State Street Bank and Trust Company State Street U.S. Government/Credit Bond Index Non-Lending Series Fund Financial Statements December 31, 2015

Transcription

1 Financial Statements

2 Independent Auditor's Report To the Trustee of State Street Bank and Trust Company We have audited the accompanying financial statements of State Street Bank and Trust Company State Street U.S. Government/Credit Bond Index Non-Lending Series Fund (formerly State Street Bank and Trust Company SSgA U.S. Government/Credit Bond Index Non-Lending Series Fund) ("the Fund"), which comprise the statement of assets and liabilities, including the schedule of investments as of December 31, 2015, and the related statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management's Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on the financial statements 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 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 our 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, we consider internal control relevant to the Fund 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 Fund 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. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of State Street Bank and Trust Company at, and the results of its operations and changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. March 24, 2016 PricewaterhouseCoopers LLP, 101 Seaport Boulevard, Suite 500, Boston, MA T: (617) , F: (617) ,

3 Statement of Assets and Liabilities Assets Investments in securities, at value (cost $805,574,429) $ 809,602,350 Receivable for Fund units issued 3,019,317 Receivable for investments sold 1,274,475 receivable 5,860,940 Total assets 819,757,082 Liabilities Payable for investments purchased 6,945,709 Accrued expenses 20,268 Total liabilities 6,965,977 Net Assets, at value $ 812,791,105 2

4 Statement of Assets and Liabilities (continued) - Class A (54,262,731 units outstanding, at $11.79 per unit net asset value) $ 639,914,515 - Class C (14,908,430 units outstanding, at $11.60 per unit net asset value) 172,876,590 $ 812,791,105 3

5 Statement of Operations Year Ended Investment income $ 20,822,613 Other 1,385 Total investment income 20,823,998 Expenses Management 88,360 Administration 89,220 Audit 35,000 Other 12,101 Total expenses 224,681 Net investment income (loss) 20,599,317 Net realized and unrealized gain (loss): Net realized gain (loss): Investments 1,202,478 Net change in unrealized appreciation (depreciation): Investments (20,718,345) Net realized and unrealized gain (loss) (19,515,867) Net increase (decrease) in net assets resulting from operations $ 1,083,450 4

6 Statement of Changes in Net Assets Year Ended From operations Net investment income (loss) $ 20,599,317 Net realized gain (loss) 1,202,478 Net change in unrealized appreciation (depreciation) (20,718,345) Net increase (decrease) in net assets resulting from operations 1,083,450 Net increase (decrease) in net assets resulting from participant transactions (13,116,384) Net increase (decrease) in net assets (12,032,934) Net Assets Beginning of year 824,824,039 End of year $ 812,791,105 5

7 Statement of Changes in Net Assets (continued) Year Ended Units Amount Units of Participation Participant transactions for the Fund were as follows: Class A Units issued 6,682,427 $ 79,519,372 Units redeemed (7,198,099) (85,155,150) (515,672) (5,635,778) Class C Units issued 1,630,475 $ 19,045,743 Units redeemed (2,271,602) (26,526,349) (641,127) (7,480,606) Net increase (decrease) $ (13,116,384) 6

8 - Class A Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ Net investment income (loss) Net realized and unrealized gain (loss) (0.27) Total from investment operations 0.02 Net asset value, end of year $ Total return (%) Ratios to Average Net Assets 3 Ratio of expenses (%) Ratio of net investment income (loss) (%) Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. 3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2). 4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 7

9 - Class C Financial Highlights Year Ended (For a Unit of Participation Outstanding Throughout the Year) Selected Per Unit Data Net asset value, beginning of year $ Net investment income (loss) Net realized and unrealized gain (loss) (0.26) Total from investment operations 0.02 Net asset value, end of year $ Total return (%) Ratios to Average Net Assets 3 Ratio of expenses (%) Ratio of net investment income (loss) (%) Net investment income (loss) per unit has been calculated based upon an average of daily units outstanding. 2 Calculation is based on the value of a single unit of participation outstanding throughout the year. It represents the percentage change in the net asset value per unit between the beginning and end of the year. The calculation includes only those expenses charged directly to the Class. The result may be reduced by any administrative or other fees which are incurred in the management or maintenance of individual participant accounts. 3 Calculations include only those expenses charged directly to the Fund (direct expenses) and do not include expenses charged to the funds in which the Fund invests (indirect expenses) (Note 2). 4 Please refer to the Additional Expense Information in the accompanying notes for further disclosures regarding expenses. 8

10 Advertising - 0.1% Interpublic Group of Companies Inc. 2.25% 11/15/2017 USD 100,000 99,486 Omnicom Group Inc. 6.25% 07/15/ ,000 11,208 Omnicom Group Inc. 4.45% 08/15/ ,000 37,251 Omnicom Group Inc. 3.63% 05/01/ , ,246 WPP Finance % 11/15/ , , ,669 Aerospace/Defense - 0.6% Boeing Co. 4.88% 02/15/2020 USD 126, ,996 Boeing Co. 8.75% 08/15/2021 6,000 7,900 Boeing Co. 7.95% 08/15/2024 5,000 6,676 Boeing Co. 6.13% 02/15/2033 7,000 8,771 Boeing Co. 6.63% 02/15/2038 3,000 4,015 Boeing Co. 6.88% 03/15/ , ,971 Boeing Co. 5.88% 02/15/ , ,621 Embraer Netherlands Finance BV 5.05% 06/15/ ,000 45,563 Embraer SA 5.15% 06/15/ ,000 24,344 General Dynamics Corp. 2.25% 11/15/ , ,002 Harris Corp. 2.00% 04/27/ , ,641 Harris Corp. 2.70% 04/27/ ,000 34,228 Harris Corp. 4.40% 12/15/ , ,966 Harris Corp. 3.83% 04/27/ ,000 49,251 L-3 Communications Corp. 5.20% 10/15/ , ,418 L-3 Communications Corp. 4.75% 07/15/ , ,251 Lockheed Martin Corp. 1.85% 11/23/ ,000 34,907 Lockheed Martin Corp. 2.50% 11/23/ ,000 49,588 Lockheed Martin Corp. 2.90% 03/01/ , ,302 Lockheed Martin Corp. 3.55% 01/15/ , ,194 Lockheed Martin Corp. 3.60% 03/01/ ,000 45,035 Lockheed Martin Corp. 4.50% 05/15/ ,000 20,209 Lockheed Martin Corp. 4.85% 09/15/ , ,432 Lockheed Martin Corp. 4.07% 12/15/ , ,139 Lockheed Martin Corp. 3.80% 03/01/ ,000 35,416 Lockheed Martin Corp. 4.70% 05/15/ ,000 45,071 Northrop Grumman Corp. 5.05% 08/01/ ,000 11,916 Northrop Grumman Corp. 3.50% 03/15/ , ,311 Northrop Grumman Corp. 3.25% 08/01/ , ,401 9

