Document
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549
FORM 11-K
(Mark One)
 
ý
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2015
OR
 
 
¨
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-37702
AMGEN RETIREMENT AND SAVINGS PLAN
(Full title of the plan)
AMGEN INC.
(Name of issuer of the securities held)
 
 
 
 
One Amgen Center Drive,
 
91320-1799
Thousand Oaks, California
 
(Zip Code)
(Address of principal executive offices)
 
 





Amgen Retirement and Savings Plan
Audited Financial Statements
and Supplemental Schedules

Years Ended December 31, 2015 and 2014

Contents
 
 
 
 
 
Audited Financial Statements:
 
 
 
 
 
Supplemental Schedules:
 
 
 


Report of Independent Registered Public Accounting Firm
Amgen Inc., as Named Fiduciary, and the Plan Participants of the
Amgen Retirement and Savings Plan
We have audited the accompanying statements of net assets available for benefits of the Amgen Retirement and Savings Plan (the Plan) as of December 31, 2015 and 2014, and the related statements of changes in net assets available for benefits for the years then ended. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. We were not engaged to perform an audit of the Plan’s 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, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan at December 31, 2015 and 2014, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.
The accompanying supplemental schedule of assets (held at end of year) and schedule of loans or fixed income obligations in default or classified as uncollectible as of December 31, 2015, and schedule of assets (acquired and disposed of within year) for the year then ended, have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The information in the supplemental schedules is the responsibility of the Plan’s management. Our audit procedures included determining whether the information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the information, we evaluated whether such information, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ ERNST & YOUNG LLP
Los Angeles, California
June 15, 2016


1

Amgen Retirement and Savings Plan
Statements of Net Assets Available for Benefits
 

 
 
December 31,
 
 
2015
 
2014
Assets
 
 
 
 
Investments at fair value
 
$
3,703,163,819

 
$
3,949,325,428

Investments in fully benefit-responsive investment contracts at contract value
 
250,930,972

 
242,349,277

Notes receivable from participants
 
36,178,066

 
39,160,420

Other, principally due from broker
 
18,191,847

 
4,968,103

Total assets
 
4,008,464,704

 
4,235,803,228

Liabilities
 
 
 
 
Other, principally due to broker
 
19,848,751

 
8,653,815

Total liabilities
 
19,848,751

 
8,653,815

Net assets available for benefits
 
$
3,988,615,953

 
$
4,227,149,413

See accompanying notes.


2

Amgen Retirement and Savings Plan
Statements of Changes in Net Assets Available for Benefits


 
 
Year Ended December 31,
 
 
2015
 
2014
Additions to (deductions from) net assets:
 
 
 
 
Employer contributions
 
$
152,552,643

 
$
170,868,925

Participant contributions
 
132,244,673

 
149,332,516

Rollover contributions
 
19,563,421

 
27,474,246

Interest and dividend income
 
43,666,455

 
45,071,566

Net realized/unrealized (losses) gains
 
(88,349,679
)
 
294,177,163

Interest income on notes receivable from participants
 
1,562,965

 
1,735,158

Benefits paid
 
(490,737,270
)
 
(378,615,295
)
Investment and administrative fees
 
(9,036,668
)
 
(9,525,126
)
Net (decrease) increase
 
(238,533,460
)
 
300,519,153

Net assets available for benefits at beginning of year
 
4,227,149,413

 
3,926,630,260

Net assets available for benefits at end of year
 
$
3,988,615,953

 
$
4,227,149,413

See accompanying notes.


3

Amgen Retirement and Savings Plan
Notes to Financial Statements
December 31, 2015
1. Description of the Plan
The following description of the Amgen Retirement and Savings Plan (the Plan) provides only general information. Participants should refer to the Plan document for a more complete description of the Plan’s provisions.
General
The Plan was established effective April 1, 1985, and was most recently amended and restated effective January 1, 2015, and subsequently amended, with the most recent amendment adopted on November 5, 2015. The Plan is a defined contribution plan covering substantially all domestic employees of Amgen Inc. (the Company or Amgen) and participating subsidiaries. The Plan, as amended and restated, is intended to qualify under sections 401(a) and 401(k) of the Internal Revenue Code of 1986 (the Code) (see Note 4, Income Tax Status) and section 407(d)(3)(A) of the Employee Retirement Income Security Act of 1974 (ERISA).
Contributions
Subject to certain limitations (as defined in the Plan), participants may elect to contribute up to 30% of their eligible compensation in pre-tax contributions, Roth contributions (in accordance with the Code), after-tax contributions or a combination of these types of contributions. A participant’s combined pre-tax contributions and Roth contributions (exclusive of catch-up contributions discussed below) are subject to Internal Revenue Service (IRS) and Plan limits and could not exceed a maximum of $18,000 in 2015 and $17,500 in 2014. Participant after-tax contributions are subject to IRS and Plan limitations and could not exceed a maximum of $8,500 in 2015 and 2014. Unless an employee has voluntarily enrolled in the Plan or has declined to participate in the Plan within the first 30 days of employment, all newly eligible participants are automatically enrolled in the Plan, and contributions equal to 5% of their eligible compensation are withheld and contributed to the Plan as pre-tax contributions; such contributions are automatically increased by 1% per year until their contributions reach 10% of their eligible compensation. Participants may elect to adjust, cease or resume their contributions at any time.
Participants who are at least age 50 by the close of the Plan year may also elect to make certain additional contributions, referred to as catch-up contributions, that are subject to IRS and Plan limitations and could not exceed $6,000 in 2015 and $5,500 in 2014. Catch-up contributions may be made as pre-tax contributions, Roth contributions or a combination of these types of contributions. Participants may also contribute pre-tax, Roth and after-tax amounts representing distributions from certain other retirement plans qualified in the United States or certain individual retirement accounts (IRAs), referred to as rollover contributions (as defined in the Plan).
Each pay period, the Company makes a non-elective contribution for all eligible participants, whether or not they have elected to make contributions to the Plan, equal to 5% of each participant’s eligible compensation (Core Contributions) up to a maximum of $13,250 in 2015 and $13,000 in 2014. In addition, the Company makes a contribution equal to amounts contributed by the participant as pre-tax contributions or Roth contributions, including such contributions designated as catch-up contributions, of up to 5% of eligible compensation (Matching Contributions) up to a maximum of $13,250 in 2015 and $13,000 in 2014.


4

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

1. Description of the Plan (continued)
Contributions (continued)
Also, the Company can, in its discretion, make a special non-elective contribution on behalf of a participant who is in his or her initial year of employment with the Company and who could not make the maximum participant contribution permitted under the Plan because in the same Plan year he or she previously made pre-tax salary deferrals under a prior unrelated employer’s qualified plan.
Participants select the investments in which their contributions, including their Core Contributions and Matching Contributions (collectively, Company Contributions), are to be invested, electing among various alternatives, including Amgen Inc. common stock (Amgen stock). Participants may direct a maximum of 20% of contributions to be invested in Amgen stock. In addition, participants may transfer amounts among the investment options at any time, subject to certain limitations. Notwithstanding the foregoing, if 20% or more of the value of a participant’s Plan account is invested in Amgen stock, the Plan document provides that no transfers from other investment options can be made to invest in Amgen stock.
The accounts of participants who had never made an investment election are allocated to investments under a qualified default investment alternative, which is intended to be compliant with ERISA regulations. At any time, participants may elect to alter the investments in their accounts made under a qualified default investment alternative.
Vesting
Participants are immediately vested with respect to their contributions, Company Contributions, and earnings and losses (hereafter referred to as earnings) thereon.
Participant Accounts
Each participant’s account is credited with: (a) the participant’s contributions; (b) an allocation of Company Contributions; and (c) earnings. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.
Plan Investments
Participants can invest in any of 16 different asset classes as well as Amgen stock or may actively manage their account under a self-directed brokerage arrangement in which a wider array of investment options are available. The value of an investment in an asset class is determined by its underlying investment vehicles, which may include one or more of the following: mutual funds, collective trust funds and portfolios, which are separately managed exclusively for the benefit of Plan participants and their beneficiaries (separately managed portfolios). The separately managed portfolios invest in various types of assets, including publicly traded common and preferred stocks, fixed income securities, collective trust funds and investment contracts. The asset classes are designed to provide participants with choices among a variety of investment objectives.


5

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)
1. Description of the Plan (continued)
Payments of Benefits
Subject to Plan limitations, upon termination of employment, including termination due to disability (as defined in the Plan) or retirement, participants may elect to receive an amount equal to the entire value of their account balance in: (a) a single payment in cash; (b) a single distribution in full shares of Amgen stock (with any fractional shares paid in cash); (c) a single distribution paid in a combination of cash and full shares of Amgen stock; (d) cash installments over 10 years; or (e) a rollover distribution to an eligible retirement plan. Effective January 1, 2015, a participant may also elect to receive a partial distribution of his or her account balance no more than once per year.
If a participant dies before receiving the value of his or her account balance, the participant’s beneficiary may elect to receive the distribution of remaining funds from among the alternatives described above, subject to certain Plan limitations.
Subsequent to termination of employment, participants may also elect to maintain their account balance in the Plan, provided that their account balance is greater than $1,000.
Certain restrictions apply to withdrawals from the Plan while a participant continues to be employed by the Company.
Amgen Stock Dividends
Participants that invest in Amgen stock may elect to receive distributions of cash with respect to dividends the Company pays on Amgen stock or reinvest such dividends to acquire additional shares of Amgen stock.
Notes Receivable from Participants
Subject to certain restrictions, a participant can have up to two loans outstanding at any one time from his or her Plan account with a combined maximum loan amount which may not exceed the lesser of: (a) 50% of the participant’s account balance (exclusive of amounts related to Roth contributions and earnings thereon) or (b) $50,000 less certain adjustments, as applicable (as defined in the Plan). A participant’s loan is secured by his or her Plan account balance. Loans made prior to July 1, 2003, bear interest at fixed rates based on the average borrowing rates of certain major banks. Loans made on or after July 1, 2003, bear interest at fixed rates which, until changed by the Company, are based on the prime rate plus one percentage point as published in The Wall Street Journal, determined as of the last day of the calendar quarter preceding origination or such other rate as may be required by law. Loans are generally payable in installments over periods of up to five years, unless the loan is used to acquire a principal residence for which the term of the loan may be up to 20 years. Principal and interest payments are allocated to the participant’s account.
Plan Termination
Although it has not expressed any intent to do so, the Company has the right under the Plan to terminate the Plan subject to the provisions of ERISA. Upon termination, participants would receive distributions of their account balances.
Trustees
Bank of America, N.A. and The Northern Trust Company are the Plan’s co-trustees.

6


Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

2. Summary of Significant Accounting Policies
Basis of Accounting
The accompanying financial statements are prepared on the accrual basis of accounting.
Fair Value Measurement
The investments of the Plan are reported at fair value, except for fully benefit-responsive investment contracts, discussed below. Fair value is generally defined as the price that would be received to sell an asset or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date (see Note 3, Fair Value Measurements).
Investment Income and Losses
Dividend income is recognized on the ex-dividend date, and interest income is recorded on an accrual basis. Unrealized gains and losses on investments are measured by the change in the difference between the fair value and cost of the securities held at the beginning of the year (or date purchased if acquired during the Plan year) and the end of the year. Realized gains and losses from security transactions are recorded based on the weighted-average cost of securities sold.
Fully Benefit-Responsive Investment Contracts
As of December 31, 2015 and 2014, the Plan had fully benefit-responsive investment contracts, including synthetic investment contracts and an insurance separate accounts contract (collectively, security-backed contracts). The synthetic investment contracts are comprised of wrapper contracts issued by insurance companies backed by the Plan’s ownership in collective trust funds that invest in fixed income securities. The insurance separate accounts contract is a contract issued by an insurance company backed by specified separate accounts of the issuer which are comprised of fixed income securities. Contract value is the relevant measurement attribute for security-backed contracts because this is the amount participants would receive if they were to initiate qualified transactions related to these investments. The issuers of the Plan’s security-backed contracts credit the Plan with stated rates of interest, and the issuers guarantee that all qualified participant withdrawals related to the contracts will be at contract value, except as discussed below. The crediting rates provide for realized and unrealized gains and losses on the underlying assets to be amortized over the expected duration of the underlying investments through adjustments to the future interest crediting rates rather than being reflected immediately in the net assets of the Plan. The contract values of the Plan’s security-backed contracts were at December 31, 2015 and 2014, were as follows:
 
December 31,
 
2015
 
2014
Synthetic investment contracts
$
185,803,751

 
$
185,878,219

Insurance separate accounts contract
65,127,221

 
56,471,058

Total fully benefit-responsive investment contracts
$
250,930,972

 
$
242,349,277



7

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
The security-backed contracts provide for withdrawals at other than contract value associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are made at contract value, modified by a market value adjustment as defined in the contract. Circumstances which may trigger a market value adjustment are generally defined as any event which, in the reasonable determination of the issuer, has or will have a material adverse effect on the issuer’s interest under the contract. Such events may include, but are not limited to: (i) material amendments to the Plan’s structure or administration; (ii) changes in or the creation of competing investment options; (iii) complete or partial termination of the Plan; (iv) removal of a specifically identifiable group of employees from coverage under the Plan; (v) a change in law, regulation, ruling, administrative position, or accounting standard applicable to the Plan; or (vi) communication to Plan participants designed to influence a participant not to invest in the asset class that contains these contracts. The Company does not believe that the occurrence of any such event, which would limit the Plan’s ability to transact at contract value with participants, is probable.
These security-backed contracts are evergreen contracts with no maturity dates, but do contain termination provisions. The issuer is obligated to pay the excess contract value when the fair value of the underlying investments equals zero. In addition, if the Plan defaults in its obligations under the security-backed contract and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value of the underlying investments as of the date of termination.
Notes Receivable from Participants
Notes receivable from participants are carried at their unpaid balance plus accrued but unpaid interest, as applicable.
Due from/to Brokers
Purchases and sales of investments are recorded on a trade-date basis. Amounts due from and due to brokers arise from unsettled sale and purchase transactions as of December 31, 2015 and 2014.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

8

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

2. Summary of Significant Accounting Policies (continued)
New Accounting Pronouncements
During the year ended December 31, 2015, the Plan retrospectively adopted a new accounting standard that eliminated certain disclosure requirements, including: (i) net appreciation/depreciation of plan assets disaggregated by class of investment; (ii) identification of individual investments that represent 5% or more of the net assets available for benefits; (iii) certain disclosures regarding fully benefit-responsive investment contracts; and (iv) significant investment strategies for investments for which fair value is estimated using the net asset value per share provided by the fund manager as a practical expedient, such as the Plan’s investments in collective trust funds. The new standard also specified that plan assets measured at fair value may be disaggregated by general type (including assets in self-directed brokerage accounts) and eliminated the requirement for disaggregation by nature and risk of investment (see Note 3, Fair Value Measurements). In addition, the new standard simplified the presentation of direct investments in fully benefit-responsive investment contracts by eliminating the requirement to disclose the fair value of such contracts with a corresponding adjustment from fair value to contract value in the Statements of Net Assets Available for Benefits. Investments in these contracts are now presented solely at contract value. The reporting requirements for indirect investments in fully benefit-responsive investment contracts (investments in collective trust funds that own fully benefit-responsive investment contracts) were eliminated.
During the year ended December 31, 2015, the Plan also retrospectively adopted a new accounting standard that eliminated the requirement to categorize within the fair value hierarchy investments for which fair value is estimated using the net asset value per share provided by the fund manager as a practical expedient, such as the Plan’s investments in collective trust funds. These investments are now shown as a reconciling item between the amount in the fair value hierarchy table and the total of the Plan’s investments recognized at fair value in the Statements of Net Assets Available for Benefits (see Note 3, Fair Value Measurements).
3. Fair Value Measurements
The Plan uses various valuation approaches in determining the fair value of investments within a hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the investment based on market data obtained from independent sources. Unobservable inputs are inputs that reflect assumptions about the inputs that market participants would use in pricing the investment and are developed based on the best information available in the circumstances. The fair value hierarchy is divided into three levels based on the source of inputs as follows:
Level 1 – Valuations based on unadjusted quoted prices in active markets for identical investments that the Plan has the ability to access;
Level 2 – Valuations for which all significant inputs are observable, either directly or indirectly, other than Level 1 inputs;
Level 3 – Valuations based on inputs that are unobservable and significant to the overall fair value measurement.



9

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

3. Fair Value Measurements (continued)
The availability of observable inputs can vary among the various types of investments. To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. In certain cases, the inputs used for measuring fair value may fall into different levels of the fair value hierarchy. In such cases, for financial statement disclosure purposes, the level in the fair value hierarchy within which the fair value measurement is categorized is based on the lowest level of input used that is significant to the overall fair value measurement.
The following fair value hierarchy table presents information about each major class/category of the Plan’s investments measured at fair value:
 
 
Fair value measurements at December 31, 2015, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
295,705,743

 
$
—

 
$
—

 
$
295,705,743

Cash and cash equivalents
 
2,734,210

 
—

 
—

 
2,734,210

Common and preferred stocks
 
874,221,841

 
3,305,492

 
—

 
877,527,333

Debt securities
 
68,513,288

 
238,776,610

 
—

 
307,289,898

Mutual funds
 
331,413,649

 
—

 
—

 
331,413,649

Self-directed brokerage accounts
 
297,167,287

 
510,416

 
—

 
297,677,703

 
 
$
1,869,756,018

 
$
242,592,518

 
$
—

 
$
2,112,348,536

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,590,815,283

Total assets at fair value
 
 
 
 
 
 
 
$
3,703,163,819

 
 
 
Fair value measurements at December 31, 2014, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
309,990,445

 
$
—

 
$
—

 
$
309,990,445

Cash and cash equivalents
 
3,542,572

 
—

 
—

 
3,542,572

Common and preferred stocks
 
1,018,885,111

 
2,071,763

 
—

 
1,020,956,874

Debt securities
 
36,890,567

 
143,299,604

 
—

 
180,190,171

Mutual funds
 
368,899,331

 
—

 
—

 
368,899,331

Self-directed brokerage accounts
 
309,574,113

 
341,485

 
—

 
309,915,598

 
 
$
2,047,782,139

 
$
145,712,852

 
$
—

 
$
2,193,494,991

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,755,830,437

Total assets at fair value
 
 
 
 
 
 
 
$
3,949,325,428

The fair values of common stocks (including Amgen stock), preferred stocks, publicly traded mutual funds and U.S. treasury securities are valued using quoted market prices in active markets with no valuation adjustment.

10

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

3. Fair Value Measurements (continued)
Debt securities other than U.S. treasury securities are valued by taking into consideration valuations obtained from third-party pricing services. The pricing services utilize industry standard valuation models, including both income and market based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities, issuer credit spreads, benchmark securities and, when applicable, prepayment/default projections based on historical data and other observable inputs.
Collective trust funds represent interests in pooled investment vehicles designed typically for collective investment of employee benefit trusts. The fair values of these investments are determined by reference to the net asset value per unit provided by the fund managers as a practical expedient. The unit values are based on the fair values of the trusts’ underlying assets, which are principally equity and fixed income securities and short-term investments. The only redemption restriction with respect to these investments is on the Wells Fargo Stable Value Fund W (fair value of $37,866,002 as of December 31, 2015), which requires a one-year notice to be given in the event of complete liquidation.
4. Income Tax Status
The Plan received a determination letter from the IRS dated September 18, 2013, stating that the Plan is qualified, in form, under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Subsequent to this determination by the IRS, the Plan was amended. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. The Company believes the Plan is currently being operated in compliance with the applicable requirements of the Code and, therefore, believes that the Plan is qualified and the related trust is tax exempt. The Company has indicated that it currently intends to continue to take the necessary steps to maintain the Plan’s compliance with the applicable requirements of the Code.
GAAP requires the Company to evaluate uncertain tax positions taken by the Plan. The financial statement effects of a tax position are recognized when the position is more likely than not, based on the technical merits, to be sustained upon examination. As of December 31, 2015, no uncertain tax positions have been taken or are expected to be taken, and no amounts related to uncertain tax positions have been recorded in the Plan’s financial statements. The Plan is subject to audits by the IRS, however there are currently no audits for any periods in progress. The Company believes the Plan is no longer subject to IRS examinations with respect to annual reports for years prior to 2012. 
5. Services Provided by the Company
During 2015 and 2014, the Company paid trustee fees and certain other administrative costs on behalf of the Plan.



11

Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)

6. Reconciliation of Financial Statements to Form 5500
The reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2015 and 2014, consisted of the following:
 
 
 
December 31,
 
 
2015
 
2014
Net assets available for benefits per the financial statements
 
$
3,988,615,953

 
$
4,227,149,413

Adjustment from fair value to contract value for fully benefit-responsive investment contracts
 
617,171

 
3,402,352

Amounts allocated to withdrawing participants
 
(2,713,632
)
 
(3,534,073
)
Deemed loans
 
(325,519
)
 
(396,949
)
Net assets per the Form 5500
 
$
3,986,193,973

 
$
4,226,620,743

For the year ended December 31, 2015, the following is a reconciliation of the net investment loss per the financial statements to the Form 5500:
 
 
 
Year Ended
December 31,
2015
Interest and dividend income
 
$
43,666,455

Net realized/unrealized losses
 
(88,349,679
)
Total net investment loss per the financial statements
 
(44,683,224
)
Adjustment from fair value to contract value for fully benefit-responsive investment contracts:
 
 
Less prior year adjustment
 
(3,402,352
)
Add current year adjustment
 
617,171

Total net investment loss per the Form 5500
 
$
(47,468,405
)
For the year ended December 31, 2015, the following is a reconciliation of distributions per the financial statements to the Form 5500:
 
 
 
Year Ended
December 31,
2015
Benefits paid
 
$
(490,737,270
)
Investment and administrative fees
 
(9,036,668
)
Total distributions per the financial statements
 
(499,773,938
)
Add prior year amounts allocated to withdrawing participants
 
3,534,073

Less current year amounts allocated to withdrawing participants
 
(2,713,632
)
Add prior year deemed loan balance
 
396,949

Less current year deemed loan balance
 
(325,519
)
Total distributions per the Form 5500
 
$
(498,882,067
)

12

Supplemental Schedule
Amgen Retirement and Savings Plan
EIN: 95-3540776 Plan: #001
December 31, 2015
Schedule H, line 4i – Schedule of Assets (Held at End of Year)
 
Identity of Issue
 
Description of Investment
 
Current Value
 
 
 
 
 
 
 
Amgen stock*
 
Employer Securities 1,821,633 shares
 
 
$
295,705,743

 
 
 
 
 
 
 
Capital Preservation Asset Class:
 
 
 
 
 
 
Wells Fargo Fixed Income Fund F*
 
Collective trust fund 5,629,003 units
 
$
76,823,511

 
 
Metropolitan Life Insurance Company*
 
Insurance separate accounts investment contract 613,441 units
 
64,934,353

 
 
Wells Fargo Fixed Income Fund D*
 
Collective trust fund 4,806,733 units
 
62,616,349

 
 
Wells Fargo Fixed Income Fund L*
 
Collective trust fund 3,884,341 units
 
46,984,601

 
 
Wells Fargo Stable Value Fund W*
 
Collective trust fund 720,412 units
 
38,055,332

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 18,382,121 units
 
18,382,121

 
Total Capital Preservation Asset Class
 
 
 
 
307,796,267

 
 
 
 
 
 
 
Emerging Markets Equity Asset Class:
 
 
 
 
 
 
Artisan Emerging Markets Inst Fund
 
Mutual Fund 2,264,566 shares
 
23,528,835

 
 
J.P. Morgan Emerging Markets Equity Focus Fund*
 
Collective trust fund 1,560,169 units
 
23,074,893

 
 
Blackrock FTSE RAFI Emerging Index Non Lendable Fund F*
 
Collective trust fund 2,701,748 units
 
21,165,494

 
 
NT Collective Emerging Markets Fund - Non Lending*
 
Collective trust fund 52,373 units
 
6,640,632

 
Total Emerging Markets Equity Asset Class
 
 
 
 
74,409,854

 
 
 
 
 
 
 
Fixed Income Asset Class:
 
 
 
 
 
 
NT Collective Aggregate Bond Index Fund - Non Lending*
 
Collective trust fund 224,464 units
 
29,703,344

 
 
United States Treasury Note 2.25% Due 11/15/2025
 
Government Bond 5,515,000 units
 
5,502,699

 
 
United States Treasury Note .75% Due 10/31/2017
 
Government Bond 4,985,000 units
 
4,958,520

 
 
United States Treasury Note 1% Due 12/31/2017
 
Government Bond 4,270,000 units
 
4,264,663

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 4,070,853 units
 
4,070,853

 
 
Federal Home Loan Mortgage Corporation Pool #G08658 3% Due 08/01/2045
 
Government Mortgage Backed Security 4,028,274 units
 
4,024,907

 
 
United States Treasury Note 1.625% Due 11/30/2020
 
Government Bond 3,965,000 units
 
3,941,456

 
 
United States Treasury Note 1.75% Due 12/31/2020
 
Government Bond 3,930,000 units
 
3,925,701

 
 
United States Treasury Bill Due 10/08/2015
 
Government Bond 3,860,000 units
 
3,858,487

 
 
United States Treasury Note 1.375% Due 10/31/2020
 
Government Bond 3,895,000 units
 
3,826,230

 
 
Fannie Mae Single Family Mortgage 3.5% Due 30 Years
 
Government Mortgage Backed Security 3,595,000 units
 
3,709,044

 
 
United States Treasury Note .875% Due 11/30/2017
 
Government Bond 3,395,000 units
 
3,385,185

 
 
United States Treasury Bond .625% Due 12/31/2016
 
Government Bond 3,371,400 units
 
3,365,736

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2023
 
Government Bond 3,460,000 units
 
2,928,409

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2021
 
Government Bond 3,005,000 units
 
2,716,210

 
 
United States Treasury Note Inflation Indexed .25% Due 01/15/2025
 
Index Linked Government Bond 2,413,500 units
 
2,313,273

 
 
United States Treasury Bond 3% Due 11/15/2045
 
Government Bond 2,275,000 units
 
2,268,157

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2022
 
Government Bond 2,500,000 units
 
2,145,970

 
 
Fannie Mae Single Family Mortgage 4% Due 30 Years
 
Government Mortgage Backed Security 1,905,000 units
 
2,015,818

 
 
United States Treasury Bill Due 01/14/2016
 
Government Bond 1,740,000 units
 
1,739,946

 
 
Treasury Inflation Indexed Bond .75% Due 02/15/2045
 
Index Linked Government Bond 1,909,400 units
 
1,681,890

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2022
 
Government Bond 1,860,000 units
 
1,620,367

 

13
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Ginnie Mae II Jumbos 3.5% Due 30 Years
 
Government Mortgage Backed Security 1,505,000 units
 
1,568,904

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2021
 
Government Bond 1,630,000 units
 
1,463,375

 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 1,299,915 units
 
1,430,269

 
 
Fannie Mae Single Family Mortgage 2.5% Due 01/25/2029
 
Government Mortgage Backed Security 1,390,000 units
 
1,400,988

 
 
Fannie Mae Pool #Al6167 3.5% Due 01/01/2044
 
Government Mortgage Backed Security 1,320,811 units
 
1,364,824

 
 
Federal Home Loan Mortgage Corporation Pool #G60080 3.5% Due 06/01/2045
 
Government Mortgage Backed Security 1,319,841 units
 
1,362,839

 
 
United States Treasury SEC Stripped Interest Payment 0% Due 08/15/2021
 
Government Bond 1,505,000 units
 
1,341,948

 
 
Federal Home Loan Mortgage Corporation Pool #G08659 3.5% Due 08/01/2045
 
Government Mortgage Backed Security 1,299,224 units
 
1,338,495

 
 
Morgan Stanley Capital I Trust 2011-C1 Class A-3 4.7% Due 09/15/2020
 
Commercial Mortgage-Backed Security 1,240,000 units
 
1,314,034

 
 
Ginnie Mae Pool #MA2960 3% Due 07/20/2045
 
Government Mortgage Backed Security 1,291,620 units
 
1,310,893

 
 
Metropolitan West Funds Floating Rate Income Fund Class I
 
Mutual Fund 132,383 shares
 
1,301,325

 
 
Federal Home Loan Mortgage Corporation Gold G60023 3.5% Due 04/01/2045
 
Government Mortgage Backed Security 1,240,036 units
 
1,281,973

 
 
Federal Home Loan Mortgage Corporation Gold #G07924 3.5% Due 01/01/2045
 
Government Mortgage Backed Security 1,238,356 units
 
1,278,698

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2020
 
Government Bond 1,370,000 units
 
1,275,777

 
 
United States Treasury SEC Stripped Interest Payment 00517 Due 02/15/2029
 
Government Bond 1,820,000 units
 
1,274,470

 
 
Federal Home Loan Mortgage Corporation Pool #G08671 3.5% Due 10/01/2045
 
Government Mortgage Backed Security 1,231,908 units
 
1,269,143

 
 
United States Treasury Bond Inflation Index 5.5% Due 8/15/2028
 
Government Bond 900,000 units
 
1,197,598

 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2020
 
Government Bond 1,250,000 units
 
1,148,308

 
 
Fannie Mae Remic Trust 2010-142 Variable Rate Due 12/25/2040
 
Government Mortgage Backed Security 1,000,000 units
 
1,085,195

 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 998,607 units
 
1,045,332

 
 
Fannie Mae Pool #465769 3.96% Due 08/01/2020
 
Government Mortgage Backed Security 952,622 units
 
1,017,252

 
 
United States Treasury Bond 1.375% Due 02/15/2044
 
Index Linked Government Bond 961,600 units
 
998,709

 
 
United States Treasury Bond 1% Due 08/15/2018
 
Government Bond 1,000,000 units
 
993,516

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2028
 
Government Bond 1,250,000 units
 
882,780

 
 
Fannie Mae Pool #AV5051 4.5% Due 02/01/2044
 
Government Mortgage Backed Security 799,469 units
 
879,616

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2021
 
Government Bond 980,000 units
 
867,185

 
 
Federal Home Loan Mortgage Corporation Series K Class A 2.77% Due 05/25/2025
 
Government Mortgage Backed Security 850,000 units
 
835,928

 
 
Ginnie Mae II Pool #MA3106 4% Due 09/20/2045
 
Government Mortgage Backed Security 754,076 units
 
801,936

 
 
Fannie Mae Pool #AT5907 4% Due 06/01/2043
 
Government Mortgage Backed Security 730,070 units
 
783,306

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2026
 
Government Bond 1,000,000 units
 
776,907

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2027
 
Government Bond 1,000,000 units
 
750,803

 
 
United States Treasury Note 1.375% Due 12/31/2018
 
Government Bond 750,000 units
 
750,557

 
 
Fannie Mae Pool #AM2674 2.61% Due 03/01/2023
 
Government Mortgage Backed Security 745,000 units
 
739,985

 
 
Fannie Mae Remic Series 25 Apr 2027-M Class A Variable Rate Due 04/25/2027
 
Government Mortgage Backed Security 710,000 units
 
720,681

 
 
Fannie Mae Pool #AT5915 4% Due 06/01/2043
 
Government Mortgage Backed Security 661,105 units
 
703,916

 

14
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
J.P. Morgan Mortgage Acquisition Corporation Series 07-Ch1 Class AV5 Floating Rate Due 11/25/2036*
 
Asset Backed Security 725,000 units
 
701,027

 
 
Nationstar Home Floating Rate .7158% Due 09/25/2036
 
Asset Backed Security 750,000 units
 
698,230

 
 
TCW Emerging Markets Income Fund
 
Mutual Fund 93,178 shares
 
696,040

 
 
J.P. Morgan Mortgage Floating Rate .9058% Due 06/25/2035*
 
Asset Backed Security 745,000 units
 
695,595

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2027
 
Government Bond 950,000 units
 
695,462

 
 
Federal Home Loan Mortgage Corporation Variable Rate 08/25/2023
 
Government Mortgage Backed Security 665,000 units
 
694,895

 
 
Wachovia Student Loan Floating Rate .7886% Due 04/25/2040*
 
Asset Backed Security 780,000 units
 
692,692

 
 
New Century Home Equity Loan Trust Seriers 2004-2 Class A1 Floating Rate Due 08/25/2034
 
Asset Backed Security 732,252 units
 
689,586

 
 
SLM Student Loan Trust 2007-3 Class A-4 Floating Rate Due 01/25/2022
 
Asset Backed Security 730,000 units
 
688,944

 
 
Banc of America Funding Corporation Series 2015-R7 Class 1A 1.03833%*
 
Collateralized Mortgage Obligation 711,005 units
 
687,310

 
 
SLC Student Loan Trust Floating Rate .672% Due 12/15/2038
 
Asset Backed Security 800,000 units
 
685,112

 
 
Fannie Mae Single Family Mortgage 4.5% Due 30 Years
 
Government Mortgage Backed Security 630,000 units
 
680,321

 
 
Fannie Mae Single Family Mortgage 4.5% Due 02/01/2044
 
Government Mortgage Backed Security 630,000 units
 
679,287

 
 
Federal Home Loan Mortgage Corporation Pool #K037 3.49% Due 01/25/2024
 
Government Mortgage Backed Security 650,000 units
 
678,665

 
 
Nelnet Student Loan Trust Series 2015-3 Class A-2 Floating Rate Due 02/26/2046
 
Asset Backed Security 695,000 units
 
676,822

 
 
United States Treasury 0% Due 02/15/2030
 
Government Bond 1,000,000 units
 
675,350

 
 
SLM Student Loan Trust 2005-5 Class A-4 Due 10/25/2028
 
Asset Backed Security 720,000 units
 
674,721

 
 
SLM Student Loan Trust Floating Rate 2.3186% Due 07/25/2023
 
Asset Backed Security 670,000 units
 
673,955

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 672,370 units
 
672,370

 
 
Ginnie Mae Pool #MA3033 3% Due 08/20/2045
 
Government Mortgage Backed Security 660,531 units
 
670,386

 
 
SLC Student Loan Trust Floating Rate .672% Due 09/15/2039
 
Asset Backed Security 770,000 units
 
665,946

 
 
