Document
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549
FORM 11-K
(Mark One)
 
ý
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2017
OR
 
 
¨
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-37702
AMGEN RETIREMENT AND SAVINGS PLAN
(Full title of the plan)
AMGEN INC.
(Name of issuer of the securities held)
 
 
 
 
One Amgen Center Drive,
 
91320-1799
Thousand Oaks, California
 
(Zip Code)
(Address of principal executive offices)
 
 






Amgen Retirement and Savings Plan

Audited Financial Statements
and Supplemental Schedules
Years Ended December 31, 2017 and 2016

Contents
 
 
 
 
 
Audited Financial Statements:
 
 
 
 
 
Supplemental Schedules:
 
 
 



Report of Independent Registered Public Accounting Firm


To the Plan Participants and the Plan Administrator of Amgen Retirement and Savings Plan
Opinion on the Financial Statements
We have audited the accompanying statements of net assets available for benefits of Amgen Retirement and Savings Plan (the Plan) as of December 31, 2017 and 2016, and the related statements of changes in net assets available for benefits for the years then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan at December 31, 2017 and 2016, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on the Plan’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
Supplemental Schedules
The accompanying supplemental schedule of assets (held at end of year) and schedule of loans or fixed income obligations in default or classified as uncollectible as of December 31, 2017, and schedule of assets (acquired and disposed of within year) for the year then ended, have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The information in the supplemental schedules is the responsibility of the Plan’s management. Our audit procedures included determining whether the information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the information, we evaluated whether such information, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements as a whole.

/s/ ERNST & YOUNG LLP
We have served as the Plan’s auditor since at least 1989, but we are unable to determine the specific year.
Los Angeles, California
June 18, 2018


1


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



 
 
December 31,
 
 
2017
 
2016
Assets
 
 
 
 
Investments at fair value
 
$
4,728,903,739

 
$
3,975,857,253

Investments in fully benefit-responsive investment contracts at contract value
 
308,884,844

 
272,851,129

Notes receivable from participants
 
36,837,911

 
35,526,531

Other – principally due from broker
 
14,748,135

 
18,390,076

Total assets
 
5,089,374,629

 
4,302,624,989

Liabilities
 
 
 
 
Other – principally due to broker
 
25,568,208

 
22,975,289

Total liabilities
 
25,568,208

 
22,975,289

Net assets available for benefits
 
$
5,063,806,421

 
$
4,279,649,700

See accompanying notes.


2


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



 
 
Years Ended December 31,
 
 
2017
 
2016
Additions to (deductions from) net assets:
 
 
 
 
Employer contributions
 
$
164,412,833

 
$
153,202,093

Participant contributions
 
140,087,454

 
130,958,684

Rollover contributions
 
30,284,469

 
29,565,852

Interest and dividend income
 
47,722,759

 
48,143,585

Net realized/unrealized gains
 
682,360,724

 
254,079,547

Interest income on notes receivable from participants
 
1,599,902

 
1,477,046

Benefits paid
 
(272,747,355
)
 
(317,622,135
)
Investment and administrative fees
 
(9,564,065
)
 
(8,770,925
)
Net increase
 
784,156,721

 
291,033,747

Net assets available for benefits at beginning of year
 
4,279,649,700

 
3,988,615,953

Net assets available for benefits at end of year
 
$
5,063,806,421

 
$
4,279,649,700

See accompanying notes.


3


Amgen Retirement and Savings Plan
Notes to Financial Statements
December 31, 2017

