Wells Fargo Bank, N.A. Collective Investment Funds. annual report

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1 Wells Fargo Bank, N.A. Collective Investment Funds 2014 annual report

2 Financial Statements (With Independent Auditors Report Thereon)

3 Table of Contents Page Independent Auditors Report 1 Statement of Assets and Liabilities 3 Statement of Operations 4 Statement of Cash Flows 5 Statement of Changes in Net Assets 6 Schedule of Investments in Contracts and Other Securities 7 Notes to Financial Statements 25

4 KPMG LLP 4200 Wells Fargo Center 90 South Seventh Street Minneapolis, MN Independent Auditors Report The Board of Directors Wells Fargo Bank, N.A.: We have audited the accompanying financial statements of Wells Fargo Stable Return Fund G, which comprise the statement of assets and liabilities, including the schedule of investments in contracts and other securities, as of, and the related statements of operations, cash flows, changes in net assets, and financial highlights for the year then ended, and the related notes to the financial statements. Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements and financial highlights in accordance with U.S. generally accepted accounting principles; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements and financial highlights that are free from material misstatement, whether due to fraud or error. Auditor s Responsibility Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditors judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. KPMG LLP is a Delaware limited liability partnership, the U.S. member firm of KPMG International Cooperative ( KPMG International ), a Swiss entity.

5 Opinion In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Wells Fargo Stable Return Fund G as of, and the results of its operations, its cash flows, changes in its net assets, and its financial highlights for the year then ended in accordance with U.S. generally accepted accounting principles. Minneapolis, Minnesota April 2, 2015

6 Statement of Assets and Liabilities Assets: Investments, at fair value, as detailed in the accompanying schedule $ 4,005,622 Security-backed contracts, at fair value, as detailed in the accompanying 24,636,616 schedule (note 2) Accrued interest receivable on short-term investment fund 671 Total assets 28,642,909 Liabilities: Accrued audit fees 53 Accrued wrapper contract fees 8,220 Accrued 5500 filing fee 2 Total liabilities 8,275 Net assets reflecting investments at fair value 28,634,634 Adjustment from fair value to contract value for fully benefit-responsive contracts (381,986) Net assets, 546,660,805 units outstanding, $ unit value $ 28,252,648 See accompanying notes to financial statements. 3

7 Statement of Operations Year Ended Investment income: Interest income $ 480,934 Expenses: Audit fees 53 Wrapper contract fees 36, filing fee 2 Total expenses 36,930 Net investment income 444,004 Net increase in net assets resulting from operations $ 444,004 See accompanying notes to financial statements. 4

8 Statement of Cash Flows Year Ended Cash flows from operating activities: Net increase in net assets resulting from operations $ 444,004 Adjustments to net increase in net assets resulting from operations to net cash provided by operating activities: Changes in assets and liabilities: Accrued interest receivable on short-term investment fund 304 Accrued audit fees 1 Accrued wrapper contract fees 729 Purchase of investment contracts (200,000) Proceeds from maturities of investment contracts 335,000 Purchase of security-backed contracts (800,000) Proceeds from sale of security-backed contracts 466,926 Sale of short term investments 4,430,985 Purchase of short term investments (2,405,225) Decrease in interest receivable for investment contracts 50,186 Increase in interest receivable for security-backed contracts (431,810) Cash provided by operating activities 1,891,100 Cash flows from financing activities: Proceeds from issuance of units 6,140,051 Payments for withdrawal of units (8,031,151) Cash used in financing activities (1,891,100) Change in cash - Cash, beginning of year - Cash, end of year $ - 5

9 Statement of Changes in Net Assets Year Ended Increase/(decrease) in net assets from operations: Net investment income $ 444,004 Net change in net assets resulting from operations 444,004 Participant unit transactions: Proceeds from issuance of 119,781,433 units 6,140,051 Payments for withdrawal of 156,692,043 units (8,031,151) Net change in net assets from fund principal transactions (1,891,100) Total change in net assets (1,447,096) Net assets: Net assets at beginning of year (583,571,415 units) 29,699,744 Net assets at end of year (546,660,805 units) $ 28,252,648 See accompanying notes to financial statements. 6

10 Schedule of Investments in Contracts and Other Securities New York Life Ins. Co. Aaa/AA+ 1.10%, due 4/11/ ,787 (563) 126, %, due 6/30/ ,161 (651) 75,510 Contract issuer Moody s/ S & P Investment Adjustment rating (h) at to contract Contract Name of issuer (unaudited) fair value (a) value (a) value (a) (Percentages represent the fair value of the investment contracts category and each other securities category to net assets) Guaranteed Investment Contracts (1.47%): Metropolitan Life Ins. Co. Aa3/AA- 1.50% due 2/21/2015 $ 52,178-52, %, due 6/10/ ,272-54, % due 7/2/ ,699-53,699 Prudential Ins. Co. of America A1/AA- 1.09%, due 8/30/ ,161 (114) 50,047 Total guaranteed investment contracts $ 413,258 (1,328) 411,930 Investment Adjustment Number of at to contract Contract shares Cost fair value (a) value (a) value (a) Short-Term Investment Funds (12.72%) Wells Fargo Short Term Investment Fund S, 0.19% (b) (c) 3,592,364 $ 3,592,364 3,592,364-3,592,364 Total short-term investment funds 3,592,364 3,592,364-3,592,364 Total investments $ 4,005,622 (1,328) 4,004,294 7

11 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Security-backed Contracts (87.2%) (f): Prudential Ins. Co. of America, 2.25% (b) A1/AA- - (44,218) 2,102,333 Fixed Income Fund M, 90,178,453 units (c) $ 949,983 1,024,030 Fixed Income Fund N, 98,505,610 units (c) 1,029,000 1,122,521 Total 1,978,983 2,146,551 - (44,218) 2,102,333 State Street Bank and Trust Co., 2.31% (b) Aa3/AA- - (9,517) 498,197 Prudential Ins. Co. of America, 2.25% (b) A1/AA- - (4,606) 219,004 American General Life Ins. Co., 1.99% (b) A2/A+ - (13,690) 1,038,999 Fixed Income Fund D, 138,672,862 units (c) $ 1,544,109 1,784,013 Total 1,544,109 1,784,013 - (27,813) 1,756,200 Voya Ins. and Annuity Co., 1.85% (b) A3/A- - (3,089) 369,765 Fixed Income Fund E, 16,068,868 units (c) $ 354, ,854 Total 354, ,854 - (3,089) 369,765 Voya Ins. and Annuity Co., 1.85% (b) A3/A- - (4,791) 573,569 Pacific Life Ins. Co., 1.45% (b) A1/A+ - (4,268) 1,029,459 Prudential Ins. Co. of America, 2.25% (b) A1/AA- - (16,457) 782,455 American General Life Ins. Co., 1.99% (b) A2/A+ - (14,410) 1,093,696 Nationwide Life Ins. Co., 1.76%, (b) A1/A+ - (1,682) 285,682 Fixed Income Fund F, 281,741,545 units (c) $ 3,394,172 3,806,469 Total 3,394,172 3,806,469 - (41,608) 3,764,861 Transamerica Premier Life Ins. Co., 2.12% (b) A1/AA- 801 (15,763) 964,113 Pacific Life Ins. Co., 2.78% (b) A1/A+ - (23,620) 740,700 State Street Bank and Trust Co., 2.74% (b) Aa3/AA- - (14,073) 467,920 Prudential Ins. Co. of America, 2.25% (b) A1/AA- - (25,131) 1,194,825 American General Life Ins. Co., 1.99% (b) A2/A+ - (2,486) 188,729 Nationwide Life Ins. Co., 1.76%, (b) A1/A+ - (976) 165,902 Fixed Income Fund L, 319,616,582 units (c) $ 3,664,089 3,803,437 Total 3,664,089 3,803, (82,049) 3,722,189 New York Life Ins. Co., 2.10% (b) Aaa/AA+ - (20,787) 1,595,528 Fixed Income Fund Q, 1,551,667 units (c) $ 1,560,228 1,616,315 Total 1,560,228 1,616,315 - (20,787) 1,595,528 Prudential Ins. Co. of America, 2.25% (b) A1/AA- - (1) 49 Wells Fargo Short Term Investment Fund S, 0.19%, 13,046 units (c) $ Putnam Lovell Finance, 1.4%, $4,853 par, due 1/31/ Total (1) 49 Metropolitan Life Ins. Co., 1.87% (b) Aa3/AA- 1,143 (69,984) 4,226,124 Separate Account No. 690 (j) $ 2,099,663 2,145,383 Separate Account No. 694 (j) 1,512,212 1,596,944 Separate Account No. 695 (j) 537, ,638 Total 4,149,871 4,294,965 1,143 (69,984) 4,226,124 TIAA-CREF Life Ins. Co., 1.64% (b) Aa1/AA+ - (6,891) 763,259 TIAA CREF Life Ins. Stable Value Separate Account 2 (j) $ 765, ,150 Total 765, ,150 - (6,891) 763,259 Massachusetts Mutual Life Ins. Co., 1.77% (b) Aa2/AA+ - (11,067) 1,036,941 Separate Account No. B43 (j) $ 800, ,104 Separate Account No. B44 (j) 200, ,904 Total 1,001,284 1,048,008 - (11,067) 1,036,941 American General Life Ins. Co. 1.99% (b) A2/A+ - (22,822) 1,732,116 Transamerica Premier Life Ins. Co., 2.12% (b) A1/AA- 1,005 (19,784) 1,210,112 AbbVie Inc, 1.2%, $4,990 par, due 11/6/2015 $ 4,989 5,005 Access Group Inc , 0.67%, $7,167 par, due 2/25/2036 (b)(d) 7,143 7,081 Ally Auto Receivables Trust , 0.97%, $14,500 par, due 10/15/ ,500 14,448 Ally Auto Receivables Trust , 1.28%, $15,300 par, due 6/17/ ,297 15,269 Ally Auto Receivables Trust 2014-SN1, 0.75%, $15,000 par, due 2/21/ ,999 14,974 Ally Auto Receivables Trust 2014-SN2, 1.03%, $7,300 par, due 9/20/2017 7,299 7,283 Amal Ltd/Cayman Islands, 3.46%, $1,374 par, due 8/21/2021 1,448 1,450 American Express Centurion Bank, 5.95%, $400 par, due 6/12/ American Express Co, 1.55%, $2,500 par, due 5/22/2018 2,497 2,476 American Express Crdt Acct Mstr Trst AMXCA A 3.0-YR, 1.49%, $17,000 par, due 4/15/ ,999 17,015 American Express Credit Corp, 1.55%, $3,400 par, due 9/22/2017 3,396 3,407 American Express Credit Corp, 1.75%, $690 par, due 6/12/ American Honda Finance Corp, 1%, $1,200 par, due 8/11/2015 (d) 1,200 1,204 American Honda Finance Corp, 1.55%, $4,790 par, due 12/11/2017 4,786 4,810 American Honda Finance Corp, 2.13%, $1,900 par, due 2/28/2017 (d) 1,900 1,935 American Honda Finance Corp, 2.6%, $400 par, due 9/20/2016 (d) AmeriCredit Auto Receivables 2004-D-F, 0.96%, $12,000 par, due 4/9/ ,999 12,014 AmeriCredit Auto Receivables Trust, 0.9%, $13,000 par, due 9/15/ ,999 12,996 AmeriCredit Automobile Receivables Tr, 0.92%, $4,400 par, due 4/9/2018 4,400 4,407 Anheuser-Busch InBev Worldwide Inc, 0.8%, $400 par, due 7/15/ Anheuser-Busch InBev Worldwide Inc, 3.63%, $2,595 par, due 4/15/2015 2,604 2,618 Apple Inc, 2.1%, $9,000 par, due 5/6/2019 8,997 9,102 Arizona School Facilities Board, 1.12%, $5,750 par, due 7/1/2017 5,750 5,736 AT&T Inc, 2.95%, $1,360 par, due 5/15/2016 1,395 1,394 Avista Corp, 5.95%, $350 par, due 6/1/ BA Credit Card Trust, 0.43%, $14,620 par, due 9/16/2019 (b) 14,620 14,593 Banc of America Commercial Mortgage Trust , 5.38%, $15,385 par, due 9/10/2045 (b) 16,627 15,885 Banc of America Commercial Mortgage Trust , 5.73%, $15,000 par, due 5/10/2045 (b) 16,514 15,618 Bank of America Corp, 1.25%, $2,000 par, due 1/11/2016 1,985 2,004 Bank of America Corp, 2.6%, $2,000 par, due 1/15/2019 2,000 2,016 Bank of America Corp, 2.65%, $4,940 par, due 4/1/2019 4,939 4,976 Bank of America Corp, 5.3%, $200 par, due 9/30/ Bank of America NA, 1.13%, $7,700 par, due 11/14/2016 7,696 7,672 Bank of America NA, 5.3%, $1,169 par, due 3/15/2017 1,233 1,256 Bank of Montreal, 1.95%, $8,000 par, due 1/30/2017 (d) 8,142 8,135 Bank of New York Mellon Corp/The, 1.97%, $4,101 par, due 6/20/2017 4,155 4,162 Bank of New York Mellon Corp/The, 2.2%, $1,900 par, due 3/4/2019 1,898 1,907 Bank of New York Mellon Corp/The, 4.95%, $377 par, due 3/15/ Bank of Nova Scotia/The, 1.75%, $7,125 par, due 3/22/2017 (d) 7,211 7,198 Bank of Nova Scotia/The, 1.95%, $8,900 par, due 1/30/2017 (d) 9,032 9,035 Bank of Nova Scotia/The, 2.15%, $4,200 par, due 8/3/2016 (d) 4,199 4,278 Bank of The West Auto Trust , 1.09%, $14,000 par, due 3/15/2019 (d) 13,998 14,006 8

