2026
4.00
2,663,257

FED HM LN PC POOL J16059
7/1/2026
4.00
437,097

FED HM LN PC POOL Q04674
12/1/2041
4.00
191,152

FED HM LN PC POOL Q08313
5/1/2042
4.00
2,027,003

FED HM LN PC POOL Q08656
6/1/2042
4.00
1,053,009

FED HM LN PC POOL Q10241
8/1/2042
3.50
1,065,432

FED HM LN PC POOL Q10325
8/1/2042
3.50
9,276,493

FED HM LN PC POOL Q10448
8/1/2042
3.50
1,066,814

FED HM LN PC POOL Q11288
9/1/2042
3.50
1,063,767

FED HM LN PC POOL Q12520
10/1/2042
3.00
2,086,307

FED HM LN PC POOL Q13216
11/1/2042
3.50
3,087,466

FED HM LN PC POOL U61703
10/1/2042
3.50
3,476,588

FED HM LN PC POOL U61729
11/1/2042
3.50
5,543,093

FED HM LN PC POOL U61745
11/1/2042
3.50
1,086,975

FED HM LN PC POOL U90155
9/1/2042
4.00
4,752,642

FED HM LN PC POOL U90316
10/1/2042
4.00
4,538,211

FED HM LN PC POOL U90690
6/1/2042
3.50
426,996

FED HOME LN DISCOUNT NT DISCOUNT NOT 01/13 0.00000
1/4/2013
0.01
2,529,997

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/1/2013
0.01
7,449,754

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/6/2013
0.01
4,108,840

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/8/2013
0.01
1,399,943

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/15/2013
0.01
2,699,868

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/20/2013
0.01
2,464,867

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/22/2013
0.01
6,399,635

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/27/2013
0.01
16,998,946


64
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FED HOME LN DISCOUNT NT DISCOUNT NOT 02/13 0.00000
2/28/2013
0.01
2,378,850

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/13 0.00000
3/4/2013
0.01
13,898,819

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/13 0.00000
3/6/2013
0.01
8,099,287

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/13 0.00000
3/13/2013
0.01
3,689,642

FED HOME LN DISCOUNT NT DISCOUNT NOT 03/13 0.00000
3/22/2013
0.01
14,993,856

FED HOME LN DISCOUNT NT DISCOUNT NOT 04/13 0.00000
4/17/2013
0.01
8,595,822

FED HOME LN DISCOUNT NT DISCOUNT NOT 05/13 0.00000
5/22/2013
0.01
35,068,010

FED NAT MTG
5/15/2031
6.50
1,277,003

FED REPUBLIC OF BRAZIL SR UNSECURED 01/41 5.625
1/7/2041
5.63
131,000

FEDERAL HOME LN MTG CORP MLTCL PREASSIGN 00449SER 2113 CL MW
1/15/2029
6.50
522,709

FEDERAL HOME LN MTG PC GTD SER 1510 CL 1510 G
5/15/2013
7.05
9,870

FEDERAL HOME LOAN BANK BONDS 01/14 0.375
1/29/2014
0.38
10,019,750

FEDERAL HOME LOAN BANK BONDS 02/13 2.625
2/26/2013
2.63
1,003,740

FEDERAL HOME LOAN BANK BONDS 03/16 3.125
3/11/2016
3.13
1,447,929

FEDERAL HOME LOAN BANK BONDS 05/14 1.375
5/28/2014
4.13
20,967,496

FEDERAL HOME LOAN BANK BONDS 06/13 4.25
6/14/2013
4.25
1,028,701

FEDERAL HOME LOAN BANK BONDS 06/13 5.375
6/14/2013
5.38
1,023,575

FEDERAL HOME LOAN BANK BONDS 06/14 5.375
6/13/2014
5.38
7,752,800

FEDERAL HOME LOAN BANK BONDS 06/14 6.625
6/30/2014
6.63
1,465,026

FEDERAL HOME LOAN BANK BONDS 07/36 5.5
7/15/2036
5.50
13,786,799

FEDERAL HOME LOAN BANK BONDS 09/13 2.625
9/13/2013
2.63
6,102,162

FEDERAL HOME LOAN BANK BONDS 11/13 0.375
11/27/2013
0.38
8,044,117

FEDERAL HOME LOAN BANK BONDS 11/17 5.
11/17/2017
5.00
1,510,548

FEDERAL HOME LOAN BANK BONDS 12/13 3.125
12/13/2013
3.13
12,848,238

FEDERAL HOME LOAN BANK BONDS 12/15 5.
12/21/2015
10.00
90,834

FEDERAL HOME LOAN BK IL SUB NOTES 06/16 5.625
6/13/2016
5.63
1,901,285

FEDERAL NATL MTG ASSN
12/1/2099
7.00
—

FEDERAL NATL MTG ASSN DISC NTS DISC NTS
2/27/2013
0.01
7,799,516

FEDERAL NATL MTG ASSN REMIC SER 1994043 CL PK
2/25/2024
6.35
1,347,621

FEDERAL NATL MTG ASSN SER 1999 6 CL PB
3/25/2019
6.00
426,596

FEDERAL NATL MTG ASSN SER 2005 44 CL PE
7/25/2033
5.00
2,366,348

FEDERAL NATL MTG ASSN SERIES 2004 58 CLASS MA
9/25/2032
4.50
42,356

FHLMC STRUCTURED PASS THROUGH FSPC T 21 A
10/25/2029
0.57
417,111

FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1
7/25/2044
1.55
1,699,943

FHR 2450 PG 03/22 FIXED 6
3/15/2022
6.00
1,563,116

FIDELITY NATIONAL INFORMATIO COMMON STOCK USD.01
 
 
1,649,820

FIDESSA GROUP PLC COMMON STOCK GBP.1
 
 
152,381

FIFTH THIRD BANCORP SR UNSECURED 01/16 3.625
1/25/2016
7.25
4,813,255

FINISAR CORPORATION COMMON STOCK USD.001
 
 
1,024,797


65
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FINMECCANICA SPA COMMON STOCK EUR4.4
 
 
210,573

FIRST HORIZON NATIONAL CORP COMMON STOCK USD.625
 
 
1,518,559

FIRSTENERGY CORP SR UNSECURED 11/31 7.375
11/15/2031
7.38
5,902,543

FISERV INC COMMON STOCK USD.01
 
 
7,571,074

FISERV INC COMPANY GUAR 06/16 3.125
6/15/2016
3.13
577,760

FLEETCOR TECHNOLOGIES INC COMMON STOCK USD.001
 
 
6,091,904

FLEXIUM INTERCONNECT INC COMMON STOCK TWD10.
 
 
142,766

FLIR SYSTEMS INC COMMON STOCK USD.01
 
 
420,343

FLORIDA POWER + LIGHT 12/42 3.8
12/15/2042
3.80
80,228

FLORIDA ST TURNPIKE AUTH FLSTRN 07/39 FIXED OID 6.8
7/1/2039
6.80
2,720,394

FLUGHAFEN ZUERICH AG REG COMMON STOCK CHF50.
 
 
314,517

FLUOR CORP COMMON STOCK USD.01
 
 
639,679

FMS WERTMANAGEMENT GOVT GUARANT 11/17 1.
11/21/2017
1.00
5,759,503

FMS WERTMANAGEMENT GOVT GUARANT REGS 02/17 1.625
2/22/2017
1.63
274,841

FMS WERTMANAGEMENT GOVT GUARANT REGS 05/19 1.875
5/9/2019
1.88
276,478

FNDUS 2.191 1/23 01/23 1
1/1/2023
1.00
449,867

FNMA POOL 100168
1/1/2021
9.50
10,256

FNMA POOL 555743
9/1/2033
5.00
924,354

FNMA POOL 027489
6/1/2016
9.50
2,810

FNMA POOL 050305
5/1/2020
9.50
4,304

FNMA POOL 050402
2/1/2021
9.00
545

FNMA POOL 050415
3/1/2021
9.00
1,025

FNMA POOL 050795
9/1/2023
7.00
4,173

FNMA POOL 050947
12/1/2023
7.00
47,718

FNMA POOL 050966
1/1/2024
7.00
17,896

FNMA POOL 050993
2/1/2024
7.00
14,639

FNMA POOL 060680
2/1/2028
4.43
80,085

FNMA POOL 070110
10/1/2016
10.00
1,763

FNMA POOL 108489
11/1/2020
9.00
16,634

FNMA POOL 113977
2/1/2021
9.00
6,765

FNMA POOL 190353
8/1/2034
5.00
38,671

FNMA POOL 190357
3/1/2035
5.00
30,059

FNMA POOL 190360
8/1/2035
5.00
24,963

FNMA POOL 190377
11/1/2036
5.00
29,965

FNMA POOL 190533
1/1/2024
7.00
7,610

FNMA POOL 242136
10/1/2023
7.00
620

FNMA POOL 245442
11/1/2023
7.00
5,286

FNMA POOL 251572
3/1/2013
7.00
42


66
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 252210
2/1/2019
13.00
94,010

FNMA POOL 252869
11/1/2014
6.50
55,187

FNMA POOL 253153
2/1/2020
7.00
43,707

FNMA POOL 253799
5/1/2016
6.50
72,405

FNMA POOL 253947
8/1/2031
8.00
65,685

FNMA POOL 254223
2/1/2032
7.50
874

FNMA POOL 254793
7/1/2033
5.00
796,398

FNMA POOL 254817
6/1/2013
4.00
2,495

FNMA POOL 254957
10/1/2013
4.00
9,816

FNMA POOL 254976
10/1/2013
3.50
4,868

FNMA POOL 255174
3/1/2014
4.00
4,510

FNMA POOL 255235
5/1/2014
4.00
32,480

FNMA POOL 255750
5/1/2015
4.00
17,233

FNMA POOL 256901
9/1/2037
6.50
90,190

FNMA POOL 256937
10/1/2037
6.50
179,415

FNMA POOL 257239
6/1/2028
5.50
633,318

FNMA POOL 262211
12/1/2023
7.00
827

FNMA POOL 266624
1/1/2024
7.00
755

FNMA POOL 267989
2/1/2024
7.00
6,729

FNMA POOL 269212
1/1/2024
7.00
275

FNMA POOL 274621
3/1/2024
7.00
1,836

FNMA POOL 303675
10/1/2017
10.00
28,888

FNMA POOL 310096
8/1/2026
3.50
1,873,817

FNMA POOL 312206
6/1/2025
2.22
55,146

FNMA POOL 313499
10/1/2018
10.00
28,969

FNMA POOL 313947
1/1/2028
7.00
4,883

FNMA POOL 330089
4/1/2025
8.00
64,785

FNMA POOL 330126
8/1/2025
2.30
80,530

FNMA POOL 331427
11/1/2025
2.19
36,067

FNMA POOL 347547
8/1/2026
2.25
537

FNMA POOL 347633
7/1/2026
2.25
25,387

FNMA POOL 362968
1/1/2026
2.44
69,074

FNMA POOL 366826
1/1/2027
7.00
11,738

FNMA POOL 367801
5/1/2024
9.00
3,639

FNMA POOL 369996
1/1/2027
7.50
4,111

FNMA POOL 371049
2/1/2027
7.50
16,378

FNMA POOL 371073
2/1/2027
7.50
8,472

FNMA POOL 371871
2/1/2027
7.50
10,278

FNMA POOL 377038
4/1/2027
7.50
14,003

FNMA POOL 390986
8/1/2027
2.25
262,671


67
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 392250
1/1/2013
7.00
157

FNMA POOL 396434
11/1/2027
7.50
602

FNMA POOL 396439
11/1/2027
7.50
9,589

FNMA POOL 397256
10/1/2027
7.50
895

FNMA POOL 397781
10/1/2027
7.50
7,808

FNMA POOL 398203
1/1/2013
7.00
102

FNMA POOL 398754
9/1/2027
7.50
7,015

FNMA POOL 400044
10/1/2027
7.50
6,899

FNMA POOL 401788
10/1/2027
7.50
3,690

FNMA POOL 471834
7/1/2017
1.40
347,464

FNMA POOL 479545
8/1/2029
7.00
6,153

FNMA POOL 487594
3/1/2014
12.00
22,642

FNMA POOL 489144
7/1/2014
12.00
3,661

FNMA POOL 492745
5/1/2029
7.00
23,004

FNMA POOL 503573
10/1/2029
7.00
3,745

FNMA POOL 507521
8/1/2029
7.00
16,465

FNMA POOL 509418
9/1/2029
7.00
2,956

FNMA POOL 509436
10/1/2029
7.00
16,265

FNMA POOL 509662
8/1/2029
7.00
3,775

FNMA POOL 511103
8/1/2029
7.00
22,704

FNMA POOL 511384
9/1/2029
7.00
4,436

FNMA POOL 514267
9/1/2029
7.00
3,619

FNMA POOL 515518
10/1/2029
7.00
5,093

FNMA POOL 517511
10/1/2029
7.00
28,120

FNMA POOL 518108
9/1/2029
7.00
11,087

FNMA POOL 522760
11/1/2029
7.00
14,326

FNMA POOL 523486
8/1/2030
8.00
1,243

FNMA POOL 529428
3/1/2030
8.00
4,108

FNMA POOL 533757
6/1/2030
8.00
16,632

FNMA POOL 534194
4/1/2030
8.00
5,902

FNMA POOL 534659
5/1/2015
7.00
16,041

FNMA POOL 545204
5/1/2036
3.25
165,086

FNMA POOL 545278
11/1/2031
15.00
187,102

FNMA POOL 546263
7/1/2030
8.00
248

FNMA POOL 554482
10/1/2030
7.50
199,330

FNMA POOL 555531
6/1/2033
5.50
2,444,945

FNMA POOL 569915
2/1/2016
7.00
88,138

FNMA POOL 569972
3/1/2031
7.50
80,508

FNMA POOL 569973
2/1/2031
8.00
37,829

FNMA POOL 572675
4/1/2031
7.50
124,639


68
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 589396
7/1/2016
12.00
228,442

FNMA POOL 593848
7/1/2031
8.00
24,695

FNMA POOL 602065
9/1/2031
7.00
211,918

FNMA POOL 604576
9/1/2021
13.00
30,447

FNMA POOL 609504
10/1/2031
7.00
314,460

FNMA POOL 621101
1/1/2017
12.00
257,604

FNMA POOL 641089
5/1/2032
7.00
293,721

FNMA POOL 649952
6/1/2032
6.50
75,788

FNMA POOL 676654
1/1/2033
5.50
438,253

FNMA POOL 709562
5/1/2018
4.50
182,917

FNMA POOL 725162
2/1/2034
6.00
175,333

FNMA POOL 725425
4/1/2034
5.50
12,224,178

FNMA POOL 725946
11/1/2034
11.00
2,949,823

FNMA POOL 735061
11/1/2034
6.00
5,785,383

FNMA POOL 735141
1/1/2035
5.50
4,535,476

FNMA POOL 735208
10/1/2019
6.00
544,416

FNMA POOL 735224
2/1/2035
5.50
3,729,353

FNMA POOL 735288
3/1/2035
5.00
10,271,770

FNMA POOL 735382
4/1/2035
5.00
3,890,060

FNMA POOL 735439
9/1/2019
6.00
614,169

FNMA POOL 735500
5/1/2035
5.50
5,313,624

FNMA POOL 735501
5/1/2035
6.00
1,078,255

FNMA POOL 735503
4/1/2035
6.00
1,321,491

FNMA POOL 735561
4/1/2034
2.58
203,288

FNMA POOL 735580
6/1/2035
5.00
1,849,701

FNMA POOL 735676
7/1/2035
10.00
18,416,270

FNMA POOL 735809
8/1/2035
5.67
3,243,076

FNMA POOL 735893
10/1/2035
5.00
566,965

FNMA POOL 735989
2/1/2035
5.50
8,044,142

FNMA POOL 745000
10/1/2035
6.00
217,157

FNMA POOL 745140
11/1/2035
5.00
6,687,007

FNMA POOL 745327
3/1/2036
6.00
784,594

FNMA POOL 745412
12/1/2035
5.50
3,956,834

FNMA POOL 745619
5/1/2036
11.15
3,676,574

FNMA POOL 745830
4/1/2036
5.50
1,707,295

FNMA POOL 745885
10/1/2036
6.00
3,649,626

FNMA POOL 745948
10/1/2036
6.50
375,395

FNMA POOL 745959
11/1/2036
5.50
2,340,533

FNMA POOL 758777
4/1/2028
6.50
1,185

FNMA POOL 761037
1/1/2019
4.50
5,646


69
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 779427
6/1/2034
5.50
1,019,664

FNMA POOL 811569
6/1/2021
6.00
98,605

FNMA POOL 813599
1/1/2036
2.31
374,177

FNMA POOL 825480
6/1/2035
2.33
677,724

FNMA POOL 827223
4/1/2035
5.18
5,289,065

FNMA POOL 827601
8/1/2019
5.50
527,662

FNMA POOL 831561
5/1/2036
6.50
241,037

FNMA POOL 833600
11/1/2035
6.50
39,554

FNMA POOL 836464
10/1/2035
4.29
2,101,294

FNMA POOL 836852
10/1/2035
4.16
1,529,749

FNMA POOL 843823
11/1/2035
4.23
1,019,114

FNMA POOL 843997
11/1/2035
4.24
488,906

FNMA POOL 844052
11/1/2035
4.26
512,032

FNMA POOL 844148
11/1/2035
4.25
405,145

FNMA POOL 844237
11/1/2035
4.34
339,887

FNMA POOL 844789
11/1/2035
4.22
413,145

FNMA POOL 866888
1/1/2036
2.57
500,994

FNMA POOL 872021
6/1/2021
6.00
128,785

FNMA POOL 872502
6/1/2036
5.55
4,331,282

FNMA POOL 879067
4/1/2036
2.73
2,129,942

FNMA POOL 879394
2/1/2021
5.00
95,354

FNMA POOL 880870
3/1/2036
6.50
52,322

FNMA POOL 884729
8/1/2036
2.77
390,949

FNMA POOL 884773
10/1/2036
2.72
544,109

FNMA POOL 888365
4/1/2022
6.00
190,023

FNMA POOL 888366
4/1/2037
7.00
1,021,446

FNMA POOL 888560
11/1/2035
6.00
2,379,760

FNMA POOL 888601
6/1/2020
5.50
858,928

FNMA POOL 888637
9/1/2037
6.00
575,227

FNMA POOL 888832
11/1/2037
6.50
150,295

FNMA POOL 888876
5/1/2033
5.50
6,418,931

FNMA POOL 888890
10/1/2037
6.50
1,107,188

FNMA POOL 888893
8/1/2037
5.50
226,092

FNMA POOL 889072
12/1/2037
6.50
1,237,747

FNMA POOL 889117
10/1/2035
5.00
2,523,069

FNMA POOL 889190
3/1/2038
6.00
432,954

FNMA POOL 889466
5/1/2038
6.00
2,025,939

FNMA POOL 889529
3/1/2038
6.00
699,229

FNMA POOL 889579
5/1/2038
6.00
2,098,697

FNMA POOL 890116
2/1/2023
7.00
2,067,812


70
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 890119
4/1/2024
4.50
1,297,173

FNMA POOL 890236
8/1/2040
4.50
409,562

FNMA POOL 890248
8/1/2037
6.00
5,035,048

FNMA POOL 890268
10/1/2038
6.50
1,805,176

FNMA POOL 891654
6/1/2036
6.50
905,578

FNMA POOL 898736
5/1/2036
11.39
1,348,009

FNMA POOL 902425
11/1/2036
2.85
130,593

FNMA POOL 903261
10/1/2036
12.00
508,681

FNMA POOL 906666
12/1/2036
6.50
34,684

FNMA POOL 908172
1/1/2037
6.50
44,480

FNMA POOL 913984
2/1/2037
4.38
1,044,072

FNMA POOL 914875
4/1/2037
6.50
490,793

FNMA POOL 917162
6/1/2022
4.50
81,209

FNMA POOL 918653
6/1/2037
12.00
542,103

FNMA POOL 924874
10/1/2037
7.00
320,192

FNMA POOL 928746
9/1/2037
6.50
43,432

FNMA POOL 928938
12/1/2037
7.00
170,143

FNMA POOL 929298
3/1/2038
10.00
908,519

FNMA POOL 929397
5/1/2023
4.50
2,345,045

FNMA POOL 930719
3/1/2019
4.50
72,824

FNMA POOL 931307
6/1/2039
4.50
1,284,645

FNMA POOL 931991
9/1/2039
4.50
2,041,746

FNMA POOL 932058
10/1/2039
4.50
1,383,001

FNMA POOL 932426
1/1/2040
4.50
3,626,495

FNMA POOL 932495
2/1/2040
4.50
424,506

FNMA POOL 932561
2/1/2025
4.50
501,606

FNMA POOL 932669
3/1/2040
4.50
38,751

FNMA POOL 932850
12/1/2040
4.00
929,628

FNMA POOL 933409
3/1/2038
10.00
952,343

FNMA POOL 933638
8/1/2038
10.19
2,781,048

FNMA POOL 934202
11/1/2038
7.00
190,227

FNMA POOL 934648
11/1/2038
7.00
1,445,583

FNMA POOL 942798
8/1/2037
6.50
558,517

FNMA POOL 943699
8/1/2037
6.50
515,452

FNMA POOL 946065
9/1/2037
6.50
82,285

FNMA POOL 948849
8/1/2037
12.00
2,374,511

FNMA POOL 949563
11/1/2037
7.00
66,612

FNMA POOL 955183
11/1/2037
7.00
243,521

FNMA POOL 955762
10/1/2037
6.50
4,317

FNMA POOL 962005
3/1/2023
4.50
442,792


71
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 962062
3/1/2038
10.00
1,083,672

FNMA POOL 962366
4/1/2023
4.50
478,621

FNMA POOL 962444
4/1/2038
10.00
558,631

FNMA POOL 962638
4/1/2023
4.50
55,799

FNMA POOL 963128
5/1/2023
4.50
345,719

FNMA POOL 963146
5/1/2023
4.50
58,453

FNMA POOL 963281
5/1/2023
4.50
379,667

FNMA POOL 965586
2/1/2023
4.50
15,072

FNMA POOL 966683
3/1/2023
4.50
151,055

FNMA POOL 968252
2/1/2038
7.00
195,952

FNMA POOL 969091
4/1/2023
4.50
365,812

FNMA POOL 971053
2/1/2039
4.50
271,183

FNMA POOL 972242
3/1/2038
6.50
2,910

FNMA POOL 972571
3/1/2038
10.00
1,174,028

FNMA POOL 972572
3/1/2038
10.00
580,881

FNMA POOL 973161
2/1/2038
6.50
440,288

FNMA POOL 974156
2/1/2038
7.00
192,361

FNMA POOL 974633
3/1/2023
4.50
290,804

FNMA POOL 975184
3/1/2038
10.00
327,149

FNMA POOL 975185
3/1/2038
10.00
252,005

FNMA POOL 975259
4/1/2023
4.50
1,221,455

FNMA POOL 975441
3/1/2038
10.00
386,744

FNMA POOL 975453
3/1/2038
10.00
155,439

FNMA POOL 975454
3/1/2038
10.00
147,295

FNMA POOL 979973
9/1/2036
5.00
81,953

FNMA POOL 981273
4/1/2023
4.50
1,078,281

FNMA POOL 981276
4/1/2023
4.50
277,968

FNMA POOL 982047
5/1/2038
5.50
405,979

FNMA POOL 982305
5/1/2023
4.50
288,012

FNMA POOL 984253
5/1/2023
4.50
899,798

FNMA POOL 984632
6/1/2038
9.72
4,440,475

FNMA POOL 985626
4/1/2033
6.00
1,062,295

FNMA POOL 985867
8/1/2038
7.00
292,112

FNMA POOL 987325
9/1/2038
11.14
2,099,981

FNMA POOL 987560
8/1/2038
6.50
25,880

FNMA POOL 987891
9/1/2038
7.00
12,052

FNMA POOL 991549
11/1/2038
7.00
170,209

FNMA POOL 992249
11/1/2038
7.00
95,592

FNMA POOL 992262
1/1/2039
5.00
105,811

FNMA POOL 995072
8/1/2038
5.50
1,875,404


72
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL 995113
9/1/2036
5.50
8,624,292

FNMA POOL 995149
10/1/2038
6.50
1,137,530

FNMA POOL 995203
7/1/2035
5.00
8,336,296

FNMA POOL 995381
1/1/2024
6.00
549,971

FNMA POOL 995527
9/1/2023
4.50
292,890

FNMA POOL 995899
2/1/2038
6.00
958,208

FNMA POOL AA0472
3/1/2039
4.00
634,137

FNMA POOL AA2700
1/1/2039
5.00
65,703

FNMA POOL AA4598
4/1/2024
4.50
38,244

FNMA POOL AA4749
12/1/2025
3.50
9,133,050

FNMA POOL AA4777
12/1/2025
3.50
35,883

FNMA POOL AB1228
7/1/2040
5.00
145,331

FNMA POOL AB2059
1/1/2026
3.50
370,197

FNMA POOL AB2189
2/1/2041
4.50
4,336,887

FNMA POOL AB2639
5/1/2041
4.50
5,374,912

FNMA POOL AB2801
4/1/2026
3.50
2,211,698

FNMA POOL AB3008
5/1/2026
3.50
87,395

FNMA POOL AB3171
6/1/2026
3.50
219,835

FNMA POOL AB3517
9/1/2041
4.50
730,744

FNMA POOL AB3701
10/1/2041
4.50
4,381,242

FNMA POOL AB3745
10/1/2041
4.00
5,703,336

FNMA POOL AB3949
11/1/2041
4.50
729,031

FNMA POOL AB4074
12/1/2031
3.50
—

FNMA POOL AB4689
3/1/2042
3.50
2,024,595

FNMA POOL AB5232
5/1/2027
2.50
5,132,092

FNMA POOL AB5236
5/1/2027
3.00
1,389,904

FNMA POOL AB5423
6/1/2042
3.50
1,019,856

FNMA POOL AB5425
6/1/2042
3.50
846,275

FNMA POOL AB5593
7/1/2042
3.50
1,066,318

FNMA POOL AB5711
7/1/2027
2.50
7,382,038

FNMA POOL AB6229
9/1/2042
3.50
4,212,576

FNMA POOL AB6238
9/1/2042
3.50
1,057,951

FNMA POOL AB6284
9/1/2027
2.50
15,587,142

FNMA POOL AB6286
9/1/2027
2.50
3,789,688

FNMA POOL AB6340
10/1/2027
2.50
19,054,285

FNMA POOL AB6782
11/1/2027
2.50
36,463,563

FNMA POOL AB6832
11/1/2042
3.50
3,173,569

FNMA POOL AB6861
11/1/2032
3.00
2,937,550

FNMA POOL AB6956
11/1/2032
3.00
2,727,481

FNMA POOL AB7130
12/1/2042
3.50
4,881,320


73
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL AB7136
12/1/2032
3.00
1,784,133

FNMA POOL AB7343
12/1/2032
3.00
2,098,961

FNMA POOL AB7347
12/1/2032
3.00
1,049,489

FNMA POOL AB7426
12/1/2042
3.00
1,580,275

FNMA POOL AB7443
12/1/2032
3.00
2,526,114

FNMA POOL AC0728
8/1/2039
5.00
61,125

FNMA POOL AC1578
8/1/2039
4.00
1,420,081

FNMA POOL AC1889
9/1/2039
4.00
867,009

FNMA POOL AC2953
9/1/2039
4.50
628,009

FNMA POOL AD0217
8/1/2037
6.00
330,676

FNMA POOL AD0249
4/1/2037
5.50
2,264,683

FNMA POOL AD0296
12/1/2036
2.64
621,505

FNMA POOL AD0329
10/1/2029
6.50
322,081

FNMA POOL AD0402
2/1/2023
5.00
2,649,914

FNMA POOL AD0452
4/1/2021
6.00
2,474,961

FNMA POOL AD0471
1/1/2024
5.50
1,372,554

FNMA POOL AD0860
4/1/2025
4.50
2,703,095

FNMA POOL AD1612
2/1/2025
4.50
4,022,512

FNMA POOL AD4178
6/1/2040
4.50
1,921,619

FNMA POOL AD5108
12/1/2025
3.50
37,679

FNMA POOL AD6510
5/1/2040
5.00
85,842

FNMA POOL AD6967
6/1/2025
4.50
39,486

FNMA POOL AD9143
8/1/2040
4.50
193,422

FNMA POOL AD9153
8/1/2040
4.50
619,582

FNMA POOL AD9687
8/1/2040
4.00
—

FNMA POOL AD9713
8/1/2040
5.00
603,881

FNMA POOL AE0028
10/1/2039
6.00
3,427,253

FNMA POOL AE0081
7/1/2024
6.00
925,269

FNMA POOL AE0113
7/1/2040
4.00
1,447,557

FNMA POOL AE0676
1/1/2026
3.50
801,365

FNMA POOL AE0758
2/1/2039
7.00
4,932,635

FNMA POOL AE0949
2/1/2041
4.00
6,820,731

FNMA POOL AE0967
6/1/2039
3.50
2,125,658

FNMA POOL AE1807
10/1/2040
4.00
42,870

FNMA POOL AE1840
8/1/2040
5.00
169,708

FNMA POOL AE1862
8/1/2040
5.00
1,238,228

FNMA POOL AE2123
1/1/2026
3.50
162,995

FNMA POOL AE2542
9/1/2040
3.50
—

FNMA POOL AE3505
1/1/2026
3.50
694,457

FNMA POOL AE3727
12/1/2040
3.50
—


74
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL AE4003
11/1/2025
3.50
210,684

FNMA POOL AE4456
2/1/2041
4.00
262,562

FNMA POOL AE4664
10/1/2040
4.00
384,926

FNMA POOL AE5287
3/1/2024
3.50
45,652

FNMA POOL AE5916
10/1/2025
4.50
154,274

FNMA POOL AE6090
10/1/2040
4.00
868,417

FNMA POOL AE6121
10/1/2040
4.00
4,236,280

FNMA POOL AE6191
11/1/2040
4.00
162,186

FNMA POOL AE7202
11/1/2025
3.50
795,917

FNMA POOL AE7283
10/1/2040
4.00
41,990

FNMA POOL AE7314
11/1/2040
4.00
7,909

FNMA POOL AE7522
11/1/2025
3.50
174,401

FNMA POOL AE7758
11/1/2025
3.50
8,282,631

FNMA POOL AE8158
8/1/2024
4.50
61,223

FNMA POOL AE8446
11/1/2040
4.00
14,783

FNMA POOL AE8886
12/1/2025
3.50
275,335

FNMA POOL AE9234
12/1/2025
3.50
55,760

FNMA POOL AE9300
11/1/2025
3.50
425,906

FNMA POOL AE9387
12/1/2040
4.00
13,801

FNMA POOL AH0055
2/1/2041
4.50
5,567,346

FNMA POOL AH0210
12/1/2040
4.50
2,824,296

FNMA POOL AH0330
12/1/2025
3.50
69,260

FNMA POOL AH0376
12/1/2025
3.50
181,092

FNMA POOL AH0827
12/1/2025
3.50
415,131

FNMA POOL AH0864
12/1/2040
4.00
58,293

FNMA POOL AH0969
12/1/2025
3.50
1,026,756

FNMA POOL AH1115
1/1/2041
4.50
5,501,092

FNMA POOL AH1266
1/1/2041
4.00
1,684,282

FNMA POOL AH1298
11/1/2025
3.50
570,067

FNMA POOL AH1508
12/1/2040
4.50
3,006,348

FNMA POOL AH1886
1/1/2026
3.50
1,159,888

FNMA POOL AH1893
2/1/2026
3.50
269,700

FNMA POOL AH1921
5/1/2026
3.50
90,565

FNMA POOL AH2080
12/1/2025
3.50
743,162

FNMA POOL AH2235
12/1/2025
3.50
493,366

FNMA POOL AH2380
1/1/2041
4.00
6,068,125

FNMA POOL AH2442
1/1/2041
4.00
176,518

FNMA POOL AH2531
1/1/2026
3.50
156,842

FNMA POOL AH2793
1/1/2026
3.50
331,359

FNMA POOL AH2849
1/1/2026
3.50
370,302


75
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL AH2857
1/1/2026
3.50
882,177

FNMA POOL AH3203
1/1/2041
4.00
743,454

FNMA POOL AH3235
2/1/2026
3.50
371,396

FNMA POOL AH3355
1/1/2026
4.50
175,601

FNMA POOL AH3394
1/1/2041
4.00
3,617,895

FNMA POOL AH3431
1/1/2026
3.50
1,384,495

FNMA POOL AH3569
1/1/2026
3.50
438,940

FNMA POOL AH3769
2/1/2026
3.50
191,925

FNMA POOL AH3924
1/1/2026
3.50
16,355,590

FNMA POOL AH4058
1/1/2026
3.50
25,672

FNMA POOL AH4307
2/1/2041
4.50
6,679,802

FNMA POOL AH4346
2/1/2026
3.50
808,229

FNMA POOL AH4383
3/1/2026
3.50
2,131,215

FNMA POOL AH4668
2/1/2026
3.50
4,778,875

FNMA POOL AH4875
2/1/2026
3.50
352,036

FNMA POOL AH5049
3/1/2026
3.50
41,719

FNMA POOL AH5287
2/1/2026
3.50
1,718,880

FNMA POOL AH5290
1/1/2026
3.50
161,253

FNMA POOL AH5510
1/1/2026
3.50
603,530

FNMA POOL AH5616
2/1/2026
3.50
2,758,921

FNMA POOL AH6297
5/1/2026
3.50
90,537

FNMA POOL AH6593
2/1/2026
3.50
480,055

FNMA POOL AH6822
3/1/2026
3.50
771,280

FNMA POOL AH6940
2/1/2026
3.50
62,047

FNMA POOL AH6958
2/1/2041
2.97
1,347,479

FNMA POOL AH7185
2/1/2026
3.50
500,081

FNMA POOL AH7429
8/1/2026
3.50
224,101

FNMA POOL AH8112
3/1/2026
3.50
174,847

FNMA POOL AH8653
4/1/2026
3.50
640,303

FNMA POOL AI0432
6/1/2026
3.50
152,735

FNMA POOL AI0511
4/1/2041
5.00
271,282

FNMA POOL AI0527
4/1/2026
3.50
570,494

FNMA POOL AI0892
4/1/2026
3.50
238,464

FNMA POOL AI1051
6/1/2026
4.00
2,239,929

FNMA POOL AI1242
4/1/2026
3.50
872,394

FNMA POOL AI1277
5/1/2026
3.50
160,942

FNMA POOL AI1863
5/1/2041
5.00
540,510

FNMA POOL AI1892
5/1/2041
5.00
2,772,697

FNMA POOL AI2091
5/1/2026
3.50
151,304

FNMA POOL AI2299
5/1/2041
4.50
6,124,069


76
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL AI2433
5/1/2041
5.00
577,406