11 Raytheon Co. 6.40% 12/15/ ,000 12,323 Raytheon Co. 3.13% 10/15/ , ,542 Raytheon Co. 2.50% 12/15/ ,000 97,894 Raytheon Co. 7.20% 08/15/2027 6,000 7,938 Rockwell Collins Inc. 5.25% 07/15/ ,000 10,687 Rockwell Collins Inc. 3.70% 12/15/ , ,146 Rockwell Collins Inc. 4.80% 12/15/ , ,834 United Technologies Corp. 1.80% 06/01/ , ,514 United Technologies Corp. 5.38% 12/15/ , ,714 United Technologies Corp. 6.13% 02/01/ ,000 28,943 United Technologies Corp. 8.75% 03/01/2021 2,000 2,546 United Technologies Corp. 3.10% 06/01/ , ,148 United Technologies Corp. 6.70% 08/01/ ,000 13,957 United Technologies Corp. 7.50% 09/15/2029 8,000 10,814 United Technologies Corp. 5.40% 05/01/ ,000 11,140 United Technologies Corp. 6.05% 06/01/ , ,652 United Technologies Corp. 6.13% 07/15/ , ,906 United Technologies Corp. 4.50% 06/01/ , ,921 4,575,154 Agriculture - 0.4% Altria Group Inc. 9.70% 11/10/2018 USD 189, ,161 Altria Group Inc. 9.25% 08/06/ ,000 51,368 Altria Group Inc. 2.63% 01/14/ ,000 99,902 Altria Group Inc. 4.75% 05/05/ , ,319 Altria Group Inc. 2.85% 08/09/ ,000 97,546 Altria Group Inc. 4.00% 01/31/ , ,389 Altria Group Inc. 9.95% 11/10/ ,000 91,660 Altria Group Inc % 02/06/ ,000 57,353 Altria Group Inc. 4.25% 08/09/ , ,250 Archer-Daniels-Midland Co. 5.45% 03/15/ ,000 14,998 Archer-Daniels-Midland Co % 03/01/ ,000 37,982 Archer-Daniels-Midland Co. 4.54% 03/26/ ,000 20,511 Archer-Daniels-Midland Co. 4.02% 04/16/ , ,821 Bunge Ltd. Finance Corp. 8.50% 06/15/ ,000 15,075 Bunge Ltd. Finance Corp. 3.50% 11/24/ ,000 49,775 Bunge NA Finance LP 5.90% 04/01/2017 5,000 5,215 Philip Morris International Inc. 1.63% 03/20/ , ,473 10

12 Philip Morris International Inc. 1.25% 08/11/ ,000 99,949 Philip Morris International Inc. 5.65% 05/16/ , ,098 Philip Morris International Inc. 2.90% 11/15/ , ,264 Philip Morris International Inc. 3.25% 11/10/ , ,419 Philip Morris International Inc. 3.38% 08/11/ ,000 50,680 Philip Morris International Inc. 6.38% 05/16/ , ,576 Philip Morris International Inc. 4.50% 03/20/ ,000 50,227 Philip Morris International Inc. 4.13% 03/04/ , ,799 Reynolds American Inc. 6.75% 06/15/ ,000 30,952 Reynolds American Inc. 8.13% 06/23/ , ,738 Reynolds American Inc. 3.25% 06/12/ ,000 60,743 Reynolds American Inc. 3.25% 11/01/ , ,773 Reynolds American Inc. 3.75% 05/20/ , ,845 Reynolds American Inc. 4.85% 09/15/ , ,887 Reynolds American Inc. 4.45% 06/12/ ,000 47,091 Reynolds American Inc. 5.70% 08/15/ ,000 38,219 Reynolds American Inc. 7.25% 06/15/2037 6,000 7,296 Reynolds American Inc. 5.85% 08/15/ ,000 49,795 3,343,149 Airlines - 0.1% American Airlines Pass Through 3.70% 04/01/2028 USD 89,473 88,579 Trust American Airlines Pass Through 3.60% 03/22/ , ,000 Trust Continental Airlines Pass Through 7.25% 05/10/ , ,858 Trust Continental Airlines Pass Through 4.00% 04/29/ ,879 36,596 Trust Delta Air Lines Pass Through Trust 6.82% 02/10/2024 7,554 8,574 Delta Air Lines Pass Through Trust 3.63% 01/30/ ,000 75,938 Southwest Airlines Co. 5.13% 03/01/ ,000 15,620 Southwest Airlines Co. Pass Through 6.15% 02/01/2024 4,194 4,686 Trust United Airlines Inc. 4.15% 10/11/ ,695 89,888 United Airlines Pass Through Trust 4.00% 10/11/ , ,664 United Airlines Pass Through Trust 3.45% 06/01/ ,000 24,938 US Airways Pass Through Trust 5.90% 04/01/ ,762 22,942 11

13 US Airways Pass Through Trust 4.63% 12/03/ ,915 86, ,307 Apparel - 0.0% NIKE Inc. 2.25% 05/01/2023 USD 50,000 48,590 NIKE Inc. 3.88% 11/01/ ,000 48,322 Ralph Lauren Corp. 2.63% 08/18/ ,000 50,201 VF Corp. 5.95% 11/01/2017 6,000 6,426 VF Corp. 3.50% 09/01/ ,000 73,090 VF Corp. 6.00% 10/15/2033 4,000 4,811 VF Corp. 6.45% 11/01/2037 7,000 8, ,382 Auto Manufacturers - 0.3% American Honda Finance Corp. 0.95% 05/05/2017 USD 150, ,139 American Honda Finance Corp. 1.55% 12/11/ ,000 99,805 American Honda Finance Corp. 2.13% 10/10/ , ,077 American Honda Finance Corp. 2.45% 09/24/ ,000 99,996 Daimler Finance North America LLC 8.50% 01/18/ , ,279 Ford Motor Co. 7.45% 07/16/ , ,369 General Motors Co. 3.50% 10/02/ , ,960 General Motors Co. 5.00% 04/01/ , ,747 General Motors Co. 6.25% 10/02/ , ,747 General Motors Financial Co. Inc. 3.70% 11/24/ ,000 99,995 Toyota Motor Credit Corp. 2.00% 10/24/ , ,957 Toyota Motor Credit Corp. 2.10% 01/17/ , ,584 Toyota Motor Credit Corp. 2.13% 07/18/ , ,165 Toyota Motor Credit Corp. 4.50% 06/17/ , ,831 2,448,651 Auto Parts & Equipment - 0.1% BorgWarner Inc. 3.38% 03/15/2025 USD 100,000 94,294 Delphi Automotive PLC 3.15% 11/19/ ,000 49,998 Delphi Automotive PLC 4.25% 01/15/ ,000 50,092 Delphi Corp. 4.15% 03/15/ ,000 60,300 Johnson Controls Inc. 4.25% 03/01/ , ,271 Johnson Controls Inc. 3.63% 07/02/ ,000 41,469 Johnson Controls Inc. 6.00% 01/15/2036 4,000 4,181 12

14 Johnson Controls Inc. 4.95% 07/02/ ,000 51,603 Magna International Inc. 3.63% 06/15/ ,000 98, ,414 Banks - 8.8% Abbey National Treasury Services 1.65% 09/29/2017 USD 100,000 99,773 PLC Abbey National Treasury Services 2.00% 08/24/ , ,680 PLC Abbey National Treasury Services 4.00% 03/13/ , ,435 PLC American Express Bank FSB 6.00% 09/13/ ,000 19,249 American Express Centurion Bank 6.00% 09/13/2017 1,000 1,069 Associated Banc-Corp 2.75% 11/15/ ,000 99,450 Australia & New Zealand Banking 1.25% 06/13/ , ,557 Group Ltd. Australia & New Zealand Banking 1.45% 05/15/ , ,548 Group Ltd. BanColombia SA % 06/03/ , ,880 Bank of America Corp. 3.88% 03/22/ , ,523 Bank of America Corp. 6.40% 08/28/ ,000 43,870 Bank of America Corp. 6.00% 09/01/ , ,870 Bank of America Corp. 5.75% 12/01/ , ,851 Bank of America Corp. 2.00% 01/11/ , ,548 Bank of America Corp. 6.88% 04/25/2018 7,000 7,714 Bank of America Corp. 5.65% 05/01/ , ,100 Bank of America Corp. 1.95% 05/12/ , ,426 Bank of America Corp. 6.50% 07/15/ ,000 22,021 Bank of America Corp. 6.88% 11/15/ , ,152 Bank of America Corp. 5.49% 03/15/ ,000 16,300 Bank of America Corp. 2.65% 04/01/ , ,854 Bank of America Corp. 7.63% 06/01/ ,000 14,984 Bank of America Corp. 2.25% 04/21/ , ,371 Bank of America Corp. 5.63% 07/01/ , ,256 Bank of America Corp. 5.88% 01/05/ , ,345 Bank of America Corp. 5.70% 01/24/ , ,348 Bank of America Corp. 4.00% 04/01/ , ,028 Bank of America Corp. 4.20% 08/26/ , ,586 Bank of America Corp. 4.00% 01/22/ , ,093 13