12 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Barclays Bank PLC, 2.5%, $3,160 par, due 2/20/2019 $ 3,164 3,202 Barclays Dryrock Issuance Trust, 0.52%, $14,000 par, due 12/16/2019 (b) 14,000 13,982 Bayer US Finance LLC, 2.38%, $6,040 par, due 10/8/2019 (d) 6,014 6,064 BB&T Corp, 2.05%, $1,800 par, due 6/19/2018 1,798 1,812 BB&T Corp, 2.25%, $650 par, due 2/1/ BB&T Corp, 3.95%, $2,500 par, due 4/29/2016 2,530 2,588 Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.67%, $12,142 par, due 6/11/ ,233 12,197 Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, 5.53%, $13,116 par, due 9/11/ ,430 13,911 Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.2%, $2,325 par, due 12/11/2038 2,627 2,464 Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24, 5.54%, $518 par, due 10/12/ Becton Dickinson and Co, 1.8%, $5,520 par, due 12/15/2017 5,520 5,540 BMW Vehicle Lease Trust , 0.73%, $13,000 par, due 2/21/ ,998 12,988 BNP Paribas SA, 1.38%, $2,000 par, due 3/17/2017 2,000 1,994 BNP Paribas SA, 2.4%, $6,000 par, due 12/12/2018 5,989 6,057 BNP Paribas SA, 2.7%, $1,600 par, due 8/20/2018 1,598 1,635 BNY Mellon NA, 5.45%, $2,000 par, due 4/1/2016 2,109 2,115 BP Capital Markets PLC, 0.56%, $2,500 par, due 11/6/2015 (b) 2,500 2,502 BP Capital Markets PLC, 1.38%, $1,500 par, due 5/10/2018 1,497 1,473 BP Capital Markets PLC, 2.24%, $3,000 par, due 5/10/2019 3,000 2,996 BP Capital Markets PLC, 2.25%, $4,740 par, due 11/1/2016 4,740 4,831 Branch Banking & Trust Co, 0.56%, $1,000 par, due 9/13/2016 (b) Branch Banking & Trust Co, 1.45%, $2,200 par, due 10/3/2016 2,200 2,213 Branch Banking & Trust Co, 2.3%, $2,500 par, due 10/15/2018 2,527 2,526 Branch Banking & Trust Co, 5.63%, $400 par, due 9/15/ Caisse Centrale Desjardins, 1.6%, $16,100 par, due 3/6/2017 (d) 16,246 16,247 Capital Auto Receivables Asset Trust, 0.85%, $12,930 par, due 2/21/ ,929 12,935 Capital One Multi-Asset Execut, 1.26%, $10,500 par, due 1/15/ ,500 10,487 Capital One MultiAsset Execution Tr, 0.21%, $8,550 par, due 11/15/2019 (b) 8,479 8,510 Cargill Inc, 4.31%, $10,189 par, due 5/14/2021 (d) 9,829 11,205 CarMax Auto Owner Trust , 0.97%, $9,000 par, due 11/15/2016 8,999 9,019 CarMax Auto Owner Trust , 0.98%, $5,000 par, due 1/15/2019 5,000 4,985 Caterpillar Financial Services Corp, 1.1%, $200 par, due 5/29/ Caterpillar Financial Services Corp, 1.25%, $890 par, due 8/18/ Caterpillar Financial Services Corp, 1.35%, $2,100 par, due 9/6/2016 2,100 2,117 Caterpillar Financial Services Corp, 2.25%, $3,000 par, due 12/1/2019 2,998 3,003 Caterpillar Inc, 1.5%, $1,200 par, due 6/26/2017 1,199 1,207 Charles Schwab Corp/The, 2.2%, $650 par, due 7/25/ Charles Schwab Corp/The, 6.38%, $1,500 par, due 9/1/2017 1,662 1,687 Chase Issuance Trust, 1.15%, $9,500 par, due 1/15/2019 9,499 9,495 Chase Issuance Trust, 1.38%, $15,000 par, due 11/15/ ,998 14,940 Chevron Corp, 0.4%, $3,750 par, due 11/15/2017 (b) 3,750 3,746 Chevron Corp, 1.34%, $4,950 par, due 11/15/2017 4,950 4,954 Chrysler Capital Auto Receivables Tr, 1.27%, $14,500 par, due 9/15/2017 (d) 14,497 14,515 Cintas Corp No 2, 2.85%, $400 par, due 6/1/ Cisco Systems Inc, 1.1%, $4,040 par, due 3/3/2017 4,040 4,042 Citibank Credit Card Issuance Trust, 1.11%, $2,150 par, due 7/23/2018 2,150 2,156 Citibank Credit Card Issuance Trust, 1.23%, $10,000 par, due 4/24/2019 9,998 9,984 Citibank Credit Card Issuance Trust, 1.73%, $11,600 par, due 4/9/ ,598 11,617 Citigroup Commercial Mortgage Trust 2006-C5, 5.42%, $10,227 par, due 10/15/ ,276 10,845 Citigroup Inc, 1.25%, $220 par, due 1/15/ Citigroup Inc, 1.3%, $2,780 par, due 10/15/2016 2,778 2,777 Citigroup Inc, 1.3%, $3,000 par, due 4/1/2016 2,999 3,004 Citigroup Inc, 1.7%, $1,380 par, due 7/25/2016 1,380 1,389 Citigroup Inc, 1.85%, $6,000 par, due 11/24/2017 5,999 5,993 Citigroup Inc, 4.45%, $1,000 par, due 1/10/ ,057 Citigroup Inc, 4.59%, $1,000 par, due 12/15/2015 1,007 1,033 Citigroup Inc, 4.75%, $2,000 par, due 5/19/2015 2,031 2,029 Citigroup Inc, 6.13%, $200 par, due 11/21/ City of Chicago IL, 6.05%, $3,000 par, due 1/1/2029 2,997 3,158 City of Columbus OH, 1.08%, $450 par, due 8/15/ City of Richfield MN, 1.2%, $225 par, due 2/1/ CNH Equipment Trust 2014-A, 0.84%, $15,000 par, due 5/15/ ,000 14,959 CNH Equipment Trust 2014-B, 0.91%, $16,000 par, due 5/15/ ,000 15,954 Coca-Cola Co/The, 0.75%, $3,000 par, due 3/13/2015 3,000 3,003 Coca-Cola Enterprises Inc, 2.13%, $3,500 par, due 9/15/2015 3,509 3,535 Comcast Corp, 4.95%, $400 par, due 6/15/ COMM 2006-C8 Mortgage Trust, 5.29%, $7,637 par, due 12/10/2046 8,444 8,160 COMM 2006-C8 Mortgage Trust, 5.31%, $10,866 par, due 12/10/ ,917 11,510 COMM 2012-CCRE4 Mortgage Trust, 0.7%, $4,876 par, due 10/15/2045 4,872 4,861 Commercial Mortgage Pass Through Certificates, 0.67%, $377 par, due 11/15/ Commercial Mortgage Trust 2005-GG5, 5.19%, $159 par, due 4/10/ Commonwealth Bank of Australia, 2.25%, $1,600 par, due 3/16/2017 (d) 1,637 1,636 Connecticut Light & Power Co/The, 5.38%, $400 par, due 3/1/ Cooper US Inc, 2.38%, $1,675 par, due 1/15/2016 1,683 1,700 County of Berks PA, 1.01%, $400 par, due 11/15/ County of Knox TN, 1.8%, $3,015 par, due 6/1/2019 3,026 2,987 County of Montgomery MD, 4.5%, $2,965 par, due 11/1/2019 3,288 3,304 County of Travis TX, 1.07%, $325 par, due 3/1/ Covidien International Finance SA, 6%, $2,080 par, due 10/15/2017 2,116 2,328 Credit Suisse First Boston Mortgage Securities Corp, 5.1%, $222 par, due 8/15/2038 (b) Credit Suisse/New York NY, 1.38%, $2,700 par, due 5/26/2017 2,699 2,692 CRH America Inc, 8.13%, $4,000 par, due 7/15/2018 3,999 4,787 CVS Health Corp, 2.25%, $4,040 par, due 12/5/2018 4,042 4,076 Daimler Finance North America LLC, 1.25%, $2,100 par, due 1/11/2016 (d) 2,099 2,106 Daimler Finance North America LLC, 1.38%, $2,450 par, due 8/1/2017 (d) 2,443 2,439 Daimler Finance North America LLC, 2.63%, $400 par, due 9/15/2016 (d) Daimler Finance North America LLC, 3%, $1,000 par, due 3/28/2016 (d) 1,025 1,025 Denver City & County School District No 1, 0.72%, $5,750 par, due 12/1/2015 5,750 5,749 Denver City & County School District No 1, 0.97%, $1,000 par, due 12/1/2016 1, Diageo Capital PLC, 1.5%, $200 par, due 5/11/ Discover Card Execution Note Trust, 1.39%, $17,100 par, due 4/15/ ,099 17,064 DNB Boligkreditt AS, 1.45%, $9,650 par, due 3/21/2018 (d) 9,616 9,607 DNB Boligkreditt AS, 2.1%, $1,750 par, due 10/14/2015 (d) 1,750 1,770 Duke Energy Progress Inc, 5.15%, $1,850 par, due 4/1/2015 1,867 1,870 Eaton Corp, 1.5%, $4,800 par, due 11/2/2017 4,744 4,772 Ecolab Inc, 3%, $1,755 par, due 12/8/2016 1,762 1,812 EdLinc Student Loan Funding Trust , 1.17%, $5,806 par, due 9/25/2030 (b)(d) 5,838 5,872 Education Loan Asset-Backed Trust I, 0.97%, $13,570 par, due 6/25/2026 (b)(d) 13,514 13,620 Elkhart Community Schools, 1.1%, $875 par, due 7/20/ Elkhart Community Schools, 1.4%, $1,150 par, due 7/20/2017 1,150 1,145 Ensco PLC, 3.25%, $1,000 par, due 3/15/2016 1,003 1,018 Extended Stay America Trust 2013-ESH, 1.28%, $9,925 par, due 12/5/2031 (d) 9,899 9,847 9