SLM Student Loan Series 2004-10 Class A-6A Floating Rate Due 04/27/2026
 
Asset Backed Security 680,000 units
 
665,820

 
 
GS Mortgage Securities Corporation Trust 2.539% Due 01/10/2045
 
Commercial Mortgage-Backed Security 660,129 units
 
663,732

 
 
Fannie Mae Remic Trust 2015-M2 Class A3 Variable Rate Due 12/25/2024
 
Government Mortgage Backed Security 642,012 units
 
659,194

 
 
Morgan Stanley ABS Capital I Inc. 2006-NC1 Pass-Through Class A-4 Due 12/25/2035
 
Asset Backed Security 684,329 units
 
653,619

 
 
SLM Student Loan Trust 2014-2 Class A-3 Floating Rate Due 03/26/2029
 
Asset Backed Security 680,000 units
 
651,962

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR13 Class A-1A1 Floating Rate Due 10/25/2045
 
Collateralized Mortgage Obligation 701,584 units
 
646,210

 
 
United States Treasury SEC Stripped Interest Payment 6.5% Due 11/15/2026
 
Government Bond 850,000 units
 
643,749

 
 
Ginnie Mae II Pool #Ma2961 Series 2045 3.5% Due 07/20/2045
 
Government Mortgage Backed Security 611,023 units
 
637,904

 
 
Federal Home Loan Mortgage Corporation Pool #G08677 4% Due 11/01/2045
 
Government Mortgage Backed Security 603,329 units
 
637,855

 
 
Federal Home Loan Mortgage Corporation Pool #G08669 4% Due 09/01/2045
 
Government Mortgage Backed Security 596,966 units
 
631,128

 
 
SLM Student Loan Trust 2009-3 Class A Variable Rate Due 01/25/2045
 
Asset Backed Security 659,931 units
 
631,068

 
 
Federal Home Loan Mortgage Corporation Pool #G08672 4% Due 10/01/2045
 
Government Mortgage Backed Security 596,442 units
 
630,574

 
 
Fannie Mae Pool #Al7092 3% Due 07/01/2045
 
Government Mortgage Backed Security 628,586 units
 
629,560

 
 
Fannie Mae Pool #Am1762 2.39% Due 12/01/2022
 
Government Mortgage Backed Security 618,953 units
 
623,618

 
 
SLM Student Loan Trust 2005-5 Class A-5 Due 10/25/2040
 
Asset Backed Security 700,000 units
 
619,511

 
 
International Lease Finance Corporation 6.75% Due 09/01/2016
 
Corporate Bond 600,000 units
 
616,500

 
 
SLM Student Loan Trust 2008-9 Class A Floating Rate Due 04/25/2023
 
Asset Backed Security 615,342 units
 
615,762

 

15
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Citigroup Mortgage Loan Trust Series 2015-6 Class 2A1 Floating Rate Due 12/25/2035
 
Collateralized Mortgage Obligation 662,718 units
 
613,143

 
 
Fannie Mae Pool #MA1462 3.5% Due 06/01/2043
 
Government Mortgage Backed Security 592,653 units
 
612,758

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3677 4.5% Due 05/15/2040
 
Government Mortgage Backed Security 568,095 units
 
607,492

 
 
Ginnie Mae Pool #MA3173 3.5% Due 10/20/2045
 
Government Mortgage Backed Security 577,078 units
 
602,465

 
 
Encore Credit Floating Rate .8558% Due 01/25/2036
 
Asset Backed Security 601,373 units
 
598,175

 
 
American Credit Acceptance Receivables Series 15-2 Class B 2.97% Due 05/12/2021
 
Asset Backed Security 600,000 units
 
589,743

 
 
Bear Stearns ARM Floating Rate 2.995557% Due 11/25/2034
 
Collateralized Mortgage Obligation 590,533 units
 
588,465

 
 
Federal Home Loan Mortgage Corporation Gold Pool U9-0291 4% Due 10/01/2042
 
Government Mortgage Backed Security 532,919 units
 
567,180

 
 
Credit Suisse First Boston Mortgage Securities Corporation 2004-AR6 Pass-Through Class 2-A Variable Rate Due 10/25/34
 
Collateralized Mortgage Obligation 566,632 units
 
567,149

 
 
Fannie Mae Pool #AQ1534 3.5% Due 10/01/2032
 
Government Mortgage Backed Security 541,069 units
 
566,964

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4324 Class AY 3% Due 04/15/2029
 
Government Mortgage Backed Security 568,738 units
 
566,743

 
 
Federal National Mortgage Association Pool #G08676 3.5% Due 11/01/2045
 
Government Mortgage Backed Security 543,866 units
 
560,305

 
 
Fannie Mae Remic Series 2013-M12 Class FA Floating Rate Due 10/25/2017
 
Government Mortgage Backed Security 557,563 units
 
558,032

 
 
Fannie Mae Pool #MA0214 5% Due 10/01/2029
 
Government Mortgage Backed Security 503,765 units
 
554,070

 
 
Ginnie Mae 2007-035 6% Due 06/20/2037
 
Government Mortgage Backed Security 500,000 units
 
553,719

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2018
 
Government Bond 565,000 units
 
549,537

 
 
Fannie Mae Pool #AM2711 2.57% Due 03/01/2023
 
Government Mortgage Backed Security 538,010 units
 
538,152

 
 
GS Mortgage Securities Corporation 2005-9 Class 2A3 Variable Rate Due 08/25/2035
 
Asset Backed Security 554,409 units
 
537,203

 
 
Ginnie Mae 5.5% Due 06/20/2035
 
Government Mortgage Backed Security 476,850 units
 
535,761

 
 
Long Beach Mortgage Loan Trust 2005-2 Pass-through Due 04/25/2035
 
Asset Backed Security 550,000 units
 
535,355

 
 
J.P. Morgan Mortgage Trust 2005-A2 Pass-through Class 1-A-1 Due 04/25/2035*
 
Collateralized Mortgage Obligation 534,019 units
 
534,972

 
 
Fannie Mae Pool #AM1990 2.33% Due 01/01/2023
 
Government Mortgage Backed Security 540,722 units
 
534,646

 
 
United States Treasury Note Inflation Indexed .125% Due 07/15/2024
 
Index Linked Government Bond 558,100 units
 
530,928

 
 
Ginnie Mae Pool #783867 6% Due 8/15/2036
 
Government Mortgage Backed Security 459,061 units
 
530,039

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2334 Class KB 6.5% Due 05/15/2028
 
Government Mortgage Backed Security 468,452 units
 
519,709

 
 
Ginnie Mae 5% Due 03/16/2034
 
Government Mortgage Backed Security 460,000 units
 
518,198

 
 
Federal Home Loan Mortgage Corporation Pool #Al2293 4.374% Due 06/01/2021
 
Government Mortgage Backed Security 472,592 units
 
515,389

 
 
Ginnie Mae 2011-71 Class ZC 5.5% Due 7/16/2034
 
Government Mortgage Backed Security 444,270 units
 
513,743

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR11 Class A1A Floating Rate Due 08/25/2045
 
Collateralized Mortgage Obligation 549,585 units
 
510,894

 
 
Fannie Mae Pool #AB7575 3% Due 01/01/2043
 
Government Mortgage Backed Security 504,348 units
 
505,478

 
 
ZFS Finance (USA) Trust Floating Rate Due 12/15/2065
 
Corporate Bond 500,000 units
 
505,250

 
 
Fannie Mae Pool #468559 4.01% Due 08/01/2021
 
Government Mortgage Backed Security 467,234 units
 
503,677

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3895 4.5% Due 07/15/2041
 
Government Mortgage Backed Security 450,000 units
 
501,360

 
 
United Dominion Realty Trust Inc. 5.25% Due 01/15/2016
 
Corporate Bond 500,000 units
 
500,482

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2022
 
Government Bond 570,000 units
 
500,410

 

16
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
NextEra Energy Capital Step Coupon 1.586% Due 06/01/2017
 
Corporate Bond 500,000 units
 
498,210

 
 
SLM Student Loan Trust 2003-12 Class A-5 Variable Rate Due 09/15/2022
 
Asset Backed Security 497,727 units
 
494,499

 
 
Structured Asset Mortgage Investments II Inc. Series 2004-AR1 Class A1 Floating Rate Due 3/19/2034
 
Collateralized Mortgage Obligation 510,008 units
 
494,438

 
 
Fannie Mae Pool #AR6380 3% Due 02/01/2043
 
Government Mortgage Backed Security 492,011 units
 
494,220

 
 
Opteum Mortgage Acceptance Corporation 2005-4 Class I-A1C Floating Rate Due 11/25/2035
 
Collateralized Mortgage Obligation 506,234 units
 
494,167

 
 
Fannie Mae Pool #Am8674 2.81% Due 04/01/2025
 
Government Mortgage Backed Security 500,000 units
 
494,021

 
 
Morgan Stanley 5.95% Due 12/28/2017
 
Corporate Bond 459,000 units
 
493,575

 
 
Federal Home Loan Mortgage Corporation Gold Pool U89009 3.5% Due 09/01/2032
 
Government Mortgage Backed Security 473,069 units
 
493,073

 
 
WEA Financial LLC / Westfield UK & Europe Finance plc 2.7% Due 09/17/2019
 
Corporate Bond 494,000 units
 
489,930

 
 
Residential Accredit Loans, Inc. Series 03-QA1 Class A2 Floating Rate 12/25/2033
 
Collateralized Mortgage Obligation 560,157 units
 
489,297

 
 
Federal National Mortgage Association Pool #Al0561 3.738% Due 06/01/2018
 
Government Mortgage Backed Security 467,606 units
 
484,902

 
 
Fannie Mae Pool #AM3307 2.85% Due 05/01/2023
 
Government Mortgage Backed Security 474,054 units
 
481,147

 
 
Fannie Mae Pool #AQ1607 3.5% Due 11/01/2032
 
Government Mortgage Backed Security 458,087 units
 
480,012

 
 
Fannie Mae Pool #AR7961 3.5% Due 03/01/2033
 
Government Mortgage Backed Security 457,248 units
 
479,125

 
 
NRZ Advance Receivables Series 2015-T1 Class A-T1 2.315% Due 08/15/2046
 
Asset Backed Security 475,000 units
 
474,687

 
 
Fannie Mae Remic Series 2015-M4 Class AV2 2.509% Due 07/25/2022
 
Government Mortgage Backed Security 475,000 units
 
474,576

 
 
Federal National Mortgage Association Pool #Al2965 2.667% Due 12/01/2022
 
Government Mortgage Backed Security 471,050 units
 
474,429

 
 
Ba Cr Card Tr 1.36% Due 09/15/2020
 
Asset Backed Security 475,000 units
 
471,780

 
 
CSAIL 2015-C3 3.7182% Due 08/15/2048
 
Commercial Mortgage-Backed Security 463,000 units
 
469,045

 
 
HSI Asset SecuritizationCorporation Trust 2006-Opt2 Pass-Through Due 1/25/2036
 
Asset Backed Security 460,319 units
 
458,364

 
 
Morgan Stanley .916% Due 08/15/2045
 
Commercial Mortgage-Backed Security 458,673 units
 
457,853

 
 
Fannie Mae Pool #Am7514 3.07% Due 02/01/2025
 
Government Mortgage Backed Security 450,000 units
 
457,092

 
 
Fannie Mae Pool #471834 1.4% Due 07/01/2017
 
Government Mortgage Backed Security 455,000 units
 
456,117

 
 
Fannie Mae Pool #467757 4.33% Due 04/01/2021
 
Government Mortgage Backed Security 417,132 units
 
454,708

 
 
DBWF 2015-LCM Mortgage Trust Floating Rate Due 06/10/2034
 
Commercial Mortgage-Backed Security 460,000 units
 
450,702

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 7307 3% Due 8/15/2044
 
Government Mortgage Backed Security 451,679 units
 
448,875

 
 
Fannie Mae Remic Series 2015-M7 Class A2 2.59% Due 12/25/2024
 
Government Mortgage Backed Security 447,000 units
 
443,433

 
 
Federal Home Loan Mortgage Corporation Series 2899 4% Due 12/15/2019
 
Government Mortgage Backed Security 428,333 units
 
441,737

 
 
Ginnie Mae 5.25% Due 03/20/2038
 
Government Mortgage Backed Security 402,317 units
 
441,571

 
 
J.P. Morgan Mortgage Trust Floating Rate .8858% Due 06/25/2035*
 
Asset Backed Security 442,931 units
 
440,353

 
 
Columbia Pipeline Group, Inc. 2.45% Due 06/01/2018
 
Corporate Bond 450,000 units
 
439,973

 
 
Fannie Mae 3.726% Due 06/25/2021
 
Government Mortgage Backed Security 410,000 units
 
436,895

 
 
Fannie Mae Pool #MA1373 3.5% Due 03/01/2043
 
Government Mortgage Backed Security 422,341 units
 
436,428

 
 
Discover Bank of Greenwood Delaware 2.6% Due 11/13/2018
 
Corporate Bond 435,000 units
 
434,652

 
 
HSI Asset Securitization Corporation Trust 11-A 3% Due 25/12/2035
 
Asset Backed Security 441,543 units
 
434,616

 
 
Fannie Mae Series 2013-M7 Class A2 2.28% Due 12/25/2022
 
Government Mortgage Backed Security 441,000 units
 
433,836

 

17
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Federal Home Loan Mortgage Corporation Series 4374 Class NC Step-up Due 02/15/2046
 
Government Mortgage Backed Security 418,137 units
 
432,997

 
 
Fannie Mae Series 2014-M3 Class A2 Variable Rate Due 01/25/2024
 
Government Mortgage Backed Security 415,000 units
 
432,130

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3662 5% Due 04/15/2040
 
Government Mortgage Backed Security 390,087 units
 
427,292

 
 
Biomed Realty LP 3.85% Due 04/15/2016
 
Corporate Bond 425,000 units
 
426,303

 
 
Fannie Mae 1.80057001114% Due 12/25/2019
 
Government Mortgage Backed Security 425,000 units
 
426,246

 
 
Federal Home Loan Mortgage Corporation Pool #S0/6297 3.5% Due 09/15/2042
 
Government Mortgage Backed Security 415,747 units
 
425,818

 
 
Fannie Mae Pool #467025 3.38% Due 01/01/2018
 
Government Mortgage Backed Security 410,000 units
 
422,494

 
 
Bank of America Trust #00229 5.3% Due 03/15/2017*
 
Corporate Bond 406,000 units
 
422,352

 
 
Soundview Home Loan Trust 2006-Wf2 Class A-2C Due 12/25/2036
 
Asset Backed Security 424,276 units
 
421,442

 
 
Merrill Lynch Mortgage Trust 2006-C1 Class A-4 Due 05/12/2039*
 
Commercial Mortgage-Backed Security 414,985 units
 
415,420

 
 
Fannie Mae Pool #AM5473 3.76% Due 03/01/2024
 
Government Mortgage Backed Security 385,000 units
 
409,140

 
 
JPMorgan Chase Bank NA Floating Rate Due 06/13/2016*
 
Corporate Bond 409,000 units
 
408,392

 
 
Fannie Mae Pool #465973 3.59% Due 10/01/2020
 
Government Mortgage Backed Security 386,416 units
 
407,582

 
 
Bank of America Corporation 3.75% Due 07/12/2016*
 
Corporate Bond 400,000 units
 
405,016

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2901 4.5% Due 12/15/2019
 
Government Mortgage Backed Security 380,000 units
 
404,465

 
 
American Home Mortgage Investment Trust Series 2004-3 Class 5A Variable Rate Due 10/25/2034
 
Collateralized Mortgage Obligation 404,219 units
 
403,388

 
 
CPS Auto 1.65% Due 11/15/2019
 
Asset Backed Security 406,568 units
 
403,104

 
 
Ginnie Mae Pool 2013-H05 Remic Pass-Through Class FB Floating Rate Due 02/20/2062
 
Government Mortgage Backed Security 402,712 units
 
401,883

 
 
Federal Home Loan Mortgage Corporation Pool #G0-7239 3% Due 12/01/2042
 
Government Mortgage Backed Security 399,066 units
 
399,335

 
 
AbbVie Inc. 1.8% Due 05/14/2018
 
Corporate Bond 400,000 units
 
398,158

 
 
Carmax Auto Owner Trust .88% Due 03/15/2018
 
Asset Backed Security 397,136 units
 
396,844

 
 
BBCCRE Trust Series 2015-GTP Class A 3.966% Due 08/10/2033
 
Commercial Mortgage-Backed Security 385,000 units
 
396,711

 
 
United States Treasury Bond 8.125% Due 02/15/2021
 
Government Bond 300,000 units
 
395,508

 
 
Fannie Mae Remic Series 2003-W2 5.9% Due 07/25/2042
 
Government Mortgage Backed Security 354,059 units
 
393,865

 
 
GE Capital International Funding Company Trust #00128 4.418% Due 11/15/2035
 
Corporate Bond 381,000 units
 
388,804

 
 
Farmers Exchange Floating Rate 5.454% Due 10/15/2054
 
Corporate Bond 400,000 units
 
388,752

 
 
Microsoft Corporation 3.125% Due 11/03/2025
 
Corporate Bond 385,000 units
 
387,042

 
 
Fannie Mae Pool #MA1866 4.5% Due 04/01/2044
 
Government Mortgage Backed Security 350,761 units
 
385,932

 
 
Wachovia Bank Commercial Mortgage Trust Pass-Through Due 06/15/2019*
 
Commercial Mortgage-Backed Security 382,557 units
 
383,500

 
 
Ginnie Mae 6% Due 11/16/2032
 
Government Mortgage Backed Security 337,250 units
 
381,045

 
 
Credit Acceptance Auto Loan 2.4% Due 02/15/2023
 
Asset Backed Security 383,000 units
 
380,530

 
 
Fannie Mae Variable Rate Due 07/25/2024
 
Government Mortgage Backed Security 373,000 units
 
378,978

 
 
Fannie Mae Series 2011-M2 3.645% Due 07/25/2021
 
Government Mortgage Backed Security 355,000 units
 
377,205

 
 
Progress Residential Series 2015-SFR2 Class A 2.74% Due 06/12/2032
 
Asset Backed Security 384,000 units
 
374,723

 
 
Commercial Mortgage Trust Series 2015-Cr24 Class A5 3.696% Due 08/10/2055
 
Commercial Mortgage-Backed Security 366,146 units
 
372,160

 
 
Fannie Mae Pool #468564 4.06% Due 07/01/2021
 
Government Mortgage Backed Security 340,000 units
 
367,531

 
 
Fannie Mae Remic Series 416 Class A300 3% Due 11/25/2042
 
Government Mortgage Backed Security 369,411 units
 
366,873

 
 
Fannie Mae Pool #AM5079 3.45% Due 01/01/2024
 
Government Mortgage Backed Security 350,177 units
 
365,454

 

18
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
DBRR Series 2013-EZ3 Class A Variable Rate Due 12/18/2049
 
Commercial Mortgage-Backed Security 362,551 units
 
362,551

 
 
Federal Home Loan Mortgage Corporation Pool #G18565 3% Due 08/01/2030
 
Government Mortgage Backed Security 344,555 units
 
355,430

 
 
Fannie Mae Pool #MA2010 4% Due 08/01/2044
 
Government Mortgage Backed Security 333,595 units
 
355,180

 
 
Westgate Resorts 2.15% Due 12/20/2026
 
Corporate Bond 360,713 units
 
354,328

 
 
Fannie Mae Pool #469688 3.38% Due 12/01/2021
 
Government Mortgage Backed Security 338,687 units
 
353,808

 
 
CCO Safari, LLC 4.464% Due 07/23/2022
 
Corporate Bond 355,000 units
 
353,761

 
 
Exelon Corporation 1.55% Due 06/09/2017
 
Corporate Bond 355,000 units
 
353,503

 
 
Flagship CLO VIII Ltd. / Flagship Series 2014-8A Class A Floating Rate Due 01/16/2026
 
Asset Backed Security 355,000 units
 
351,947

 
 
Magnetite IX, Ltd. / Magnetite IX LLC Class A-1 Floating Rate Due 07/25/2026
 
Asset Backed Security 355,000 units
 
351,024

 
 
Wells Fargo Comercial Mortgage 3.664% Due 09/15/2048*
 
Commercial Mortgage-Backed Security 346,000 units
 
350,595

 
 
Citibank Credit Card Issuance Trust 2014-A3 Floating Rate Due 05/09/2018
 
Asset Backed Security 350,000 units
 
349,967

 
 
Navient Student Loan Trust Series 2015-3 Class B Floating Rate Due 10/25/2058
 
Asset Backed Security 400,000 units
 
349,876

 
 
Fannie Mae Pool #AM4764 3.44% Due 11/01/2023
 
Government Mortgage Backed Security 334,783 units
 
349,188

 
 
Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC Ratings Class A-1 Floating Rate Due 05/20/2026
 
Asset Backed Security 350,000 units
 
347,305

 
 
Fannie Mae Pool #MA1510 4% Due 07/01/2043
 
Government Mortgage Backed Security 326,018 units
 
347,155

 
 
National Credit Union Association Guaranteed Trust 2010-R3 Due 12/06/2020
 
Commercial Mortgage-Backed Security 344,707 units
 
347,026

 
 
Voya CLO 2014-2 Ltd. 2014-2 Class A1 Floating Rate Due 07/17/2026
 
Asset Backed Security 350,000 units
 
347,025

 
 
Federal Home Loan Mortgage Corporation Tranche 00839 2.615% Due 01/25/2023
 
Government Mortgage Backed Security 345,000 units
 
344,876

 
 
Public Service Electric and Gas Company 4.05% Due 05/01/2045
 
Corporate Bond 350,000 units
 
342,700

 
 
Volt XXXII LLC Series 2015-NPL3 Class A1144A 3.375% Due 10/25/2058
 
Asset Backed Security 347,764 units
 
341,716

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2020
 
Government Bond 370,000 units
 
341,563

 
 
Duquesne Light Holdings, Inc. 6.4% Due 09/15/2020
 
Corporate Bond 300,000 units
 
339,587

 
 
Fannie Mae Pool #FN0001 3.766% Due 12/01/2020
 
Government Mortgage Backed Security 319,670 units
 
339,295

 
 
Fannie Mae Remic Trust 2007-93 4.5% Due 09/25/2037
 
Government Mortgage Backed Security 310,539 units
 
339,103

 
 
Ginnie Mae II Jumbos 4.5% Due 30 Years
 
Government Mortgage Backed Security 315,000 units
 
338,428

 
 
Fannie Mae Pool #Fn0009 3.414% Due 10/01/2020
 
Government Mortgage Backed Security 318,300 units
 
336,533

 
 
Fannie Mae Remic Trust 2004-W12 6.5% Due 07/25/2044
 
Government Mortgage Backed Security 282,284 units
 
334,356

 
 
Fannie Mae Series 2002-86 6% Due 09/25/2032
 
Government Mortgage Backed Security 293,722 units
 
333,936

 
 
Ocwen Master Advance Receivables Trust Series 15-T3 Class AT3 3.211% Due 11/15/2047
 
Asset Backed Security 334,000 units
 
332,994

 
 
Fannie Mae Pool #Am4407 3.65% Due 09/01/2023
 
Government Mortgage Backed Security 314,461 units
 
332,649

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4168 Class JA 3.5% Due 02/15/2043
 
Government Mortgage Backed Security 320,247 units
 
332,403

 
 
Fannie Mae Series 2009-W1 6% Due 12/25/2049
 
Government Mortgage Backed Security 289,638 units
 
332,166

 
 
Americredit Corporation 1.26% Due 11/08/2019
 
Asset Backed Security 333,000 units
 
331,365

 
 
Berkshire Hathaway Inc. 4.4% Due 05/15/2042
 
Corporate Bond 334,000 units
 
330,701

 
 
Nissan Auto .87000000477% Due 11/15/2018
 
Asset Backed Security 330,000 units
 
328,797

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 323 Class 300 Due 01/15/2044
 
Government Mortgage Backed Security 332,302 units
 
325,659

 

19
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Impac Secured Assets Corporation 2004-3 Pass-Through Class M-1 Floating Rate Due 11/25/2034
 
Collateralized Mortgage Obligation 370,000 units
 
325,327

 
 
Actavis Funding SCS 4.75% Due 03/15/2045
 
Corporate Bond 333,000 units
 
324,690

 
 
Fannie Mae Pool #MA1900 4.5% Due 05/01/2039
 
Government Mortgage Backed Security 293,289 units
 
322,662

 
 
Fannie Mae Pool #MA1900 4.5% Due 04/01/2044
 
Government Mortgage Backed Security 292,085 units
 
321,439

 
 
Fannie Mae Remic Series 2004-T1 6% Due 01/25/2044
 
Government Mortgage Backed Security 284,062 units
 
320,940

 
 
Americredit Corporation 1.27% Due 01/08/2020
 
Asset Backed Security 324,000 units
 
320,697

 
 
American Airlines 2013-2 4.95% Due 01/15/2023
 
Corporate Bond 303,740 units
 
320,446

 
 
Citi Held For Asset Issuance Series 15-PM1 Class A 2% Due 12/15/2021
 
Asset Backed Security 319,505 units
 
319,374

 
 
Honda Auto .82% Due 07/23/2018
 
Asset Backed Security 320,000 units
 
319,140

 
 
Chase Issuance Trust Series 2007-A2 Class A2 Floating Rate Due 04/15/2019
 
Asset Backed Security 320,000 units
 
318,917

 
 
Structured Adjustable Rate Mortgage Loan Trust 2005-6Xs Class A4 Variable Rate Due 03/25/2035
 
Collateralized Mortgage Obligation 319,662 units
 
318,521

 
 
Duke Energy Corporation 3.75% Due 06/01/2045
 
Corporate Bond 343,000 units
 
317,671

 
 
The Goldman Sachs Group, Inc. 5.25% Due 07/27/2021
 
Corporate Bond 283,000 units
 
312,890

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2031
 
Government Bond 470,000 units
 
304,292

 
 
Bank of America Corporation 6% Due 09/01/2017*
 
Corporate Bond 285,000 units
 
303,300

 
 
Commercial Mortgage Trust Series 2015-CRE25 Class A-4 3.759% Due 08/10/2048
 
Commercial Mortgage-Backed Security 297,000 units
 
302,892

 
 
J.P. Morgan Chase & Company 2.55% Due 10/29/2020*
 
Corporate Bond 305,000 units
 
302,441

 
 
Continental Airlines Pass-Through 6.9% Due 07/02/2019
 
Corporate Bond 294,244 units
 
302,336

 
 
Fannie Mae Pool #Am4493 3.92% Due 10/01/2023
 
Government Mortgage Backed Security 280,000 units
 
299,942

 
 
Capital One Bank (USA), National Association 1.15% Due 11/21/2016
 
Corporate Bond 300,000 units
 
299,278

 
 
Fannie Mae Pool #467136 4.57% Due 01/01/2021
 
Government Mortgage Backed Security 271,566 units
 
297,864

 
 
Fannie Mae Series 2013-96 3.5% Due 09/25/2038
 
Government Mortgage Backed Security 282,863 units
 
295,372

 
 
Ford Motor Credit Company LLC Floating Rate 1.55685% Due 01/09/2018
 
Corporate Bond 298,000 units
 
295,009

 
 
CVS Health Corporation 3.875% Due 07/20/2025
 
Corporate Bond 285,000 units
 
290,865

 
 
VNDO Mortgage Trust 2012-6 2.995% Due 11/15/2030
 
Commercial Mortgage-Backed Security 295,237 units
 
290,857

 
 
Cap Auto 1.72% Due 01/22/2019
 
Asset Backed Security 289,000 units
 
288,408

 
 
DT Auto Owner Trust Series 15-2A Class A 1.24% Due 09/17/2018
 
Asset Backed Security 288,578 units
 
287,956

 
 
Appalachian Power Company 4.45% Due 06/01/2045
 
Corporate Bond 300,000 units
 
284,770

 
 
Fannie Mae Remic Series 2014-M1 Class A Floating Rate Due 07/25/2023
 
Government Mortgage Backed Security 275,000 units
 
283,998

 
 
Citigroup Inc. 4.25% Due 08/15/2017
 
Corporate Bond 275,000 units
 
281,188

 
 
Fannie Mae Remic Trust 2001-81 6.5% Due 01/25/2032
 
Government Mortgage Backed Security 245,080 units
 
280,959

 
 
Wachovia Bank National Association 6% Due 11/15/2017*
 
Corporate Bond 260,000 units
 
280,417

 
 
PFP 2015-2 Limited/PFP 2015-2 LLC Class A Variable Rate Due 07/14/2034
 
Commercial Mortgage-Backed Security 280,000 units
 
280,117

 
 
Fannie Mae Pool #Fn0004 3.619% Due 12/01/2020
 
Government Mortgage Backed Security 263,954 units
 
278,558

 
 
Verizon Communications Inc. 4.862% Due 08/21/2046
 
Corporate Bond 292,000 units
 
276,444

 
 
Toyota Auto .67% Due 12/15/2017
 
Asset Backed Security 275,507 units
 
274,925

 
 
AT&T Inc. 4.8% Due 06/15/2044
 
Corporate Bond 300,000 units
 
274,841

 
 
J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 Class A4 Due 05/12/2045*
 
Commercial Mortgage-Backed Security 270,703 units
 
273,880

 
 
The Goldman Sachs Group, Inc. 5.95% Due 01/18/2018
 
Corporate Bond 253,000 units
 
272,475

 
 
HCA Inc. 6.5% Due 02/15/2020
 
Corporate Bond 250,000 units
 
272,375

 
 
Federal Home Loan Mortgage Corporation Floating Rate Due 07/25/2020
 
Government Mortgage Backed Security 272,322 units
 
272,307

 

20
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
UBS AG Stamford Branch 1.8% Due 03/26/2018
 
Corporate Bond 271,000 units
 
270,546

 
 
Jersey Central Power & Light Company 4.7% Due 04/01/2024
 
Corporate Bond 261,000 units
 
270,409

 
 
Banc America Commercial Mortgage Inc. 2006-3 Due 07/10/2044*
 
Commercial Mortgage-Backed Security 267,387 units
 
268,798

 
 
Ventas Realty Limited 3.5% Due 02/01/2025
 
Corporate Bond 280,000 units
 
268,109

 
 
J.P. Morgan Chase Bank of New York 6% Due 10/01/2017*
 
Corporate Bond 250,000 units
 
267,290

 
 
Trafigura Securitizations Finance PLC Floating Rate Due 10/15/2021
 
Asset Backed Security 266,000 units
 
264,907

 
 
Fannie Mae Pool #466049 2.49% Due 10/01/2017
 
Government Mortgage Backed Security 260,790 units
 
264,850

 
 
Fannie Mae Pool #Am8203 2.74% Due 03/01/2025
 
Government Mortgage Backed Security 266,583 units
 
264,106

 
 
Hyundai Auto 1.05% Due 04/15/2019
 
Asset Backed Security 265,000 units
 
263,927

 
 
United States Treasury Bond 4.24% Due 05/15/2039
 
Government Bond 210,000 units
 
259,407

 
 
Realty Income Corporation 5.95% Due 09/15/2016
 
Corporate Bond 250,000 units
 
257,419

 
 
United States Treasury Bond 4.5% Due 02/15/2036
 
Government Bond 200,000 units
 
256,312

 
 
Federal Home Loan Mortgage Corporation Series 2595 5% Due 04/15/2023
 
Government Mortgage Backed Security 239,930 units
 
256,127

 
 
Macmo Master Asset Securitization Trust 5.5% Due 12/25/2033
 
Collateralized Mortgage Obligation 241,234 units
 
255,447

 
 
UBS Commercial Mortgage Trust 2012-C1 Variable Rate Due 05/10/2045
 
Commercial Mortgage-Backed Security 250,000 units
 
252,544

 
 
Toyota Motor Credit Corporation 2% Due 09/15/2016
 
Corporate Bond 250,000 units
 
252,018

 
 
J.P. Morgan Chase Commercial Mortgage-Backed Securities Corporation Series 2006-LDP6 Variable Rate Due 04/15/2043*
 
Commercial Mortgage-Backed Security 250,000 units
 
251,100

 
 
Credit Suisse Group Funding (Guernsey) Ltd. 3.8% Due 09/15/2022
 
Corporate Bond 250,000 units
 
249,803

 
 
Fannie Mae Pool #Am6501 3.32% Due 08/01/2026
 
Government Mortgage Backed Security 245,000 units
 
249,700

 
 
UBS AG Stamford Branch 1.375% Due 06/01/2017
 
Corporate Bond 250,000 units
 
248,809

 
 
Bank of America Corporation 5.65% Due 05/01/2018*
 
Corporate Bond 230,000 units
 
247,321

 
 
Stadshypotek AB (publ) 1.875% Due 10/02/2019
 
Corporate Bond 250,000 units
 
246,506

 
 
GS Mortgage Securities Corporation Trust 2011-GC5 Due 08/10/2044
 
Commercial Mortgage-Backed Security 245,000 units
 
245,374

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3415 Class TF Due 08/15/2035
 
Government Mortgage Backed Security 237,073 units
 
241,137

 
 
Ginnie Mae 2015-H32 Remic Pass-Through Class FH Due 12/20/2065
 
Government Mortgage Backed Security 242,000 units
 
241,124

 
 
J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-A4 Due 05/12/2045*
 
Commercial Mortgage-Backed Security 238,219 units
 
241,014

 
 
Oracle Corporation 3.625% Due 07/15/2023
 
Corporate Bond 224,000 units
 
231,701

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2980 6% Due 05/15/2035
 
Government Mortgage Backed Security 202,522 units
 
231,505

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2072 6.5% Due 07/15/2028
 
Government Mortgage Backed Security 201,671 units
 
228,413

 
 
Wachovia Corporation 5.75% Due 02/01/2018*
 
Corporate Bond 210,000 units
 
226,819

 
 
Nordea Bank 1.625% Due 05/15/2018
 
Corporate Bond 225,000 units
 
223,688

 
 
UnitedHealth Group, Inc. 4.625% Due 07/15/2035
 
Corporate Bond 215,000 units
 
223,195

 
 