15 Bank of America Corp. 3.95% 04/21/ , ,050 Bank of America Corp. 3.88% 08/01/ , ,151 Bank of America Corp. 4.25% 10/22/ , ,504 Bank of America Corp. 6.75% 06/01/2028 2,000 2,377 Bank of America Corp. 6.11% 01/29/ , ,180 Bank of America Corp. 7.75% 05/14/ , ,213 Bank of America Corp. 5.88% 02/07/ , ,846 Bank of America Corp. 5.00% 01/21/ , ,012 Bank of America Corp. 4.88% 04/01/ , ,376 Bank of America NA 1.25% 02/14/ , ,772 Bank of America NA 5.30% 03/15/ , ,313 Bank of America NA 6.10% 06/15/ ,000 24,318 Bank of America NA 2.05% 12/07/ , ,472 Bank of America NA 6.00% 10/15/ ,000 37,140 Bank of Montreal 1.30% 07/14/ , ,473 Bank of Montreal 1.40% 09/11/ , ,032 Bank of Montreal 1.45% 04/09/ ,000 99,125 Bank of Montreal 2.55% 11/06/ ,000 98,170 Bank of New York Mellon Corp. 5.50% 12/01/2017 7,000 7,468 Bank of New York Mellon Corp. 1.30% 01/25/ , ,773 Bank of New York Mellon Corp. 1.60% 05/22/ ,000 38,805 Bank of New York Mellon Corp. 5.45% 05/15/ ,000 11,016 Bank of New York Mellon Corp. 2.15% 02/24/ ,000 99,015 Bank of New York Mellon Corp. 2.60% 08/17/ , ,381 Bank of New York Mellon Corp. 2.45% 11/27/ ,000 49,769 Bank of New York Mellon Corp. 3.55% 09/23/ , ,054 Bank of New York Mellon Corp. 3.65% 02/04/ , ,331 Bank of New York Mellon Corp. 3.00% 02/24/ ,000 48,917 Bank of New York Mellon Corp. 3.95% 11/18/ , ,365 Bank of Nova Scotia 2.55% 01/12/ , ,940 Bank of Nova Scotia 1.25% 04/11/ , ,539 Bank of Nova Scotia 1.45% 04/25/ , ,663 Bank of Nova Scotia 2.35% 10/21/ , ,518 Bank of Nova Scotia 4.38% 01/13/ , ,075 Bank of Nova Scotia 4.50% 12/16/ ,000 49,897 Bank One Capital III 8.75% 09/01/2030 5,000 7,111 Bank One Corp. 7.75% 07/15/2025 3,000 3,690 Bank One Corp. 7.63% 10/15/ ,000 14,913 14

16 Bank One Corp. 8.00% 04/29/2027 7,000 8,992 Barclays Bank PLC 2.50% 02/20/ , ,250 Barclays Bank PLC 5.13% 01/08/ , ,266 Barclays Bank PLC 3.75% 05/15/ , ,950 Barclays PLC 2.00% 03/16/ , ,035 Barclays PLC 2.75% 11/08/ , ,629 Barclays PLC 2.88% 06/08/ , ,787 BB&T Corp. 2.15% 03/22/ , ,129 BB&T Corp. 4.90% 06/30/2017 7,000 7,310 BB&T Corp. 2.25% 02/01/ , ,518 BB&T Corp. 6.85% 04/30/ ,000 12,557 BB&T Corp. 5.25% 11/01/2019 6,000 6,508 BB&T Corp. 2.63% 06/29/ , ,589 BB&T Corp. 3.95% 03/22/ ,000 78,429 BNP Paribas SA 1.38% 03/17/ , ,753 BNP Paribas SA 2.38% 09/14/ , ,341 BNP Paribas SA 2.40% 12/12/ , ,498 BNP Paribas SA 5.00% 01/15/ , ,403 BNP Paribas SA 3.25% 03/03/ ,000 99,961 BNP Paribas SA 4.25% 10/15/ , ,714 BPCE SA 1.63% 02/10/ , ,842 BPCE SA 1.63% 01/26/ , ,236 Branch Banking & Trust Co. 1.35% 10/01/ , ,801 Capital One Financial Corp. 6.75% 09/15/ , ,000 Capital One Financial Corp. 4.75% 07/15/ , ,228 Capital One Financial Corp. 3.75% 04/24/ , ,380 Capital One Financial Corp. 3.20% 02/05/ ,000 48,099 Capital One NA 1.65% 02/05/ , ,075 Capital One NA 2.35% 08/17/ , ,156 Citigroup Inc. 1.35% 03/10/ , ,590 Citigroup Inc. 1.70% 04/27/ , ,040 Citigroup Inc. 2.15% 07/30/ ,000 99,839 Citigroup Inc. 2.55% 04/08/ , ,409 Citigroup Inc. 2.40% 02/18/ , ,479 Citigroup Inc. 2.65% 10/26/ , ,469 Citigroup Inc. 4.50% 01/14/ , ,337 Citigroup Inc. 4.05% 07/30/ , ,285 Citigroup Inc. 3.50% 05/15/ , ,333 15

17 Citigroup Inc. 3.75% 06/16/ , ,994 Citigroup Inc. 4.00% 08/05/ , ,322 Citigroup Inc. 3.88% 03/26/ , ,446 Citigroup Inc. 4.30% 11/20/ , ,875 Citigroup Inc. 4.45% 09/29/ , ,100 Citigroup Inc. 6.63% 01/15/2028 3,000 3,658 Citigroup Inc. 6.63% 06/15/ ,000 30,635 Citigroup Inc. 5.88% 02/22/ , ,272 Citigroup Inc. 6.00% 10/31/ ,000 18,946 Citigroup Inc. 6.13% 08/25/ ,000 44,498 Citigroup Inc. 8.13% 07/15/ , ,528 Citigroup Inc. 4.95% 11/07/ , ,702 Citigroup Inc. 5.30% 05/06/ , ,679 Citigroup Inc. 4.65% 07/30/ , ,930 Citigroup Inc. 6.88% 02/15/2098 2,000 2,485 Citizens Financial Group Inc. 4.35% 08/01/ , ,116 City National Corp. 5.25% 09/15/ , ,191 Comerica Bank 5.20% 08/22/2017 9,000 9,473 Comerica Inc. 2.13% 05/23/ ,000 98,784 Comerica Inc. 3.80% 07/22/ ,000 87,510 Commonwealth Bank of Australia 1.13% 03/13/ , ,384 Commonwealth Bank of Australia 2.25% 03/13/ , ,527 Compass Bank 3.88% 04/10/ , ,740 Cooperatieve Centrale Raiffeisen- 1.70% 03/19/ , ,325 Boerenleenbank BA Cooperatieve Centrale Raiffeisen- 2.25% 01/14/ , ,726 Boerenleenbank BA Cooperatieve Centrale Raiffeisen- 4.50% 01/11/ , ,692 Boerenleenbank BA Cooperatieve Centrale Raiffeisen- 3.88% 02/08/ , ,047 Boerenleenbank BA Cooperatieve Centrale Raiffeisen- 3.95% 11/09/ , ,602 Boerenleenbank BA Cooperatieve Centrale Raiffeisen- 4.38% 08/04/ , ,911 Boerenleenbank BA Credit Suisse 6.00% 02/15/ , ,287 Credit Suisse 2.30% 05/28/ , ,993 Credit Suisse 4.38% 08/05/ , ,411 Credit Suisse 3.00% 10/29/ , ,399 16