13 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Extended Stay America Trust 2013-ESH, 2.96%, $600 par, due 12/5/2019 (d) $ Fannie Mae Grantor Trust 2004-T3, 6%, $594 par, due 2/25/ Fannie Mae Grantor Trust 2004-T9, 0.45%, $244 par, due 4/25/2035 (b) Fannie Mae Pool, 1.5%, $940 par, due 7/1/ Fannie Mae Pool, 1.8%, $8,818 par, due 7/1/2043 8,842 8,941 Fannie Mae Pool, 1.8%, $825 par, due 5/1/2038 (b) Fannie Mae Pool, 1.91%, $1,798 par, due 1/1/2035 (b) 1,816 1,892 Fannie Mae Pool, 1.92%, $1,805 par, due 8/1/2035 (b) 1,792 1,950 Fannie Mae Pool, 1.93%, $1,536 par, due 10/1/2033 (b) 1,554 1,636 Fannie Mae Pool, 1.93%, $1,917 par, due 5/1/2034 (b) 1,904 2,026 Fannie Mae Pool, 1.94%, $753 par, due 8/1/2033 (b) Fannie Mae Pool, 1.95%, $982 par, due 8/1/2034 (b) 994 1,032 Fannie Mae Pool, 1.96%, $2,179 par, due 6/1/2034 (b) 2,209 2,299 Fannie Mae Pool, 2%, $12,800 par, due 11/1/ ,123 13,011 Fannie Mae Pool, 2.02%, $753 par, due 7/1/2035 (b) Fannie Mae Pool, 2.04%, $7,125 par, due 11/1/2015 7,108 7,135 Fannie Mae Pool, 2.09%, $237 par, due 6/1/2042 (b) Fannie Mae Pool, 2.14%, $427 par, due 5/1/2036 (b) Fannie Mae Pool, 2.16%, $1,196 par, due 5/1/2035 (b) 1,183 1,274 Fannie Mae Pool, 2.26%, $65 par, due 9/1/2034 (b) Fannie Mae Pool, 2.31%, $163 par, due 7/1/2034 (b) Fannie Mae Pool, 2.33%, $409 par, due 9/1/ Fannie Mae Pool, 2.39%, $564 par, due 12/1/2036 (b) Fannie Mae Pool, 2.4%, $28 par, due 11/1/2036 (b) Fannie Mae Pool, 2.5%, $1,635 par, due 12/1/2022 1,664 1,682 Fannie Mae Pool, 2.5%, $12,702 par, due 11/1/ ,026 13,067 Fannie Mae Pool, 2.5%, $19,188 par, due 7/1/ ,451 19,739 Fannie Mae Pool, 2.5%, $24,028 par, due 2/1/ ,878 24,718 Fannie Mae Pool, 2.5%, $284 par, due 4/1/ Fannie Mae Pool, 2.5%, $3,622 par, due 8/1/2022 3,722 3,726 Fannie Mae Pool, 2.5%, $300 par, due 11/1/ Fannie Mae Pool, 2.5%, $4,072 par, due 7/1/2022 4,218 4,189 Fannie Mae Pool, 2.5%, $4,154 par, due 10/1/2022 4,259 4,273 Fannie Mae Pool, 2.5%, $4,383 par, due 6/1/2023 4,505 4,509 Fannie Mae Pool, 2.5%, $4,536 par, due 8/1/2022 4,684 4,666 Fannie Mae Pool, 2.5%, $5,782 par, due 10/1/2023 5,825 5,947 Fannie Mae Pool, 2.5%, $504 par, due 1/1/ Fannie Mae Pool, 2.5%, $513 par, due 1/1/ Fannie Mae Pool, 2.5%, $6,570 par, due 8/1/2022 6,785 6,759 Fannie Mae Pool, 2.5%, $700 par, due 9/1/ Fannie Mae Pool, 2.5%, $8,049 par, due 1/1/2023 8,345 8,281 Fannie Mae Pool, 2.5%, $839 par, due 5/1/ Fannie Mae Pool, 2.5%, $876 par, due 1/1/ Fannie Mae Pool, 2.51%, $2,071 par, due 11/1/2035 (b) 2,045 2,229 Fannie Mae Pool, 2.51%, $6,962 par, due 9/1/2044 (b) 7,096 7,151 Fannie Mae Pool, 2.53%, $183 par, due 12/1/2033 (b) Fannie Mae Pool, 2.66%, $211 par, due 11/1/2041 (b) Fannie Mae Pool, 2.69%, $4,514 par, due 10/1/2041 (b) 4,579 4,745 Fannie Mae Pool, 2.82%, $426 par, due 6/1/ Fannie Mae Pool, 2.82%, $6,537 par, due 10/1/2044 (b) 6,674 6,747 Fannie Mae Pool, 2.85%, $6,360 par, due 7/1/2044 6,512 6,570 Fannie Mae Pool, 2.96%, $1,736 par, due 2/1/2041 (b) 1,777 1,851 Fannie Mae Pool, 3%, $1,071 par, due 8/1/2027 1,110 1,116 Fannie Mae Pool, 3%, $1,192 par, due 11/1/2021 1,226 1,244 Fannie Mae Pool, 3%, $1,762 par, due 11/1/2021 1,812 1,839 Fannie Mae Pool, 3%, $12,549 par, due 11/1/ ,883 13,097 Fannie Mae Pool, 3%, $2,054 par, due 1/1/2027 2,129 2,140 Fannie Mae Pool, 3%, $2,261 par, due 12/1/2027 2,380 2,354 Fannie Mae Pool, 3%, $2,769 par, due 9/1/2023 2,845 2,893 Fannie Mae Pool, 3%, $393 par, due 10/1/ Fannie Mae Pool, 3%, $5,586 par, due 10/1/2023 5,723 5,837 Fannie Mae Pool, 3%, $5,730 par, due 12/1/2027 6,031 5,966 Fannie Mae Pool, 3%, $909 par, due 4/1/ Fannie Mae Pool, 3.08%, $12,184 par, due 6/1/2044 (b) 12,613 12,695 Fannie Mae Pool, 3.13%, $5,814 par, due 2/1/2041 (b) 5,945 6,196 Fannie Mae Pool, 3.23%, $1,834 par, due 11/1/2041 (b) 1,895 1,923 Fannie Mae Pool, 3.3%, $3,122 par, due 7/1/2040 (b) 3,186 3,335 Fannie Mae Pool, 3.46%, $211 par, due 12/1/2034 (b) Fannie Mae Pool, 3.49%, $2,085 par, due 5/1/2040 (b) 2,114 2,233 Fannie Mae Pool, 3.5%, $11,339 par, due 12/1/ ,486 12,076 Fannie Mae Pool, 3.56%, $475 par, due 2/1/2040 (b) Fannie Mae Pool, 3.61%, $2,740 par, due 8/1/2040 (b) 2,797 2,919 Fannie Mae Pool, 3.63%, $290 par, due 4/1/2040 (b) Fannie Mae Pool, 3.79%, $1,669 par, due 5/1/2036 (b) 1,683 1,716 Fannie Mae Pool, 4%, $10,442 par, due 3/1/ ,670 11,227 Fannie Mae Pool, 4.5%, $27 par, due 6/1/ Fannie Mae Pool, 4.5%, $61 par, due 3/1/ Fannie Mae Pool, 4.5%, $83 par, due 5/1/ Fannie Mae Pool, 4.75%, $15,094 par, due 4/1/ ,223 15,700 Fannie Mae Pool, 5%, $1 par, due 4/1/ Fannie Mae Pool, 5%, $11 par, due 11/1/ Fannie Mae Pool, 5%, $156 par, due 2/1/ Fannie Mae Pool, 5%, $16 par, due 3/1/ Fannie Mae Pool, 5%, $181 par, due 3/1/ Fannie Mae Pool, 5%, $217 par, due 11/1/ Fannie Mae Pool, 5%, $262 par, due 2/1/ Fannie Mae Pool, 5%, $263 par, due 2/1/ Fannie Mae Pool, 5%, $271 par, due 3/1/ Fannie Mae Pool, 5%, $283 par, due 2/1/ Fannie Mae Pool, 5%, $450 par, due 12/1/ Fannie Mae Pool, 5%, $5 par, due 8/1/ Fannie Mae Pool, 5%, $776 par, due 12/1/ Fannie Mae Pool, 5.18%, $8,454 par, due 5/1/2019 8,645 9,458 Fannie Mae Pool, 5.5%, $157 par, due 2/1/ Fannie Mae Pool, 5.5%, $2,282 par, due 1/1/2039 2,286 2,475 Fannie Mae Pool, 5.5%, $6 par, due 6/1/ Fannie Mae Pool, 5.5%, $7 par, due 5/1/ Fannie Mae Pool, 5.5%, $707 par, due 5/1/ Fannie Mae Pool, 5.5%, $85 par, due 4/1/ Fannie Mae Pool, 6%, $134 par, due 1/1/ Fannie Mae Pool, 6%, $2,692 par, due 9/1/2037 2,711 3,106 Fannie Mae Pool, 6%, $4 par, due 4/1/

14 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Fannie Mae Pool, 6%, $54 par, due 1/1/2038 $ Fannie Mae Pool, 6%, $62 par, due 1/1/ Fannie Mae Pool, 6%, $621 par, due 9/1/ Fannie Mae Pool, 6%, $69 par, due 3/1/ Fannie Mae Pool, 6%, $788 par, due 7/1/ Fannie Mae Pool, 6%, $89 par, due 1/1/ Fannie Mae Pool, 6%, $97 par, due 2/1/ Fannie Mae Pool, 6.06%, $6 par, due 9/1/2036 (b) 6 7 Fannie Mae REMIC Trust 2003-W4, 6.57%, $1,418 par, due 10/25/2042 (b) 1,495 1,609 Fannie Mae REMIC Trust 2003-W4, 7.02%, $127 par, due 10/25/2042 (b) Fannie Mae REMIC Trust 2004-W11, 7%, $1,689 par, due 5/25/2044 1,789 1,986 Fannie Mae REMIC Trust 2005-W1, 6.5%, $565 par, due 10/25/ Fannie Mae REMIC Trust 2006-W3, 0.41%, $1,900 par, due 10/25/2046 (b) 1,864 1,900 Fannie Mae REMICS, 4%, $5,103 par, due 1/25/2036 5,338 5,179 Fannie Mae REMICS, 4.5%, $4,670 par, due 9/25/2023 4,473 4,884 Fannie Mae REMICS, 5%, $17 par, due 5/25/ Fannie Mae REMICS, 5.5%, $12 par, due 3/25/ Fannie Mae Trust 2004-W2, 6.5%, $1,657 par, due 2/25/2044 1,762 1,877 Fannie Mae Trust 2004-W2, 7%, $423 par, due 2/25/ Fannie Mae Trust 2004-W8, 7.5%, $717 par, due 6/25/ Fannie Mae-Aces, 0.41%, $12,882 par, due 5/25/2018 (b) 12,878 12,883 Fannie Mae-Aces, 0.51%, $9,242 par, due 1/25/2017 (b) 9,238 9,246 Fannie Mae-Aces, 0.95%, $863 par, due 11/25/ Fannie Mae-Aces, 1.07%, $13,437 par, due 11/25/ ,499 13,470 Fannie Mae-Aces, 1.08%, $6,125 par, due 2/25/2016 6,146 6,145 Fannie Mae-Aces, 2.17%, $9,700 par, due 9/25/2019 9,699 9,744 Federal Home Loan Banks, 5.07%, $365 par, due 10/20/ Federal Home Loan Mortgage Corp, 1%, $275 par, due 3/8/ FHLMC K710 A2 Multifam, 1.88%, $600 par, due 5/25/ FHLMC Multifamily Structured Pass Through Certificates, 0.52%, $1,350 par, due 4/25/2019 (b) 1,350 1,351 FHLMC Multifamily Structured Pass Through Certificates, 2.32%, $10,325 par, due 11/25/ ,652 10,534 FHLMC Multifamily Structured Pass Through Certificates, 2.46%, $23,700 par, due 8/25/ ,383 24,204 FHLMC Multifamily Structured Pass Through, 3.88%, $8,000 par, due 11/25/2017 8,549 8,506 FHLMC Multifamily, 1.66%, $750 par, due 11/25/ FHLMC Structured Pass Through Securities, 1.31%, $2,417 par, due 2/25/2045 (b) 2,425 2,476 FHLMC Structured Pass Through Securities, 6.5%, $1,350 par, due 9/25/2043 1,398 1,543 FHLMC Structured Pass Through Securities, 6.5%, $4,367 par, due 2/25/2042 4,519 4,910 FHLMC Structured Pass Through Securities, 7.5%, $725 par, due 2/25/ Fifth Third Auto , 0.88%, $9,200 par, due 8/15/2016 9,199 9,214 Fifth Third Auto Trust , 0.89%, $15,000 par, due 11/15/ ,998 14,965 Fifth Third Auto Trust , 0.96%, $14,800 par, due 3/15/ ,799 14,740 Fiserv Inc, 3.13%, $2,700 par, due 10/1/2015 2,701 2,747 FNA M14 ASQ2, 1.11%, $608 par, due 2/25/ Ford Credit Auto Lease Trust 2014-A, 0.68%, $16,140 par, due 4/17/ ,102 16,125 Ford Credit Auto Lease Trust 2014-B, 0.89%, $12,000 par, due 9/15/ ,999 11,983 Ford Credit Auto Owner Trust 2013-C, 0.82%, $13,650 par, due 12/15/ ,648 13,666 Ford Credit Auto Owner Trust 2013-D, 0.67%, $15,000 par, due 4/15/ ,999 14,980 Ford Credit Auto Owner Trust 2014-C, 1.06%, $29,000 par, due 5/15/ ,996 28,916 Ford Motor Credit Co LLC, 2.5%, $3,400 par, due 1/15/2016 3,398 3,438 Freddie Mac Gold Pool, 2%, $5,856 par, due 9/1/2023 5,943 5,963 Freddie Mac Gold Pool, 2.5%, $11,832 par, due 7/1/ ,957 12,160 Freddie Mac Gold Pool, 2.5%, $5,313 par, due 7/1/2023 5,376 5,460 Freddie Mac Gold Pool, 2.5%, $5,561 par, due 10/1/2027 5,780 5,715 Freddie Mac Gold Pool, 2.5%, $515 par, due 12/1/ Freddie Mac Gold Pool, 2.5%, $524 par, due 12/1/ Freddie Mac Gold Pool, 3%, $1,643 par, due 12/1/2021 1,680 1,712 Freddie Mac Gold Pool, 3%, $1,755 par, due 7/1/2027 1,826 1,820 Freddie Mac Gold Pool, 3%, $10,905 par, due 6/1/ ,358 11,308 Freddie Mac Gold Pool, 3%, $18,820 par, due 4/1/ ,499 19,584 Freddie Mac Gold Pool, 3%, $2,488 par, due 5/1/2027 2,588 2,591 Freddie Mac Gold Pool, 3%, $4,231 par, due 4/1/2027 4,391 4,403 Freddie Mac Gold Pool, 3.5%, $2,445 par, due 12/1/2025 2,461 2,602 Freddie Mac Gold Pool, 4%, $10,135 par, due 3/1/ ,352 10,889 Freddie Mac Gold Pool, 4%, $2,441 par, due 3/1/2026 2,493 2,621 Freddie Mac Gold Pool, 4.5%, $249 par, due 1/1/ Freddie Mac Gold Pool, 4.5%, $52 par, due 5/1/ Freddie Mac Gold Pool, 4.5%, $667 par, due 5/1/ Freddie Mac Gold Pool, 5%, $1,041 par, due 2/1/2020 1,047 1,109 Freddie Mac Gold Pool, 5%, $1,607 par, due 11/1/2021 1,588 1,712 Freddie Mac Gold Pool, 5%, $217 par, due 12/1/ Freddie Mac Gold Pool, 5%, $364 par, due 5/1/ Freddie Mac Gold Pool, 5%, $750 par, due 5/1/ Freddie Mac Gold Pool, 5.5%, $296 par, due 2/1/ Freddie Mac Gold Pool, 5.5%, $3,496 par, due 12/1/2034 3,429 3,866 Freddie Mac Gold Pool, 5.5%, $459 par, due 12/1/ Freddie Mac Gold Pool, 5.5%, $947 par, due 2/1/ ,000 Freddie Mac Non Gold Pool, 1.87%, $5,459 par, due 1/1/2043 (b) 5,633 5,617 Freddie Mac Non Gold Pool, 2.08%, $1,922 par, due 5/1/2042 (b) 1,976 1,987 Freddie Mac Non Gold Pool, 2.15%, $7,335 par, due 1/1/2043 (b) 7,594 7,423 Freddie Mac Non Gold Pool, 2.16%, $4,214 par, due 10/1/2042 (b) 4,322 4,356 Freddie Mac Non Gold Pool, 2.2%, $2,946 par, due 8/1/2042 (b) 3,028 3,055 Freddie Mac Non Gold Pool, 2.21%, $730 par, due 4/1/2036 (b) Freddie Mac Non Gold Pool, 2.22%, $754 par, due 1/1/2043 (b) Freddie Mac Non Gold Pool, 2.23%, $390 par, due 8/1/2036 (b) Freddie Mac Non Gold Pool, 2.25%, $2,072 par, due 4/1/2038 (b) 2,062 2,219 Freddie Mac Non Gold Pool, 2.27%, $5,699 par, due 5/1/2038 (b) 5,704 6,108 Freddie Mac Non Gold Pool, 2.29%, $8,880 par, due 8/1/2043 (b) 9,049 9,010 Freddie Mac Non Gold Pool, 2.3%, $2,184 par, due 6/1/2042 (b) 2,250 2,259 Freddie Mac Non Gold Pool, 2.32%, $141 par, due 11/1/2036 (b) Freddie Mac Non Gold Pool, 2.32%, $2,470 par, due 6/1/2042 (b) 2,537 2,560 Freddie Mac Non Gold Pool, 2.36%, $1,254 par, due 12/1/2036 (b) 1,265 1,343 Freddie Mac Non Gold Pool, 2.37%, $180 par, due 7/1/2042 (b) Freddie Mac Non Gold Pool, 2.38%, $225 par, due 6/1/2035 (b) Freddie Mac Non Gold Pool, 2.38%, $264 par, due 7/1/2034 (b) Freddie Mac Non Gold Pool, 2.38%, $304 par, due 7/1/2035 (b) Freddie Mac Non Gold Pool, 2.48%, $3,435 par, due 2/1/2042 (b) 3,508 3,577 Freddie Mac Non Gold Pool, 2.49%, $4,931 par, due 9/1/2042 (b) 5,075 5,051 Freddie Mac Non Gold Pool, 2.54%, $12,547 par, due 10/1/2043 (b) 12,606 12,877 Freddie Mac Non Gold Pool, 2.59%, $8,057 par, due 5/1/2044 (b) 8,265 8,319 Freddie Mac Non Gold Pool, 2.63%, $2,150 par, due 7/1/2034 (b) 2,149 2,260 Freddie Mac Non Gold Pool, 2.69%, $37 par, due 12/1/2036 (b) Freddie Mac Non Gold Pool, 2.71%, $14,004 par, due 1/1/2045 (b) 14,352 14,372 11