1. Description of the Plan
The following description of the Amgen Retirement and Savings Plan (the Plan) provides only general information. Participants should refer to the Plan document for a more complete description of the Plan’s provisions.
General
The Plan was established effective April 1, 1985, and was most recently amended and restated effective January 1, 2017, and subsequently amended, with the most recent amendment adopted on March 23, 2018. The Plan is a defined contribution plan covering substantially all domestic employees of Amgen Inc. (the Company or Amgen) and participating subsidiaries. The Plan, as amended and restated, is intended to qualify under sections 401(a) and 401(k) of the Internal Revenue Code of 1986 (the Code) (see Note 4, Income Tax Status) and section 407(d)(3)(A) of the Employee Retirement Income Security Act of 1974 (ERISA).
Contributions
Subject to certain limitations (as defined in the Plan), participants may elect to contribute up to 30% of their eligible compensation in pre-tax contributions, Roth contributions (in accordance with the Code), after-tax contributions or a combination of these types of contributions. A participant’s combined pre-tax contributions and Roth contributions (exclusive of catch-up contributions discussed below) are subject to Internal Revenue Service (IRS) and Plan limits and could not exceed a maximum of $18,000 in 2017 and 2016. Participant after-tax contributions are subject to IRS and Plan limitations and could not exceed a maximum of $9,000 in 2017 and $8,500 in 2016. Unless an employee has voluntarily enrolled in the Plan or has declined to participate in the Plan within the first 30 days of employment, all newly eligible participants are automatically enrolled in the Plan, and contributions equal to 5% of their eligible compensation are withheld and contributed to the Plan as pre-tax contributions; such contributions are automatically increased by 1% per year until their contributions reach 10% of their eligible compensation. Participants may elect to adjust, cease or resume their contributions at any time.
Participants who are at least age 50 by the close of the Plan year may also elect to make certain additional contributions, referred to as catch-up contributions, that are subject to IRS and Plan limitations and could not exceed $6,000 in 2017 and 2016. Catch-up contributions may be made as pre-tax contributions, Roth contributions or a combination of these types of contributions. Participants may also contribute pre-tax, Roth and after-tax amounts representing distributions from certain other retirement plans qualified in the United States or certain individual retirement accounts (IRAs), referred to as rollover contributions (as defined in the Plan).
Each pay period, the Company makes a non-elective contribution for all eligible participants, whether or not they have elected to make contributions to the Plan, equal to 5% of each participant’s eligible compensation (Core Contributions) up to a maximum of $13,500 in 2017 and $13,250 in 2016. In addition, the Company makes a contribution equal to amounts contributed by the participant as pre-tax contributions or Roth contributions, including such contributions designated as catch-up contributions, of up to 5% of eligible compensation (Matching Contributions) up to a maximum of $13,500 in 2017 and $13,250 in 2016.
Also, the Company can, in its discretion, make a special non-elective contribution on behalf of a participant who is in his or her initial year of employment with the Company and who could not make the maximum participant contribution permitted under the Plan because in the same Plan year he or she previously made pre-tax salary deferrals under a prior unrelated employer’s qualified plan.
Participants select the investments in which their contributions, including their Core Contributions and Matching Contributions (collectively, Company Contributions), are to be invested, electing among various alternatives, including Amgen common stock (Amgen stock). Participants may direct a maximum of 20% of contributions to be invested in Amgen stock. In addition, participants may transfer amounts among the investment options at any time, subject to certain limitations. Notwithstanding the foregoing, if 20% or more of the value of a participant’s Plan account is invested in Amgen stock, the Plan document provides that no transfers from other investment options can be made to invest in Amgen stock.
The accounts of participants who had never made an investment election are allocated to investments under a qualified default investment alternative, which is intended to be compliant with ERISA regulations. At any time, participants may elect to alter the investments in their accounts made under a qualified default investment alternative.

4


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

Vesting
Participants are immediately vested with respect to their contributions, Company Contributions, and earnings and losses (hereafter referred to as earnings) thereon.
Participant Accounts
Each participant’s account is credited with: (a) the participant’s contributions; (b) an allocation of Company Contributions; and (c) earnings. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.
Plan Investments
Participants can invest in any of 16 different asset classes as well as Amgen stock or may actively manage their account under a self-directed brokerage arrangement in which a wider array of investment options are available. The value of an investment in an asset class is determined by its underlying investment vehicles, which may include one or more of the following: mutual funds, collective trust funds and portfolios which are separately managed exclusively for the benefit of Plan participants and their beneficiaries (separately managed portfolios). The separately managed portfolios invest in various types of assets, including publicly traded common and preferred stocks, fixed income securities, collective trust funds and investment contracts. The asset classes are designed to provide participants with choices among a variety of investment objectives.
Payments of Benefits
Subject to Plan limitations, upon termination of employment, including termination due to disability (as defined in the Plan) or retirement, participants may elect to receive an amount equal to the entire value of their account balance in: (a) a single payment in cash; (b) a single distribution in full shares of Amgen stock (with any fractional shares paid in cash); (c) a single distribution paid in a combination of cash and full shares of Amgen stock; (d) cash installments over 10 years; or (e) a rollover distribution to an eligible retirement plan. Participants may also elect to receive a partial distribution of his or her account balance no more than once per year.
If a participant dies before receiving the value of his or her account balance, the participant’s beneficiary may elect to receive the distribution of remaining funds from among the alternatives described above, subject to certain Plan limitations.
Subsequent to termination of employment, participants may also elect to maintain their account balance in the Plan, provided that their account balance is greater than $1,000.
Certain restrictions apply to withdrawals from the Plan while a participant continues to be employed by the Company.
Amgen Stock Dividends
Participants that invest in Amgen stock may elect to receive distributions of cash with respect to dividends the Company pays on Amgen stock or reinvest such dividends to acquire additional shares of Amgen stock.
Notes Receivable from Participants
Subject to certain restrictions, a participant can have up to two loans outstanding at any one time from his or her Plan account with a combined maximum loan amount which may not exceed the lesser of: (a) 50% of the participant’s account balance (exclusive of amounts related to Roth contributions and earnings thereon) or (b) $50,000 less certain adjustments, as applicable (as defined in the Plan). A participant’s loan is secured by his or her Plan account balance. Loans made prior to July 1, 2003, bear interest at fixed rates based on the average borrowing rates of certain major banks. Loans made on or after July 1, 2003, bear interest at fixed rates which, until changed by the Company, are based on the prime rate plus one percentage point as published in The Wall Street Journal, determined as of the last day of the calendar quarter preceding origination or such other rate as may be required by law. Loans are generally payable in installments over periods of up to five years, unless the loan is used to acquire a principal residence for which the term of the loan may be up to 20 years. Principal and interest payments are allocated to the participant’s account.
Plan Termination
Although it has not expressed any intent to do so, the Company has the right under the Plan to terminate the Plan subject to the provisions of ERISA. Upon termination, participants would receive distributions of their account balances.