FNMA POOL AI2443
5/1/2041
5.00
395,099

FNMA POOL AI2462
5/1/2041
5.00
395,944

FNMA POOL AI2737
5/1/2041
5.00
81,089

FNMA POOL AI3445
5/1/2026
3.50
359,630

FNMA POOL AI4261
6/1/2041
5.00
305,831

FNMA POOL AI5130
9/1/2026
3.50
92,769

FNMA POOL AI6004
7/1/2041
4.50
844,233

FNMA POOL AI6553
7/1/2041
4.50
956,626

FNMA POOL AI7730
8/1/2026
3.50
23,788

FNMA POOL AI8630
7/1/2042
4.00
188,901

FNMA POOL AI9940
9/1/2041
5.00
1,757,898

FNMA POOL AJ1414
9/1/2041
4.50
1,856,210

FNMA POOL AJ1416
9/1/2041
4.50
2,014,033

FNMA POOL AJ2288
9/1/2041
4.00
1,819,177

FNMA POOL AJ5304
11/1/2041
4.00
9,898,463

FNMA POOL AJ6935
11/1/2026
3.50
4,112,918

FNMA POOL AJ7689
12/1/2041
4.00
18,012,547

FNMA POOL AJ8414
2/1/2042
4.00
737,461

FNMA POOL AK0968
2/1/2027
3.00
1,508,840

FNMA POOL AK1140
2/1/2027
3.00
1,016,175

FNMA POOL AK1608
1/1/2027
3.00
1,003,719

FNMA POOL AK2686
2/1/2027
3.00
—

FNMA POOL AK2760
3/1/2042
4.00
647,458

FNMA POOL AK3818
2/1/2027
3.00
—

FNMA POOL AK4444
6/1/2042
4.00
182,874

FNMA POOL AK6966
3/1/2027
3.00
1,509,047

FNMA POOL AL0007
12/1/2034
5.00
3,347,436

FNMA POOL AL0009
12/1/2034
5.50
3,722,377

FNMA POOL AL0215
4/1/2041
4.50
4,228,001

FNMA POOL AL0379
12/1/2036
8.00
568,902

FNMA POOL AL0476
11/1/2040
5.00
2,189,798

FNMA POOL AL0484
5/1/2040
5.50
2,040,000

FNMA POOL AL0496
8/1/2024
4.50
278,891

FNMA POOL AL0533
7/1/2041
3.24
4,753,749

FNMA POOL AL0851
10/1/2040
6.00
16,837,500

FNMA POOL AL0998
10/1/2041
4.50
2,008,317

FNMA POOL AL1051
9/1/2041
4.50
1,621,966

FNMA POOL AL1469
2/1/2039
7.00
5,508,218

FNMA POOL AL1470
4/1/2037
7.00
1,920,611


77
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL AL1711
8/1/2041
4.50
52,681,755

FNMA POOL AL1842
5/1/2042
3.50
58,334

FNMA POOL AL1938
12/1/2026
4.00
5,596,160

FNMA POOL AL1945
6/1/2042
3.50
1,039,659

FNMA POOL AL2389
9/1/2042
3.50
2,108,377

FNMA POOL AL2682
5/1/2041
4.00
13,154,593

FNMA POOL AL2683
9/1/2026
4.00
6,761,413

FNMA POOL AL2688
10/1/2040
6.00
25,115,521

FNMA POOL AL2781
12/1/2042
3.50
12,344,168

FNMA POOL AO0454
8/1/2042
3.50
1,076,497

FNMA POOL AO0527
5/1/2027
3.00
992,294

FNMA POOL AO0572
10/1/2027
2.50
36,775,129

FNMA POOL AO0936
4/1/2027
2.50
13,179,481

FNMA POOL AO2986
5/1/2042
4.00
15,751,749

FNMA POOL AO3369
5/1/2042
3.50
2,630,027

FNMA POOL AO4143
6/1/2042
4.00
3,173,924

FNMA POOL AO4144
6/1/2042
4.00
16,542,371

FNMA POOL AO4595
6/1/2042
4.00
4,591,979

FNMA POOL AO5157
6/1/2027
2.50
8,245,563

FNMA POOL AO5941
6/1/2042
3.50
638,203

FNMA POOL AO6482
7/1/2042
2.32
726,602

FNMA POOL AO7348
8/1/2042
4.00
1,033,701

FNMA POOL AO7626
6/1/2027
2.50
666,667

FNMA POOL AO8011
7/1/2042
3.50
535,187

FNMA POOL AO8044
7/1/2042
3.50
121,050

FNMA POOL AO8599
7/1/2027
2.50
1,506,644

FNMA POOL AO8632
7/1/2042
3.50
951,264

FNMA POOL AO9368
7/1/2042
3.50
1,582,122

FNMA POOL AO9944
7/1/2042
3.50
10,873

FNMA POOL AP0006
7/1/2042
2.03
1,851,008

FNMA POOL AP0645
7/1/2032
3.50
191,812

FNMA POOL AP1689
7/1/2027
2.50
—

FNMA POOL AP1860
9/1/2027
2.50
206,012

FNMA POOL AP2611
9/1/2042
3.50
1,091,525

FNMA POOL AP3308
9/1/2042
3.50
1,062,332

FNMA POOL AP3902
10/1/2042
3.00
1,048,109

FNMA POOL AP4498
9/1/2027
2.50
10,847,307

FNMA POOL AP4710
8/1/2042
3.50
2,041,798

FNMA POOL AP7126
10/1/2027
5.00
8,110,529

FNMA POOL AP8057
9/1/2042
3.50
1,073,046


78
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FNMA POOL AP8903
10/1/2042
3.50
1,070,942

FNMA POOL AP9736
10/1/2042
3.50
13,846,494

FNMA POOL AQ0706
11/1/2027
2.50
20,411,186

FNMA POOL AQ1802
10/1/2042
3.50
1,077,425

FNMA POOL AQ2854
10/1/2027
2.50
27,956,539

FNMA POOL AQ5369
12/1/2042
3.50
5,861,117

FNMA POOL AQ6099
11/1/2032
3.00
524,724

FNMA POOL AQ7083
12/1/2042
3.50
5,868,083

FNMA POOL MA0006
3/1/2039
4.00
81,620

FNMA POOL MA0243
11/1/2029
5.00
1,780,911

FNMA POOL MA0320
2/1/2030
5.00
618,502

FNMA POOL MA0583
12/1/2040
4.00
20,721

FNMA POOL MA0629
1/1/2021
3.50
117,119

FNMA POOL MA0648
2/1/2026
3.50
3,056,780

FNMA POOL MA0706
4/1/2031
4.50
888,328

FNMA POOL MA0734
5/1/2031
4.50
2,568,050

FNMA POOL MA0776
6/1/2031
9.00
2,552,595

FNMA POOL MA0806
7/1/2026
3.50
442,644

FNMA POOL MA0833
8/1/2021
3.00
509,308

FNMA POOL MA0836
8/1/2026
3.50
95,728

FNMA POOL MA0884
10/1/2026
3.50
409,744

FNMA POOL MA0913
11/1/2031
4.50
1,481,347

FNMA POOL MA0939
12/1/2031
4.50
1,511,910

FNMA POOL MA0968
12/1/2031
4.50
278,229

FNMA POOL MA1146
8/1/2042
4.00
9,263,750

FNMA POOL MA1177
9/1/2042
3.50
2,956

FNMA POOL MA1213
10/1/2042
3.50
7,103,074

FNMA POOL MA1237
11/1/2032
3.00
3,865,394

FNMA POOL MA1275
12/1/2032
3.00
7,973,752

FORD CREDIT AUTO LEASE TRUST FORDL 2012 A A3
1/15/2015
0.85
8,306,735

FORD CREDIT AUTO OWNER TRUST FORDO 2009 A A4
5/15/2014
6.07
2,805,944

FORD CREDIT AUTO OWNER TRUST FORDO 2009 B A4
7/15/2014
4.50
1,152,113

FORD CREDIT AUTO OWNER TRUST FORDO 2011 A A3
1/15/2015
0.97
374,628

FORD CREDIT AUTO OWNER TRUST FORDO 2011 A A4
5/15/2016
1.65
1,015,847

FORD CREDIT AUTO OWNER TRUST FORDO 2011 B A3
6/15/2015
0.84
12,038,413

FORD CREDIT AUTO OWNER TRUST FORDO 2012 A A4
6/15/2017
1.15
862,003

FORD CREDIT AUTO OWNER TRUST FORDO 2012 B A2
1/15/2015
0.57
17,846,072

FORD CREDIT AUTO OWNER TRUST FORDO 2012 B A3
12/15/2016
0.72
1,204,601

FORD CREDIT AUTO OWNER TRUST FORDO 2012 D A3
4/15/2017
0.51
659,697

FORD CREDIT FLOORPLAN MASTER O FORDF 2012 2 A
1/15/2019
1.92
9,236,012


79
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FORD CREDIT FLOORPLAN MASTER O FORDF 2012 4 C
9/15/2016
1.39
6,359,865

FORD MOTOR CO COMMON STOCK USD.01
 
 
4,610,200

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/15 3.875
1/15/2015
7.75
6,319,629

FORD MOTOR CREDIT CO LLC SR UNSECURED 01/20 8.125
1/15/2020
16.25
5,163,949

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/15 2.75
5/15/2015
2.75
2,546,322

FORD MOTOR CREDIT CO LLC SR UNSECURED 05/18 5.
5/15/2018
5.00
1,119,988

FORD MOTOR CREDIT CO LLC SR UNSECURED 06/14 8.
6/1/2014
8.00
185,366

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/17 6.625
8/15/2017
6.63
2,722,526

FORD MOTOR CREDIT CO LLC SR UNSECURED 08/21 5.875
8/2/2021
5.88
2,422,239

FORD MOTOR CREDIT CO LLC SR UNSECURED 09/22 4.25
9/20/2022
4.25
1,776,407

FORD MOTOR CREDIT CO LLC SR UNSECURED 10/14 8.7
10/1/2014
8.70
123,198

FOREST CITY ENTERPRISES CL A COMMON STOCK USD.333
 
 
1,390,515

FOREST LABORATORIES INC COMMON STOCK USD.1
 
 
5,634,282

FORTINET INC COMMON STOCK USD.001
 
 
4,894,350

FORTUNE BRANDS HOME + SECURI COMMON STOCK USD.01
 
 
2,030,374

FORUM ENERGY TECHNOLOGIES IN COMMON STOCK
 
 
1,034,550

FRANCE TELECOM SR UNSECURED 07/14 4.375
7/8/2014
4.38
789,321

FRANCE TELECOM SR UNSECURED 09/15 2.125
9/16/2015
2.13
426,844

FRANCESCAS HOLDINGS CORP COMMON STOCK USD.01
 
 
1,243,744

FRANKLIN RESOURCES INC COMMON STOCK USD.1
 
 
2,668,611

FRAPORT AG COMMON STOCK NPV
 
 
2,560,237

FRED OLSEN ENERGY ASA COMMON STOCK NOK20.
 
 
178,138

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/13 0.00000
1/3/2013
0.01
999,999

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/13 0.00000
1/7/2013
0.01
1,999,994

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/13 0.00000
1/14/2013
0.01
919,994

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 01/13 0.00000
1/28/2013
0.01
799,989

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 03/13 0.00000
3/4/2013
0.01
699,941

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 03/13 0.00000
3/21/2013
0.01
4,649,498

FREDDIE MAC DISCOUNT NT DISCOUNT NOT 10/13 0.00000
10/15/2013
0.01
26,977,996

FREDDIE MAC FHR 2135 OH
3/15/2029
6.50
522,003

FREDDIE MAC FHR 2248 FB
9/15/2030
0.71
14,514

FREDDIE MAC FHR 2338 ZC
7/15/2031
6.50
681,251

FREDDIE MAC FHR 2430 WF
3/15/2032
6.50
253,399

FREDDIE MAC FHR 2541 EQ
12/15/2017
5.00
1,615,209

FREDDIE MAC FHR 2564 HJ
2/15/2018
5.00
500,441

FREDDIE MAC FHR 2575 KA
11/15/2017
5.00
186,655

FREDDIE MAC FHR 2595 DC
4/15/2023
5.00
340,167

FREDDIE MAC FHR 2600 MD
6/15/2032
5.50
630,160

FREDDIE MAC FHR 2638 JG
2/15/2033
5.00
1,908,531


80
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FREDDIE MAC FHR 2649 KA
7/15/2018
4.50
1,119,742

FREDDIE MAC FHR 2666 OC
1/15/2022
5.50
51,492

FREDDIE MAC FHR 2684 PE
1/15/2033
5.00
470,214

FREDDIE MAC FHR 2692 QD
12/15/2022
5.00
1,269,690

FREDDIE MAC FHR 2696 CE
4/15/2017
4.00
63,325

FREDDIE MAC FHR 2699 TG
5/15/2017
4.00
74,142

FREDDIE MAC FHR 2707 QE
11/15/2018
4.50
1,289,600

FREDDIE MAC FHR 2764 UE
10/15/2032
5.00
820,108

FREDDIE MAC FHR 2769 EV
1/15/2023
5.00
186,189

FREDDIE MAC FHR 2772 DJ
2/15/2018
4.50
84,844

FREDDIE MAC FHR 2780 YD
4/15/2019
5.00
491,674

FREDDIE MAC FHR 2797 PG
1/15/2033
5.50
433,367

FREDDIE MAC FHR 2808 FT
4/15/2033
0.56
592,493

FREDDIE MAC FHR 2810 PD
6/15/2033
6.00
188,614

FREDDIE MAC FHR 2812 FL
2/15/2023
0.41
1,478,259

FREDDIE MAC FHR 2827 QE
3/15/2033
5.50
926,606

FREDDIE MAC FHR 2864 LE
6/15/2033
5.00
256,117

FREDDIE MAC FHR 2921 MD
6/15/2033
5.00
349,900

FREDDIE MAC FHR 2931 QC
1/15/2019
4.50
1,180,858

FREDDIE MAC FHR 2955 OG
7/15/2033
5.00
187,673

FREDDIE MAC FHR 2980 QA
5/15/2035
6.00
329,413

FREDDIE MAC FHR 2990 DE
11/15/2034
1.00
2,918,907

FREDDIE MAC FHR 3005 ED
7/15/2025
5.00
300,872

FREDDIE MAC FHR 3055 CF
10/15/2035
1.00
1,706,727

FREDDIE MAC FHR 3062 MC
3/15/2035
5.25
920,893

FREDDIE MAC FHR 3067 PK
5/15/2034
5.50
2,070,554

FREDDIE MAC FHR 3151 PD
11/15/2034
6.00
534,793

FREDDIE MAC FHR 3209 EG
8/15/2020
4.50
1,630,682

FREDDIE MAC FHR 3266 C
2/15/2020
5.00
87,697

FREDDIE MAC FHR 3277 A
1/15/2021
4.00
184,725

FREDDIE MAC FHR 3327 LD
6/15/2033
5.50
643,027

FREDDIE MAC FHR 3329 WK
12/15/2031
6.00
3,717

FREDDIE MAC FHR 3439 CY
4/15/2023
4.50
3,809,295

FREDDIE MAC FHR 3616 FG
3/15/2032
1.00
2,469,459

FREDDIE MAC FHR 3648 CY
3/15/2030
4.50
363,778

FREDDIE MAC FHR 3653 HJ
4/15/2040
5.00
962,632

FREDDIE MAC FHR 3662 PJ
4/15/2040
5.00
366,784

FREDDIE MAC FHR 3677 PB
5/15/2040
4.50
553,493

FREDDIE MAC FHR 3876 CA
6/15/2026
2.75
4,811,451

FREDDIE MAC FHR 3877 FA
11/15/2040
0.56
10,757,521


81
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FREDDIE MAC FHR 4009 FG
2/15/2042
0.66
4,455,161

FREDDIE MAC FHR 4042 EB
8/15/2039
6.50
6,561,173

FREDDIE MAC FHR 4052 LF
5/15/2042
1.00
9,332,599

FREDDIE MAC NOTES 01/13 5.26
1/30/2013
5.26
1,129,352

FREDDIE MAC NOTES 01/14 5.
1/30/2014
5.00
8,703,198

FREDDIE MAC NOTES 01/18 0.75
1/12/2018
0.75
3,257,785

FREDDIE MAC NOTES 01/22 2.375
1/13/2022
2.38
14,416,515

FREDDIE MAC NOTES 02/14 0.4
2/27/2014
0.40
8,476,923

FREDDIE MAC NOTES 02/14 1.375
2/25/2014
1.38
11,011,036

FREDDIE MAC NOTES 03/17 1.
3/8/2017
1.00
1,519,118

FREDDIE MAC NOTES 04/13 1.625
4/15/2013
1.63
13,909,597

FREDDIE MAC NOTES 04/14 1.35
4/29/2014
1.35
2,029,736

FREDDIE MAC NOTES 04/14 4.5
4/2/2014
4.50
2,104,842

FREDDIE MAC NOTES 04/16 5.25
4/18/2016
5.25
6,939,990

FREDDIE MAC NOTES 05/15 0.6
5/22/2015
0.60
8,477,757

FREDDIE MAC NOTES 05/16 2.5
5/27/2016
2.50
5,334,770

FREDDIE MAC NOTES 05/17 1.25
5/12/2017
1.25
7,673,760

FREDDIE MAC NOTES 06/15 0.42
6/19/2015
0.42
7,639,436

FREDDIE MAC NOTES 08/14 0.375
8/28/2014
0.38
3,205,616

FREDDIE MAC NOTES 08/14 1.
8/20/2014
1.00
1,011,668

FREDDIE MAC NOTES 08/14 1.
8/27/2014
1.00
2,025,876

FREDDIE MAC NOTES 08/16 2.
8/25/2016
4.00
13,928,990

FREDDIE MAC NOTES 08/19 1.25
8/1/2019
1.25
665,920

FREDDIE MAC NOTES 09/17 1.
9/29/2017
2.00
3,890,452

FREDDIE MAC NOTES 10/13 0.5
10/15/2013
1.00
20,100,366

FREDDIE MAC NOTES 10/13 0.875
10/28/2013
0.88
3,811,630

FREDDIE MAC NOTES 10/19 1.25
10/2/2019
1.25
1,375,962

FREDDIE MAC NOTES 11/13 0.375
11/27/2013
1.13
56,974,986

FREDDIE MAC NOTES 11/14 0.75
11/25/2014
0.75
17,144,218

FREDDIE MAC NOTES 11/15 0.5
11/27/2015
0.50
12,961,272

FREDDIE MAC NOTES 12/14 0.625
12/29/2014
1.88
37,908,391

FREDDIE MAC SENIOR NOTES 11/16 0.625
11/1/2016
0.63
1,680,696

FREDDIE MAC WHOLE LOAN FHW 2005 S001 2A2
9/25/2045
0.36
1,177,884

FREDDIEMAC STRIP FHS 279 35
9/15/2042
3.50
447,876

FREEPORT MCMORAN C + G SR UNSECURED 02/15 1.4
2/13/2015
2.80
3,450,752

FREEPORT MCMORAN C + G SR UNSECURED 03/17 2.15
3/1/2017
2.15
260,376

FREEPORT MCMORAN C + G SR UNSECURED 03/22 3.55
3/1/2022
7.10
4,224,966

FRESENIUS MEDICAL CARE AG + COMMON STOCK NPV
 
 
1,801,517

FRESENIUS SE + CO KGAA COMMON STOCK NPV
 
 
2,208,577

FTI CONSULTING INC COMMON STOCK USD.01
 
 
1,472,064


82
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

FUCHS PETROLUB AG PREF PREFERENCE
 
 
237,059

FUSION IO INC COMMON STOCK USD.0002
 
 
11,440,694

G + K SERVICES INC CL A COMMON STOCK USD.5
 
 
1,544,161

GAMESTOP CORP CLASS A COMMON STOCK USD.001
 
 
1,538,017

GARDNER DENVER INC COMMON STOCK USD.01
 
 
1,411,100

GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/18 8.146
4/11/2018
8.15
1,393,855

GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625
4/28/2034
8.63
230,267

GAZPROM OAO (RBS AG) SR UNSECURED REGS 03/13 9.625
3/1/2013
9.63
81,054

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG3 A3
8/10/2042
9.14
8,140,732

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG3 AJ
8/10/2042
4.86
898,440

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2005 GG5 A2
4/10/2037
5.12
58,837

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2006 GG7 A4
7/10/2038
11.73
4,995,584

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2007 GG9 A2
3/10/2039
10.76
6,352,462

GCCFC COMMERCIAL MORTGAGE TRUS GCCFC 2007 GG9 A3
3/10/2039
5.45
3,087,039

GE CAPITAL CREDIT CARD MASTER GEMNT 2009 4 A
11/15/2017
3.80
2,334,383

GE CAPITAL CREDIT CARD MASTER GEMNT 2012 6 A
8/17/2020
1.36
2,121,124

GE COMMERCIAL MORTGAGE CORPORA GECMC 2005 C2 A3
5/10/2043
4.84
590,798

GE COMMERCIAL MORTGAGE CORPORA GECMC 2007 C1 A2
12/10/2049
5.42
2,034,737

GE EQUIPMENT TRANSPORTATION LL GEET 2012 2 A3
7/25/2016
0.62
2,820,228

GEA GROUP AG COMMON STOCK NPV
 
 
305,030

GENENTECH INC SR UNSECURED 07/15 4.75
7/15/2015
4.75
4,102,494

GENERAL DYNAMICS CORP COMPANY GUAR 01/15 1.375
1/15/2015
1.38
7,591,745

GENERAL DYNAMICS CORP COMPANY GUAR 11/22 2.25
11/15/2022
2.25
875,834

GENERAL ELEC CAP CORP SR SECURED 12/15 1.
12/11/2015
1.00
2,888,577

GENERAL ELEC CAP CORP SR SECURED 12/15 VAR
12/11/2015
0.91
1,501,745

GENERAL ELEC CAP CORP SR SECURED 12/19 2.1
12/11/2019
2.10
77,218

GENERAL ELEC CAP CORP SR UNSECURED 01/13 2.8
1/8/2013
2.80
5,796,640

GENERAL ELEC CAP CORP SR UNSECURED 01/15 2.15
1/9/2015
2.15
15,407,025

GENERAL ELEC CAP CORP SR UNSECURED 01/17 2.9
1/9/2017
2.90
290,769

GENERAL ELEC CAP CORP SR UNSECURED 01/39 6.875
1/10/2039
13.75
7,652,853

GENERAL ELEC CAP CORP SR UNSECURED 03/15 4.875
3/4/2015
9.75
8,592,970

GENERAL ELEC CAP CORP SR UNSECURED 03/17 VAR
3/20/2017
0.48
350,354

GENERAL ELEC CAP CORP SR UNSECURED 05/14 5.9
5/13/2014
11.80
9,849,061

GENERAL ELEC CAP CORP SR UNSECURED 05/18 5.625
5/1/2018
11.25
7,992,104


83
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GENERAL ELEC CAP CORP SR UNSECURED 05/20 5.55
5/4/2020
5.55
249,643

GENERAL ELEC CAP CORP SR UNSECURED 06/14 5.5
6/4/2014
5.50
1,067,509

GENERAL ELEC CAP CORP SR UNSECURED 06/14 5.65
6/9/2014
5.65
747,963

GENERAL ELEC CAP CORP SR UNSECURED 07/15 1.625
7/2/2015
3.25
3,009,118

GENERAL ELEC CAP CORP SR UNSECURED 09/13 1.875
9/16/2013
1.88
5,922,841

GENERAL ELEC CAP CORP SR UNSECURED 09/14 4.75
9/15/2014
4.75
3,843,328

GENERAL ELEC CAP CORP SR UNSECURED 09/15 4.375
9/21/2015
4.38
871,926

GENERAL ELEC CAP CORP SR UNSECURED 09/20 4.375
9/16/2020
4.38
351,554

GENERAL ELEC CAP CORP SR UNSECURED 09/22 3.15
9/7/2022
3.15
1,195,381

GENERAL ELEC CAP CORP SR UNSECURED 10/16 3.35
10/17/2016
3.35
1,271,962

GENERAL ELEC CAP CORP SR UNSECURED 10/21 4.65
10/17/2021
4.65
188,271

GENERAL ELEC CAP CORP SR UNSECURED 11/14 3.75
11/14/2014
3.75
4,745,057

GENERAL ELEC CAP CORP SR UNSECURED 11/15 2.25
11/9/2015
4.50
3,180,762

GENERAL ELEC CAP CORP SR UNSECURED 12/13 VAR
12/17/2013
0.43
12,819,610

GENERAL ELEC CAP CORP SUBORDINATED 11/67 VAR
11/15/2067
6.38
6,509,350

GENERAL ELEC CAPT CO
1/17/2013
 
984,881

GENERAL ELECTRIC CO COMMON STOCK USD.06
 
 
12,963,424

GENERAL ELECTRIC CO SR UNSECURED 10/15 0.85
10/9/2015
1.70
5,158,119

GENERAL ELECTRIC CO SR UNSECURED 10/22 2.7
10/9/2022
5.40
2,242,475

GENERAL MILLS INC COMMON STOCK USD.1
 
 
6,111,608

GENERAL MILLS INC SR UNSECURED 02/17 5.7
2/15/2017
5.70
1,498,247

GENERAL MILLS INC SR UNSECURED 08/13 5.25
8/15/2013
10.50
1,106,320

GENERAL MILLS INC SR UNSECURED 12/21 3.15
12/15/2021
3.15
78,397

GENERAL MOTORS CO COMMON STOCK USD.01
 
 
891,424

GENESEE + WYOMING INC CL A COMMON STOCK USD.01
 
 
8,012,974

GENPACT LTD COMMON STOCK USD.01
 
 
6,563,956

GENTING HONG KONG LTD COMMON STOCK USD.1
 
 
168,705

GENWORTH FINANCIAL INC CL A COMMON STOCK USD.001
 
 
776,872

GEORGIA POWER COMPANY SR UNSECURED 05/22 2.85
5/15/2022
2.85
721,162

GEORGIA POWER COMPANY SR UNSECURED 08/15 0.75
8/10/2015
0.75
2,715,604

GEORGIA POWER COMPANY SR UNSECURED 11/13 6.
11/1/2013
6.00
182,763

GEORGIA POWER COMPANY SR UNSECURED 11/15 0.625
11/15/2015
0.63
5,577,959

GEOSPACE TECHNOLOGIES CORP COMMON STOCK USD.01
 
 
1,559,757

GERDAU HOLDINGS INC COMPANY GUAR 144A 01/20 7.
1/20/2020
7.00
1,011,375

GERDAU HOLDINGS INC COMPANY GUAR REGS 01/20 7.
1/20/2020
7.00
116,250

GERDAU TRADE INC COMPANY GUAR 144A 01/21 5.75
1/30/2021
5.75
1,012,000

GETINGE AB B SHS COMMON STOCK NPV
 
 
859,074

GFK SE COMMON STOCK NPV
 
 
270,055

GIANT MANUFACTURING COMMON STOCK TWD10.
 
 
286,683


84
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GILDAN ACTIVEWEAR INC COMMON STOCK NPV
 
 
1,287,616

GILEAD SCIENCES INC COMMON STOCK USD.001
 
 
15,882,167

GILEAD SCIENCES INC SR UNSECURED 12/14 2.4
12/1/2014
7.20
1,247,786

GIMV NV COMMON STOCK
 
 
190,876

GLAXOSMITHKLINE CAP INC COMPANY GUAR 05/13 4.85
5/15/2013
4.85
930,358

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/15 0.75
5/8/2015
1.50
7,505,471

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/17 1.5
5/8/2017
3.00
1,506,590

GLAXOSMITHKLINE CAPITAL COMPANY GUAR 05/22 2.85
5/8/2022
2.85
3,167,889

GLAXOSMITHKLINE PLC COMMON STOCK GBP.25
 
 
5,227,852

GLOBAL ALL CAP FUND WELLINGTON
 
 
249,602,636

GLOBAL PAYMENTS INC COMMON STOCK NPV
 
 
3,266,130

GLORY LTD COMMON STOCK
 
 
235,226

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2003 C2 A2
5/10/2040
5.45
11,797,239

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2005 C1 A3
5/10/2043
4.54
965,764

GMAC COMMERCIAL MORTGAGE SECUR GMACC 2006 C1 A4
11/10/2045
5.24
4,271,909

GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1
7/19/2035
3.59
4,687,377

GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 2A1
11/19/2035
3.08
—

GMO INTERNET INC COMMON STOCK
 
 
102,610

GNC HOLDINGS INC CL A COMMON STOCK USD.001
 
 
1,913,600

GNMA II POOL 002958
8/20/2030
8.00
33,659

GNMA II POOL 003529
3/20/2034
5.00
12,203

GNMA II POOL 003879
7/20/2036
6.00
9,306

GNMA II POOL 004006
7/20/2037
6.00
5,668

GNMA II POOL 004028
9/20/2037
6.00
271,734

GNMA II POOL 004040
10/20/2037
6.50
66,925

GNMA II POOL 004041
10/20/2037
7.00
925,779

GNMA II POOL 004060
12/20/2037
6.00
257,638

GNMA II POOL 004073
1/20/2038
6.00
551,112

GNMA II POOL 004099
3/20/2038
6.00
103,155

GNMA II POOL 004195
7/20/2038
6.00
43,142

GNMA II POOL 004222
8/20/2038
6.00
295,218

GNMA II POOL 004223
8/20/2038
6.50
3,864,986

GNMA II POOL 004224
8/20/2038
7.00
1,126,900

GNMA II POOL 004245
9/20/2038
12.00
3,715,010

GNMA II POOL 004247
9/20/2038
7.00
934,590

GNMA II POOL 004268
10/20/2038
6.00
33,085

GNMA II POOL 004291
11/20/2038
6.00
1,589,407


85
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GNMA II POOL 004292
11/20/2038
6.50
2,073,359

GNMA II POOL 004371
2/20/2039
6.00
49,749

GNMA II POOL 004423
4/20/2039
4.50
30,345

GNMA II POOL 004447
5/20/2039
5.00
525,099

GNMA II POOL 004520
8/20/2039
5.00
2,568,162

GNMA II POOL 004543
9/20/2039
6.00
152,356

GNMA II POOL 004559
10/20/2039
5.00
5,486,111

GNMA II POOL 004602
12/20/2039
6.00
36,562

GNMA II POOL 004617
1/20/2040
4.50
1,817,022

GNMA II POOL 004696
5/20/2040
9.00
4,223,198

GNMA II POOL 004697
5/20/2040
5.00
887,852

GNMA II POOL 004717
6/20/2040
6.00
104,457

GNMA II POOL 004745
7/20/2040
4.00
1,915,776

GNMA II POOL 004746
7/20/2040
9.00
13,315,164

GNMA II POOL 004747
7/20/2040
5.00
5,394,475

GNMA II POOL 004772
8/20/2040
5.00
10,705,570

GNMA II POOL 004774
8/20/2040
6.00
1,397,308

GNMA II POOL 004800
9/20/2040
4.00
1,962,345

GNMA II POOL 004801
9/20/2040
4.50
79,079

GNMA II POOL 004802
9/20/2040
5.00
1,113,277

GNMA II POOL 004833
10/20/2040
4.00
6,313,425

GNMA II POOL 004834
10/20/2040
4.50
259,064

GNMA II POOL 004837
10/20/2040
6.00
370,838

GNMA II POOL 004854
11/20/2040
4.50
499,866

GNMA II POOL 004855
11/20/2040
5.00
5,084,905

GNMA II POOL 004883
12/20/2040
9.00
2,414,215

GNMA II POOL 004905
12/20/2040
6.00
1,708,821

GNMA II POOL 004922
1/20/2041
4.00
1,312,992

GNMA II POOL 004923
1/20/2041
9.00
1,669,883

GNMA II POOL 004945
2/20/2041
4.00
992,752

GNMA II POOL 004978
3/20/2041
9.00
26,924,557

GNMA II POOL 004979
3/20/2041
5.00
2,853,260

GNMA II POOL 004984
3/20/2041
5.50
2,522,469

GNMA II POOL 004991
3/20/2041
6.00
686,824

GNMA II POOL 005016
4/20/2041
4.00
841,981

GNMA II POOL 005017
4/20/2041
4.50
2,903,164

GNMA II POOL 005018
4/20/2041
10.00
2,441,527

GNMA II POOL 005019
4/20/2041
6.00
502,937

GNMA II POOL 005056
5/20/2041
5.00
53,316

GNMA II POOL 005063
5/20/2041
6.00
561,347


86
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GNMA II POOL 005082
6/20/2041
4.50
194,770