15 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Freddie Mac Non Gold Pool, 2.76%, $10,347 par, due 11/1/2043 (b) $ 10,427 10,633 Freddie Mac Non Gold Pool, 3%, $1,998 par, due 11/1/2040 (b) 2,045 2,117 Freddie Mac Non Gold Pool, 3.02%, $2,347 par, due 9/1/2041 (b) 2,400 2,462 Freddie Mac Non Gold Pool, 5.87%, $47 par, due 12/1/2036 (b) Freddie Mac Non Gold Pool, 6.42%, $20 par, due 8/1/2036 (b) Freddie Mac REMICS, 4%, $923 par, due 9/15/ Freddie Mac REMICS, 4.5%, $4,083 par, due 7/15/2019 4,027 4,281 Freddie Mac REMICS, 5%, $13 par, due 6/15/ Freddie Mac REMICS, 5.5%, $1,732 par, due 11/15/2033 1,751 1,876 Freddie Mac REMICS, 5.5%, $5 par, due 1/15/ Freddie Mac REMICS, 6%, $8 par, due 6/15/ Gate Capital Cayman Two Ltd, 2.64%, $1,183 par, due 12/2/2021 1,218 1,211 GE Capital Commercial Mortgage Corp, 4.97%, $4,875 par, due 7/10/2045 (b) 5,251 4,927 GE Equipment Small Ticket LLC Series , 1.02%, $4,525 par, due 2/24/2017 (d) 4,525 4,529 GE Equipment Transportation LLC Series , 0.97%, $11,500 par, due 4/23/ ,499 11,491 General Electric Capital Corp, 1%, $300 par, due 12/11/ General Electric Capital Corp, 1.6%, $3,000 par, due 11/20/2017 2,998 3,018 General Electric Capital Corp, 2.3%, $4,000 par, due 4/27/2017 3,997 4,097 General Electric Capital Corp, 2.38%, $1,500 par, due 6/30/2015 1,510 1,515 General Electric Capital Corp, 2.9%, $2,000 par, due 1/9/2017 2,047 2,070 General Electric Co, 0.85%, $1,640 par, due 10/9/2015 1,640 1,644 General Mills Inc, 5.2%, $400 par, due 3/17/ General Mills Inc, 5.7%, $2,185 par, due 2/15/2017 2,379 2,387 Genzyme Corp, 3.63%, $1,500 par, due 6/15/2015 1,512 1,521 Ginnie Mae I pool, 5%, $2,280 par, due 6/15/2040 2,458 2,532 Ginnie Mae I pool, 5%, $234 par, due 5/15/ Ginnie Mae I pool, 5%, $434 par, due 11/15/ Ginnie Mae I pool, 5.5%, $465 par, due 2/15/ Ginnie Mae I pool, 5.5%, $562 par, due 5/15/ Ginnie Mae I pool, 5.5%, $732 par, due 6/15/ Ginnie Mae I pool, 6%, $614 par, due 12/15/ Ginnie Mae I pool, 6%, $976 par, due 1/15/2034 1,077 1,129 Ginnie Mae II pool, 0.78%, $7,127 par, due 5/20/2058 (b) 7,021 7,127 Ginnie Mae II pool, 1.21%, $9,683 par, due 10/20/2063 (b) 9,768 9,823 Ginnie Mae II pool, 1.5%, $19,109 par, due 6/20/2058 (b) 19,159 19,543 Ginnie Mae II pool, 2.5%, $1,926 par, due 12/20/2041 (b) 1,980 1,982 Ginnie Mae II pool, 2.5%, $169 par, due 10/20/2041 (b) Ginnie Mae II pool, 2.5%, $5,108 par, due 11/20/2041 (b) 5,250 5,303 Ginnie Mae II pool, 3.5%, $1,916 par, due 7/20/2040 (b) 2,008 2,017 Ginnie Mae II pool, 4.5%, $1,560 par, due 9/20/2060 (b) 1,712 1,688 Ginnie Mae II pool, 5.31%, $142 par, due 7/20/2060 (b) Ginnie Mae II pool, 5.31%, $5,259 par, due 6/20/2060 (b) 5,750 5,707 Ginnie Mae II pool, 5.36%, $187 par, due 5/20/2060 (b) Ginnie Mae II pool, 5.37%, $147 par, due 9/20/2060 (b) Ginnie Mae II pool, 5.47%, $734 par, due 11/20/2059 (b) Ginnie Mae II pool, 5.5%, $1,050 par, due 5/20/2060 (b) 1,183 1,158 Ginnie Mae II pool, 5.5%, $1,485 par, due 7/20/2059 (b) 1,507 1,559 Ginnie Mae II pool, 5.5%, $58 par, due 11/20/2059 (b) Ginnie Mae II pool, 5.5%, $7,691 par, due 8/20/2059 (b) 7,860 8,011 Ginnie Mae II pool, 5.51%, $7,643 par, due 12/20/2059 (b) 7,738 8,064 Ginnie Mae II pool, 5.54%, $2,378 par, due 9/20/2059 (b) 2,583 2,484 Ginnie Mae II pool, 5.63%, $18,905 par, due 8/20/2059 (b) 19,533 20,051 Ginnie Mae II pool, 5.63%, $2,421 par, due 2/20/2059 (b) 2,460 2,547 Ginnie Mae II pool, 5.74%, $3,344 par, due 5/20/2058 (b) 3,383 3,470 Goldman Sachs Group Inc/The, 2.38%, $410 par, due 1/22/ Goldman Sachs Group Inc/The, 2.55%, $800 par, due 10/23/ Goldman Sachs Group Inc/The, 2.63%, $2,200 par, due 1/31/2019 2,194 2,213 Goldman Sachs Group Inc/The, 3.7%, $300 par, due 8/1/ Goldman Sachs Group Inc/The, 5.95%, $7,000 par, due 1/18/2018 7,576 7,777 GS Mortgage Securities Corp II Series 2005-GG4, 4.75%, $106 par, due 7/10/ GS Mortgage Securities Trust 2006-GG8, 5.56%, $3,466 par, due 11/10/2039 3,925 3,670 Harley-Davidson Motorcycle Trust , 0.65%, $7,351 par, due 7/15/2016 7,351 7,351 Hays Consolidated Independent School District, 4%, $1,000 par, due 8/15/2016 1,051 1,044 Hays Consolidated Independent School District, 4%, $4,030 par, due 8/15/2018 4,401 4,345 Heineken NV, 0.8%, $175 par, due 10/1/2015 (d) Hewlett-Packard Co, 2.35%, $2,500 par, due 3/15/2015 2,500 2,508 Hewlett-Packard Co, 2.6%, $360 par, due 9/15/ Hilton USA Trust 2013-HLF, 1.16%, $7,194 par, due 11/5/2030 (b)(d) 7,194 7,194 Honda Auto Receivables Owner Trust, 0.77%, $18,250 par, due 5/15/ ,248 18,266 Honda Auto Receivables Owner Trust, 0.69%, $8,000 par, due 9/18/2017 7,999 7,994 Honda Auto Receivables Owner Trust, 0.99%, $12,000 par, due 9/17/ ,998 11,971 HSBC Bank PLC, 3.1%, $1,000 par, due 5/24/2016 (d) 1,007 1,032 HSBC USA Inc, 1.5%, $3,000 par, due 11/13/2017 2,999 2,994 HSBC USA Inc, 1.63%, $7,400 par, due 1/16/2018 7,383 7,372 HSBC USA Inc, 2.38%, $3,000 par, due 2/13/2015 3,005 3,006 Hyundai Auto Receivables Trust 2013-C, 1.01%, $6,000 par, due 2/15/2018 5,999 6,017 Hyundai Capital America, 1.45%, $6,200 par, due 2/6/2017 (d) 6,197 6,177 Illinois Sales Tax, 1.06%, $200 par, due 6/15/ Indiana Housing & Community Development Authority, 5.9%, $1,140 par, due 1/1/2037 1,140 1,148 Indiana University, 3.49%, $200 par, due 6/1/ Ingredion Inc, 1.8%, $365 par, due 9/25/ Ingredion Inc, 3.2%, $2,500 par, due 11/1/2015 2,537 2,542 Intel Corp, 1.35%, $5,625 par, due 12/15/2017 5,615 5,617 International Business Machines Corp, 1.25%, $3,600 par, due 2/8/2018 3,588 3,570 International Business Machines Corp, 5.7%, $8,500 par, due 9/14/2017 9,361 9,473 Iowa Finance Authority, 5.87%, $370 par, due 7/1/ Iowa Student Loan Liquidity Corp, 0.35%, $30 par, due 3/25/2022 (b) John Deere Capital Corp, 0.95%, $400 par, due 6/29/ John Deere Owner Trust 2014-B, 1.07%, $15,000 par, due 11/15/ ,997 14,941 JP Morgan Chase Commercial Mortgage Securities Trust 2005-CIBC11, 5.33%, $614 par, due 8/12/2037 (b) JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, 5.47%, $3,119 par, due 4/15/2043 3,393 3,214 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7, 5.87%, $1,117 par, due 4/15/2045 (b) 1,159 1,132 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7, 5.87%, $14,625 par, due 4/15/2045 (b) 16,149 15,456 JPMorgan Chase & Co, 1.13%, $750 par, due 2/26/ JPMorgan Chase & Co, 1.88%, $400 par, due 3/20/ JPMorgan Chase & Co, 2%, $1,900 par, due 8/15/2017 1,897 1,918 JPMorgan Chase & Co, 2.2%, $4,000 par, due 10/22/2019 3,992 3,966 JPMorgan Chase & Co, 3.15%, $2,640 par, due 7/5/2016 2,652 2,714 JPMorgan Chase & Co, 4.35%, $1,556 par, due 8/15/2021 1,700 1,691 JPMorgan Chase Bank NA, 6%, $800 par, due 10/1/ Kellogg Co, 1.75%, $400 par, due 5/17/ Kellogg Co, 1.88%, $1,000 par, due 11/17/2016 1,000 1,014 12