Microsoft Corporation 3.75% Due 02/12/2045
 
Corporate Bond 242,000 units
 
222,982

 
 
Fannie Mae Preassign 00653 5.5% Due 03/25/2023
 
Government Mortgage Backed Security 203,755 units
 
221,025

 
 
HSBC Bank PLC 4.75% Due 01/19/2021
 
Corporate Bond 200,000 units
 
220,302

 
 
UBS Commercial Mortgage 2007 C7 Variable Rate Mortgage Pass Thru Class A/3 09/15/2045
 
Commercial Mortgage-Backed Security 209,907 units
 
220,288

 
 
JPMorgan Chase Capital XXIII Series W Floating Rate Due 05/15/2047
 
Corporate Bond 291,000 units
 
218,978

 
 
Ginnie Mae 0% Due 12/20/2040
 
Government Mortgage Backed Security 239,719 units
 
218,884

 
 
Ford Credit Auto Owner 1.28% Due 09/15/2019
 
Asset Backed Security 218,000 units
 
217,648

 
 
Energy Transfer Partners, LP 5.2% Due 2/1/2022
 
Corporate Bond 232,000 units
 
216,747

 
 
UBS-Bank of America Merrill Lynch Trust Series 2012-WRM 3.663% Due 06/10/2030*
 
Commercial Mortgage-Backed Security 211,000 units
 
212,543

 
 
General Motors Financial Company, Inc. 4.75 Due 08/15/2017
 
Corporate Bond 205,000 units
 
212,470

 

21
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
H. J. Heinz Company 1.6% Due 06/30/2017
 
Corporate Bond 213,000 units
 
212,383

 
 
AT&T Inc. 3.875% Due 08/15/2021
 
Corporate Bond 205,000 units
 
211,493

 
 
New York State Dormitory Authority 5.289% Due 03/15/2033
 
Municipal/Provincial Bond 180,000 units
 
210,053

 
 
The Goldman Sachs Group, Inc. 5.375% Due 03/15/2020
 
Corporate Bond 190,000 units
 
208,723

 
 
Fannie Mae Tranche 00743 3.5% Due 10/25/2037
 
Government Mortgage Backed Security 196,937 units
 
205,828

 
 
Fannie Mae Remic Series 2013-6 Class GI 09/25/2032
 
Government Mortgage Backed Security 1,817,547 units
 
204,990

 
 
Bank of America Corporation 4% Due 01/22/2025*
 
Corporate Bond 208,000 units
 
203,617

 
 
General Electric Capital Corporation 3.1% Due 01/09/2023
 
Corporate Bond 200,000 units
 
203,002

 
 
UBS-Barclays Commercial Mortgage Trust 2012-C2 3.52500009537% Due 05/10/2063
 
Commercial Mortgage-Backed Security 197,600 units
 
202,161

 
 
Fannie Mae Preassign 00166 6.5% Due 08/25/2036
 
Government Mortgage Backed Security 177,744 units
 
201,865

 
 
The Goldman Sachs Group, Inc. Variable Rate Due 11/29/2023
 
Corporate Bond 200,000 units
 
201,775

 
 
Comcast Corporation 4.4% Due 08/15/2035
 
Corporate Bond 200,000 units
 
201,192

 
 
Citigroup Inc. 1.3% Due 04/01/2016
 
Corporate Bond 200,000 units
 
200,282

 
 
Wachovia Bank Commercial Mortgage Trust Pass-Through Due 07/15/2045*
 
Commercial Mortgage-Backed Security 200,198 units
 
199,949

 
 
United States Treasury Bond .625% Due 02/15/2043
 
Index Linked Government Bond 227,800 units
 
199,425

 
 
Fannie Mae Pool #Ap0645 3.5% Due 07/01/2032
 
Government Mortgage Backed Security 190,323 units
 
199,403

 
 
MidAmerican Energy 4.8% Due 09/15/2043
 
Corporate Bond 183,000 units
 
195,799

 
 
Conoco Inc. 6.95% Due 04/15/2029
 
Corporate Bond 170,000 units
 
194,716

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3087 5.5% Due 12/15/2025
 
Government Mortgage Backed Security 178,302 units
 
194,514

 
 
Ginnie Mae Pool 2012-84 Class LI I-O 4% Due 05/16/2042
 
Government Mortgage Backed Security 1,188,446 units
 
191,692

 
 
Hyundai Auto 1.12% Due 11/15/2019
 
Asset Backed Security 193,000 units
 
191,515

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3005 5% Due 07/15/2025
 
Government Mortgage Backed Security 177,778 units
 
191,378

 
 
Federal Home Loan Mortgage Corporation Series 3852 Floating Rate Due 05/15/2041
 
Government Mortgage Backed Security 171,640 units
 
189,415

 
 
North Shore Long Island 4.8% Due 11/01/2042
 
Corporate Bond 200,000 units
 
189,129

 
 
Shell International Finance BV 4.375% Due 05/11/2045
 
Corporate Bond 200,000 units
 
188,813

 
 
Residential Accredit Loans, Inc. Pass-Through Trust Series 2004-QS7 5.5% Due 05/25/2034
 
Collateralized Mortgage Obligation 183,085 units
 
188,154

 
 
Sprint Nextel Corporation 9% Due 11/15/2018
 
Corporate Bond 175,000 units
 
184,188

 
 
Merrill Lynch Mortgage Investors, Inc. Series 2003-5 Class-A1 Due 10/25/2028*
 
Collateralized Mortgage Obligation 188,540 units
 
183,903

 
 
Anadarko Petroleum Corporation 6.45% Due 09/15/2036
 
Corporate Bond 190,000 units
 
183,133

 
 
DT Auto Owner Trust 7% Due 04/16/2018
 
Asset Backed Security 183,432 units
 
183,075

 
 
Springleaf Mortgage Loan Trust 2013-2 Class M-1 Variable Rate Due 12/25/2065
 
Collateralized Mortgage Obligation 181,000 units
 
182,130

 
 
Nissan Auto 1.11% Due 05/15/2019
 
Asset Backed Security 182,000 units
 
181,445

 
 
Burlington Northern and Santa Fe Railway Company 4.15% Due 04/01/2045
 
Corporate Bond 197,000 units
 
178,546

 
 
Santander Drive Auto Receivables Trust 1.27% Due 02/15/2019
 
Asset Backed Security 178,000 units
 
177,399

 
 
BP Capital Markets plc 3.506% Due 03/17/2025
 
Corporate Bond 183,000 units
 
177,217

 
 
United States Treasury Note 1% Due 06/30/2019
 
Government Bond 180,000 units
 
177,026

 
 
Springleaf Mortgage Loan Trust 2013-2 Class M-2 Variable Rate 12/25/2065
 
Collateralized Mortgage Obligation 175,000 units
 
176,236

 
 
WFRBS Commercial Mortgage Trust Variable Rate Due 03/15/2045
 
Commercial Mortgage-Backed Security 190,000 units
 
175,488

 
 
Texas Eastern Transmission, LP 2.8% Due 10/15/2022
 
Corporate Bond 195,000 units
 
173,324

 
 
Fannie Mae Series 417 Class C11 2.5% Due 2/25/2028
 
Government Mortgage Backed Security 1,845,404 units
 
172,848

 
 
Wal-Mart Stores, Inc. 4.75% Due 10/02/2043
 
Corporate Bond 160,000 units
 
172,091

 
 
HSBC Holdings PLC 4% Due 03/30/2022
 
Corporate Bond 163,000 units
 
171,112

 
 
Morgan Stanley 5.75% Due 01/25/2021
 
Corporate Bond 150,000 units
 
168,413

 

22
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Wells Fargo & Company 4.48% Due 01/16/2024*
 
Corporate Bond 158,000 units
 
166,179

 
 
Bank of America Corporation 4.125% Due 01/22/2024*
 
Corporate Bond 160,000 units
 
165,256

 
 
Telefonica 5.134% Due 04/27/2020
 
Corporate Bond 150,000 units
 
163,778

 
 
Enterprise Products Company 4.9% Due 05/15/2046
 
Corporate Bond 200,000 units
 
163,438

 
 
Sequoia Mortgage Trust 2004-1 Floating Rate Due 11/20/2034
 
Collateralized Mortgage Obligation 169,705 units
 
162,264

 
 
Royal Bank of Canada 1.2% Due 09/19/2017
 
Corporate Bond 163,000 units
 
162,230

 
 
Citigroup Inc. 3.3% Due 04/27/2025
 
Corporate Bond 165,000 units
 
162,045

 
 
Homestar Mortgage Acceptance Corporation Series 2004-4 Class A3 Floating Rate Due 09/25/2034
 
Collateralized Mortgage Obligation 162,160 units
 
160,547

 
 
Federal Home Loan Mortgage Corporation Series 3507 5% Due 03/15/2036
 
Government Mortgage Backed Security 151,994 units
 
159,372

 
 
Energy Transfer 5.5% Due 06/01/2027
 
Corporate Bond 209,000 units
 
158,840

 
 
First Horizon Mortgage Pass-Through Trust Series 2004-AR6 4.75% Due 12/25/34
 
Collateralized Mortgage Obligation 158,015 units
 
158,606

 
 
CarFinance Capital Auto Trust 2014-2 Class B 2.64% Due 11/16/2020
 
Asset Backed Security 160,000 units
 
158,332

 
 
J.P. Morgan Chase & Company 4.25% Due 10/15/2020*
 
Corporate Bond 149,000 units
 
158,066

 
 
Chase Mortgage Financial Trust Series 2007-A1 Pass-Through Due 02/25/2037
 
Collateralized Mortgage Obligation 157,341 units
 
157,674

 
 
General Electric Capital Corporation 5.5% Due 01/08/2020
 
Corporate Bond 140,000 units
 
157,020

 
 
Healthcare Realty Trust Inc. 5.75% Due 01/15/2021
 
Corporate Bond 142,000 units
 
156,630

 
 
HBOS plc Tranche # Sb 00008 6.75% Due 5/21/2018
 
Corporate Bond 143,000 units
 
155,964

 
 
Fannie Mae 1.43% Due 03/25/2037
 
Government Mortgage Backed Security 933,879 units
 
154,281

 
 
United States Treasury Note 3.25% Due 12/31/2016
 
Government Bond 150,000 units
 
153,551

 
 
J.P. Morgan Mortgage Trust Series 2004-A3 Due 07/25/2034*
 
Collateralized Mortgage Obligation 157,702 units
 
153,081

 
 
Energy Transfer 5.15% Due 03/15/2045
 
Corporate Bond 215,000 units
 
151,966

 
 
Reckson Operating Partnership, LP 6% Due 03/31/2016
 
Corporate Bond 150,000 units
 
151,399

 
 
CarFinance Capital Auto Trust 2015-1 Class A 1.75% Due 06/15/2021
 
Asset Backed Security 152,068 units
 
151,119

 
 
The Goldman Sachs Group, Inc. 3.75% Due 05/22/2025
 
Corporate Bond 150,000 units
 
151,000

 
 
Celgene Corporation 5% Due 08/15/2045
 
Corporate Bond 150,000 units
 
150,583

 
 
Merrill Lynch Mortgage Investors, Inc. Series 2004-B Class 1 Due 05/25/2029*
 
Collateralized Mortgage Obligation 152,943 units
 
148,672

 
 
PRICOA Global Funding 1.6% Due 05/29/2018
 
Corporate Bond 150,000 units
 
148,346

 
 
General Electric Company 4.5% Due 03/11/2044
 
Corporate Bond 144,000 units
 
148,195

 
 
Spectra Energy Capital 5.65% Due 03/01/2020
 
Corporate Bond 141,000 units
 
148,143

 
 
Morgan Stanley Capital I Trust 2011-C3 4.054% Due 07/15/2049
 
Commercial Mortgage-Backed Security 141,000 units
 
147,752

 
 
Cox Communications, Inc. 3.85% Due 02/01/2025
 
Corporate Bond 160,000 units
 
146,586

 
 
Fannie Mae Pool #890231 5% Due 07/01/2025
 
Government Mortgage Backed Security 141,061 units
 
146,302

 
 
Ginnie Mae 2004-30 5.5% Due 02/20/2034
 
Government Mortgage Backed Security 138,519 units
 
146,254

 
 
Ginnie Mae II Pool #3760 Series 2035 5.5% Due 09/20/2035
 
Government Mortgage Backed Security 130,719 units
 
145,849

 
 
Spcl1 Gen Elec Capital Corporation 5.875% Due 01/14/2038
 
Corporate Bond 119,000 units
 
145,604

 
 
Fannie Mae Remic Series 2008-75 4.5% Due 09/25/2023
 
Government Mortgage Backed Security 140,377 units
 
144,757

 
 
Enterprise Products Company 3.75% Due 02/15/2025
 
Corporate Bond 157,000 units
 
143,609

 
 
UBS Commercial Mortgage Income Only Trust 2012-C1 2.561868% Due 05/10/2045
 
Commercial Mortgage-Backed Security 1,418,813 units
 
142,676

 
 
Federal Home Loan Mortgage Corporation Series 3542 Class N 0% Due 07/15/2036
 
Government Mortgage Backed Security 155,205 units
 
141,378

 
 
BellSouth Corporation 6.55% Due 06/15/2034
 
Corporate Bond 135,000 units
 
141,242

 
 
HCA Inc. 4.25% Due 11/15/2023
 
Corporate Bond 140,000 units
 
140,197

 
 
Time Warner Inc. 4.75% Due 03/29/2021
 
Corporate Bond 130,000 units
 
139,736

 
 
Sabine Pass LNG 7.5% Due 11/30/2016
 
Corporate Bond 140,000 units
 
139,300

 
 
Merrill Lynch & Co., Inc. 6.875% Due 04/25/2018*
 
Corporate Bond 125,000 units
 
137,907

 

23
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Morgan Stanley Trust 2012-IO Remic Pass-Through 1% Due 03/27/2051
 
Commercial Mortgage-Backed Security 138,535 units
 
136,803

 
 
Keycorp 5.1% Due 03/24/2021
 
Corporate Bond 125,000 units
 
136,618

 
 
Niagara Mohawk Power Corporation 3.508% Due 10/01/2024
 
Corporate Bond 136,000 units
 
136,520

 
 
Apple Inc. 4.375% Due 05/13/2045
 
Corporate Bond 135,000 units
 
136,311

 
 
Bayview Commercial Asset Trust Variable Rate Due 11/25/2035
 
Commercial Mortgage-Backed Security 152,499 units
 
135,489

 
 
Deutsche Bank AG 2.95% Due 08/20/2020
 
Corporate Bond 135,000 units
 
135,200

 
 
CenterPoint Energy 4.5% Due 04/01/2044
 
Corporate Bond 131,000 units
 
135,145

 
 
DaVita HealthCare Partners Inc. 5% Due 05/01/2025
 
Corporate Bond 140,000 units
 
135,100

 
 
J.P. Morgan Chase & Company 4.95% Due 06/01/2045*
 
Corporate Bond 135,000 units
 
134,974

 
 
Barrick North America Finance LLC 4.4% Due 05/30/2021
 
Corporate Bond 150,000 units
 
134,690

 
 
Cobalt CMBS Commercial Mortgage Trust 2006-C1 Pass-Through 5.186% Due 08/01/48
 
Commercial Mortgage-Backed Security 131,942 units
 
134,046

 
 
Commercial Mortgage Pass-Through Series 2014-Kyo Class A Variable Rate Due 06/11/2027
 
Commercial Mortgage-Backed Security 135,000 units
 
133,433

 
 
Bank of Montreal 2.55% Due 11/06/2022
 
Corporate Bond 135,000 units
 
133,315

 
 
Fannie Mae Pool #735070 6.5% Due 10/01/2024
 
Government Mortgage Backed Security 115,708 units
 
132,237

 
 
Exxon Mobil Corporation 2.709% Due 03/06/2025
 
Corporate Bond 135,000 units
 
132,009

 
 
Valeant Pharmaceuticals International, Inc. 5.5% Due 03/01/2023
 
Corporate Bond 150,000 units
 
132,000

 
 
Federal Home Loan Mortgage Corporation Multiclass Tranche 00268 3.161% Due 05/25/2025
 
Government Mortgage Backed Security 130,000 units
 
131,042

 
 
American Credit Acceptance Receivables Series 2014-2 Class B 2.26% Due 03/10/2020
 
Asset Backed Security 130,549 units
 
130,577

 
 
Master Adjustable Rate Mortgages Trust 2004-8 Due 08/25/2034
 
Collateralized Mortgage Obligation 131,211 units
 
130,468

 
 
Reckson Operating Partnership, LP 4.5% Due 12/01/2022
 
Corporate Bond 128,000 units
 
129,532

 
 
Hilton Worldwide Finance LLC 5.625% Due 10/15/2021
 
Corporate Bond 125,000 units
 
129,531

 
 
Rockies Express Pipeline LLC 6.85% Due 07/15/2018
 
Corporate Bond 132,000 units
 
129,360

 
 
Chevron Corporation 2.419% Due 11/17/2020
 
Corporate Bond 130,000 units
 
129,269

 
 
T-Mobile US, Inc. 6.5% Due 01/15/2026
 
Corporate Bond 128,000 units
 
129,215

 
 
Spectrum Brands, Inc. 5.75% Due 07/15/2025
 
Corporate Bond 125,000 units
 
128,125

 
 
Transcanada 3.75% Due 10/16/2023
 
Corporate Bond 130,000 units
 
127,936

 
 
KKR Group Finance Company III LLC 5.125% Due 06/01/2044
 
Corporate Bond 130,000 units
 
127,316

 
 
Reynolds Group 5.75% Due 10/15/2020
 
Corporate Bond 125,000 units
 
127,149

 
 
Berkshire Hathaway Inc. 3.4% Due 01/31/2022
 
Corporate Bond 120,000 units
 
126,469

 
 
United States Treasury Bond 6.375% Due 08/15/2027
 
Government Bond 90,000 units
 
126,418

 
 
Comcast Corporation 6.5% Due 01/15/2017
 
Corporate Bond 120,000 units
 
126,313

 
 
Consumer Credit Origination Loan Trust 2015-1 Class A 2.82% Due 03/15/21
 
Asset Backed Security 126,205 units
 
126,186

 
 
Boardwalk 4.95% Due 12/15/2024
 
Corporate Bond 145,000 units
 
126,082

 
 
CCOH Safari, LLC 5.75% Due 02/15/2026
 
Corporate Bond 125,000 units
 
125,313

 
 
BP Capital Markets plc 3.814% Due 02/10/2024
 
Corporate Bond 125,000 units
 
124,935

 
 
First Data Corporation 5% Due 01/15/2024
 
Corporate Bond 125,000 units
 
124,375

 
 
Credit Agricole SA 8.375% Floating Rate Due 08/15/2029
 
Corporate Bond 110,000 units
 
123,200

 
 
Apple Inc. 2.4% Due 05/03/2023
 
Corporate Bond 126,000 units
 
122,770

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4030 Income Only 3.5% Due 04/15/2027
 
Government Mortgage Backed Security 1,201,638 units
 
122,416

 
 
Fannie Mae Pool #254762 5% Due 05/01/2023
 
Government Mortgage Backed Security 111,153 units
 
122,252

 
 
Structured Asset Securities Corporation 2003-26A Pass-Through Due 09/25/2033
 
Collateralized Mortgage Obligation 126,618 units
 
122,191

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3852 Floating Rate Due 05/15/2041
 
Government Mortgage Backed Security 110,769 units
 
121,697

 
 
Verizon Communications Inc. 4.4% Due 11/01/2034
 
Corporate Bond 130,000 units
 
119,942

 
 
Ameriprise Financial, Inc. 4% Due 10/15/2023
 
Corporate Bond 115,000 units
 
119,463

 
 
Mondelez International, Inc. 4% Due 02/01/2024
 
Corporate Bond 115,000 units
 
118,541

 
 
Ontario Province Canada 4% Due 10/07/2019
 
Municipal/Provincial Bond 110,000 units
 
117,842

 

24
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Fannie Mae Pool #576557 6.5% Due 06/01/2019
 
Government Mortgage Backed Security 102,957 units
 
117,664

 
 
EOG Resources, Inc. 2.625% Due 03/15/2023
 
Corporate Bond 124,000 units
 
117,473

 
 
Ginnie Mae Pool #AE8877 Series 2037 5.5% Due 01/15/2037
 
Government Mortgage Backed Security 102,470 units
 
117,228

 
 
Northeast Utilities 3.15% Due 01/15/2025
 
Corporate Bond 120,000 units
 
117,127

 
 
Hydro-Quebec Series 8.4% Due 01/15/2022
 
Municipal/Provincial Bond 90,000 units
 
116,250

 
 
Capital One Financial Corporation 3.75% Due 04/24/2024
 
Corporate Bond 115,000 units
 
115,744

 
 
Ryder System, Inc. Trust 00208 3.5% Due 06/01/2017
 
Corporate Bond 113,000 units
 
115,444

 
 
International Business Machines Corporation 7.625% Due 10/15/2018
 
Corporate Bond 100,000 units
 
115,270

 
 
Morgan Stanley 7.3% Due 05/13/2019
 
Corporate Bond 100,000 units
 
114,871

 
 
Fannie Mae Pool #256601 6% Due 02/01/2027
 
Government Mortgage Backed Security 101,715 units
 
114,782

 
 
General Electric Capital Corporation 5.625% Due 05/01/2018
 
Corporate Bond 105,000 units
 
114,513

 
 
The Goldman Sachs Group, Inc. 7.5% Due 02/15/2019
 
Corporate Bond 100,000 units
 
114,426

 
 
Praxair, Inc. 1.25% Due 11/07/2018
 
Corporate Bond 115,000 units
 
113,461

 
 
General Electric Capital Corporation 6% Due 08/07/2019
 
Corporate Bond 100,000 units
 
113,284

 
 
Fannie Mae Remic Series 2013-13 Class IK Due 03/25/2028
 
Government Mortgage Backed Security 1,268,261 units
 
112,469

 
 
Peco Energy Company 2.375% Due 09/15/2022
 
Corporate Bond 115,000 units
 
111,409

 
 
Principal Life Global 2.25% Due 10/15/2018
 
Corporate Bond 110,000 units
 
110,533

 
 
Southern California Edison 3.6% Due 02/01/2045
 
Corporate Bond 122,000 units
 
110,490

 
 
Verizon Communications Inc. 4.522% Due 09/15/2048
 
Corporate Bond 123,000 units
 
109,999

 
 
Morgan Stanley 6.625% Due 04/01/2018
 
Corporate Bond 100,000 units
 
109,653

 
 
Cisco Systems, Inc. 3.625% Due 03/04/2024
 
Corporate Bond 105,000 units
 
109,544

 
 
British Telecommunications plc Step-up Due 12/15/2030
 
Corporate Bond 75,000 units
 
109,437

 
 
Nordea Bank 4.875% Due 01/27/2020
 
Corporate Bond 100,000 units
 
108,965

 
 
FirstEnergy Transmission LLC 5.45% Due 07/15/2044
 
Corporate Bond 108,000 units
 
108,759

 
 
Norfolk Southern Corporation 2.903% Due 02/15/2023
 
Corporate Bond 111,000 units
 
107,204

 
 
Sequoia Mortgage Trust 2004-1, 2004-8 Variable Rate Due 09/20/2034
 
Collateralized Mortgage Obligation 111,166 units
 
107,090

 
 
Structured Asset Securities Corporation Series 2004-6XS Due 03/25/2034
 
Asset Backed Security 104,597 units
 
107,073

 
 
Nabors Industries Limited 4.625% Due 09/15/2021
 
Corporate Bond 130,000 units
 
106,829

 
 
Lincoln National Corporation 6.25% Due 02/15/2020
 
Corporate Bond 95,000 units
 
106,748

 
 
General Electric Capital Corporation 5.625% Due 09/15/2017
 
Corporate Bond 100,000 units
 
106,627

 
 
Jefferies Group 6.875% Due 04/15/2021
 
Corporate Bond 95,000 units
 
106,275

 
 
CWMBS, Inc. 5.25% Due 05/25/2034
 
Collateralized Mortgage Obligation 104,281 units
 
105,237

 
 
Intuit Inc. 5.75% Due 03/15/2017
 
Corporate Bond 100,000 units
 
104,773

 
 
Daimler Financial North America LLC 2.25% Due 07/31/2019
 
Corporate Bond 105,000 units
 
103,622

 
 
FirstEnergy Corporation 7.375% Due 11/15/2031
 
Corporate Bond 85,000 units
 
103,529

 
 
New York City Municipal Water Finance Authority; Water/Sewer 5.44% Due 06/15/2043
 
Municipal/Provincial Bond 85,000 units
 
103,464

 
 
Fannie Mae Remic Trust 2007-W1 Variable Rate Due 11/25/2046
 
Government Mortgage Backed Security 102,956 units
 
103,181

 
 
Ginnie Mae 2007-024 Remic Pass-Through Floating Rate Due 05/20/2037
 
Government Mortgage Backed Security 577,037 units
 
102,879

 
 
Directv Holdings LLC 4.45% Due 04/01/2024
 
Corporate Bond 100,000 units
 
102,709

 
 
Union Pacific Corporation 3.25% Due 01/15/2025
 
Corporate Bond 100,000 units
 
101,481

 
 
Kroger Company 3.4% Due 04/15/2022
 
Corporate Bond 100,000 units
 
101,308

 
 
National Australia Bank Limited 3% Due 07/27/2016
 
Corporate Bond 100,000 units
 
101,070

 
 
Morgan Stanley 5.5% Due 07/28/2021
 
Corporate Bond 90,000 units
 
100,833

 
 
International Business Machines Corporation 1.95% Due 07/22/2016
 
Corporate Bond 100,000 units
 
100,598

 
 
Port Authority NY & NJ 5.647% Due 11/01/2040
 
Municipal/Provincial Bond 85,000 units
 
100,580

 
 
Massmutual Global Funding 3.125% Due 04/14/16
 
Corporate Bond 100,000 units
 
100,579

 
 
HRPT Properties Trust 6.65% Due 01/15/2018
 
Corporate Bond 95,000 units
 
100,545

 

25
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Morgan Stanley Capital I Trust 2011-C1 0% Due 09/15/2047
 
Commercial Mortgage-Backed Security 100,410 units
 
100,399

 
 
Washington Mutual Mortgage Pass-Through 2.67% Due 08/25/2033
 
Collateralized Mortgage Obligation 99,967 units
 
100,377

 
 
Total Capital 2.3% Due 03/15/2016
 
Corporate Bond 100,000 units
 
100,278

 
 
NBCUniversal Enterprise, Inc. 1.974% Due 04/15/2019
 
Corporate Bond 100,000 units
 
99,938

 
 
OneMain Financial Issuance Trust 2014-2 Class A 2.47% Due 09/18/2024
 
Asset Backed Security 100,000 units
 
99,803

 
 
CVS Caremark Corporation 4% Due 12/05/2023
 
Corporate Bond 96,000 units
 
99,765

 
 
American Honda Finance Corporation Bond 1.6% Due 02/16/2018
 
Corporate Bond 100,000 units
 
99,241

 
 
Rio Tinto Financial USA 9% Due 05/01/2019
 
Corporate Bond 85,000 units
 
99,230

 
 
CPS Auto 1.54% Due 07/16/2018
 
Asset Backed Security 99,416 units
 
99,155

 
 
MetLife Global 3.875% Due 04/11/2022*
 
Corporate Bond 95,000 units
 
99,098

 
 
Rabobank Netherlands Variable Rate Due 12/29/2049
 
Corporate Bond 80,000 units
 
98,760

 
 
Macquarie Bank Limited 5% Due 02/22/2017
 
Corporate Bond 95,000 units
 
98,254

 
 
Bank of America Corporation 3.3% Due 01/11/2023*
 
Corporate Bond 99,000 units
 
97,448

 
 
Bank of America Corporation 5.65% Due 05/01/2018*
 
Corporate Bond 90,000 units
 
96,778

 
 
Ohio State University General Receipts 4.8% Due 06/01/2111
 
Municipal/Provincial Bond 100,000 units
 
96,415

 
 
Michigan Indiana Power Company 7% Due 03/15/2019
 
Corporate Bond 85,000 units
 
96,345

 
 
AIG Sun America Global Financing 6.9% Due 03/15/2032
 
Corporate Bond 75,000 units
 
96,266

 
 
The Goldman Sachs Group, Inc. 6.45% Due 05/01/2036
 
Corporate Bond 85,000 units
 
96,089

 
 
General Electric Capital Corporation 2.1% Due 12/11/2019
 
Corporate Bond 96,000 units
 
95,990

 
 
Massmutual Global Funding 2.5% Due 10/17/2022
 
Corporate Bond 100,000 units
 
95,922

 
 
Pfizer Inc. 6.2% Due 03/15/2019
 
Corporate Bond 85,000 units
 
95,625

 
 
Springleaf Mortgage Loan Trust 2013-1A Class A 1.27% Due 06/25/2058
 
Collateralized Mortgage Obligation 96,008 units
 
95,619

 
 
Morgan Stanley Dean Witter Capital I Trust 2003-HYB1 Variable Rate Due 02/25/2033
 
Collateralized Mortgage Obligation 104,196 units
 
95,431

 
 
Wyeth 5.95% Due 04/01/2037
 
Corporate Bond 80,000 units
 
95,123

 
 
Wells Fargo Mortgage Backed Securities Variable Rate Due 09/25/2034*
 
Collateralized Mortgage Obligation 94,780 units
 
95,086

 
 
Verizon Maryland Inc. 5.125% Due 06/15/2033
 
Corporate Bond 95,000 units
 
94,002

 
 
Banc of America Funding Corporation Series 2005-E Class 4-A-1 Due 03/20/2035*
 
Collateralized Mortgage Obligation 93,900 units
 
93,435

 
 
HSBC Holdings PLC 4.875% Due 01/14/2022
 
Corporate Bond 85,000 units
 
93,237

 
 
Fannie Mae Pool #256556 6% Due 01/01/2027
 
Government Mortgage Backed Security 82,490 units
 
93,087

 
 
Thornburg Mortgage Securities Trust 2004-3 Pass-Through Floating Rate Due 11/30/2044
 
Collateralized Mortgage Obligation 100,627 units
 
92,907

 
 
Canadian Pacific Railway Limited 7.125% Due 10/15/2031
 
Corporate Bond 75,000 units
 
92,873

 
 
United States Treasury Note .875% Due 07/31/2019
 
Government Bond 95,000 units
 
92,855

 
 
Diageo Capital PLC 4.828% Due 07/15/2020
 
Corporate Bond 85,000 units
 
92,819

 
 
Freeport-McMoran 2.15% Due 03/01/2017
 
Corporate Bond 101,000 units
 
92,415

 
 
Catholic Hlth 2.95 Due 11/01/2022
 
Corporate Bond 94,000 units
 
91,686

 
 
AT&T Inc. 4.75% Due 05/15/2046
 
Corporate Bond 100,000 units
 
91,560

 
 
Master Alternative Loan Trust 2004-3 6.25% Due 04/25/2034
 
Collateralized Mortgage Obligation 86,638 units
 
91,462

 
 
National Semiconductor 6.6% Due 06/15/2017
 
Corporate Bond 85,000 units
 
91,343

 
 
Shell International Finance BV 4.375% Due 03/25/2020
 
Corporate Bond 85,000 units
 
91,293

 
 
Sempra Energy Company 9.8% Due 02/15/2019
 
Corporate Bond 75,000 units
 
90,756

 
 
Bank of New York Company, Inc. 3.65% Due 02/04/2024
 
Corporate Bond 87,000 units
 
90,333

 
 
Washington Mutual Mortgage 5.5% Due 04/25/2033
 
Collateralized Mortgage Obligation 87,174 units
 
90,113

 
 
Boeing Company 6% Due 03/15/2019
 
Corporate Bond 80,000 units
 
89,754

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 12-K708 Floating Rate Due 01/25/2019
 
Government Mortgage Backed Security 2,284,514 units
 
89,455

 
 
Schlumberger Investment 2.4% Due 08/01/2022
 
Corporate Bond 95,000 units
 
89,410

 
 
Amerada Hess Corporation 7.3% Due 08/15/2031
 
Corporate Bond 90,000 units
 
89,355

 
 
Wells Fargo Mortgage Backed Securities 2004-EE Trust Variable Rate Due 12/25/2034*
 
Collateralized Mortgage Obligation 86,800 units
 
88,823

 
 
American Express Company 7% Due 03/19/2018
 
Corporate Bond 80,000 units
 
88,719

 

26
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
J.P. Morgan Chase & Company 4.85% Due 02/01/2044*
 
Corporate Bond 83,000 units
 
88,493

 
 
J.P. Morgan Mortgage Trust 2006-A2 3.75% Due 04/25/2036*
 
Collateralized Mortgage Obligation 88,165 units
 
88,430

 
 
Pacific Gas & Electric Company 6.05% Due 03/01/2034
 
Corporate Bond 75,000 units
 
88,368

 
 
U.S. Bancorp Tranche Trust 00175 3.7% Due 01/30/2024
 
Corporate Bond 84,000 units
 
87,962

 
 
Time Warner Cable Inc. 6.75% Due 07/01/2018
 
Corporate Bond 80,000 units
 
87,284

 
 
Residential Accredit Loans, Inc. Pass-Through Trust Series 2003-QS7 4.75% Due 04/25/2033
 
Collateralized Mortgage Obligation 85,900 units
 
87,023

 
 
NorthStar LLC Series 2013-1 Class A Floating Rate Due 08/25/2029
 
Commercial Mortgage-Backed Security 87,017 units
 
86,886

 
 
Deutsche Telekom International 5.75% Due 03/23/2016
 
Corporate Bond 85,000 units
 
85,785

 
 
PNC FDG Corporation 6.7% Due 06/10/2019
 
Corporate Bond 75,000 units
 
85,724

 
 
Verizon Communications Inc. 4.15% Due 03/15/2024
 
Corporate Bond 83,000 units
 
85,296

 
 
Fannie Mae Stripped Mortgage-Backed Securities Trust 410 Class 29 4% Due 05/25/2027
 
Government Mortgage Backed Security 824,751 units
 
84,459

 
 