GNMA II POOL 005083
6/20/2041
5.00
916,845

GNMA II POOL 005115
7/20/2041
4.50
409,211

GNMA II POOL 005116
7/20/2041
5.00
501,113

GNMA II POOL 005140
8/20/2041
4.50
3,783,900

GNMA II POOL 005189
9/20/2041
6.00
1,041,521

GNMA II POOL 005240
11/20/2041
6.00
1,267,106

GNMA II POOL 005259
12/20/2041
4.00
523,243

GNMA II POOL 005269
12/20/2041
6.00
132,671

GNMA II POOL 005280
1/20/2042
4.00
769,001

GNMA II POOL 005305
2/20/2042
4.00
5,045,357

GNMA II POOL 005326
3/20/2027
3.00
990,057

GNMA II POOL 008358
1/20/2024
1.63
33,419

GNMA II POOL 008399
4/20/2024
1.75
30,265

GNMA II POOL 008744
11/20/2025
1.63
69,878

GNMA II POOL 008770
12/20/2025
1.63
78,848

GNMA II POOL 008781
1/20/2026
1.63
1,626

GNMA II POOL 008788 POOL 8788
1/20/2026
1.63
21,624

GNMA II POOL 080012
11/20/2026
1.63
32,896

GNMA II POOL 080106
8/20/2027
1.75
35,554

GNMA II POOL 080397
4/20/2030
2.00
6,640

GNMA II POOL MA0023
4/20/2042
4.00
1,586,773

GNMA II POOL MA0221
7/20/2042
4.00
16,034,371

GNMA II POOL MA0318
8/20/2042
3.50
7,019,872

GNMA II POOL MA0319
8/20/2042
4.00
1,481,783

GNMA II POOL MA0392
9/20/2042
3.50
5,401,797

GNMA II POOL MA0462
10/20/2042
7.00
17,212,507

GNMA II POOL MA0534
11/20/2042
3.50
28,541,656

GNMA POOL 136713
3/15/2016
9.50
1,089

GNMA POOL 146412
4/15/2016
9.50
764

GNMA POOL 252622
10/15/2018
9.50
5,282

GNMA POOL 297862
11/15/2021
8.50
5,097

GNMA POOL 298906
5/15/2021
8.50
993

GNMA POOL 300672
4/15/2022
8.50
9,859

GNMA POOL 306283
10/15/2021
8.50
12,511

GNMA POOL 315855
1/15/2022
8.50
4,635

GNMA POOL 322562
4/15/2022
8.50
15,059

GNMA POOL 389023
11/15/2022
8.50
504

GNMA POOL 438506
1/15/2027
7.00
19,933

GNMA POOL 476784
8/15/2028
7.00
33,769


87
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GNMA POOL 497630
2/15/2029
6.00
11,239

GNMA POOL 498387
2/15/2029
6.00
10,965

GNMA POOL 521330
5/15/2035
5.00
785,279

GNMA POOL 523278
7/15/2031
6.00
58,480

GNMA POOL 543812
2/15/2031
6.00
53,872

GNMA POOL 586373
2/15/2035
5.00
30,511

GNMA POOL 594106
9/15/2033
4.50
397,089

GNMA POOL 595611
1/15/2035
5.00
33,244

GNMA POOL 603692
6/15/2034
5.00
45,692

GNMA POOL 604497
7/15/2033
5.00
30,365

GNMA POOL 604791
11/15/2033
5.50
232,846

GNMA POOL 607451
1/15/2034
5.00
68,682

GNMA POOL 607465
2/15/2034
5.00
64,691

GNMA POOL 610410
8/15/2033
5.00
42,175

GNMA POOL 615272
7/15/2033
4.50
526,729

GNMA POOL 615656
10/15/2033
5.00
25,570

GNMA POOL 617483
3/15/2037
6.50
27,991

GNMA POOL 617531
5/15/2037
6.50
6,845

GNMA POOL 617798
11/15/2037
6.50
73,266

GNMA POOL 623871
6/15/2034
5.00
38,989

GNMA POOL 633701
9/15/2033
5.00
44,090

GNMA POOL 636484
3/15/2035
5.00
45,915

GNMA POOL 637746
12/15/2034
5.00
30,028

GNMA POOL 638222
12/15/2034
5.00
32,474

GNMA POOL 643362
10/15/2035
5.00
35,962

GNMA POOL 645258
12/15/2037
6.50
16,107

GNMA POOL 646609
7/15/2040
4.50
1,426,371

GNMA POOL 647560
5/15/2036
6.50
308,991

GNMA POOL 655691
9/15/2036
6.50
11,261

GNMA POOL 656487
9/15/2036
6.50
323,874

GNMA POOL 670518
6/15/2037
6.50
85,227

GNMA POOL 672767
6/15/2038
6.50
125,581

GNMA POOL 672922
7/15/2038
6.50
293,242

GNMA POOL 673069
9/15/2038
6.50
185,351

GNMA POOL 673213
10/15/2038
6.50
311,095

GNMA POOL 673230
11/15/2038
6.50
592,021

GNMA POOL 673571
8/15/2037
6.50
13,605

GNMA POOL 676769
3/15/2038
6.50
435,148

GNMA POOL 677232
8/15/2038
6.50
579,441

GNMA POOL 677382
10/15/2038
6.50
368,681


88
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GNMA POOL 687112
10/15/2038
6.50
84,481

GNMA POOL 689792
8/15/2038
6.50
380,166

GNMA POOL 689805
8/15/2023
7.00
48,449

GNMA POOL 689835
8/15/2038
6.50
24,483

GNMA POOL 689844
9/15/2038
6.50
25,913

GNMA POOL 689859
9/15/2038
6.50
204,465

GNMA POOL 691650
9/15/2038
6.50
11,090

GNMA POOL 691937
8/15/2038
6.50
5,240

GNMA POOL 692119
10/15/2038
6.50
25,292

GNMA POOL 693545
7/15/2038
6.50
96,378

GNMA POOL 694601
9/15/2038
6.50
30,634

GNMA POOL 694644
8/15/2038
6.50
50,814

GNMA POOL 695773
11/15/2038
6.50
43,631

GNMA POOL 697562
11/15/2038
6.50
358,688

GNMA POOL 697594
11/15/2038
6.50
337,145

GNMA POOL 697713
12/15/2038
6.50
63,115

GNMA POOL 699071
8/15/2038
6.50
8,255

GNMA POOL 699246
9/15/2038
6.50
12,892

GNMA POOL 699271
9/15/2038
6.50
42,476

GNMA POOL 699283
9/15/2038
6.50
293,034

GNMA POOL 699879
9/15/2042
3.00
8,656,332

GNMA POOL 700767
10/15/2038
6.50
228,831

GNMA POOL 703634
12/15/2038
6.50
239,095

GNMA POOL 705358
12/15/2038
6.50
33,038

GNMA POOL 722778
9/15/2039
6.50
26,347

GNMA POOL 723344
9/15/2039
4.00
1,491,363

GNMA POOL 723430
11/15/2039
4.50
926,406

GNMA POOL 728627
1/15/2040
4.50
809,847

GNMA POOL 732087
5/15/2040
4.50
139,524

GNMA POOL 733600
4/15/2040
10.00
490,719

GNMA POOL 733627
5/15/2040
10.00
1,077,779

GNMA POOL 737111
4/15/2040
4.50
1,881,903

GNMA POOL 738108
3/15/2041
4.50
1,745,445

GNMA POOL 745243
7/15/2040
4.00
2,948,633

GNMA POOL 745793
7/15/2040
4.50
2,620,530

GNMA POOL 771561
8/15/2041
4.00
935,088

GNMA POOL 780049
11/15/2021
9.50
9,763

GNMA POOL 780151
12/15/2021
9.00
56,985

GNMA POOL 780345
12/15/2021
9.50
24,232

GNMA POOL 781213
12/15/2017
8.00
13,027


89
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GNMA POOL 781804
9/15/2034
6.00
845,441

GNMA POOL 781847
12/15/2034
6.00
752,103

GNMA POOL 781885
3/15/2035
5.00
52,092

GNMA POOL 781902
2/15/2035
6.00
711,976

GNMA POOL 781958
7/15/2035
5.00
72,006

GNMA POOL 782282
2/15/2038
6.50
193,965

GNMA POOL 782376
8/15/2038
6.50
157,667

GNMA POOL 782557
1/15/2039
5.00
10,688,008

GNMA POOL 782587
2/15/2039
6.50
173,844

GNMA POOL 782619
4/15/2039
5.00
7,158,496

GNMA POOL 782696
6/15/2039
5.00
1,083,339

GNMA POOL 782716
7/15/2039
5.00
830,634

GNMA POOL 782838
7/15/2019
4.50
625,663

GNMA POOL 782958
5/15/2040
5.00
3,741,313

GNMA POOL 783289
4/15/2041
4.50
308,478

GNMA POOL 783571
12/15/2033
5.00
2,582,197

GNMA POOL 783609
10/15/2040
4.50
5,863,518

GNMA POOL 783610
11/15/2041
4.50
3,984,327

GNMA POOL AA1777
9/15/2042
3.00
8,311,145

GNMA REMIC TRUST 2010 H20 10/60 VAR
10/20/2060
0.54
8,283,581

GNR 2006 3 B 01/37 FIXED 5.091
1/16/2037
5.09
3,112,582

GNR 2010 H010 FC 05/60 FRN
5/20/2060
1.22
5,453,432

GNR 2010 H22 FE 05/59 VAR
5/20/2059
0.56
4,417,011

GNR 2011 H09 AF 03/61 VAR
3/20/2061
0.71
1,809,032

GNR 2011 H11 FB 04/20 VAR
4/20/2061
0.71
10,445,374

GOLD FIELDS OROGEN HOLD COMPANY GUAR 144A 10/20 4.875
10/7/2020
4.88
1,071,211

GOLDCREST CO LTD COMMON STOCK
 
 
157,157

GOLDMAN SACHS CAPITAL II LIMITD GUARA 06/43 VAR
6/1/2043
4.00
93,730

GOLDMAN SACHS GROUP INC COMMON STOCK USD.01
 
 
16,141,698

GOLDMAN SACHS GROUP INC SR UNSECURED 01/14 5.15
1/15/2014
5.15
1,042,906

GOLDMAN SACHS GROUP INC SR UNSECURED 01/15 VAR
1/12/2015
1.00
9,614,524

GOLDMAN SACHS GROUP INC SR UNSECURED 01/18 5.95
1/18/2018
35.70
15,994,960

GOLDMAN SACHS GROUP INC SR UNSECURED 01/22 5.75
1/24/2022
23.00
8,860,679

GOLDMAN SACHS GROUP INC SR UNSECURED 02/14 VAR
2/7/2014
1.31
2,005,844

GOLDMAN SACHS GROUP INC SR UNSECURED 02/16 3.625
2/7/2016
10.88
1,905,341

GOLDMAN SACHS GROUP INC SR UNSECURED 02/19 7.5
2/15/2019
7.50
308,272

GOLDMAN SACHS GROUP INC SR UNSECURED 02/41 6.25
2/1/2041
6.25
5,018,107

GOLDMAN SACHS GROUP INC SR UNSECURED 03/20 5.375
3/15/2020
16.13
4,463,787

GOLDMAN SACHS GROUP INC SR UNSECURED 04/18 6.15
4/1/2018
18.45
20,711,160

GOLDMAN SACHS GROUP INC SR UNSECURED 05/14 6.
5/1/2014
12.00
2,064,641


90
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GOLDMAN SACHS GROUP INC SR UNSECURED 06/20 6.
6/15/2020
6.00
534,695

GOLDMAN SACHS GROUP INC SR UNSECURED 07/13 4.75
7/15/2013
9.50
132,726

GOLDMAN SACHS GROUP INC SR UNSECURED 07/21 5.25
7/27/2021
21.00
9,518,800

GOLDMAN SACHS GROUP INC SR UNSECURED 08/15 3.7
8/1/2015
7.40
955,128

GOLDMAN SACHS GROUP INC SR UNSECURED 10/13 5.25
10/15/2013
21.00
15,198,116

GOLDMAN SACHS GROUP INC SR UNSECURED 10/16 5.75
10/1/2016
5.75
3,982,521

GOLDMAN SACHS GROUP INC SR UNSECURED 11/14 5.5
11/15/2014
5.50
3,101,803

GOLDMAN SACHS GROUP INC SUBORDINATED 10/37 6.75
10/1/2037
13.50
4,941,306

GOLDMAN SACHS NG TRI PARTY REPO
1/14/2013
0.51
58,000,000

GOOGLE INC CL A COMMON STOCK USD.001
 
 
77,883,151

GOVERNMENT NATIONAL MORTGAGE A GNR 1999 11 ZB
4/20/2029
6.50
448,493

GOVERNMENT NATIONAL MORTGAGE A GNR 2000 26 DF
9/20/2030
0.61
15,337

GOVERNMENT NATIONAL MORTGAGE A GNR 2000 29 F
9/20/2030
0.71
24,209

GOVERNMENT NATIONAL MORTGAGE A GNR 2000 30 FB
10/16/2030
0.66
14,994

GOVERNMENT NATIONAL MORTGAGE A GNR 2002 31 FW
6/16/2031
0.61
37,059

GOVERNMENT NATIONAL MORTGAGE A GNR 2004 19 KE
3/16/2034
5.00
414,652

GOVERNMENT NATIONAL MORTGAGE A GNR 2006 38 FZ
9/16/2035
0.31
1,088,213

GOVERNMENT NATIONAL MORTGAGE A GNR 2007 70 PE
11/20/2037
5.50
365,202

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 100 FG
11/16/2039
0.84
8,180,202

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 76 CF
9/16/2039
1.01
3,679,266

GOVERNMENT NATIONAL MORTGAGE A GNR 2009 96 FT
7/20/2038
0.96
4,088,165

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 116 FA
9/20/2040
0.81
7,125,369

GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 QP
12/20/2039
6.00
801,426

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 28 FG
12/20/2040
0.71
11,610,110

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 48 QA
8/16/2039
5.00
1,912,724

GOVERNMENT NATIONAL MORTGAGE A GNR 2011 94 FA
7/20/2041
1.00
2,444,027

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 84 AB
7/16/2033
5.00
2,689,997

GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 WP
8/16/2042
6.50
2,723,938

GRACO INC COMMON STOCK USD1.
 
 
1,657,978

GRAND CANYON EDUCATION INC COMMON STOCK USD.01
 
 
2,606,330

GRANITE MASTER ISSUER PLC GRANM 2005 1 A4
12/20/2054
0.41
55,726

GRANITE MORTGAGES PLC. GRAN 2003 2 1A3 REGS
7/20/2043
0.82
667,210

GRANITE MORTGAGES PLC. GRAN 2004 3 2A1
9/20/2044
0.66
448,583

GREAT EAGLE HOLDINGS LTD COMMON STOCK HKD.5
 
 
321,639

GREATBATCH INC COMMON STOCK USD.001
 
 
1,379,991

GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR1 A2
6/25/2045
0.43
1,306,749

GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1
1/25/2037
0.39
2,081,841

GROUP 1 AUTOMOTIVE INC COMMON STOCK USD.01
 
 
1,708,444

GRUPO AEROPORTUARIO DEL CENT COMMON STOCK NPV
 
 
320,565


91
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

GS MORTGAGE SECURITIES TRUST GSMS 2004 GG2 A6
8/10/2038
5.40
7,623,939

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 A2
4/10/2038
5.51
5,641,591

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 A4
4/10/2038
5.55
3,152,352

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG6 AAB
4/10/2038
5.59
134,494

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 A2
11/10/2039
5.48
1,147,230

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 A4
11/10/2039
11.12
5,871,005

GS MORTGAGE SECURITIES TRUST GSMS 2006 GG8 AAB
11/10/2039
5.54
143,723

GS MORTGAGE SECURITIES TRUST GSMS 2007 EOP A1 144A
3/6/2020
1.10
272,494

GS MORTGAGE SECURITIES TRUST GSMS 2007 EOP C 144A
3/6/2020
2.01
3,006,042

GS MORTGAGE SECURITIES TRUST GSMS 2007 GG10 A4
8/10/2045
11.59
5,729,943

GS MORTGAGE SECURITIES TRUST GSMS 2012 ALOH A 144A
4/10/2034
3.55
1,253,067

GSAA HOME EQUITY TRUST GSAA 2006 5 2A1
3/25/2036
0.28
223,580

GSAMP TRUST GSAMP 2004 AR1 A2B
6/25/2034
0.81
2,143,180

GSAMP TRUST GSAMP 2004 AR1 M1
6/25/2034
0.86
740,106

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A
3/25/2035
0.56
2,745,001

GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A
9/25/2035
0.56
792,918

GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1
3/25/2032
6.00
8,828

GSR MORTGAGE LOAN TRUST GSR 2005 AR3 2A1
5/25/2035
0.65
50,490

GULFMARK OFFSHORE INC CL A COMMON STOCK USD.01
 
 
2,948,679

GULFPORT ENERGY CORP COMMON STOCK USD.01
 
 
2,222,264

H LUNDBECK A/S COMMON STOCK DKK5.
 
 
1,039,638

H2O RETAILING CORP COMMON STOCK
 
 
269,658

HAEMONETICS CORP/MASS COMMON STOCK USD.01
 
 
2,767,890

HALLIBURTON CO COMMON STOCK USD2.5
 
 
8,639,545

HALLIBURTON COMPANY SR UNSECURED 11/21 3.25
11/15/2021
3.25
69,613

HANESBRANDS INC COMMON STOCK USD.01
 
 
2,005,920

HANG LUNG PROPERTIES LTD COMMON STOCK HKD1.
 
 
762,961

HANGER INC COMMON STOCK USD.01
 
 
952,128

HANOVER INSURANCE GROUP INC/ COMMON STOCK USD.01
 
 
1,631,729

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2003 1 A
5/19/2033
2.76
40,635

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A
7/19/2035
3.11
2,178,655

HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A
6/20/2035
0.55
2,920,191

HARLEY DAVIDSON MOTORCYCLE TRU HDMOT 2012 1 A2
8/15/2015
0.50
28,030,296

HARRIS TEETER SUPERMARKETS I COMMON STOCK NPV
 
 
1,642,656

HARRY WINSTON DIAMOND CORP COMMON STOCK NPV
 
 
52,059

HARRY WINSTON DIAMOND CORP COMMON STOCK NPV
 
 
183,929


92
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

HARTFORD FINANCIAL SVCS GRP COMMON STOCK USD.01
 
 
2,365,176

HARTFORD FINL SVCS GRP SR UNSECURED 03/14 4.75
3/1/2014
4.75
2,871,231

HARTFORD FINL SVCS GRP SR UNSECURED 03/20 5.5
3/30/2020
5.50
1,237,397

HARTFORD FINL SVCS GRP SR UNSECURED 04/22 5.125
4/15/2022
5.13
651,925

HASBRO INC COMMON STOCK USD.5
 
 
3,306,390

HAULOTTE GROUP COMMON STOCK EUR.13
 
 
135,802

HCA HOLDINGS INC COMMON STOCK USD.01
 
 
1,813,217

HCP INC SR UNSECURED 02/14 2.7
2/1/2014
10.80
3,265,574

HCP INC SR UNSECURED 02/20 2.625
2/1/2020
2.63
65,742

HEALTH CARE REIT INC SR UNSECURED 03/16 3.625
3/15/2016
3.63
2,693,785

HEALTHCARE SERVICES GROUP COMMON STOCK USD.01
 
 
2,165,036

HEALTHSOUTH CORP COMMON STOCK USD.01
 
 
1,263,539

HEARTWARE INTERNATIONAL INC COMMON STOCK
 
 
75,555

HEICO CORP COMMON STOCK USD.01
 
 
737,063

HELIX ENERGY SOLUTIONS GROUP COMMON STOCK NPV
 
 
3,774,024

HELMERICH + PAYNE COMMON STOCK USD.1
 
 
1,786,719

HENKEL AG + CO KGAA VORZUG PREFERENCE
 
 
685,804

HENRY SCHEIN INC COMMON STOCK USD.01
 
 
1,205,934

HERBALIFE LTD COMMON STOCK USD.002
 
 
981,612

HERTZ GLOBAL HOLDINGS INC COMMON STOCK USD.01
 
 
2,420,976

HERTZ VEHICLE FINANCING LLC HERTZ 2009 2A A2 144A
3/25/2016
5.29
2,392,870

HESS CORP SR UNSECURED 02/19 8.125
2/15/2019
8.13
4,303,670

HESS CORP SR UNSECURED 08/31 7.3
8/15/2031
7.30
323,216

HESS CORP SR UNSECURED 10/29 7.875
10/1/2029
7.88
76,472

HEWLETT PACKARD CO COMMON STOCK USD.01
 
 
584,678

HEWLETT PACKARD CO SR UNSECURED 03/14 6.125
3/1/2014
6.13
1,681,947

HEWLETT PACKARD CO SR UNSECURED 09/13 1.25
9/13/2013
1.25
849,990

HEWLETT PACKARD CO SR UNSECURED 09/15 2.125
9/13/2015
2.13
699,516

HEWLETT PACKARD CO SR UNSECURED 12/14 2.625
12/9/2014
2.63
3,035,304

HEWLETT PACKARD CO SR UNSECURED 12/16 3.3
12/9/2016
3.30
559,839

HEWLETT PACKARD CO SR UNSECURED 12/21 4.65
12/9/2021
4.65
306,186

HEXCEL CORP COMMON STOCK USD.01
 
 
1,765,880

HIBBETT SPORTS INC COMMON STOCK USD.01
 
 
954,397

HIGHWOODS PROPERTIES INC REIT USD.01
 
 
1,109,470

HIKMA PHARMACEUTICALS PLC COMMON STOCK GBP.1
 
 
615,213

HILLTOP HOLDINGS INC COMMON STOCK USD.01
 
 
1,158,415

HISTORIC TW INC COMPANY GUAR 02/23 9.15
2/1/2023
9.15
147,672

HITACHI LTD COMMON STOCK
 
 
3,334,158

HITACHI TRANSPORT SYSTEM LTD COMMON STOCK
 
 
281,024

HITTITE MICROWAVE CORP COMMON STOCK USD.01
 
 
1,069,114


93
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

HJ HEINZ CO SR UNSECURED 03/17 1.5
3/1/2017
1.50
1,324,194

HJ HEINZ CO SR UNSECURED 09/16 2.
9/12/2016
2.00
515,939

HMS HOLDINGS CORP COMMON STOCK USD.01
 
 
3,978,927

HOLCIM LTD REG COMMON STOCK CHF2.
 
 
1,722,144

HOLOGIC INC COMMON STOCK USD.01
 
 
2,297,441

HOME BANCSHARES INC COMMON STOCK USD.01
 
 
1,283,190

HOME CAPITAL GROUP INC COMMON STOCK NPV
 
 
415,276

HOME DEPOT INC SR UNSECURED 09/20 3.95
9/15/2020
3.95
97,321

HOME PROPERTIES INC REIT USD.01
 
 
1,054,532

HOMEAWAY INC COMMON STOCK USD.0001
 
 
1,839,200

HON HAI PRECISION INDUSTRY COMMON STOCK TWD10.
 
 
260,219

HONDA AUTO RECEIVABLES OWNER T HAROT 2010 2 A3
3/18/2014
1.34
176,841

HONDA AUTO RECEIVABLES OWNER T HAROT 2010 2 A4
8/18/2016
1.93
1,513,128

HONDA AUTO RECEIVABLES OWNER T HAROT 2011 1 A3
10/15/2014
1.13
1,279,871

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 1 A3
1/15/2016
0.77
812,816

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 1 A4
4/16/2018
0.97
454,246

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 2 A2
11/17/2014
0.56
6,508,424

HONDA AUTO RECEIVABLES OWNER T HAROT 2012 2 A3
2/16/2016
0.70
608,297

HONDA MOTOR CO LTD COMMON STOCK
 
 
3,055,158

HONEYWELL INTERNATIONAL INC COMMON STOCK USD1.
 
 
22,620,708

HONEYWELL INTERNATIONAL SR UNSECURED 02/14 3.875
2/15/2014
3.88
934,283

HONEYWELL INTERNATIONAL SR UNSECURED 03/18 5.3
3/1/2018
5.30
298,846

HONOLULU CITY + CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41
2,853,564

HONOLULU CITY + CNTY HI HON 11/21 FIXED 2.412
11/1/2021
2.41
3,057,390

HONOLULU CITY + CNTY HI HON 11/22 FIXED 2.512
11/1/2022
2.51
3,995,160

HONOLULU CITY + CNTY HI HON 11/23 FIXED 2.812
11/1/2023
2.81
5,564,268

HONOLULU CITY + CNTY HI HON 11/23 FIXED 5
11/1/2023
5.00
8,403,564

HONOLULU CITY + CNTY HI HON 11/24 FIXED 5
11/1/2024
5.00
8,899,381

HONOLULU CITY + CNTY HI HON 11/24 FIXED 5
11/1/2024
10.00
6,989,696

HONOLULU CITY + CNTY HI HON 11/25 FIXED 5
11/1/2025
5.00
6,634,054

HONOLULU CITY + CNTY HI HON 11/25 FIXED 5
11/1/2025
10.00
18,288,640

HONOLULU CITY + CNTY HI HON 11/28 FIXED 5
11/1/2028
5.00
7,456,701

HORNBECK OFFSHORE SERVICES COMMON STOCK USD.01
 
 
651,361

HOSPIRA INC SR UNSECURED 03/17 6.05
3/30/2017
6.05
203,168

HOSPIRA INC SR UNSECURED 06/14 5.9
6/15/2014
5.90
390,126

HOUSING URBAN DEVELOPMNT US GOVT GUAR 08/15 5.36
8/1/2015
5.36
7,011,420

HSBC BANK PLC COVERED 144A 07/14 1.625
7/7/2014
1.63
2,148,592

HSBC BANK PLC SR UNSECURED 144A 01/14 2.
1/19/2014
2.00
12,983,023


94
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

HSBC BANK PLC SR UNSECURED 144A 05/16 3.1
5/24/2016
3.10
3,224,674

HSBC BANK PLC SUBORDINATED 03/46 4.75
3/24/2046
4.75
157,680

HSBC BANK USA NA SUB NOTES 08/20 4.875
8/24/2020
4.88
406,770

HSBC BANK USA SUBORDINATED 04/14 4.625
4/1/2014
9.25
1,044,693

HSBC BANK USA SUBORDINATED 08/17 6.
8/9/2017
6.00
17,526,165

HSBC BANK USA SUBORDINATED 11/34 5.875
11/1/2034
5.88
117,377

HSBC FINANCE CORP SR SUBORDINA 01/21 6.676
1/15/2021
13.35
7,278,386

HSBC FINANCE CORP SR UNSECURED 06/15 5.
6/30/2015
5.00
5,040,498

HSBC HOLDINGS PLC COMMON STOCK USD.5
 
 
5,278,019

HSBC HOLDINGS PLC SR UNSECURED 01/22 4.875
1/14/2022
9.75
3,969,143

HSBC HOLDINGS PLC SR UNSECURED 03/22 4.
3/30/2022
4.00
301,088

HSBC HOLDINGS PLC SR UNSECURED 04/21 5.1
4/5/2021
10.20
2,763,262

HSBC HOLDINGS PLC SUBORDINATED 09/28 6.75
9/11/2028
6.75
608,321

HSBC HOLDINGS PLC SUBORDINATED 10/22 VAR
10/18/2022
6.38
361,136

HSBC HOLDINGS PLC SUBORDINATED REGS 06/19 6.
6/10/2019
6.00
1,115,856

HSBC REPO
1/2/2013
0.26
77,800,000

HSBC USA INC SR UNSECURED 02/15 2.375
2/13/2015
4.75
9,103,340

HUB GROUP INC CL A COMMON STOCK USD.01
 
 
1,799,381

HUMANA INC SR UNSECURED 12/22 3.15
12/1/2022
3.15
686,156

HUNG POO REAL ESTATE DEVELOP COMMON STOCK TWD10.
 
 
219,406

HUNTINGTON AUTO TRUST HUNT 2012 1 A3
9/15/2016
0.81
1,158,441

HUNTINGTON AUTO TRUST HUNT 2012 2 A2
9/15/2015
0.38
5,743,689

HUNTINGTON AUTO TRUST HUNT 2012 2 A3
4/17/2017
0.51
2,497,066

HURON CONSULTING GROUP INC COMMON STOCK USD.01
 
 
5,124,215

HUTCH WHAM INT 09 LTD COMPANY GUAR 144A 04/19 7.625
4/9/2019
7.63
257,813

HUTCHISON WHAM INT 03/13 COMPANY GUAR 144A 02/13 6.5
2/13/2013
6.50
1,609,720

HUTCHISON WHAM INT 09/19 COMPANY GUAR 144A 09/19 5.75
9/11/2019
5.75
953,985

HUTCHISON WHAMPOA LTD COMMON STOCK HKD.25
 
 
542,753

HYATT HOTELS CORP CL A COMMON STOCK USD.01
 
 
1,242,224

HYDRO QUEBEC LOCAL GOVT G 01/22 8.4
1/15/2022
8.40
200,865

HYPOTHEKENBANK FRANKFURT JUMBO PFANDB 01/16 2.875
1/19/2016
2.88
985,193

HYUNDAI AUTO RECEIVABLES TRUST HART 2009 A A4
3/15/2016
3.15
2,644,359

HYUNDAI AUTO RECEIVABLES TRUST HART 2010 B A3
4/15/2015
0.97
735,250

HYUNDAI AUTO RECEIVABLES TRUST HART 2010 B A4
3/15/2017
1.63
1,222,913

HYUNDAI AUTO RECEIVABLES TRUST HART 2011 C A4
2/15/2018
1.30
487,800

HYUNDAI AUTO RECEIVABLES TRUST HART 2012 A A4
12/15/2016
0.95
958,752


95
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

HYUNDAI AUTO RECEIVABLES TRUST HART 2012 C A2
8/17/2015
0.40
18,502,257

HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 10/15 1.625
10/2/2015
1.63
2,414,422

HYUNDAI CAPITAL AUTO FUNDING L HCAF 2010 8A A 144A
9/20/2016
1.21
181,214

HYUNDAI WIA CORP COMMON STOCK KRW5000.
 
 
218,477

IBERDROLA SA COMMON STOCK EUR.75
 
 
1,479,996

IBM CORP SR UNSECURED 01/16 2.
1/5/2016
2.00
165,323

IBM CORP SR UNSECURED 02/15 0.55
2/6/2015
0.55
8,936,662

IBM CORP SR UNSECURED 02/17 1.25
2/6/2017
1.25
791,268

IBM CORP SR UNSECURED 05/15 0.75
5/11/2015
0.75
5,759,676

IBM CORP SR UNSECURED 06/42 4.
6/20/2042
4.00
114,303

IBM CORP SR UNSECURED 07/16 1.95
7/22/2016
3.90
2,554,528

IBM CORP SR UNSECURED 10/13 6.5
10/15/2013
6.50
314,594

IBM CORP SR UNSECURED 10/14 0.875
10/31/2014
0.88
5,042,135

IBM CORP SR UNSECURED 11/19 8.375
11/1/2019
8.38
1,143,851

IBM CORP SR UNSECURED 11/39 5.6
11/30/2039
5.60
7,733

ICICI BANK LIMITED SR UNSECURED REGS 11/20 5.75
11/16/2020
5.75
388,385

IG GROUP HOLDINGS PLC COMMON STOCK GBP.00005
 
 
193,110

IGUATEMI EMP DE SHOPPING COMMON STOCK NPV
 
 
73,172

IHS INC CLASS A COMMON STOCK USD.01
 
 
1,699,200

ILIAD SA COMMON STOCK NPV
 
 
637,995

ILLINOIS ST FIN AUTH REVENUE ILSGEN 06/47 FIXED OID 4
6/1/2047
4.00
9,780,000

ILLINOIS ST ILS 01/13 FIXED 3.321
1/1/2013
6.64
9,470,000

ILLINOIS ST ILS 01/15 FIXED 4.421
1/1/2015
8.84
4,908,495

ILLINOIS ST ILS 06/23 FIXED OID 4.95
6/1/2023
4.95
318,627

ILLUMINA INC COMMON STOCK USD.01
 
 
2,973,731

IMMUNOGEN INC COMMON STOCK USD.01
 
 
1,193,655

IMPAC CMB TRUST IMM 2004 9 1A1
1/25/2035
0.97
473,376

IMPAC SECURED ASSETS CORP. IMSA 2006 2 2A1
8/25/2036
0.56
464,746

IMPAX LABORATORIES INC COMMON STOCK USD.01
 
 
2,098,934

INCHCAPE PLC COMMON STOCK GBP.1
 
 
156,406

INCYTE CORP COMMON STOCK USD.001
 
 
1,024,422

INDEPENDENCE GROUP NL COMMON STOCK NPV
 
 
323,963

INDIAN OIL CORP LTD SR UNSECURED REGS 01/15 4.75
1/22/2015
4.75
146,344

INDITEX COMMON STOCK EUR.15
 
 
6,784,592

INDONESIA GOVERNMENT SR UNSECURED 05/23 5.625
5/15/2023
5.63
456,620

INDONESIA GOVERNMENT SR UNSECURED 05/33 6.625
5/15/2033
6.63
194,325

INDONESIA GOVERNMENT SR UNSECURED 06/32 8.25
6/15/2032
8.25
1,315,081

INDUSTRIAL BANK OF KOREA SR UNSECURED 144A 07/17 2.375
7/17/2017
2.38
1,320,141


96
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

INFORMA PLC COMMON STOCK GBP.001
 
 
705,509

INFORMATICA CORP COMMON STOCK USD.001
 
 
1,970,800

ING BANK NV SR UNSECURED 144A 03/17 3.75
3/7/2017
7.50
2,763,202

ING GROEP NV CVA DUTCH CERT EUR.24
 
 
2,016,694

INGENEX INC SER B PFD
 
 
—

INGENICO COMMON STOCK EUR1.
 