16 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Kentucky Higher Education Student Loan Corp, 0.66%, $1,462 par, due 6/1/2026 (b) $ 1,461 1,458 Kentucky Higher Education Student Loan Corp, 0.76%, $9,401 par, due 9/1/2028 (b) 9,343 9,374 KeyBank NA/Cleveland OH, 5.7%, $410 par, due 11/1/ King International Leasing LLC, 2.75%, $630 par, due 10/15/ Kraft Foods Group Inc, 1.63%, $185 par, due 6/4/ Kroger Co/The, 2.2%, $160 par, due 1/15/ Lake County Township High School District No 121 Warren, 1.35%, $1,400 par, due 3/1/2016 1,400 1,402 Lake County Township High School District No 121 Warren, 1.83%, $1,000 par, due 3/1/2018 1, LB-UBS Commercial Mortgage Trust 2006-C7, 5.33%, $10,517 par, due 11/15/ ,581 11,175 LB-UBS Commercial Mortgage Trust 2006-C7, 5.35%, $5,553 par, due 11/15/2038 6,136 5,906 Liberty Property LP, 5.5%, $400 par, due 12/15/ M&T Bank Auto Receivables Trust , 1.06%, $6,625 par, due 11/15/2017 (d) 6,625 6,646 Manufacturers & Traders Trust Co, 1.4%, $5,000 par, due 7/25/2017 4,998 4,993 Maxim Integrated Products Inc, 2.5%, $5,400 par, due 11/15/2018 5,381 5,388 Medtronic Inc, 2.5%, $3,030 par, due 3/15/2020 (d) 3,027 3,038 Mercedes Benz Auto Lease Trust 2014-A, 0.68%, $14,000 par, due 12/15/ ,000 13,999 Mercedes-Benz Auto Rec Trust, 0.78%, $3,325 par, due 8/15/2017 3,325 3,330 Merrill Lynch Mortgage Investors Trust Series MLCC 2003-D, 0.79%, $474 par, due 8/25/2028 (b) Merrill Lynch Mortgage Trust 2005-MCP1, 4.75%, $1,342 par, due 6/12/2043 1,433 1,349 MetLife Inc, 6.75%, $500 par, due 6/1/ Metropolitan Life Global Funding I, 1.5%, $2,000 par, due 1/10/2018 (d) 1,994 1,988 Micron Semiconductor Asia Pte Ltd, 1.26%, $13,974 par, due 1/15/ ,974 13,952 Missouri Higher Education Loan Authority, 1.09%, $329 par, due 8/27/2029 (b) MMAF Equipment Finance LLC 2013-A, 1.03%, $12,500 par, due 12/11/2017 (d) 12,499 12,515 MMAF Equipment Finance LLC 2014-A, 0.87%, $8,000 par, due 1/8/2019 (d) 7,999 7,970 Morgan Stanley BAML Trust, 0.74%, $6,666 par, due 2/15/2046 6,666 6,671 Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, 0.66%, $367 par, due 11/15/ Morgan Stanley Capital I Trust 2005-IQ10, 5.23%, $5,674 par, due 9/15/2042 6,104 5,763 Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, $14,092 par, due 6/12/ ,839 14,211 Morgan Stanley Capital I Trust 2006-HQ9, 5.73%, $331 par, due 7/12/2044 (b) Morgan Stanley Capital I Trust 2006-HQ9, 5.73%, $8,943 par, due 7/12/2044 (b) 9,839 9,457 Morgan Stanley Capital I Trust 2006-IQ12, 5.33%, $2,440 par, due 12/15/2043 2,761 2,576 Morgan Stanley Capital I Trust 2006-TOP21, 5.16%, $975 par, due 10/12/2052 (b) 1,042 1,000 Morgan Stanley Capital I Trust 2006-TOP23, 5.81%, $8,000 par, due 6/12/2016 (b) 8,429 8,393 Morgan Stanley Capital I Trust 2007-TOP27, 5.65%, $6,270 par, due 6/11/2042 (b) 7,069 6,825 Morgan Stanley Capital I Trust 2012-C4, 2.11%, $5,350 par, due 3/15/2045 5,402 5,439 Morgan Stanley, 1.88%, $2,260 par, due 1/5/2018 2,258 2,252 Morgan Stanley, 2.38%, $2,500 par, due 7/23/2019 2,490 2,491 Morgan Stanley, 2.5%, $2,500 par, due 1/24/2019 2,492 2,502 Morgan Stanley, 4%, $3,725 par, due 7/24/2015 3,723 3,795 Morgan Stanley, 5.45%, $410 par, due 1/9/ Morgan Stanley, 5.5%, $650 par, due 7/24/ National Australia Bank Ltd, 2%, $11,700 par, due 6/20/2017 (d) 11,774 11,874 National Bank of Canada, 2.2%, $4,800 par, due 10/19/2016 (d) 4,799 4,906 National City Bank/Cleveland OH, 5.25%, $650 par, due 12/15/ NCUA Guaranteed Notes Trust 2010-C1, 2.65%, $1,609 par, due 10/29/2020 1,644 1,646 NCUA Guaranteed Notes Trust 2010-C1, 2.9%, $1,600 par, due 10/29/2020 1,642 1,643 NCUA Guaranteed Notes Trust 2010-R1, 0.61%, $6,722 par, due 10/7/2020 (b) 6,726 6,763 NCUA Guaranteed Notes, 2.35%, $2,275 par, due 6/12/2017 2,322 2,348 New Hampshire Higher Education Loan Corp, 0.66%, $6,097 par, due 10/25/2028 (b) 6,092 6,100 New Hampshire Housing Finance Authority, 5.53%, $170 par, due 7/1/ New York Life Global Funding, 1.65%, $1,410 par, due 5/15/2017 (d) 1,417 1,421 New York Life Global Funding, 2.1%, $3,900 par, due 1/2/2019 (d) 3,896 3,914 New York Life Global Funding, 3%, $400 par, due 5/4/2015 (d) New York State Dormitory Authority, 1%, $225 par, due 2/15/ New York State Dormitory Authority, 2.19%, $1,800 par, due 2/15/2020 1,762 1,781 New York State Housing Finance Agency, 4.29%, $2,500 par, due 3/15/2016 2,603 2,601 Newport News Economic Development Authority, 1.06%, $350 par, due 7/1/ Newport News Economic Development Authority, 5.2%, $950 par, due 7/1/ Nissan Auto Receivables 2013-B Owner Trust, 0.84%, $8,225 par, due 11/15/2017 8,224 8,233 Nissan Auto Receivables 2014-B Owner Trust, 1.11%, $5,900 par, due 5/15/2019 5,900 5,885 Norfolk Southern Corp, 5.75%, $2,240 par, due 4/1/2018 2,518 2,514 Norfolk Southern Corp, 5.75%, $2,905 par, due 1/15/2016 2,970 3,044 North Carolina State Ed Assistance Auth, 0.96%, $526 par, due 7/25/2039 (b) Northstar Education Finance Inc, 0.87%, $495 par, due 12/26/2031 (b)(d) NYC Transitional Finance Authority Tax Secured Revenue, 1.25%, $7,680 par, due 11/1/2016 7,718 7,721 Ohio Housing Finance Agency, 5.47%, $95 par, due 9/1/ Ohio State University/The, 0.81%, $175 par, due 6/1/ Oracle Corp, 0.43%, $11,000 par, due 7/7/2017 (b) 11,000 10,989 Overseas Private Investment Corp,.91%, $3,625 par, due 7/12/2016 (e) Overseas Private Investment Corp,.88%, $325 par, due 4/30/2016 (e) 3,625 3,626 Overseas Private Investment Corp, 3.37%, $769 par, due 5/15/ PacifiCorp, 5.65%, $2,000 par, due 7/15/2018 1,998 2,259 Panhandle-Plains Higher Ed Auth Inc, 1.39%, $5,212 par, due 10/1/2035 (b) 5,285 5,299 Peco Energy Co, 1.2%, $2,000 par, due 10/15/2016 1,998 2,008 Pennsylvania Higher Ed Assistance, 0.72%, $6,648 par, due 4/25/2030 (b)(d) 6,641 6,661 Pentair Finance SA, 1.35%, $2,000 par, due 12/1/2015 2,000 2,003 PepsiCo Inc, 0.95%, $7,185 par, due 2/22/2017 7,179 7,161 PepsiCo Inc, 2.5%, $195 par, due 5/10/ PepsiCo Inc, 5%, $1,000 par, due 6/1/ ,106 Petroleos Mexicanos, 1.95%, $10,120 par, due 12/20/ ,120 9,964 Petroleos Mexicanos, 2.38%, $15,000 par, due 4/15/ ,000 14,833 Pflugerville Independent School District, 4.75%, $415 par, due 2/15/ Phillips 66, 2.95%, $250 par, due 5/1/ PNC Bank NA, 1.15%, $3,600 par, due 11/1/2016 3,597 3,605 PNC Bank NA, 1.3%, $1,300 par, due 10/3/2016 1,299 1,306 PNC Bank NA, 1.5%, $4,000 par, due 10/18/2017 3,999 3,996 PNC Bank NA, 5.25%, $300 par, due 1/15/ Procter & Gamble Co/The, 1.9%, $7,200 par, due 11/1/2019 7,189 7,214 Provo School District, 0.91%, $2,130 par, due 6/15/2015 2,130 2,133 Public Service Co of Oklahoma, 6.15%, $1,275 par, due 8/1/2016 1,284 1,368 Purple Chen 2011 LLC, 2.73%, $578 par, due 8/1/ Realty Income Corp, 5.95%, $4,400 par, due 9/15/2016 4,709 4,745 Regions Bank/Birmingham AL, 7.5%, $2,100 par, due 5/15/2018 2,112 2,438 Rio Tinto Finance USA PLC, 1.63%, $1,888 par, due 8/21/2017 1,887 1,887 Rio Tinto Finance USA PLC, 2%, $2,190 par, due 3/22/2017 2,189 2,216 Rio Tinto Finance USA PLC, 2.25%, $5,900 par, due 12/14/2018 5,867 5,912 Roper Industries Inc, 1.85%, $3,700 par, due 11/15/2017 3,698 3,704 Royal Bank of Canada, 1.13%, $5,450 par, due 7/22/2016 5,449 5,474 Royal Bank of Canada, 1.2%, $16,215 par, due 9/19/ ,179 16,122 SABMiller Holdings Inc, 2.2%, $5,000 par, due 8/1/2018 (d) 4,991 5,013 SABMiller Holdings Inc, 2.45%, $3,500 par, due 1/15/2017 (d) 3,497 3,571 13