5


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

Trustees
Bank of America, N.A. and The Northern Trust Company are the Plan’s co-trustees.
2. Summary of Significant Accounting Policies
Basis of Accounting
The accompanying financial statements are prepared on the accrual basis of accounting.
Fair Value Measurement
The investments of the Plan are reported at fair value, except for fully benefit-responsive investment contracts, discussed below. Fair value is generally defined as the price that would be received to sell an asset or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date (see Note 3, Fair Value Measurements).
Investment Income and Losses
Dividend income is recognized on the ex-dividend date, and interest income is recorded on an accrual basis. Unrealized gains and losses on investments are measured by the change in the difference between the fair value and cost of the securities held at the beginning of the year (or date purchased if acquired during the Plan year) and the end of the year. Realized gains and losses from security transactions are recorded based on the weighted-average cost of securities sold.
Fully Benefit-Responsive Investment Contracts
As of December 31, 2017 and 2016, the Plan had fully benefit-responsive investment contracts, including synthetic investment contracts and an insurance separate accounts contract (collectively, security-backed contracts). The synthetic investment contracts are comprised of wrapper contracts issued by insurance companies backed by the Plan’s ownership in collective trust funds that invest in fixed income securities. The insurance separate accounts contract is a contract issued by an insurance company backed by specified separate accounts of the issuer which are comprised of fixed income securities. Contract value is the relevant measurement attribute for security-backed contracts because this is the amount participants would receive if they were to initiate qualified transactions related to these investments. The issuers of the Plan’s security-backed contracts credit the Plan with stated rates of interest, and the issuers guarantee that all qualified participant withdrawals related to the contracts will be at contract value, except as discussed below. The crediting rates provide for realized and unrealized gains and losses on the underlying assets to be amortized over the expected duration of the underlying investments through adjustments to the future interest crediting rates rather than being reflected immediately in the net assets of the Plan. The contract values of the Plan’s security-backed contracts at December 31, 2017 and 2016, were as follows:
 
December 31,
 
2017
 
2016
Synthetic investment contracts
$
229,137,030

 
$
202,231,726

Insurance separate accounts contract
79,747,814

 
70,619,403

Total fully benefit-responsive investment contracts
$
308,884,844

 
$
272,851,129

The security-backed contracts provide for withdrawals at other than contract value associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are made at contract value, modified by a market value adjustment as defined in the contract. Circumstances which may trigger a market value adjustment are generally defined as any event which, in the reasonable determination of the issuer, has or will have a material adverse effect on the issuer’s interest under the contract. Such events may include, but are not limited to: (i) material amendments to the Plan’s structure or administration; (ii) changes in or the creation of competing investment options; (iii) complete or partial termination of the Plan; (iv) removal of a specifically identifiable group of employees from coverage under the Plan; (v) a change in law, regulation, ruling, administrative position, or accounting standard applicable to the Plan; or (vi) communication to Plan participants designed to influence a participant not to invest in the asset class that contains these contracts. The Company does not believe that the occurrence of any such event, which would limit the Plan’s ability to transact at contract value with participants, is probable.