 
283,910

INGERSOLL RAND GL HLD CO COMPANY GUAR 04/14 9.5
4/15/2014
9.50
553,353

INGERSOLL RAND GL HLD CO COMPANY GUAR 08/18 6.875
8/15/2018
6.88
512,858

INPHI CORP COMMON STOCK
 
 
665,331

INTEGRATED DEVICE TECH INC COMMON STOCK USD.001
 
 
2,248,911

INTEL CORP COMMON STOCK USD.001
 
 
6,918,374

INTEL CORP SR UNSECURED 10/16 1.95
10/1/2016
1.95
516,552

INTEL CORP SR UNSECURED 10/21 3.3
10/1/2021
3.30
63,622

INTEL CORP SR UNSECURED 12/17 1.35
12/15/2017
1.35
2,234,354

INTER PARFUMS INC COMMON STOCK USD.001
 
 
839,115

INTERCONTINENTALEXCHANGE INC COMMON STOCK USD.01
 
 
10,610,517

INTERFACE INC COMMON STOCK USD.1
 
 
1,296,370

INTERNATIONAL PERSONAL FINAN COMMON STOCK GBP.1
 
 
299,263

INTERNET INITIATIVE JAPAN COMMON STOCK
 
 
210,249

INTERPUBLIC GROUP OF COS INC COMMON STOCK USD.1
 
 
2,269,106

INTERPUMP GROUP SPA COMMON STOCK EUR.52
 
 
242,192

INTESA SANPAOLO COMMON STOCK EUR.52
 
 
2,903,043

INTESA SANPAOLO SPA SENIOR NOTES 144A 08/15 3.625
8/12/2015
3.63
1,260,743

INTESA SANPAOLO SPA SR UNSECURED 144A 02/14 VAR
2/24/2014
2.71
2,297,429

INTESA SANPAOLO SPA SR UNSECURED 144A 02/21 6.5
2/24/2021
13.00
13,792,998

INTL BUSINESS MACHINES CORP COMMON STOCK USD.2
 
 
44,521,009

INTL LEASE FINANCE CORP SR SECURED 144A 09/14 6.5
9/1/2014
6.50
2,508,625

INTL LEASE FINANCE CORP SR SECURED 144A 09/16 6.75
9/1/2016
6.75
246,950

INTL LEASE FINANCE CORP SR UNSECURED 03/13 6.375
3/25/2013
6.38
60,630

INTL LEASE FINANCE CORP SR UNSECURED 05/13 5.875
5/1/2013
5.88
60,750

INTL LEASE FINANCE CORP SR UNSECURED 09/13 5.625
9/20/2013
5.63
10,250

INTL PAPER CO SR UNSECURED 06/18 7.95
6/15/2018
7.95
1,447,965

INTL RECTIFIER CORP COMMON STOCK USD1.
 
 
2,038,773

INTRUM JUSTITIA AB COMMON STOCK NPV
 
 
375,746

INTUIT INC COMMON STOCK USD.01
 
 
32,016,117

INTUIT INC SR UNSECURED 03/17 5.75
3/15/2017
11.50
772,873

INVENSENSE INC COMMON STOCK USD.001
 
 
842,182

IPG PHOTONICS CORP COMMON STOCK USD.0001
 
 
748,879

IPIC GMTN LTD COMPANY GUAR 144A 11/15 3.125
11/15/2015
3.13
72,555


97
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

IPIC GMTN LTD COMPANY GUAR 144A 11/20 5.
11/15/2020
5.00
329,730

IPSOS COMMON STOCK EUR.25
 
 
233,812

IRONWOOD PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
1,034,697

ISRAEL ELECTRIC CORP LTD SR SECURED REGS 01/19 7.25
1/15/2019
7.25
510,655

ISUZU MOTORS LTD COMMON STOCK
 
 
2,163,026

ITC HOLDINGS CORP COMMON STOCK NPV
 
 
2,668,777

ITOCHU CORP COMMON STOCK
 
 
691,277

J + J SNACK FOODS CORP COMMON STOCK NPV
 
 
1,603,296

J P MORGAN MBS FUND COMMINGLED J P MORGAN MBS FUND COMMINGLED
 
 
67,038,158

J P MORGAN TERM REPO
1/4/2013
0.18
20,200,000

J2 GLOBAL INC COMMON STOCK USD.01
 
 
1,416,313

JABIL CIRCUIT INC COMMON STOCK USD.001
 
 
2,640,801

JACK HENRY + ASSOCIATES INC COMMON STOCK USD.01
 
 
3,466,658

JACKSON NATL LIFE GLOBAL SR SECURED 144A 05/13 5.375
5/8/2013
5.38
5,950,725

JACOBS ENGINEERING GROUP INC COMMON STOCK USD1.
 
 
3,388,572

JAMES HARDIE INDUSTRIES CDI RECEIPT EUR.59
 
 
75,046

JAPAN 315 (10 YR ISSUE) SR UNSECURED 06/21 1.2
6/20/2021
1.20
3,762,693

JAPAN GOVT CPI LINKED SR UNSECURED 06/18 1.4
6/10/2018
1.40
4,172,810

JAPAN TOBACCO INC COMMON STOCK
 
 
934,066

JAPAN TREASURY DISC BILL BILLS 02/13 0.00000
2/12/2013
 
18,155,845

JARDEN CORP COMMON STOCK USD.01
 
 
3,859,405

JDS UNIPHASE CORP COMMON STOCK USD.001
 
 
1,481,276

JEFFERIES GROUP INC SR UNSECURED 03/16 5.5
3/15/2016
5.50
74,550

JEFFERIES GROUP INC SR UNSECURED 07/19 8.5
7/15/2019
8.50
83,650

JEFFERIES GROUP INC SR UNSECURED 11/15 3.875
11/9/2015
3.88
567,875

JM SMUCKER CO/THE COMMON STOCK NPV
 
 
2,039,145

JOHN DEERE CAPITAL CORP SR UNSECURED 03/14 1.6
3/3/2014
3.20
7,725,025

JOHN DEERE CAPITAL CORP SR UNSECURED 03/15 2.95
3/9/2015
2.95
1,336,162

JOHN DEERE CAPITAL CORP SR UNSECURED 04/15 0.875
4/17/2015
0.88
237,038

JOHN DEERE CAPITAL CORP SR UNSECURED 06/13 1.875
6/17/2013
3.75
2,361,506

JOHN DEERE CAPITAL CORP SR UNSECURED 06/16 2.25
6/7/2016
4.50
1,543,236

JOHN DEERE CAPITAL CORP SR UNSECURED 12/14 1.25
12/2/2014
1.25
258,388

JOHN DEERE CAPITAL CORP UNSECURED 04/19 2.25
4/17/2019
2.25
1,368,861

JOHN DEERE CAPITAL CORP UNSECURED 10/17 1.2
10/10/2017
1.20
55,086

JOHN DEERE OWNER TRUST JDOT 2011 A A3
1/15/2016
1.29
275,195

JOHN DEERE OWNER TRUST JDOT 2012 B A3
7/15/2016
1.06
2,287,667

JOHNSON + JOHNSON COMMON STOCK USD1.
 
 
33,040,233

JOHNSON + JOHNSON SR UNSECURED 05/14 1.2
5/15/2014
1.20
5,807,795


98
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

JOHNSON + JOHNSON SR UNSECURED 07/18 5.15
7/15/2018
5.15
1,838,422

JOHNSON CONTROLS INC COMMON STOCK USD.01388
 
 
14,585,877

JOHNSON CONTROLS INC SR UNSECURED 02/14 VAR
2/4/2014
0.72
356,067

JOHNSON CONTROLS INC SR UNSECURED 03/14 1.75
3/1/2014
5.25
1,342,894

JOHNSON CONTROLS INC SR UNSECURED 09/13 4.875
9/15/2013
4.88
396,253

JONES LANG LASALLE INC COMMON STOCK USD.01
 
 
2,616,074

JOS A BANK CLOTHIERS INC COMMON STOCK USD.01
 
 
1,490,300

JP MORGAN CHASE BANK NA SUBORDINATED 06/16 VAR
6/13/2016
0.64
243,041

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2004 C1 A2
1/15/2038
4.30
44,310

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2004 LN2 A2
7/15/2041
5.12
6,017,872

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 A3A2
9/12/2037
4.93
2,517,796

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 A4
9/12/2037
4.90
575,867

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB12 AM
9/12/2037
4.95
299,353

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB13 A3A1
1/12/2043
5.29
501,051

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP2 AM
7/15/2042
4.78
809,865

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP2 ASB
7/15/2042
4.66
201,834

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP4 AM
10/15/2042
5.00
1,772,931

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 LDP5 A2
12/15/2044
5.20
1,928,224

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB14 ASB
12/12/2044
5.51
2,353,060

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 CB16 AM
5/12/2045
5.59
175,912

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP6 AM
4/15/2043
5.53
211,838

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP7 A4
4/15/2045
5.87
391,276

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP7 ASB
4/15/2045
5.87
1,578,210

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP8 A4
5/15/2045
5.40
172,221

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP8 AM
5/15/2045
5.44
925,706

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP9 A2S
5/15/2047
5.30
4,762,469

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2006 LDP9 A3
5/15/2047
5.34
1,166,863

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 C1 A3
2/15/2051
5.79
1,151,223


99
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 CB20 AM
2/12/2051
5.88
3,147,988

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 CB20 AMFX
2/12/2051
5.93
462,661

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD11 A2
6/15/2049
11.59
7,281,548

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LD12 A2
2/15/2051
5.83
1,229,118

JP MORGAN CHASE COMMERCIAL MOR JPMCC 2007 LDPX A2S
1/15/2049
5.31
5,153,957

JP MORGAN MORTGAGE TRUST JPMMT 2004 A3 1A1
7/25/2034
2.79
1,133,844

JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1
2/25/2035
5.02
1,209,999

JPMCB LIQUIDITY FUND JP MORGAN SHORT TERM EQUITY IN
 
 
914,464,090

JPMORGAN CHASE + CO COMMON STOCK USD1.
 
 
32,436,361

JPMORGAN CHASE + CO SR UNSECURED 01/15 3.7
1/20/2015
7.40
7,950,312

JPMORGAN CHASE + CO SR UNSECURED 01/18 6.
1/15/2018
12.00
5,578,891

JPMORGAN CHASE + CO SR UNSECURED 01/22 4.5
1/24/2022
4.50
2,828,093

JPMORGAN CHASE + CO SR UNSECURED 03/16 3.45
3/1/2016
3.45
24,213,851

JPMORGAN CHASE + CO SR UNSECURED 04/19 6.3
4/23/2019
12.60
419,479

JPMORGAN CHASE + CO SR UNSECURED 05/13 4.75
5/1/2013
4.75
2,028,866

JPMORGAN CHASE + CO SR UNSECURED 05/21 4.625
5/10/2021
9.25
3,876,575

JPMORGAN CHASE + CO SR UNSECURED 07/16 3.15
7/5/2016
3.15
8,708,679

JPMORGAN CHASE + CO SR UNSECURED 07/20 4.4
7/22/2020
4.40
953,873

JPMORGAN CHASE + CO SR UNSECURED 08/17 2.
8/15/2017
2.00
6,884,883

JPMORGAN CHASE + CO SR UNSECURED 10/15 1.1
10/15/2015
2.20
7,109,780

JPMORGAN CHASE + CO SR UNSECURED 10/20 4.25
10/15/2020
4.25
5,783,060

JPMORGAN CHASE + CO SUBORDINATED 06/17 6.125
6/27/2017
6.13
5,958,218

JPMORGAN CHASE + CO SUBORDINATED 09/14 5.125
9/15/2014
10.25
1,127,357

JPMORGAN CHASE + CO SUBORDINATED 10/15 5.15
10/1/2015
10.30
3,858,006

JSE LTD COMMON STOCK ZAR.001
 
 
192,757

JULIUS BAER EMERG NKT EQ II COLLECTIVE INV FUND
 
 
26,342,202

JUMBO SA COMMON STOCK EUR1.19
 
 
86,579

JUNGHEINRICH PRFD PREFERENCE
 
 
244,692

JUNIPER NETWORKS INC COMMON STOCK USD.00001
 
 
6,360,885

JYOTHY LABORATORIES LTD COMMON STOCK INR1.
 
 
231,525

JYSKE BANK REG COMMON STOCK DKK10.
 
 
172,116

KABEL DEUTSCHLAND HOLDING AG COMMON STOCK NPV
 
 
694,283

KADANT INC COMMON STOCK USD.01
 
 
1,503,144

KAKAKU.COM INC COMMON STOCK
 
 
4,290,985

KALBE FARMA TBK PT COMMON STOCK IDR10.
 
 
77,981

KANSAS CITY SOUTHERN COMMON STOCK USD.01
 
 
1,385,768


100
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

KBC GROEP NV COMMON STOCK NPV
 
 
723,655

KDDI CORP COMMON STOCK
 
 
1,253,710

KEIYO BANK LTD/THE COMMON STOCK
 
 
188,978

KELLOGG CO COMMON STOCK USD.25
 
 
1,476,116

KELLOGG CO SR UNSECURED 05/15 1.125
5/15/2015
2.25
6,028,901

KELLOGG CO SR UNSECURED 05/16 4.45
5/30/2016
4.45
221,246

KELLOGG CO SR UNSECURED 05/17 1.75
5/17/2017
1.75
487,794

KELLOGG CO SR UNSECURED 11/16 1.875
11/17/2016
1.88
308,144

KERR MCGEE CORP COMPANY GUAR 07/24 6.95
7/1/2024
6.95
2,685,928

KERR MCGEE CORP COMPANY GUAR 09/31 7.875
9/15/2031
7.88
13,283

KEY BANK NA SUBORDINATED 07/14 5.8
7/1/2014
5.80
535,582

KEY ENERGY SERVICES INC COMMON STOCK USD.1
 
 
903,257

KEYCORP SR UNSECURED 03/21 5.1
3/24/2021
10.20
460,179

KEYCORP SR UNSECURED 05/13 6.5
5/14/2013
6.50
577,127

KIMBERLY CLARK CORP SR UNSECURED 08/13 5.
8/15/2013
5.00
319,222

KINDER MORGAN ENER PART SR UNSECURED 02/17 6.
2/1/2017
18.00
3,428,103

KINDER MORGAN ENER PART SR UNSECURED 02/20 6.85
2/15/2020
6.85
50,397

KINDER MORGAN ENER PART SR UNSECURED 02/23 3.45
2/15/2023
3.45
628,239

KINDER MORGAN ENER PART SR UNSECURED 09/22 3.95
9/1/2022
3.95
2,844,221

KINDER MORGAN ENER PART SR UNSECURED 12/13 5.
12/15/2013
10.00
747,222

KINDER MORGAN INC COMMON STOCK USD.01
 
 
18,145,488

KINDER MORGAN INC WTS CALL EXP 02/15/2017
 
 
739,746

KINGBOARD LAMINATES HOLDINGS COMMON STOCK HKD.1
 
 
134,347

KINGSGATE CONSOLIDATED LTD COMMON STOCK NPV
 
 
259,490

KINTETSU WORLD EXPRESS INC COMMON STOCK
 
 
495,259

KOHLS CORP COMMON STOCK USD.01
 
 
1,071,491

KOLAO HOLDINGS COMMON STOCK USD.25
 
 
216,367

KOMATSU LTD COMMON STOCK
 
 
1,389,233

KONINKLIJKE DSM NV COMMON STOCK EUR1.5
 
 
1,442,772

KOREA DEVELOPMENT BANK SR UNSECURED 08/17 3.5
8/22/2017
3.50
898,743

KOREA DEVELOPMENT BANK SR UNSECURED 09/22 3.
9/14/2022
3.00
597,682

KOREA HYDRO + NUCLEAR PO SR UNSECURED 144A 09/15 3.125
9/16/2015
3.13
323,701

KOREA INVESTMENT HOLDINGS CO COMMON STOCK KRW5000.
 
 
351,346

KOREA TREASURY BOND SR UNSECURED 03/17 3.5
3/10/2017
3.50
1,123,178

KOREA TREASURY BOND SR UNSECURED 06/15 3.25
6/10/2015
3.25
888,617

KOREA TREASURY BOND SR UNSECURED 06/22 3.75
6/10/2022
3.75
749,184

KOREA TREASURY BOND SR UNSECURED 09/18 5.75
9/10/2018
5.75
1,176,793

KOREA TREASURY BOND SR UNSECURED 12/31 4.
12/10/2031
4.00
272,614


101
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

KOREAN REINSURANCE CO COMMON STOCK KRW500.
 
 
211,680

KRAFT FOODS GROUP INC COMMON STOCK
 
 
2,125,541

KRAFT FOODS GROUP INC SR UNSECURED 144A 02/20 5.375
2/10/2020
21.50
3,880,691

KRAFT FOODS GROUP INC SR UNSECURED 144A 06/15 1.625
6/4/2015
1.63
4,178,960

KRAFT FOODS GROUP INC SR UNSECURED 144A 06/22 3.5
6/6/2022
7.00
2,668,418

KRAFT FOODS GROUP INC SR UNSECURED 144A 06/42 5.
6/4/2042
5.00
84,337

KRAFT FOODS GROUP INC SR UNSECURED 144A 08/18 6.125
8/23/2018
6.13
262,177

KRATON PERFORMANCE POLYMERS COMMON STOCK USD.01
 
 
1,746,020

KRISPY KREME DOUGHNUTS INC COMMON STOCK NPV
 
 
1,950,008

KROGER CO/THE COMPANY GUAR 01/14 7.5
1/15/2014
7.50
433,212

KROGER CO/THE COMPANY GUAR 01/15 4.95
1/15/2015
4.95
431,292

KROGER CO/THE COMPANY GUAR 04/38 6.9
4/15/2038
6.90
5,182,077

KROGER CO/THE SR UNSECURED 01/17 2.2
1/15/2017
2.20
320,359

L OCCITANE INTERNATIONAL SA COMMON STOCK EUR.03
 
 
371,200

L OREAL COMMON STOCK EUR.2
 
 
1,392,821

LAB CORP OF AMER HLDGS SR UNSECURED 05/16 3.125
5/15/2016
3.13
526,809

LABORATORY CORP OF AMER SR UNSECURED 12/15 5.625
12/15/2015
5.63
338,352

LABORATORY CRP OF AMER HLDGS COMMON STOCK USD.1
 
 
1,628,456

LAM RESEARCH CORP COMMON STOCK USD.001
 
 
7,044,880

LANCASHIRE HOLDINGS LTD COMMON STOCK USD.5
 
 
336,574

LAREDO PETROLEUM HOLDINGS IN COMMON STOCK USD.01
 
 
995,168

LARGAN PRECISION CO LTD COMMON STOCK TWD10.
 
 
267,916

LASALLE HOTEL PROPERTIES REIT USD.01
 
 
2,298,481

LB COMMERCIAL CONDUIT MORTGAGE LBCMT 2007 C3 A4
7/15/2044
6.08
7,050,074

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2003 C7 A3
9/15/2027
4.56
316,321

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2004 C2 A4
3/15/2036
4.37
707,292

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C2 A5
4/15/2030
5.15
372,027

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C7 AM
11/15/2040
5.26
736,439

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C1 A2
2/15/2031
5.08
65,593

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C6 A4
9/15/2039
5.37
816,306

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A2
11/15/2038
10.60
2,705,011

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 A3
11/15/2038
5.35
6,785,760

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2006 C7 AM
11/15/2038
5.38
3,134,301

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C2 A2
2/15/2040
5.30
115,382


102
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C6 A2
7/15/2040
5.85
1,531,197

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C6 A4
7/15/2040
11.72
3,969,345

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C6 AM
7/15/2040
6.11
3,505,261

LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C7 A3
9/15/2045
17.60
11,733,908

LBG CAPITAL NO.1 PLC BANK GUARANT 05/20 7.5884
5/12/2020
7.59
679,459

LBG CAPITAL NO.1 PLC BANK GUARANT 08/20 7.869
8/25/2020
7.87
1,206,122

LBG CAPITAL NO.1 PLC BANK GUARANT 10/20 7.625
10/14/2020
7.63
543,808

LBG CAPITAL NO.2 PLC BANK GUARANT 12/19 15.
12/21/2019
15.00
185,499

LEHMAN BROS CAP TR VII LIMITD GUARA 11/49 VAR
12/31/2049
5.86
287

LEHMAN BROTHERS HOLDINGS JR SUBORDINA 07/17 6.5
7/19/2017
6.50
205

LEHMAN BROTHERS HOLDINGS SUBORDINATED 12/17 6.75
12/28/2017
13.50
1,234

LEHMAN XS TRUST LXS 2005 5N 1A1
11/25/2035
0.51
1,726,211

LEHMAN XS TRUST LXS 2006 14N 3A2
8/25/2036
0.33
1,580,977

LENDER PROCESSING SERVICES COMMON STOCK USD.0001
 
 
3,163,670

LG DISPLAY CO LTD COMMON STOCK KRW5000.
 
 
2,008,465

LG ELECTRONICS INC COMMON STOCK KRW5000.
 
 
2,537,492

LG+E + KU ENERGY LLC SR UNSECURED 11/15 2.125
11/15/2015
2.13
408,447

LIBERTY INTERACTIVE CORP A COMMON STOCK USD.01
 
 
14,813,136

LIBERTY PROPERTY TRUST REIT USD.001
 
 
2,124,738

LIFE TIME FITNESS INC COMMON STOCK USD.02
 
 
1,551,345

LINCOLN NATIONAL CORP SR UNSECURED 02/14 4.75
2/15/2014
4.75
229,234

LINDE AG COMMON STOCK NPV
 
 
2,140,555

LINKEDIN CORP A COMMON STOCK USD.0001
 
 
7,303,700

LIVEPERSON INC COMMON STOCK USD.001
 
 
1,512,940

LKQ CORP COMMON STOCK USD.01
 
 
782,177

LLOYDS BANKING GROUP PLC COMMON STOCK GBP.1
 
 
2,112,594

LLOYDS TSB BANK PLC BANK GUARANT 01/16 4.875
1/21/2016
4.88
1,058,774

LLOYDS TSB BANK PLC BANK GUARANT 144A 01/20 5.8
1/13/2020
5.80
4,447,075

LOCKHEED MARTIN CORP COMMON STOCK USD1.
 
 
13,584,165

LOCKHEED MARTIN CORP COMPANY GUAR 05/16 7.65
5/1/2016
7.65
133,211

LOCKHEED MARTIN CORP SR UNSECURED 09/16 2.125
9/15/2016
2.13
310,829

LOCKHEED MARTIN CORP SR UNSECURED 11/19 4.25
11/15/2019
4.25
687,818

LONZA GROUP AG REG COMMON STOCK CHF1.
 
 
144,950

LORILLARD INC COMMON STOCK USD.01
 
 
4,195,453

LORILLARD TOBACCO CO COMPANY GUAR 08/16 3.5
8/4/2016
3.50
2,756,608

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/42 FIXED 6.6
8/1/2042
6.60
422,384

LOS ANGELES CA CMNTY CLG DIST LOSHGR 08/49 FIXED 6.75
8/1/2049
6.75
395,091


103
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

LOS ANGELES CA DEPT OF ARPTS LOSAPT 05/39 FIXED 6.582
5/15/2039
6.58
52,119

LOS ANGELES CA UNIF SCH DIST LOSSCD 07/34 FIXED 6.758
7/1/2034
6.76
529,244

LOWE S COS INC COMMON STOCK USD.5
 
 
2,850,480

LULULEMON ATHLETICA INC COMMON STOCK USD.01
 
 
4,824,978

LUNG YEN LIFE SERVICE CORP COMMON STOCK TWD10.
 
 
206,068

LVMH MOET HENNESSY LOUIS VUI COMMON STOCK EUR.3
 
 
2,319,997

M3 INC COMMON STOCK
 
 
2,798,552

MACQUARIE BANK LTD SR UNSECURED 144A 02/17 5.
2/22/2017
5.00
224,209

MACQUARIE EQUIPMENT FUNDING TR MEFT 2012 A A2 144A
4/20/2015
0.61
1,999,712

MACQUARIE GROUP LTD SR UNSECURED 144A 08/14 7.3
8/1/2014
7.30
506,995

MACYS RETAIL HLDGS INC COMPANY GUAR 12/16 5.9
12/1/2016
11.80
358,379

MAGELLAN HEALTH SERVICES INC COMMON STOCK USD.01
 
 
2,555,425

MAGNUM HUNTER RESOURCES CORP COMMON STOCK USD.01
 
 
715,176

MAGNUM HUNTER RESOURCES WTS EXP 14OCT2013
 
 
755

MAJAPAHIT HOLDING BV COMPANY GUAR 144A 01/20 7.75
1/20/2020
7.75
930,550

MALAYSIAN GOVERNMENT SR UNSECURED 11/19 4.378
11/29/2019
4.38
380,872

MALAYSIAN GOVERNMENT UNSECURED 03/27 3.892
3/15/2027
3.89
301,003

MALAYSIAN GOVERNMENT UNSECURED 10/17 3.314
10/31/2017
3.31
524,603

MANITOWOC COMPANY INC COMMON STOCK USD.01
 
 
1,238,720

MANULIFE FINANCIAL CORP SR UNSECURED 09/15 3.4
9/17/2015
3.40
6,230,209

MARATHON OIL CORP COMMON STOCK USD1.
 
 
7,704,858

MARATHON OIL CORP SR UNSECURED 11/15 0.9
11/1/2015
0.90
2,702,176

MARKET VECTORS GOLD MINERS ETF MARKET VECTORS GOLD MINERS
 
 
3,600,606

MARKETAXESS HOLDINGS INC COMMON STOCK USD.003
 
 
1,122,893

MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1
4/25/2038
1.27
90,287

MASSMUTUAL GLOBAL FUNDIN SECURED 144A 10/22 2.5
10/17/2022
2.50
98,322

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/16 3.125
4/14/2016
6.25
318,081

MASSMUTUAL GLOBAL FUNDIN SR SECURED 144A 04/17 2.
4/5/2017
2.00
350,305

MASSMUTUTAL GLOB FNDG II SR SECURED 144A 07/18 5.25
7/31/2018
5.25
2,653,593

MASTERCARD INC CLASS A COMMON STOCK USD.0001
 
 
43,445,856

MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 3A1
12/25/2033
2.80
1,435,582

MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 7A1
9/25/2019
5.00
365,981

MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2
11/25/2036
0.32
2,957,437

MASTR ASSET SECURITIZATION TRU MASTR 2003 11 6A16
12/25/2033
5.25
1,604,379


104
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A1 144A
8/25/2034
6.00
123,016

MAXIM INTEGRATED PRODUCTS COMMON STOCK USD.001
 
 
13,896,292

MAXIMUS INC COMMON STOCK NPV
 
 
1,497,682

MBNA CREDIT CARD MASTER NOTE T MBNAS 2003 A10 A10
3/15/2016
0.47
2,064,235

MBNA CREDIT CARD MASTER NOTE T MBNAS 2006 A5 A5
10/15/2015
0.27
5,133,408

MCDONALD S CORP COMMON STOCK USD.01
 
 
8,346,430

MCDONALD S CORP SR UNSECURED 03/18 5.35
3/1/2018
5.35
3,871,835

MCDONALD S CORP SR UNSECURED 05/15 0.75
5/29/2015
1.50
10,181,391

MCDONALD S CORP SR UNSECURED 05/19 1.875
5/29/2019
1.88
432,451

MCDONALD S CORP SR UNSECURED 07/40 4.875
7/15/2040
4.88
95,772

MCDONALD S CORP SR UNSECURED 10/17 5.8
10/15/2017
5.80
1,233,186

MCGRAW HILL COMPANIES INC COMMON STOCK USD1.
 
 
2,069,806

MCKESSON CORP COMMON STOCK USD.01
 
 
13,034,818

MCKESSON CORP SR UNSECURED 03/17 5.7
3/1/2017
5.70
1,535,802

MEDA AB A SHS COMMON STOCK NPV
 
 
203,769

MEDIATEK INC COMMON STOCK TWD10.
 
 
10,694,583

MEDICINES COMPANY COMMON STOCK USD.001
 
 
2,543,217

MEDIDATA SOLUTIONS INC COMMON STOCK USD.01
 
 
1,142,780

MEDNAX INC COMMON STOCK USD.01
 
 
9,099,712

MEDTRONIC INC COMMON STOCK USD.1
 
 
9,033,014

MEDTRONIC INC SR UNSECURED 03/15 3.
3/15/2015
3.00
4,098,007

MEDTRONIC INC SR UNSECURED 03/20 4.45
3/15/2020
8.90
1,359,084

MEDTRONIC INC SR UNSECURED 03/22 3.125
3/15/2022
3.13
276,048

MEDUSA MINING LTD COMMON STOCK NPV
 
 
228,840

MELLON FUNDING CORP COMPANY GUAR 12/14 5.
12/1/2014
5.00
161,236

MEN S WEARHOUSE INC/THE COMMON STOCK USD.01
 
 
3,312,121

MERCEDES BENZ AUTO LEASE TRUST MBALT 2011 B A2 144A
1/15/2014
0.90
426,192

MERCEDES BENZ AUTO LEASE TRUST MBALT 2012 A A2
4/15/2014
0.66
5,935,780

MERCEDES BENZ AUTO RECEIVABLES MBART 2009 1 A3
1/15/2014
1.67
221,247

MERCEDES BENZ AUTO RECEIVABLES MBART 2010 1 A3
8/15/2014
1.42
172,397

MERCEDES BENZ AUTO RECEIVABLES MBART 2012 1 A3
10/17/2016
0.47
2,214,149

MERCIALYS REIT EUR1.
 
 
153,752

MERCK + CO INC COMPANY GUAR 12/13 5.3
12/1/2013
5.30
2,043,849

MERCK + CO INC SR UNSECURED 01/21 3.875
1/15/2021
3.88
2,137,879

MERCK + CO INC SR UNSECURED 09/17 6.
9/15/2017
12.00
4,657,204

MERCK + CO. INC. COMMON STOCK USD.5
 
 
14,107,310

MEREDITH CORP COMMON STOCK USD1.
 
 
1,418,479

MERITAGE HOMES CORP COMMON STOCK USD.01
 
 
842,990


105
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

MERRILL LYNCH + CO SR UNSECURED 01/15 5.
1/15/2015
5.00
4,380,038

MERRILL LYNCH + CO SR UNSECURED 02/14 5.
2/3/2014
5.00
4,219,824

MERRILL LYNCH + CO SR UNSECURED 04/18 6.875
4/25/2018
13.75
28,460,769

MERRILL LYNCH + CO SR UNSECURED 08/17 6.4
8/28/2017
6.40
15,149,180

MERRILL LYNCH + CO SR UNSECURED 11/18 6.875
11/15/2018
6.88
575,328

MERRILL LYNCH + CO SUBORDINATED 05/16 6.05
5/16/2016
12.10
7,117,041

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 1A
7/25/2035
2.90
1,596,134

MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A5 A3
6/25/2035
2.57
11,365,158

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 LC1 AM
1/12/2044
5.31
298,391

MERRILL LYNCH MORTGAGE TRUST MLMT 2005 MKB2 A4
9/12/2042
5.20
541,597

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 A4
5/12/2039
5.68
4,014,927

MERRILL LYNCH MORTGAGE TRUST MLMT 2006 C1 AM
5/12/2039
5.68
1,514,010

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A2
6/12/2050
5.75
873,875

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A3
6/12/2050
5.85
276,479

MERRILL LYNCH MORTGAGE TRUST MLMT 2007 C1 A4
6/12/2050
5.85
310,605

MERRILL LYNCH MORTGAGE TRUST MLMT 2008 C1 A4
2/12/2051
5.69
165,690

MET LIFE GLOB FUNDING I SR SECURED 144A 01/15 2.
1/9/2015
2.00
3,080,949

MET LIFE GLOB FUNDING I SR SECURED 144A 04/13 5.125
4/10/2013
5.13
101,252

MET LIFE GLOB FUNDING I SR SECURED 144A 04/22 3.875
4/11/2022
3.88
309,955

MET LIFE GLOB FUNDING I SR SECURED 144A 09/15 2.5
9/29/2015
2.50
2,555,732

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/24 FIXED 5
11/15/2024
5.00
1,204,700

MET TRANSPRTN AUTH NY REVENUE MTATRN 11/39 FIXED 6.668
11/15/2039
6.67
390,717

MET WTR DIST OF STHRN CA METWTR 07/40 FIXED 6.947
7/1/2040
6.95
74,675

METHANEX CORP COMMON STOCK NPV
 
 
190,901

METLIFE INC COMMON STOCK USD.01
 
 
10,109,286

METLIFE INC JR SUBORDINA 12/66 6.4
12/15/2066
6.40
4,699,248

METLIFE INC SR UNSECURED 02/14 2.375
2/6/2014
7.13
7,442,768

METLIFE INC SR UNSECURED 02/19 7.717
2/15/2019
7.72
891,486

METLIFE INC SR UNSECURED 12/22 3.048
12/15/2022
3.05
652,843

METLIFE INSTITUTIONAL FD SECURED 144A 04/15 1.625
4/2/2015
1.63
4,024,106

MEX BONOS DESARR FIX RT BONDS 06/17 5.
6/15/2017
5.00
712,193

MEX BONOS DESARR FIX RT BONDS 06/20 8.
6/11/2020
8.00
1,445,870

MEX BONOS DESARR FIX RT BONDS 06/21 6.5
6/10/2021
6.50
2,263,624

MEX BONOS DESARR FIX RT BONDS 06/22 6.5
6/9/2022
6.50
2,974,388

MEX BONOS DESARR FIX RT BONDS 12/14 9.5
12/18/2014
9.50
1,843,980

MEX BONOS DESARR FIX RT BONDS 12/17 7.75
12/14/2017
7.75
5,820,085

MEX BONOS DESARR FIX RT BONDS 12/24 10.
12/5/2024
10.00
4,590,339

MEXICAN CETES BILLS 04/13 0.00000
4/4/2013
 
42,420,101

MICROCHIP TECHNOLOGY INC COMMON STOCK USD.001
 
 
3,946,486


106
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

MICRON TECHNOLOGY INC COMMON STOCK USD.1
 
 
493,649

MICROS SYSTEMS INC COMMON STOCK USD.0125
 
 
3,029,240

MICROSEMI CORP COMMON STOCK USD.2
 
 
1,984,072

MICROSOFT CORP COMMON STOCK USD.006.25
 
 
33,172,732

MICROSOFT CORP SR UNSECURED 02/16 2.5
2/8/2016
2.50
515,801

MICROSOFT CORP SR UNSECURED 06/14 2.95
6/1/2014
2.95
5,246,405

MICROSOFT CORP SR UNSECURED 09/13 0.875
9/27/2013
0.88
5,021,740

MICROSOFT CORP SR UNSECURED 10/20 3.
10/1/2020
3.00
1,413,689

MICROSTRATEGY INC CL A COMMON STOCK USD.001
 
 
1,267,634

MID AMERICA APARTMENT COMM REIT USD.01
 
 
1,461,796

MIDAMERICAN ENERGY HLDGS SR UNSECURED 04/18 5.75
4/1/2018
17.25
9,579,809

MIDAMERICAN ENERGY HLDGS SR UNSECURED 09/37 6.5
9/15/2037
6.50
478,159

MIDDLEBY CORP COMMON STOCK USD.01
 
 
1,042,347

MILLS ESTRUTURAS E SERVICOS COMMON STOCK NPV
 
 
171,038

MINERAL DEPOSITS LTD COMMON STOCK NPV
 
 
146,545

MINERALS TECHNOLOGIES INC COMMON STOCK USD.1
 
 
2,077,437

MISSISSIPPI ST MSS 11/17 FLOATING VAR
11/1/2017
—
1,400,042

MITSUBISHI UFJ FINANCIAL GRO COMMON STOCK
 
 
1,775,435

MIZRAHI TEFAHOT BANK LTD COMMON STOCK ILS.1
 
 
430,177

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 1 AM
2/12/2039
5.53
1,256,505

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 2 AM
6/12/2046
5.90
355,226

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A2
12/12/2049
5.11
193,433

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 A3
12/12/2049
5.17
2,275,634

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2006 4 AM
12/12/2049
5.20
398,010

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 6 A4
3/12/2051
5.49
403,843

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 7 ASB
6/12/2050
5.75
1,077,328

ML CFC COMMERCIAL MORTGAGE TRU MLCFC 2007 9 A4
9/12/2049
5.70
357,677

MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1
4/25/2035
2.50
929,749

MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2
4/25/2035
2.50
1,760,211

MLCC MORTGAGE INVESTORS INC MLCC 2005 2 3A
10/25/2035
1.21
988,084

MODERN TIMES GROUP B SHS COMMON STOCK NPV
 
 
101,014

MOHAWK INDUSTRIES INC COMMON STOCK USD.01
 
 
2,587,442

MOLSON COORS BREWING CO COMPANY GUAR 05/17 2.
5/1/2017
2.00
312,449

MOLSON COORS BREWING CO COMPANY GUAR 05/22 3.5
5/1/2022
3.50
253,378

MONADELPHOUS GROUP LTD COMMON STOCK NPV
 
 
313,868

MONDELEZ INTERNATIONAL INC A COMMON STOCK NPV
 
 
4,020,210

MONDELEZ INTERNATIONAL SR UNSECURED 02/13 6.
2/11/2013
12.00
1,035,638

MONDELEZ INTERNATIONAL SR UNSECURED 02/16 4.125
2/9/2016
4.13
305,061

MONDELEZ INTERNATIONAL SR UNSECURED 02/18 6.125
2/1/2018
12.25
1,138,898

MONDELEZ INTERNATIONAL SR UNSECURED 02/20 5.375
2/10/2020
16.13
2,575,088


107
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

MONDELEZ INTERNATIONAL SR UNSECURED 05/13 2.625
5/8/2013
2.63
5,761,297

MONDELEZ INTERNATIONAL SR UNSECURED 08/18 6.125
8/23/2018
6.13
590,080

MONDELEZ INTERNATIONAL SR UNSECURED 11/31 6.5
11/1/2031
6.50
70,889

MONOLITHIC POWER SYSTEMS INC COMMON STOCK USD.001
 
 
1,203,075

MONONGAHELA POWER CO 1ST MORTGAGE 06/14 6.7
6/15/2014
6.70
540,914

MONSANTO CO COMMON STOCK USD.01
 
 
35,110,418

MONSANTO CO SR UNSECURED 04/16 2.75
4/15/2016
2.75
105,751

MOODY S CORP COMMON STOCK USD.01
 
 
2,518,013

MOOG INC CLASS A COMMON STOCK USD1.
 