18 Credit Suisse 3.63% 09/09/ , ,770 Credit Suisse 1.70% 04/27/ , ,040 Credit Suisse Group Funding 4.88% 05/15/ , ,098 Deutsche Bank AG 1.40% 02/13/ , ,950 Deutsche Bank AG 6.00% 09/01/ ,000 61,800 Deutsche Bank AG 2.50% 02/13/ , ,772 Deutsche Bank AG 3.70% 05/30/ , ,325 Discover Bank 2.00% 02/21/ , ,798 Fifth Third Bancorp 5.45% 01/15/2017 8,000 8,318 Fifth Third Bancorp 4.50% 06/01/2018 8,000 8,368 Fifth Third Bancorp 2.30% 03/01/ , ,479 Fifth Third Bancorp 3.50% 03/15/ , ,685 Fifth Third Bancorp 4.30% 01/16/ , ,389 Fifth Third Bancorp 8.25% 03/01/ ,000 21,178 First Union Capital II 7.95% 11/15/2029 2,000 2,605 Goldman Sachs Group Inc. 5.63% 01/15/ ,000 46,653 Goldman Sachs Group Inc. 6.25% 09/01/ ,000 62,037 Goldman Sachs Group Inc. 5.95% 01/18/ ,000 67,803 Goldman Sachs Group Inc. 2.38% 01/22/ , ,757 Goldman Sachs Group Inc. 6.15% 04/01/ ,000 84,752 Goldman Sachs Group Inc. 2.63% 01/31/ , ,561 Goldman Sachs Group Inc. 7.50% 02/15/ , ,665 Goldman Sachs Group Inc. 2.55% 10/23/ , ,720 Goldman Sachs Group Inc. 5.38% 03/15/ , ,499 Goldman Sachs Group Inc. 2.60% 04/23/ ,000 99,672 Goldman Sachs Group Inc. 6.00% 06/15/ , ,030 Goldman Sachs Group Inc. 5.25% 07/27/ , ,650 Goldman Sachs Group Inc. 5.75% 01/24/ , ,764 Goldman Sachs Group Inc. 3.63% 01/22/ , ,854 Goldman Sachs Group Inc. 4.00% 03/03/ , ,263 Goldman Sachs Group Inc. 3.85% 07/08/ , ,133 Goldman Sachs Group Inc. 3.75% 05/22/ , ,628 Goldman Sachs Group Inc. 4.25% 10/21/ ,000 99,316 Goldman Sachs Group Inc. 5.95% 01/15/ ,000 21,156 Goldman Sachs Group Inc. 6.13% 02/15/ , ,289 Goldman Sachs Group Inc. 6.45% 05/01/ , ,010 Goldman Sachs Group Inc. 6.75% 10/01/ , ,825 Goldman Sachs Group Inc. 6.25% 02/01/ , ,292 17

19 Goldman Sachs Group Inc. 5.15% 05/22/ , ,207 Goldman Sachs Group Inc. 4.75% 10/21/ ,000 99,205 HSBC Bank PLC 7.65% 05/01/2025 2,000 2,532 HSBC Bank USA NA 6.00% 08/09/ ,000 11,668 HSBC Bank USA NA 4.88% 08/24/ , ,483 HSBC Bank USA NA 5.88% 11/01/ ,000 19,660 HSBC Bank USA NA 5.63% 08/15/2035 8,000 9,030 HSBC Bank USA NA 7.00% 01/15/ ,000 19,028 HSBC Holdings PLC 4.00% 03/30/ , ,385 HSBC Holdings PLC 4.25% 03/14/ , ,013 HSBC Holdings PLC 4.25% 08/18/ , ,277 HSBC Holdings PLC 7.63% 05/17/ ,000 12,689 HSBC Holdings PLC 6.50% 05/02/ ,000 46,299 HSBC Holdings PLC 6.50% 09/15/ , ,789 HSBC Holdings PLC 6.80% 06/01/ , ,026 HSBC Holdings PLC 5.25% 03/14/ , ,809 HSBC USA Inc. 1.30% 06/23/ , ,744 HSBC USA Inc. 2.63% 09/24/ , ,319 HSBC USA Inc. 2.75% 08/07/ ,000 99,996 HSBC USA Inc. 5.00% 09/27/ , ,917 Huntington National Bank 2.20% 04/01/ , ,894 Industrial & Commercial Bank of 2.91% 11/13/ , ,510 China Ltd. Intesa Sanpaolo SpA 2.38% 01/13/ , ,493 Intesa Sanpaolo SpA 3.88% 01/16/ , ,542 JPMorgan Chase & Co. 1.35% 02/15/ , ,969 JPMorgan Chase & Co. 2.00% 08/15/ , ,471 JPMorgan Chase & Co. 6.00% 01/15/ ,000 75,355 JPMorgan Chase & Co. 1.80% 01/25/ , ,271 JPMorgan Chase & Co. 1.70% 03/01/ , ,289 JPMorgan Chase & Co. 1.63% 05/15/ , ,468 JPMorgan Chase & Co. 6.30% 04/23/ , ,195 JPMorgan Chase & Co. 2.20% 10/22/ , ,185 JPMorgan Chase & Co. 2.25% 01/23/ , ,541 JPMorgan Chase & Co. 4.40% 07/22/ , ,184 JPMorgan Chase & Co. 2.55% 10/29/ , ,861 JPMorgan Chase & Co. 4.63% 05/10/ , ,725 JPMorgan Chase & Co. 4.35% 08/15/ , ,199 JPMorgan Chase & Co. 4.50% 01/24/ , ,469 18

20 JPMorgan Chase & Co. 3.25% 09/23/ , ,119 JPMorgan Chase & Co. 3.88% 02/01/ , ,147 JPMorgan Chase & Co. 3.63% 05/13/ , ,436 JPMorgan Chase & Co. 3.88% 09/10/ , ,220 JPMorgan Chase & Co. 3.13% 01/23/ , ,907 JPMorgan Chase & Co. 4.13% 12/15/ ,000 49,778 JPMorgan Chase & Co. 6.40% 05/15/ , ,976 JPMorgan Chase & Co. 5.40% 01/06/ , ,832 JPMorgan Chase & Co. 4.85% 02/01/ , ,746 JPMorgan Chase Bank NA 6.00% 07/05/ , ,935 JPMorgan Chase Bank NA 6.00% 10/01/ ,000 79,100 KeyBank NA 6.95% 02/01/2028 3,000 3,687 KeyCorp 2.30% 12/13/ , ,577 KeyCorp 2.90% 09/15/ , ,980 KeyCorp. 5.10% 03/24/ ,000 97,943 KFW 4.88% 01/17/ ,000 66,501 KFW 1.25% 02/15/ , ,838 KFW 0.75% 03/17/ , ,937 KFW 0.88% 09/05/ , ,620 KFW 0.88% 12/15/ , ,558 KFW 4.38% 03/15/ , ,925 KFW 1.00% 06/11/ , ,108 KFW 4.50% 07/16/ ,000 72,141 KFW 1.88% 04/01/ , ,164 KFW 4.88% 06/17/ , ,746 KFW 1.75% 10/15/ , ,229 KFW 4.00% 01/27/ ,000 54,210 KFW 1.50% 04/20/ , ,332 KFW 2.75% 09/08/ , ,802 KFW 2.75% 10/01/ , ,091 KFW 2.38% 08/25/ , ,470 KFW 2.63% 01/25/ , ,965 KFW 2.00% 10/04/ , ,311 KFW 2.13% 01/17/ , ,227 KFW 2.50% 11/20/ , ,554 KFW % 04/18/ ,000 25,727 KFW % 06/29/ ,000 85,182 Korea Development Bank 2.25% 08/07/ , ,641 19