Halliburton Company 3.5% Due 08/01/2023
 
Corporate Bond 86,000 units
 
84,402

 
 
Costco Wholesale Corporation 2.25% Due 02/15/2022
 
Corporate Bond 86,000 units
 
84,399

 
 
Master Alternative Loan Trust 2004-1 5.5% Pass-Through
 
Collateralized Mortgage Obligation 81,963 units
 
84,311

 
 
The PNC Financial Services Group, Inc. 2.84% Due 11/09/2022
 
Corporate Bond 85,000 units
 
83,915

 
 
Oncor Electric Delivery Company 6.8% Due 09/1/2018
 
Corporate Bond 75,000 units
 
83,359

 
 
Fannie Mae Remic Trust 2010-49 Variable Rate Due 03/25/2040
 
Government Mortgage Backed Security 67,898 units
 
83,301

 
 
Penske Truck Leasing Company LP 3.375% Due02/01/2022
 
Corporate Bond 85,000 units
 
82,534

 
 
Petro-Canada 7.875% Due 06/15/2026
 
Corporate Bond 65,000 units
 
82,327

 
 
CenterPoint Energy 6.5% Due 05/01/2018
 
Corporate Bond 75,000 units
 
81,826

 
 
State Street Corporation 3.55% Due 08/18/2025*
 
Corporate Bond 79,000 units
 
81,483

 
 
Capital One Financial Corporation 4.75% Due 07/15/2021
 
Corporate Bond 75,000 units
 
81,237

 
 
Time Warner Cable Inc. 8.75% Due 02/14/2019
 
Corporate Bond 70,000 units
 
81,204

 
 
Blackrock Inc. 6.25% Due 09/15/2017*
 
Corporate Bond 75,000 units
 
81,050

 
 
Banc America Mortgage Securities Inc. Series 2003-3 5.5% Due 05/25/2033*
 
Collateralized Mortgage Obligation 78,526 units
 
80,632

 
 
Verizon Communications Inc. 4.5% Due 09/15/2020
 
Corporate Bond 75,000 units
 
80,581

 
 
MidAmerican Energy 5.3% Due 03/15/2018
 
Corporate Bond 75,000 units
 
80,541

 
 
Virginia Electric & Power Company 2.95% Due 01/15/2022
 
Corporate Bond 80,000 units
 
80,468

 
 
Nelnet Student Loan Trust 2008-4 Floating Rate Due 04/25/2024
 
Asset Backed Security 80,000 units
 
80,159

 
 
United States Treasury Bond Zero Coupon .00001% Due 08/15/2023
 
Government Bond 95,000 units
 
79,941

 
 
United States Treasury Bond Inflation Index 2% Due 01/15/2026
 
Index Linked Government Bond 60,000 units
 
79,882

 
 
Bank of America Corporation 4% Due 04/01/2024*
 
Corporate Bond 78,000 units
 
79,772

 
 
Baker Hughes Inc. 7.5% Due 11/15/2018
 
Corporate Bond 70,000 units
 
79,032

 
 
Cardinal Health, Inc. 3.2% Due 06/15/2022
 
Corporate Bond 80,000 units
 
79,022

 
 
CarNow Auto 1.69% Due 01/15/2020
 
Asset Backed Security 79,013 units
 
78,889

 
 
Medco Health 4.125% Due 09/15/2020
 
Corporate Bond 75,000 units
 
78,682

 
 
Statoil ASA 2.65% Due 01/15/2024
 
Corporate Bond 84,000 units
 
78,572

 
 
Morgan Stanley Mortgage Loan Trust 2004-2AR Due 09/25/2034
 
Collateralized Mortgage Obligation 79,740 units
 
78,411

 
 
J.P. Morgan Mortgage Trust Series 2004-S1 5.5% Due 09/25/2034*
 
Collateralized Mortgage Obligation 77,731 units
 
78,149

 
 
Bank of America Corporation 3.95% Due 04/21/2025*
 
Corporate Bond 80,000 units
 
77,902

 
 
Royal Bank of Scotland 6.4% Due 10/21/2019
 
Corporate Bond 70,000 units
 
77,664

 
 
Devon Energy Corporation 7.95% Due 04/15/2032
 
Corporate Bond 75,000 units
 
77,502

 
 
Apache Corporation 6% Due 01/15/2037
 
Corporate Bond 80,000 units
 
77,267

 
 
Verizon Communications Inc. 6.55% Due 09/15/2043
 
Corporate Bond 65,000 units
 
77,169

 
 
Republic Services, Inc. 5.5% Due 09/15/2019
 
Corporate Bond 70,000 units
 
77,014

 
 
EnLink Midstream, LLC 4.15% Due 06/01/2025
 
Corporate Bond 100,000 units
 
76,911

 
 
Bayview Commercial Asset Trust Variable Rate Due 01/25/2036
 
Commercial Mortgage-Backed Security 88,068 units
 
76,803

 
 
Burlington Northern and Santa Fe Railway Company 3.45% Due 09/15/2021
 
Corporate Bond 75,000 units
 
76,654

 
 
GlaxoSmithKline plc 2.85% Due 05/08/2022
 
Corporate Bond 75,000 units
 
75,583

 

27
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Sunoco Logistics 4.25% Due 04/01/2024
 
Corporate Bond 87,000 units
 
75,244

 
 
Anheuser-Busch 6.875% Due 11/15/2019
 
Corporate Bond 65,000 units
 
75,143

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3211 6% Due 12/15/2035
 
Government Mortgage Backed Security 72,454 units
 
75,102

 
 
NextEra Energy Capital Holdings, Inc. 3.625% Due 06/15/2023
 
Corporate Bond 75,000 units
 
74,721

 
 
DBUBS Mortgage Trust Pass-Through Income Only Series 2011-LC2 Class X-A Due 07/10/2044
 
Commercial Mortgage-Backed Security 2,115,528 units
 
74,649

 
 
Citigroup Inc. 4.45% Due 09/29/2027
 
Corporate Bond 75,000 units
 
74,503

 
 
Ginnie Mae Remic Series 2008-40 Floating Rate Due 05/16/2038
 
Government Mortgage Backed Security 413,663 units
 
74,342

 
 
GS Mortgage Securities Corporation 2005-RP2 Variable Rate Due 03/25/2035
 
Collateralized Mortgage Obligation 86,574 units
 
74,266

 
 
BP Capital Markets plc 3.245% Due 05/06/2022
 
Corporate Bond 75,000 units
 
74,065

 
 
Citigroup Mortgage Loan Trust 2008-AR4 Remic Pass-Through Due 11/25/2038
 
Collateralized Mortgage Obligation 73,113 units
 
72,902

 
 
Kaupthing Bank 7.625% Due 12/31/2040 in default
 
Corporate Bond 310,000 units
 
72,075

 
 
Wells Fargo Mortgage Backed Securities 2004-K Due 07/25/2034*
 
Collateralized Mortgage Obligation 71,503 units
 
71,627

 
 
Anheuser-Busch 3.7% Due 02/01/2024
 
Corporate Bond 70,000 units
 
71,415

 
 
Ford Credit Auto Owner .82% Due 12/15/2017
 
Asset Backed Security 71,172 units
 
71,154

 
 
Fannie Mae Remic Trust 2005-103 Variable Rate Due 07/25/2035
 
Government Mortgage Backed Security 61,171 units
 
71,123

 
 
Time Warner Cable Inc. 7.3% Due 07/1/2038
 
Corporate Bond 65,000 units
 
70,470

 
 
Directv Holdings LLC 3.8% Due 03/15/2022
 
Corporate Bond 70,000 units
 
70,443

 
 
Macys Retail Holdings 7.45% Due 07/15/2017
 
Corporate Bond 65,000 units
 
70,231

 
 
Duke Energy Corporation 1.625% Due 08/15/2017
 
Corporate Bond 70,000 units
 
69,905

 
 
eBay Inc. 2.6% Due 07/15/2022
 
Corporate Bond 75,000 units
 
69,812

 
 
Precision 3.25% Due 06/15/2025
 
Corporate Bond 70,000 units
 
69,543

 
 
Ecolab Inc. 1.55% Due 01/12/2018
 
Corporate Bond 70,000 units
 
69,505

 
 
Invesco Financial plc 3.125% Due 11/30/2022
 
Corporate Bond 70,000 units
 
69,009

 
 
Americredit .9% Due 01/08/2019
 
Asset Backed Security 69,145 units
 
68,974

 
 
Magellan Midstream Partners LP 5.15% Due 10/15/2043
 
Corporate Bond 80,000 units
 
68,599

 
 
Federal Home Loan Mortgage Corporation Pool 5.891% Due 08/1/2037
 
Government Mortgage Backed Security 64,341 units
 
68,433

 
 
John Deere Capital Corporation 3.35% 06/12/2024
 
Corporate Bond 67,000 units
 
68,083

 
 
PHH Mortgage Trust Series 6% Due 07/25/2038
 
Collateralized Mortgage Obligation 66,862 units
 
67,825

 
 
GS Mortgage Securities Corporation 2004-6F 5.5% Due 05/25/3034
 
Collateralized Mortgage Obligation 65,060 units
 
67,227

 
 
Fannie Mae 2006-114 5.5% Due 10/25/2035
 
Government Mortgage Backed Security 65,946 units
 
67,143

 
 
The Home Depot, Inc. 3.75% Due 02/15/2024
 
Corporate Bond 63,000 units
 
67,068

 
 
Fannie Mae 0% Due 12/01/2024
 
Government Mortgage Backed Security 70,567 units
 
66,915

 
 
Morgan Stanley 2.375% Due 07/23/2019
 
Corporate Bond 67,000 units
 
66,775

 
 
AT&T Inc. 3.4% Due 05/15/2025
 
Corporate Bond 69,000 units
 
66,315

 
 
Illinois State Taxable Pension 5.1% Due 06/01/2033
 
Municipal/Provincial Bond 70,000 units
 
66,224

 
 
BB&T Corporation 2.45% Due 01/15/2020
 
Corporate Bond 65,000 units
 
65,436

 
 
Bank of America Corporation 4.25% Due 10/22/2026*
 
Corporate Bond 66,000 units
 
65,329

 
 
Churchill Downs Inc. 5.375% Due 12/15/2021
 
Corporate Bond 65,000 units
 
65,163

 
 
The Goldman Sachs Group, Inc. 3.5% Due 01/23/2025
 
Corporate Bond 66,000 units
 
64,866

 
 
Citigroup Inc. 2.05% Due 12/07/2018
 
Corporate Bond 65,000 units
 
64,657

 
 
United Technologies Corporation 4.15% Due 05/15/2045
 
Corporate Bond 67,000 units
 
64,017

 
 
General Electric Capital Corporation Trust 00750 Variable Rate Due 08/15/36
 
Corporate Bond 75,000 units
 
63,819

 
 
Agrium Inc. 5.25% Due 01/15/2045
 
Corporate Bond 68,000 units
 
63,386

 
 
Potash Corporation of Saskatchewan, Inc. 3.625% Due 03/15/2024
 
Corporate Bond 65,000 units
 
63,211

 
 
HCP, Inc. 4.25% Due 11/15/2023
 
Corporate Bond 63,000 units
 
63,089

 
 
Microsoft Corporation 3.625% Due 12/15/2023
 
Corporate Bond 60,000 units
 
63,052

 
 
CHS/Community Health Systems, Inc. 5.125% Due 08/01/2021
 
Corporate Bond 63,000 units
 
62,685

 
 
CPS Auto Receivables Trust 2013-C Class A 1.64% Due 04/16/2018
 
Asset Backed Security 62,654 units
 
62,518

 

28
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Banc America Mortgage Securities Inc. 2004-C 3.73055% Due 04/25/2034*
 
Collateralized Mortgage Obligation 62,176 units
 
62,112

 
 
A10 Securitization 2013-1 LLC Class A 2.4% Due 11/15/2025
 
Commercial Mortgage-Backed Security 61,910 units
 
61,924

 
 
The Goldman Sachs Group, Inc. 2.6% Due 04/23/2020
 
Corporate Bond 62,000 units
 
61,529

 
 
Fannie Mae Pool #889213 5.5% Due 10/01/2020
 
Government Mortgage Backed Security 58,026 units
 
61,047

 
 
Kraft Foods Group, Inc. 3.5% Due 06/06/2022
 
Corporate Bond 60,000 units
 
60,657

 
 
Noble Energy, Inc. 5.05% Due 11/15/2044
 
Corporate Bond 75,000 units
 
60,555

 
 
MidAmerican Energy 3.75% Due 11/15/2023
 
Corporate Bond 59,000 units
 
60,545

 
 
Verizon Communications Inc. 5.15% Due 09/15/2023
 
Corporate Bond 55,000 units
 
60,463

 
 
Laboratory Corporation of America Holdings 2.2% Due 08/23/2017
 
Corporate Bond 60,000 units
 
60,211

 
 
John Deere Capital Corporation 1.35% Due 01/16/2018
 
Corporate Bond 60,000 units
 
59,759

 
 
Cisco Systems Inc. 3.5% Due 06/15/2025
 
Corporate Bond 58,000 units
 
59,669

 
 
Ginnie Mae 2009-016 Remic Pass-Through Floating Rate Due 05/20/2037
 
Government Mortgage Backed Security 331,712 units
 
59,348

 
 
The Goldman Sachs Group, Inc. 3.85% Due 07/08/2024
 
Corporate Bond 58,000 units
 
59,187

 
 
ONEOK Partners LP 4.9% Due 03/15/2025
 
Corporate Bond 70,000 units
 
58,957

 
 
Ventas Realty Limited 4.75% Due 06/01/2021
 
Corporate Bond 55,000 units
 
58,576

 
 
Ginnie Mae 2007-058 Remic Pass-Through Floating Rate Due 10/20/2037
 
Government Mortgage Backed Security 317,098 units
 
58,070

 
 
NiSource Finance Corporation 5.65% Due 02/01/2045
 
Corporate Bond 50,000 units
 
57,469

 
 
The Goldman Sachs Group, Inc. 2.625% Due 01/31/2019
 
Corporate Bond 57,000 units
 
57,408

 
 
Wells Fargo Mortgage Backed Securities 2004-EE Trust Variable Rate Due 12/25/2034*
 
Collateralized Mortgage Obligation 56,895 units
 
57,370

 
 
Morgan Stanley Fixed Income 1.875% Due 01/05/2018
 
Corporate Bond 56,000 units
 
55,945

 
 
Diamond Offshore Drilling, Inc. 4.875% Due 11/01/2043
 
Corporate Bond 92,000 units
 
55,852

 
 
The Mosaic Company 5.45% Due 11/15/2033
 
Corporate Bond 55,000 units
 
55,587

 
 
Fannie Mae Remic Trust Pass-Through Variable Rate Due 01/25/2040
 
Government Mortgage Backed Security 345,451 units
 
55,362

 
 
The Mosaic Company 3.75% Due 11/15/2021
 
Corporate Bond 55,000 units
 
55,147

 
 
Laboratory Corporation of America Holdings 2.5% Due 11/01/2018
 
Corporate Bond 55,000 units
 
55,138

 
 
United States Treasury Bill 0% Due 01/07/2016
 
Government Bond 55,000 units
 
55,000

 
 
AGL Capital Corporation 5.875% Due 03/15/2041
 
Corporate Bond 50,000 units
 
54,824

 
 
Sempra Energy Company 4.05% Due 12/01/2023
 
Corporate Bond 53,000 units
 
54,594

 
 
Apple Inc. 2.85% Due 05/06/2021
 
Corporate Bond 53,000 units
 
54,277

 
 
Duke Energy Corporation 4.3% Due 06/15/2020
 
Corporate Bond 50,000 units
 
54,117

 
 
Hydro-Quebec Series 8.05% Due 07/07/2024
 
Municipal/Provincial Bond 40,000 units
 
53,833

 
 
Verizon Communications Inc. 4.522% Due 09/15/2048
 
Corporate Bond 60,000 units
 
53,658

 
 
Kraft Foods Group, Inc. 5.375% Due 02/10/2020
 
Corporate Bond 49,000 units
 
53,652

 
 
Northern States Power Company 4.125% Due 05/15/2044
 
Corporate Bond 54,000 units
 
53,615

 
 
Medtronic Inc. 4.375% Due 03/15/2035
 
Corporate Bond 53,000 units
 
53,575

 
 
Time Warner Inc. 3.6% Due 07/15/2025
 
Corporate Bond 55,000 units
 
53,541

 
 
PepsiCo, Inc. 3.1% Due 07/17/2022
 
Corporate Bond 52,000 units
 
53,373

 
 
Master Asset Security Trust 2003-6 5% Due 07/25/2023
 
Collateralized Mortgage Obligation 52,698 units
 
52,782

 
 
Biogen Inc. 3.625% Due 09/15/2022
 
Corporate Bond 52,000 units
 
52,576

 
 
Energy Transfer 3.6% Due 02/01/2023
 
Corporate Bond 63,000 units
 
51,859

 
 
Shell International Finance BV 4.125% Due 05/11/2035
 
Corporate Bond 54,000 units
 
51,544

 
 
Ginnie Mae Remic Series 2008-073 Floating Rate Due 08/20/2038
 
Government Mortgage Backed Security 296,083 units
 
51,338

 
 
Flagship Credit Auto Trust 2013-2 Class A 1.94% Due 01/15/19
 
Asset Backed Security 51,390 units
 
51,335

 
 
Potash Corporation of Saskatchewan, Inc. 3.25% Due 12/01/2017
 
Corporate Bond 50,000 units
 
51,086

 
 
Plains All American Pipeline LP 4.9% Due 02/15/2045
 
Corporate Bond 71,000 units
 
51,062

 
 
Florida Power & Light Company 3.25% Due 06/01/2024
 
Corporate Bond 50,000 units
 
51,052

 
 
Residential Funding Mortgage Securities I, Inc. 2003-S4 5.75% Due 03/25/2033
 
Collateralized Mortgage Obligation 49,765 units
 
51,044

 
 
Viacom Inc. 3.125 Due 06/15/2022
 
Corporate Bond 55,000 units
 
50,955

 

29
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Centex Home Equity Series 2004-D 4.68% Due 06/25/2032
 
Asset Backed Security 50,288 units
 
50,949

 
 
Fannie Mae Remic Series 2004-36 Due 05/25/2034
 
Government Mortgage Backed Security 37,093 units
 
50,848

 
 
Orange SA 2.75% Due 02/06/2019
 
Corporate Bond 50,000 units
 
50,702

 
 
Bank of New York Company, Inc. 3.25% Due 09/11/2024
 
Corporate Bond 50,000 units
 
50,328

 
 
Microsoft Corporation 3.125% Due 11/03/2025
 
Corporate Bond 50,000 units
 
50,265

 
 
National Retail Properties, Inc. 4% Due 11/15/2025
 
Corporate Bond 51,000 units
 
50,089

 
 
Prudential Financial, Inc. 2.35% Due 08/15/2019*
 
Corporate Bond 50,000 units
 
49,763

 
 
CSX Corporation 3.4% Due 08/01/2024
 
Corporate Bond 50,000 units
 
49,711

 
 
Eli Lilly and Company 2.75% Due 06/01/2025
 
Corporate Bond 50,000 units
 
49,363

 
 
21st Century Fox 3% Due 09/15/2022
 
Corporate Bond 50,000 units
 
49,271

 
 
Hewlett-Packard Company 4.65% Due 12/09/2021
 
Corporate Bond 49,000 units
 
48,815

 
 
Ginnie Mae 2006-26 Remic 0% Due 06/20/2036
 
Government Mortgage Backed Security 52,835 units
 
48,200

 
 
Arrow Electronics Inc. 3.5% Due 04/01/2022
 
Corporate Bond 50,000 units
 
48,163

 
 
Fannie Mae Remic Trust 1997-89 7% Due 12/20/2027
 
Government Mortgage Backed Security 234,383 units
 
48,087

 
 
Verizon Communications Inc. 4.672% Due 03/15/2055
 
Corporate Bond 55,000 units
 
47,751

 
 
Intel Corporation 3.7% Due 07/29/2025
 
Corporate Bond 46,000 units
 
47,580

 
 
Dow Chemical Company 4.125% Due 11/15/2021
 
Corporate Bond 45,000 units
 
47,178

 
 
Ginnie Mae Remic Series 2007-16 Floating Rate Due 04/20/2037
 
Government Mortgage Backed Security 268,213 units
 
46,955

 
 
Noble Energy, Inc. 5.625% Due 05/01/2021
 
Corporate Bond 48,000 units
 
46,953

 
 
Citigroup Mortgage Loan Trust Series 2010-8 4.5% Due 12/25/2036
 
Collateralized Mortgage Obligation 45,903 units
 
46,529

 
 
Banc America Alternative Loan Trust 2004-6 5% Due 07/25/2019*
 
Collateralized Mortgage Obligation 45,283 units
 
46,386

 
 
American Express Credit Corporation 1.8% Due 07/31/2018
 
Corporate Bond 46,000 units
 
45,918

 
 
CBS Corporation 3.7% Due 08/15/2024
 
Corporate Bond 47,000 units
 
45,708

 
 
Washington Mutual Variable Rate Pass-Through Due 09/25/2033
 
Collateralized Mortgage Obligation 44,638 units
 
45,129

 
 
Dow Chemical Company 8.55% Due 05/15/2019
 
Corporate Bond 38,000 units
 
44,789

 
 
PFS Tax Lien Trust 1.44% Due 05/15/2029
 
Asset Backed Security 44,773 units
 
44,610

 
 
Ginnie Mae 2009-072 Remic Pass-Through Floating Rate Due 08/16/2039
 
Government Mortgage Backed Security 271,833 units
 
44,411

 
 
Novartis Capital Corporation 3.4% Due 05/06/2024
 
Corporate Bond 43,000 units
 
44,393

 
 
Texas Instruments Inc. 2.75% Due 03/12/2021
 
Corporate Bond 44,000 units
 
44,287

 
 
Amazon.com, Inc. 4.8% Due 12/05/2034
 
Corporate Bond 42,000 units
 
44,221

 
 
Illinois Tool Works Inc. 3.5% Due 03/01/2024
 
Corporate Bond 43,000 units
 
44,191

 
 
AT&T Inc. 3% Due 02/15/2022
 
Corporate Bond 45,000 units
 
44,113

 
 
American International Group 3.875% Due 01/15/2035
 
Corporate Bond 50,000 units
 
44,102

 
 
Tennessee Valley Authority Global Power Bond Series A 4.25% Due 09/15/2065
 
Government Agency 45,000 units
 
43,964

 
 
Southwestn Elec 3.9% Due 04/01/2045
 
Corporate Bond 50,000 units
 
43,781

 
 
Residential Accredit Loans, Inc. Pass-Through Trust Series 2004-QS3 5% Due 03/25/2019
 
Collateralized Mortgage Obligation 43,604 units
 
43,705

 
 
Prudential Financial, Inc. Trust 00010 5.9% Due 3/17/2036*
 
Corporate Bond 38,000 units
 
43,566

 
 
Ginnie Mae 2002-41 Remic Trust Floating Rate Due 06/16/2032
 
Government Mortgage Backed Security 200,227 units
 
43,108

 
 
Lowes Companies, Inc. 3.375% Due 09/15/2025
 
Corporate Bond 42,000 units
 
42,642

 
 
AbbVie Inc 3.2% Due 11/06/2022
 
Corporate Bond 43,000 units
 
42,326

 
 
Federal Home Loan Mortgage Corporation Series 3201 Floating Rate Due 08/15/2036
 
Government Mortgage Backed Security 268,166 units
 
42,069

 
 
Morgan Stanley Mortgage Loan Trust 2004-2AR 5% Due 09/25/2034
 
Collateralized Mortgage Obligation 41,336 units
 
41,965

 
 
Union Pacific Corporation 3.75% Due 03/15/2024
 
Corporate Bond 40,000 units
 
41,965

 
 
AIG Global Funding 1.65% Due 12/15/2017
 
Corporate Bond 42,000 units
 
41,789

 
 
Teva 3.65% Due 11/10/2021
 
Corporate Bond 41,000 units
 
41,579

 
 
Fannie Mae Pool #550389 6.45% Due 09/1/2030
 
Government Mortgage Backed Security 40,120 units
 
41,234

 
 
Hewlett-Packard Company 6% Due 09/15/2041
 
Corporate Bond 47,000 units
 
41,037

 
 
HCP, Inc. 3.875% Due 08/15/2024
 
Corporate Bond 42,000 units
 
40,708

 

30
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Marsh & McLennan Companies, Inc. 2.35% Due 03/06/2020
 
Corporate Bond 41,000 units
 
40,642

 
 
Suncor Energy Inc. 3.6% Due 12/01/2024
 
Corporate Bond 43,000 units
 
40,501

 
 
Fannie Mae Remic Trust 2001-38 Principal Only Due 08/25/2031
 
Government Mortgage Backed Security 42,996 units
 
40,104

 
 
Citigroup Mortgage Loan Trust 2003-1 5.25% Due 09/25/2033
 
Collateralized Mortgage Obligation 40,052 units
 
40,099

 
 
Alabama Power Company 5.875% Due 12/01/2022
 
Corporate Bond 35,000 units
 
40,055

 
 
DTE Energy Company 3.5% Due 06/01/2024
 
Corporate Bond 40,000 units
 
40,044

 
 
Actavis Funding SCS 3.8% Due 03/15/2025
 
Corporate Bond 40,000 units
 
39,796

 
 
Apple Inc. 2.15% Due 02/09/2022
 
Corporate Bond 41,000 units
 
39,796

 
 
Banc of America Alternative Loan Trust 2003-5 5% Due 07/25/2018*
 
Collateralized Mortgage Obligation 39,247 units
 
39,727

 
 
Noble Energy, Inc. 5.25% Due 11/15/2043
 
Corporate Bond 49,000 units
 
39,529

 
 
Federal Home Loan Mortgage Corporation Multiclass 0% Due 11/15/2037
 
Government Mortgage Backed Security 40,601 units
 
39,347

 
 
Plains All American Pipeline 4.65% Due 10/15/2025
 
Corporate Bond 45,000 units
 
39,283

 
 
Realty Income Corporation 3.875% Due 07/15/2024
 
Corporate Bond 40,000 units
 
39,239

 
 
Ginnie Mae 2008-060 Remic Pass-Through 5.5% Due 07/20/2038
 
Government Mortgage Backed Security 35,000 units
 
39,098

 
 
Nucor Corporation 4% Due 08/01/2023
 
Corporate Bond 40,000 units
 
38,784

 
 
Mercedes-Benz Auto Series 2013-1 Class A 3.78% Due 08/15/2017
 
Asset Backed Security 38,651 units
 
38,605

 
 
Federal Home Loan Mortgage Corporation Pool #1G3623 Adjustable Rate Due 05/1/2037
 
Government Mortgage Backed Security 36,438 units
 
38,296

 
 
Federal Home Loan Mortgage Corporation Multiclass Preassign 00121 0% Due 07/15/2036
 
Government Mortgage Backed Security 42,340 units
 
38,186

 
 
Virginia Electric & Power Company 4.45% Due 02/15/2044
 
Corporate Bond 37,000 units
 
38,056

 
 
Ginnie Mae Floating 2004-86 Remic Pass-Through Due 09/20/2034
 
Government Mortgage Backed Security 324,149 units
 
37,917

 
 
Buckeye Partners LP 4.35% Due 10/15/2024
 
Corporate Bond 45,000 units
 
37,845

 
 
Marathon Oil Corporation 3.85% Due 06/01/2025
 
Corporate Bond 47,000 units
 
37,828

 
 
Fannie Mae Remic Pass-Through Trust 2009-112 Floating Rate Due 01/25/2040
 
Government Mortgage Backed Security 227,189 units
 
36,409

 
 
Federal Home Loan Mortgage Corporation Multiclass Floating Rate Due 10/15/2040
 
Government Mortgage Backed Security 219,132 units
 
36,381

 
 
United States Treasury SEC Stripped Interest Payment 4.95% Due 05/15/2028
 
Government Bond 50,000 units
 
35,930

 
 
Westn Gas Partners 5.375% Due 06/01/2021
 
Corporate Bond 35,000 units
 
35,426

 
 
Noble Energy, Inc. 5.875% Due 06/01/2022
 
Corporate Bond 37,000 units
 
35,198

 
 
SunTrust Banks, Inc. 2.35% Due 11/01/2018
 
Corporate Bond 35,000 units
 
35,183

 
 
Consumers Energy Company 3.125% Due 08/31/2024
 
Corporate Bond 35,000 units
 
34,936

 
 
Berkshire Hathaway Inc. 3.5% Due 02/01/2025
 
Corporate Bond 35,000 units
 
34,707

 
 
Fannie Mae Remic Trust 2008-91 Floating Rate Due 03/25/2038
 
Government Mortgage Backed Security 274,499 units
 
34,690

 
 
Fannie Mae Series 343 Class 29 5% Due 10/01/2018
 
Government Mortgage Backed Security 695,047 units
 
34,597

 
 
Vodafone Group PLC 6.15% Due 02/27/2037
 
Corporate Bond 35,000 units
 
34,538

 
 
Cardinal Health, Inc. 3.75% Due 09/15/2025
 
Corporate Bond 34,000 units
 
34,517

 
 
Banc America Commercial Mortgage Inc. 2005-3 Pass-Through 4.727% Due 07/10/2043*
 
Commercial Mortgage-Backed Security 34,429 units
 
34,374

 
 
Ginnie Mae 2009-106 Floating Rate Due 06/20/2037
 
Government Mortgage Backed Security 261,770 units
 
34,268

 
 
Rogers Cable Inc. 8.75% Due 05/01/2032
 
Corporate Bond 25,000 units
 
33,797

 
 
Health Care REIT, Inc. 4.5% Due 01/15/2024
 
Corporate Bond 33,000 units
 
33,760

 
 
CPS Auto 1.59% Due 03/16/2020
 
Asset Backed Security 33,861 units
 
33,744

 
 
Ginnie Mae 2008-087 Remic Pass-Through 6.5% Due 10/20/2038
 
Government Mortgage Backed Security 179,408 units
 
33,697

 
 
Westn Gas Partners 3.95% Due 06/01/2025
 
Corporate Bond 40,000 units
 
33,569

 
 
Viacom Inc. 4.85% Due 12/15/2034
 
Corporate Bond 41,000 units
 
33,484

 
 
Equity One ABS, Inc. 5.05% Due 09/25/2033
 
Asset Backed Security 33,122 units
 
33,379

 
 
Intercontinental Exchange Inc. 4% Due 10/15/2023
 
Corporate Bond 32,000 units
 
32,958

 
 
Master Asset Security Trust 2004-6 5.25% Due 07/25/2019
 
Collateralized Mortgage Obligation 32,452 units
 
32,847

 

31
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Banc America Mortgage Securities Inc. 5% Due 06/25/2019*
 
Collateralized Mortgage Obligation 32,174 units
 
32,645

 
 
Sunoco Logistics 4.65% Due 02/15/2022
 
Corporate Bond 35,000 units
 
32,532

 
 
CPS Auto 1.21% Due 08/15/2018
 
Asset Backed Security 32,388 units
 
32,289

 
 
Wells Fargo Resecure Trust 2012-IO Class A 1.75% Due 08/22/2017*
 
Commercial Mortgage-Backed Security 32,239 units
 
32,239

 
 
Tyson Foods, Inc. 4.875% Due 08/15/2034
 
Corporate Bond 31,000 units
 
31,639

 
 
Ginnie Mae Remic Series 2006-26 Due 06/20/2036
 
Government Mortgage Backed Security 188,476 units
 
31,625

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2934 Principal Only Due 02/15/2020
 
Government Mortgage Backed Security 33,032 units
 
31,544

 
 
Statoil ASA 3.25% Due 11/10/2024
 
Corporate Bond 32,000 units
 
31,385

 
 
American Express Credit Corporation 2.6% Due 09/14/2020
 
Corporate Bond 31,000 units
 
31,072

 
 
Bank of New York Company, Inc. 2.2% Due 05/15/2019
 
Corporate Bond 31,000 units
 
31,046

 
 
Glitnir Banki HF Medium Term In Default 6.375% Due 09/25/2012
 
Corporate Bond 100,000 units
 
31,000

 
 
Atmos Energy Corporation 4.125% Due 10/15/2044
 
Corporate Bond 32,000 units
 
30,666

 
 
John Deere Capital Corporation 3.4% Due 09/11/2025
 
Corporate Bond 30,000 units
 
30,411

 
 
Pacific Gas & Electric Company 3.5% Due 06/15/2025
 
Corporate Bond 30,000 units
 
30,333

 
 
Citigroup Inc. 5.3% Due 05/06/2044
 
Corporate Bond 29,000 units
 
30,165

 
 
Starbucks Corporation 2.7% Due 06/15/2022
 
Corporate Bond 30,000 units
 
30,009

 
 
Fannie Mae Pool #735439 6% Due 09/01/2019
 
Government Mortgage Backed Security 28,999 units
 
29,967

 
 
Flagship Credit Corporation
 
Asset Backed Security 29,873 units
 
29,840

 
 
Merck & Co., Inc. 2.35% Due 02/10/2022
 
Corporate Bond 30,000 units
 
29,456

 
 
Ginnie Mae Remic Series 2008-79 Floating Rate Due 09/20/2038
 
Government Mortgage Backed Security 147,584 units
 
29,398

 
 
Wells Fargo & Company 4.9% Due 11/17/2045*
 
Corporate Bond 29,000 units
 
29,259

 
 
Parker Hannifin Corporation 3.3% Due 11/21/2024
 
Corporate Bond 29,000 units
 
29,249

 
 
United States Treasury Note Inflation Indexed .375% Due 07/15/2025
 
Index Linked Government Bond 30,000 units
 
29,131

 
 
Blackstone Holdings 4.45% Due 07/15/2045
 
Corporate Bond 31,000 units
 
29,096

 
 
Lockheed Martin Corporation 3.1% Due 01/15/2023
 
Corporate Bond 29,000 units
 
28,981

 
 
Fannie Mae Series 390 Variable Rate Due 06/25/2038
 
Government Mortgage Backed Security 161,075 units
 
28,961

 
 