 
2,294,028

MORGAN STANLEY CAPITAL I TRUST MSC 2004 HQ4 A7
4/14/2040
4.97
5,264,090

MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 AAB
11/14/2042
1.00
1,061,107

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ8 A4
3/12/2044
5.42
3,354,540

MORGAN STANLEY CAPITAL I TRUST MSC 2006 HQ9 AM
7/12/2044
5.77
416,846

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ11 A4
10/15/2042
5.69
2,427,124

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ11 AM
10/15/2042
5.70
200,977

MORGAN STANLEY CAPITAL I TRUST MSC 2006 IQ12 A4
12/15/2043
10.66
3,451,953

MORGAN STANLEY CAPITAL I TRUST MSC 2006 T21 A3
10/12/2052
5.19
1,824,233

MORGAN STANLEY CAPITAL I TRUST MSC 2006 T21 AAB
10/12/2052
5.17
313,078

MORGAN STANLEY CAPITAL I TRUST MSC 2007 HQ11 A31
2/12/2044
5.44
918,226

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ14 A2
4/15/2049
11.22
3,335,859

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ15 A4
6/11/2049
5.88
3,750,269

MORGAN STANLEY CAPITAL I TRUST MSC 2007 IQ16 A4
12/12/2049
5.81
3,286,877

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 A3
11/12/2049
5.51
579,988

MORGAN STANLEY CAPITAL I TRUST MSC 2007 T27 AAB
6/11/2042
5.65
96,218

MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M1
12/25/2034
0.89
3,138,194

MORGAN STANLEY COMMON STOCK USD.01
 
 
5,469,161

MORGAN STANLEY NOTES 04/18 6.625
4/1/2018
19.88
3,076,081

MORGAN STANLEY RE REMIC TRUST 03/51 1
3/27/2051
1.00
256,923

MORGAN STANLEY REREMIC TRUST MSRR 2010 C30A A3A 144A
12/17/2043
3.25
191,301

MORGAN STANLEY REREMIC TRUST MSRR 2010 GG10 A4A 144A
8/15/2045
5.79
70,004

MORGAN STANLEY REREMIC TRUST MSRR 2010 HQ4B A7A 144A
4/16/2040
4.97
1,007,914

MORGAN STANLEY SR UNSECURED 01/14 2.875
1/24/2014
2.88
4,742,374

MORGAN STANLEY SR UNSECURED 01/15 4.1
1/26/2015
4.10
547,166

MORGAN STANLEY SR UNSECURED 01/21 5.75
1/25/2021
11.50
2,969,291

MORGAN STANLEY SR UNSECURED 03/13 5.3
3/1/2013
5.30
3,318,035

MORGAN STANLEY SR UNSECURED 03/17 4.75
3/22/2017
4.75
360,017

MORGAN STANLEY SR UNSECURED 04/13 VAR
4/29/2013
1.29
23,152,391

MORGAN STANLEY SR UNSECURED 04/15 6.
4/28/2015
12.00
2,826,495


108
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

MORGAN STANLEY SR UNSECURED 04/16 3.8
4/29/2016
3.80
734,850

MORGAN STANLEY SR UNSECURED 04/16 VAR
4/13/2016
0.61
137,835

MORGAN STANLEY SR UNSECURED 05/14 6.
5/13/2014
12.00
5,464,285

MORGAN STANLEY SR UNSECURED 05/19 7.3
5/13/2019
14.60
6,562,188

MORGAN STANLEY SR UNSECURED 07/14 2.875
7/28/2014
5.75
6,004,315

MORGAN STANLEY SR UNSECURED 07/21 5.5
7/28/2021
11.00
3,264,200

MORGAN STANLEY SR UNSECURED 08/17 6.25
8/28/2017
6.25
2,975,835

MORGAN STANLEY SR UNSECURED 09/19 5.625
9/23/2019
11.25
1,538,133

MORGAN STANLEY SR UNSECURED 10/16 5.75
10/18/2016
5.75
2,327,993

MORGAN STANLEY SR UNSECURED 10/16 VAR
10/18/2016
1.55
1,017,179

MORGAN STANLEY SR UNSECURED 11/14 4.2
11/20/2014
8.40
4,658,736

MORGAN STANLEY SR UNSECURED 12/17 5.95
12/28/2017
11.90
17,257,837

MORGAN STANLEY SUBORDINATED 04/14 4.75
4/1/2014
14.25
3,618,985

MORGAN STANLEY SUBORDINATED 11/22 4.875
11/1/2022
4.88
408,981

MORNEAU SHEPELL INC COMMON STOCK
 
 
170,915

MOSAIC CO/THE COMMON STOCK USD.01
 
 
438,883

MOTEL 6 TRUST MOTEL 2012 MTL6 A2 144A
10/5/2025
1.95
3,546,301

MOTOROLA SOLUTIONS INC COMMON STOCK USD.01
 
 
5,056,858

MRC GLOBAL INC COMMON STOCK USD.01
 
 
2,197,398

MSC INDUSTRIAL DIRECT CO A COMMON STOCK USD.001
 
 
723,497

MULTIPLUS SA COMMON STOCK NPV
 
 
272,686

MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.637
4/1/2057
6.64
11,945

MYLAN INC COMMON STOCK USD.5
 
 
1,546,437

NABORS INDUSTRIES INC COMPANY GUAR 01/19 9.25
1/15/2019
9.25
1,923,581

NABORS INDUSTRIES INC COMPANY GUAR 02/18 6.15
2/15/2018
6.15
1,076,078

NAGAILEBEN CO LTD COMMON STOCK
 
 
190,856

NASDAQ OMX GROUP SR UNSECURED 01/15 4.
1/15/2015
4.00
523,388

NASDAQ OMX GROUP/THE COMMON STOCK USD.01
 
 
3,051,220

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 01/13 2.5
1/8/2013
2.50
725,182

NATIONAL AUSTRALIA BANK SR UNSECURED 144A 04/14 2.25
4/11/2014
2.25
305,759

NATIONAL AUSTRALIA BK LT SR UNSECURED 08/15 1.6
8/7/2015
1.60
3,603,321

NATIONAL BANK OF CANADA BANK GUARANT 06/15 1.5
6/26/2015
1.50
5,421,319

NATIONAL FINANCIAL PARTNERS COMMON STOCK USD.1
 
 
1,528,631

NATIONAL GRID PLC COMMON STOCK GBP.139535
 
 
1,289,019

NATIONAL INSTRUMENTS CORP COMMON STOCK USD.01
 
 
2,547,447

NATIONAL OILWELL VARCO I SR UNSECURED 12/17 1.35
12/1/2017
1.35
226,432

NATIONAL OILWELL VARCO INC COMMON STOCK USD.01
 
 
4,562,363

NATIONAL RETAIL PROPERTIES REIT USD.01
 
 
1,044,264

NATIONAL RURAL UTIL COOP COLLATERAL T 11/13 1.125
11/1/2013
1.13
3,274,999


109
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

NATIONAL RURAL UTIL COOP COLLATERAL T 11/15 1.9
11/1/2015
1.90
804,582

NATIONAL SEMICONDUCTOR SR UNSECURED 04/15 3.95
4/15/2015
3.95
893,920

NBCUNIVERSAL MEDIA LLC SR UNSECURED 01/23 2.875
1/15/2023
5.75
2,801,871

NBCUNIVERSAL MEDIA LLC SR UNSECURED 04/15 3.65
4/30/2015
3.65
4,223,346

NBCUNIVERSAL MEDIA LLC SR UNSECURED 04/16 2.875
4/1/2016
2.88
316,274

NBCUNIVERSAL MEDIA LLC SR UNSECURED 04/20 5.15
4/30/2020
5.15
207,455

NBCUNIVERSAL MEDIA LLC SR UNSECURED 04/40 6.4
4/30/2040
6.40
352,857

NCUA GUARANTEED NOTES NGN 2010 C1 A1
10/29/2020
3.20
13,359,575

NCUA GUARANTEED NOTES NGN 2010 R3 3A
12/8/2020
2.40
819,146

NEDER WATERSCHAPSBANK SR UNSECURED 01/16 3.375
1/19/2016
3.38
143,719

NEDER WATERSCHAPSBANK SR UNSECURED REGS 01/18 4.375
1/22/2018
4.38
463,747

NEDER WATERSCHAPSBANK SR UNSECURED REGS 08/19 1.625
8/23/2019
1.63
1,349,133

NESTLE SA REG COMMON STOCK CHF.1
 
 
7,121,853

NESTLE SA SPONS ADR FOR REG ADR
 
 
4,587,316

NETAPP INC COMMON STOCK USD.001
 
 
3,193,960

NETEASE INC ADR ADR USD.0001
 
 
2,298,764

NETFLIX INC COMMON STOCK USD.001
 
 
1,024,755

NETHERLANDS GOVERNMENT BONDS 144A 01/17 2.5
1/15/2017
2.50
1,862,046

NETSUITE INC COMMON STOCK USD.01
 
 
1,191,210

NEUSTAR INC CLASS A COMMON STOCK USD.001
 
 
1,970,710

NEVADA POWER CO GENL REF MOR 01/15 5.875
1/15/2015
5.88
495,477

NEVADA POWER CO GENL REF MOR 03/19 7.125
3/15/2019
7.13
160,275

NEVADA POWER CO GENL REF MOR 08/18 6.5
8/1/2018
6.50
12,564

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/25 FIXED 5
1/1/2025
5.00
1,556,724

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/26 FIXED 5
1/1/2026
5.00
3,534,930

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/27 FIXED 5
1/1/2027
5.00
3,670,462

NEW JERSEY ST TURNPIKE AUTH NJSTRN 01/41 FIXED 7.102
1/1/2041
7.10
86,480

NEW YORK CITY NY MUNI WTR FIN NYCUTL 06/43 FIXED 5.44
6/15/2043
5.44
175,454

NEW YORK CITY NY MUNI WTR FINA NYCUTL 06/45 FIXED 5
6/15/2045
10.00
13,770,403

NEW YORK CITY NY MUNI WTR FINA NYCUTL 06/45 FIXED OID 4
6/15/2045
8.00
7,803,040

NEW YORK CITY NY TRANSITIONAL NYCGEN 11/38 FIXED 5.572
11/1/2038
5.57
174,481

NEW YORK CITY NY TRANSITIONALF NYCGEN 02/35 FIXED OID 5
2/1/2035
5.00
126,522

NEW YORK LIFE GLOBAL FDG SECURED 144A 01/15 1.3
1/12/2015
1.30
2,505,233

NEW YORK LIFE GLOBAL FDG SECURED 144A 05/17 1.65
5/15/2017
1.65
407,359

NEW YORK LIFE GLOBAL FDG SECURED 144A 07/15 0.75
7/24/2015
1.50
7,480,338


110
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 05/15 3.
5/4/2015
3.00
525,393

NEW YORK LIFE GLOBAL FDG SR SECURED 144A 07/16 2.45
7/14/2016
2.45
838,262

NEW YORK NY NYC 12/31 FIXED 6.646
12/1/2031
6.65
209,734

NEW YORK ST DORM AUTH ST PERSO NYSHGR 09/27 FIXED 5.051
9/15/2027
5.05
940,776

NEW YORK ST THRUWAY AUTH PERSO NYSTRN 03/26 FIXED 5
3/15/2026
5.00
485,384

NEW YORK ST THRUWAY AUTH PERSO NYSTRN 03/27 FIXED 5
3/15/2027
5.00
602,875

NEWMONT MINING CORP COMPANY GUAR 03/22 3.5
3/15/2022
3.50
706,484

NEWS AMERICA INC COMPANY GUAR 02/21 4.5
2/15/2021
9.00
611,208

NEWS AMERICA INC COMPANY GUAR 02/41 6.15
2/15/2041
6.15
44,330

NEWS AMERICA INC COMPANY GUAR 03/19 6.9
3/1/2019
6.90
2,493,989

NEWS AMERICA INC COMPANY GUAR 10/15 7.6
10/11/2015
7.60
446,095

NEWS AMERICA INC COMPANY GUAR 11/37 6.65
11/15/2037
6.65
142,141

NEWS AMERICA INC COMPANY GUAR 12/34 6.2
12/15/2034
6.20
60,557

NEXTERA ENERGY CAPITAL COMPANY GUAR 06/15 1.2
6/1/2015
2.40
4,259,085

NEXTERA ENERGY CAPITAL COMPANY GUAR 12/15 7.875
12/15/2015
7.88
608,521

NGPL PIPECO LLC SR SECURED 144A 12/17 7.119
12/15/2017
7.12
21,800

NIAGARA MOHAWK POWER SR UNSECURED 144A 10/14 3.553
10/1/2014
3.55
240,531

NICE SYSTEMS LTD SPONS ADR ADR
 
 
3,794,389

NIHON M+A CENTER INC COMMON STOCK
 
 
358,480

NIHON PARKERIZING CO LTD COMMON STOCK
 
 
313,977

NIKE INC CL B COMMON STOCK NPV
 
 
18,660,521

NIPPON DENKO CO LTD COMMON STOCK
 
 
159,880

NIPPON SHOKUBAI CO LTD COMMON STOCK
 
 
479,431

NIPPON THOMPSON CO LTD COMMON STOCK
 
 
337,524

NISOURCE FINANCE CORP COMPANY GUAR 03/13 6.15
3/1/2013
6.15
660,438

NISOURCE FINANCE CORP COMPANY GUAR 03/16 10.75
3/15/2016
10.75
212,318

NISOURCE FINANCE CORP COMPANY GUAR 03/18 6.4
3/15/2018
6.40
102,466

NISSAN AUTO RECEIVABLES OWNER NAROT 2009 A A4
8/17/2015
4.74
76,834

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 A A4
7/16/2018
1.00
8,498,857

NISSAN AUTO RECEIVABLES OWNER NAROT 2012 B A2
4/15/2015
0.39
10,303,904

NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 01/13 3.25
1/30/2013
3.25
560,931

NITTO DENKO CORP COMMON STOCK
 
 
1,849,743

NMC HEALTH PLC COMMON STOCK GBP.1
 
 
466,818

NOBLE ENERGY INC SR UNSECURED 03/19 8.25
3/1/2019
8.25
694,632

NOBLE ENERGY INC SR UNSECURED 12/21 4.15
12/15/2021
8.30
4,272,248

NOBLE GROUP LTD SR UNSECURED 144A 08/20 6.625
8/5/2020
6.63
61,950


111
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

NOBLE HOLDING INTL LTD COMPANY GUAR 03/17 2.5
3/15/2017
2.50
49,538

NOMURA ASSET SECURITIES CORPOR NASC 1998 D6 A4
3/15/2030
7.68
1,703,975

NOMURA HOLDINGS INC SR UNSECURED 01/16 4.125
1/19/2016
4.13
224,410

NOMURA HOLDINGS INC SR UNSECURED 03/15 5.
3/4/2015
5.00
683,868

NORDEA BANK AB COMMON STOCK NPV
 
 
651,284

NORDEA BANK AB SR UNSECURED 144A 01/14 VAR
1/14/2014
1.00
251,810

NORDEA BANK AB SR UNSECURED 144A 03/17 3.125
3/20/2017
3.13
1,810,245

NORDEA BANK AB SR UNSECURED 144A 11/14 3.7
11/13/2014
3.70
2,545,644

NORDSTROM INC SR UNSECURED 10/21 4.
10/15/2021
4.00
44,598

NORFOLK SOUTHERN CORP SR UNSECURED 04/18 5.75
4/1/2018
5.75
979,292

NORFOLK SOUTHERN CORP SR UNSECURED 05/17 7.7
5/15/2017
7.70
504,898

NORFOLK SOUTHERN CORP SR UNSECURED 06/19 5.9
6/15/2019
5.90
1,279,872

NORFOLK SOUTHERN CORP SR UNSECURED 10/42 3.95
10/1/2042
3.95
24,765

NORTHEAST UTILITIES SR UNSECURED 06/13 5.65
6/1/2013
5.65
232,740

NORTHERN ROCK ASSET MANA COVERED 03/13 3.625
3/28/2013
3.63
783,397

NORTHERN TRUST CORP SR UNSECURED 05/14 4.625
5/1/2014
4.63
795,630

NORTHERN TRUST CORP SR UNSECURED 08/13 5.5
8/15/2013
5.50
309,244

NORTHERN TRUST RUSSELL 2000 J FUND NUMBER 386 NON LENDING
 
 
1,635,699,287

NORTHROP GRUMMAN CORP COMMON STOCK USD1.
 
 
4,224,426

NORTHROP GRUMMAN CORP SR UNSECURED 08/19 5.05
8/1/2019
5.05
1,254,771

NORTHROP GRUMMAN CORP SR UNSECURED 11/15 1.85
11/15/2015
1.85
924,114

NORTHSTAR MORTGAGE TRUST NRF 2012 1 A 144A
8/25/2029
3.91
4,868,826

NORTHWEST PIPE CO COMMON STOCK USD.01
 
 
1,284,145

NOVARTIS AG ADR ADR
 
 
11,283,225

NOVARTIS AG REG COMMON STOCK CHF.5
 
 
7,391,082

NOVARTIS CAPITAL CORP COMPANY GUAR 02/14 4.125
2/10/2014
8.25
6,682,173

NOVARTIS CAPITAL CORP COMPANY GUAR 04/15 2.9
4/24/2015
5.80
6,134,085

NOVARTIS CAPITAL CORP COMPANY GUAR 09/22 2.4
9/21/2022
2.40
887,387

NOVO NORDISK A/S B COMMON STOCK DKK1.
 
 
1,985,526

NOVO NORDISK A/S SPONS ADR ADR
 
 
19,635,474

NPS PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
562,380

NSTAR ELECTRIC CO SR UNSECURED 04/14 4.875
4/15/2014
4.88
678,902

NUANCE COMMUNICATIONS INC COMMON STOCK USD.001
 
 
4,620,285

NUCOR CORP SR UNSECURED 12/17 5.75
12/1/2017
5.75
251,925

NUFARM LTD COMMON STOCK NPV
 
 
330,737

NV ENERGY INC COMMON STOCK USD1.
 
 
3,247,060

NXP BV/NXP FUNDING LLC SR SECURED 10/13 VAR
10/15/2013
2.96
176,614

NXP SEMICONDUCTORS NV COMMON STOCK
 
 
4,225,529

OBIC CO LTD COMMON STOCK
 
 
239,403


112
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/17 1.75
2/15/2017
1.75
256,359

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/21 4.1
2/1/2021
4.10
1,252,020

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/22 3.125
2/15/2022
3.13
1,872,087

OCCIDENTAL PETROLEUM COR SR UNSECURED 02/23 2.7
2/15/2023
2.70
1,744,838

OCCIDENTAL PETROLEUM CORP COMMON STOCK USD.2
 
 
11,801,771

OCEANEERING INTL INC COMMON STOCK USD.25
 
 
2,133,634

OCH ZIFF CAPITAL MANAGEMEN A LTD PART NPV
 
 
1,999,750

ODEBRECHT DRILL VIII/IX SR SECURED 144A 06/21 6.35
6/30/2021
6.35
947,278

OHIO POWER COMPANY SR UNSECURED 02/13 5.5
2/15/2013
5.50
266,542

OHIO POWER COMPANY SR UNSECURED 09/13 5.75
9/1/2013
5.75
196,564

OHIO ST MAJOR NEW STREET INFRA OHSGEN 12/23 FIXED 5
12/15/2023
5.00
1,229,990

OHIO ST OHS 05/21 FIXED 4.534
5/1/2021
4.53
11,477,400

OHIO ST OHS 05/22 FIXED 4.654
5/1/2022
4.65
11,502,000

OIL STATES INTERNATIONAL INC COMMON STOCK USD.01
 
 
1,359,260

OJSC RUSS AGRIC BK(RSHB) SR UNSECURED REGS 01/14 7.125
1/14/2014
7.13
262,918

OKINAWA CELLULAR TELEPHONE COMMON STOCK
 
 
240,206

OKINAWA ELECTRIC POWER CO COMMON STOCK
 
 
171,619

OLD DOMINION FREIGHT LINE COMMON STOCK USD.1
 
 
1,417,135

OLD NATIONAL BANCORP COMMON STOCK NPV
 
 
1,256,107

OMNICOM GROUP COMMON STOCK USD.15
 
 
4,517,383

OMNICOM GROUP INC COMPANY GUAR 04/16 5.9
4/15/2016
5.90
477,607

OMNICOM GROUP INC COMPANY GUAR 08/20 4.45
8/15/2020
4.45
912,444

OMNIVISION TECHNOLOGIES INC COMMON STOCK USD.001
 
 
823,581

ON SEMICONDUCTOR CORPORATION COMMON STOCK USD.01
 
 
3,792,089

ONCOR ELECTRIC DELIVERY SR SECURED 01/15 6.375
1/15/2015
6.38
358,676

ONCOR ELECTRIC DELIVERY SR SECURED 06/22 4.1
6/1/2022
4.10
2,741,179

ONEOK PARTNERS LP COMPANY GUAR 03/19 8.625
3/1/2019
8.63
1,692,869

ONEOK PARTNERS LP COMPANY GUAR 10/22 3.375
10/1/2022
3.38
239,476

ONO PHARMACEUTICAL CO LTD COMMON STOCK
 
 
464,130

ONTARIO (PROVINCE OF) SR UNSECURED 02/15 2.95
2/5/2015
2.95
1,019,516

ONTARIO (PROVINCE OF) SR UNSECURED 05/15 0.95
5/26/2015
1.90
582,389

ONTARIO (PROVINCE OF) SR UNSECURED 05/16 2.3
5/10/2016
2.30
78,900

ONTARIO (PROVINCE OF) SR UNSECURED 06/15 2.7
6/16/2015
2.70
1,052,792

ONTARIO (PROVINCE OF) SR UNSECURED 09/19 1.65
9/27/2019
1.65
74,955

ONTARIO (PROVINCE OF) SR UNSECURED 10/17 1.1
10/25/2017
1.10
6,006,600

ONYX PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
3,920,687


113
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

OPEN TEXT CORP COMMON STOCK NPV
 
 
150,850

OPHIR ENERGY PLC COMMON STOCK
 
 
246,020

OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 3 M1
11/25/2034
0.73
2,821,296

ORACLE CORP COMMON STOCK USD.01
 
 
45,791,110

ORACLE CORP SR UNSECURED 01/16 5.25
1/15/2016
10.50
6,622,182

ORACLE CORP SR UNSECURED 04/13 4.95
4/15/2013
4.95
2,911,895

ORACLE CORP SR UNSECURED 04/18 5.75
4/15/2018
5.75
1,308,280

ORACLE CORP SR UNSECURED 07/14 3.75
7/8/2014
3.75
3,102,372

ORACLE CORP SR UNSECURED 07/19 5.
7/8/2019
5.00
930,691

ORACLE CORP SR UNSECURED 07/40 5.375
7/15/2040
5.38
99,746

ORACLE CORP SR UNSECURED 10/17 1.2
10/15/2017
2.40
3,951,694

ORACLE CORP SR UNSECURED 10/22 2.5
10/15/2022
2.50
509,550

ORBITAL SCIENCES CORP COMMON STOCK USD.01
 
 
1,242,054

ORKLA ASA COMMON STOCK NOK1.25
 
 
286,839

OSI SYSTEMS INC COMMON STOCK NPV
 
 
481,517

OVERSEAS PRIVATE INV COR BONDS 04/17 0.00000
4/23/2017
3.56
8,379,954

OVERSEAS PRIVATE INV COR US GOVT GUAR 05/16 0.00000
5/2/2016
 
7,023,590

OVERSEAS PRIVATE INV COR US GOVT GUAR 05/30 3.43
5/15/2030
3.43
9,691,740

OVERSEAS PRIVATE INV COR US GOVT GUAR 07/14 0.00000
7/12/2014
 
2,127,200

OVERSEAS PRIVATE INV COR US GOVT GUAR 09/13 0.00000
9/20/2013
 
6,765,005

OVERSEAS PRIVATE INV COR US GOVT GUAR 09/13 0.00000
9/20/2013
 
6,817,306

OVERSEAS PRIVATE INV COR US GOVT GUAR 09/16 0.00000
9/7/2016
 
5,877,825

OVERSEAS PRIVATE INV COR US GOVT GUAR 11/17 0.00000
11/17/2017
1.50
8,340,560

OWENS ILLINOIS INC COMMON STOCK USD.01
 
 
4,556,353

OXFORD INDUSTRIES INC COMMON STOCK USD1.
 
 
681,538

P G + E CORP COMMON STOCK NPV
 
 
1,592,333

PACCAR FINANCIAL CORP SR UNSECURED 03/17 1.6
3/15/2017
1.60
267,121

PACCAR FINANCIAL CORP SR UNSECURED 06/15 1.05
6/5/2015
1.05
332,840

PACCAR FINANCIAL CORP SR UNSECURED 09/14 1.55
9/29/2014
1.55
203,278

PACIFIC DRILLING SA COMMON STOCK
 
 
2,176,656

PACIFIC GAS + ELECTRIC SR UNSECURED 03/14 4.8
3/1/2014
14.40
1,933,167

PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05
3/1/2034
6.05
2,576,806

PACIFIC GAS + ELECTRIC SR UNSECURED 03/37 5.8
3/1/2037
5.80
1,051,568

PACIFIC GAS + ELECTRIC SR UNSECURED 10/18 8.25
10/15/2018
16.50
1,838,067

PACIFIC GAS + ELECTRIC SR UNSECURED 11/17 5.625
11/30/2017
5.63
235,428

PACIFIC LIFE GLOBAL FNDG SR SECURED 144A 04/13 5.15
4/15/2013
5.15
785,298

PACIFICORP 1ST MORTGAGE 01/19 5.5
1/15/2019
5.50
96,719

PACTERA TECHNOLOGY ADR ADR
 
 
2,149,654

PACWEST BANCORP COMMON STOCK NPV
 
 
1,884,172

PANDORA MEDIA INC COMMON STOCK USD.0001
 
 
1,656,990


114
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

PANERA BREAD COMPANY CLASS A COMMON STOCK USD.0001
 
 
4,071,607

PARAMOUNT RESOURCES LTD A COMMON STOCK NPV
 
 
331,023

PAREXEL INTERNATIONAL CORP COMMON STOCK USD.01
 
 
759,279

PARIBAS REPO
1/2/2013
0.27
40,000,000

PARQUE ARAUCO S.A. COMMON STOCK NPV
 
 
247,908

PARTNERRE LTD COMMON STOCK USD1.
 
 
1,826,801

PARTNERS GROUP HOLDING AG COMMON STOCK CHF.01
 
 
192,891

PASON SYSTEMS INC COMMON STOCK NPV
 
 
256,639

PC FINANCIAL PARTNERSHIP COMPANY GUAR 11/14 5.
11/15/2014
5.00
709,959

PEARSON DOL FIN TWO PLC COMPANY GUAR 144A 05/18 6.25
5/6/2018
6.25
266,048

PEBBLEBROOK HOTEL TRUST REIT USD.01
 
 
1,392,283

PECO ENERGY CO 1ST MORTGAGE 09/22 2.375
9/15/2022
2.38
2,445,753

PENN NATIONAL GAMING INC COMMON STOCK USD.01
 
 
2,282,289

PENNSYLVANIA HIGHER EDUCATION PHEAA 2005 1 B1
4/25/2045
2.29
3,153,553

PENNSYLVANIA ST HGR EDU ASSIST PASSTD 05/46 ADJUSTABLE VAR
5/1/2046
0.31
7,561,751

PENNSYLVANIA ST HGR EDU ASSIST PASSTD 05/46 ADJUSTABLE VAR
5/1/2046
1.07
674,826

PENSKE AUTOMOTIVE GROUP INC COMMON STOCK USD.0001
 
 
466,395

PENSKE TRUCK LEASING/PTL SENIOR NOTES 144A 07/14 2.5
7/11/2014
2.50
100,034

PENSKE TRUCK LEASING/PTL UNSECURED 144A 05/15 3.125
5/11/2015
6.25
4,423,174

PENTAIR LTD REGISTERED COMMON STOCK USD.167
 
 
1,623,425

PEP BOYS MANNY MOE + JACK COMMON STOCK USD1.
 
 
1,121,259

PEPSICO INC COMMON STOCK USD.017
 
 
1,775,074

PEPSICO INC SR UNSECURED 01/15 3.1
1/15/2015
3.10
236,150

PEPSICO INC SR UNSECURED 01/20 4.5
1/15/2020
4.50
769,034

PEPSICO INC SR UNSECURED 03/14 3.75
3/1/2014
3.75
1,037,920

PEPSICO INC SR UNSECURED 03/15 0.75
3/5/2015
0.75
7,526,985

PEPSICO INC SR UNSECURED 06/18 5.
6/1/2018
5.00
1,583,370

PEPSICO INC SR UNSECURED 08/14 0.8
8/25/2014
1.60
2,948,304

PEPSICO INC SR UNSECURED 08/15 0.7
8/13/2015
1.40
9,293,844

PEPSICO INC SR UNSECURED 08/17 1.25
8/13/2017
1.25
901,374

PEPSICO INC SR UNSECURED 10/13 0.875
10/25/2013
0.88
2,164,870

PEPSICO INC SR UNSECURED 11/18 7.9
11/1/2018
7.90
666,629

PERKINELMER INC COMMON STOCK USD1.
 