21 Korea Development Bank 3.50% 08/22/ , ,618 Korea Development Bank 2.50% 03/11/ , ,256 Korea Development Bank 3.75% 01/22/ , ,686 Landesbank Baden-Wuerttemberg 7.63% 02/01/2023 5,000 6,284 Landwirtschaftliche Rentenbank 5.13% 02/01/ ,000 13,559 Landwirtschaftliche Rentenbank 0.88% 09/12/ , ,315 Landwirtschaftliche Rentenbank 1.88% 09/17/ , ,761 Landwirtschaftliche Rentenbank 1.75% 04/15/ , ,477 Landwirtschaftliche Rentenbank 1.38% 10/23/ ,000 56,260 Landwirtschaftliche Rentenbank 2.00% 01/13/ , ,631 Lloyds Bank PLC 4.20% 03/28/ , ,854 Lloyds Bank PLC 1.75% 05/14/ , ,102 Lloyds Banking Group PLC 4.50% 11/04/ , ,970 Manufacturers & Traders Trust Co. 6.63% 12/04/ ,000 11,916 Manufacturers & Traders Trust Co. 2.25% 07/25/ , ,259 Mellon Funding Corp. 5.50% 11/15/2018 6,000 6,565 Morgan Stanley 5.45% 01/09/ ,000 73,737 Morgan Stanley 4.75% 03/22/ , ,367 Morgan Stanley 5.55% 04/27/ ,000 45,078 Morgan Stanley 6.25% 08/28/ ,000 14,981 Morgan Stanley 5.95% 12/28/ ,000 64,504 Morgan Stanley 6.63% 04/01/ , ,994 Morgan Stanley 2.50% 01/24/ , ,728 Morgan Stanley 7.30% 05/13/ , ,225 Morgan Stanley 2.38% 07/23/ , ,007 Morgan Stanley 5.63% 09/23/ , ,341 Morgan Stanley 2.65% 01/27/ , ,879 Morgan Stanley 5.50% 07/24/ , ,214 Morgan Stanley 5.75% 01/25/ , ,498 Morgan Stanley 5.50% 07/28/ , ,075 Morgan Stanley 4.88% 11/01/ , ,581 Morgan Stanley 3.75% 02/25/ , ,098 Morgan Stanley 3.88% 04/29/ , ,985 Morgan Stanley 3.70% 10/23/ , ,805 Morgan Stanley 5.00% 11/24/ , ,791 Morgan Stanley 6.25% 08/09/ ,000 19,916 Morgan Stanley 4.35% 09/08/ , ,362 Morgan Stanley 3.95% 04/23/ , ,673 20

22 Morgan Stanley 7.25% 04/01/ ,000 28,708 Morgan Stanley 6.38% 07/24/ , ,153 MUFG Americas Holdings Corp. 2.25% 02/10/ , ,488 National Australia Bank Ltd. 2.30% 07/25/ , ,838 National Bank of Canada 2.10% 12/14/ , ,958 National City Bank 5.80% 06/07/2017 8,000 8,424 National City Bank of Indiana 4.25% 07/01/2018 8,000 8,352 National City Corp. 6.88% 05/15/ ,000 23,734 NBD Bank NA 8.25% 11/01/2024 3,000 3,756 Northern Trust Corp. 3.45% 11/04/ ,000 52,035 Northern Trust Corp. 3.38% 08/23/ ,000 51,489 Oesterreichische Kontrollbank AG 5.00% 04/25/ , ,914 Oesterreichische Kontrollbank AG 1.38% 02/10/ , ,971 PNC Bank NA 5.25% 01/15/ ,000 18,706 PNC Bank NA 4.88% 09/21/ ,000 12,564 PNC Bank NA 2.40% 10/18/ , ,991 PNC Bank NA 2.45% 11/05/ , ,505 PNC Bank NA 2.70% 11/01/ , ,992 PNC Bank NA 3.25% 06/01/ , ,477 PNC Financial Services Group Inc. 3.90% 04/29/ , ,371 PNC Funding Corp. 5.63% 02/01/2017 6,000 6,246 PNC Funding Corp. 6.70% 06/10/ , ,646 PNC Funding Corp. 5.13% 02/08/ ,000 54,677 Regions Financial Corp. 2.00% 05/15/ ,000 99,254 Royal Bank of Canada 1.20% 01/23/ , ,932 Royal Bank of Canada 2.00% 12/10/ , ,072 Royal Bank of Canada 2.15% 03/15/ , ,989 Royal Bank of Canada 2.15% 03/06/ ,000 99,008 Royal Bank of Canada 2.35% 10/30/ , ,504 Royal Bank of Scotland Group PLC 1.88% 03/31/ , ,303 Santander Bank NA 8.75% 05/30/2018 8,000 9,028 Santander Holdings USA Inc. 2.65% 04/17/ ,000 97,608 Santander Holdings USA Inc. 4.50% 07/17/ , ,562 Santander UK Group Holdings PLC 2.88% 10/16/ ,000 99,441 Societe Generale SA 2.75% 10/12/ , ,558 Sumitomo Mitsui Banking Corp. 1.80% 07/18/ , ,498 Sumitomo Mitsui Banking Corp. 2.25% 07/11/ , ,055 Sumitomo Mitsui Banking Corp. 3.95% 01/10/ , ,236 21

23 SunTrust Banks Inc. 7.25% 03/15/ , ,525 SunTrust Banks Inc. 2.35% 11/01/ ,000 75,210 SunTrust Banks Inc. 2.50% 05/01/ , ,229 SVB Financial Group 3.50% 01/29/ ,000 47,287 Svenska Handelsbanken AB 2.88% 04/04/ , ,479 Svenska Handelsbanken AB 1.63% 03/21/ , ,377 Toronto-Dominion Bank 1.13% 05/02/ ,000 99,529 Toronto-Dominion Bank 1.63% 03/13/ , ,356 Toronto-Dominion Bank 1.40% 04/30/ , ,553 Toronto-Dominion Bank 2.13% 07/02/ ,000 99,747 Toronto-Dominion Bank 2.50% 12/14/ ,000 99,904 UBS AG 1.38% 08/14/ , ,381 UBS AG 1.80% 03/26/ , ,235 US Bancorp 1.95% 11/15/ , ,849 US Bancorp 2.95% 07/15/ , ,442 US Bancorp 3.70% 01/30/ , ,179 US Bank NA 1.38% 09/11/ , ,011 US Bank NA 1.35% 01/26/ , ,013 Wachovia Corp. 5.75% 06/15/ ,000 44,477 Wachovia Corp. 5.75% 02/01/2018 4,000 4,319 Wachovia Corp. 6.61% 10/01/ , ,528 Wachovia Corp. 7.50% 04/15/2035 6,000 7,824 Wachovia Corp. 5.50% 08/01/ ,000 18,797 Wachovia Corp. 6.55% 10/15/2035 9,000 10,841 Wells Fargo & Co. 2.10% 05/08/ , ,395 Wells Fargo & Co. 1.15% 06/02/ , ,154 Wells Fargo & Co. 5.63% 12/11/ ,000 28,963 Wells Fargo & Co. 1.50% 01/16/ , ,729 Wells Fargo & Co. 2.15% 01/15/ , ,325 Wells Fargo & Co. 2.60% 07/22/ , ,040 Wells Fargo & Co. 2.55% 12/07/ , ,206 Wells Fargo & Co. 3.00% 01/22/ , ,508 Wells Fargo & Co. 4.60% 04/01/ , ,935 Wells Fargo & Co. 3.50% 03/08/ , ,111 Wells Fargo & Co. 4.48% 01/16/ , ,199 Wells Fargo & Co. 3.30% 09/09/ , ,293 Wells Fargo & Co. 3.00% 02/19/ , ,672 Wells Fargo & Co. 4.30% 07/22/ ,000 55,924 22