Enterprise Products Company 3.9% Due 02/15/2024
 
Corporate Bond 31,000 units
 
28,923

 
 
Buckeye Partners LP 2.65% Due 11/15/2018
 
Corporate Bond 30,000 units
 
28,861

 
 
Canadian Natural Resources Limited 3.9% Due 02/01/2025
 
Corporate Bond 33,000 units
 
28,793

 
 
Ginnie Mae 2010-001 Remic Pass-Through Floating Rate Due 08/16/2039
 
Government Mortgage Backed Security 324,948 units
 
28,758

 
 
Celgene Corporation 3.625% Due 05/15/2024
 
Corporate Bond 29,000 units
 
28,522

 
 
MetLife, Inc. 3.6% Due 11/13/2025*
 
Corporate Bond 28,000 units
 
28,197

 
 
Federal Home Loan Mortgage Corporation Series 3218 Floating Rate Due 09/15/2026
 
Government Mortgage Backed Security 179,495 units
 
27,906

 
 
Alabama Power Company 3.55% Due 12/01/2023
 
Corporate Bond 27,000 units
 
27,776

 
 
Rogers Cable Inc. 3.625% Due 12/15/2025
 
Corporate Bond 28,000 units
 
27,541

 
 
The Walt Disney Company 4.125% Due 06/01/2044
 
Corporate Bond 27,000 units
 
27,536

 
 
Fannie Mae Tranche .447% Due 01/25/2017
 
Government Mortgage Backed Security 27,489 units
 
27,489

 
 
Fannie Mae Remic Trust 2006-20 Variable Rate Due 04/25/2036
 
Government Mortgage Backed Security 163,726 units
 
27,373

 
 
The Charles Schwab Corporation 4.45% Due 07/22/2020
 
Corporate Bond 25,000 units
 
27,209

 
 
AGL Capital Corporation 5.25% Due 08/15/2019
 
Corporate Bond 25,000 units
 
26,892

 
 
Ecolab Inc. 4.35% Due 12/08/2021
 
Corporate Bond 25,000 units
 
26,694

 
 
American Express Company 3.625% Due 12/05/2024
 
Corporate Bond 27,000 units
 
26,424

 
 
Nordstrom, Inc. 4% Due 10/15/2021
 
Corporate Bond 25,000 units
 
26,414

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3117 Principal Only Due 02/15/2036
 
Government Mortgage Backed Security 28,284 units
 
26,252

 
 
Thermo Fisher Scientific Inc. 4.15% Due 02/01/2024
 
Corporate Bond 25,000 units
 
25,967

 
 
Transocean Inc. 6.375% Due 12/15/2021
 
Corporate Bond 40,000 units
 
25,850

 

32
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Ginnie Mae 2010-014 Remic Pass-Through Principal Only Due 12/20/2032
 
Government Mortgage Backed Security 26,621 units
 
25,782

 
 
Federal Home Loan Mortgage Corporation Multiclass Preassign 00890 Due 04/15/2036
 
Government Mortgage Backed Security 27,622 units
 
25,494

 
 
CWMBS, Inc. Pass-Through 5.25% Due 05/25/2034
 
Collateralized Mortgage Obligation 25,020 units
 
25,192

 
 
Fannie Mae Pool #550387 6.45% Due 08/01/2030
 
Government Mortgage Backed Security 24,849 units
 
25,036

 
 
Lowes Companies, Inc. 3.125% Due 09/15/2024
 
Corporate Bond 25,000 units
 
24,975

 
 
GMAC Mortgage Loan Trust 2003-J10 4.75% Due 01/25/2019
 
Collateralized Mortgage Obligation 24,708 units
 
24,710

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3784 Floating Rate Due 07/15/2023
 
Government Mortgage Backed Security 232,696 units
 
24,686

 
 
Microsoft Corporation 2.375% Due 02/12/2022
 
Corporate Bond 25,000 units
 
24,676

 
 
PPL Electric Utilities Corporation 4.125% Due 06/15/2044
 
Corporate Bond 25,000 units
 
24,638

 
 
Fannie Mae Remic Trust 2010-35 Variable Rate Due 04/25/2040
 
Government Mortgage Backed Security 127,248 units
 
24,369

 
 
Banc America Mortgage Securities Inc. 2004-3 Pass-Through 5.5% Due 04/25/2034*
 
Collateralized Mortgage Obligation 23,910 units
 
24,284

 
 
Microsoft Corporation 2.375% Due 05/01/2023
 
Corporate Bond 25,000 units
 
24,269

 
 
Fannie Mae Series 331 Variable Rate Due 02/01/2033
 
Government Mortgage Backed Security 124,150 units
 
24,117

 
 
Federal Home Loan Mortgage Corporation Pool #1J1574 5.697% Due 04/1/2037
 
Government Mortgage Backed Security 22,428 units
 
23,886

 
 
Freeport-McMoran 5.4% Due 11/14/2034
 
Corporate Bond 45,000 units
 
23,850

 
 
Viacom Inc. 3.875% Due 04/01/2024
 
Corporate Bond 25,000 units
 
23,426

 
 
Actavis Funding SCS 4.55% Due 03/15/2035
 
Corporate Bond 24,000 units
 
23,325

 
 
Exeter Automobile 1.29% Due 05/15/2018
 
Asset Backed Security 23,161 units
 
23,143

 
 
Plains All American Pipeline LP 2.6% Due 02/15/2019
 
Corporate Bond 26,000 units
 
23,057

 
 
Tyco International Finance SA 3.9% Due 02/14/2026
 
Corporate Bond 23,000 units
 
23,051

 
 
Federal Home Loan Mortgage Corporation Pool #G02809 3.5% Due 05/01/2036
 
Government Mortgage Backed Security 20,184 units
 
22,987

 
 
Verizon Communications Inc. 4.862% Due 08/21/2046
 
Corporate Bond 24,000 units
 
22,721

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3117 Due 02/15/2036
 
Government Mortgage Backed Security 24,383 units
 
22,540

 
 
Public Service Company of New Hampshire 3.5% Due 11/01/2023
 
Corporate Bond 22,000 units
 
22,540

 
 
Marathon Petroleum Corporation 3.625% Due 09/15/2024
 
Corporate Bond 24,000 units
 
22,364

 
 
DTE Energy Company Series B 3.3% Due 06/15/2022
 
Corporate Bond 22,000 units
 
22,066

 
 
Bank of America Corporation 4.1% Due 07/24/2023*
 
Corporate Bond 21,000 units
 
21,713

 
 
Microsoft Corporation 3.5% Due 02/12/2035
 
Corporate Bond 23,000 units
 
21,258

 
 
Ginnie Mae 2007-059 Remic Pass-Through Due 04/20/2037
 
Government Mortgage Backed Security 203,122 units
 
21,208

 
 
Morgan Stanley Capital I Trust Due 02/12/2044
 
Commercial Mortgage-Backed Security 11,348,348 units
 
21,176

 
 
CSX Corporation 3.95% Due 05/01/2050
 
Corporate Bond 25,000 units
 
21,146

 
 
Arrow Electronics Inc. 4% Due 04/01/2025
 
Corporate Bond 22,000 units
 
21,134

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3253 Principal Only Due 12/15/2021
 
Government Mortgage Backed Security 21,473 units
 
21,088

 
 
Raytheon Company 3.15% Due 12/15/2024
 
Corporate Bond 21,000 units
 
21,042

 
 
Discovery Communications, Inc. 4.95 Due 05/15/2042
 
Corporate Bond 25,000 units
 
20,945

 
 
Kroger Company 4% Due 02/01/2024
 
Corporate Bond 20,000 units
 
20,728

 
 
Bed Bath & Beyond Inc. 4.915% Due 08/01/2034
 
Corporate Bond 23,000 units
 
20,520

 
 
UnitedHealth Group, Inc. 3.35% Due 07/15/2022
 
Corporate Bond 20,000 units
 
20,457

 
 
Wi Energy Corporation 3.55% Due 06/15/2025
 
Corporate Bond 20,000 units
 
20,113

 
 
Plains All American Pipeline LP 3.6% Due 11/01/2024
 
Corporate Bond 25,000 units
 
20,056

 
 
FedEx Corporation 3.9% Due 02/01/2035
 
Corporate Bond 22,000 units
 
20,026

 
 
EnLink Midstream, LLC 4.15% Due 06/01/2025
 
Corporate Bond 26,000 units
 
19,997

 
 
Deutsche Bank AG 3.7% Due 5/30/2024
 
Corporate Bond 20,000 units
 
19,920

 
 
PACCAR Financial Corporation 1.4% Due 05/18/2018
 
Corporate Bond 20,000 units
 
19,810

 
 
Energy Transfer 4.05% Due 03/15/2025
 
Corporate Bond 24,000 units
 
19,710

 
 
United States Treasury Bond Inflation Index 3.875% Due 04/15/2029
 
Index Linked Government Bond 10,000 units
 
19,655

 

33
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
PacifiCorp 3.6% Due 04/01/2024
 
Corporate Bond 19,000 units
 
19,634

 
 
Ginnie Mae 2008-091 Remic Pass-Through 6.5% Due 11/20/2038
 
Government Mortgage Backed Security 135,254 units
 
19,338

 
 
Sysco Corporation 3.75% Due 10/01/2025
 
Corporate Bond 19,000 units
 
19,261

 
 
Gilead Sciences, Inc. 3.5% Due 02/01/2025
 
Corporate Bond 19,000 units
 
19,158

 
 
Freddie Mac Series 2643 Floating Rate Due 03/15/2032
 
Government Mortgage Backed Security 10,533 units
 
19,098

 
 
Cameron International Corporation 4% Due 12/15/2023
 
Corporate Bond 19,000 units
 
19,084

 
 
The Home Depot, Inc. 2.625% Due 06/01/2022
 
Corporate Bond 19,000 units
 
18,980

 
 
Roper Technologies, Inc. 3% Due 12/15/2020
 
Corporate Bond 19,000 units
 
18,921

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3171 Principal Only Due 06/15/2036
 
Government Mortgage Backed Security 20,278 units
 
18,812

 
 
Cisco Systems, Inc. 2.9% Due 03/04/2021
 
Corporate Bond 18,000 units
 
18,503

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2611 Floating Rate Due 05/15/2033
 
Government Mortgage Backed Security 14,959 units
 
18,449

 
 
Time Warner Companies 7.57% Due 02/01/2024
 
Corporate Bond 15,000 units
 
18,342

 
 
Federal Home Loan Mortgage Corporation Pool #G13390 6% Due 01/01/2024
 
Government Mortgage Backed Security 16,750 units
 
18,315

 
 
Walgreens Boots Alliance, Inc. 4.5% Due 11/18/2034
 
Corporate Bond 20,000 units
 
18,264

 
 
Fannie Mae Preassign 00869 Variable Rate Due 12/25/2032
 
Government Mortgage Backed Security 13,426 units
 
18,176

 
 
Becton Dickinson & Company 3.734% Due 12/15/2024
 
Corporate Bond 18,000 units
 
18,153

 
 
Mead Johnson Company 3% Due 11/15/2020
 
Corporate Bond 18,000 units
 
17,995

 
 
Fannie Mae Floating Rate Series 2007-88 Due 09/25/2037
 
Government Mortgage Backed Security 92,993 units
 
17,977

 
 
Ensco plc 5.2% Due 03/15/2025
 
Corporate Bond 24,000 units
 
17,080

 
 
Johnson Controls, Inc. 4.95% Due 07/02/2064
 
Corporate Bond 21,000 units
 
17,057

 
 
Shell International Finance BV 3.4% Due 08/12/2023
 
Corporate Bond 17,000 units
 
16,902

 
 
Ace Ina Holdings Inc. 2.875% Due 11/03/2022
 
Corporate Bond 17,000 units
 
16,871

 
 
Ryder System, Inc. 2.875% Due 09/01/2020
 
Corporate Bond 17,000 units
 
16,794

 
 
Prime Mortgage Trust 2004-2 Pass-Through 4.75% Due 11/25/2019
 
Collateralized Mortgage Obligation 16,651 units
 
16,747

 
 
Indymac Mortgage Backed Securities, Inc. 4.75% Due 02/25/2019
 
Asset Backed Security 16,122 units
 
16,412

 
 
Enterprise Products Operating LLC 3.7% Due 02/15/2026
 
Corporate Bond 18,000 units
 
16,146

 
 
Ensco plc 4.7% Due 03/15/2021
 
Corporate Bond 20,000 units
 
16,104

 
 
Ginnie Mae 2006-023 Remic Floating Rate Due 01/20/2036
 
Government Mortgage Backed Security 194,584 units
 
16,090

 
 
Bunge Limited Finance Corporation 3.5% Due 11/24/2020
 
Corporate Bond 16,000 units
 
15,911

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3593 Floating Rate Due 11/15/2024
 
Government Mortgage Backed Security 139,526 units
 
15,887

 
 
Fannie Mae Pool #889745 5.5% Due 06/1/2036
 
Government Mortgage Backed Security 14,097 units
 
15,871

 
 
Mead Johnson Company 4.6% Due 06/01/2044
 
Corporate Bond 17,000 units
 
15,737

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3747 4.5% Due 07/15/2037
 
Government Mortgage Backed Security 225,814 units
 
15,610

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2650 Principal Only Due 12/15/2032
 
Government Mortgage Backed Security 15,959 units
 
15,524

 
 
Federal Home Loan Mortgage Corporation Pool #A3-980 5.5% Due 11/01/2035
 
Government Mortgage Backed Security 13,916 units
 
15,448

 
 
General Motors Financial Company, Inc. 3.1% Due 01/15/2019
 
Corporate Bond 15,000 units
 
14,978

 
 
Marsh & McLennan Companies, Inc. 2.35% 09/10/2019
 
Corporate Bond 15,000 units
 
14,965

 
 
Federal Home Loan Mortgage Corporation Multiclass Preassign 00603 5% Due 02/15/2020
 
Government Mortgage Backed Security 204,801 units
 
14,742

 
 
Burlington Northern and Santa Fe Railway Company 3.75% Due 04/01/2024
 
Corporate Bond 14,000 units
 
14,341

 
 
Banc America Mortgage Securities Inc. 2004-11 5.75% Due 12/25/2024*
 
Collateralized Mortgage Obligation 13,868 units
 
14,133

 
 
Fannie Mae Remic Trust 1997-30 8% Due 05/18/2027
 
Government Mortgage Backed Security 67,734 units
 
14,046

 
 
Federal Home Loan Mortgage Corporation Pool #M30285 5% Due 02/01/2018
 
Government Mortgage Backed Security 13,647 units
 
13,957

 
 
Noble Holding International 5.25% Due 03/15/2042
 
Corporate Bond 25,000 units
 
13,861

 

34
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
PSEG Power LLC 4.3% Due 11/15/2023
 
Corporate Bond 14,000 units
 
13,741

 
 
Fannie Mae Remic Trust 1993-G17 Variable Rate Due 04/25/2023
 
Government Mortgage Backed Security 72,090 units
 
13,535

 
 
Target Corporation 3.5% Due 07/01/2024
 
Corporate Bond 13,000 units
 
13,490

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2650 Principal Only Due 12/15/2032
 
Government Mortgage Backed Security 13,433 units
 
13,255

 
 
Federal Home Loan Mortgage Corporation Series 3306 Floating Rate Due 04/15/2037
 
Government Mortgage Backed Security 12,000 units
 
12,834

 
 
Fannie Mae Pool #745948 6.5% Due 10/01/2036
 
Government Mortgage Backed Security 11,166 units
 
12,761

 
 
Shell International Finance BV 4.55% Due 08/12/2043
 
Corporate Bond 13,000 units
 
12,636

 
 
Dominion Gas Holdings, LLC 2.8% Due 11/15/2020
 
Corporate Bond 12,000 units
 
12,039

 
 
Prudential Financial, Inc. 4.6% Due 05/15/2020*
 
Corporate Bond 12,000 units
 
11,941

 
 
Duke Realty Limited 4.375% Due 06/15/2022
 
Corporate Bond 11,000 units
 
11,335

 
 
Virginia Electric & Power Company 3.45% Due 02/15/2024
 
Corporate Bond 11,000 units
 
11,230

 
 
Gilead Sciences, Inc. 4.6% Due 09/01/2035
 
Corporate Bond 11,000 units
 
11,185

 
 
American Water Capital Corporation 3.4% Due 03/01/2025
 
Corporate Bond 11,000 units
 
11,176

 
 
Fifth Third Bancorp 2.3% Due 03/01/2019
 
Corporate Bond 11,000 units
 
11,026

 
 
Federal Home Loan Mortgage Corporation Multiclass Floating Rate Due 04/15/2037
 
Government Mortgage Backed Security 10,378 units
 
10,937

 
 
Statoil ASA 2.75% Due 11/10/2021
 
Corporate Bond 11,000 units
 
10,930

 
 
Fannie Mae Remic Trust 390 6% Due 07/25/2023
 
Government Mortgage Backed Security 122,778 units
 
10,919

 
 
Arizona Public Service Company 2.2% Due 01/15/2020
 
Corporate Bond 11,000 units
 
10,897

 
 
Chubb Corporation 5.75% Due 05/15/2018
 
Corporate Bond 10,000 units
 
10,884

 
 
Directv Holdings LLC 3.95% Due 01/15/2025
 
Corporate Bond 11,000 units
 
10,844

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2684 0% Due 01/15/2033
 
Government Mortgage Backed Security 10,679 units
 
10,586

 
 
Federal Home Loan Mortgage Corporation Series 10 Due 07/15/2019
 
Government Mortgage Backed Security 10,103 units
 
10,562

 
 
SNAAC Auto 1.03% Due 09/17/2018
 
Asset Backed Security 10,400 units
 
10,395

 
 
Zoetis, Inc. 3.45% Due 11/13/2020
 
Corporate Bond 10,000 units
 
10,012

 
 
CBS Corporation 4.9% Due 08/15/2044
 
Corporate Bond 11,000 units
 
10,009

 
 
Fannie Mae Pool #852523 5.5% Due 02/1/2036
 
Government Mortgage Backed Security 8,903 units
 
9,952

 
 
Ensco plc 5.75% Due 10/01/2044
 
Corporate Bond 15,000 units
 
9,888

 
 
Ginnie Mae 6% Due 06/20/2032
 
Government Mortgage Backed Security 9,193 units
 
9,399

 
 
Waste Management, Inc. 3.9% Due 03/01/2035
 
Corporate Bond 10,000 units
 
9,312

 
 
First Investors Auto Owner Trust 2013-1 Class A-2 2 .9% Due 10/15/2018
 
Asset Backed Security 8,831 units
 
8,823

 
 
Fannie Mae Preassign 00470 7% Due 06/25/2033
 
Government Mortgage Backed Security 34,754 units
 
8,721

 
 
Fannie Mae Preassign 00464 Due 01/25/2036
 
Government Mortgage Backed Security 9,042 units
 
8,716

 
 
AT&T Inc. 4.35% Due 06/15/2045
 
Corporate Bond 10,000 units
 
8,555

 
 
Prologis LP 3.75% Due 11/01/2025
 
Corporate Bond 8,000 units
 
7,936

 
 
CBS Corporation 4% Due 01/15/2026
 
Corporate Bond 8,000 units
 
7,801

 
 
Fannie Mae Remic Trust 2009-15 Variable Rate Due 03/25/2024
 
Government Mortgage Backed Security 93,124 units
 
7,674

 
 
Teck Resources Limited 3.75% Due 02/01/2023
 
Corporate Bond 16,000 units
 
7,400

 
 
Noble Holding International 4% Due 03/16/2018
 
Corporate Bond 8,000 units
 
7,244

 
 
J.P. Morgan Remic Series 2010-4 Variable Rate Due 08/26/2035*
 
Collateralized Mortgage Obligation 6,863 units
 
6,848

 
 
Monsanto Company 4.7% Due 07/15/2064
 
Corporate Bond 9,000 units
 
6,834

 
 
Capital One Financial Corporation 4.2% Due 10/29/2025
 
Corporate Bond 6,000 units
 
5,924

 
 
Fannie Mae Remic Series 2008-80 5.60825% Due 09/25/2038
 
Government Mortgage Backed Security 44,170 units
 
5,770

 
 
Enterprise Products Company 4.95% Due 10/15/2054
 
Corporate Bond 7,000 units
 
5,476

 
 
Ginnie Mae 2009-010 Remic Pass-Through Floating Rate Due 03/16/2034
 
Government Mortgage Backed Security 99,747 units
 
5,187

 

35
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
United States dollar
 
Cash and cash equivalents 5,063 units
 
5,063

 
 
Ginnie Mae 2008-071 Remic Pass-Through Floating Rate Due 08/20/2038
 
Government Mortgage Backed Security 34,766 units
 
4,846

 
 
Fannie Mae Preassign 00506 6% Due 04/25/2017
 
Government Mortgage Backed Security 4,705 units
 
4,764

 
 
Fannie Mae Remic Trust 2008-53 Variable Rate Due 07/25/2038
 
Government Mortgage Backed Security 19,580 units
 
4,076

 
 
Federal Home Loan Mortgage Corporation Pool #M30277 5% Due 11/01/2017
 
Government Mortgage Backed Security 3,965 units
 
4,035

 
 
Fannie Mae Remic Trust 2010-43 4.5% Due 02/25/2025
 
Government Mortgage Backed Security 76,889 units
 
4,002

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3219 6% Due 04/15/2036
 
Government Mortgage Backed Security 18,959 units
 
3,762

 
 
Ginnie Mae 2003-018 Floating Rate Due 09/20/2032
 
Government Mortgage Backed Security 2,933 units
 
3,009

 
 
Bear Stearns Asset Backed Securities Trust Adjustable Rate Due 12/25/2033
 
Asset Backed Security 3,138 units
 
2,938

 
 
Fannie Mae Series 2009-18 5% Due 03/25/2024
 
Government Mortgage Backed Security 46,540 units
 
2,915

 
 
Agrium Inc. 4.125% Due 03/15/2035
 
Corporate Bond 3,000 units
 
2,552

 
 
Federal Home Loan Mortgage Corporation Multiclass Preassign 00482 6.5% Due 03/15/2033
 
Government Mortgage Backed Security 11,982 units
 
2,395

 
 
Verizon Communications Inc. 6.4% Due 09/15/2033
 
Corporate Bond 2,000 units
 
2,279

 
 
Fannie Mae Series 2008-19 5% Due 03/25/2023
 
Government Mortgage Backed Security 46,970 units
 
2,253

 
 
Fannie Mae Remic Series 2009-9 5% Due 02/25/2024
 
Government Mortgage Backed Security 28,971 units
 
2,218

 
 
Federal Home Loan Mortgage Corporation Pool #M30262 5% Due 03/1/2017
 
Government Mortgage Backed Security 2,166 units
 
2,198

 
 
Royal Bank of Scotland 4.375% Due 03/16/2016
 
Corporate Bond 2,000 units
 
2,013

 
 
Ginnie Mae 2003-112 Floating Rate Due 10/20/2032
 
Government Mortgage Backed Security 54,134 units
 
1,322

 
 
Residential Asset Mortgage Products Floating Rate Due 03/25/2033
 
Asset Backed Security 1,385 units
 
1,236

 
 
CWMBS, Inc. 4% Due 08/25/2033
 
Collateralized Mortgage Obligation 590 units
 
589

 
 
Ginnie Mae II Pool #MA2754 Series 2045 3.5% Due 04/20/2045
 
Government Mortgage Backed Security 0 units
 
—

 
Total Fixed Income Asset Class
 
 
 
 
295,499,473

 
 
 
 
 
 
 
Fixed Income Index Asset Class:
 
 
 
 
 
 
NT Collective Aggregate Bond Index Fund - Non Lending*
 
Collective trust fund 244,078 units
 
32,298,809

 
Total Fixed Income Index Asset Class
 
 
 
 
32,298,809

 
 
 
 
 
 
 
High Yield Asset Class:
 
 
 
 
 
 
Blackrock High Yield Bond Fund Class A
 
Mutual Fund 7,024,415 shares
 
50,084,082

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 9,974,543 units
 
9,974,543

 
 
Schaeffler Holding Finance BV 6.875% Due 8/15/18
 
Corporate Bond 830,000 units
 
854,876

 
 
Crown Castle International Corporation 5.25% Due 01/15/2023
 
Corporate Bond 525,000 units
 
551,906

 
 
Virgin Media Finance PLC 5.25% Due 1/15/2021
 
Corporate Bond 460,000 units
 
485,300

 
 
Smurfit KAPPA Funding PLC 7.5% Due 11/20/2025
 
Corporate Bond 415,000 units
 
478,288

 
 
Carlson Wagonlit Travel BV 6.875% Due 06/15/2019
 
Corporate Bond 445,000 units
 
456,125

 
 
Carlson Wagonlit Travel BV 7.5% Due 08/15/2019
 
Corporate Bond 455,000 units
 
448,175

 
 
Alphabet Holding Company, Inc. 7.75% Due 11/01/2017
 
Corporate Bond 458,000 units
 
446,550

 
 
Nielsen Finance LLC 5% Due 04/15/2022
 
Corporate Bond 440,000 units
 
434,500

 
 
Telecable Videotron Ltee 5% Due 07/15/2022
 
Corporate Bond 430,000 units
 
430,000

 
 
Quebecor Media Inc. 5.75% Due 01/15/2023
 
Corporate Bond 370,000 units
 
372,775

 
 
Mens Wearhouse Inc. 7% Due 07/01/2022
 
Corporate Bond 515,000 units
 
365,650

 
 
Calumet Specialty Products Partners, LP 6.5% Due 04/15/2021
 
Corporate Bond 415,000 units
 
361,050

 
 
Belden Inc. 5.5% Due 09/01/2022
 
Corporate Bond 370,000 units
 
356,125

 
 
ACI Worldwide, Inc. 6.375% Due 08/15/2020
 
Corporate Bond 345,000 units
 
355,350

 
 
Calpine Corporation 5.875% Due 01/15/2021
 
Corporate Bond 335,000 units
 
343,375

 

36
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
HCA Inc. 5.875% Due 02/15/2026
 
Corporate Bond 340,000 units
 
341,275

 
 
T-Mobile US, Inc. 6.5% Due 01/15/2026
 
Corporate Bond 335,000 units
 
338,179

 
 
Match Group Inc. 6.75% Due 12/15/2022
 
Corporate Bond 335,000 units
 
331,650

 
 
Hughes Satellite 7.625% Due 06/15/2021
 
Corporate Bond 305,000 units
 
323,300

 
 
MPH Acquisition Holdings LLC 6.625% Due 04/01/2022
 
Corporate Bond 320,000 units
 
320,800

 
 
IHS Inc. 5% Due 11/01/2022
 
Corporate Bond 315,000 units
 
318,938

 
 
Intelsat Jackson Holdings SA 7.25% Due 04/01/2019
 
Corporate Bond 345,000 units
 
316,538

 
 
Florida East Coast Holdings Corporation 6.75% Due 05/01/2019
 
Corporate Bond 335,000 units
 
306,525

 
 
NCR Corporation 5% Due 07/15/2022
 
Corporate Bond 315,000 units
 
305,550

 
 
Alliance Data System Corporation 6.375% Due 04/01/2020
 
Corporate Bond 300,000 units
 
303,000

 
 
Affinity Gaming Finance Corporation 9% Due 05/15/2018
 
Corporate Bond 300,000 units
 
301,500

 
 
Blue Cube Spinco Inc. 9.75% Due 10/15/2023
 
Corporate Bond 275,000 units
 
296,656

 
 
GenCorp Inc. 7.125% Due 03/15/2021
 
Corporate Bond 285,000 units
 
296,400

 
 
William Carter Company 5.25% Due 08/15/2021
 
Corporate Bond 275,000 units
 
282,563

 
 
T-Mobile US, Inc. 6.625% Due 04/01/2023
 
Corporate Bond 275,000 units
 
280,500

 
 
Great Lakes Dredge & Dock Corporation 7.375% Due 02/01/2019
 
Corporate Bond 300,000 units
 
279,000

 
 
Avis Budget Car Rent LLC 5.5% Due 04/01/2023
 
Corporate Bond 275,000 units
 
275,688

 
 
Detour Gold Corporation 5.5% Due 11/30/2017
 
Corporate Convertible Bond 285,000 units
 
275,381

 
 
Mattamy Group Corporation 6.5% Due 11/15/2020
 
Corporate Bond 285,000 units
 
270,750

 
 
Wise Metals Group LLC 8.75% Due 12/15/18
 
Corporate Bond 355,000 units
 
268,913

 
 
Schaeffler Holding Finance BV 6.75% Due 11/15/2022
 
Corporate Bond 250,000 units
 
268,750

 
 
Brookfield Resdential Propertys Inc. 6.5% Due 12/15/2020
 
Corporate Bond 265,000 units
 
255,394

 
 
Boise Cascade Company 6.375% Due 11/01/2020
 
Corporate Bond 245,000 units
 
252,350

 
 
Hanger, Inc. 7.125% Due 11/15/2018
 
Corporate Bond 275,000 units
 
251,625

 
 
C&S Group Enterprises LLC 5.375% Due 7/15/2022
 
Corporate Bond 275,000 units
 
247,500

 
 
American Capital, Ltd. 6.5% Due 09/15/2018
 
Corporate Bond 240,000 units
 
247,200

 
 
Radio System Corporation 8.375% Due 11/01/2019
 
Corporate Bond 235,000 units
 
243,813

 
 
RRI Energy, Inc. 7.875% Due 06/15/2017
 
Corporate Bond 280,000 units
 
243,600

 
 
Oasis Petroleum Inc. 7.25% Due 02/01/2019
 
Corporate Bond 330,000 units
 
236,775

 
 
New Enterprise Stone & Lime Company, Inc. 13% Due 03/15/2018
 
Corporate Bond 229,674 units
 
234,267

 
 
Allied Specialty 8.5% Due 11/01/2019
 
Corporate Bond 230,000 units
 
233,450

 
 
BlueScope Steel Limited 7.125% Due 05/01/2018
 
Corporate Bond 240,000 units
 
230,400

 
 
Limited Brands, Inc. 6.625% Due 04/01/2021
 
Corporate Bond 205,000 units
 
227,038

 
 
AuRico Gold Inc. 7.75% Due 04/01/2020
 
Corporate Bond 250,000 units
 
225,625

 
 
NAI Entertainment Holding LLC 5% Due 08/01/2018
 
Corporate Bond 215,000 units
 
218,225

 
 
Sprint Corporation 7.125% Due 06/15/2024
 
Corporate Bond 300,000 units
 
216,375

 
 
Forum Energy Technologies, Inc. 6.25% Due 10/01/2021
 
Corporate Bond 260,000 units
 
215,800

 
 
Cogent Comunications Group Inc. 5.625% Due 04/15/2021
 
Corporate Bond 225,000 units
 
209,250

 
 
Halcón Resources Corporation 8.625% Due 02/01/2020
 
Corporate Bond 300,000 units
 
207,000

 
 
Targa Resources Partners LP 6.625% Due 10/01/2020
 
Corporate Bond 225,000 units
 
203,063

 
 
Rialto Holdings LLC 7% Due 12/01/2018
 
Corporate Bond 200,000 units
 
203,000

 
 
CCO Holdings LLC 5.25% Due 09/30/2022
 
Corporate Bond 200,000 units
 
202,000

 
 
Grifols Worldwide 5.25% Due 04/01/2022
 
Corporate Bond 200,000 units
 
201,000

 
 
Valeant Pharmaceuticals International, Inc. 6.125% Due 4/15/2025
 
Corporate Bond 225,000 units
 
200,813

 
 
T-Mobile US, Inc. 6.5% Due 01/15/2024
 
Corporate Bond 195,000 units
 
198,900

 
 
GenOn Escrow Corporation 9.5% Due 10/15/2018
 
Corporate Bond 245,000 units
 
197,918

 
 
Schaeffler Finance BV 4.75% Due 05/15/2023
 
Corporate Bond 200,000 units
 
196,000

 
 
CBRE Services, Inc. 5% Due 03/15/2023
 
Corporate Bond 195,000 units
 
195,992

 
 
Numericable Group SA 6% Due 05/15/2022
 
Corporate Bond 200,000 units
 
194,000

 
 
General Cable Corporation 5.75% Due 10/01/2022
 
Corporate Bond 250,000 units
 
192,500

 
 
WPX Energy, Inc. 6% Due 01/15/2022
 
Corporate Bond 275,000 units
 
192,500

 
 
ConvaTec Healthcare E SA 10.5% Due 12/15/2018
 
Corporate Bond 190,000 units
 
191,740

 
 
PetroQuest Energy, Inc. 10% Due 09/01/2017
 
Corporate Bond 285,000 units
 
190,950

 
 
Sprint Nextel Corporation 7% Due 03/01/2020
 
Corporate Bond 190,000 units
 
190,475

 
 
Amsted Industries Inc. 5% Due 3/15/2022
 
Corporate Bond 190,000 units
 
190,000

 
 
Ashtead Capital Inc. 5.625% Due 10/01/2024
 
Corporate Bond 185,000 units
 
187,313

 
 
American Equity Investment Life Holding Company 6.625% Due 07/15/2021
 
Corporate Bond 180,000 units
 
187,200

 
 
Wolverine World Wide, Inc. 6.125% Due 10/15/2020
 
Corporate Bond 180,000 units
 
187,200

 

37
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Hecla Mining Company 6.875% Due 05/01/2021
 
Corporate Bond 255,000 units
 
186,150

 
 
HCA Inc. 6.5% Due 02/15/2020
 
Corporate Bond 170,000 units
 
185,215

 
 
Neptune Finco Corporation 10.125% Due 01/15/2023
 
Corporate Bond 175,000 units
 
182,438

 
 
Cimpress N.V. 7% Due 04/01/2022
 
Corporate Bond 190,000 units
 
182,400

 
 
Transfield Services Limited 8.375% Due 05/15/2020
 
Corporate Bond 175,000 units
 
181,125

 
 
AAF Holdings / AAF Finance 12% Due 07/01/2019
 
Corporate Bond 190,834 units
 
180,338

 
 