17 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Santander Drive Auto Receivables Tr., 1.11%, $7,725 par, due 12/15/2017 $ 7,725 7,740 Schlumberger Norge AS, 1.25%, $410 par, due 8/1/2017 (d) Shell International Finance BV, 1.9%, $4,350 par, due 8/10/2018 4,348 4,365 Siemens Financieringsmaatschappij NV, 5.75%, $4,210 par, due 10/17/2016 (d) 4,549 4,552 Simon Property Group LP, 2.15%, $1,975 par, due 9/15/2017 1,975 2,008 Simon Property Group LP, 2.8%, $1,450 par, due 1/30/2017 1,449 1,493 SLM Student Loan Trust , 0.56%, $2,250 par, due 1/25/2021 (b) 2,250 2,248 SLM Student Loan Trust , 0.57%, $1,015 par, due 3/25/2025 (b) 1,015 1,015 SLM Student Loan Trust , 0.33%, $63 par, due 2/27/2017 (b) SLM Student Loan Trust , 0.62%, $7,678 par, due 9/25/2026 (b) 7,678 7,646 SLM Student Loan Trust , 0.67%, $13,000 par, due 12/25/2021 (b) 13,000 13,001 Small Business Administration Participation Certificates, 5.29%, $1,142 par, due 12/1/2027 1,240 1,263 Small Business Administration Participation Certificates, 5.51%, $35 par, due 11/1/ Small Business Administration Participation Certificates, 5.63%, $13,523 par, due 10/1/ ,621 15,037 South Carolina Student Loan Corp, 0.67%, $5,480 par, due 8/25/2034 (b) 5,480 5,427 South Dakota Housing Development Authority, 4%, $1,170 par, due 5/1/2034 1,232 1,235 Southwestern Public Service Co, 5.6%, $175 par, due 10/1/ State of Arkansas, 1.5%, $300 par, due 7/1/ State of Georgia, 1.65%, $250 par, due 7/1/ State of Hawaii, 1.23%, $4,000 par, due 8/1/2017 4,000 3,986 State of Mississippi, 1.65%, $1,650 par, due 12/1/2017 1,650 1,659 State of New York, 4.09%, $4,235 par, due 3/1/2018 4,575 4,542 State of Ohio, 1.87%, $200 par, due 5/1/ State of Ohio, 5.45%, $250 par, due 5/1/ State of Oregon, 2.03%, $350 par, due 8/1/ State of Wisconsin, 1.32%, $2,250 par, due 5/1/2017 2,250 2,259 State of Wisconsin, 5.05%, $7,775 par, due 5/1/2018 8,647 8,615 State Street Bank & Trust Co, 0.44%, $460 par, due 12/8/2015 (b) Statoil ASA, 1.25%, $6,430 par, due 11/9/2017 6,414 6,391 Sysco Corp, 1.45%, $2,190 par, due 10/2/2017 2,189 2,188 Tesco PLC, 2.7%, $3,748 par, due 1/5/2017 (d) 3,806 3,722 Texas A&M PUF, 1.44%, $460 par, due 7/1/ Thermo Fisher Scientific Inc, 2.25%, $4,000 par, due 8/15/2016 4,067 4,062 Thermo Fisher Scientific Inc, 3.2%, $1,254 par, due 3/1/2016 1,284 1,284 Thermo Fisher Scientific Inc, 5%, $400 par, due 6/1/ Time Warner Cable Inc, 5.85%, $295 par, due 5/1/ Toronto-Dominion Bank/The, 1.5%, $2,000 par, due 3/13/2017 (d) 2,000 2,015 Toronto-Dominion Bank/The, 1.63%, $1,100 par, due 9/14/2016 (d) 1,093 1,113 Toronto-Dominion Bank/The, 2.25%, $4,450 par, due 11/5/2019 4,442 4,459 Toronto-Dominion Bank/The, 2.25%, $5,000 par, due 9/25/2019 (d) 4,989 5,039 Total Capital Canada Ltd, 1.45%, $130 par, due 1/15/ Total Capital Intl, 1.5%, $2,500 par, due 2/17/2017 2,495 2,517 Total Capital SA, 2.13%, $4,860 par, due 8/10/2018 4,859 4,899 Toyota Auto Receivables 2013-B Owner Trust, 0.89%, $5,000 par, due 7/17/2017 5,000 5,009 Toyota Motor Credit Corp, 2%, $1,500 par, due 9/15/2016 1,497 1,527 Tyco Electronics Group SA, 1.6%, $2,500 par, due 2/3/2015 2,501 2,500 UBS AG/London, 2.25%, $8,000 par, due 3/30/2017 (d) 8,182 8,179 UBS AG/Stamford CT, 5.88%, $3,500 par, due 12/20/2017 3,911 3,908 UDR Inc, 4.25%, $960 par, due 6/1/2018 1,028 1,027 Ukraine Government AID Bonds, 1.84%, $9,500 par, due 5/16/2019 9,519 9,564 Unilever Capital Corp, 2.2%, $4,200 par, due 3/6/2019 4,163 4,244 Union Pacific Corp, 2.25%, $1,400 par, due 2/15/2019 1,399 1,418 United States Small Business Administration, 4.94%, $337 par, due 9/10/ United States Small Business Administration, 5.41%, $48 par, due 2/10/ United States Small Business Administration, 5.68%, $138 par, due 8/10/ United States Treasury Inflation Indexed Bonds, 0.13%, $1,073 par, due 4/15/2018 (g) 1,129 1,098 United States Treasury Inflation Indexed Bonds, 0.13%, $2,937 par, due 4/15/2017 (g) 3,041 3,073 United States Treasury Inflation Indexed Bonds, 0.13%, $81,255 par, due 4/15/2019 (g) 82,058 81,428 United States Treasury Note/Bond, 0.25%, $1,750 par, due 12/15/2015 1,749 1,750 United States Treasury Note/Bond, 0.25%, $3,875 par, due 9/30/2015 3,874 3,876 United States Treasury Note/Bond, 0.5%, $5,875 par, due 7/31/2017 5,801 5,808 United States Treasury Note/Bond, 0.63%, $2,125 par, due 9/30/2017 2,122 2,102 United States Treasury Note/Bond, 0.63%, $29,525 par, due 8/31/ ,220 29,244 United States Treasury Note/Bond, 0.75%, $29,375 par, due 10/31/ ,167 29,141 United States Treasury Note/Bond, 0.88%, $1,164 par, due 4/30/2017 1,166 1,165 United States Treasury Note/Bond, 0.88%, $90,000 par, due 2/28/ ,521 90,218 United States Treasury Note/Bond, 1%, $29,600 par, due 5/31/ ,211 29,313 United States Treasury Note/Bond, 1.38%, $23,264 par, due 7/31/ ,173 23,288 United States Treasury Note/Bond, 2.13%, $2,150 par, due 5/31/2015 2,166 2,168 United States Treasury Note/Bond, 2.38%, $30,000 par, due 7/31/ ,986 31,090 US Bank NA/Cincinnati OH, 1.38%, $5,000 par, due 9/11/2017 4,997 5,003 US Bank NA/Cincinnati OH, 2.13%, $4,900 par, due 10/28/2019 4,896 4,884 Vendee Mortgage Trust , 7.25%, $936 par, due 9/15/ ,012 Ventas Realty LP / Ventas Capital Corp, 2%, $3,400 par, due 2/15/2018 3,395 3,403 Verizon Communications Inc, 3.65%, $5,260 par, due 9/14/2018 5,260 5,558 Virginia College Building Authority, 3.88%, $1,000 par, due 2/1/2017 1,055 1,060 Volkswagen Group of America Finance LLC, 1.6%, $2,190 par, due 11/20/2017 (d) 2,189 2,182 Volkswagen International Finance NV, 1.13%, $5,200 par, due 11/18/2016 (d) 5,199 5,194 Volvo Financial Equipment LLC Series , 0.82%, $10,000 par, due 4/16/2018 (d) 9,998 9,982 Vornado Realty LP, 4.25%, $1,490 par, due 4/1/2015 1,490 1,490 Washington & Clackamas School, 2.82%, $475 par, due 6/15/ Washington & Multnomah Counties School Dist No 48J Beaverton, 1.16%, $3,375 par, due 6/15/2017 3,375 3,362 Washington & Multnomah Counties School Dist No 48J Beaverton, 1.47%, $170 par, due 6/15/ Westpac Banking Corp, 1.38%, $5,610 par, due 5/30/2018 (d) 5,575 5,535 Wisconsin Electric Power Co, 6.25%, $400 par, due 12/1/ Wisconsin Housing & Economic Development Authority, 5.81%, $1,640 par, due 3/1/2037 1,635 1,674 World Omni Auto Receivables Trust 2013-B, 0.83%, $5,000 par, due 8/15/2018 4,999 4,997 World Omni Auto Receivables Trust 2014-B, 1.14%, $12,000 par, due 1/15/ ,998 11,934 World Omni Autolease Securitization Tr, 1.16%, $5,000 par, due 9/15/2017 5,000 5,011 Wells Fargo Short Term Investment Fund S, 0.19%, 157,121 units (c) 157, ,121 Total 2,960,168 2,973,496 Accrued income receivable 8,669 Deposit with broker (i) 132 Variation Margin 12 Receivable for investment payments due 997 Receivable for swap payments 523 Total 2,983,829 1,005 (42,606) 2,942,228 Royal Bank of Canada, 1.82%, due 5/1/2018 (b) Aa3/AA- - (7,589) 510,915 Abay Leasing 2014 LLC, 2.65%, $2,575 par, due 11/9/2026 $ 2,575 2,576 14

18 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Ally Auto Receivables Trust , 1.28%, $2,600 par, due 6/17/2019 $ 2,600 2,595 Ally Auto Receivables Trust 2014-SN1, 0.75%, $2,600 par, due 2/21/2017 2,600 2,595 American Express Crdt Acct Mstr Trst AMXCA A 3.0-YR, 1.43%, $2,800 par, due 6/15/2020 2,800 2,795 American Express Credit Corp, 2.8%, $1,502 par, due 9/19/2016 1,527 1,546 American Honda Finance Corp, 2.13%, $1,500 par, due 10/10/2018 1,496 1,509 American Honda Finance Corp, 2.6%, $1,500 par, due 9/20/2016 (d) 1,524 1,544 AmeriCredit Auto Receivables Trust AMCAR A3 2.2-YR, 1.27%, $2,500 par, due 7/8/2019 2,500 2,490 AmeriCredit Automobile Receivables Trust , 0.94%, $2,500 par, due 2/8/2019 2,500 2,490 AT&T Inc, 2.4%, $1,790 par, due 8/15/2016 1,821 1,826 Banc of America Commercial Mortgage Trust , 5.73%, $2,000 par, due 5/10/2045 (b) 2,261 2,082 Bank of America Corp, 6.05%, $1,275 par, due 5/16/2016 1,288 1,350 Bank of America NA, 1.13%, $1,300 par, due 11/14/2016 1,299 1,295 Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24, 5.54%, $1,851 par, due 10/12/2041 2,087 1,952 Becton Dickinson and Co, 2.67%, $900 par, due 12/15/ BMW Vehicle Owner Trust 2013-A, 0.67%, $1,200 par, due 11/27/2017 1,200 1,200 BMW Vehicle Owner Trust 2014-A, 0.97%, $2,500 par, due 11/26/2018 2,500 2,497 BNP Paribas SA, 1.38%, $1,700 par, due 3/17/2017 1,700 1,695 BNY Mellon NA, 5.45%, $2,000 par, due 4/1/2016 2,071 2,115 Board of Trustees of The Leland Stanford Junior University, 4.25%, $1,750 par, due 5/1/2016 1,826 1,827 BP Capital Markets PLC, 2.25%, $1,500 par, due 11/1/2016 1,517 1,529 Branch Banking & Trust Co, 5.63%, $1,700 par, due 9/15/2016 1,795 1,822 Brazos Student Finance Corp, 0.5%, $756 par, due 6/25/2027 (b) Brown-Forman Corp, 2.5%, $1,000 par, due 1/15/2016 1,013 1,017 Capital Auto Receivables Asset Trust, 0.85%, $2,100 par, due 2/21/2017 2,100 2,101 Capital Auto Receivables Asset, 0.91%, $2,500 par, due 4/20/2017 2,500 2,499 Capital One MultiAsset Execution Tr, 0.96%, $2,699 par, due 9/16/2019 2,699 2,689 CarMax Auto Owner Trust , 1.25%, $2,500 par, due 11/15/2019 2,500 2,493 Caterpillar Financial Services Corp, 1.35%, $300 par, due 9/6/ Caterpillar Financial Services Corp, 1.75%, $815 par, due 3/24/ Caterpillar Financial Services Corp, 2.25%, $440 par, due 12/1/ CD 2006-CD2 Mortgage Trust, 5.3%, $1,724 par, due 1/15/2046 (b) 1,895 1,773 Chase Issuance Trust, 0.43%, $2,500 par, due 5/15/2019 (b) 2,499 2,502 Chase Issuance Trust, 1.38%, $1,000 par, due 11/15/2019 1, Chevron Corp, 0.89%, $620 par, due 6/24/ Chevron Corp, 2.19%, $930 par, due 11/15/ Chrysler Capital Auto Receivables Tr, 1.27%, $2,600 par, due 9/15/2017 (d) 2,600 2,603 CIT Education Loan Trust , 0.36%, $1,770 par, due 3/15/2026 (b) 1,742 1,754 CIT Equipment Collateral 2014-VT1, 1.5%, $2,600 par, due 10/21/2019 (d) 2,600 2,592 Citibank Credit Card Issuance Trust, 1.02%, $2,400 par, due 2/22/2019 2,400 2,391 Citibank Credit Card Issuance Trust, 1.11%, $725 par, due 7/23/ Citigroup Inc, 1.7%, $1,100 par, due 7/25/2016 1,100 1,108 Citigroup Inc, 1.75%, $1,112 par, due 5/1/2018 1,101 1,099 Citigroup Inc, 1.85%, $400 par, due 11/24/ City & County of Honolulu HI, 3.95%, $1,075 par, due 9/1/2015 1,098 1,098 City & County of Honolulu HI, 4.25%, $490 par, due 9/1/ City of Ann Arbor MI, 4.25%, $1,000 par, due 5/1/2016 1,040 1,044 City of Cedar Rapids IA, 2.5%, $820 par, due 6/1/ City of Corpus Christi TX, 0.93%, $1,250 par, due 3/1/2016 1,250 1,245 Clayton School District/MO, 2.63%, $1,600 par, due 3/1/2016 1,636 1,631 CNH Equipment Trust 2014-B, 0.91%, $2,700 par, due 5/15/2019 2,700 2,692 Coca-Cola Co/The, 1.8%, $1,600 par, due 9/1/2016 1,620 1,627 Coca-Cola Enterprises Inc, 2.13%, $1,750 par, due 9/15/2015 1,759 1,767 COMM 2005-LP5 Mortgage Trust, 4.98%, $2,164 par, due 5/10/2043 2,348 2,174 Commonwealth Edison Co, 4.7%, $900 par, due 4/15/ ConocoPhillips Canada Funding Co I, 5.63%, $1,400 par, due 10/15/2016 1,504 1,511 Cooper US Inc, 2.38%, $1,500 par, due 1/15/2016 1,514 1,523 County of Collin TX, 0.91%, $1,350 par, due 2/15/2016 1,350 1,351 County of Knox TN, 1.49%, $1,365 par, due 6/1/2018 1,372 1,359 County of Linn IA, 2.25%, $475 par, due 6/1/ Covidien International Finance SA, 6%, $1,400 par, due 10/15/2017 1,541 1,567 Credit Suisse Commercial Mortgage Trust Series 2006-C1, 5.47%, $2,540 par, due 2/15/2039 (b) 2,815 2,613 Credit Suisse/New York NY, 1.38%, $450 par, due 5/26/ CVS Health Corp, 1.2%, $320 par, due 12/5/ Daimler Finance North America LLC, 1.3%, $1,500 par, due 7/31/2015 (d) 1,499 1,506 DBRR 2013-EZ2 Trust, 0.85%, $661 par, due 2/25/2043 (d) DBUBS 2011-LC2 Mortgage Trust, 4.54%, $2,600 par, due 7/10/2044 (d) 2,860 2,871 Denver City & County School District No 1, 0.72%, $1,800 par, due 12/1/2015 1,800 1,800 Discover Card Execution Note Trust, 1.39%, $2,500 par, due 4/15/2020 2,500 2,495 DNB Boligkreditt AS, 1.45%, $1,700 par, due 3/21/2018 (d) 1,693 1,692 Ecolab Inc, 1.45%, $1,250 par, due 12/8/2017 1,237 1,239 Edsouth Indenture No 2 LLC, 1.32%, $1,585 par, due 9/25/2040 (b)(d) 1,612 1,601 Ensco PLC, 3.25%, $1,500 par, due 3/15/2016 1,524 1,527 Entergy Mississippi Inc, 3.25%, $1,500 par, due 6/1/2016 1,521 1,546 Ethiopian Leasing 2012 LLC, 2.57%, $1,825 par, due 8/14/2026 1,825 1,799 Export Leasing 2009 LLC, 1.86%, $2,105 par, due 8/28/2021 2,105 2,103 Extended Stay America Trust 2013-ESH, 0.87%, $2,300 par, due 12/5/2031 (b)(d) 2,300 2,290 Extended Stay America Trust 2013-ESH, 1.28%, $2,325 par, due 12/5/2031 (d) 2,320 2,307 Fannie Mae Pool, 2%, $1,497 par, due 11/1/2022 1,535 1,521 Fannie Mae Pool, 2%, $1,800 par, due 5/1/2023 1,839 1,829 Fannie Mae Pool, 2%, $1,916 par, due 8/1/2023 1,950 1,947 Fannie Mae Pool, 2.24%, $536 par, due 11/1/2035 (b) Fannie Mae Pool, 2.36%, $3,097 par, due 8/1/2042 3,188 3,161 Fannie Mae Pool, 2.5%, $1,077 par, due 1/1/2023 1,112 1,108 Fannie Mae Pool, 2.5%, $1,134 par, due 9/1/2022 1,173 1,166 Fannie Mae Pool, 2.5%, $1,245 par, due 8/1/2023 1,277 1,281 Fannie Mae Pool, 2.5%, $1,252 par, due 1/1/2028 1,302 1,276 Fannie Mae Pool, 2.5%, $1,255 par, due 12/1/2027 1,308 1,275 Fannie Mae Pool, 2.5%, $1,360 par, due 8/1/2022 1,398 1,399 Fannie Mae Pool, 2.5%, $1,405 par, due 10/1/2022 1,444 1,446 Fannie Mae Pool, 2.5%, $1,662 par, due 3/1/2023 1,716 1,710 Fannie Mae Pool, 2.5%, $1,899 par, due 10/1/2022 1,963 1,954 Fannie Mae Pool, 2.5%, $2,077 par, due 11/1/2022 2,132 2,137 Fannie Mae Pool, 2.5%, $2,807 par, due 7/1/2022 2,880 2,887 Fannie Mae Pool, 2.5%, $2,830 par, due 7/1/2023 2,871 2,911 Fannie Mae Pool, 2.5%, $2,858 par, due 8/1/2022 2,929 2,941 Fannie Mae Pool, 2.5%, $2,894 par, due 9/1/2022 2,976 2,977 Fannie Mae Pool, 2.51%, $6,392 par, due 7/1/2020 6,487 6,472 Fannie Mae Pool, 2.74%, $1,700 par, due 4/1/2021 1,727 1,746 Fannie Mae Pool, 2.81%, $2,453 par, due 8/1/2044 2,519 2,532 Fannie Mae Pool, 2.82%, $5,686 par, due 6/1/2016 5,804 5,812 Fannie Mae Pool, 2.83%, $4,854 par, due 8/1/2044 4,979 5,012 Fannie Mae Pool, 2.84%, $2,478 par, due 8/1/2044 2,541 2,560 15