 
4,481,688

PERNOD RICARD SA COMMON STOCK EUR1.55
 
 
2,155,868

PERNOD RICARD SA SR UNSECURED 144A 01/22 4.45
1/15/2022
4.45
3,782,441

PERNOD RICARD SA SR UNSECURED 144A 04/21 5.75
4/7/2021
5.75
406,683


115
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

PERRIGO CO COMMON STOCK NPV
 
 
10,763,464

PETROBRAS INTL FIN CO COMPANY GUAR 01/20 5.75
1/20/2020
5.75
125,219

PETROBRAS INTL FIN CO COMPANY GUAR 01/21 5.375
1/27/2021
10.75
799,332

PETROBRAS INTL FIN CO COMPANY GUAR 01/41 6.75
1/27/2041
6.75
101,367

PETROBRAS INTL FIN CO COMPANY GUAR 02/15 2.875
2/6/2015
2.88
2,170,191

PETROBRAS INTL FIN CO COMPANY GUAR 03/19 7.875
3/15/2019
7.88
449,667

PETROLEOS MEXICANOS COMPANY GUAR 01/21 5.5
1/21/2021
5.50
525,825

PETROLEOS MEXICANOS COMPANY GUAR 05/19 8.
5/3/2019
8.00
13,075

PETROLEOS MEXICANOS COMPANY GUAR 06/41 6.5
6/2/2041
6.50
978,900

PETROMINERALES LTD COMMON STOCK NPV
 
 
85,508

PFIZER INC COMMON STOCK USD.05
 
 
31,573,463

PFIZER INC SR UNSECURED 03/15 5.35
3/15/2015
5.35
1,651,959

PFIZER INC SR UNSECURED 03/19 6.2
3/15/2019
12.40
5,106,463

PHILIP MORRIS INTERNATIONAL COMMON STOCK NPV
 
 
14,253,092

PHILIP MORRIS INTL INC SR UNSECURED 03/14 6.875
3/17/2014
6.88
812,952

PHILIP MORRIS INTL INC SR UNSECURED 03/20 4.5
3/26/2020
4.50
1,094,283

PHILIP MORRIS INTL INC SR UNSECURED 03/42 4.5
3/20/2042
4.50
1,369,284

PHILIP MORRIS INTL INC SR UNSECURED 05/13 4.875
5/16/2013
9.75
7,113,351

PHILIP MORRIS INTL INC SR UNSECURED 05/16 2.5
5/16/2016
2.50
3,334,187

PHILIP MORRIS INTL INC SR UNSECURED 05/18 5.65
5/16/2018
5.65
272,787

PHILIP MORRIS INTL INC SR UNSECURED 08/22 2.5
8/22/2022
2.50
1,195,468

PHILIP MORRIS INTL INC SR UNSECURED 11/21 2.9
11/15/2021
2.90
2,610,470

PHILLIPS 66 COMPANY GUAR 03/15 1.95
3/5/2015
1.95
4,201,744

PHOENIX NEW MEDIA LTD ADR ADR
 
 
267,234

PIER 1 IMPORTS INC COMMON STOCK USD.001
 
 
5,509,300

PIMCO COMMODITIES PLUS PIMCO COMMODITIES FUND 1983
 
 
76,852,547

PIMCO FDS PAC INVT MGMT SER INVT GRADE CORP PORT INSTL CL
 
 
9,083,681

PIMCO FDS SHORT TERM FLTG NAV MUTUAL FUND
 
 
98,712,462

PINNACLE ENTERTAINMENT INC COMMON STOCK USD.1
 
 
2,337,300

PIRAMAL ENTERPRISES LTD COMMON STOCK INR2.
 
 
204,199

PITNEY BOWES INC SR UNSECURED 06/13 3.875
6/15/2013
3.88
100,885

PITNEY BOWES INC SR UNSECURED 08/14 4.875
8/15/2014
4.88
253,715

PLAINS ALL AMER PIPELINE SR UNSECURED 06/22 3.65
6/1/2022
3.65
741,051

PNC BANK NA SUBORDINATED 11/22 2.7
11/1/2022
2.70
290,092

PNC FINANCIAL SERVICES GROUP COMMON STOCK USD5.
 
 
2,776,139

PNC FUNDING CORP BANK GUARANT 02/15 3.625
2/8/2015
3.63
1,534,983

PNC FUNDING CORP BANK GUARANT 05/14 3.
5/19/2014
3.00
2,067,128

PNC FUNDING CORP BANK GUARANT 06/14 5.4
6/10/2014
5.40
399,966


116
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

PNC FUNDING CORP BANK GUARANT 06/19 6.7
6/10/2019
6.70
1,109,976

PNC FUNDING CORP BANK GUARANT 08/20 4.375
8/11/2020
4.38
1,260,319

PNC FUNDING CORP BANK GUARANT 09/15 4.25
9/21/2015
4.25
3,378,839

PNM RESOURCES INC COMMON STOCK NPV
 
 
1,459,697

POLYCOM INC COMMON STOCK USD.0005
 
 
4,089,860

POLYONE CORPORATION COMMON STOCK USD.01
 
 
2,567,652

POOL CORP COMMON STOCK USD.001
 
 
956,051

PORSCHE AUTOMOBIL HLDG PRF PREFERENCE
 
 
1,529,942

PORT AUTH OF NEW YORK + NEW JE PORTRN 10/62 FIXED 4.458
10/1/2062
4.46
493,520

PORT AUTH OF NEW YORK + NEW JE PORTRN 12/24 FIXED 5.859
12/1/2024
11.72
24,377,664

POTASH CORP SASKATCHEWAN SR UNSECURED 05/14 5.25
5/15/2014
5.25
291,983

POTASH CORP SASKATCHEWAN SR UNSECURED 09/15 3.75
9/30/2015
3.75
457,113

PPG INDUSTRIES INC COMMON STOCK USD1.67
 
 
5,692,821

PPG INDUSTRIES INC SR UNSECURED 01/16 1.9
1/15/2016
1.90
204,965

PPG INDUSTRIES INC SR UNSECURED 03/13 5.75
3/15/2013
5.75
580,958

PPG INDUSTRIES INC SR UNSECURED 03/18 6.65
3/15/2018
6.65
2,359,048

PPL CORPORATION COMMON STOCK USD.01
 
 
755,546

PPL CORPORATION PREFERRED STOCK 07/13 9.5
 
 
669,045

PPR COMMON STOCK EUR4.
 
 
2,090,202

PRAXAIR INC SR UNSECURED 11/14 5.25
11/15/2014
5.25
793,468

PRECISION CASTPARTS CORP COMMON STOCK NPV
 
 
11,036,177

PRECISION CASTPARTS CORP SR UNSECURED 01/23 2.5
1/15/2023
2.50
473,012

PRECISION CASTPARTS CORP SR UNSECURED 12/15 0.7
12/20/2015
0.70
5,004,245

PREMIER OIL PLC COMMON STOCK GBP.125
 
 
263,098

PRESTIGE BRANDS HOLDINGS INC COMMON STOCK USD.01
 
 
808,211

PRICELINE.COM INC COMMON STOCK USD.008
 
 
38,060,303

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 06/14 5.45
6/11/2014
5.45
347,110

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 09/13 5.3
9/27/2013
5.30
496,113

PRICOA GLOBAL FUNDING 1 SR SECURED 144A 09/13 VAR
9/27/2013
0.56
8,304,490

PRIDE INTERNATIONAL INC COMPANY GUAR 08/20 6.875
8/15/2020
6.88
2,023,536

PRIME MORTGAGE TRUST PRIME 2004 CL1 2A1
2/25/2019
5.00
77,980

PRIME MORTGAGE TRUST PRIME 2005 2 1A1
7/25/2020
4.75
732,668

PRINCIPAL FINANCIAL GROU COMPANY GUAR 11/17 1.85
11/15/2017
3.70
335,767

PRINCIPAL LFE GLB FND II SECURED 144A 12/15 1.
12/11/2015
2.00
121,820

PRINCIPAL LFE GLB FND II SR SECURED 144A 07/14 VAR
7/9/2014
1.00
3,998,708

PRINCIPAL LIFE INC FDG SR SECURED 04/13 5.3
4/24/2013
5.30
1,445,387

PRINCIPAL LIFE INC FDG SR SECURED 04/15 5.55
4/27/2015
5.55
7,017,487

PRIVATE EXPORT FUNDING US GOVT GUAR 03/19 4.375
3/15/2019
4.38
584,392


117
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

PRIVATEBANCORP INC COMMON STOCK NPV
 
 
2,037,254

PROASSURANCE CORP COMMON STOCK USD.01
 
 
3,638,888

PROCTER + GAMBLE CO/THE COMMON STOCK
 
 
1,970,168

PROCTER + GAMBLE CO/THE SR UNSECURED 02/19 4.7
2/15/2019
4.70
1,004,247

PROCTER + GAMBLE CO/THE SR UNSECURED 02/22 2.3
2/6/2022
2.30
569,873

PROCTER + GAMBLE CO/THE SR UNSECURED 08/14 0.7
8/15/2014
0.70
3,462,119

PROCTER + GAMBLE CO/THE SR UNSECURED 08/16 1.45
8/15/2016
1.45
2,214,181

PROCTER + GAMBLE CO/THE SR UNSECURED 08/34 5.8
8/15/2034
5.80
59,587

PROFARMA DISTRIBUIDORA COMMON STOCK NPV
 
 
67,277

PROGRESS ENERGY INC SR UNSECURED 01/16 5.625
1/15/2016
5.63
3,280,558

PROGRESS ENERGY INC SR UNSECURED 03/19 7.05
3/15/2019
7.05
4,241,579

PROGRESS ENERGY INC SR UNSECURED 04/22 3.15
4/1/2022
6.30
916,155

PROGRESS ENERGY INC SR UNSECURED 12/19 4.875
12/1/2019
4.88
1,634,075

PROGRESSIVE CORP COMMON STOCK USD1.
 
 
12,930,080

PROGRESSIVE WASTE SOLUTIONS COMMON STOCK
 
 
375,366

PROLOGIS LP COMPANY GUAR 08/14 7.625
8/15/2014
7.63
2,625,391

PROSPERITY BANCSHARES INC COMMON STOCK USD1.
 
 
1,603,140

PROTHENA CORP PLC COMMON STOCK
 
 
151,718

PROVINCE OF QUEBEC NOTES 12/18 4.5
12/1/2018
4.50
1,360,121

PROVINCE OF QUEBEC NOTES 12/21 4.25
12/1/2021
4.25
224,590

PRUDENTIAL FINANCIAL INC COMMON STOCK USD.01
 
 
4,824,765

PRUDENTIAL FINANCIAL INC SR UNSECURED 01/15 3.875
1/14/2015
3.88
5,882,697

PRUDENTIAL FINANCIAL INC SR UNSECURED 05/16 3.
5/12/2016
3.00
1,742,090

PSEG POWER LLC COMPANY GUAR 04/20 5.125
4/15/2020
5.13
34,574

PSEG POWER LLC COMPANY GUAR 09/16 2.75
9/15/2016
5.50
3,600,324

PSEG POWER LLC COMPANY GUAR 09/21 4.15
9/15/2021
4.15
87,664

PSEG POWER LLC COMPANY GUAR 12/15 5.5
12/1/2015
5.50
195,390

PTC INC COMMON STOCK USD.01
 
 
1,530,680

PUBLIC SERVICE COLORADO 1ST MORTGAGE 09/22 2.25
9/15/2022
2.25
30,769

PUBLIC SERVICE ENTERPRISE GP COMMON STOCK NPV
 
 
800,496

PUBLICIS GROUPE COMMON STOCK EUR.4
 
 
774,893

PVH CORP COMMON STOCK USD1.
 
 
3,485,714

PZ CUSSONS PLC COMMON STOCK GBP.01
 
 
168,719

QATARI DIAR FINANCE QSC GOVT GUARANT REGS 07/20 5.
7/21/2020
5.00
326,900

QLIK TECHNOLOGIES INC COMMON STOCK
 
 
5,183,261

QTEL INTERNATIONAL FIN COMPANY GUAR 144A 02/21 4.75
2/16/2021
4.75
1,435,100

QTEL INTERNATIONAL FIN COMPANY GUAR 144A 06/19 7.875
6/10/2019
7.88
91,700

QTEL INTERNATIONAL FIN COMPANY GUAR 144A 10/16 3.375
10/14/2016
3.38
62,768


118
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

QUALCOMM INC COMMON STOCK USD.0001
 
 
54,560,234

QUALICORP SA COMMON STOCK NPV
 
 
1,278,297

QUANEX BUILDING PRODUCTS COMMON STOCK USD.01
 
 
1,236,948

QUANTA SERVICES INC COMMON STOCK USD.00001
 
 
9,150,146

QUEBECOR INC CL B COMMON STOCK NPV
 
 
314,580

QUEST DIAGNOSTIC INC COMPANY GUAR 11/15 5.45
11/1/2015
5.45
1,443,494

QUEST DIAGNOSTICS INC COMMON STOCK USD.01
 
 
2,066,837

QWEST CORP SR UNSECURED 10/14 7.5
10/1/2014
7.50
865,742

RABOBANK NEDERLAND BANK GUARANT 01/14 1.85
1/10/2014
3.70
7,131,563

RABOBANK NEDERLAND BANK GUARANT 01/17 3.375
1/19/2017
3.38
1,074,286

RACKSPACE HOSTING INC COMMON STOCK USD.001
 
 
4,702,405

RALLIS INDIA LTD COMMON STOCK INR1.
 
 
125,662

RALPH LAUREN CORP COMMON STOCK USD.01
 
 
5,924,838

RAMIRENT OYJ COMMON STOCK NPV
 
 
168,920

RANGE RESOURCES CORP COMMON STOCK USD.01
 
 
1,960,296

RAS LAFFAN LNG 3 SR SECURED 144A 09/19 6.75
9/30/2019
6.75
752,250

RAS LAFFAN LNG 3 SR SECURED REGS 09/19 6.75
9/30/2019
6.75
87,763

RAUBEX GROUP LTD COMMON STOCK ZAR.01
 
 
164,838

RAYMOND JAMES FINANCIAL INC COMMON STOCK USD.01
 
 
3,221,108

RAYTHEON COMPANY SR UNSECURED 10/20 3.125
10/15/2020
6.25
1,452,224

RBC CAPITAL MARKETS REPO REPO
1/16/2013
0.93
151,950,000

RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A4
1/25/2037
0.67
1,579,065

RCI BANQUE SA SR UNSECURED 144A 04/14 VAR
4/11/2014
2.22
109,958

REALOGY HOLDINGS CORP COMMON STOCK USD.01
 
 
1,137,116

RED HAT INC COMMON STOCK USD.0001
 
 
8,416,562

RED ROBIN GOURMET BURGERS COMMON STOCK USD.001
 
 
2,721,847

REDROW PLC COMMON STOCK GBP.1
 
 
286,660

REED ELSEVIER NV COMMON STOCK EUR.07
 
 
1,157,084

REGAL BELOIT CORP COMMON STOCK USD.01
 
 
1,867,455

REGENERON PHARMACEUTICALS COMMON STOCK USD.001
 
 
8,297,750

REGIONS FINANCIAL CORP SR UNSECURED 11/14 7.75
11/10/2014
7.75
2,475,950

REGIS CORP COMMON STOCK USD.05
 
 
1,611,968

REGUS PLC COMMON STOCK GBP.01
 
 
252,340

RELIANCE STEEL + ALUMINUM COMMON STOCK NPV
 
 
4,035,569

REMY COINTREAU COMMON STOCK EUR1.6
 
 
711,254

RENAISSANCERE HOLDINGS LTD COMMON STOCK USD1.
 
 
5,826,342

RENREN INC ADR ADR USD.001
 
 
6,855

REPO BANK AMERICA REPO
1/4/2013
0.26
98,100,000


119
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

REPUBLIC OF INDONESIA SR UNSECURED REGS 03/20 5.875
3/13/2020
5.88
667,388

REPUBLIC OF SOUTH AFRICA SR UNSECURED 09/17 8.25
9/15/2017
8.25
5,769,417

REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/18 8.
12/21/2018
8.00
6,819,974

RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2
9/25/2046
0.41
197,266

RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S13 A4
6/25/2033
3.50
281,801

RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1
3/25/2032
6.50
6,994

REXNORD CORP COMMON STOCK USD.01
 
 
1,646,490

REYNOLDS AMERICAN INC COMPANY GUAR 06/16 7.625
6/1/2016
15.25
1,617,550

REYNOLDS AMERICAN INC COMPANY GUAR 06/17 6.75
6/15/2017
13.50
7,227,594

REYNOLDS AMERICAN INC COMPANY GUAR 06/18 7.75
6/1/2018
7.75
436,239

REYNOLDS AMERICAN INC COMPANY GUAR 10/15 1.05
10/30/2015
2.10
3,110,039

REYNOLDS AMERICAN INC COMPANY GUAR 11/22 3.25
11/1/2022
6.50
1,823,158

REYNOLDS GRP ISS/REYNOLD SR SECURED 144A 10/20 5.75
10/15/2020
5.75
1,445,500

RHOEN KLINIKUM AG COMMON STOCK
 
 
883,571

RICOH LEASING CO LTD COMMON STOCK
 
 
261,970

RIGEL PHARMACEUTICALS INC COMMON STOCK USD.001
 
 
1,122,550

RIO TINTO FIN USA LTD COMPANY GUAR 05/14 8.95
5/1/2014
17.90
4,527,932

RIO TINTO FIN USA LTD COMPANY GUAR 09/16 2.25
9/20/2016
2.25
93,369

RIO TINTO FIN USA LTD COMPANY GUAR 11/20 3.5
11/2/2020
3.50
779,113

RIO TINTO FIN USA PLC COMPANY GUAR 03/22 3.5
3/22/2022
3.50
1,236,308

RIO TINTO FIN USA PLC COMPANY GUAR 08/17 1.625
8/21/2017
1.63
161,998

RIO TINTO PLC COMMON STOCK GBP.1
 
 
1,610,954

ROBERT HALF INTL INC COMMON STOCK USD.001
 
 
4,893,916

ROCHE HOLDING AG GENUSSCHEIN COMMON STOCK NPV
 
 
10,681,387

ROCHE HOLDINGS LTD SPONS ADR ADR
 
 
2,281,085

ROCK TENN COMPANY CL A COMMON STOCK USD.01
 
 
3,740,185

ROGERS COMMUNICATIONS IN COMPANY GUAR 08/18 6.8
8/15/2018
13.60
1,201,715

ROGERS COMMUNICATIONS INC B COMMON STOCK NPV
 
 
437,948

ROLLINS INC COMMON STOCK USD1.
 
 
811,579

ROLLS ROYCE GROUP PLC C SHARES
 
 
5,957

ROLLS ROYCE HOLDINGS PLC COMMON STOCK GBP.2
 
 
3,987,960

ROPER INDUSTRIES INC COMMON STOCK USD.01
 
 
3,505,712

ROVI CORP COMMON STOCK USD.001
 
 
2,888,496

ROWAN COMPANIES PLC A COMMON STOCK USD.125
 
 
1,572,881

ROYAL BANK OF CANADA COVERED 09/17 1.2
9/19/2017
2.40
458,097

ROYAL BANK OF CANADA SR UNSECURED 01/14 1.125
1/15/2014
1.13
1,208,117

ROYAL BANK OF CANADA SR UNSECURED 03/15 1.15
3/13/2015
1.15
5,231,164

ROYAL BANK OF CANADA SR UNSECURED 10/14 1.45
10/30/2014
1.45
4,521,530


120
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

ROYAL BANK OF CANADA SR UNSECURED 12/15 2.625
12/15/2015
2.63
1,340,452

ROYAL BANK OF SCOTLAND GROUP COMMON STOCK GBP1.
 
 
2,504,256

ROYAL BANK OF SCOTLAND REPO REPO
1/3/2013
0.22
30,100,000

ROYAL BK OF SCOTLAND PLC BANK GUARANT 01/21 6.125
1/11/2021
6.13
912,174

ROYAL BK OF SCOTLAND PLC BANK GUARANT 03/15 4.875
3/16/2015
4.88
107,408

ROYAL BK OF SCOTLAND PLC COMPANY GUAR 08/13 3.4
8/23/2013
6.80
2,141,310

ROYAL BK SCOTLND GRP PLC SR UNSECURED 09/15 2.55
9/18/2015
7.65
2,343,609

ROYAL BK SCOTLND GRP PLC SR UNSECURED 10/19 6.4
10/21/2019
12.80
1,689,745

ROYAL BK SCOTLND GRP PLC SUBORDINATED 10/14 5.
10/1/2014
5.00
61,651

RPM INTERNATIONAL INC COMMON STOCK USD.01
 
 
3,229,600

RTI INTERNATIONAL METALS INC COMMON STOCK USD.01
 
 
1,592,141

RUBY PIPELINE LLC SR UNSECURED 144A 04/22 6.
4/1/2022
6.00
3,248,986

RUCKUS WIRELESS INC COMMON STOCK
 
 
85,614

RUSSIA FOREIGN BOND SR UNSECURED REGS 03/30 VAR
3/31/2030
7.50
736,603

RUSSIA FOREIGN BOND SR UNSECURED REGS 03/30 VAR
3/31/2030
1.00
1,104,905

RYDER SYSTEM INC SR UNSECURED 03/13 6.
3/1/2013
6.00
408,076

RYDER SYSTEM INC SR UNSECURED 03/17 2.5
3/1/2017
2.50
508,442

RZD CAPITAL PLC (RZD) SR UNSECURED 04/17 5.739
4/3/2017
5.74
268,800

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/15 1.85
1/15/2015
3.70
2,901,010

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/17 2.45
1/15/2017
2.45
208,479

SABMILLER HOLDINGS INC COMPANY GUAR 144A 01/22 3.75
1/15/2022
3.75
647,899

SABMILLER PLC COMMON STOCK USD.1
 
 
879,927

SABMILLER PLC SR UNSECURED 144A 01/14 5.7
1/15/2014
5.70
289,179

SABMILLER PLC SR UNSECURED 144A 08/13 5.5
8/15/2013
5.50
488,379

SAFEGUARD SCIENTIFICS INC COMMON STOCK USD.1
 
 
1,898,959

SAFEWAY INC SR UNSECURED 08/17 6.35
8/15/2017
12.70
3,963,652

SAFRAN SA COMMON STOCK EUR.2
 
 
801,150

SAKAI CHEMICAL INDUSTRY CO COMMON STOCK
 
 
107,836

SALAMANDER ENERGY PLC COMMON STOCK GBP.1
 
 
138,671

SALESFORCE.COM INC COMMON STOCK USD.001
 
 
35,822,782

SALIX PHARMACEUTICALS LTD COMMON STOCK USD.001
 
 
1,696,112

SALLY BEAUTY HOLDINGS INC COMMON STOCK USD.01
 
 
6,017,421

SAMSUNG ELECTRONICS CO LTD COMMON STOCK KRW5000.
 
 
29,210,970

SANDISK CORP COMMON STOCK USD.001
 
 
5,046,862

SANDS CHINA LTD COMMON STOCK USD.01
 
 
786,082

SANDVIK AB COMMON STOCK NPV
 
 
298,737


121
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SANOFI COMMON STOCK EUR2.
 
 
7,066,951

SANOFI SR UNSECURED 03/14 1.625
3/28/2014
3.25
6,245,879

SANOFI SR UNSECURED 03/16 2.625
3/29/2016
5.25
942,008

SANOFI SR UNSECURED 09/14 1.2
9/30/2014
1.20
232,713

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 1 A3
11/17/2014
1.84
1,179,970

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 1 A4
5/15/2017
2.43
951,255

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 3 A3
6/16/2014
1.20
134,699

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 A A3 144A
11/17/2014
1.83
1,197,049

SANTANDER DRIVE AUTO RECEIVABL SDART 2010 A A4 144A
6/15/2017
2.39
2,639,232

SANTANDER DRIVE AUTO RECEIVABL SDART 2011 1 A2
2/18/2014
0.94
543,173

SANTANDER DRIVE AUTO RECEIVABL SDART 2011 1 A3
1/15/2015
1.28
627,906

SANTANDER DRIVE AUTO RECEIVABL SDART 2011 2 A3
2/16/2015
1.29
1,685,390

SANTANDER DRIVE AUTO RECEIVABL SDART 2011 3 A2
8/15/2014
1.11
2,642,107

SANTANDER DRIVE AUTO RECEIVABL SDART 2011 4 A2
3/16/2015
1.37
4,061,936

SANTANDER DRIVE AUTO RECEIVABL SDART 2011 4 C
8/15/2017
3.82
5,692,964

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 2 A3
12/15/2015
1.22
1,007,985

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 2 D
2/15/2018
3.87
5,631,245

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 3 A2
4/15/2015
0.83
7,155,741

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 3 A3
4/15/2016
2.16
274,836

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 3 C
4/16/2018
3.01
5,326,060

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 4 B
3/15/2017
1.83
5,614,168

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 4 D
6/15/2018
3.50
5,034,278

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 5 A2
12/15/2015
0.57
7,592,350

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 5 A3
12/15/2016
0.83
1,005,253

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 5 C
8/15/2018
2.70
5,554,149

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 6 A2
9/15/2015
0.47
8,390,654

SANTANDER DRIVE AUTO RECEIVABL SDART 2012 6 B
5/15/2017
1.33
6,083,899

SANTANDER HOLDINGS USA SR UNSECURED 09/15 3.
9/24/2015
3.00
3,522,435

SAP AG COMMON STOCK NPV
 
 
3,262,559

SAPIENT CORPORATION COMMON STOCK USD.01
 
 
2,381,280

SARTORIUS STEDIM BIOTECH COMMON STOCK EUR.61
 
 
358,051

SATO HOLDINGS CORP COMMON STOCK
 
 
181,657

SBA COMMUNICATIONS CORP CL A COMMON STOCK USD.01
 
 
7,951,683

SBA TOWER TRUST MORTGAGE 144A 04/40 4.254
4/15/2040
4.25
4,328,394

SBERBANK (SB CAP SA) SR UNSECURED 07/15 5.499
7/7/2015
5.50
637,790

SBERBANK (SB CAP SA) SR UNSECURED 144A 02/22 6.125
2/7/2022
6.13
1,245,325

SCANA CORPORATION SR UNSECURED 02/22 4.125
2/1/2022
4.13
104,854

SCHINDLER HOLDING PART CERT COMMON STOCK CHF.1
 
 
315,958


122
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 08/17 1.25
8/1/2017
1.25
149,561

SCHLUMBERGER INVESTMENT COMPANY GUAR 144A 09/16 1.95
9/14/2016
1.95
256,613

SCHLUMBERGER LTD COMMON STOCK USD.01
 
 
6,669,855

SCHNEIDER ELECTRIC SA COMMON STOCK EUR4.
 
 
1,420,674

SDL PLC COMMON STOCK GBP.01
 
 
251,587

SEADRILL LTD COMMON STOCK USD2.
 
 
234,415

SEAGATE TECHNOLOGY COMMON STOCK USD.00001
 
 
2,020,824

SEALED AIR CORP COMMON STOCK USD.1
 
 
1,759,755

SEATTLE GENETICS INC COMMON STOCK USD.001
 
 
1,434,015

SECURITY NATIONAL MORTGAGE LOA SNMLT 2007 1A 2A 144A
4/25/2037
0.56
321,565

SEEK LTD COMMON STOCK NPV
 
 
127,172

SEMPRA ENERGY SR UNSECURED 03/14 2.
3/15/2014
4.00
7,382,025

SEMPRA ENERGY SR UNSECURED 10/39 6.
10/15/2039
6.00
151,713

SEMTECH CORP COMMON STOCK USD.01
 
 
2,686,097

SENSIENT TECHNOLOGIES CORP COMMON STOCK USD.1
 
 
1,670,787

SES RECEIPT NPV
 
 
1,216,862

SEVEN + I HOLDINGS CO LTD COMMON STOCK
 
 
921,643

SHELL INTERNATIONAL FIN COMPANY GUAR 03/13 1.875
3/25/2013
1.88
250,892

SHELL INTERNATIONAL FIN COMPANY GUAR 03/14 4.
3/21/2014
4.00
261,002

SHELL INTERNATIONAL FIN COMPANY GUAR 06/15 3.1
6/28/2015
9.30
11,540,690

SHELL INTERNATIONAL FIN COMPANY GUAR 09/19 4.3
9/22/2019
4.30
359,133

SHENGUAN HOLDINGS GROUP LTD COMMON STOCK HKD.01
 
 
152,809

SHENZHEN EXPRESSWAY CO H COMMON STOCK CNY1.
 
 
135,017

SHENZHOU INTERNATIONAL GROUP COMMON STOCK HKD.1
 
 
397,830

SHIONOGI + CO LTD COMMON STOCK
 
 
5,323,207

SHIRE PLC ADR ADR
 
 
6,156,057

SHUTTERFLY INC COMMON STOCK USD.0001
 
 
900,013

SIERRA PACIFIC POWER CO GENL REF MOR 05/16 6.
5/15/2016
6.00
543,942

SIGNATURE BANK COMMON STOCK USD.01
 
 
4,941,008

SILENUS (EUROP LOAN COND N25)P EURO 25X A REGS
5/15/2019
0.34
60,216

SILGAN HOLDINGS INC COMMON STOCK USD.01
 
 
1,670,670

SILICON LABORATORIES INC COMMON STOCK USD.0001
 
 
1,093,750

SIMON PROPERTY GROUP LP SR UNSECURED 01/14 4.9
1/30/2014
4.90
292,568

SIMON PROPERTY GROUP LP SR UNSECURED 02/15 4.2
2/1/2015
4.20
141,047

SIMON PROPERTY GROUP LP SR UNSECURED 02/20 5.65
2/1/2020
5.65
282,004

SIMON PROPERTY GROUP LP SR UNSECURED 05/13 5.3
5/30/2013
5.30
2,038,778

SIMON PROPERTY GROUP LP SR UNSECURED 05/14 6.75
5/15/2014
6.75
1,600,014


123
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SIMON PROPERTY GROUP LP SR UNSECURED 05/16 6.1
5/1/2016
6.10
230,711

SIMON PROPERTY GROUP LP SR UNSECURED 05/18 6.125
5/30/2018
6.13
1,766,262

SIMON PROPERTY GROUP LP SR UNSECURED 06/15 5.1
6/15/2015
5.10
99,137

SIMON PROPERTY GROUP LP SR UNSECURED 12/16 5.25
12/1/2016
5.25
308,917

SIMPLO TECHNOLOGY CO LTD COMMON STOCK TWD10.
 
 
27,351

SINGAPORE PRESS HOLDINGS LTD COMMON STOCK NPV
 
 
234,245

SINOCHEM OVERSEAS CAPITA COMPANY GUAR 144A 11/20 4.5
11/12/2020
4.50
118,311

SIRONA DENTAL SYSTEMS INC COMMON STOCK USD.01
 
 
3,349,535

SKANDINAVISKA ENSKILDA COVERED 10/17 2.625
10/16/2017
2.63
1,714,114

SKYWORKS SOLUTIONS INC COMMON STOCK USD.25
 
 
3,590,705

SLC STUDENT LOAN TRUST SLCLT 2009 AA A 144A
6/15/2033
4.75
1,742,263

SLH OPEN POSITION NET PAYABLE SLHOPNTL0
12/31/2060
 
(469,063
)
SLM CORP SENIOR NOTES 01/16 6.25
1/25/2016
6.25
271,875

SLM CORP SR UNSECURED 01/13 5.375
1/15/2013
5.38
209,999

SLM CORP SR UNSECURED 01/14 VAR
1/27/2014
1.23
733,052

SLM CORP SR UNSECURED 01/17 6.
1/25/2017
6.00
1,407,250

SLM CORP SR UNSECURED 06/18 8.45
6/15/2018
8.45
81,900

SLM CORP SR UNSECURED 09/15 3.875
9/10/2015
3.88
1,356,911

SLM CORP SR UNSECURED 10/13 5.
10/1/2013
10.00
2,354,625

SLM STUDENT LOAN TRUST SLMA 2003 11 A6 144A
12/15/2025
0.60
2,149,050

SLM STUDENT LOAN TRUST SLMA 2004 B A2
6/15/2021
0.51
5,797,924

SLM STUDENT LOAN TRUST SLMA 2006 5 A5
1/25/2027
0.43
2,591,459

SLM STUDENT LOAN TRUST SLMA 2007 2 A2
7/25/2017
0.32
351,361

SLM STUDENT LOAN TRUST SLMA 2008 9 A
4/25/2023
1.82
30,153,942

SLM STUDENT LOAN TRUST SLMA 2010 1 A
3/25/2025
0.61
15,680,401

SLM STUDENT LOAN TRUST SLMA 2012 6 A3
5/26/2026
0.97
1,515,372

SMALL BUSINESS ADMINISTRATION SBAP 1999 20L 1
12/1/2019
7.19
135,413

SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1
2/1/2025
4.63
2,726,029

SMALL BUSINESS ADMINISTRATION SBAP 2008 20F 1
6/1/2028
5.68
788,525

SMALL BUSINESS ADMINISTRATION SBIC 2004 P10B 1
8/10/2014
4.75
967,883

SMALL BUSINESS ADMINISTRATION SBIC 2008 10A 1
3/10/2018
5.47
4,020,418

SMC CORP COMMON STOCK
 
 
2,303,452

SMITH + NEPHEW PLC COMMON STOCK USD.2
 
 
1,514,915

SMITHS GROUP PLC COMMON STOCK GBP.375
 
 
216,829

SOCIETE GENERALE COMMON STOCK EUR1.25
 
 
2,377,661

SOFTBANK CORP COMMON STOCK
 
 
740,832

SOLARWINDS INC COMMON STOCK USD.001
 
 
1,840,995

SOLERA HOLDINGS INC COMMON STOCK USD.01
 
 
3,833,799

SONIC CORP COMMON STOCK USD.01
 
 
1,333,448

SOURCEFIRE INC COMMON STOCK USD.001
 
 
1,029,396


124
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SOUTH CAROLINA ST PUBLIC SVC A SCSUTL 06/14 FLOATING VAR
6/2/2014
0.91
10,420,488

SOUTH CAROLINA ST PUBLIC SVC A SCSUTL 07/13 FLOATING VAR
7/1/2013
0.71
5,207,124

SOUTH CAROLINA STUDENT LOAN CO SCSLC 2008 1 A2
3/1/2018
0.86
2,653,615

SOUTHERN CAL EDISON 1ST REF MORT 03/14 5.75
3/15/2014
11.50
5,678,827

SOUTHERN CO SR UNSECURED 05/14 4.15
5/15/2014
8.30
2,356,929

SOUTHERN CO SR UNSECURED 09/16 1.95
9/1/2016
3.90
6,494,583

SOUTHERN NATURAL GAS SR UNSECURED 144A 04/17 5.9
4/1/2017
5.90
317,256

SOUTHERN POWER CO SR UNSECURED 09/41 5.15
9/15/2041
5.15
45,044

SOUTHTRUST CORP SUBORDINATED 06/14 5.8
6/15/2014
5.80
4,262,420

SOUTHWEST GAS CORP COMMON STOCK USD1.
 