Algeco Scotsman Global Finance PLC 8.5% Due 10/15/2018
 
Corporate Bond 215,000 units
 
180,063

 
 
Weekley Homes LLC 6% Due 02/01/2023
 
Corporate Bond 190,000 units
 
178,600

 
 
Drivetime Automotive Group, Inc. 8% Due 06/01/2021
 
Corporate Bond 195,000 units
 
173,550

 
 
Murphy Oil Corporation 6% Due 8/15/2023
 
Corporate Bond 165,000 units
 
173,250

 
 
Comstock Resources, Inc. 10% Due 03/15/2020
 
Corporate Bond 375,000 units
 
172,500

 
 
CTP Transportation Products LLC 8.25% Due 12/15/2019
 
Corporate Bond 165,000 units
 
172,013

 
 
HCA Inc. 5% Due 03/15/2024
 
Corporate Bond 170,000 units
 
169,575

 
 
Concho Resources Inc. 5.5% Due 10/01/2022
 
Corporate Bond 185,000 units
 
168,350

 
 
B&G Foods, Inc. 4.625% Due 06/01/2021
 
Corporate Bond 170,000 units
 
168,300

 
 
DigitalGlobe, Inc. 5.25% Due 2/01/2021
 
Corporate Bond 200,000 units
 
168,000

 
 
KeHE Distrbutors LLC 7.625% Due 08/15/2021
 
Corporate Bond 165,000 units
 
167,888

 
 
Woodside Homes Company 6.75% Due 12/15/2021
 
Corporate Bond 195,000 units
 
167,700

 
 
Zebra Technologies Corporation 7.25% Due 10/15/2022
 
Corporate Bond 160,000 units
 
167,200

 
 
Building Materials Holding Corporation 9% Due 09/15/2018
 
Corporate Bond 160,000 units
 
166,400

 
 
Hilton Worldwide Holdings Inc. 5.625% Due 10/15/2021
 
Corporate Bond 160,000 units
 
165,800

 
 
Drawbridge Special Opportunities Fund LP 5% Due 08/01/2021
 
Corporate Bond 170,000 units
 
164,900

 
 
T-Mobile US, Inc. 6.125% Due 01/15/2022
 
Corporate Bond 160,000 units
 
164,400

 
 
PDC Energy, Inc. 7.75% Due 10/15/2022
 
Corporate Bond 170,000 units
 
163,200

 
 
CBRE Services, Inc. 5.25% Due 03/15/2025
 
Corporate Bond 160,000 units
 
162,068

 
 
Land O'Lakes, Inc. 6% Due 11/15/2022
 
Corporate Bond 155,000 units
 
161,975

 
 
CONSOL Energy Inc. 5.875% Due 04/15/2022
 
Corporate Bond 260,000 units
 
161,200

 
 
Asbury Automotive Group Inc. 6% Due 12/15/2024
 
Corporate Bond 155,000 units
 
160,038

 
 
Headwaters Inc. 7.25% Due 01/15/2019
 
Corporate Bond 155,000 units
 
158,488

 
 
Amerigas Partners, LP 6.25% Due 08/20/2019
 
Corporate Bond 165,000 units
 
158,400

 
 
Equinix, Inc. 5.375% Due 04/01/2023
 
Corporate Bond 155,000 units
 
158,100

 
 
JLL/Delta Dutch Newco BV 7.5% Due 02/01/2025
 
Corporate Bond 160,000 units
 
156,000

 
 
Stone Energy Corporation 7.5% Due 11/15/2022
 
Corporate Bond 470,000 units
 
155,100

 
 
Cantor Commercial Real Estate Company, LP 7.75% Due 02/15/18
 
Corporate Bond 150,000 units
 
153,750

 
 
EnPro Industries, Inc. 5.875% Due 09/15/2022
 
Corporate Bond 155,000 units
 
153,450

 
 
MPLX LP 4.875% Due 06/01/2025
 
Corporate Bond 170,000 units
 
152,150

 
 
Outerwall Inc. 5.875% Due 06/15/2021
 
Corporate Bond 185,000 units
 
151,700

 
 
Century Communities, Inc. 6.875% Due 05/15/2022
 
Corporate Bond 165,000 units
 
151,388

 
 
Churchill Downs Inc. 5.375% Due 12/15/2021
 
Corporate Bond 150,000 units
 
150,375

 
 
Brunswick Corporation 4.625% Due 05/15/2021
 
Corporate Bond 150,000 units
 
149,625

 
 
AEP Industries Inc. 8.25% Due 04/15/2019
 
Corporate Bond 145,000 units
 
148,988

 
 
Compass Investors Inc. 7.75% Due 01/15/2021
 
Corporate Bond 155,000 units
 
148,800

 
 
WESCO Distribution, Inc. 5.375% Due 12/15/2021
 
Corporate Bond 155,000 units
 
148,800

 
 
Ashton Woods USA LLC 6.875% Due 2/15/21
 
Corporate Bond 175,000 units
 
148,750

 
 
Sprint Nextel Corporation 9% Due 11/15/2018
 
Corporate Bond 140,000 units
 
147,350

 
 
THC Escrow Corporation 6% Due 10/01/2020
 
Corporate Bond 140,000 units
 
147,350

 
 
KLX, Inc. 5.875% Due 12/1/2022
 
Corporate Bond 155,000 units
 
147,250

 
 
New Gold Inc. 6.25% Due 11/15/2022
 
Corporate Bond 185,000 units
 
147,075

 
 
Rivers Pittsburg Borrower LP 9.5% Due 06/15/2019
 
Corporate Bond 142,000 units
 
146,970

 
 
Allegion US Holdings Company Inc. 5.75% Due 10/01/2021
 
Corporate Bond 145,000 units
 
146,813

 
 
T-Mobile US, Inc. 6.375% Due 03/01/2025
 
Corporate Bond 145,000 units
 
146,450

 
 
Family Tree Escrow, LLC 5.75% Due 03/01/2023
 
Corporate Bond 140,000 units
 
144,900

 
 
Genesis Energy, LP 6.75% Due 08/01/2022
 
Corporate Bond 170,000 units
 
144,500

 
 
KEMET Corporation 10.5% Due 05/01/2018
 
Corporate Bond 170,000 units
 
144,500

 
 
Frontier Communications Corporation 10.5% Due 09/15/2022
 
Corporate Bond 145,000 units
 
144,456

 
 
Equinix Inc. 5.875% Due 01/15/2026
 
Corporate Bond 140,000 units
 
144,200

 
 
Micron Technology, Inc. 5.5% Due 02/01/2025
 
Corporate Bond 165,000 units
 
143,550

 
 
CFG Holdings Limited 11.5% Due 11/15/2019
 
Corporate Bond 150,000 units
 
143,250

 

38
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
ZF North America Capital Inc. 4.75% Due 04/29/2025
 
Corporate Bond 150,000 units
 
142,875

 
 
Fidelity & Guaranty Life Holdings, Inc. 6.375% Due 04/01/2021
 
Corporate Bond 140,000 units
 
142,800

 
 
Ca Res Corporation 5% Due 01/15/2020
 
Corporate Bond 400,000 units
 
142,500

 
 
First Cash Financial 6.75% Due 01/22/2021
 
Corporate Bond 145,000 units
 
142,100

 
 
Plains Exploration & Production Company 6.875% Due 02/15/2023
 
Corporate Bond 225,000 units
 
141,750

 
 
Anixter International Inc. 5.625% Due 05/01/2019
 
Corporate Bond 135,000 units
 
140,400

 
 
Cablevision Systems Corporation 7.75% Due 04/15/2018
 
Corporate Bond 135,000 units
 
140,400

 
 
Oshkosh Corporation 5.375% Due 03/01/2022
 
Corporate Bond 140,000 units
 
140,000

 
 
AV Homes, Inc. 8.5% Due 07/01/2019
 
Corporate Bond 140,000 units
 
138,950

 
 
CBS Outdoor Americas Inc. 5.25% Due 02/15/2022
 
Corporate Bond 135,000 units
 
138,038

 
 
Spirit AeroSystems, Inc. 5.25% Due 03/15/2022
 
Corporate Bond 135,000 units
 
137,784

 
 
NBTY, Inc. 9% Due 10/01/2018
 
Corporate Bond 135,000 units
 
136,673

 
 
Stone Energy Corporation 1.75% Due 03/01/2017
 
Corporate Convertible Bond 185,000 units
 
136,669

 
 
Vista Outdoor Inc. 5.875% Due 10/01/2023
 
Corporate Bond 130,000 units
 
133,250

 
 
Blue Cube Spinco Inc. 10% Due 10/15/2025
 
Corporate Bond 120,000 units
 
132,000

 
 
St Barbara Mines Limited Formerly St Barbara 8.875% Due 4/15/2018
 
Corporate Bond 135,000 units
 
131,288

 
 
HCA Inc. 5.375% Due 02/01/2025
 
Corporate Bond 130,000 units
 
128,375

 
 
Koppers Holdings, Inc. 7.875% Due 12/01/2019
 
Corporate Bond 130,000 units
 
128,375

 
 
Spectrum Brands, Inc. 6.375% Due 11/15/2020
 
Corporate Bond 120,000 units
 
127,500

 
 
Allegy 5.875% Due 08/15/2023
 
Corporate Bond 215,000 units
 
126,850

 
 
Gates Global LLC 6% Due 07/15/2022
 
Corporate Bond 175,000 units
 
126,000

 
 
TransDigm Group Inc. 5.5% Due 10/15/2020
 
Corporate Bond 130,000 units
 
125,775

 
 
Kraton Polymers LLC 6.75% Due 03/01/2019
 
Corporate Bond 125,000 units
 
125,625

 
 
Altice Us Finance I Corporation 5.375% Due 07/15/2023
 
Corporate Bond 125,000 units
 
125,313

 
 
T-Mobile US, Inc. 6.731% Due 04/28/2022
 
Corporate Bond 120,000 units
 
125,100

 
 
Copano Energy LLC 7.125% Due 04/01/2021
 
Corporate Bond 125,000 units
 
124,748

 
 
Novelis Inc. 8.75% Due 12/15/2020
 
Corporate Bond 135,000 units
 
123,863

 
 
ATD Finance Corporation 10.25% Due 03/01/2022
 
Corporate Bond 135,000 units
 
123,525

 
 
H&E Equipment Services, Inc. 7% Due 09/01/2022
 
Corporate Bond 125,000 units
 
122,500

 
 
Spectrum Brands, Inc. 6.625% Due 11/15/2022
 
Corporate Bond 115,000 units
 
121,325

 
 
Provident Funding Associates LP 6.75% Due 06/15/2021
 
Corporate Bond 125,000 units
 
120,938

 
 
Emdeon Inc. 6% Due 02/15/2021
 
Corporate Bond 130,000 units
 
120,900

 
 
Tempur Sealy International, Inc. formerly Tempur-Pedic International, Inc. 6.875% Due 12/15/2020
 
Corporate Bond 115,000 units
 
120,463

 
 
Flexi-Van Leasing, Inc. 7.875% Due 08/15/2018
 
Corporate Bond 120,000 units
 
120,000

 
 
Team Health Inc. 7.25% Due 12/15/2023
 
Corporate Bond 115,000 units
 
119,025

 
 
HCA Inc. 5.875% Due 05/01/2023
 
Corporate Bond 115,000 units
 
117,875

 
 
Netflix, Inc. Due 02/08/2016
 
Corporate Bond 115,000 units
 
117,875

 
 
Century Intermediate Holdings 9.75% Due 02/15/2019
 
Corporate Bond 115,000 units
 
117,588

 
 
Wells Enterprises, Inc. 6.75% Due 02/01/2020
 
Corporate Bond 114,000 units
 
117,420

 
 
Lamar Media Corporation 5% Due 02/01/2022
 
Corporate Bond 115,000 units
 
116,438

 
 
Lamar Media Corporation 5.875% Due 02/01/2022
 
Corporate Bond 110,000 units
 
115,500

 
 
E-Trade Financial Corporation 5.375% Due 11/15/2022
 
Corporate Bond 110,000 units
 
115,225

 
 
Molina Healthcare Inc. 5.375% Due 11/15/2022
 
Corporate Bond 115,000 units
 
115,000

 
 
Schaeffler Holding Finance BV 6.25% Due 11/15/2019
 
Corporate Bond 110,000 units
 
114,950

 
 
Halyard Health, Inc. 6.25% Due 10/15/2022
 
Corporate Bond 115,000 units
 
114,425

 
 
Ladder Capital Finance LLC 5.875% Due 08/01/2021
 
Corporate Bond 125,000 units
 
113,750

 
 
CCO Holdings LLC 5.125% Due 02/15/2023
 
Corporate Bond 110,000 units
 
113,025

 
 
Activision Blizzard, Inc. 6.125% Due 09/15/2023
 
Corporate Bond 105,000 units
 
111,300

 
 
AerCap Ireland Capital 5% Due 10/01/2021
 
Corporate Bond 105,000 units
 
108,150

 
 
MSCI, Inc. 5.75% Due 08/15/2025
 
Corporate Bond 105,000 units
 
107,625

 
 
Gibraltar Industries, Inc. 6.25% Due 02/01/2021
 
Corporate Bond 105,000 units
 
106,838

 
 
Targa Resources Due 01/21/2016
 
Corporate Bond 115,000 units
 
106,375

 
 
Summit Midstream Partners, LP 7.5% Due 07/01/2021
 
Corporate Bond 125,000 units
 
106,250

 
 
Eagle Spinco Inc. 4.625% Due 02/15/2021
 
Corporate Bond 115,000 units
 
105,800

 

39
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
VeriSign, Inc. 5.25% Due 04/01/2025
 
Corporate Bond 105,000 units
 
105,525

 
 
Cogeco Cable, Inc. 4.875% Due 05/01/2020
 
Corporate Bond 105,000 units
 
104,738

 
 
VPI Escrow Corporation 7.5% Due 07/15/2021
 
Corporate Bond 105,000 units
 
104,738

 
 
Summit Materials, LLC 6.125% Due 07/15/2023
 
Corporate Bond 105,000 units
 
103,425

 
 
Sabra Health Care Limited Partnership 5.5% Due 02/01/2021
 
Corporate Bond 100,000 units
 
103,250

 
 
WPX Energy Inc. 5.25% Due 01/15/2017
 
Corporate Bond 110,000 units
 
102,850

 
 
The Geo Group Inc. 6.625% Due 2/15/2021
 
Corporate Bond 100,000 units
 
102,500

 
 
Tenet Healthcare Corporation 6.75% Due 06/15/2023
 
Corporate Bond 110,000 units
 
102,025

 
 
Florida East Coast Holdings Corporation 9.75% Due 05/01/2020
 
Corporate Bond 150,000 units
 
102,000

 
 
The Howard Hughes Corporation 6.875% Due 10/01/2021
 
Corporate Bond 100,000 units
 
102,000

 
 
Orbital ATK Inc. 5.5% Due 10/01/2023
 
Corporate Bond 100,000 units
 
101,500

 
 
CenturyLink, Inc. 5.625% Due 04/01/2025
 
Corporate Bond 120,000 units
 
101,400

 
 
Exide Technologies 0% Due 12/31/2049
 
Corporate Convertible Bond 148,866 units
 
101,229

 
 
HealthSouth Corporation 5.75% Due 11/01/2024
 
Corporate Bond 105,000 units
 
100,144

 
 
CCO Holdings LLC / CCO Holdings Capital Corporation 5.125% Due 05/01/2023
 
Corporate Bond 100,000 units
 
100,000

 
 
Valeant Pharmaceuticals International, Inc. 7% 10/01/2020
 
Corporate Bond 100,000 units
 
99,750

 
 
Kaiser Aluminum Corporation 8.25% Due 06/01/2020
 
Corporate Bond 95,000 units
 
99,275

 
 
VPI Escrow Corporation 6.75% Due 08/15/2018
 
Corporate Bond 100,000 units
 
99,100

 
 
Group 1 Automotive, Inc. 5% Due 06/01/2022
 
Corporate Bond 100,000 units
 
99,000

 
 
New Gold Inc. 7% Due 04/15/2020
 
Corporate Bond 110,000 units
 
99,000

 
 
Evraz, Inc. 7.5% Due 11/15/2019
 
Corporate Bond 105,000 units
 
98,175


 
RSI Home Products, Inc. 6.5% Due 03/15/2023
 
Corporate Bond 95,000 units
 
97,850

 
 
Noble Energy, Inc. 5.625% Due 05/01/2021
 
Corporate Bond 100,000 units
 
97,819

 
 
TRAC Intermodal 11% Due 08/15/2019
 
Corporate Bond 89,000 units
 
96,565

 
 
Carrizo Oil & Gas, Inc. 7.5% Due 09/15/2020
 
Corporate Bond 110,000 units
 
96,113

 
 
CCO Holdings LLC 5.375% Due 05/01/2025
 
Corporate Bond 95,000 units
 
94,525

 
 
Blueline Rental Finance Corporation 7% Due 02/01/2019
 
Corporate Bond 105,000 units
 
94,500

 
 
KCG Holdings Inc. 6.875% Due 03/15/2020
 
Corporate Bond 105,000 units
 
94,500

 
 
LKQ Corporation 4.75% Due 05/15/2023
 
Corporate Bond 100,000 units
 
93,750

 
 
Trinseo 6.75% Due 05/01/2022
 
Corporate Bond 95,000 units
 
93,575

 
 
Optimas OE 8.625% Due 06/01/2021
 
Corporate Bond 110,000 units
 
93,500

 
 
Enquest plc 7% Due 04/15/2022
 
Corporate Bond 265,000 units
 
92,419

 
 
Novelis Inc. 8.375% Due 12/15/2017
 
Corporate Bond 95,000 units
 
92,388

 
 
Equinix, Inc. 5.375% Due 01/01/2022
 
Corporate Bond 90,000 units
 
92,250

 
 
Nationstar Mortgage LLC 7.875% Due 10/01/2020
 
Corporate Bond 95,000 units
 
90,915

 
 
Energizer Holdings Inc.4.7% Due 05/19/2021
 
Corporate Bond 90,000 units
 
90,811

 
 
Quintiles 4.875% Due 05/15/2023
 
Corporate Bond 90,000 units
 
90,450

 
 
Frontier 6.25% Due 09/15/2021
 
Corporate Bond 105,000 units
 
88,988

 
 
Endo Limited / Endo 6% Due 02/01/2025
 
Corporate Bond 90,000 units
 
88,650

 
 
Summit Materials, LLC 6.125% Due 07/15/2023
 
Corporate Bond 90,000 units
 
88,650

 
 
1st Quantum 7.25% Due 10/15/2019
 
Corporate Bond 135,000 units
 
87,750

 
 
Forestar USA Real Estate Group, Inc. 8.5% Due 06/01/2022
 
Corporate Bond 90,000 units
 
87,750

 
 
National Financial Partners Corporation 9% Due 07/15/2021
 
Corporate Bond 95,000 units
 
86,925

 
 
Penske Automotive Group, Inc. 5.375% Due 12/01/2024
 
Corporate Bond 85,000 units
 
85,850

 
 
OneMain Financial Holdings, Inc. 7.5% Due 12/15/2021
 
Corporate Bond 85,000 units
 
85,213

 
 
Cash America International, Inc. 5.75% Due 05/15/2018
 
Corporate Bond 85,000 units
 
85,106

 
 
Ingles Markets, Inc. 5.75% Due 06/15/2023
 
Corporate Bond 85,000 units
 
84,788

 
 
ExamWorks Group, Inc. 5.625% Due 04/15/2023
 
Corporate Bond 85,000 units
 
84,575

 
 
SM Energy Company 6.5% Due 01/01/2023
 
Corporate Bond 115,000 units
 
84,525

 
 
Centene Corporation 5.75% Due 06/01/2017
 
Corporate Bond 80,000 units
 
82,400

 
 
Beacon Roofing Supply Inc. 6.375% Due 10/01/2023
 
Corporate Bond 80,000 units
 
81,500

 
 
Frontier Communications Corporation 8.875% Due 09/15/2020
 
Corporate Bond 80,000 units
 
81,000

 
 
Hiland Partners LP 7.25% Due 10/01/2020
 
Corporate Bond 80,000 units
 
80,800

 

40
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Chesapeake Midstream Partners, LP 6.125% Due 07/15/2022
 
Corporate Bond 85,000 units
 
80,407

 
 
NuStar Logistics LP 6.75% Due 02/01/2021
 
Corporate Bond 85,000 units
 
79,900

 
 
Universal Hospital Services, Inc. 7.625% Due 08/15/2020
 
Corporate Bond 85,000 units
 
79,794

 
 
TransDigm Group Inc. 6.5% Due 07/15/2024
 
Corporate Bond 80,000 units
 
79,560

 
 
Amag Pharmaceuticals, Inc. 7.875% Due 09/01/2023
 
Corporate Bond 90,000 units
 
79,200

 
 
Rex Energy Corporation 8.875% Due 12/01/2020
 
Corporate Bond 360,000 units
 
79,200

 
 
United Rentals (North America), Inc. 7.375% Due 05/15/2020
 
Corporate Bond 75,000 units
 
79,125

 
 
Concho Resources Inc. 7% Due 01/15/2021
 
Corporate Bond 80,000 units
 
78,800

 
 
Gamestop Corporation 5.5% Due 10/01/2019
 
Corporate Bond 80,000 units
 
78,800

 
 
Jones Energy Holdings, LLC / Jones Energy Finance Corporation 6.75% Due 04/01/2022
 
Corporate Bond 140,000 units
 
78,400

 
 
Briggs & Stratton Corporation 6.875% Due 12/15/2020
 
Corporate Bond 72,000 units
 
78,120

 
 
Jarden Corporation 5% Due 11/15/2023
 
Corporate Bond 75,000 units
 
76,688

 
 
James Hardie International 5.875% Due 02/15/2023
 
Corporate Bond 75,000 units
 
76,500

 
 
Cliffs Natural Resources Inc. 8.25% Due 03/31/2020
 
Corporate Bond 100,000 units
 
76,250

 
 
MSCI, Inc. 5.25% Due 11/15/2024
 
Corporate Bond 75,000 units
 
76,125

 
 
Midcontinent Fixed 6.875% Due 08/15/2023
 
Corporate Bond 75,000 units
 
75,938

 
 
Acadia Healthcare 5.625% Due 02/15/2023
 
Corporate Bond 80,000 units
 
75,600

 
 
CCOH Safari, LLC 5.75% Due 02/15/2026
 
Corporate Bond 75,000 units
 
75,188

 
 
CCO Holdings LLC/CCO Holdings Capital Corporation 144A 5.875% Due 05/01/2027
 
Corporate Bond 75,000 units
 
74,625

 
 
Credit Acceptance Corporation 7.375% Due 03/15/2023
 
Corporate Bond 75,000 units
 
74,625

 
 
MPT Operating Partnership LP 5.5% Due 05/01/2024
 
Corporate Bond 75,000 units
 
74,625

 
 
Dish DBS Corporation 5.875% Due 07/15/2022
 
Corporate Bond 80,000 units
 
74,600

 
 
NCR Corporation 6.375% Due 12/15/2023
 
Corporate Bond 75,000 units
 
73,875

 
 
Vulcan Materials Company 7.15% Due 11/30/2037
 
Corporate Bond 70,000 units
 
73,500

 
 
MetroPCS Communications,, Inc. 6.625% Due 11/15/2020
 
Corporate Bond 70,000 units
 
72,764

 
 
Endo Finance LLC 5.75% Due 01/15/2022
 
Corporate Bond 75,000 units
 
72,750

 
 
L Brands, Inc. 6.875% Due 11/01/2035
 
Corporate Bond 70,000 units
 
71,925

 
 
Hologic, Inc. 5.25% Due 07/15/2022
 
Corporate Bond 70,000 units
 
71,400

 
 
Sabra Health Care REIT, Inc. 5.375% Due 06/01/2023
 
Corporate Bond 70,000 units
 
70,525

 
 
Hughes Satellite 6.5% Due 06/15/2019
 
Corporate Bond 64,000 units
 
68,960

 
 
Weatherford International, Ltd. 5.125% Due 09/15/2020
 
Corporate Bond 85,000 units
 
68,850

 
 
Italics Merger Sub Inc. 7.125% Due 07/15/2023
 
Corporate Bond 75,000 units
 
67,875

 
 
MPLX LP 4.875% Due 12/01/2024
 
Corporate Bond 75,000 units
 
67,313

 
 
Hill-Rom Holdings, Inc. 5.75% Due 09/01/2023
 
Corporate Bond 65,000 units
 
66,300

 
 
E*TRADE Financial Corporation 4.625% Due 09/15/2023
 
Corporate Bond 65,000 units
 
66,056

 
 
HCA Holdings, Inc. 5.25% Due 04/15/2025
 
Corporate Bond 65,000 units
 
65,488

 
 
Calumet Specialty Products Partners, LP 7.625% Due 01/15/2022
 
Corporate Bond 75,000 units
 
63,750

 
 
TransDigm Group Inc. 6% Due 07/15/2022
 
Corporate Bond 65,000 units
 
63,538

 
 
Tenneco Inc. 6.875% Due 12/15/2020
 
Corporate Bond 60,000 units
 
62,100

 
 
CONSOL Energy Inc. 8% Due 04/01/2023
 
Corporate Bond 90,000 units
 
59,850

 
 
Newfield Exploration Company 5.625% Due 07/01/2024
 
Corporate Bond 70,000 units
 
59,675

 
 
Plains Exploration & Production Company 6.75% Due 02/01/2022
 
Corporate Bond 95,000 units
 
58,425

 
 
Reliant Energy Mid Atlantic Power Holdings LLC 9.681% Due 07/02/2026
 
Corporate Bond 60,000 units
 
58,200

 
 
WCI Communities, Inc. 6.875% Due 08/15/2021
 
Corporate Bond 55,000 units
 
57,784

 
 
Yum! Brands, Inc. 3.875% Due 11/01/2023
 
Corporate Bond 65,000 units
 
57,568

 
 
Ches Energy Corporation 6.5% Due 08/15/2017
 
Corporate Bond 115,000 units
 
57,500

 
 
CBS Outdoor Americas Inc. 5.625% Due 02/15/2024
 
Corporate Bond 55,000 units
 
56,513

 
 
Aircastle Limited 5.5% Due 02/15/2022
 
Corporate Bond 55,000 units
 
56,375

 
 
United Rentals North America 4.625% Due 07/15/2023
 
Corporate Bond 55,000 units
 
54,863

 
 
Energizer Holdings Inc.4.7% Due 05/24/2022
 
Corporate Bond 55,000 units
 
54,598

 
 
VRX Escrow Corporation 5.875% Due 05/15/2023
 
Corporate Bond 60,000 units
 
53,550

 
 
The Scotts Miracle-Gro Company 6% Due 10/15/2023
 
Corporate Bond 50,000 units
 
52,125

 

41
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Sanchez Energy Corporation 7.75% Due 06/15/2021
 
Corporate Bond 85,000 units
 
51,850

 
 
Netflix, Inc. 5.75% Due 03/01/2024
 
Corporate Bond 50,000 units
 
51,375

 
 
Meritor, Inc. 6.25% Due 02/15/2024
 
Corporate Bond 60,000 units
 
51,300

 
 
Goodyear Tire & Rubber Company 5.125% Due 11/15/2023
 
Corporate Bond 50,000 units
 
51,250

 
 
Netflix, Inc. Due 02/08/2016
 
Corporate Bond 50,000 units
 
51,250

 
 
AerCap Ireland Capital 4.625% Due 10/30/2020
 
Corporate Bond 50,000 units
 
51,188

 
 
Freeport-McMoran 2.3% Due 11/14/2017
 
Corporate Bond 60,000 units
 
51,150

 
 
Felcor Lodging Limited Partnership 5.625 Due 03/01/2023
 
Corporate Bond 50,000 units
 
50,750

 
 
Freeport-McMoran 2.15% Due 03/01/2017
 
Corporate Bond 55,000 units
 
50,325

 
 
MEDNAX, Inc. 5.25% Due 12/01/2023
 
Corporate Bond 50,000 units
 
50,250

 
 
Churchill Downs Inc. 5.375% Due 12/15/2021
 
Corporate Bond 50,000 units
 
50,125

 
 
First Quality Finance Company Inc. 4.625% Due 05/15/2021
 
Corporate Bond 55,000 units
 
50,050

 
 
Endo Limited / Endo Finance LLC / Endo FInco Inc. 6% Due 07/15/2023
 
Corporate Bond 50,000 units
 
49,750

 
 
Group 1 Automotive, Inc. 5.25% Due 12/15/2023
 
Corporate Bond 50,000 units
 
49,500

 
 
Antero Resources Corporation 5.125% Due 12/01/2022
 
Corporate Bond 65,000 units
 
49,400

 
 
Dish DBS Corporation 5.875% Due 11/15/2024
 
Corporate Bond 55,000 units
 
48,950

 
 
Petra Diamonds Ltd. 8.25% Due 05/31/2020
 
Corporate Bond 60,000 units
 
48,900

 
 
Amerigas Finance Corporation 6.75% Due 5/20/2020
 
Corporate Bond 50,000 units
 
48,625

 
 
CommScope Technologies Finance LLC 6% Due 06/15/2025
 
Corporate Bond 50,000 units
 
48,125

 
 
Prestige Brands, Inc. 5.375% Due 12/15/2021
 
Corporate Bond 50,000 units
 
48,000

 
 
Netflix, Inc. 5.375% Due 02/01/2021
 
Corporate Bond 45,000 units
 
47,250

 
 
Activision Blizzard, Inc. 5.625% Due 09/15/2021
 
Corporate Bond 45,000 units
 
47,138

 
 
Kindred Healthcare Inc. 8% Due 01/15/2020
 
Corporate Bond 50,000 units
 
46,750

 
 
Guitar Center, Inc. 6.5% Due 04/15/2019
 
Corporate Bond 55,000 units
 
46,200

 
 
Equinix, Inc. 5.75% Due 01/01/2025
 
Corporate Bond 45,000 units
 
46,013

 
 
RSP Permian, Inc. 6.625% Due 10/01/2022
 
Corporate Bond 50,000 units
 
46,000

 
 
Onemain Financial Holdings, Inc. 6.75% Due 12/15/2019
 
Corporate Bond 45,000 units
 
45,619

 
 
Ferrellgas Finance Corporation 6.75% Due 06/15/2023
 
Corporate Bond 55,000 units
 
44,825

 
 
WPX Energy Inc. 7.5% Due 08/01/2020
 
Corporate Bond 55,000 units
 
44,550

 
 
Yum! Brands, Inc. 3.75% Due 11/01/2021
 
Corporate Bond 45,000 units
 
41,398

 
 
Asbury Automotive Group Inc. 6% Due 12/15/2024
 
Corporate Bond 40,000 units
 
41,300

 
 
Qorvo, Inc. 7% Due 12/01/2025
 
Corporate Bond 40,000 units
 
41,200

 
 
Speedy Cash International 10.75% Due 05/15/2018
 
Corporate Bond 80,000 units
 
40,800

 
 
American Builders & Contractors Supply Company Inc. 5.75% Due 12/15/2023
 
Corporate Bond 40,000 units
 
40,300

 
 
Whiting Petroleum Corporation 6.25% Due 04/01/2023
 
Corporate Bond 55,000 units
 
39,600

 
 
Cablevision Systems Corporation 5.875% Due 09/15/2022
 
Corporate Bond 45,000 units
 
38,250

 
 
Range Resources Corporation 4.875% Due 05/15/2025
 
Corporate Bond 50,000 units
 
38,000

 
 
HCA Holdings, Inc. 4.25% Due 10/15/2019
 
Corporate Bond 37,000 units
 
37,740

 
 
Sprint Corporation 7.875% Due 09/15/2023
 
Corporate Bond 50,000 units
 
37,550

 
 
TS International Inc. Floating Rate Due 06/15/2020
 
Corporate Bond 55,000 units
 
37,413

 
 
Limited Brands, Inc. 5.625% Due 02/15/2022
 
Corporate Bond 35,000 units
 
37,188

 
 
Linn Energy, LLC / Linn Energy Finance Corporation 12% Due 12/15/2020
 
Corporate Bond 74,000 units
 
37,000

 
 
Amerigas Finance Corporation 7% Due 5/20/2022
 
Corporate Bond 38,000 units
 
36,765

 
 
Prospect Holding Company 10.25% Due 10/01/2018
 
Corporate Bond 75,000 units
 
36,188

 
 
Allegion plc 5.875% Due 09/15/2023
 
Corporate Bond 35,000 units
 
35,700

 
 
Qorvo, Inc. 6.75% Due 12/01/2023
 
Corporate Bond 35,000 units
 
35,700

 
 
T-Mobile US, Inc. 6% Due 03/01/2023
 
Corporate Bond 35,000 units
 
35,438

 
 
Nationstar Mortgage LLC 6.5% Due 08/01/2018
 
Corporate Bond 35,000 units
 
34,038

 
 
VPI Escrow Corporation 6.375% Due 10/15/2020
 
Corporate Bond 35,000 units
 
33,775

 
 
Sterigenics-Nordion Holdings LLC 6.5% Due 05/15/2023
 
Corporate Bond 35,000 units
 
33,425

 
 
Comstock Resources, Inc. 7.75% Due 04/01/2019
 
Corporate Bond 220,000 units
 
33,000

 
 
Kratos Defense & Security Solutions, Inc. 7% Due 05/15/2019
 
Corporate Bond 47,000 units
 
32,019

 

42
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Modular Space Corporation 10.25% Due 01/31/2019
 
Corporate Bond 75,000 units
 
30,000

 
 
Ladder Capital Finance LLC 7.375% Due 10/01/2017
 
Corporate Bond 30,000 units
 
29,888

 
 
Ches Energy 6.625% Due 08/15/2020
 
Corporate Bond 100,000 units
 
29,000

 
 
FTS International Inc. 6.25% Due 05/01/2022
 
Corporate Bond 100,000 units
 
28,000

 
 
Oasis Petroleum Inc. 6.5% Due 11/01/2021
 
Corporate Bond 40,000 units
 
26,500

 
 
Crown Castle International Corporation 4.875% Due 04/15/2022
 
Corporate Bond 25,000 units
 
25,938

 
 
Dish DBS Corporation 4.625% Due 07/15/2017
 
Corporate Bond 25,000 units
 
25,500

 
 
Tesoro Logistics LP 5.5% Due 10/15/2019
 
Corporate Bond 25,000 units
 
24,250

 
 
Kindred Healthcare Inc. 8.75% Due 01/15/2023
 
Corporate Bond 25,000 units
 
23,000

 
 
Compressco 7.25% Due 08/15/2022
 
Corporate Bond 30,000 units
 
22,200

 
 
Comstock Resources, Inc. 9.5% Due 06/15/2020
 
Corporate Bond 125,000 units
 
21,563

 
 
United Rentals, Inc. 7.625% Due 04/15/2022
 
Corporate Bond 20,000 units
 
21,374

 
 
CNO Financial Group, Inc. 4.5% Due 05/30/2020
 
Corporate Bond 20,000 units
 
20,400

 
 
CNO Financial Group, Inc. 5.25% Due 05/30/2025
 
Corporate Bond 20,000 units
 
20,350

 
 
Rex Energy Corporation 6.25% Due 08/01/2022
 
Corporate Bond 90,000 units
 
18,000

 
 
Nielsen Company Luxembourg S.A.R.L. 5.5% Due 10/01/2021
 
Corporate Bond 15,000 units
 
15,375

 
 
Linn Energy, LLC / Linn Energy Finance Corporation 8.625% Due 04/15/2020
 
Corporate Bond 85,000 units
 
14,556

 
 
Peabody Energy Corporation 6% Due 11/15/2018
 
Corporate Bond 45,000 units
 
8,325

 
 
Peabody Energy Corporation 6.5% Due 09/15/2020
 
Corporate Bond 50,000 units
 
6,875

 
 
Vander Intermediate Holding Corporation 9.75% Due 02/01/2019
 
Corporate Bond 10,000 units
 
6,500

 
 
Exide Technologies 11% Due 04/30/2020
 
Corporate Bond 6,766 units
 
5,548

 
 
T-Mobile US, Inc. 6.464% Due 04/28/2019
 
Corporate Bond 5,000 units
 
5,149

 
 
Arch Coal. Inc. 8% Due 01/15/2019
 
Corporate Bond 75,000 units
 
2,625

 
 
Linn Energy, LLC 6.25% Due 11/01/2019
 
Corporate Bond 11,000 units
 
1,815

 
Total High Yield Asset Class
 
 
 
 
108,298,042

 
 
 
 
 
 
 
Inflation Protection Asset Class:
 
 
 
 
 
 
NT Collective Treasury Inflation-Protected Securities Index Fund - Non Lending*
 
Collective trust fund 357,519 units
 
46,895,753

 
Total Inflation Protection Asset Class
 
 
 
 
46,895,753

 
 
 
 
 
 
 
International Growth Asset Class:
 
 
 
 
 
 
MFS Institutional International Equity Fund
 
Mutual Fund 2,847,341 shares
 
58,541,342

 
 
Artisan International Fund*
 
Collective trust fund 2,896,584 units
 
57,844,777

 
 
NT Collective EAFE Index Fund - Non Lending*
 
Collective trust fund 20,100 units
 
5,156,321

 
 
Japanese Yen
 
Cash and cash equivalents 1,787 units
 
1,786

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 1,660 units
 
1,660

 
Total International Growth Asset Class
 
 
 
 
121,545,886

 
 
 
 
 
 
 
International Index Asset Class:
 
 
 
 
 
 
NT Collective All Country World Index (ACWI) Ex-US Fund - Non Lending*
 
Collective trust fund 984,730 units
 
117,419,152

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 5 units
 
5

 
Total International Index Asset Class
 
 
 
 
117,419,157

 
 
 
 
 
 
 
International Value Asset Class:
 
 
 
 
 
 
Altrinsic International Equity Fund Class C*
 
Collective trust fund 10,455,457 units
 
93,705,990

 
 
Dodge & Cox International Fund
 
Mutual Fund 2,320,338 shares
 
84,645,916

 
 
NT Collective EAFE Index Fund - Non Lending*
 
Collective trust fund 63,544 units
 
16,301,073

 
Total International Value Asset Class
 
 
 
 
194,652,979

 
 
 
 
 
 
 
Large Cap Growth Asset Class:
 
 
 
 
 
 
NT Collective Russell 1000 Growth Index Fund - Non Lending*
 
Collective trust fund 91,509 units
 
27,051,867

 
 
Visa Inc. Class A
 
Common and preferred stock 277,670 shares
 
21,533,307

 

43
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Facebook, Inc.
 