24 Wells Fargo & Co. 5.38% 02/07/ ,000 22,809 Wells Fargo & Co. 5.38% 11/02/ ,000 80,495 Wells Fargo & Co. 5.61% 01/15/ , ,152 Wells Fargo & Co. 4.65% 11/04/ , ,810 Wells Fargo & Co. 3.90% 05/01/ , ,509 Wells Fargo Bank NA 5.95% 08/26/ ,000 26,359 Wells Fargo Bank NA 5.85% 02/01/ ,000 37,988 Wells Fargo Bank NA 6.60% 01/15/ , ,240 Wells Fargo Capital X 5.95% 12/01/2086 9,000 9,086 Westpac Banking Corp. 1.20% 05/19/ , ,651 Westpac Banking Corp. 2.00% 08/14/ , ,665 Westpac Banking Corp. 4.63% 06/01/2018 9,000 9,451 Westpac Banking Corp. 2.25% 01/17/ , ,406 Westpac Banking Corp. 4.88% 11/19/ , ,314 Westpac Banking Corp. 2.30% 05/26/ ,000 99,374 66,205,563 Beverages - 0.7% Anheuser-Busch Cos Inc. 5.60% 03/01/2017 USD 4,000 4,187 Anheuser-Busch Cos Inc. 5.50% 01/15/ ,000 18,174 Anheuser-Busch Cos Inc. 6.80% 08/20/ ,000 13,190 Anheuser-Busch Cos Inc. 5.95% 01/15/2033 3,000 3,299 Anheuser-Busch Cos Inc. 5.75% 04/01/ , ,435 Anheuser-Busch Cos Inc. 6.45% 09/01/ ,000 15,152 Anheuser-Busch Cos Inc. 6.00% 11/01/2041 4,000 4,470 Anheuser-Busch Cos Inc. 6.50% 05/01/2042 2,000 2,364 Anheuser-Busch Cos Inc. 6.50% 02/01/2043 3,000 3,578 Anheuser-Busch InBev Finance Inc. 1.25% 01/17/ , ,130 Anheuser-Busch InBev Finance Inc. 3.70% 02/01/ , ,974 Anheuser-Busch InBev Finance Inc. 4.63% 02/01/ ,000 99,296 Anheuser-Busch InBev Worldwide 1.38% 07/15/ ,000 99,611 Inc. Anheuser-Busch InBev Worldwide 7.75% 01/15/ , ,804 Inc. Anheuser-Busch InBev Worldwide 5.38% 01/15/ , ,857 Inc. Anheuser-Busch InBev Worldwide Inc. 4.38% 02/15/ , ,894 23

25 Anheuser-Busch InBev Worldwide 2.50% 07/15/ , ,047 Inc. Anheuser-Busch InBev Worldwide 8.00% 11/15/ , ,437 Inc. Anheuser-Busch InBev Worldwide 3.75% 07/15/ ,000 86,632 Inc. Beam Inc. 1.75% 06/15/ , ,900 Brown-Forman Corp. 4.50% 07/15/ ,000 41,386 Coca-Cola Bottling Co. Consolidated 3.80% 11/25/ ,000 49,934 Coca-Cola Co. 0.88% 10/27/ ,000 84,576 Coca-Cola Co. 1.88% 10/27/ , ,455 Coca-Cola Co. 3.15% 11/15/ , ,756 Coca-Cola Co. 3.20% 11/01/ , ,130 Coca-Cola Co. 2.88% 10/27/ , ,461 Coca-Cola Enterprises Inc. 4.50% 09/01/ , ,319 Coca-Cola Femsa SAB de CV 2.38% 11/26/ , ,210 Diageo Capital PLC 5.75% 10/23/ ,000 14,985 Diageo Capital PLC 4.83% 07/15/ , ,544 Diageo Capital PLC 2.63% 04/29/ , ,112 Diageo Capital PLC 5.88% 09/30/ ,000 16,535 Diageo Investment Corp. 2.88% 05/11/ ,000 99,132 Diageo Investment Corp. 4.25% 05/11/ ,000 98,435 Dr Pepper Snapple Group Inc 4.50% 11/15/ ,000 39,097 Dr Pepper Snapple Group Inc. 2.00% 01/15/ ,000 64,489 Dr Pepper Snapple Group Inc. 3.40% 11/15/ ,000 49,069 Dr Pepper Snapple Group Inc. 7.45% 05/01/2038 5,000 6,786 Molson Coors Brewing Co. 5.00% 05/01/ ,000 96,585 PepsiAmericas Inc. 5.00% 05/15/2017 5,000 5,254 PepsiAmericas Inc. 5.50% 05/15/2035 2,000 2,331 PepsiCo. Inc. 0.95% 02/22/ , ,484 PepsiCo. Inc. 1.13% 07/17/ ,000 49,918 PepsiCo. Inc. 1.25% 08/13/ , ,951 PepsiCo. Inc. 5.00% 06/01/ ,000 48,607 PepsiCo. Inc. 7.90% 11/01/ , ,966 PepsiCo. Inc. 3.13% 11/01/ , ,415 PepsiCo. Inc. 3.60% 03/01/ , ,476 PepsiCo. Inc. 3.50% 07/17/ ,000 51,582 PepsiCo. Inc. 7.00% 03/01/ , ,187 PepsiCo. Inc. 5.50% 01/15/ , ,889 24