19 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) Fannie Mae Pool, 2.86%, $2,455 par, due 8/1/2044 $ 2,517 2,537 Fannie Mae Pool, 2.89%, $4,729 par, due 9/1/2018 4,898 4,906 Fannie Mae Pool, 2.96%, $1,124 par, due 2/1/2041 (b) 1,171 1,199 Fannie Mae Pool, 3.13%, $2,112 par, due 2/1/2041 (b) 2,204 2,251 Fannie Mae Pool, 3.79%, $1,663 par, due 5/1/2036 (b) 1,720 1,710 Fannie Mae Pool, 3.96%, $777 par, due 10/1/2032 (b) Fannie Mae Pool, 4.75%, $3,106 par, due 4/1/2016 3,220 3,231 Fannie Mae REMIC Trust 2003-W4, 5.3%, $313 par, due 10/25/ Fannie Mae-Aces, 2.17%, $5,400 par, due 9/25/2019 5,400 5,424 Federal National Mortgage Association, 0.88%, $4,750 par, due 5/21/2018 4,693 4,671 FHLMC K710 A2 Multifam, 1.88%, $2,200 par, due 5/25/2019 2,155 2,200 FHLMC Multifamily Structured Pass Through Certificates, 2.09%, $2,600 par, due 3/25/2019 2,623 2,623 FHLMC Multifamily Structured Pass Through Certificates, 2.46%, $2,600 par, due 8/25/2019 2,675 2,655 FHLMC Multifamily Structured Pass Through Certificates, 2.99%, $5,100 par, due 9/25/2021 5,250 5,281 FHLMC Multifamily Structured Pass Through, 3.88%, $2,000 par, due 11/25/2017 2,137 2,127 Fifth Third Auto Trust , 0.89%, $2,500 par, due 11/15/2018 2,500 2,494 Fiserv Inc, 3.13%, $540 par, due 6/15/ Ford Credit Auto Owner Trust 2013-C, 0.82%, $1,300 par, due 12/15/2017 1,300 1,302 Ford Credit Auto Owner Trust 2013-D, 0.67%, $1,780 par, due 4/15/2018 1,780 1,778 Ford Credit Auto Owner Trust 2014-C, 1.06%, $2,600 par, due 5/15/2019 2,600 2,592 Ford Motor Credit Co LLC, 2.5%, $1,000 par, due 1/15/ ,011 Freddie Mac Gold Pool, 3%, $1,518 par, due 12/1/2021 1,577 1,582 Freddie Mac Gold Pool, 3%, $2,289 par, due 10/1/2026 2,373 2,384 Freddie Mac Gold Pool, 3%, $3,013 par, due 5/1/2027 3,141 3,139 Freddie Mac Gold Pool, 3%, $3,511 par, due 5/1/2027 3,661 3,641 Freddie Mac Non Gold Pool, 2.22%, $1,257 par, due 1/1/2043 (b) 1,295 1,274 Freddie Mac Non Gold Pool, 2.29%, $2,042 par, due 8/1/2043 (b) 2,081 2,072 Freddie Mac Non Gold Pool, 2.37%, $2,309 par, due 7/1/2042 (b) 2,377 2,398 Freddie Mac Non Gold Pool, 2.37%, $381 par, due 1/1/2036 (b) Freddie Mac Non Gold Pool, 2.42%, $4,431 par, due 7/1/2042 (b) 4,550 4,532 Freddie Mac Non Gold Pool, 2.49%, $166 par, due 12/1/2033 (b) Freddie Mac Non Gold Pool, 2.49%, $3,214 par, due 9/1/2042 (b) 3,308 3,293 Freddie Mac Non Gold Pool, 2.6%, $772 par, due 10/1/2024 (b) Freddie Mac Non Gold Pool, 2.63%, $2,714 par, due 1/1/2041 (b) 2,805 2,895 Freddie Mac Non Gold Pool, 2.68%, $2,452 par, due 9/1/2044 (b) 2,496 2,517 Freddie Mac Non Gold Pool, 2.72%, $4,858 par, due 8/1/2044 (b) 4,971 4,998 Freddie Mac Non Gold Pool, 3%, $1,705 par, due 11/1/2040 (b) 1,775 1,806 Freddie Mac Non Gold Pool, 6.06%, $48 par, due 11/1/2036 (b) GE Capital Commercial Mortgage Corp Series 2006-C1 Trust, 5.27%, $2,163 par, due 3/10/2044 (b) 2,382 2,216 GE Capital Commercial Mortgage Corp, 4.97%, $2,250 par, due 7/10/2045 (b) 2,456 2,274 GE Dealer Floorplan Master Note Trust, 0.55%, $2,500 par, due 7/20/2019 (b) 2,500 2,498 GE Equipment Small Ticket LLC Series , 0.95%, $2,500 par, due 9/25/2017 (d) 2,500 2,495 GE Equipment Transportation LLC Series , 0.97%, $3,000 par, due 4/23/2018 3,000 2,998 General Electric Capital Corp, 5.63%, $1,700 par, due 9/15/2017 1,847 1,887 General Electric Co, 0.85%, $640 par, due 10/9/ General Mills Inc, 5.2%, $1,000 par, due 3/17/2015 1,008 1,009 Ginnie Mae II pool, 1.5%, $3,580 par, due 6/20/2058 (b) 3,642 3,661 Ginnie Mae II pool, 5.52%, $1,661 par, due 12/20/2059 (b) 1,836 1,785 Ginnie Mae II pool, 5.59%, $2,909 par, due 10/20/2059 (b) 3,213 3,074 Ginnie Mae II pool, 5.6%, $3,212 par, due 12/20/2059 (b) 3,607 3,453 Ginnie Mae II pool, 5.62%, $2,855 par, due 9/20/2059 (b) 3,164 3,030 GM Financial Automobile Leasing Trust , 1.01%, $2,300 par, due 5/22/2017 (d) 2,300 2,296 Harley-Davidson Motorcycle Trust , 0.65%, $1,028 par, due 7/15/2016 1,028 1,028 Hays Consolidated Independent School District, 4%, $1,150 par, due 8/15/2016 1,209 1,201 Helios Leasing I LLC, 1.73%, $829 par, due 7/24/ Helios Leasing I LLC, 2.02%, $1,744 par, due 5/29/2024 1,744 1,704 Honda Auto Receivables Owner Trust, 0.69%, $1,600 par, due 9/18/2017 1,600 1,599 Honda Auto Receivables Owner Trust, 0.67%, $2,500 par, due 12/21/2017 2,500 2,494 Honda Auto Receivables Owner Trust, 0.99%, $2,600 par, due 9/17/2018 2,600 2,594 HSBC Bank PLC, 3.1%, $1,500 par, due 5/24/2016 (d) 1,517 1,549 Hyundai Auto Receivables Trust 2013-C, 1.01%, $2,000 par, due 2/15/2018 2,000 2,006 Hyundai Capital America, 1.45%, $1,100 par, due 2/6/2017 (d) 1,099 1,096 Illinois Sales Tax, 1.06%, $1,000 par, due 6/15/2015 1,000 1,002 Ingredion Inc, 3.2%, $555 par, due 11/1/ International Business Machines Corp, 5.7%, $1,500 par, due 9/14/2017 1,652 1,672 John Deere Capital Corp, 1.85%, $1,500 par, due 9/15/2016 1,516 1,525 John Deere Owner Trust 2014-A, 0.92%, $2,500 par, due 4/16/2018 2,500 2,499 JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, 5.47%, $2,159 par, due 4/15/2043 2,389 2,225 JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10, 5.44%, $2,206 par, due 1/15/2049 2,390 2,358 JPMorgan Chase & Co, 3.15%, $2,250 par, due 7/5/2016 2,283 2,313 Kellogg Co, 4.45%, $1,144 par, due 5/30/2016 1,192 1,203 Kentucky Higher Education Student Loan Corp, 0.76%, $1,880 par, due 9/1/2028 (b) 1,869 1,875 KeyBank NA/Cleveland OH, 2.5%, $250 par, due 12/15/ Kraft Foods Group Inc, 1.63%, $900 par, due 6/4/ Kroger Co/The, 3.9%, $1,500 par, due 10/1/2015 1,528 1,532 Lake County Township High School District No 121 Warren, 1.35%, $750 par, due 3/1/ LB-UBS Commercial Mortgage Trust 2006-C6, 5.37%, $2,015 par, due 9/15/2039 2,259 2,130 Liberty Property LP, 5.13%, $1,400 par, due 3/2/2015 1,406 1,410 Lockheed Martin Corp, 2.13%, $1,680 par, due 9/15/2016 1,698 1,711 M&T Bank Auto Receivables Trust , 1.06%, $2,000 par, due 11/15/2017 (d) 2,000 2,006 MassMutual Global Funding II, 3.13%, $1,500 par, due 4/14/2016 (d) 1,532 1,545 McAllen Independent School District, 1.18%, $610 par, due 2/15/2016 (e) McCormick & Co Inc/MD, 5.2%, $1,750 par, due 12/15/2015 1,809 1,826 Medtronic Inc, 2.5%, $100 par, due 3/15/2020 (d) Medtronic Inc, 4.75%, $1,398 par, due 9/15/2015 1,434 1,439 Mercedes-Benz Auto Rec Trust, 0.78%, $325 par, due 8/15/ Merrill Lynch Mortgage Trust 2005-MCP1, 4.75%, $1,437 par, due 6/12/2043 1,550 1,445 Micron Semiconductor Asia Pte Ltd, 1.26%, $2,758 par, due 1/15/2019 2,759 2,754 MidAmerican Energy Co, 5.3%, $1,250 par, due 3/15/2018 1,387 1,391 ML-CFC Commercial Mortgage Trust , 5.47%, $2,077 par, due 2/12/2039 (b) 2,283 2,147 Morgan Stanley BAML Trust, 0.74%, $1,658 par, due 2/15/2046 1,658 1,659 Morgan Stanley Capital I Trust 2007-IQ13, 5.36%, $2,325 par, due 3/15/2044 2,560 2,492 Morgan Stanley, 1.88%, $170 par, due 1/5/ Morgan Stanley, 5.75%, $1,150 par, due 10/18/2016 1,156 1,235 Multnomah & Clackamas School Dist No 10JT Gresham-Barlow, 1.23%, $790 par, due 6/15/ National Australia Bank Ltd, 2%, $2,000 par, due 6/20/2017 (d) 2,031 2,030 National Bank of Canada, 2.2%, $1,000 par, due 10/19/2016 (d) 1,017 1,022 New York Life Global Funding, 1.3%, $1,635 par, due 10/30/2017 (d) 1,604 1,627 New York State Dormitory Authority, 1%, $1,000 par, due 2/15/2016 1,000 1,004 Nissan Auto Lease Trust 2014-B, 1.12%, $2,500 par, due 9/15/2017 2,500 2,490 Nissan Auto Receivables 2013-B Owner Trust, 0.84%, $800 par, due 11/15/ Norfolk Southern Corp, 5.75%, $1,750 par, due 1/15/2016 1,830 1,834 16