Common and preferred stock 158,230 shares
 
16,560,352

 
 
Amazon.com, Inc.
 
Common and preferred stock 21,067 shares
 
14,238,975

 
 
The Priceline Group Inc.
 
Common and preferred stock 9,827 shares
 
12,528,934

 
 
salesforce.com, inc.
 
Common and preferred stock 123,327 shares
 
9,668,837

 
 
Alphabet Inc. Class A
 
Common and preferred stock 12,394 shares
 
9,642,656

 
 
Regeneron Pharmaceuticals, Inc.
 
Common and preferred stock 17,700 shares
 
9,608,800

 
 
Nike, Inc. Class B
 
Common and preferred stock 130,938 shares
 
8,183,625

 
 
Bristol-Myers Squibb Company
 
Common and preferred stock 116,379 shares
 
8,005,712

 
 
Cerner Corporation
 
Common and preferred stock 122,000 shares
 
7,340,740

 
 
Starbucks Corporation
 
Common and preferred stock 121,415 shares
 
7,288,542

 
 
Schlumberger Limited
 
Common and preferred stock 102,450 shares
 
7,145,888

 
 
Mondelez International, Inc.
 
Common and preferred stock 155,843 shares
 
6,988,001

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 6,916,659 units
 
6,916,659

 
 
Alphabet Inc. Class A
 
Common and preferred stock 8,901 shares
 
6,754,791

 
 
Monsanto Company
 
Common and preferred stock 67,940 shares
 
6,693,449

 
 
Alexion Pharmaceuticals, Inc.
 
Common and preferred stock 34,828 shares
 
6,643,441

 
 
Apple Inc.
 
Common and preferred stock 61,600 shares
 
6,484,016

 
 
FleetCor Technologies, Inc.
 
Common and preferred stock 42,889 shares
 
6,130,125

 
 
Lowes Companies, Inc.
 
Common and preferred stock 74,530 shares
 
5,667,261

 
 
Linkedin Corporation Class A
 
Common and preferred stock 24,815 shares
 
5,585,360

 
 
Ecolab Inc.
 
Common and preferred stock 45,750 shares
 
5,232,885

 
 
Gilead Sciences, Inc.
 
Common and preferred stock 48,902 shares
 
4,948,393

 
 
Baidu, Inc.
 
Common and preferred stock 25,700 shares
 
4,858,328

 
 
Edwards Lifesciences Corporation
 
Common and preferred stock 59,602 shares
 
4,707,366

 
 
Netflix, Inc.
 
Common and preferred stock 41,117 shares
 
4,702,962

 
 
Colgate-Palmolive Company
 
Common and preferred stock 69,880 shares
 
4,655,406

 
 
Red Hat, Inc.
 
Common and preferred stock 55,090 shares
 
4,562,003

 
 
Automatic Data Processing, Inc.
 
Common and preferred stock 53,770 shares
 
4,555,394

 
 
Alibaba Group Holding Limited
 
Common and preferred stock 54,500 shares
 
4,429,215

 
 
ARM Holdings plc
 
Common and preferred stock 96,571 shares
 
4,368,872

 
 
Adobe Systems Inc.
 
Common and preferred stock 43,100 shares
 
4,048,814

 
 
PPG Industries, Inc.
 
Common and preferred stock 39,882 shares
 
3,941,139

 
 
Mastercard Inc. Class A
 
Common and preferred stock 40,373 shares
 
3,930,715

 
 
State Street Corporation*
 
Common and preferred stock 58,720 shares
 
3,896,659

 
 
Equinix Inc.
 
Common and preferred stock 12,768 shares
 
3,861,043

 
 
Under Armour, Inc. Class A
 
Common and preferred stock 47,517 shares
 
3,830,345

 
 
Biomarin Pharmaceutical Inc.
 
Common and preferred stock 35,500 shares
 
3,718,980

 
 
Illumina, Inc.
 
Common and preferred stock 19,300 shares
 
3,704,539

 
 
Walt Disney Company
 
Common and preferred stock 34,835 shares
 
3,660,462

 
 
Splunk Inc.
 
Common and preferred stock 61,900 shares
 
3,640,339

 
 
Whole Foods Market, Inc.
 
Common and preferred stock 108,165 shares
 
3,623,528

 
 
The Charles Schwab Corporation
 
Common and preferred stock 107,500 shares
 
3,539,975

 
 
Palo Alto Networks, Inc.
 
Common and preferred stock 19,918 shares
 
3,508,357

 
 
Ulta Salon, Cosmetics & Fragrance, Inc.
 
Common and preferred stock 17,529 shares
 
3,242,865

 
 
Chipotle Mexican Grill, Inc.
 
Common and preferred stock 6,600 shares
 
3,167,010

 
 
Capital One Financial Corporation
 
Common and preferred stock 42,659 shares
 
3,079,127

 
 
SAP SE
 
Common and preferred stock 38,232 shares
 
3,024,151

 
 
Royal Carribbean Cruises Limited
 
Common and preferred stock 29,700 shares
 
3,005,937

 
 
Biogen Inc.
 
Common and preferred stock 9,600 shares
 
2,940,960

 
 
Verisk Analytics, Inc.
 
Common and preferred stock 38,060 shares
 
2,926,053

 
 
athenahealth, Inc.
 
Common and preferred stock 17,300 shares
 
2,784,781

 
 
Delta Air Lines, Inc.
 
Common and preferred stock 54,400 shares
 
2,757,536

 
 
Target Corporation
 
Common and preferred stock 37,361 shares
 
2,712,782

 
 
United Continental Holdings Company
 
Common and preferred stock 43,341 shares
 
2,483,439

 

44
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Core Laboratories N.V.
 
Common and preferred stock 22,837 shares
 
2,483,295

 
 
McKesson Corporation
 
Common and preferred stock 11,654 shares
 
2,298,518

 
 
Mobileye NV
 
Common and preferred stock 52,900 shares
 
2,236,612

 
 
L Brands, Inc.
 
Common and preferred stock 23,030 shares
 
2,206,735

 
 
Constellation Brands, Inc.
 
Common and preferred stock 15,435 shares
 
2,198,561

 
 
Incyte Corporation
 
Common and preferred stock 19,600 shares
 
2,125,620

 
 
LendingClub Corporation
 
Common and preferred stock 184,100 shares
 
2,034,305

 
 
Allergan plc
 
Common and preferred stock 6,297 shares
 
1,967,813

 
 
ServiceNow, Inc.
 
Common and preferred stock 21,980 shares
 
1,902,589

 
 
Eli Lilly & Company
 
Common and preferred stock 22,467 shares
 
1,893,069

 
 
McGraw Hill Financial, Inc.
 
Common and preferred stock 18,638 shares
 
1,837,334

 
 
Activision Blizzard Inc.
 
Common and preferred stock 45,076 shares
 
1,744,892

 
 
Lam Resh Corporation
 
Common and preferred stock 21,842 shares
 
1,734,692

 
 
NXP Semiconductors N.V.
 
Common and preferred stock 20,579 shares
 
1,733,781

 
 
FMC Technologies, Inc.
 
Common and preferred stock 58,900 shares
 
1,708,689

 
 
TJX Companies, Inc.
 
Common and preferred stock 22,200 shares
 
1,574,202

 
 
Hilton Worldwide Holdings Inc.
 
Common and preferred stock 69,532 shares
 
1,487,985

 
 
Masco Corporation
 
Common and preferred stock 50,800 shares
 
1,437,640

 
 
Intuitive Surgical, Inc.
 
Common and preferred stock 2,538 shares
 
1,386,154

 
 
Tableau Software, Inc.
 
Common and preferred stock 13,696 shares
 
1,290,437

 
 
Synchrony Financial
 
Common and preferred stock 41,591 shares
 
1,264,782

 
 
AmerisourceBergen Corporation
 
Common and preferred stock 12,107 shares
 
1,255,617

 
 
Avago Technologies Ltd. NV
 
Common and preferred stock 8,194 shares
 
1,189,359

 
 
Kansas City Southern
 
Common and preferred stock 15,649 shares
 
1,168,511

 
 
PayPal Holdings, Inc.
 
Common and preferred stock 30,600 shares
 
1,107,720

 
 
Dexcom, Inc.
 
Common and preferred stock 12,462 shares
 
1,020,638

 
 
McDonald's Corporation
 
Common and preferred stock 8,132 shares
 
960,714

 
Total Large Cap Growth Asset Class
 
 
 
 
389,961,962

 
 
 
 
 
 
Large Cap Index Asset Class:
 
 
 
 
 
 
NT Collective S&P 500 Index Fund – Non Lending*
 
Collective trust fund 109,036 units
 
732,006,762

 
Total Large Cap Index Asset Class
 
 
 
 
732,006,762

 
 
 
 
 
 
 
Large Cap Value Asset Class:
 
 
 
 
 
 
Oracle Corporation
 
Common and preferred stock 181,409 shares
 
6,626,868

 
 
Parker-Hannifin Corporation
 
Common and preferred stock 60,538 shares
 
5,870,975

 
 
National Oilwell Varco, Inc.
 
Common and preferred stock 123,420 shares
 
4,133,336

 
 
Franklin Resources, Inc.
 
Common and preferred stock 109,445 shares
 
4,029,765

 
 
Swiss Re AG
 
Common and preferred stock 39,416 shares
 
3,864,816

 
 
Wells Fargo & Company*
 
Common and preferred stock 66,000 shares
 
3,587,760

 
 
Discovery Communications, Inc. Series C
 
Common and preferred stock 140,245 shares
 
3,536,979

 
 
Anthem Inc.
 
Common and preferred stock 25,310 shares
 
3,529,226

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 3,502,128 units
 
3,502,128

 
 
Microsoft Corporation
 
Common and preferred stock 62,000 shares
 
3,439,760

 
 
Capital One Financial Corporation
 
Common and preferred stock 46,000 shares
 
3,320,280

 
 
Time Warner Cable Inc.
 
Common and preferred stock 17,800 shares
 
3,303,502

 
 
Aberdeen Asset Management
 
Common and preferred stock 757,307 shares
 
3,230,268

 
 
The Charles Schwab Corporation
 
Common and preferred stock 96,000 shares
 
3,161,280

 
 
NT Collective Russell 1000 Value Index Fund - Non Lending*
 
Collective trust fund 11,660 units
 
3,154,421

 
 
State Street Corporation*
 
Common and preferred stock 46,693 shares
 
3,098,547

 
 
Cisco Systems Inc.
 
Common and preferred stock 112,725 shares
 
3,061,047

 
 
Boeing Company
 
Common and preferred stock 20,292 shares
 
2,934,020

 
 
Mastercard Inc. Class A
 
Common and preferred stock 29,967 shares
 
2,917,587

 
 
Axis Capital Holdings Limited
 
Common and preferred stock 51,634 shares
 
2,902,863

 

45
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Bank of America Corporation*
 
Common and preferred stock 170,000 shares
 
2,861,100

 
 
Visa Inc. Class A
 
Common and preferred stock 35,729 shares
 
2,770,784

 
 
Aetna Inc.
 
Common and preferred stock 24,971 shares
 
2,699,865

 
 
Everest Re Group
 
Common and preferred stock 14,310 shares
 
2,620,018

 
 
Fossil Group, Inc.
 
Common and preferred stock 71,098 shares
 
2,599,343

 
 
Novartis AG
 
Common and preferred stock 30,000 shares
 
2,581,200

 
 
Dover Corporation
 
Common and preferred stock 40,796 shares
 
2,501,203

 
 
Schlumberger Limited
 
Common and preferred stock 34,100 shares
 
2,378,475

 
 
Comcast Corporation Class A
 
Common and preferred stock 41,000 shares
 
2,313,630

 
 
Time Warner Inc.
 
Common and preferred stock 35,000 shares
 
2,263,450

 
 
Qualcomm Inc.
 
Common and preferred stock 45,037 shares
 
2,251,174

 
 
United Technologies Corporation
 
Common and preferred stock 23,093 shares
 
2,218,545

 
 
EMC Corporation
 
Common and preferred stock 83,500 shares
 
2,144,280

 
 
Bank of New York Mellon Corporation
 
Common and preferred stock 51,000 shares
 
2,102,220

 
 
Sanofi-Aventis
 
Common and preferred stock 49,000 shares
 
2,089,850

 
 
Alphabet Inc. Class A
 
Common and preferred stock 2,709 shares
 
2,055,806

 
 
Express Scripts Holding Company
 
Common and preferred stock 23,500 shares
 
2,054,135

 
 
Hewlett Packard Enterprise Company
 
Common and preferred stock 135,000 shares
 
2,052,000

 
 
T Rowe Price Group, Inc.
 
Common and preferred stock 28,611 shares
 
2,045,400

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 1,928,608 units
 
1,928,608

 
 
MSC Industial Direct Co., Inc. Class A
 
Common and preferred stock 34,133 shares
 
1,920,664

 
 
The Goldman Sachs Group, Inc.
 
Common and preferred stock 10,550 shares
 
1,901,427

 
 
Cigna Corporation
 
Common and preferred stock 12,700 shares
 
1,858,391

 
 
Roche Holdings Ltd.
 
Common and preferred stock 52,500 shares
 
1,809,675

 
 
Time Warner Inc.
 
Common and preferred stock 27,659 shares
 
1,788,708

 
 
Wal-Mart Stores, Inc.
 
Common and preferred stock 28,500 shares
 
1,747,050

 
 
FedEx Corporation
 
Common and preferred stock 11,500 shares
 
1,713,385

 
 
Symantec Corporation
 
Common and preferred stock 81,500 shares
 
1,711,500

 
 
J.P. Morgan Chase & Company*
 
Common and preferred stock 25,500 shares
 
1,683,765

 
 
Cisco Systems, Inc.
 
Common and preferred stock 60,500 shares
 
1,642,878

 
 
UnitedHealth Group Inc.
 
Common and preferred stock 13,600 shares
 
1,599,904

 
 
HP Inc.
 
Common and preferred stock 127,500 shares
 
1,509,600

 
 
Baker Hughes Inc. 7.5% Due 11/15/2018
 
Common and preferred stock 32,000 shares
 
1,476,800

 
 
Bank of New York Mellon Corporation
 
Common and preferred stock 33,107 shares
 
1,364,671

 
 
MetLife, Inc.*
 
Common and preferred stock 27,000 shares
 
1,301,670

 
 
TE Connectivity Limited
 
Common and preferred stock 19,500 shares
 
1,259,895

 
 
Twenty-First Century Fox, Inc. Class A
 
Common and preferred stock 45,300 shares
 
1,230,348

 
 
Merck & Co., Inc.
 
Common and preferred stock 22,500 shares
 
1,188,450

 
 
American Express Company
 
Common and preferred stock 17,000 shares
 
1,182,350

 
 
Honeywell International Inc.
 
Common and preferred stock 10,909 shares
 
1,129,845

 
 
Walt Disney Company
 
Common and preferred stock 10,671 shares
 
1,121,309

 
 
Apache Corporation
 
Common and preferred stock 24,000 shares
 
1,067,280

 
 
Corning Inc.
 
Common and preferred stock 55,000 shares
 
1,005,400

 
 
Verizon Communications Inc.
 
Common and preferred stock 21,584 shares
 
997,612

 
 
NetApp, Inc.
 
Common and preferred stock 34,200 shares
 
907,326

 
 
Maxim Integrated Products, Inc.
 
Common and preferred stock 23,400 shares
 
889,200

 
 
BB&T Corporation
 
Common and preferred stock 23,500 shares
 
888,535

 
 
Alphabet Inc. Class A
 
Common and preferred stock 1,100 shares
 
855,811

 
 
Celanese Corporation
 
Common and preferred stock 12,500 shares
 
841,625

 
 
Carlisle Companies Inc.
 
Common and preferred stock 9,349 shares
 
829,163

 
 
Check Point Software Technologies Ltd.
 
Common and preferred stock 9,460 shares
 
769,855

 
 
The Priceline Group Inc.
 
Common and preferred stock 600 shares
 
764,970

 
 
Microsoft Corporation
 
Common and preferred stock 13,739 shares
 
762,240

 
 
Target Corporation
 
Common and preferred stock 10,000 shares
 
726,100

 

46
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Apple Inc.
 
Common and preferred stock 6,795 shares
 
715,242

 
 
Danaher Corporation
 
Common and preferred stock 7,550 shares
 
701,244

 
 
National Oilwell Varco, Inc.
 
Common and preferred stock 19,500 shares
 
653,055

 
 
Synopsys, Inc.
 
Common and preferred stock 14,000 shares
 
638,540

 
 
Tyco International, Ltd.
 
Common and preferred stock 20,000 shares
 
637,800

 
 
The ADT Corporation
 
Common and preferred stock 19,000 shares
 
626,620

 
 
Sprint Corporation
 
Common and preferred stock 165,092 shares
 
597,633

 
 
Anthem Inc.
 
Common and preferred stock 4,200 shares
 
585,648

 
 
Dish Network Corporation Class A
 
Common and preferred stock 10,000 shares
 
571,800

 
 
Aegon N.V.
 
Common and preferred stock 100,000 shares
 
567,000

 
 
Liberty Interactive Corporation
 
Common and preferred stock 20,500 shares
 
560,060

 
 
InterContinental Hotels Group plc
 
Common and preferred stock 14,240 shares
 
551,658

 
 
Medtronic plc
 
Common and preferred stock 7,000 shares
 
538,440

 
 
Coach, Inc.
 
Common and preferred stock 16,200 shares
 
530,226

 
 
Concho Resources Inc.
 
Common and preferred stock 5,250 shares
 
487,515

 
 
AstraZeneca plc
 
Common and preferred stock 12,800 shares
 
434,560

 
 
Twenty-First Century Fox, Inc. Class B
 
Common and preferred stock 13,200 shares
 
359,436

 
 
Weatherford International Ltd.
 
Common and preferred stock 38,500 shares
 
323,015

 
 
Harley-Davidson
 
Common and preferred stock 7,000 shares
 
317,730

 
 
Cadence Design Systems, Inc.
 
Common and preferred stock 14,000 shares
 
291,340

 
 
VMware Inc. Class A
 
Common and preferred stock 4,800 shares
 
271,536

 
 
Thermo Fisher Corporation
 
Common and preferred stock 1,700 shares
 
241,145

 
 
Juniper Networks, Inc.
 
Common and preferred stock 5,100 shares
 
140,760

 
 
News Corporation Class A
 
Common and preferred stock 8,000 shares
 
106,880

 
 
eBay Inc.
 
Common and preferred stock 3,600 shares
 
98,928

 
 
Now Inc.
 
Common and preferred stock 400 shares
 
6,328

 
Total Large Cap Value Asset Class
 
 
 
 
174,738,055

 
 
 
 
 
 
 
Participant Self-Directed Accounts
 
Various Investments
 
 
297,677,703

 
 
 
 
 
 
 
Real Estate Investment Trust (REIT) Asset Class:
 
 
 
 
 
 
Vanguard Specialized Portfolios REIT Index Fund Institutional Class
 
Mutual Fund 6,438,886 shares
 
112,616,109

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 11,910,801 units
 
11,910,801

 
Total Real Estate Investment Trust (REIT) Asset Class
 
 
 
 
124,526,910

 
 
 
 
 
 
 
Small-Mid Cap Growth Asset Class:
 
 
 
 
 
 
NT Collective Russell 2000 Growth Index Fund - Non Lending*
 
Collective trust fund 18,239 units
 
4,593,796

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 3,543,466 units
 
3,543,466

 
 
Ultimate Software Group, Inc.
 
Common and preferred stock 7,825 shares
 
1,529,866

 
 
Cornerstone OnDemand, Inc.
 
Common and preferred stock 31,991 shares
 
1,104,649

 
 
Knight Transportation, Inc.
 
Common and preferred stock 43,814 shares
 
1,061,613

 
 
ServiceNow, Inc.
 
Common and preferred stock 12,160 shares
 
1,052,570

 
 
Mobileye NV
 
Common and preferred stock 22,845 shares
 
965,887

 
 
Stamps.com Inc.
 
Common and preferred stock 8,600 shares
 
942,646

 
 
Copart, Inc.
 
Common and preferred stock 24,798 shares
 
942,572

 
 
Ulta Salon, Cosmetics & Fragrance, Inc.
 
Common and preferred stock 4,900 shares
 
906,500

 
 
Foot Locker, Inc.
 
Common and preferred stock 13,500 shares
 
878,715

 
 
O'Reilly Automotive, Inc.
 
Common and preferred stock 3,338 shares
 
845,916

 
 
Idexx Laboratories, Inc.
 
Common and preferred stock 11,200 shares
 
816,704

 
 
Proofpoint, Inc.
 
Common and preferred stock 11,972 shares
 
778,300

 
 
Waste Connections, Inc.
 
Common and preferred stock 13,626 shares
 
767,416

 
 
Cavium, Inc.
 
Common and preferred stock 11,635 shares
 
764,536

 
 
Harman International Industries, Inc.
 
Common and preferred stock 7,876 shares
 
741,998

 
 
Zendesk, Inc.
 
Common and preferred stock 27,678 shares
 
731,806

 

47
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Monro Muffler Brake, Inc.
 
Common and preferred stock 10,622 shares
 
703,389

 
 
Dexcom, Inc.
 
Common and preferred stock 8,575 shares
 
702,293

 
 
Integrated Device Technology, Inc.
 
Common and preferred stock 25,819 shares
 
680,331

 
 
ICON Public Limited Company
 
Common and preferred stock 8,729 shares
 
678,243

 
 
HDFC Bank Limited
 
Common and preferred stock 10,967 shares
 
675,567

 
 
Allegion plc
 
Common and preferred stock 10,000 shares
 
659,200

 
 
Nuance Communications, Inc.
 
Common and preferred stock 32,100 shares
 
638,469

 
 
Seattle Genetics, Inc.
 
Common and preferred stock 14,123 shares
 
633,840

 
 
Global Payments Inc.
 
Common and preferred stock 9,800 shares
 
632,198

 
 
ExamWorks Group, Inc.
 
Common and preferred stock 23,368 shares
 
621,589

 
 
Expedia, Inc.
 
Common and preferred stock 4,900 shares
 
609,070

 
 
WellCare Health Plans, Inc.
 
Common and preferred stock 7,300 shares
 
570,933

 
 
JetBlue Airways Corporation
 
Common and preferred stock 24,200 shares
 
548,130

 
 
Tractor Supply Company
 
Common and preferred stock 6,400 shares
 
547,200

 
 
Fleetmatics Group PLC
 
Common and preferred stock 10,662 shares
 
541,523

 
 
Spirit Airlines, Inc.
 
Common and preferred stock 13,392 shares
 
533,671

 
 
Hologic, Inc.
 
Common and preferred stock 13,500 shares
 
522,315

 
 
Masco Corporation
 
Common and preferred stock 18,300 shares
 
517,890

 
 
Cempra, Inc.
 
Common and preferred stock 15,854 shares
 
493,535

 
 
MakeMyTrip Limited
 
Common and preferred stock 28,623 shares
 
491,171

 
 
SBV Financial Group
 
Common and preferred stock 4,100 shares
 
487,490

 
 
Bank of Hawaii Corporation
 
Common and preferred stock 7,732 shares
 
486,343

 
 
Tempur Sealy International, Inc.
 
Common and preferred stock 6,900 shares
 
486,174

 
 
MEDNAX, Inc.
 
Common and preferred stock 6,771 shares
 
485,210

 
 
NVIDIA Corporation
 
Common and preferred stock 14,700 shares
 
484,512

 
 
AMC Networks Inc. Class A
 
Common and preferred stock 6,400 shares
 
477,952

 
 
G-III Apparel Group Limited
 
Common and preferred stock 10,609 shares
 
469,554

 
 
The Chefs' Warehouse Holdings, Inc.
 
Common and preferred stock 27,854 shares
 
464,605

 
 
Under Armour, Inc. Class A
 
Common and preferred stock 5,755 shares
 
463,911

 
 
IPG Photonics Corporation
 
Common and preferred stock 5,175 shares
 
461,403

 
 
Envestnet, Inc.
 
Common and preferred stock 15,425 shares
 
460,436

 
 
Luxoft Holding Inc.
 
Common and preferred stock 5,968 shares
 
460,312

 
 
Intra-Cellular Therapies, Inc.
 
Common and preferred stock 8,535 shares
 
459,098

 
 
Steven Madden, Ltd.
 
Common and preferred stock 15,100 shares
 
456,322

 
 
Headwaters Inc.
 
Common and preferred stock 26,834 shares
 
452,690

 
 
Eagle Bancorp, Inc.
 
Common and preferred stock 8,847 shares
 
446,508

 
 
Echo Global Logistics, Inc.
 
Common and preferred stock 21,522 shares
 
438,834

 
 
Blue Nile, Inc.
 
Common and preferred stock 11,788 shares
 
437,688

 
 
American Eagle Outfitters Inc.
 
Common and preferred stock 27,700 shares
 
429,350

 
 
HEICO Corporation Class A
 
Common and preferred stock 8,674 shares
 
426,761

 
 
Mattress Firm Holding Corporation
 
Common and preferred stock 9,424 shares
 
420,593

 
 
The Ensign Group, Inc.
 
Common and preferred stock 18,514 shares
 
418,972

 
 
E*TRADE Financial Corporation 10/01/2003
 
Common and preferred stock 14,100 shares
 
417,924

 
 
Monolithic Power Systems, Inc.
 
Common and preferred stock 6,531 shares
 
416,090

 
 
Abaxis Inc.
 
Common and preferred stock 7,436 shares
 
414,036

 
 
Allegiant Travel Company
 
Common and preferred stock 2,413 shares
 
404,974

 
 
Infinera Corporation
 
Common and preferred stock 22,100 shares
 
400,452

 
 
Newell Rubbermaid Inc.
 
Common and preferred stock 9,000 shares
 
396,720

 
 
HubSpot, Inc.
 
Common and preferred stock 6,960 shares
 
391,918

 
 
OSI Systems, Inc.
 
Common and preferred stock 4,400 shares
 
390,104

 
 
Wayfair Inc. Class A
 
Common and preferred stock 8,105 shares
 
385,960

 
 
The WhiteWave Foods Company Class A
 
Common and preferred stock 9,850 shares
 
383,264

 
 
Dycom Industries, Inc.
 
Common and preferred stock 5,200 shares
 
363,792

 
 
SPS Commerce, Inc.
 
Common and preferred stock 5,043 shares
 
354,069

 

48
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
First Solar, Inc.
 
Common and preferred stock 5,300 shares
 
349,747

 
 
Power Integrations, Inc.
 
Common and preferred stock 7,108 shares
 
345,662

 
 
U.S. Concrete, Inc.
 
Common and preferred stock 6,448 shares
 
339,552

 
 
Signature Bank of New York
 
Common and preferred stock 2,117 shares
 
324,684

 
 
Esperion Therapeutics, Inc.
 
Common and preferred stock 14,522 shares
 
323,260

 
 
Middleby Corporation
 
Common and preferred stock 2,995 shares
 
323,071

 
 
Mohawk Industries, Inc.
 
Common and preferred stock 1,700 shares
 
321,963

 
 
Vail Resorts Inc.
 
Common and preferred stock 2,500 shares
 
319,975

 
 
Vulcan Materials Company
 
Common and preferred stock 3,354 shares
 
318,529

 
 
Molina Healthcare Inc.
 
Common and preferred stock 5,252 shares
 
315,803

 
 
Rackspace Hosting, Inc.
 
Common and preferred stock 12,400 shares
 
313,968

 
 
Exlservice Holdings, Inc.
 
Common and preferred stock 6,971 shares
 
313,207

 
 
Toll Brothers Inc.
 
Common and preferred stock 9,400 shares
 
313,020

 
 
Norwegian Cruise Line Holdings Limited
 
Common and preferred stock 5,300 shares
 
310,580

 
 
PrivateBancorp, Inc.
 
Common and preferred stock 7,500 shares
 
307,650

 
 
Glacier Bancorp, Inc.
 
Common and preferred stock 11,501 shares
 
305,122

 
 
Apogee Enterprises, Inc.
 
Common and preferred stock 6,900 shares
 
300,219

 
 
CommScope Holding Company, Inc.
 
Common and preferred stock 11,500 shares
 
297,735

 
 
Proto Labs, Inc.
 
Common and preferred stock 4,544 shares
 
289,407

 
 
IDEX Corporation
 
Common and preferred stock 3,722 shares
 
285,142

 
 
Qualys, Inc.
 
Common and preferred stock 8,595 shares
 
284,409

 
 
Zumiez Inc.
 
Common and preferred stock 18,754 shares
 
283,560

 
 
Cognizant Technology Solutions Corporation Class A
 
Common and preferred stock 4,644 shares
 
278,733

 
 
Nevro Corporation
 
Common and preferred stock 4,123 shares
 
278,344

 
 
Sangamo Biosciences, Inc.
 
Common and preferred stock 30,313 shares
 
276,758

 
 
Five Below, Inc.
 
Common and preferred stock 8,331 shares
 
267,425

 
 
Silicon Laboratories Inc.
 
Common and preferred stock 5,505 shares
 
267,213

 
 
Visteon Corporation
 
Common and preferred stock 2,300 shares
 
263,350

 
 
Paylocity Corporation
 
Common and preferred stock 6,313 shares
 
255,992

 
 
Therapeutics, Inc.
 
Common and preferred stock 7,825 shares
 
253,530

 
 
FactSet Research Systems, Inc.
 
Common and preferred stock 1,522 shares
 
247,432

 
 
K2M Group Holdings, Inc.
 
Common and preferred stock 12,400 shares
 
244,776

 
 
HFF, Inc. Class A
 
Common and preferred stock 7,707 shares
 
239,456

 
 
Newfield Exploration Company
 
Common and preferred stock 7,300 shares
 
237,688

 
 
Infoblox Inc.
 