26 PepsiCo. Inc. 4.00% 03/05/ ,000 96,837 PepsiCo. Inc. 4.60% 07/17/ ,000 36,911 5,839,235 Biotechnology - 0.6% Amgen Inc. 2.13% 05/15/2017 USD 100, ,665 Amgen Inc. 5.85% 06/01/ ,000 15,871 Amgen Inc. 6.15% 06/01/ ,000 14,258 Amgen Inc. 5.70% 02/01/ , ,204 Amgen Inc. 2.20% 05/22/ , ,345 Amgen Inc. 4.10% 06/15/ , ,511 Amgen Inc. 3.63% 05/15/ , ,724 Amgen Inc. 3.63% 05/22/ , ,985 Amgen Inc. 3.13% 05/01/ , ,837 Amgen Inc. 6.38% 06/01/2037 1,000 1,166 Amgen Inc. 6.90% 06/01/2038 8,000 9,885 Amgen Inc. 6.40% 02/01/ ,000 23,442 Amgen Inc. 5.75% 03/15/ , ,675 Amgen Inc. 5.15% 11/15/ , ,897 Amgen Inc. 5.38% 05/15/ , ,964 Biogen Inc. 2.90% 09/15/ ,000 99,559 Biogen Inc. 3.63% 09/15/ ,000 55,616 Biogen Inc. 4.05% 09/15/ ,000 55,319 Biogen Inc. 5.20% 09/15/ ,000 65,287 Bio-Rad Laboratories Inc. 4.88% 12/15/ ,000 53,124 Celgene Corp. 2.13% 08/15/ ,000 54,930 Celgene Corp. 3.25% 08/15/ , ,710 Celgene Corp. 3.55% 08/15/ , ,844 Celgene Corp. 4.00% 08/15/ , ,604 Celgene Corp. 3.63% 05/15/ , ,856 Celgene Corp. 4.63% 05/15/ ,000 78,665 Celgene Corp. 5.00% 08/15/ ,000 55,418 GenoFocus Inc. 2.34% 11/15/ , ,197 Gilead Sciences Inc. 1.85% 09/04/ ,000 40,110 Gilead Sciences Inc. 2.55% 09/01/ ,000 99,865 Gilead Sciences Inc. 4.50% 04/01/ , ,710 Gilead Sciences Inc. 3.25% 09/01/ ,000 40,337 Gilead Sciences Inc. 3.70% 04/01/ , ,641 25

27 Gilead Sciences Inc. 3.65% 03/01/ , ,616 Gilead Sciences Inc. 4.60% 09/01/ ,000 45,746 Gilead Sciences Inc. 5.65% 12/01/ , ,679 Gilead Sciences Inc. 4.50% 02/01/ , ,207 Gilead Sciences Inc. 4.75% 03/01/ ,000 50,798 4,690,267 Building Materials - 0.0% CRH America Inc. 8.13% 07/15/2018 USD 16,000 18,169 Fortune Brands Home & Security Inc. 3.00% 06/15/ ,000 49,689 Martin Marietta Materials Inc. 6.60% 04/15/2018 6,000 6,519 Martin Marietta Materials Inc. 4.25% 07/02/ ,000 29,840 Owens Corning 4.20% 12/01/ , , ,819 Chemicals - 0.7% Agrium Inc. 6.75% 01/15/2019 USD 10,000 11,050 Agrium Inc. 3.38% 03/15/ ,000 91,410 Agrium Inc. 7.13% 05/23/2036 6,000 7,007 Agrium Inc. 6.13% 01/15/ , ,303 Agrium Inc. 5.25% 01/15/ ,000 66,311 Air Products & Chemicals Inc. 3.35% 07/31/ , ,380 Airgas Inc. 1.65% 02/15/ ,000 99,020 Albemarle Corp. 5.45% 12/01/ ,000 94,847 Braskem Finance Ltd % 02/03/ , ,500 CF Industries Inc. 3.45% 06/01/ ,000 35,334 CF Industries Inc. 5.38% 03/15/ , ,067 Dow Chemical Co. 8.55% 05/15/ , ,587 Dow Chemical Co. 4.25% 11/15/ , ,695 Dow Chemical Co. 3.00% 11/15/ ,000 96,045 Dow Chemical Co. 7.38% 11/01/ ,000 27,357 Dow Chemical Co. 9.40% 05/15/ , ,559 Dow Chemical Co. 5.25% 11/15/ , ,464 Eastman Chemical Co. 2.40% 06/01/ , ,603 Eastman Chemical Co. 5.50% 11/15/ , ,453 Eastman Chemical Co. 3.80% 03/15/ ,000 96,777 Eastman Chemical Co. 4.65% 10/15/ ,000 31,091 Ecolab Inc. 4.35% 12/08/ , ,115 26

28 EI du Pont de Nemours & Co. 5.75% 03/15/ , ,065 EI du Pont de Nemours & Co. 3.63% 01/15/ , ,642 EI du Pont de Nemours & Co. 6.50% 01/15/2028 5,000 5,636 EI du Pont de Nemours & Co. 5.60% 12/15/2036 7,000 7,201 EI du Pont de Nemours & Co. 4.90% 01/15/ , ,334 FMC Corp. 5.20% 12/15/ ,000 26,509 Lubrizol Corp. 8.88% 02/01/ ,000 22,603 Lubrizol Corp. 6.50% 10/01/ , ,090 LYB International Finance BV 4.88% 03/15/ , ,976 LyondellBasell Industries NV 6.00% 11/15/ , ,314 Methanex Corp. 3.25% 12/15/ ,000 94,991 Monsanto Co. 5.13% 04/15/2018 4,000 4,253 Monsanto Co. 2.13% 07/15/ , ,353 Monsanto Co. 2.85% 04/15/ ,000 91,325 Monsanto Co. 5.50% 08/15/2025 4,000 4,399 Monsanto Co. 4.20% 07/15/ ,000 60,457 Monsanto Co. 5.50% 07/30/2035 5,000 4,958 Monsanto Co. 5.88% 04/15/2038 4,000 4,027 Monsanto Co. 4.65% 11/15/ ,000 85,171 Monsanto Co. 3.95% 04/15/ ,000 77,323 Mosaic Co. 3.75% 11/15/ ,000 98,440 Mosaic Co. 4.25% 11/15/ ,000 74,375 Mosaic Co. 5.63% 11/15/ ,000 96,650 Potash Corp. of Saskatchewan Inc. 6.50% 05/15/ ,000 18,001 Potash Corp. of Saskatchewan Inc. 4.88% 03/30/ , ,050 Potash Corp. of Saskatchewan Inc. 3.00% 04/01/ , ,865 Potash Corp. of Saskatchewan Inc. 5.88% 12/01/2036 6,000 6,496 PPG Industries Inc. 3.60% 11/15/ , ,220 PPG Industries Inc. 5.50% 11/15/ , ,263 Praxair Inc. 5.20% 03/15/ ,000 13,591 Praxair Inc. 1.25% 11/07/ , ,798 Praxair Inc. 2.45% 02/15/ ,000 97,295 Praxair Inc. 2.65% 02/05/ ,000 48,091 Praxair Inc. 3.55% 11/07/ ,000 88,119 Rohm & Haas Co. 6.00% 09/15/ ,000 14,914 RPM International Inc. 6.50% 02/15/2018 6,000 6,425 RPM International Inc. 3.45% 11/15/ ,000 94,838 Valspar Corp. 7.25% 06/15/2019 7,000 7,871 27

29 Valspar Corp. 4.20% 01/15/ , ,340 5,847,244 Commercial Services - 0.3% Automatic Data Processing Inc. 2.25% 09/15/2020 USD 100,000 99,996 Automatic Data Processing Inc. 3.38% 09/15/ ,000 50,767 Block Financial LLC 5.50% 11/01/ , ,588 Board of Trustees of The Leland 4.75% 05/01/2019 7,000 7,641 Stanford Junior University Board of Trustees of The Leland 3.46% 05/01/ ,000 46,726 Stanford Junior University California Institute of Technology 4.32% 08/01/ ,000 30,920 Catholic Health Initiatives 4.35% 11/01/ ,000 92,399 Emory University 5.63% 09/01/2019 4,000 4,495 Equifax Inc. 6.30% 07/01/2017 1,000 1,061 Equifax Inc. 7.00% 07/01/2037 5,000 5,459 George Washington University 4.30% 09/15/ ,000 48,630 Massachusetts Institute of Technology 3.96% 07/01/ ,000 62,110 Massachusetts Institute of Technology 4.68% 07/01/ , ,241 MasterCard Inc. 3.38% 04/01/ ,000 35,629 McGraw Hill Financial Inc. 4.00% 06/15/ ,000 99,643 Moody's Corp. 4.88% 02/15/ , ,820 Northwestern University 3.69% 12/01/ ,000 69,171 President and Fellows of Harvard 6.30% 10/01/2037 6,000 6,090 College President and Fellows of Harvard 4.88% 10/15/ , ,692 College Princeton University 4.95% 03/01/ ,000 14,212 Princeton University 5.70% 03/01/ ,000 14,361 Total System Services Inc. 2.38% 06/01/ ,000 59,305 Trustees of Dartmouth College 4.75% 06/01/2019 4,000 4,348 University of Pennsylvania 4.67% 09/01/ , ,011 Vanderbilt University 5.25% 04/01/2019 7,000 7,712 Verisk Analytics Inc. 4.13% 09/12/ , ,298 Visa Inc. 1.20% 12/14/ ,000 54,966 Visa Inc. 2.20% 12/14/ , ,995 Visa Inc. 2.80% 12/14/ , ,499 Visa Inc. 3.15% 12/14/ , ,925 Visa Inc. 4.15% 12/14/ ,000 60,639 28