 
1,679,012

SOUTHWESTERN ENERGY CO COMMON STOCK USD.01
 
 
6,271,057

SOVRAN SELF STORAGE INC REIT USD.01
 
 
725,204

SPARK INFRASTRUCTURE GROUP MISC. NPV
 
 
448,146

SPARTAN STORES INC COMMON STOCK NPV
 
 
1,484,959

SPECTRA ENERGY CAPITAL COMPANY GUAR 02/13 6.25
2/15/2013
6.25
301,903

SPECTRA ENERGY CAPITAL COMPANY GUAR 03/20 5.65
3/1/2020
5.65
43,994

SPECTRA ENERGY CAPITAL COMPANY GUAR 08/14 5.668
8/15/2014
5.67
214,593

SPECTRA ENERGY CAPITAL COMPANY GUAR 09/13 5.9
9/15/2013
5.90
2,233,275

SPECTRA ENERGY CAPITAL COMPANY GUAR 10/19 8.
10/1/2019
8.00
99,051

SPECTRUM BRANDS HOLDINGS INC COMMON STOCK USD.01
 
 
2,601,447

SPIRIT AIRLINES INC COMMON STOCK USD.0001
 
 
476,668

SPLUNK INC COMMON STOCK
 
 
4,981,370

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2012 2A A 144A
10/25/2057
4.44
1,095,704

SPRINGLEAF MORTGAGE LOAN TRUST SLFMT 2012 3A A 144A
12/25/2059
4.71
485,488

SPS COMMERCE INC COMMON STOCK USD.001
 
 
1,299,046

ST JUDE MEDICAL INC COMMON STOCK USD.1
 
 
7,363,525

ST JUDE MEDICAL INC SR UNSECURED 01/16 2.5
1/15/2016
2.50
4,146,424

ST JUDE MEDICAL INC SR UNSECURED 09/13 2.2
9/15/2013
2.20
1,265,336

STADSHYPOTEK AB COVERED 144A 10/19 1.875
10/2/2019
1.88
249,900

STANLEY BLACK + DECKER INC COMMON STOCK USD2.5
 
 
11,477,037

STAPLES INC COMMON STOCK USD.0006
 
 
7,886,748

STATE BANK INDIA/LONDON SR UNSECURED 144A 07/15 4.5
7/27/2015
4.50
230,780

STATE STR BK TR CO INVT FDS US INDX NL SF CL A (CMLH1)
 
 
2,726,255,020

STATE STR BK + TR CO INVT FDS MUTUAL FUND
 
 
3,102,443,435

STATE STR BK + TR CO INVT FDS S+P 500 FLAGSHIP NON LENDING
 
 
5,980,639,948


125
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

STATE STREET CORP COMMON STOCK USD1.
 
 
4,017,005

STATE STREET CORP JR SUB DEBS 03/18 4.956
3/15/2018
4.96
3,069,593

STATE STREET CORP SR UNSECURED 03/16 2.875
3/7/2016
2.88
3,475,463

STATE STREET CORP SR UNSECURED 05/14 4.3
5/30/2014
4.30
1,459,750

STATOIL ASA COMPANY GUAR 01/23 2.45
1/17/2023
2.45
59,859

STATOIL ASA COMPANY GUAR 04/19 5.25
4/15/2019
5.25
1,978,470

STATOIL ASA COMPANY GUAR 144A 04/14 5.125
4/30/2014
5.13
952,412

STERICYCLE INC COMMON STOCK USD.01
 
 
1,006,943

STEVEN MADDEN LTD COMMON STOCK USD.0001
 
 
2,072,498

STHREE PLC COMMON STOCK GBP.01
 
 
277,091

STOREBRAND ASA COMMON STOCK NOK5.
 
 
127,709

STRAUMANN HOLDING AG REG COMMON STOCK CHF.1
 
 
419,442

STRIPS 02/20 0.00000
2/15/2020
0.01
4,574,235

STRIPS 02/21 0.00000
2/15/2021
0.01
1,533,432

STRIPS 05/20 0.00000
5/15/2020
0.01
4,539,305

STRIPS 11/20 0.00000
11/15/2020
0.01
2,928,625

STROER OUT OF HOME MEDIA AG COMMON STOCK
 
 
36,546

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1
2/25/2034
2.78
26,485

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 16 1A2
11/25/2034
2.80
1,414,739

STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2
4/25/2034
2.83
52,335

STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4
3/25/2034
0.92
600,873

STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR4 A1
1/19/2034
0.91
1,888,953

STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3
7/19/2035
0.46
3,457,582

STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1
5/25/2046
0.42
1,825,078

STRUCTURED ASSET SECURITIES CO SASC 2003 22A 3A
6/25/2033
2.84
785,014

STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5
9/25/2033
2.78
2,840,358

STRUCTURED ASSET SECURITIES CO SASC 2003 31A 2A7
10/25/2033
2.79
6,485,231

STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A3
11/25/2033
2.81
2,201,500

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 A
4/25/2035
0.49
535,290

STRUCTURED ASSET SECURITIES CO SASC 2005 GEL4 M1
8/25/2035
0.73
1,872,583

STRUCTURED ASSET SECURITIES CO SASC 2005 RF3 1A 144A
6/25/2035
0.56
1,210,549

STRYKER CORP COMMON STOCK USD.1
 
 
3,690,757

SUMITOMO MITSUI BANKING SR UNSECURED 07/15 1.35
7/18/2015
1.35
5,056,280

SUMITOMO MITSUI BANKING SR UNSECURED 144A 01/14 1.95
1/14/2014
1.95
202,009

SUMITOMO MITSUI BANKING SR UNSECURED 144A 01/16 3.1
1/14/2016
3.10
852,970

SUMITOMO MITSUI BANKING SR UNSECURED 144A 07/15 3.15
7/22/2015
3.15
2,264,485

SUMITOMO MITSUI FINANCIAL GR COMMON STOCK
 
 
1,858,949

SUNCOR ENERGY INC COMMON STOCK NPV
 
 
1,856,458


126
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SUNDRUG CO LTD COMMON STOCK
 
 
272,850

SUNTRUST BANK SUBORDINATED 04/15 VAR
4/1/2015
0.66
3,239,752

SUNTRUST BANKS INC SR UNSECURED 04/16 3.6
4/15/2016
3.60
320,444

SUPERGROUP PLC COMMON STOCK GBP.05
 
 
156,848

SUPERIOR ENERGY SERVICES INC COMMON STOCK USD.001
 
 
2,067,856

SURUGA BANK LTD COMMON STOCK
 
 
257,202

SUSQUEHANNA BANCSHARES INC COMMON STOCK USD2.
 
 
1,381,893

SUZUKI MOTOR CORP COMMON STOCK
 
 
2,312,217

SVB FINANCIAL GROUP COMMON STOCK USD.001
 
 
1,306,340

SVENSKA CELLULOSA AB B SHS COMMON STOCK NPV
 
 
1,642,032

SWATCH GROUP AG/THE BR COMMON STOCK CHF2.25
 
 
3,139,495

SWEDBANK AB A SHARES COMMON STOCK NPV
 
 
577,639

SWEDBANK HYPOTEK AB COVERED 10/16 3.625
10/5/2016
3.63
1,096,964

SWIFT ENERGY CO COMMON STOCK USD.01
 
 
1,396,489

SWISS RE AG COMMON STOCK CHF.1
 
 
2,421,385

SWPC002S4 CDS USD P V 03MEVENT CDX
6/20/2017
1.00
(5,300,000
)
SWPC002S4 CDS USD R F 1.00000 CDX
6/20/2017
1.00
5,335,643

SWPC056M2 CDS USD P V 03MEVENT
6/20/2016
1.00
(700,000
)
SWPC056M2 CDS USD R F 1.00000
6/20/2016
1.00
705,525

SWPC31E64 CDS USD P V 03MEVENT SOVEREIGN
6/20/2017
1.00
(1,100,000
)
SWPC31E64 CDS USD R F 1.00000 SOVEREIGN
6/20/2017
1.00
1,108,710

SWPC31F71 CDS USD P V 00MEVENT
6/20/2017
1.00
(1,600,000
)
SWPC31F71 CDS USD R F 1.00000
6/20/2017
1.00
1,631,795

SWPC355P3 CDS USD P V 03MEVENT
12/20/2016
1.00
(1,200,000
)
SWPC355P3 CDS USD R F 1.00000
12/20/2016
1.00
1,225,883

SWPC369J1 CDS USD P V 00MEVENT
12/20/2015
1.00
(200,000
)
SWPC369J1 CDS USD R F 1.00000
12/20/2015
1.00
202,440

SWPC670U0 CDS USD P V 03MEVENT 2 CCPCDX
12/20/2017
1.00
(5,100,000
)
SWPC670U0 CDS USD R F 1.00000 1 CCPCDX
12/20/2017
1.00
5,111,313

SWPC784L3 CDS USD P V 00MEVENT
6/20/2016
1.00
(300,000
)
SWPC784L3 CDS USD R F 1.00000
6/20/2016
1.00
304,827

SWPC824S0 CDS USD P V 00MEVENT
6/20/2017
1.00
(2,200,000
)
SWPC824S0 CDS USD R F 1.00000
6/20/2017
1.00
2,204,531

SWU000K39 IRS AUD P V 06MBBSW SWUV00K31 CCP CME
3/15/2023
1.00
(3,633,698
)
SWU000K39 IRS AUD R F 4.25000 SWU000K39 CCP CME
3/15/2023
4.25
3,757,586

SWU000LC8 IRS AUD P V 06MBBSW SWUV00LC0 CCP CME
3/15/2023
1.00
(519,100
)
SWU000LC8 IRS AUD R F 4.00000 SWU000LC8 CCP CME
3/15/2023
4.00
525,844

SWU001DY7 IRS EUR P V 06MEURIB IRS EUR 6ME/1.75 03/20/13 CME
3/20/2023
1.00
(1,318,400
)

127
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SWU001DY7 IRS EUR R F 1.75000 IRS EUR 6ME/1.75 03/20/13 CME
3/20/2023
1.75
1,334,327

SWU0022W1 IRS MXN P V 00MMITIE
9/8/2017
4.84
(1,655,629
)
SWU0022W1 IRS MXN R F 5.75000
9/8/2017
5.75
1,689,016

SWU0023W0 IRS MXN P V 00MTIIE 2
9/2/2022
4.84
(438,934
)
SWU0023W0 IRS MXN R F 6.75000
9/2/2022
6.75
472,527

SWU023NY0 IRS BRL P V 00MBRCDI HUS IRS BRL P V 00MBRCDI
1/2/2014
1.00
(2,393,162
)
SWU023NY0 IRS BRL R F 7.77800 HUS IRS BRL R F 7.77800
1/2/2014
7.78
2,410,441

SWU0307U1 IRS EUR P V 06MEURIB MYC IRS EUR P V 06MEURIB CME
3/21/2017
1.15
(2,333,568
)
SWU0307U1 IRS EUR R F 2.00000 MYC IRS EUR R F 2.00000 CME
3/21/2017
2.00
2,466,939

SWU0321U3 IRS EUR P V 06MEURIB CME
3/21/2022
1.00
(9,558,402
)
SWU0321U3 IRS EUR R F 2.50000 CME
3/21/2022
2.50
10,434,936

SWU0326U8 IRS EUR P V 06MEURIB CME
9/15/2015
0.49
(2,109,440
)
SWU0326U8 IRS EUR R F 2.00000 CME
9/15/2015
2.00
2,197,860

SWU035EH1 IRS BRL P V 01MBCSWA MYC IRS BRL P V 01MBCSWA
1/2/2015
2.00
(2,246,642
)
SWU035EH1 IRS BRL R F 8.63000 MYC IRS BRL R F 8.63000
1/2/2015
17.26
2,297,196

SWU036GK0 IRS BRL P V 00MCETIP GLM IRS BRL P V 00MCETIP
1/2/2015
1.00
(9,768,010
)
SWU036GK0 IRS BRL R F 9.94000 GLM IRS BRL R F 9.94000
1/2/2015
9.94
10,228,904

SWU036KY5 IRS BRL P F .00000
1/2/2014
 
(48,840
)
SWU036KY5 IRS BRL R F .00000
1/2/2014
 
49,484

SWU036QU7 IRS BRL P V 00MCETIP NDFPREDISWAP
1/2/2015
1.00
(11,086,691
)
SWU036QU7 IRS BRL R F 8.44000 NDFPREDISWAP
1/2/2015
8.44
11,267,703

SWU036VH0 IRS BRL P V 00MCETIP HUS IRS BRL P V 00MCETIP
1/2/2015
1.00
(732,601
)
SWU036VH0 IRS BRL R F 8.07500 HUS IRS BRL R F 8.07500
1/2/2015
8.08
738,798

SWU09E214 IRS BRL P V 00MBRCDI
1/2/2014
1.00
(34,432,234
)
SWU09E214 IRS BRL R F 9.06000
1/2/2014
9.06
35,403,795

SWU0ABJK8 IRS BRL P V 00MBRCDI HUS IRS BRL P V 00MBRCDI
1/2/2015
1.00
(30,769,231
)
SWU0ABJK8 IRS BRL R F 8.11500 HUS IRS BRL R F 8.11500
1/2/2015
8.12
31,106,889

SWU0TR9A6 IRS BRL P V 00MCEPTI MYC IRS BRL P V 00MCEPTI
1/2/2014
1.00
(2,344,322
)
SWU0TR9A6 IRS BRL R F 7.78500 MYC IRS BRL R F 7.78500
1/2/2014
7.79
2,361,757

SYMANTEC CORP SR UNSECURED 09/15 2.75
9/15/2015
2.75
1,292,826

SYNAPTICS INC COMMON STOCK USD.001
 
 
1,528,470

SYNCHRONOSS TECHNOLOGIES INC COMMON STOCK USD.0001
 
 
1,878,233

SYNGENTA AG ADR ADR
 
 
11,812,960

SYNGENTA AG REG COMMON STOCK CHF.1
 
 
3,085,472


128
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

SYNNEX TECHNOLOGY INTL CORP COMMON STOCK TWD10.
 
 
154,757

TAHOE RESOURCES INC COMMON STOCK
 
 
303,425

TAIWAN SEMICONDUCTOR MANUFAC COMMON STOCK TWD10.
 
 
5,850,932

TAL INTERNATIONAL GROUP INC COMMON STOCK USD.001
 
 
3,756,599

TANGOE INC/CT COMMON STOCK USD.0001
 
 
989,970

TARGACEPT INC COMMON STOCK USD.001
 
 
81,258

TARGET CORP COMMON STOCK USD.0833
 
 
5,421,155

TARGET CORP SR UNSECURED 05/17 5.375
5/1/2017
5.38
353,135

TAYLOR WIMPEY PLC COMMON STOCK GBP.01
 
 
271,031

TBA WESTERN/LEHMAN RECEIVABLE LBI LEHESC R(LEH ESCROW REC)
 
 
677,203

TCF FINANCIAL CORP COMMON STOCK USD.01
 
 
772,740

TCI COMMUNICATIONS INC SR UNSECURED 08/15 8.75
8/1/2015
8.75
477,318

TEACHERS INSUR + ANNUITY SUBORDINATED 144A 12/39 6.85
12/16/2039
6.85
2,902,429

TEAM HEALTH HOLDINGS INC COMMON STOCK USD.01
 
 
4,094,230

TECAN GROUP AG REG COMMON STOCK CHF.1
 
 
332,627

TECHNIP SA COMMON STOCK EUR.7625
 
 
429,909

TECHTRONIC INDUSTRIES CO COMMON STOCK HKD.1
 
 
481,174

TELECOM ITALIA CAPITAL COMPANY GUAR 06/14 6.175
6/18/2014
6.18
258,230

TELECOM ITALIA CAPITAL COMPANY GUAR 10/15 5.25
10/1/2015
5.25
1,478,960

TELECOM ITALIA CAPITAL COMPANY GUAR 11/13 5.25
11/15/2013
10.50
4,983,375

TELEFONICA EMISIONES SAU COMPANY GUAR 02/13 5.855
2/4/2013
5.86
235,823

TELEFONICA EMISIONES SAU COMPANY GUAR 02/16 3.992
2/16/2016
7.98
443,253

TELEFONICA EMISIONES SAU COMPANY GUAR 04/13 2.582
4/26/2013
5.16
6,522,750

TELENOR ASA COMMON STOCK NOK6.
 
 
455,191

TELEPERFORMANCE COMMON STOCK EUR2.5
 
 
18,079

TELIASONERA AB COMMON STOCK NPV
 
 
562,466

TELSTRA CORP LTD COMMON STOCK NPV
 
 
714,340

TELUS CORP COM (NON CANADIAN
 
 
665,580

TEMP KL HF1 BA CMT 02/63 1.65
2/20/2063
1.65
353,891

TENN VALLEY AUTHORITY SR UNSECURED 01/48 4.875
1/15/2048
4.88
262,867

TENN VALLEY AUTHORITY SR UNSECURED 02/21 3.875
2/15/2021
3.88
1,247,486

TENN VALLEY AUTHORITY SR UNSECURED 07/17 5.5
7/18/2017
5.50
640,988

TENN VALLEY AUTHORITY SR UNSECURED 09/39 5.25
9/15/2039
5.25
1,868,317

TERADATA CORP COMMON STOCK USD.01
 
 
15,260,094

TERADYNE INC COMMON STOCK USD.125
 
 
1,818,462

TERANGA GOLD CORP CDI RECEIPT NPV
 
 
109,983

TESLA MOTORS INC COMMON STOCK USD.001
 
 
9,195,028


129
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

TETRA TECH INC COMMON STOCK USD.01
 
 
4,177,328

TETRA TECHNOLOGIES INC COMMON STOCK USD.01
 
 
1,633,596

TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65
11/10/2021
3.65
85,619

TEVA PHARMA FIN II/III COMPANY GUAR 06/15 3.
6/15/2015
3.00
178,732

TEVA PHARMA FIN IV LLC COMPANY GUAR 11/14 1.7
11/10/2014
1.70
3,907,925

TEVA PHARMACEUT FIN BV COMPANY GUAR 11/16 2.4
11/10/2016
2.40
208,424

TEVA PHARMACEUTICAL SP ADR ADR
 
 
9,508,295

TEXAS CAPITAL BANCSHARES INC COMMON STOCK USD.01
 
 
1,275,129

TEXAS INSTRUMENTS INC COMMON STOCK USD1.
 
 
23,456,542

TEXAS INSTRUMENTS INC SR UNSECURED 05/14 1.375
5/15/2014
1.38
1,013,260

TEXAS INSTRUMENTS INC SR UNSECURED 05/16 2.375
5/16/2016
2.38
156,989

TEXAS INSTRUMENTS INC SR UNSECURED 08/15 0.45
8/3/2015
0.45
4,150,823

TEXTRON INC SR UNSECURED 03/15 6.2
3/15/2015
12.40
1,200,153

TEXTRON INC SR UNSECURED 12/17 5.6
12/1/2017
5.60
215,123

TEXWINCA HOLDINGS LTD COMMON STOCK HKD.05
 
 
139,200

THERMO FISHER SCIENTIFIC INC COMMON STOCK USD1.
 
 
3,889,942

THERMO FISHER SCIENTIFIC SR UNSECURED 08/21 3.6
8/15/2021
3.60
850,824

THK CO LTD COMMON STOCK
 
 
206,067

THOMSON REUTERS CORP COMPANY GUAR 10/14 5.7
10/1/2014
5.70
540,521

THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1
9/25/2037
6.16
1,645,800

THORNBURG MORTGAGE SECURITIES TMST 2007 4 3A1
9/25/2037
6.17
1,626,608

THROMBOGENICS NV COMMON STOCK
 
 
332,632

THYSSENKRUPP AG COMMON STOCK NPV
 
 
731,736

TIBCO SOFTWARE INC COMMON STOCK USD.001
 
 
4,709,458

TIERS 2012 01 SR SECURED 144A 05/14 VAR
5/12/2014
2.06
5,192,950

TIFFANY + CO COMMON STOCK USD.01
 
 
2,169,115

TILE SHOP HLDGS INC COMMON STOCK
 
 
308,931

TIMAH PERSERO TBK PT COMMON STOCK IDR50.
 
 
112,094

TIME DOTCOM BHD COMMON STOCK MYR.1
 
 
249,814

TIME WARNER CABLE INC COMPANY GUAR 02/19 8.75
2/14/2019
17.50
2,259,843

TIME WARNER CABLE INC COMPANY GUAR 02/21 4.125
2/15/2021
4.13
301,159

TIME WARNER CABLE INC COMPANY GUAR 04/14 7.5
4/1/2014
7.50
4,617,024

TIME WARNER CABLE INC COMPANY GUAR 04/19 8.25
4/1/2019
16.50
4,151,899

TIME WARNER CABLE INC COMPANY GUAR 05/17 5.85
5/1/2017
5.85
974,587

TIME WARNER CABLE INC COMPANY GUAR 06/39 6.75
6/15/2039
6.75
1,078,118

TIME WARNER CABLE INC COMPANY GUAR 07/13 6.2
7/1/2013
6.20
3,287,837

TIME WARNER CABLE INC COMPANY GUAR 07/38 7.3
7/1/2038
7.30
2,431,492

TIME WARNER CABLE INC COMPANY GUAR 09/21 4.
9/1/2021
4.00
477,484

TIME WARNER CABLE INC COMPANY GUAR 09/41 5.5
9/1/2041
5.50
178,027

TIME WARNER CABLE INC COMPANY GUAR 11/40 5.875
11/15/2040
5.88
2,167,265


130
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

TIME WARNER INC COMMON STOCK USD.01
 
 
22,880,437

TIME WARNER INC COMPANY GUAR 01/22 4.
1/15/2022
4.00
437,873

TIME WARNER INC COMPANY GUAR 03/21 4.75
3/29/2021
9.50
2,430,581

TIME WARNER INC COMPANY GUAR 03/41 6.25
3/29/2041
6.25
234,594

TIME WARNER INC COMPANY GUAR 07/15 3.15
7/15/2015
3.15
740,247

TIME WARNER INC COMPANY GUAR 07/40 6.1
7/15/2040
6.10
1,295,468

TIME WARNER INC COMPANY GUAR 11/16 5.875
11/15/2016
5.88
304,432

TITAN INTERNATIONAL INC COMMON STOCK NPV
 
 
774,904

TJX COMPANIES INC COMMON STOCK USD1.
 
 
4,044,084

TK CORPORATION COMMON STOCK KRW500.
 
 
136,422

TNK BP FINANCE SA COMPANY GUAR REGS 03/17 6.625
3/20/2017
6.63
193,375

TNK BP FINANCE SA COMPANY GUAR REGS 07/16 7.5
7/18/2016
7.50
173,625

TO-BE-ANNOUNCED SECURITIES
 
 
3,599,651

TOKYO OHKA KOGYO CO LTD COMMON STOCK
 
 
379,013

TORONTO DOMINION BANK COVERED 144A 03/17 1.5
3/13/2017
1.50
409,400

TORONTO DOMINION BANK SR UNSECURED 07/16 2.5
7/14/2016
2.50
526,024

TOTAL CAPITAL INTL SA COMPANY GUAR 01/16 0.75
1/25/2016
0.75
3,720,814

TOTAL CAPITAL INTL SA COMPANY GUAR 01/23 2.7
1/25/2023
2.70
621,424

TOTAL CAPITAL INTL SA COMPANY GUAR 02/17 1.5
2/17/2017
1.50
87,674

TOTAL CAPITAL INTL SA COMPANY GUAR 02/22 2.875
2/17/2022
2.88
965,535

TOTAL CAPITAL INTL SA COMPANY GUAR 06/17 1.55
6/28/2017
3.10
178,713

TOTAL CAPITAL SA COMPANY GUAR 06/15 3.
6/24/2015
3.00
333,775

TOTVS SA COMMON STOCK NPV
 
 
163,730

TOWER BERSAMA INFRASTRUCTURE COMMON STOCK IDR100.
 
 
528,451

TOYOTA AUTO RECEIVABLES OWNER TAOT 2010 A A4
5/16/2016
1.86
406,961

TOYOTA AUTO RECEIVABLES OWNER TAOT 2010 C A4
12/15/2014
1.09
704,045

TOYOTA AUTO RECEIVABLES OWNER TAOT 2011 B A3
6/15/2015
0.68
2,006,068

TOYOTA AUTO RECEIVABLES OWNER TAOT 2012 A A3
2/16/2016
0.75
1,004,445

TOYOTA AUTO RECEIVABLES OWNER TAOT 2012 B A2
2/17/2015
0.36
7,860,692

TOYOTA MOTOR CORP COMMON STOCK
 
 
6,799,259

TOYOTA MOTOR CREDIT CORP SR UNSECURED 01/17 2.05
1/12/2017
2.05
361,991

TOYOTA MOTOR CREDIT CORP SR UNSECURED 06/15 3.2
6/17/2015
3.20
371,143

TOYOTA MOTOR CREDIT CORP SR UNSECURED 07/15 0.875
7/17/2015
0.88
200,824

TOYOTA MOTOR CREDIT CORP SR UNSECURED 09/16 2.
9/15/2016
2.00
829,398

TOYOTA MOTOR CREDIT CORP SR UNSECURED 10/17 1.25
10/5/2017
1.25
2,840,059

TOYOTA MOTOR CREDIT CORP SR UNSECURED 11/14 1.25
11/17/2014
1.25
405,650

TPK HOLDING CO LTD COMMON STOCK TWD10.
 
 
1,960,915

TRANS CANADA PIPELINES SR UNSECURED 06/13 4.
6/15/2013
4.00
1,016,117

TRANS CANADA PIPELINES SR UNSECURED 08/18 6.5
8/15/2018
6.50
295,952

TRANS CANADA PIPELINES SR UNSECURED 08/38 7.25
8/15/2038
7.25
94,017


131
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

TRANSDIGM GROUP INC COMMON STOCK USD.01
 
 
3,300,867

TRANSNEFT(TRANS CAP INV) SR UNSECURED REGS 08/18 8.7
8/7/2018
8.70
284,955

TRANSOCEAN INC COMPANY GUAR 03/13 5.25
3/15/2013
5.25
272,371

TRANSOCEAN INC COMPANY GUAR 10/17 2.5
10/15/2017
5.00
3,213,454

TRANSOCEAN INC COMPANY GUAR 11/15 4.95
11/15/2015
4.95
328,478

TRANSOCEAN INC COMPANY GUAR 12/16 5.05
12/15/2016
5.05
1,811,538

TRANSOCEAN LTD COMMON STOCK CHF15.
 
 
238,157

TRANSOCEAN LTD COMMON STOCK CHF15.
 
 
922,916

TRAVELERS COS INC SR UNSECURED 05/18 5.8
5/15/2018
5.80
1,514,206

TRAVELERS COS INC SR UNSECURED 06/16 6.25
6/20/2016
6.25
505,424

TRAVELERS COS INC/THE COMMON STOCK NPV
 
 
5,431,747

TRAVELERS PPTY CASUALTY SR UNSECURED 03/13 5.
3/15/2013
5.00
100,974

TRAVIS PERKINS PLC COMMON STOCK GBP.1
 
 
587,157

TREASURY BILL 04/13 0.00000
4/4/2013
0.02
36,299,650

TREASURY BILL 05/13 0.00000
5/16/2013
0.01
10,754,654

TREASURY BILL 07/13 0.00000
7/25/2013
0.01
18,192,009

TREASURY BILL 10/13 0.00000
10/17/2013
0.01
14,442,745

TREASURY WINE ESTATES LTD COMMON STOCK
 
 
313,919

TREEHOUSE FOODS INC COMMON STOCK USD.01
 
 
843,985

TRICAN WELL SERVICE LTD COMMON STOCK NPV
 
 
287,251

TRILOGY ENERGY CORP COMMON STOCK NPV
 
 
260,198

TRIMBLE NAVIGATION LTD COMMON STOCK NPV
 
 
4,807,627

TRIUMPH GROUP INC COMMON STOCK USD.001
 
 
2,026,912

TSUTSUMI JEWELRY CO LTD COMMON STOCK
 
 
79,342

TSY 0 1/8 2024 I/L GILT BONDS 03/24 0.125
3/22/2024
0.13
358,358

TSY 1 7/8 2022 I/L GILT BONDS 11/22 1.875
11/22/2022
1.88
12,041,741

TSY INFL IX N/B 01/21 1.125
1/15/2021
1.13
59,616,375

TSY INFL IX N/B 01/22 0.125
1/15/2022
0.38
70,809,145

TSY INFL IX N/B 01/25 2.375
1/15/2025
4.75
2,880,476

TSY INFL IX N/B 01/29 2.5
1/15/2029
2.50
12,907,911

TSY INFL IX N/B 02/40 2.125
2/15/2040
4.25
6,831,221

TSY INFL IX N/B 02/41 2.125
2/15/2041
2.13
1,169,832

TSY INFL IX N/B 02/42 0.75
2/15/2042
0.75
11,212

TSY INFL IX N/B 04/17 0.125
4/15/2017
0.25
17,885,933

TSY INFL IX N/B 04/29 3.875
4/15/2029
3.88
419,811

TSY INFL IX N/B 07/20 1.25
7/15/2020
1.25
352,308

TSY INFL IX N/B 07/22 0.125
7/15/2022
0.50
69,844,836

TW TELECOM INC COMMON STOCK USD.01
 
 
1,011,159

TYCO ELECTRONICS GROUP S COMPANY GUAR 10/17 6.55
10/1/2017
6.55
443,671

TYCO INTERNATIONAL LTD COMMON STOCK USD6.7
 
 
4,309,988


132
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

TYSON FOODS INC COMPANY GUAR 04/16 6.6
4/1/2016
6.60
286,486

UAL 2009 2A PASS THRU TR PASS THRU CE 07/18 9.75
7/15/2018
9.75
479,914

UBI BANCA SCPA COMMON STOCK EUR2.5
 
 
448,910

UBS AG REG COMMON STOCK CHF.1
 
 
3,055,606

UBS AG STAMFORD CT NOTES 01/14 2.25
1/28/2014
2.25
2,625,371

UBS AG STAMFORD CT NOTES 01/15 3.875
1/15/2015
3.88
1,003,829

UBS AG STAMFORD CT SR UNSECURED 01/14 VAR
1/28/2014
1.31
281,716

UBS AG STAMFORD CT SR UNSECURED 04/18 5.75
4/25/2018
11.50
15,017,359

UBS AG STAMFORD CT SR UNSECURED 08/13 2.25
8/12/2013
2.25
16,657,839

UBS AG STAMFORD CT SUBORDINATED 07/16 5.875
7/15/2016
5.88
1,450,467

UBS BAMLL TRUST UBSBM 2012 WRM A 144A
6/10/2030
3.66
166,731

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C2 A4
5/10/2063
3.53
162,655

UBS BARCLAYS COMMERCIAL MORTGA UBSBB 2012 C4 AS 144A
12/10/2045
3.32
1,213,255

UBS COMMERCIAL MORTGAGE TRUST UBSCM 2012 C1 XA 144A
5/10/2045
2.36
177,087

UCB SA COMMON STOCK NPV
 
 
3,973,075

UIL HOLDINGS CORPORATION SR UNSECURED 10/20 4.625
10/1/2020
4.63
117,971

UK TSY 1 2017 UNSECURED 09/17 1.
9/7/2017
1.00
4,255,421

UK TSY 1.75 2022 UNSECURED 09/22 1.75
9/7/2022
1.75
4,889,309

UK TSY 2 3/4 2015 UNSECURED 01/15 2.75
1/22/2015
2.75
2,660,390

UK TSY 3 3/4 2020 UNSECURED 09/20 3.75
9/7/2020
3.75
151,988

UK TSY 4 2016 UNSECURED 09/16 4.
9/7/2016
4.00
567,241

UK TSY 4 2022 UNSECURED 03/22 4.
3/7/2022
4.00
1,871,017

UK TSY 4 3/4 2015 UNSECURED 09/15 4.75
9/7/2015
4.75
1,616,321

ULTIMATE SOFTWARE GROUP INC COMMON STOCK USD.01
 
 
2,341,368

ULTRA CLEAN HOLDINGS COMMON STOCK USD.001
 
 
699,287

UNICHARM CORP COMMON STOCK
 
 
3,860,455

UNICREDIT SPA COMMON STOCK NPV
 
 
2,748,160

UNILEVER CAPITAL CORP COMPANY GUAR 02/21 4.25
2/10/2021
4.25
1,160,006

UNILEVER NV CVA DUTCH CERT EUR.16
 
 
2,852,878

UNION PACIFIC CORP COMMON STOCK USD2.5
 
 
5,335,557

UNION PACIFIC CORP SR UNSECURED 01/15 4.875
1/15/2015
4.88
321,166

UNION PACIFIC CORP SR UNSECURED 01/23 2.95
1/15/2023
2.95
155,089

UNION PACIFIC CORP SR UNSECURED 02/14 5.125
2/15/2014
5.13
147,021

UNION PACIFIC CORP SR UNSECURED 02/16 7.
2/1/2016
7.00
512,719

UNION PACIFIC CORP SR UNSECURED 05/14 5.375
5/1/2014
5.38
373,121

UNION PACIFIC CORP SR UNSECURED 07/22 4.163
7/15/2022
4.16
769,212

UNITED DRUG PLC COMMON STOCK EUR.05
 
 
236,110

UNITED INTERNET AG REG SHARE COMMON STOCK NPV
 
 
82,894


133
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

UNITED NATURAL FOODS INC COMMON STOCK USD.01
 
 
2,057,856

UNITED PARCEL SERVICE CL B COMMON STOCK USD.01
 
 
6,039,962

UNITED PARCEL SERVICE SR UNSECURED 01/13 4.5
1/15/2013
9.00
690,990

UNITED PARCEL SERVICE SR UNSECURED 01/21 3.125
1/15/2021
6.25
2,979,717

UNITED PARCEL SERVICE SR UNSECURED 04/14 3.875
4/1/2014
3.88
2,808,336

UNITED PARCEL SERVICE SR UNSECURED 10/17 1.125
10/1/2017
1.13
1,339,400

UNITED PARCEL SERVICE SR UNSECURED 10/22 2.45
10/1/2022
2.45
75,024

UNITED PHOSPHORUS LTD COMMON STOCK INR2.
 
 
137,873

UNITED RENTALS INC COMMON STOCK USD.01
 
 
1,711,552

UNITED TECHNOLOGIES CORP COMMON STOCK USD1.
 