6


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

These security-backed contracts are evergreen contracts with no maturity dates, but do contain termination provisions. The issuer is obligated to pay the excess contract value when the fair value of the underlying investments equals zero. In addition, if the Plan defaults in its obligations under the security-backed contract and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value of the underlying investments as of the date of termination.
Notes Receivable from Participants
Notes receivable from participants are carried at their unpaid balance plus accrued but unpaid interest, as applicable.
Due from/to Brokers
Purchases and sales of investments are recorded on a trade-date basis. Amounts due from and due to brokers arise from unsettled sale and purchase transactions as of December 31, 2017 and 2016.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.
3. Fair Value Measurements
The Plan uses various valuation approaches in determining the fair value of investments within a hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the investment based on market data obtained from independent sources. Unobservable inputs are inputs that reflect assumptions about the inputs that market participants would use in pricing the investment and are developed based on the best information available in the circumstances. The fair value hierarchy is divided into three levels based on the source of inputs as follows:
Level 1–Valuations based on unadjusted quoted prices in active markets for identical investments that the Plan has the ability to access;
Level 2–Valuations for which all significant inputs are observable, either directly or indirectly, other than Level 1 inputs;
Level 3–Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
The availability of observable inputs can vary among the various types of investments. To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. In certain cases, the inputs used for measuring fair value may fall into different levels of the fair value hierarchy. In such cases, for financial statement disclosure purposes, the level in the fair value hierarchy within which the fair value measurement is categorized is based on the lowest level of input used that is significant to the overall fair value measurement.

7


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

The following fair value hierarchy table presents information about each major class/category of the Plan’s investments measured at fair value:
 
 
Fair value measurements at December 31, 2017, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
297,544,696

 
$
—

 
$
—

 
$
297,544,696

Cash and cash equivalents
 
3,882,809

 
—

 
—

 
3,882,809

Common and preferred stocks
 
1,028,062,405

 
731

 
—

 
1,028,063,136

Debt securities
 
56,120,535

 
182,673,422

 
—

 
238,793,957

Mutual funds
 
386,674,940

 
—

 
—

 
386,674,940

Self-directed brokerage accounts
 
369,058,245

 
697,038

 
—

 
369,755,283

Other
 
77,000

 
—

 
—

 
77,000

 
 
$
2,141,420,630

 
$
183,371,191

 
$
—

 
$
2,324,791,821

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
2,404,111,918

Total assets at fair value
 
 
 
 
 
 
 
$
4,728,903,739

 
 
 
Fair value measurements at December 31, 2016, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
260,587,917

 
$
—

 
$
—

 
$
260,587,917

Cash and cash equivalents
 
2,156,118

 
—

 
—

 
2,156,118

Common and preferred stocks
 
909,701,894

 
6,405,355

 
—

 
916,107,249

Debt securities
 
76,611,987

 
238,598,594

 
—

 
315,210,581

Mutual funds
 
357,489,329

 
—

 
—

 
357,489,329

Self-directed brokerage accounts
 
318,695,182

 
489,903

 
—

 
319,185,085

Other
 
—

 
96,030

 
—

 
96,030

 
 
$
1,925,242,427

 
$
245,589,882

 
$
—

 
$
2,170,832,309

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,805,024,944

Total assets at fair value
 
 
 
 
 
 
 
$
3,975,857,253

The fair values of common stocks (including Amgen stock), preferred stocks, publicly traded mutual funds and U.S. treasury securities are valued using quoted market prices in active markets with no valuation adjustment.
Debt securities other than U.S. treasury securities are valued by taking into consideration valuations obtained from third-party pricing services. The pricing services utilize industry standard valuation models, including both income and market based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities, issuer credit spreads, benchmark securities and, when applicable, prepayment/default projections based on historical data and other observable inputs.
Collective trust funds represent interests in pooled investment vehicles designed typically for collective investment of employee benefit trusts. The fair values of these investments are determined by reference to the net asset value per unit provided by the fund managers as a practical expedient. The unit values are based on the fair values of the trusts’ underlying assets, which are principally equity and fixed income securities and short-term investments. The only redemption restriction with respect to these investments