30 Visa Inc. 4.30% 12/14/ , ,182 Western Union Co. 3.65% 08/22/ , ,341 Western Union Co. 5.25% 04/01/ ,000 26,766 Western Union Co. 6.20% 11/17/2036 9,000 8,673 William Marsh Rice University 3.57% 05/15/ ,000 95,023 Yale University 2.09% 04/15/ ,000 50,294 2,568,628 Computers - 0.7% Apple Inc. 1.05% 05/05/2017 USD 200, ,047 Apple Inc. 1.00% 05/03/ , ,993 Apple Inc. 2.10% 05/06/ , ,419 Apple Inc. 1.55% 02/07/ ,000 98,118 Apple Inc. 2.00% 05/06/ ,000 99,584 Apple Inc. 2.15% 02/09/ ,000 97,551 Apple Inc. 2.70% 05/13/ , ,742 Apple Inc. 2.40% 05/03/ , ,954 Apple Inc. 3.45% 05/06/ , ,064 Apple Inc. 2.50% 02/09/ ,000 95,457 Apple Inc. 3.20% 05/13/ , ,840 Apple Inc. 3.85% 05/04/ , ,242 Apple Inc. 4.45% 05/06/ ,000 40,580 Apple Inc. 3.45% 02/09/ , ,716 Apple Inc. 4.38% 05/13/ ,000 65,372 Computer Sciences Corp. 6.50% 03/15/ ,000 25,953 Computer Sciences Corp. 4.45% 09/15/ , ,711 EMC Corp. 1.88% 06/01/ , ,044 EMC Corp. 3.38% 06/01/ , ,345 Hewlett Packard Enterprise Co. 2.85% 10/05/ , ,656 Hewlett Packard Enterprise Co. 3.60% 10/15/ , ,080 Hewlett Packard Enterprise Co. 4.90% 10/15/ , ,241 Hewlett Packard Enterprise Co. 6.20% 10/15/ ,000 96,135 Hewlett Packard Enterprise Co. 6.35% 10/15/ ,000 95,248 HP Enterprise Services LLC 7.45% 10/15/2029 4,000 4,672 HP Inc. 3.75% 12/01/ ,000 16,774 HP Inc. 4.65% 12/09/ , ,223 HP Inc. 4.05% 09/15/ , ,412 HP Inc. 6.00% 09/15/ ,000 86,337 29

31 International Business Machines 1.25% 02/06/ , ,430 Corp. International Business Machines 5.70% 09/14/ , ,455 Corp. International Business Machines 7.63% 10/15/ ,000 20,688 Corp. International Business Machines 8.38% 11/01/ ,000 15,849 Corp. International Business Machines 2.90% 11/01/ , ,596 Corp. International Business Machines 1.88% 08/01/ ,000 94,267 Corp. International Business Machines 2.88% 11/09/ , ,996 Corp. International Business Machines 3.38% 08/01/ , ,505 Corp. International Business Machines 3.63% 02/12/ , ,684 Corp. International Business Machines 7.00% 10/30/ ,000 15,357 Corp. International Business Machines 6.22% 08/01/2027 8,000 9,906 Corp. International Business Machines 6.50% 01/15/ ,000 17,740 Corp. International Business Machines 5.88% 11/29/2032 9,000 10,885 Corp. International Business Machines 5.60% 11/30/ , ,684 Corp. International Business Machines 4.00% 06/20/ ,000 93,929 Corp. Lexmark International Inc. 6.65% 06/01/2018 8,000 8,565 NetApp Inc. 3.38% 06/15/ ,000 48,719 Seagate HDD Cayman 3.75% 11/15/ , ,000 Seagate HDD Cayman 4.75% 01/01/ ,000 83,250 6,023,015 Cosmetics/Personal Care - 0.1% Colgate-Palmolive Co. 0.90% 05/01/2018 USD 100,000 98,574 Colgate-Palmolive Co. 2.95% 11/01/ ,000 51,407 Colgate-Palmolive Co. 2.30% 05/03/ ,000 99,090 Colgate-Palmolive Co. 2.10% 05/01/ ,000 96,383 30

32 Estee Lauder Companies Inc. 5.55% 05/15/ ,000 12,627 Estee Lauder Companies Inc. 6.00% 05/15/2037 6,000 7,208 Estee Lauder Companies Inc. 4.38% 06/15/ ,000 99,260 Procter & Gamble - Esop 9.36% 01/01/2021 6,971 8,342 Procter & Gamble Co. 1.60% 11/15/ , ,379 Procter & Gamble Co. 4.70% 02/15/ ,000 29,366 Procter & Gamble Co. 2.30% 02/06/ , ,352 Procter & Gamble Co. 6.45% 01/15/2026 4,000 5,138 Procter & Gamble Co. 5.50% 02/01/ ,000 15,271 Procter & Gamble Co. 5.80% 08/15/ ,000 13,418 Procter & Gamble Co. 5.55% 03/05/ , ,504 1,041,319 Distribution/Wholesale - 0.0% Ingram Micro Inc. 4.95% 12/15/2024 USD 100, ,033 WW Grainger Inc. 4.60% 06/15/ ,000 36, ,702 Diversified Financial Services - 1.6% Affiliated Managers Group Inc. 3.50% 08/01/2025 USD 50,000 47,543 Air Lease Corp. 5.63% 04/01/ , ,384 Air Lease Corp. 3.38% 01/15/ ,000 75,472 Air Lease Corp. 3.88% 04/01/ ,000 75,258 American Express Co. 6.15% 08/28/ , ,955 American Express Co. 7.00% 03/19/ ,000 50,882 American Express Co. 1.55% 05/22/ ,000 99,198 American Express Co. 2.65% 12/02/ , ,837 American Express Co. 3.63% 12/05/ ,000 64,262 American Express Co. 4.05% 12/03/ , ,561 American Express Credit Corp. 2.38% 03/24/ , ,350 American Express Credit Corp. 1.13% 06/05/ , ,574 American Express Credit Corp. 1.80% 07/31/ ,000 49,819 American Express Credit Corp. 1.88% 11/05/ ,000 24,897 American Express Credit Corp. 2.13% 03/18/ ,000 99,765 Ameriprise Financial Inc. 7.30% 06/28/ , ,870 Ameriprise Financial Inc. 3.70% 10/15/ , ,531 Ameritech Capital Funding Corp. 6.45% 01/15/ , ,179 AXA Financial Inc. 7.00% 04/01/2028 5,000 6,234 31