Common and preferred stock 12,871 shares
 
236,698

 
 
MSC Industial Direct Co., Inc. Class A
 
Common and preferred stock 4,198 shares
 
236,221

 
 
Stantec Inc.
 
Common and preferred stock 9,287 shares
 
230,225

 
 
Healthequity, Inc.
 
Common and preferred stock 8,719 shares
 
218,585

 
 
Adeptus Health Inc.
 
Common and preferred stock 3,969 shares
 
216,390

 
 
Intercept Inc.
 
Common and preferred stock 1,400 shares
 
209,090

 
 
Globant SA
 
Common and preferred stock 5,441 shares
 
204,092

 
 
Zoe's Kitchen, Inc.
 
Common and preferred stock 7,151 shares
 
200,085

 
 
Activision Blizzard Inc.
 
Common and preferred stock 5,100 shares
 
197,421

 
 
Cynosure Inc. Class A
 
Common and preferred stock 4,400 shares
 
196,548

 
 
Pacira Pharmaceuticals, Inc.
 
Common and preferred stock 2,500 shares
 
191,975

 
 
Fluidigm Corporation
 
Common and preferred stock 17,433 shares
 
188,451

 
 
Unvl Display Corporation
 
Common and preferred stock 3,443 shares
 
187,437

 
 
Flowers Foods, Inc.
 
Common and preferred stock 8,700 shares
 
186,963

 
 
Shutterstock, Inc.
 
Common and preferred stock 5,653 shares
 
182,818

 
 
Papa Murphy's Holdings, Inc.
 
Common and preferred stock 15,662 shares
 
176,354

 
 
Panera Bread Company Class A
 
Common and preferred stock 900 shares
 
175,302

 
 
NetSuite Inc.
 
Common and preferred stock 2,050 shares
 
173,471

 
 
Texas Capital Bancshares, Inc.
 
Common and preferred stock 3,431 shares
 
169,560

 
 
Criteo SA
 
Common and preferred stock 4,152 shares
 
164,419

 

49
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Neurocrine Biosciences, Inc.
 
Common and preferred stock 2,900 shares
 
164,053

 
 
Vantiv, Inc.
 
Common and preferred stock 3,400 shares
 
161,228

 
 
athenahealth, Inc.
 
Common and preferred stock 1,000 shares
 
160,970

 
 
Cimpress N.V.
 
Common and preferred stock 1,982 shares
 
160,819

 
 
Booz Allen Hamilton Holding Corporation Class A
 
Common and preferred stock 5,200 shares
 
160,420

 
 
Zions Bancorporation
 
Common and preferred stock 5,800 shares
 
158,340

 
 
Anacor Pharmaceuticals Inc.
 
Common and preferred stock 1,400 shares
 
158,158

 
 
RingCentral, Inc. Class A
 
Common and preferred stock 6,600 shares
 
155,628

 
 
Zayo Group Holdings Inc.
 
Common and preferred stock 5,800 shares
 
154,222

 
 
The Habit Restaurants, Inc.
 
Common and preferred stock 6,618 shares
 
152,611

 
 
Burlington Stores, Inc.
 
Common and preferred stock 3,456 shares
 
148,262

 
 
Ultragenyx Pharmaceutical Inc.
 
Common and preferred stock 1,300 shares
 
145,834

 
 
ChemoCentryx, Inc.
 
Common and preferred stock 17,253 shares
 
139,749

 
 
TubeMogul Inc.
 
Common and preferred stock 10,021 shares
 
136,286

 
 
Dril-Quip, Inc.
 
Common and preferred stock 2,165 shares
 
128,233

 
 
SS&C Technologies Holdings, Inc.
 
Common and preferred stock 1,800 shares
 
122,886

 
 
Coherus Biosciences, Inc.
 
Common and preferred stock 5,119 shares
 
117,532

 
 
Knoll, Inc.
 
Common and preferred stock 6,100 shares
 
114,680

 
 
Exact Sciences Corporation
 
Common and preferred stock 12,173 shares
 
112,357

 
 
Trupanion, Inc.
 
Common and preferred stock 11,183 shares
 
109,146

 
 
Auris Medical Holding AG
 
Common and preferred stock 19,200 shares
 
93,888

 
 
Inovio Pharmaceuticals, Inc.
 
Common and preferred stock 13,844 shares
 
93,032

 
 
Tandem Diabetes Care, Inc.
 
Common and preferred stock 7,645 shares
 
90,287

 
 
Blue Buffalo Pet Products, Inc.
 
Common and preferred stock 4,600 shares
 
86,066

 
 
Flexion Therapeutics Inc.
 
Common and preferred stock 3,227 shares
 
62,184

 
 
Tetra Tech, Inc.
 
Common and preferred stock 2,142 shares
 
55,735

 
 
Angie's List, Inc.
 
Common and preferred stock 5,567 shares
 
52,051

 
 
Chuy's Holdings, Inc.
 
Common and preferred stock 1,438 shares
 
45,067

 
 
Argos Therapeutics, Inc.
 
Common and preferred stock 16,632 shares
 
38,420

 
 
WPX Energy Inc.
 
Common and preferred stock 6,138 shares
 
35,232

 
 
EP Energy Corporation Class A
 
Common and preferred stock 6,388 shares
 
27,979

 
 
Exterran Corporation
 
Common and preferred stock 793 shares
 
12,728

 
 
Archrock, Inc.
 
Common and preferred stock 1,586 shares
 
11,927

 
Total Small-Mid Cap Growth Asset Class
 
 
 
 
67,268,611

 
 
 
 
 
 
 
Small-Mid Cap Index Asset Class:
 
 
 
 
 
 
NT Collective Extended Equity Market Index Fund - Non Lending*
 
Collective trust fund 1,801,027 units
 
251,333,261

 
Total Small-Mid Cap Index Asset Class
 
 
 
 
251,333,261

 
 
 
 
 
 
 
Small-Mid Cap Value Asset Class:
 
 
 
 
 
 
NT Collective Russell 2000 Value Index Fund - Non Lending*
 
Collective trust fund 78,056 units
 
17,033,324

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 5,252,157 units
 
5,252,157

 
 
Coherent, Inc.
 
Common and preferred stock 78,395 shares
 
5,104,290

 
 
Arris Group, Inc.
 
Common and preferred stock 152,115 shares
 
4,650,156

 
 
Teradyne, Inc.
 
Common and preferred stock 202,735 shares
 
4,190,532

 
 
Tri Pointe Homes, Inc.
 
Common and preferred stock 329,145 shares
 
4,170,267

 
 
Lattice Semiconductor Company
 
Common and preferred stock 611,925 shares
 
3,959,155

 
 
Calpine Corporation
 
Common and preferred stock 271,000 shares
 
3,921,370

 
 
Mitel Networks Corporation
 
Common and preferred stock 466,935 shares
 
3,590,730

 
 
Bio-Rad Laboratories, Inc. Class A
 
Common and preferred stock 25,695 shares
 
3,562,869

 
 
Citigroup Inc.
 
Common and preferred stock 88,060 shares
 
3,495,982

 
 
Popular, Inc.
 
Common and preferred stock 122,200 shares
 
3,463,148

 
 
Western Alliance Bancorporation
 
Common and preferred stock 93,915 shares
 
3,367,792

 
 
Treehouse Foods, Inc.
 
Common and preferred stock 42,650 shares
 
3,346,319

 

50
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Kohl's Corporation
 
Common and preferred stock 70,000 shares
 
3,334,100

 
 
Ophir Energy Company
 
Common and preferred stock 1,139,000 shares
 
3,305,492

 
 
Citizens Financial Group, Inc.
 
Common and preferred stock 123,600 shares
 
3,237,084

 
 
Brandywine Realty Trust
 
Common and preferred stock 226,525 shares
 
3,094,332

 
 
Aryzta AG
 
Common and preferred stock 117,535 shares
 
3,019,474

 
 
Great Plains Energy Inc.
 
Common and preferred stock 107,600 shares
 
2,938,556

 
 
Regions Financial Corporation
 
Common and preferred stock 300,400 shares
 
2,883,840

 
 
Cairn Energy plc
 
Common and preferred stock 610,100 shares
 
2,827,814

 
 
Corning Inc.
 
Common and preferred stock 152,900 shares
 
2,795,012

 
 
PrivateBancorp, Inc.
 
Common and preferred stock 67,905 shares
 
2,785,463

 
 
Pacwest Bancorp Company
 
Common and preferred stock 64,175 shares
 
2,765,943

 
 
Forestar Group Inc.
 
Common and preferred stock 250,850 shares
 
2,744,299

 
 
Ramco-Gershenson Properties Trust
 
Common and preferred stock 165,140 shares
 
2,742,975

 
 
Willis Group Holdings
 
Common and preferred stock 56,400 shares
 
2,739,348

 
 
Materion Corporation
 
Common and preferred stock 97,345 shares
 
2,725,660

 
 
The Geo Group, Inc.
 
Common and preferred stock 93,300 shares
 
2,697,303

 
 
White Mountains Insurance Group, Ltd.
 
Common and preferred stock 3,680 shares
 
2,674,661

 
 
EnerSys
 
Common and preferred stock 47,810 shares
 
2,674,013

 
 
Haverty Furniture Companies, Inc.
 
Common and preferred stock 122,310 shares
 
2,622,326

 
 
The Laclede Group, Inc.
 
Common and preferred stock 43,925 shares
 
2,609,584

 
 
Royal Mail plc
 
Common and preferred stock 195,200 shares
 
2,562,976

 
 
NRG Energy, Inc.
 
Common and preferred stock 209,800 shares
 
2,469,346

 
 
Taylor Morrison Home Corporation
 
Common and preferred stock 154,110 shares
 
2,465,760

 
 
Marten Transport Limited
 
Common and preferred stock 138,250 shares
 
2,447,025

 
 
La-Z-Boy, Inc.
 
Common and preferred stock 98,670 shares
 
2,409,521

 
 
Capital Bank Financial Corporation
 
Common and preferred stock 75,335 shares
 
2,409,213

 
 
Accuray Inc.
 
Common and preferred stock 355,300 shares
 
2,398,275

 
 
Axis Capital Holdings Limited
 
Common and preferred stock 42,350 shares
 
2,380,917

 
 
Goodyear Tire & Rubber Company
 
Common and preferred stock 72,200 shares
 
2,358,774

 
 
Avnet, Inc.
 
Common and preferred stock 55,000 shares
 
2,356,200

 
 
ICF International, Inc.
 
Common and preferred stock 65,577 shares
 
2,331,918

 
 
PH Glatfelter Company
 
Common and preferred stock 126,280 shares
 
2,328,603

 
 
Cobalt International Energy, Inc.
 
Common and preferred stock 425,800 shares
 
2,299,320

 
 
Fred's Inc. Class A
 
Common and preferred stock 140,240 shares
 
2,295,729

 
 
Kosmos Energy Limited
 
Common and preferred stock 440,500 shares
 
2,290,600

 
 
Orkla ASA
 
Common and preferred stock 291,863 shares
 
2,286,747

 
 
MDC Partners Inc. Class A
 
Common and preferred stock 103,500 shares
 
2,248,020

 
 
Brown & Brown Inc.
 
Common and preferred stock 69,000 shares
 
2,214,900

 
 
Hewlett Packard Enterprise Company
 
Common and preferred stock 144,500 shares
 
2,196,400

 
 
Kemper Corporation
 
Common and preferred stock 57,700 shares
 
2,149,325

 
 
Elizabeth Arden, Inc.
 
Common and preferred stock 215,850 shares
 
2,136,915

 
 
Customers Bancorp, Inc.
 
Common and preferred stock 78,300 shares
 
2,131,326

 
 
SunTrust Banks, Inc.
 
Common and preferred stock 47,700 shares
 
2,043,468

 
 
Great Lakes Dredge & Dock Corporation
 
Common and preferred stock 513,700 shares
 
2,034,252

 
 
John B. Sanfilippo & Son, Inc.
 
Common and preferred stock 37,225 shares
 
2,011,267

 
 
Exar Corporation
 
Common and preferred stock 320,100 shares
 
1,962,213

 
 
Navistar International Corporation
 
Common and preferred stock 220,700 shares
 
1,950,988

 
 
Scorpio Tankers Inc.
 
Common and preferred stock 239,900 shares
 
1,923,998

 
 
State Bank Financial Corporation
 
Common and preferred stock 90,000 shares
 
1,892,700

 
 
Libbey, Inc.
 
Common and preferred stock 88,000 shares
 
1,876,160

 
 
Verifone Systems, Inc.
 
Common and preferred stock 64,775 shares
 
1,814,996

 
 
Orbital ATK Inc.
 
Common and preferred stock 19,790 shares
 
1,768,039

 
 
Equity Commonwealth
 
Common and preferred stock 62,200 shares
 
1,724,806

 
 
Northfield Bancorp Inc.
 
Common and preferred stock 108,000 shares
 
1,719,360

 

51
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Carmike Cinemas Inc.
 
Common and preferred stock 74,900 shares
 
1,718,206

 
 
ICF International, Inc.
 
Common and preferred stock 48,230 shares
 
1,715,059

 
 
Employers Holdings, Inc.
 
Common and preferred stock 60,800 shares
 
1,659,840

 
 
Bruker Corporation
 
Common and preferred stock 67,580 shares
 
1,640,167

 
 
Investors Bancorp, Inc.
 
Common and preferred stock 131,000 shares
 
1,629,640

 
 
Bunge Limited
 
Common and preferred stock 23,700 shares
 
1,618,236

 
 
Maiden Holdings Limited
 
Common and preferred stock 108,200 shares
 
1,613,262

 
 
ON Semiconductor Corporation
 
Common and preferred stock 162,800 shares
 
1,595,440

 
 
Louisiana-Pacific Corporation
 
Common and preferred stock 88,405 shares
 
1,592,174

 
 
Bed Bath & Beyond Inc.
 
Common and preferred stock 32,900 shares
 
1,587,425

 
 
Meridian Bancorp, Inc.
 
Common and preferred stock 112,400 shares
 
1,584,840

 
 
Heritage Financial Corporation
 
Common and preferred stock 83,607 shares
 
1,575,156

 
 
Unum Group
 
Common and preferred stock 46,500 shares
 
1,547,985

 
 
Trinity Biotech plc
 
Common and preferred stock 131,600 shares
 
1,547,616

 
 
Catchmark Timber Trust, Inc.
 
Common and preferred stock 135,500 shares
 
1,532,505

 
 
Marvell Technology Group Limited
 
Common and preferred stock 173,500 shares
 
1,530,270

 
 
Albany International Corporation Class A
 
Common and preferred stock 41,517 shares
 
1,517,446

 
 
Inter Parfums, Inc.
 
Common and preferred stock 63,679 shares
 
1,516,834

 
 
Euronet Worldwide, Inc.
 
Common and preferred stock 20,940 shares
 
1,516,684

 
 
Matthews International Corporation Class A
 
Common and preferred stock 28,200 shares
 
1,507,290

 
 
PHH Corporation
 
Common and preferred stock 91,200 shares
 
1,477,440

 
 
Popular, Inc.
 
Common and preferred stock 52,100 shares
 
1,476,514

 
 
Kennedy-Wilson Holdings, Inc.
 
Common and preferred stock 61,300 shares
 
1,476,104

 
 
Barrett Bill Corporation
 
Common and preferred stock 369,100 shares
 
1,450,563

 
 
Cedar Realty Trust, Inc.
 
Common and preferred stock 204,200 shares
 
1,445,736

 
 
CNO Financial Group, Inc.
 
Common and preferred stock 75,700 shares
 
1,445,113

 
 
FreightCar America, Inc.
 
Common and preferred stock 73,200 shares
 
1,422,276

 
 
Ingram Micro Inc. Class A
 
Common and preferred stock 46,800 shares
 
1,421,784

 
 
News Corporation Class A
 
Common and preferred stock 105,900 shares
 
1,414,824

 
 
Gramercy Property Trust
 
Common and preferred stock 177,911 shares
 
1,373,474

 
 
Hess Corporation LLC
 
Common and preferred stock 28,300 shares
 
1,371,984

 
 
Central Pacific Financial Corporation
 
Common and preferred stock 61,200 shares
 
1,347,624

 
 
Landec Corporation
 
Common and preferred stock 112,400 shares
 
1,329,692

 
 
Avery Dennison Corporation
 
Common and preferred stock 20,555 shares
 
1,287,976

 
 
Discovery Communications Inc. Series A
 
Common and preferred stock 48,000 shares
 
1,280,640

 
 
CDW Corporation
 
Common and preferred stock 29,900 shares
 
1,256,996

 
 
United Community Bank Blairsville Georgia
 
Common and preferred stock 62,300 shares
 
1,214,227

 
 
Yadkin Financial Corporation
 
Common and preferred stock 47,800 shares
 
1,203,126

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 1,202,002 units
 
1,202,002

 
 
National Bank Holdings Corporation Class A
 
Common and preferred stock 55,000 shares
 
1,175,350

 
 
Fulton Financial Corporation
 
Common and preferred stock 87,200 shares
 
1,134,472

 
 
Ultratech, Inc.
 
Common and preferred stock 56,500 shares
 
1,119,830

 
 
Embraer SA
 
Common and preferred stock 37,900 shares
 
1,119,566

 
 
Colony Starwood Homes
 
Common and preferred stock 48,900 shares
 
1,107,096

 
 
Range Resources Corporation
 
Common and preferred stock 44,900 shares
 
1,104,989

 
 
Reinsurance Group of America, Inc.
 
Common and preferred stock 12,865 shares
 
1,100,601

 
 
Deltic Timber Corporation
 
Common and preferred stock 18,195 shares
 
1,071,140

 
 
Tutor Perini Corporation
 
Common and preferred stock 63,900 shares
 
1,069,686

 
 
Teradata Corporation
 
Common and preferred stock 39,800 shares
 
1,051,516

 
 
Marathon Oil Corporation
 
Common and preferred stock 83,300 shares
 
1,048,747

 
 
Seritage Growth Properties Class A
 
Common and preferred stock 25,900 shares
 
1,041,698

 
 
FBR & Co. formerly FBR Capital Markets Corporation
 
Common and preferred stock 51,786 shares
 
1,030,541

 
 
The Geo Group, Inc.
 
Common and preferred stock 35,300 shares
 
1,020,523

 
 
Symantec Corporation
 
Common and preferred stock 47,300 shares
 
993,300

 

52
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Chesapeake Utilities Corporation
 
Common and preferred stock 17,400 shares
 
987,450

 
 
Pacific Ethanol, Inc.
 
Common and preferred stock 203,100 shares
 
970,818

 
 
Pitney Bowes Inc.
 
Common and preferred stock 47,000 shares
 
970,550

 
 
Rouse Properties, Inc.
 
Common and preferred stock 65,500 shares
 
953,680

 
 
Alleghany Corporation
 
Common and preferred stock 1,950 shares
 
931,964

 
 
Ameris Bancorp
 
Common and preferred stock 26,655 shares
 
906,003

 
 
Gulfport Energy Corporation
 
Common and preferred stock 36,300 shares
 
891,891

 
 
Ciber, Inc.
 
Common and preferred stock 238,700 shares
 
837,837

 
 
FelCor Lodging Trust Inc.
 
Common and preferred stock 111,300 shares
 
812,490

 
 
Orion Marine Group, Inc.
 
Common and preferred stock 192,000 shares
 
800,640

 
 
Staples, Inc.
 
Common and preferred stock 83,800 shares
 
793,586

 
 
Portland General Electric Company
 
Common and preferred stock 21,200 shares
 
771,044

 
 
Fifth Third Bancorp
 
Common and preferred stock 38,300 shares
 
769,830

 
 
Primoris Services Corporation
 
Common and preferred stock 34,600 shares
 
762,238

 
 
Titan Machinery Inc.
 
Common and preferred stock 68,700 shares
 
750,891

 
 
QAD Inc. Class A
 
Common and preferred stock 36,000 shares
 
738,720

 
 
Fidelity National Financial, Inc.
 
Common and preferred stock 65,000 shares
 
729,950

 
 
Best Buy Co., Inc.
 
Common and preferred stock 22,700 shares
 
691,215

 
 
ARC Document Solutions Inc.
 
Common and preferred stock 156,100 shares
 
689,962

 
 
Santander Consumer USA Holdings, Inc.
 
Common and preferred stock 43,400 shares
 
687,890

 
 
Xcerra Corporation
 
Common and preferred stock 112,400 shares
 
680,020

 
 
Approach Resources Inc.
 
Common and preferred stock 364,500 shares
 
670,680

 
 
Sequential Brands Group, Inc.
 
Common and preferred stock 84,700 shares
 
669,977

 
 
Callaway Golf Company
 
Common and preferred stock 69,400 shares
 
653,748

 
 
Navigator Holdings Limited
 
Common and preferred stock 47,300 shares
 
645,645

 
 
ALLETE Inc.
 
Common and preferred stock 12,600 shares
 
640,458

 
 
Digi International Inc.
 
Common and preferred stock 56,000 shares
 
637,280

 
 
Applied Micro Circuits Corporation
 
Common and preferred stock 98,400 shares
 
626,808

 
 
KEYW Holding Corporation
 
Common and preferred stock 102,900 shares
 
619,458

 
 
Generac Holdings Inc.
 
Common and preferred stock 20,700 shares
 
616,239

 
 
KBR, Inc.
 
Common and preferred stock 36,400 shares
 
615,888

 
 
Westmoreland Coal Company
 
Common and preferred stock 104,200 shares
 
612,696

 
 
The Hanover Insurance Group, Inc.
 
Common and preferred stock 7,400 shares
 
601,916

 
 
Tetra Tech, Inc.
 
Common and preferred stock 79,300 shares
 
596,336

 
 
Engility Holdings, Inc.
 
Common and preferred stock 18,300 shares
 
594,384

 
 
Matrix Service Company
 
Common and preferred stock 28,100 shares
 
577,174

 
 
Ardmore Shipping Corporation
 
Common and preferred stock 44,900 shares
 
571,128

 
 
Office Depot, Inc.
 
Common and preferred stock 98,300 shares
 
554,412

 
 
PNM Resources, Inc.
 
Common and preferred stock 18,100 shares
 
553,317

 
 
Covanta Holding Corporation
 
Common and preferred stock 34,900 shares
 
540,601

 
 
Air Transport Services Group, Inc.
 
Common and preferred stock 53,600 shares
 
540,288

 
 
Iridium Communications Inc.
 
Common and preferred stock 63,900 shares
 
537,399

 
 
Ascena Retail Group Inc.
 
Common and preferred stock 53,700 shares
 
528,945

 
 
Carpenter Technology Corporation
 
Common and preferred stock 17,300 shares
 
523,671

 
 
Rowan Companies plc
 
Common and preferred stock 30,600 shares
 
518,670

 
 
Kearny Financial Corporation
 
Common and preferred stock 39,900 shares
 
505,533

 
 
Enstar Group Ltd.
 
Common and preferred stock 3,270 shares
 
490,631

 
 
Allison Transmission Holdings, Inc.
 
Common and preferred stock 18,700 shares
 
484,143

 
 
Super Com Limited
 
Common and preferred stock 91,300 shares
 
476,586

 
 
Cummins Inc.
 
Common and preferred stock 5,400 shares
 
475,254

 
 
XPO Logistics, Inc.
 
Common and preferred stock 17,400 shares
 
474,150

 
 
NovaGold Resources Inc.
 
Common and preferred stock 111,400 shares
 
468,994

 
 
Empire District Electronic Company
 
Common and preferred stock 16,600 shares
 
465,962

 
 
Rent-A-Center, Inc.
 
Common and preferred stock 30,900 shares
 
462,573

 

53
Schedule H, line 4i – Schedule of Assets (Held at End of Year) (continued)

Identity of Issue
 
Description of Investment
 
Current Value
 
Allegheny Technologies Inc.
 
Common and preferred stock 40,500 shares
 
455,625

 
 
Two Harbors Investment Corporation
 
Common and preferred stock 56,100 shares
 
454,410

 
 
PPL Corporation
 
Common and preferred stock 13,300 shares
 
453,929

 
 
Plantronics, Inc.
 
Common and preferred stock 9,500 shares
 
450,490

 
 
Corrections Corporation of America
 
Common and preferred stock 16,900 shares
 
447,681

 
 
Crocs, Inc.
 
Common and preferred stock 43,300 shares
 
443,392

 
 
Landauer Inc.
 
Common and preferred stock 13,100 shares
 
431,252

 
 
Zions Bancorporation
 
Common and preferred stock 15,700 shares
 
428,610

 
 
First Foundation Inc.
 
Common and preferred stock 17,900 shares
 
422,261

 
 
Werner Enterprises, Inc.
 
Common and preferred stock 17,800 shares
 
416,342

 
 
McDermott International, Inc.
 
Common and preferred stock 118,200 shares
 
395,970

 
 
THL Credit, Inc.
 
Common and preferred stock 36,900 shares
 
394,830

 
 
Stealthgas Inc.
 
Common and preferred stock 114,100 shares
 
391,363

 
 
Finisar Corporation
 
Common and preferred stock 26,200 shares
 
380,948

 
 
Mercury Systems, Inc.
 
Common and preferred stock 20,700 shares
 
380,052

 
 
Tribune Publishing Company
 
Common and preferred stock 40,600 shares
 
374,332

 
 
Lumentum Holdings Inc.
 
Common and preferred stock 16,207 shares
 
356,878

 
 
Comstock Resources, Inc.
 
Common and preferred stock 179,500 shares
 
335,665

 
 
Alere Inc. formerly Inverness Medical Innovations, Inc.
 
Common and preferred stock 7,500 shares
 
293,175

 
 
Cadiz Inc.
 
Common and preferred stock 53,500 shares
 
281,410

 
 
Scorpio Bulkers Inc.
 
Common and preferred stock 26,967 shares
 
266,700

 
 
Destination XL Group, Inc.
 
Common and preferred stock 48,000 shares
 
264,960

 
 
Computer Task Group Inc.
 
Common and preferred stock 36,400 shares
 
240,968

 
 
Hatteras Financial Corporation
 
Common and preferred stock 18,200 shares
 
239,330

 
 
Celadon Group, Inc.
 
Common and preferred stock 19,400 shares
 
191,866

 
 
Shoe Carnival, Inc.
 
Common and preferred stock 7,500 shares
 
174,000

 
 
Freshpet, Inc.
 
Common and preferred stock 15,700 shares
 
133,293

 
 
LifePoint Hospitals, Inc.
 
Common and preferred stock 1,800 shares
 
132,120

 
 
Xura, Inc.
 
Common and preferred stock 5,060 shares
 
124,375

 
 
Rand Logistics, Inc.
 
Common and preferred stock 77,240 shares
 
123,584

 
 
Fidelity and Guaranty Life
 
Common and preferred stock 4,200 shares
 
106,554

 
 
Bravo Brio Restaurant Group, Inc.
 
Common and preferred stock 2,500 shares
 
22,500

 
Total Small-Mid Cap Value Asset Class
 
 
 
 
319,737,130

 
 
 
 
 
 
 
Notes Receivable from Participants*
 
Interest Rate 4.25% - 10.7%
 
 
36,178,066

 
 
 
 
 
 
 
Other:
 
 
 
 
 
 
BIF Money Fund*
 
Cash and cash equivalents 2,727,361 units
 
2,727,361

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 212,244 units
 
212,244

 
Total Other
 
 
 
 
2,939,605

 
 
 
 
 
 
 
 
 
 
 
 
 
 
Grand Total
 
 
 
 
$
3,990,890,028

 
 
 
 
 
* Indicates party-in-interest
 
 
 
 


54

Supplemental Schedule
Amgen Retirement and Savings Plan
EIN: 95-3540776 Plan: #001
Year Ended December 31, 2015
Schedule H, line 4i – Schedule of Assets (Acquired and Disposed of Within Year)

Identity of Issue
Description of Investment
Proceeds of
Dispositions
 
 
 
 Health Care RETI Inc. 3.625% Due 03/15/2016
Corporate Bond 687,000 units
$
691,246

 Goldman Sachs 5.35% Due 01/15/2016
Corporate Bond 350,000 units
352,065

 CVS Health Corporation 5.125% Due 07/20/2045
Corporate Bond 285,000 units
312,568

 CCO Holdings LLC 6.5% Due 04/30/2021
Corporate Bond 265,000 units
277,588

 HCP Inc. 3.75% Due 02/01/2016
Corporate Bond 250,000 units
251,118

 Credit Suisse Group Fund Ltd 3.75% Due 03/26/2025
Corporate Bond 250,000 units
243,573

 Nationwide Building Society 2.35% Due 01/21/2020
Corporate Bond 200,000 units
200,650

 ZF North America Capital Inc. 4.5% Due 04/29/2022
Corporate Bond 150,000 units
148,125

 CHS / Community Health System 7.125% Due 07/15/2020
Corporate Bond 140,000 units
142,975

 Exxon Mobil Corporation 3.567% Due 03/06/2045
Corporate Bond 131,000 units
125,590

 CCO Holdings LLC 7.25% Due 10/30/2017
Corporate Bond 120,000 units
124,350

 Sprint Corporation 7.625% Due 02/15/2025
Corporate Bond 140,000 units
116,525

 FMG Resources (Aug.2006) Pty Ltd 9.75% Due 03/01/2022
Corporate Bond 120,000 units
114,838

 Avis Budget Rental Car 5.25% Due 03/15/2025
Corporate Bond 115,000 units
114,013

 Continental Resources, Inc 5% Due 09/15/2022
Corporate Bond 110,000 units
106,975

 Huntington Ingalls Industries Inc. 5% Due 11/15/2025
Corporate Bond 100,000 units
101,906

 Ball Corporation 4.375% Due 12/15/2020
Corporate Bond 100,000 units
101,250

 XPO Logistics Inc. 6.5% Due 06/15/2022
Corporate Bond 105,000 units
96,663

 Rockies Express Pipeline LLC 5.625% Due 04/15/2020
Corporate Bond 90,000 units
90,675

 Virgin Media 5.25% Due 01/15/2026
Corporate Bond 80,000 units
80,200

 Mallinckrodt International Finance S.A. 5.5% Due 04/15/2025
Corporate Bond 80,000 units
80,200

 XPO Logistics, Inc., 7.875% Due 09/01/2019
Corporate Bond 75,000 units
79,500

 Sensata Technologies 5% Due 10/01/2025
Corporate Bond 80,000 units
79,200

 Citigroup Inc. 3.375% Due 03/01/2023
Corporate Bond 77,000 units
77,952

 Wayne Merger Sub, LLC , 8.25% Due 08/01/2023
Corporate Bond 75,000 units
72,188

 GCI Inc. 6.875% Due 04/15/2025
Corporate Bond 65,000 units
66,950

 Boyd Gaming Corporation 6.875% Due 05/15/2023
Corporate Bond 60,000 units
60,600

 Continental Resources, Inc 7.125% Due 04/01/2021
Corporate Bond 55,000 units
58,094

 Centene Corporation 4.75% Due 05/15/2022
Corporate Bond 55,000 units
56,238

 United Rentals North America Inc. 5.5% Due 07/15/2025
Corporate Bond 55,000 units
56,100

 NCI Building Systems, Inc. 8.25% Due 01/15/2023
Corporate Bond 55,000 units
55,688

 Dean Foods Company 6.5% Due 03/15/2023
Corporate Bond 55,000 units
55,038

 DuPont Fabros Technology 5.625% Due 06/15/2023
Corporate Bond 55,000 units
55,000

 CCO Safari II LLC Series 144A 4.908% Due 07/23/2025
Corporate Bond 55,000 units
54,780

 Platform Specialty 6.5% Due 02/01/2022
Corporate Bond 55,000 units
48,675

 Argos Merger Sub Inc. 7.125% Due 03/15/2023
Corporate Bond 45,000 units
45,919

 Constellation Brands 4.75% Due 12/01/2025
Corporate Bond 35,000 units
35,481

 Masonite International Corporation 5.625% Due 03/15/2023
Corporate Bond 30,000 units
30,975

 CBS Corporation 3.5% Due 01/15/2025
Corporate Bond 31,000 units
30,118

 Mallinckrodt International Finance S.A. 4.875% Due 04/15/2020
Corporate Bond 25,000 units
25,594

 Central Garden & Pet Company 6.125% Due 11/15/2023
Corporate Bond 25,000 units
25,500

 Sabre GLBL Inc. 5.375% Due 04/15/2023
Corporate Bond 20,000 units
20,425

 Participant Directed Brokerage Accounts
Various Investments
40,248


55

Supplemental Schedule
Amgen Retirement and Savings Plan
EIN: 95-3540776 Plan Number: #001
December 31, 2015
Schedule G, Part 1 – Schedule of Loans or Fixed Income Obligations in Default
or Classified as Uncollectible

Identity of obligor
 
Original
amount of
loan
(cost of
security)
 
Unpaid balance
at end of year
(fair value of
security)
 
Detailed description of loan including dates of making and maturity, interest rate, the type and value of collateral, any renegotiation of the loan and the terms of the renegotiation and other
material items (description of fixed income obligation)
 
Amount of
principal
overdue
 
Amount of
interest
overdue
Kaupthing Bank
 
$
259,613

 
$
72,075

 
Corporate bonds 310,000 units 7.625% due 12/31/2040
 
$
—

 
$
165,463

Glitnir Banki HF
 
99,776

 
31,000

 
Corporate bonds 100,000 units 6.375% due 9/25/2012
 
100,000

 
44,625



56

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
 
 
 
 
 
 Amgen Retirement and Savings Plan
 (Name of Plan)
 
 
 
 
 
 
 
Date:
June 15, 2016
 
 
By:
 
/s/ DAVID W. MELINE
 
 
 
 
 
 
David W. Meline
 
 
 
 
 
 
Executive Vice President and
 
 
 
 
 
 
Chief Financial Officer
 
 
 
 
 
 
Amgen Inc.

57

AMGEN RETIREMENT AND SAVINGS PLAN
INDEX TO EXHIBIT
 
Consent of Independent Registered Public Accounting Firm
  
Exhibit 23.1

58