8


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

is on the Wells Fargo Stable Value Fund W (fair value of $22,885,451 as of December 31, 2017), which requires a one-year notice to be given in the event of complete liquidation.
4. Income Tax Status
The Plan received a determination letter from the IRS dated February 22, 2018, stating that, conditioned on the adoption of proposed Plan amendments submitted to the IRS on February 15, 2018, the Plan is qualified, in form, under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Subsequent to this determination by the IRS, the Plan was amended to satisfy the conditions in the determination letter. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. The Company believes the Plan is currently being operated in compliance with the applicable requirements of the Code and, therefore, believes that the Plan is qualified and the related trust is tax exempt. The Company has indicated that it currently intends to continue to take the necessary steps to maintain the Plan’s compliance with the applicable requirements of the Code.
5. Services Provided by the Company
During 2017 and 2016, the Company paid trustee fees and certain other administrative costs on behalf of the Plan.
6. Reconciliation of Financial Statements to Form 5500
The reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2017 and 2016, consisted of the following:
 
 
December 31,
 
 
2017
 
2016
Net assets available for benefits per the financial statements
 
$
5,063,806,421

 
$
4,279,649,700

Adjustment to fair value for fully benefit-responsive investment contracts
 
(750,062
)
 
(270,752
)
Amounts allocated to withdrawing participants
 
(3,892,137
)
 
(2,144,196
)
Deemed loans
 
(224,309
)
 
(303,178
)
Net assets per the Form 5500
 
$
5,058,939,913

 
$
4,276,931,574

For the year ended December 31, 2017, the following is a reconciliation of the net investment gain per the financial statements to the Form 5500: 
 
 
Year Ended
December 31,
2017
Interest and dividend income
 
$
47,722,759

Net realized/unrealized gains
 
682,360,724

Total net investment gain per the financial statements
 
730,083,483

Adjustment from fair value to contract value for fully benefit-responsive investment contracts:
 
 
Less prior year adjustment
 
270,752

Add current year adjustment
 
(750,062
)
Total net investment gain per the Form 5500
 
$
729,604,173


9


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

For the year ended December 31, 2017, the following is a reconciliation of distributions per the financial statements to the Form 5500:
 
 
Year Ended
December 31,
2017
Benefits paid
 
$
(272,747,355
)
Investment and administrative fees
 
(9,564,065
)
Total distributions per the financial statements
 
(282,311,420
)
Add prior year amounts allocated to withdrawing participants
 
2,144,196

Less current year amounts allocated to withdrawing participants
 
(3,892,137
)
Add prior year deemed loan balance
 
303,178

Less current year deemed loan balance
 
(224,309
)
Total distributions per the Form 5500
 
$
(283,980,492
)

10


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

Supplemental Schedule
Amgen Retirement and Savings Plan
EIN: 95-3540776 Plan: #001
As of December 31, 2017
Schedule H, line 4i – Schedule of Assets (Held at End of Year)
 
Identity of Issue
 
Description of Investment
 
Current Value
 
 
 
 
 
 
 
 
Amgen stock
 
Employer Securities 1,711,010 shares
 
$
297,544,696

 
 
 
 
 
 
 
 
$
297,544,696

Capital Preservation Asset Class:
 
 
 
 
 
 
 
Wells Fargo Fund F (at fair value)*
 
Collective trust fund 9,354,647 units
 
131,813,531

 
 
 
Wells Fargo Fund L (at fair value)*
 
Collective trust fund 7,620,874 units
 
96,930,653

 
 
 
Metropolitan Life Insurance Company*
 
Insurance separate accounts investment contract 720,126 units
 
79,390,598

 
 
 
Wells Fargo Stable Value Fund W*
 
Collective trust fund 419,434 units
 
22,885,451

 
 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 19,808,260 units
 
19,808,260

 
 
 
Wrapper contracts
 
 
 
—

 
Total Capital Preservation Asset Class
 
 
 
 
350,828,493

 
 
 
 
 
 
 
 
Emerging Markets Equity Asset Class:
 
 
 
 
 
 
 
J.P. Morgan Emerging Markets Equity Focus Fund*
 
Collective trust fund 3,077,941 units
 
73,316,547

 
 
 
Blackrock FTSE RAFI Emerging Index Non Lendable Fund F*
 
Collective trust fund 5,139,210 units
 
67,284,073

 
 
 
NT Collective Emerging Markets Fund - Non Lending*
 
Collective trust fund 49,352 units
 
9,527,753

 
Total Emerging Markets Equity Asset Class
 
 
 
 
150,128,373

 
 
 
 
 
 