20 Schedule of Investments in Contracts and Other Securities Contract issuer Moody s/ S & P Investment Wrapper Adjustment rating (h) at fair contracts at to contract Contract Name of issuer (unaudited) Cost value (a) fair value (a) value (a) value (a) NYC Transitional Finance Auth Future Tax Secured Revenue, 2.15%, $750 par, due 5/1/2020 $ Oracle Corp, 1.2%, $1,440 par, due 10/15/2017 1,415 1,435 Overseas Private Investment Corp,.88%, $1,550 par, due 4/30/2016 (e) 2,500 2,548 Overseas Private Investment Corp,.50%, $2,500 par, due 7/7/2015 (e) 1,550 1,606 Overseas Private Investment Corp, 2.52%, $1,850 par, due 9/15/2022 1,850 1,849 PacifiCorp, 5.65%, $463 par, due 7/15/ Peco Energy Co, 5.35%, $468 par, due 3/1/ PepsiCo Inc, 2.5%, $1,200 par, due 5/10/2016 1,222 1,226 Petroleos Mexicanos, 1.7%, $1,820 par, due 12/20/2022 1,820 1,774 Phillips 66, 2.95%, $400 par, due 5/1/ PNC Funding Corp, 2.7%, $1,500 par, due 9/19/2016 1,525 1,540 Provo School District, 1.12%, $1,050 par, due 6/15/2016 1,050 1,056 Public Service Co of Oklahoma, 6.15%, $1,125 par, due 8/1/2016 1,194 1,207 Public Service Electric & Gas Co, 2.3%, $800 par, due 9/15/ Reckitt Benckiser Treasury Services PLC, 2.13%, $300 par, due 9/21/2018 (d) Royal Bank of Canada, 1.2%, $1,000 par, due 9/19/ Royal Bank of Canada, 2.2%, $1,500 par, due 7/27/2018 1,488 1,517 Schlumberger Investment SA, 1.95%, $550 par, due 9/14/2016 (d) Sherwin-Williams Co/The, 1.35%, $1,410 par, due 12/15/2017 1,384 1,400 SLM Student Loan Trust , 0.56%, $2,250 par, due 1/25/2021 (b) 2,217 2,248 SLM Student Loan Trust , 0.57%, $1,295 par, due 3/25/2025 (b) 1,294 1,295 SLM Student Loan Trust , 0.47%, $2,350 par, due 5/26/2020 (b) 2,348 2,346 Small Business Administration Participation Certificates, 5.37%, $2,740 par, due 4/1/2028 3,073 3,045 Small Business Administration Participation Certificates, 5.49%, $2,664 par, due 5/1/2028 3,001 2,932 Small Business Administration Participation Certificates, 5.57%, $2,072 par, due 10/1/2027 2,313 2,327 Small Business Administration Participation Certificates, 5.78%, $1,411 par, due 8/1/2027 1,599 1,573 Southern California Edison Co, 4.65%, $1,500 par, due 4/1/2015 1,514 1,515 Southwestern Public Service Co, 5.6%, $1,500 par, due 10/1/2016 1,584 1,621 State of Delaware, 4.3%, $1,000 par, due 10/1/2018 1,069 1,100 State of Michigan, 6.25%, $1,100 par, due 11/1/2016 1,198 1,203 State of Texas, 3%, $1,000 par, due 10/1/2016 1,022 1,038 State of Washington, 3.35%, $450 par, due 8/1/ State of Wisconsin, 1.08%, $500 par, due 5/1/ State Street Bank & Trust Co, 5.3%, $1,500 par, due 1/15/2016 1,551 1,569 Texas Children's Hospital, 2.37%, $1,545 par, due 10/1/2020 1,545 1,560 Texas Children's Hospital, 2.57%, $1,000 par, due 10/1/2021 1,000 1,011 Time Warner Inc, 3.15%, $1,500 par, due 7/15/2015 1,514 1,521 Torchmark Corp, 6.38%, $1,500 par, due 6/15/2016 1,566 1,610 Toronto-Dominion Bank/The, 1.63%, $2,000 par, due 9/14/2016 (d) 2,013 2,023 Total Capital International SA, 0.75%, $810 par, due 1/25/ Toyota Auto Receivables 2013-B Owner Trust, 0.89%, $1,700 par, due 7/17/2017 1,700 1,703 Toyota Auto Receivables 2014-B Owner Trust, 0.76%, $2,600 par, due 3/15/2018 2,600 2,592 Toyota Motor Credit Corp, 2%, $1,500 par, due 9/15/2016 1,511 1,527 TSMC Global Ltd, 0.95%, $1,700 par, due 4/3/2016 (d) 1,700 1,692 UBS AG/Stamford CT, 1.38%, $500 par, due 8/14/ Ukraine Government AID Bonds, 1.84%, $1,200 par, due 5/16/2019 1,200 1,208 Union Pacific Corp, 4.88%, $1,500 par, due 1/15/2015 1,502 1,502 United States Treasury Inflation Indexed Bonds, 0.13%, $13,037 par, due 4/15/2019 (g) 13,102 13,065 United States Treasury Inflation Indexed Bonds, 0.13%, $218 par, due 4/15/2018 (g) United States Treasury Note/Bond, 1.5%, $5,175 par, due 5/31/2019 5,130 5,162 United States Treasury Note/Bond, 1.63%, $10,000 par, due 6/30/2019 9,980 10,025 United States Treasury Note/Bond, 1.75%, $20,000 par, due 9/30/ ,198 20,117 Valspar Corp/The, 5.1%, $1,500 par, due 8/1/2015 1,519 1,536 Verizon Communications Inc, 2%, $1,500 par, due 11/1/2016 1,516 1,522 Verizon Communications Inc, 3.65%, $300 par, due 9/14/ Virginia College Building Authority, 3%, $1,000 par, due 2/1/2015 1,002 1,002 Volkswagen Group of America Finance LLC, 1.6%, $840 par, due 11/20/2017 (d) Vornado Realty LP, 4.25%, $1,725 par, due 4/1/2015 1,725 1,725 Windermere Aviation LLC, 2.35%, $1,931 par, due 5/27/2026 1,931 1,898 World Omni Auto Receivables Trust 2013-B, 0.83%, $1,025 par, due 8/15/2018 1,025 1,024 World Omni Auto Receivables Trust 2014-B, 1.14%, $3,100 par, due 1/15/2020 3,100 3,083 Zarapito Leasing LLC, 2.63%, $1,950 par, due 11/12/2026 1,950 1,944 Wells Fargo Short Term Investment Fund S, 0.19%, 2,212 units (c) 2,212 2,212 Total 517, ,123 Accrued income receivable 1,864 Variation margin 3 Deposit with broker (i) 30 Receivable for investment payments due 484 Total 518,504 - (7,589) 510,915 Royal Bank of Canada, 1.67%, due 5/1/2017 (b) Aa3/AA- - (10,255) 748,680 Abay Leasing 2014 LLC, 2.65%, $3,700 par, due 11/9/2026 $ 3,700 3,702 Adams 12 Five Star Schools, 2.25%, $2,000 par, due 12/15/2015 2,014 2,026 Ally Auto Receivables Trust , 1.25%, $3,700 par, due 4/15/2019 3,699 3,694 American Express Centurion Bank, 5.95%, $1,250 par, due 6/12/2017 1,379 1,383 American Express Crdt Acct Mstr Trst AMXCA A 3.0-YR, 1.43%, $4,100 par, due 6/15/2020 4,100 4,092 American Express Credit Corp, 1.55%, $550 par, due 9/22/ American Express Credit Corp, 2.75%, $500 par, due 9/15/ American Honda Finance Corp, 1.13%, $240 par, due 10/7/ American Honda Finance Corp, 2.13%, $1,700 par, due 2/28/2017 (d) 1,712 1,731 AmeriCredit Auto Receivables T, 0.9%, $3,700 par, due 1/8/2019 3,700 3,691 AmeriCredit Auto Receivables Trust AMCAR A3 2.2-YR, 1.27%, $3,600 par, due 7/8/2019 3,599 3,586 Anheuser-Busch InBev Worldwide Inc, 3.63%, $3,250 par, due 4/15/2015 3,268 3,279 BAMLL Commercial Mortgage Securities Trust 2013-DSNY, 1.21%, $1,125 par, due 9/15/2026 (b)(d) 1,125 1,124 Banc of America Commercial Mortgage Trust , 5.73%, $3,165 par, due 5/10/2045 (b) 3,576 3,295 Banc of America Merrill Lynch Commercial Mortgage Inc, 4.86%, $1,632 par, due 7/10/2043 1,765 1,639 Banc of America Merrill Lynch Commercial Mortgage Inc, 5.12%, $1,412 par, due 10/10/2045 (b) 1,523 1,436 Banc of America Merrill Lynch Commercial Mortgage Inc, 5.15%, $1,607 par, due 9/10/2047 (b) 1,749 1,640 Bank of America Corp, 4.5%, $2,250 par, due 4/1/2015 2,252 2,271 Bank of America NA, 1.13%, $1,700 par, due 11/14/2016 1,699 1,694 Bank of New York Mellon Corp/The, 2.4%, $675 par, due 1/17/ Bank of The West Auto Trust , 1.09%, $3,800 par, due 3/15/2019 (d) 3,799 3,802 Baxter International Inc, 1.85%, $1,000 par, due 1/15/2017 1,004 1,011 BB&T Corp, 2.45%, $1,500 par, due 1/15/2020 1,498 1,494 Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.2%, $3,275 par, due 12/11/2038 3,720 3,471 Bear Stearns Commercial Mortgage Securities Trust 2006-TOP24, 5.54%, $2,472 par, due 10/12/2041 2,784 2,607 Becton Dickinson and Co, 2.67%, $1,320 par, due 12/15/2019 1,320 1,337 Bexar County Hospital District, 2.03%, $1,000 par, due 2/15/2015 1,001 1,002 BMW Vehicle Owner Trust 2014-A, 0.97%, $3,700 par, due 11/26/2018 3,700 3,696 BNP Paribas SA, 1.38%, $2,400 par, due 3/17/2017 2,400 2,393 BP Capital Markets PLC, 3.13%, $550 par, due 10/1/ Burlington Northern Santa Fe LLC, 5.65%, $2,772 par, due 5/1/2017 3,023 3,040 17

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