 
15,081,721

UNITED TECHNOLOGIES CORP PREFERRED STOCK 08/15 7.5
 
 
520,331

UNITED TECHNOLOGIES CORP SR UNSECURED 02/19 6.125
2/1/2019
6.13
155,778

UNITED TECHNOLOGIES CORP SR UNSECURED 05/15 4.875
5/1/2015
4.88
411,807

UNITED TECHNOLOGIES CORP SR UNSECURED 06/15 1.2
6/1/2015
2.40
6,163,998

UNITED TECHNOLOGIES CORP SR UNSECURED 06/22 3.1
6/1/2022
6.20
7,995,359

UNITEDHEALTH GROUP INC COMMON STOCK USD.01
 
 
21,391,442

UNITEDHEALTH GROUP INC SR UNSECURED 02/13 4.875
2/15/2013
9.75
5,105,430

UNITEDHEALTH GROUP INC SR UNSECURED 02/18 6.
2/15/2018
6.00
505,132

UNITEDHEALTH GROUP INC SR UNSECURED 03/16 5.375
3/15/2016
5.38
198,659

UNITEDHEALTH GROUP INC SR UNSECURED 08/14 5.
8/15/2014
5.00
212,792

UNITEDHEALTH GROUP INC SR UNSECURED 10/15 0.85
10/15/2015
1.70
4,242,833

UNITEDHEALTH GROUP INC SR UNSECURED 10/17 1.4
10/15/2017
1.40
385,602

UNITEDHEALTH GROUP INC SR UNSECURED 11/21 3.375
11/15/2021
6.75
2,130,746

UNITEDHEALTH GROUP INC SR UNSECURED 11/37 6.625
11/15/2037
6.63
39,676

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/12 FIXED 4.858
5/15/2112
4.86
936,135

UNIV OF CALIFORNIA CA REVENUES UNVHGR 05/45 FIXED 5.946
5/15/2045
5.95
346,002

UNIVERSAL HEALTH SERVICES B COMMON STOCK USD.01
 
 
1,128,296

US BANCORP NOTES 07/15 2.45
7/27/2015
2.45
3,135,579

US BANCORP SR UNSECURED 05/14 4.2
5/15/2014
4.20
3,149,670

US BANCORP SR UNSECURED 11/16 2.2
11/15/2016
6.60
3,671,684

US BANK NA SUBORDINATED 02/14 6.3
2/4/2014
6.30
2,508,004

US TREASURY N/B 01/13 0.625
1/31/2013
0.63
1,000,391

US TREASURY N/B 01/14 0.25
1/31/2014
0.25
34,021,250

US TREASURY N/B 01/14 1.
1/15/2014
2.00
35,292,565

US TREASURY N/B 01/15 2.25
1/31/2015
2.25
8,223,410

US TREASURY N/B 01/17 0.875
1/31/2017
0.88
10,132,810

US TREASURY N/B 01/17 3.125
1/31/2017
3.13
27,600

US TREASURY N/B 02/13 1.375
2/15/2013
2.75
2,223,381


134
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

US TREASURY N/B 02/14 0.25
2/28/2014
0.25
34,018,598

US TREASURY N/B 02/14 1.25
2/15/2014
3.75
35,598,274

US TREASURY N/B 02/14 1.875
2/28/2014
3.75
11,655,215

US TREASURY N/B 02/14 4.
2/15/2014
16.00
39,168,012

US TREASURY N/B 02/15 0.25
2/15/2015
0.50
4,897,702

US TREASURY N/B 02/15 2.375
2/28/2015
7.13
98,668,900

US TREASURY N/B 02/16 2.125
2/29/2016
2.13
7,381,171

US TREASURY N/B 02/16 4.5
2/15/2016
4.50
8,064,465

US TREASURY N/B 02/17 0.875
2/28/2017
0.88
3,140,688

US TREASURY N/B 02/18 3.5
2/15/2018
3.50
14,085,373

US TREASURY N/B 02/19 1.375
2/28/2019
1.38
26,131,533

US TREASURY N/B 02/20 8.5
2/15/2020
8.50
15,602,559

US TREASURY N/B 02/22 2.
2/15/2022
2.00
51,707

US TREASURY N/B 02/36 4.5
2/15/2036
4.50
1,447,703

US TREASURY N/B 02/38 4.375
2/15/2038
4.38
1,686,750

US TREASURY N/B 02/42 3.125
2/15/2042
6.25
22,805,081

US TREASURY N/B 03/13 1.375
3/15/2013
2.75
59,149,801

US TREASURY N/B 03/14 0.25
3/31/2014
0.50
3,201,501

US TREASURY N/B 03/14 1.25
3/15/2014
2.50
59,125,445

US TREASURY N/B 03/15 0.375
3/15/2015
0.38
42,866,886

US TREASURY N/B 03/16 2.25
3/31/2016
2.25
2,543,062

US TREASURY N/B 03/16 2.375
3/31/2016
2.38
3,083,063

US TREASURY N/B 03/17 3.25
3/31/2017
3.25
2,346,385

US TREASURY N/B 03/18 2.875
3/31/2018
2.88
88,687,520

US TREASURY N/B 04/13 0.625
4/30/2013
1.25
25,159,152

US TREASURY N/B 04/13 1.75
4/15/2013
1.75
15,070,320

US TREASURY N/B 04/14 1.25
4/15/2014
2.50
8,409,585

US TREASURY N/B 04/14 1.875
4/30/2014
3.75
14,271,029

US TREASURY N/B 04/15 2.5
4/30/2015
2.50
2,942,626

US TREASURY N/B 04/16 2.
4/30/2016
2.00
10,521,090

US TREASURY N/B 04/16 2.625
4/30/2016
2.63
536,250

US TREASURY N/B 04/17 3.125
4/30/2017
6.25
6,205,500

US TREASURY N/B 05/13 0.5
5/31/2013
0.50
120,192

US TREASURY N/B 05/13 1.375
5/15/2013
1.38
18,083,664

US TREASURY N/B 05/14 1.
5/15/2014
4.00
33,292,557

US TREASURY N/B 05/15 2.125
5/31/2015
4.25
105,061,035

US TREASURY N/B 05/15 4.125
5/15/2015
4.13
2,179,844

US TREASURY N/B 05/16 1.75
5/31/2016
1.75
2,089,218

US TREASURY N/B 05/16 3.25
5/31/2016
3.25
12,548,700

US TREASURY N/B 05/16 7.25
5/15/2016
7.25
2,406,206


135
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

US TREASURY N/B 05/17 0.625
5/31/2017
0.63
1,001,562

US TREASURY N/B 05/17 2.75
5/31/2017
2.75
1,202,609

US TREASURY N/B 05/19 3.125
5/15/2019
3.13
2,038,500

US TREASURY N/B 05/20 8.75
5/15/2020
8.75
752,494

US TREASURY N/B 05/21 3.125
5/15/2021
6.25
3,061,757

US TREASURY N/B 05/21 8.125
5/15/2021
8.13
21,025,226

US TREASURY N/B 05/22 1.75
5/15/2022
3.50
7,766,774

US TREASURY N/B 05/30 6.25
5/15/2030
6.25
2,010,125

US TREASURY N/B 05/37 5.
5/15/2037
5.00
423,281

US TREASURY N/B 05/39 4.25
5/15/2039
4.25
127,578

US TREASURY N/B 05/41 4.375
5/15/2041
4.38
4,820,404

US TREASURY N/B 06/13 1.125
6/15/2013
1.13
21,798,323

US TREASURY N/B 06/14 0.25
6/30/2014
0.75
41,861,361

US TREASURY N/B 06/14 0.75
6/15/2014
2.25
100,595,901

US TREASURY N/B 06/16 1.5
6/30/2016
4.50
30,148,406

US TREASURY N/B 06/16 3.25
6/30/2016
3.25
3,065,984

US TREASURY N/B 06/18 2.375
6/30/2018
2.38
17,871,038

US TREASURY N/B 07/13 0.375
7/31/2013
0.38
16,227,784

US TREASURY N/B 07/13 1.
7/15/2013
1.00
13,954,019

US TREASURY N/B 07/14 0.625
7/15/2014
1.25
24,811,240

US TREASURY N/B 07/14 2.625
7/31/2014
2.63
10,376,170

US TREASURY N/B 07/15 0.25
7/15/2015
0.25
7,887,036

US TREASURY N/B 07/15 1.75
7/31/2015
1.75
3,109,686

US TREASURY N/B 07/16 1.5
7/31/2016
1.50
7,258,125

US TREASURY N/B 07/17 0.5
7/31/2017
0.50
1,689,773

US TREASURY N/B 08/13 0.75
8/15/2013
1.50
40,004,456

US TREASURY N/B 08/14 0.25
8/31/2014
0.50
129,890,450

US TREASURY N/B 08/14 0.5
8/15/2014
1.50
69,593,144

US TREASURY N/B 08/14 2.375
8/31/2014
2.38
20,304,018

US TREASURY N/B 08/15 4.25
8/15/2015
4.25
2,203,594

US TREASURY N/B 08/16 1.
8/31/2016
2.00
21,863,975

US TREASURY N/B 08/17 1.875
8/31/2017
3.75
66,390,972

US TREASURY N/B 08/17 4.75
8/15/2017
4.75
563,951

US TREASURY N/B 08/21 2.125
8/15/2021
4.25
227,805,875

US TREASURY N/B 08/21 8.125
8/15/2021
8.13
9,116,881

US TREASURY N/B 08/22 1.625
8/15/2022
6.50
43,323,831

US TREASURY N/B 08/23 6.25
8/15/2023
6.25
18,925,500

US TREASURY N/B 08/27 6.375
8/15/2027
6.38
6,287,897

US TREASURY N/B 08/40 3.875
8/15/2040
3.88
360,563

US TREASURY N/B 08/41 3.75
8/15/2041
3.75
2,233,093


136
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

US TREASURY N/B 08/42 2.75
8/15/2042
2.75
89,989,491

US TREASURY N/B 09/13 0.125
9/30/2013
0.13
6,308,277

US TREASURY N/B 09/13 0.75
9/15/2013
1.50
11,010,834

US TREASURY N/B 09/15 0.25
9/15/2015
0.25
309,322

US TREASURY N/B 09/16 1.
9/30/2016
1.00
3,057,186

US TREASURY N/B 09/17 0.625
9/30/2017
0.63
2,994,609

US TREASURY N/B 09/17 1.875
9/30/2017
3.75
39,449,844

US TREASURY N/B 09/18 1.375
9/30/2018
1.38
781,256

US TREASURY N/B 10/13 0.25
10/31/2013
0.25
1,100,688

US TREASURY N/B 10/15 0.25
10/15/2015
0.50
3,931,072

US TREASURY N/B 10/15 1.25
10/31/2015
1.25
2,050,782

US TREASURY N/B 10/16 1.00001
10/31/2016
1.00
11,209,682

US TREASURY N/B 10/16 3.125
10/31/2016
3.13
21,570,642

US TREASURY N/B 10/17 0.75
10/31/2017
1.50
5,066,569

US TREASURY N/B 10/17 1.875
10/31/2017
1.88
2,535,187

US TREASURY N/B 10/19 1.25
10/31/2019
1.25
13,712,622

US TREASURY N/B 11/14 0.25
11/30/2014
0.50
808,167,517

US TREASURY N/B 11/14 2.125
11/30/2014
4.25
101,501,849

US TREASURY N/B 11/14 4.25
11/15/2014
8.50
20,265,877

US TREASURY N/B 11/15 0.375
11/15/2015
0.75
52,624,315

US TREASURY N/B 11/15 1.375
11/30/2015
4.13
86,405,738

US TREASURY N/B 11/16 0.875
11/30/2016
0.88
5,070,705

US TREASURY N/B 11/16 4.625
11/15/2016
4.63
7,573,795

US TREASURY N/B 11/17 0.625
11/30/2017
1.88
194,034,043

US TREASURY N/B 11/19 1.
11/30/2019
2.00
147,428,137

US TREASURY N/B 11/19 3.375
11/15/2019
3.38
40,242

US TREASURY N/B 11/20 2.625
11/15/2020
5.25
10,760,988

US TREASURY N/B 11/21 2.
11/15/2021
4.00
43,383,844

US TREASURY N/B 11/22 1.625
11/15/2022
8.13
36,954,603

US TREASURY N/B 11/40 4.25
11/15/2040
4.25
446,906

US TREASURY N/B 11/41 3.125
11/15/2041
3.13
6,175,642

US TREASURY N/B 11/42 2.75
11/15/2042
11.00
36,273,441

US TREASURY N/B 12/13 0.75
12/15/2013
0.75
1,005,312

US TREASURY N/B 12/13 1.5
12/31/2013
3.00
(1,177
)
US TREASURY N/B 12/14 0.125
12/31/2014
0.38
48,504,879

US TREASURY N/B 12/14 2.625
12/31/2014
2.63
7,016,160

US TREASURY N/B 12/15 0.25
12/15/2015
1.50
254,820,611

US TREASURY N/B 12/15 2.125
12/31/2015
2.13
1,578,399

US TREASURY N/B 12/16 0.875
12/31/2016
1.75
13,787,000

US TREASURY N/B 12/17 0.75
12/31/2017
2.63
14,110,803


137
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

US TREASURY N/B 12/19 1.125
12/31/2019
2.25
25,029,419

USAA AUTO OWNER TRUST USAOT 2012 1 A3
8/15/2016
0.86
1,276,077

UTI WORLDWIDE INC COMMON STOCK NPV
 
 
1,567,800

VALE OVERSEAS LIMITED COMPANY GUAR 01/17 6.25
1/23/2017
6.25
46,024

VALE OVERSEAS LIMITED COMPANY GUAR 01/34 8.25
1/17/2034
8.25
300,873

VALE OVERSEAS LIMITED COMPANY GUAR 11/36 6.875
11/21/2036
6.88
37,187

VALE OVERSEAS LIMITED COMPANY GUAR 11/39 6.875
11/10/2039
6.88
37,614

VALERO ENERGY CORP COMPANY GUAR 01/13 6.7
1/15/2013
6.70
5,009,355

VALERO ENERGY CORP COMPANY GUAR 06/17 6.125
6/15/2017
6.13
357,426

VALUE OF SYNTHETIC GICS
 
 
3,418,330

VANGUARD HEALTH SYSTEMS INC COMMON STOCK
 
 
1,795,850

VANTIV INC CL A COMMON STOCK
 
 
2,127,764

VERIFONE SYSTEMS INC COMMON STOCK USD.01
 
 
5,543,779

VERISIGN INC COMMON STOCK USD.001
 
 
10,815,252

VERIZON COMMUNICATIONS SR UNSECURED 03/14 1.95
3/28/2014
3.90
13,469,198

VERIZON COMMUNICATIONS SR UNSECURED 04/16 3.
4/1/2016
3.00
548,375

VERIZON COMMUNICATIONS SR UNSECURED 04/18 6.1
4/15/2018
6.10
504,131

VERIZON COMMUNICATIONS SR UNSECURED 04/19 6.35
4/1/2019
6.35
202,206

VERIZON COMMUNICATIONS SR UNSECURED 04/21 4.6
4/1/2021
4.60
2,573,725

VERIZON COMMUNICATIONS SR UNSECURED 04/41 6.
4/1/2041
6.00
678,693

VERIZON COMMUNICATIONS SR UNSECURED 11/14 1.25
11/3/2014
1.25
1,517,720

VERIZON COMMUNICATIONS SR UNSECURED 11/15 0.7
11/2/2015
0.70
2,500,628

VERIZON COMMUNICATIONS SR UNSECURED 11/16 2.
11/1/2016
2.00
103,494

VERIZON COMMUNICATIONS SR UNSECURED 11/18 8.75
11/1/2018
17.50
803,924

VERIZON COMMUNICATIONS SR UNSECURED 11/22 2.45
11/1/2022
4.90
6,062,024

VERIZON MARYLAND INC COMPANY GUAR 06/33 5.125
6/15/2033
5.13
47,047

VERTEX PHARMACEUTICALS INC COMMON STOCK USD.01
 
 
6,632,811

VESEY STREET INV TRUST I COMPANY GUAR 09/16 VAR
9/1/2016
4.40
938,792

VIACOM INC CLASS B COMMON STOCK USD.001
 
 
17,767,051

VIACOM INC SR UNSECURED 04/16 6.25
4/30/2016
6.25
759,323

VIACOM INC SR UNSECURED 06/22 3.125
6/15/2022
3.13
404,401

VIACOM INC SR UNSECURED 09/14 4.375
9/15/2014
4.38
84,761

VIACOM INC SR UNSECURED 09/19 5.625
9/15/2019
5.63
663,401

VINDA INTERNATIONAL HOLDINGS COMMON STOCK HKD.1
 
 
121,716

VIRGIN MEDIA SECURED FIN SR SECURED 01/18 6.5
1/15/2018
13.00
1,517,513

VIROPHARMA INC COMMON STOCK USD.002
 
 
1,068,878

VISA INC CLASS A SHARES COMMON STOCK USD.0001
 
 
68,707,425

VMWARE INC CLASS A COMMON STOCK USD.01
 
 
8,024,588


138
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

VNESHECONOMBANK(VEB) SR UNSECURED 144A 02/17 5.375
2/13/2017
5.38
2,255,700

VNESHECONOMBANK(VEB) SR UNSECURED 144A 11/17 5.45
11/22/2017
5.45
155,750

VNESHECONOMBANK(VEB) SR UNSECURED REGS 07/20 6.902
7/9/2020
6.90
341,264

VNO MORTGAGE TRUST VNDO 2012 6AVE A 144A
11/15/2030
3.00
244,582

VOCERA COMMUNICATIONS INC COMMON STOCK USD.0003
 
 
1,593,348

VODAFONE GROUP PLC COMMON STOCK USD.142857
 
 
4,229,409

VODAFONE GROUP PLC SP ADR ADR
 
 
20,709,203

VODAFONE GROUP PLC SR UNSECURED 02/17 5.625
2/27/2017
11.25
469,382

VODAFONE GROUP PLC SR UNSECURED 03/17 1.625
3/20/2017
1.63
5,296,630

VODAFONE GROUP PLC SR UNSECURED 06/14 4.15
6/10/2014
8.30
3,882,014

VODAFONE GROUP PLC SR UNSECURED 09/17 1.25
9/26/2017
1.25
348,942

VODAFONE GROUP PLC SR UNSECURED 11/15 3.375
11/24/2015
3.38
235,500

VODAFONE GROUP PLC SR UNSECURED 12/13 5.
12/16/2013
5.00
260,684

VOLCANO CORP COMMON STOCK USD.001
 
 
1,062,450

VOLKSWAGEN AG PREF PREFERENCE
 
 
4,771,889

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2011 1 A4
9/20/2017
1.98
1,024,540

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2012 1 A4
7/20/2018
1.15
1,013,985

VOLKSWAGEN AUTO LOAN ENHANCED VALET 2012 2 A3
1/20/2017
0.46
2,512,093

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 03/17 2.375
3/22/2017
2.38
514,990

VOLKSWAGEN INTL FIN NV COMPANY GUAR 144A 11/17 1.6
11/20/2017
1.60
199,662

VTB BANK (VTB CAPITAL SA SR UNSECURED 144A 05/18 6.875
5/29/2018
6.88
158,060

VULCAN MATERIALS CO COMMON STOCK USD1.
 
 
2,201,715

WABCO HOLDINGS INC COMMON STOCK USD.01
 
 
2,405,511

WABTEC CORP COMMON STOCK USD.01
 
 
4,665,444

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2003 C7 A1 144A
10/15/2035
4.24
427,329

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C11 A5
1/15/2041
5.22
759,372

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C12 A3
7/15/2041
5.23
1,655,718

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C17 AJ
3/15/2042
5.22
467,086

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C20 AMFX
7/15/2042
5.18
777,750

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2005 C22 A4
12/15/2044
5.29
546,406

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C23 A4
1/15/2045
5.42
311,970


139
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C25 A5
5/15/2043
11.47
2,085,111

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C27 A3
7/15/2045
11.53
881,956

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A2
10/15/2048
5.50
399,100

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C28 A4
10/15/2048
11.14
1,456,774

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2006 C29 A4
11/15/2048
5.31
603,716

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A3
12/15/2043
5.25
1,515,811

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C30 A5
12/15/2043
5.34
3,551,806

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C31 APB
4/15/2047
5.45
975,962

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C34 A2
5/15/2046
5.57
937,724

WACHOVIA BANK COMMERCIAL MORTG WBCMT 2007 C34 A3
5/15/2046
5.68
1,173,605

WACHOVIA BANK NA SUBORDINATED 02/15 4.875
2/1/2015
4.88
3,238,371

WACHOVIA BANK NA SUBORDINATED 11/14 4.8
11/1/2014
9.60
12,950,016

WACHOVIA BANK NA SUBORDINATED 11/14 VAR
11/3/2014
1.39
948,197

WACHOVIA BANK NA SUBORDINATED 11/17 6.
11/15/2017
6.00
473,675

WACHOVIA CAP TRUST III LIMITD GUARA 03/49 VAR
12/31/2049
5.57
2,537,250

WACHOVIA CORP SR UNSECURED 05/13 5.5
5/1/2013
11.00
1,270,781

WACHOVIA CORP SUBORDINATED 08/14 5.25
8/1/2014
10.50
3,849,487

WACHOVIA CORP SUBORDINATED 10/16 5.625
10/15/2016
11.25
8,163,286

WACOM CO LTD COMMON STOCK
 
 
182,964

WAHA AEROSPACE BV LOCAL GOVT G 144A 07/20 3.925
7/28/2020
3.93
52,020

WAL MART STORES INC SR UNSECURED 02/18 5.8
2/15/2018
11.60
4,642,924

WAL MART STORES INC SR UNSECURED 04/13 4.25
4/15/2013
4.25
556,144

WAL MART STORES INC SR UNSECURED 04/14 1.625
4/15/2014
1.63
4,071,307

WAL MART STORES INC SR UNSECURED 04/17 5.375
4/5/2017
5.38
562,321

WAL MART STORES INC SR UNSECURED 04/38 6.2
4/15/2038
6.20
3,397,125

WAL MART STORES INC SR UNSECURED 05/13 4.55
5/1/2013
4.55
811,018

WAL MART STORES INC SR UNSECURED 05/14 3.2
5/15/2014
3.20
3,635,821

WAL MART STORES INC SR UNSECURED 07/15 2.25
7/8/2015
2.25
364,378

WAL MART STORES INC SR UNSECURED 07/20 3.625
7/8/2020
3.63
672,557

WALGREEN CO COMMON STOCK USD.078125
 
 
16,199,277

WALGREEN CO SR UNSECURED 03/15 1.
3/13/2015
1.00
250,211

WALT DISNEY CO/THE COMMON STOCK USD.01
 
 
12,997,331

WALT DISNEY COMPANY/THE SR UNSECURED 08/21 2.75
8/16/2021
2.75
647,327

WALT DISNEY COMPANY/THE SR UNSECURED 12/14 0.875
12/1/2014
1.75
2,671,863


140
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

WALT DISNEY COMPANY/THE SR UNSECURED 12/15 0.45
12/1/2015
0.45
1,990,148

WALT DISNEY COMPANY/THE SR UNSECURED 12/17 1.1
12/1/2017
2.20
6,466,538

WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A
2/27/2034
2.29
5,273,722

WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1
1/25/2035
2.45
2,737,349

WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR2 A
4/25/2044
1.56
532,477

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1
10/25/2045
0.50
2,335,501

WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A
1/25/2045
0.52
4,567,500

WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A
10/25/2046
2.57
661,988

WARNACO GROUP INC/THE COMMON STOCK USD.01
 
 
1,784,598

WARSAW STOCK EXCHANGE COMMON STOCK PLN1.
 
 
177,087

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 2A
2/25/2033
2.35
34,280

WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS2 3A1
3/25/2018
5.00
557,521

WASHINGTON ST WAS 08/20 FIXED 5
8/1/2020
5.00
4,672,480

WASTE CONNECTIONS INC COMMON STOCK USD.01
 
 
1,734,610

WASTE MANAGEMENT INC COMPANY GUAR 05/29 7.375
5/15/2029
7.38
580,876

WASTE MANAGEMENT INC COMPANY GUAR 09/16 2.6
9/1/2016
2.60
314,271

WATERS CORP COMMON STOCK USD.01
 
 
1,279,967

WATSCO INC COMMON STOCK USD.5
 
 
2,311,564

WEA FINANCE/WT FIN AUST COMPANY GUAR 144A 06/14 7.5
6/2/2014
7.50
919,386

WEATHERFORD BERMUDA COMPANY GUAR 03/19 9.625
3/1/2019
9.63
1,069,801

WEATHERFORD BERMUDA COMPANY GUAR 10/13 4.95
10/15/2013
4.95
293,278

WEATHERFORD INTL INC COMPANY GUAR 06/17 6.35
6/15/2017
6.35
228,914

WEB.COM GROUP INC COMMON STOCK USD.001
 
 
618,507

WEBSTER FINANCIAL CORP COMMON STOCK USD.01
 
 
1,765,348

WELLPOINT INC SR UNSECURED 01/16 5.25
1/15/2016
5.25
512,617

WELLPOINT INC SR UNSECURED 01/18 1.875
1/15/2018
1.88
3,427,038

WELLPOINT INC SR UNSECURED 01/23 3.3
1/15/2023
3.30
328,322

WELLPOINT INC SR UNSECURED 02/14 6.
2/15/2014
12.00
264,592

WELLPOINT INC SR UNSECURED 05/22 3.125
5/15/2022
3.13
5,052

WELLPOINT INC SR UNSECURED 06/17 5.875
6/15/2017
11.75
5,145,138

WELLPOINT INC SR UNSECURED 08/20 4.35
8/15/2020
4.35
413,907

WELLPOINT INC SR UNSECURED 09/15 1.25
9/10/2015
2.50
1,768,879

WELLS FARGO + CO COMMON STOCK USD1.666
 
 
15,747,068

WELLS FARGO + COMPANY NOTES 10/14 3.75
10/1/2014
3.75
12,865,520


141
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

WELLS FARGO + COMPANY SR UNSECURED 01/18 1.5
1/16/2018
3.00
3,290,387

WELLS FARGO + COMPANY SR UNSECURED 02/15 1.25
2/13/2015
1.25
7,126,209

WELLS FARGO + COMPANY SR UNSECURED 03/22 3.5
3/8/2022
3.50
165,331

WELLS FARGO + COMPANY SR UNSECURED 05/17 2.1
5/8/2017
2.10
827,098

WELLS FARGO + COMPANY SR UNSECURED 06/16 VAR
6/15/2016
3.68
1,589,223

WELLS FARGO + COMPANY SR UNSECURED 07/15 1.5
7/1/2015
3.00
11,433,654

WELLS FARGO + COMPANY SR UNSECURED 12/17 5.625
12/11/2017
5.63
2,027,597

WELLS FARGO BANK NA SUBORDINATED 05/16 VAR
5/16/2016
0.52
1,468,113

WELLS FARGO CAPITAL X LIMITD GUARA 12/86 5.95
12/1/2086
5.95
1,907,400

WELLS FARGO COMMERCIAL MORTGAG WFCM 2012 LC5 A2
10/15/2045
1.84
823,442

WELLS FARGO MORTGAGE BACKED SE WFMBS 2003 11 2A1
10/25/2018
4.75
544,917

WELLS FARGO MORTGAGE BACKED SE WFMBS 2003 13 A5
11/25/2018
4.50
81,509

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 AA A1
12/25/2034
2.66
1,490,362

WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 EE 2A1
12/25/2034
2.63
2,037,276

WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 1 1A1
1/25/2020
4.75
605,512

WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 13 A1
11/25/2020
5.00
568,402

WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR8 2A3
4/25/2036
2.70
510,378

WELLS FARGO REREMIC TRUST WFRR 2012 IO A 144A
8/20/2021
3.50
1,466,737

WESCO INTERNATIONAL INC COMMON STOCK USD.01
 
 
2,380,279

WEST COAST BANCORP/OREGON COMMON STOCK NPV
 
 
1,017,903

WESTERN ALLIANCE BANCORP COMMON STOCK USD.0001
 
 
2,589,485

WESTERN DIGITAL CORP COMMON STOCK USD.01
 
 
1,150,417

WESTERN UNION CO COMMON STOCK USD.01
 
 
2,816,317

WESTPAC BANKING CORP SR UNSECURED 08/15 3.
8/4/2015
6.00
1,082,572

WESTPAC BANKING CORP SR UNSECURED 09/15 1.125
9/25/2015
1.13
4,608,299

WESTPAC BANKING CORP SR UNSECURED 12/13 1.85
12/9/2013
3.70
243,507

WESTPAC BANKING CORP SR UNSECURED 12/15 3.
12/9/2015
3.00
1,629,122

WEX INC COMMON STOCK USD.01
 
 
3,791,111

WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2011 C3 A1 144A
3/15/2044
1.99
1,048,253

WGL HOLDINGS INC COMMON STOCK NPV
 
 
1,764,922

WHITBREAD PLC COMMON STOCK GBP.767974
 
 
270,318

WHITEWAVE FOODS CO A COMMON STOCK USD.01
 
 
1,266,510

WHITING PETROLEUM CORP COMMON STOCK USD.001
 
 
1,691,430

WHOLE FOODS MARKET INC COMMON STOCK NPV
 
 
7,480,292

WIENERBERGER AG COMMON STOCK NPV
 
 
155,298

WILEY (JOHN) + SONS CLASS A COMMON STOCK USD1.
 
 
1,502,698


142
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

WILLIAMS COMPANIES INC SR UNSECURED 01/23 3.7
1/15/2023
3.70
1,775,231

WILLIAMS COMPANIES INC SR UNSECURED 01/31 7.5
1/15/2031
7.50
2,426,693

WILLIAMS COS INC SR UNSECURED 03/32 8.75
3/15/2032
8.75
374,256

WILLIAMS PARTNERS LP SR UNSECURED 02/15 3.8
2/15/2015
3.80
264,347

WING HANG BANK LTD COMMON STOCK HKD1.
 
 
361,806

WINTRUST FINANCIAL CORP COMMON STOCK NPV
 
 
2,348,956

WISC ELEC POWER SR UNSECURED 12/15 6.25
12/1/2015
6.25
521,119

WISCONSIN ENERGY CORP COMMON STOCK USD.01
 
 
1,860,925

WM COVERED BOND PROGRAM COVERED 09/14 4.375
9/16/2014
4.38
387,456

WM COVERED BOND PROGRAM COVERED 11/16 4.
11/26/2016
4.00
571,466

WMS INDUSTRIES INC COMMON STOCK USD.5
 
 
1,552,425

WNS HOLDINGS LTD ADR ADR USD.16
 
 
1,439,002

WOLVERINE WORLD WIDE INC COMMON STOCK USD1.
 
 
1,139,613

WOODSIDE FINANCE LTD COMPANY GUAR 144A 05/21 4.6
5/10/2021
4.60
771,523

WOODWARD INC COMMON STOCK USD.00292
 
 
2,704,256

WORKDAY INC CLASS A COMMON STOCK USD.001
 
 
3,336,926

WORLD FINANCIAL NETWORK CREDIT WFNMT 2009 D A
5/15/2017
4.66
919,988

WORLD OMNI AUTO RECEIVABLES TR WOART 2009 A A4
5/15/2014
5.12
200,965

WORLD OMNI AUTO RECEIVABLES TR WOART 2010 A A4
5/15/2015
2.21
652,889

WORLD OMNI AUTO RECEIVABLES TR WOART 2011 B A3
8/15/2016
0.96
1,797,857

WORLD OMNI AUTO RECEIVABLES TR WOART 2012 A A4
8/15/2018
0.85
2,211,293

WPG HOLDINGS LTD COMMON STOCK TWD10.
 
 
3,374,841

WPP FINANCE (UK) COMPANY GUAR 09/14 8.
9/15/2014
8.00
663,504

WPP PLC COMMON STOCK GBP.1
 
 
2,936,097

WR BERKLEY CORP COMMON STOCK USD.2
 
 
1,000,110

WYETH LLC COMPANY GUAR 02/14 5.5
2/1/2014
5.50
6,283,151

WYETH LLC COMPANY GUAR 04/17 5.45
4/1/2017
5.45
1,447,263

WYETH LLC COMPANY GUAR 04/37 5.95
4/1/2037
5.95
386,850

WYNN MACAU LTD COMMON STOCK HKD.001
 
 
694,653

XCEL ENERGY INC SR UNSECURED 07/36 6.5
7/1/2036
6.50
80,548

XEBIO CO LTD COMMON STOCK
 
 
302,429

XENOPORT INC COMMON STOCK USD.001
 
 
458,430

XEROX CORPORATION SR UNSECURED 02/15 4.25
2/15/2015
8.50
4,935,576

XEROX CORPORATION SR UNSECURED 03/17 2.95
3/15/2017
5.90
548,922

XEROX CORPORATION SR UNSECURED 05/21 4.5
5/15/2021
4.50
79,414

XSTRATA FINANCE CANADA COMPANY GUAR 144A 10/15 1.8
10/23/2015
3.60
4,011,666

XSTRATA FINANCE CANADA COMPANY GUAR 144A 10/17 2.45
10/25/2017
2.45
1,787,158

XSTRATA PLC COMMON STOCK USD.5
 
 
1,648,917

XTO ENERGY INC SR UNSECURED 06/15 5.3
6/30/2015
5.30
836,133


143
Table of Contents

Security Name
Maturity Date
 Coupon
Rate
(%)
 Fair Value
(In Dollars)

XTO ENERGY INC SR UNSECURED 08/17 6.25
8/1/2017
6.25
619,293

YAHOO INC COMMON STOCK USD.001
 
 
12,164,671

YAMAZEN CORP COMMON STOCK
 
 
372,237

YELP INC COMMON STOCK USD.000001
 
 
620,731

YOKOGAWA ELECTRIC CORP COMMON STOCK
 
 
243,780

YUM BRANDS INC COMMON STOCK NPV
 
 
6,056,676

ZIGGO NV COMMON STOCK
 
 
1,168,575

ZIMMER HOLDINGS INC COMMON STOCK USD.01
 
 
1,313,202

ZIMMER HOLDINGS INC SR UNSECURED 11/14 1.4
11/30/2014
1.40
221,655

ZIONS BANCORPORATION COMMON STOCK NPV
 
 
3,610,180

ZTE CORP H COMMON STOCK CNY1.
 
 
2,404,798

ZUMTOBEL AG COMMON STOCK NPV
 
 
85,867

ZURICH INSURANCE GROUP AG COMMON STOCK CHF.1
 
 
3,988,372

TOTAL
 
 

$36,142,008,501

*LOANS TO MEMBERS (Interest from 2.0% to 9.8% through December 31, 2032)
 
 

$675,638,040

* Party-in-interest


144