 


Fixed Income Asset Class:
 
 
 
 
 
 
 
NT Collective Aggregate Bond Index Fund - Non Lending*
 
Collective trust fund 160,219 units
 
22,501,158

 
 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 10,309,761 units
 
10,309,761

 
 
 
United States Of America Treasury Notes 2.0% Due 11/30/2022
 
Government Bond 9,615,000 units
 
9,527,480

 
 
 
United States Treasury Notes 2.125% Due 12/31/2022
 
Government Bond 5,535,000 units
 
5,512,080

 
 
 
United States Treasury Bonds 2.75% Due 11/15/2047
 
Government Bond 5,475,000 units
 
5,483,984

 
 
 
Ginnie Mae II Jumbos 4.5% Due 30 Years Settles January
 
Government Mortgage Backed Security 3,575,000 units
 
3,749,839

 
 
 
United States Treasury Notes 2.25% Due 11/15/2027
 
Government Bond 3,445,000 units
 
3,396,419

 
 
 
United States Treasury 2% Due 10/31/2022
 
Government Bond 2,610,000 units
 
2,587,264

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08732 3% Due 11/01/2046
 
Government Mortgage Backed Security 2,511,942 units
 
2,514,640

 
 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 2,216,258 units
 
2,342,262

 
 
 
Fannie Mae Pool #BM1767 4.5% Due 08/01/2046
 
Government Mortgage Backed Security 2,192,355 units
 
2,336,290

 
 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2022
 
Government Bond 2,500,000 units
 
2,243,878

 
 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2034
 
Government Bond 3,220,000 units
 
2,082,954

 
 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2023
 
Government Bond 2,340,000 units
 
2,068,310

 
 
 
Metropolitan West Funds Floating Rate Income Fund Class I
 
Mutual Fund 203,327 shares
 
2,045,472

 
 
 
Fannie Mae Single Family Mortgage 3.5% 30 Years Settles January
 
Government Mortgage Backed Security 1,950,000 units
 
2,002,102

 
 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2021
 
Government Bond 1,905,000 units
 
1,790,268

 
 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2032
 
Government Bond 2,400,000 units
 
1,621,118

 

11


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Federal Home Loan Mortgage Corporation Gold Single Family 3.5% 30 Years Settles January
 
Government Mortgage Backed Security 1,435,000 units
 
1,473,640

 
 
 
Goverenment of Japan 0% Due 05/03/2018
 
Short Term Bills and Notes 160,000,000 units
 
1,420,678

 
 
 
Goverenment of Japan 0% Due 02/26/2018
 
Short Term Bills and Notes 160,000,000 units
 
1,420,638

 
 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2021
 
Government Bond 1,505,000 units
 
1,395,118

 
 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2029
 
Government Bond 1,820,000 units
 
1,369,255

 
 
 
United States Treas Bills Zero Coupon Due 04/19/2018
 
Short Term Bills and Notes 1,320,000 units
 
1,314,527

 
 
 
United States Of America Bonds Index Linked 0.875% Due 02/15/2047
 
Index Linked Government Bond 1,220,000 units
 
1,295,433

 
 
 
United States Treasury 1.75% Due 11/30/2019
 
Government Bond 1,240,000 units
 
1,236,900

 
 
 
Fannie Mae Remic Trust 2010-142 4% Due 12/25/2040
 
Government Mortgage Backed Security 1,000,000 units
 
1,083,444

 
 
 
Wachovia Corporation 5.75% Due 02/01/2018*
 
Corporate Bond 1,075,000 units
 
1,078,333

 
 
 
Federal Home Loan Mortgage Corporation Pool #G60344 4% Due 12/01/2045
 
Government Mortgage Backed Security 982,520 units
 
1,038,147

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08741 3% Due 01/01/2047
 
Government Mortgage Backed Security 1,023,662 units
 
1,024,656

 
 
 
United States Treasury Note 2.625% Due 11/15/2020
 
Government Bond 1,000,000 units
 
1,018,047

 
 
 
Federal Home Loan Mortgage Corporation Gold G60023 3.5% Due 04/01/2045
 
Government Mortgage Backed Security 961,538 units
 
995,943

 
 
 
United States Treasury Bond Inflation Index 5.500% Due 8/15/2028
 
Government Bond 750,000 units
 
965,127

 
 
 
Fannie Mae Pool #465769 3.96% Due 08/01/2020
 
Government Mortgage Backed Security 920,015 units
 
955,347

 
 
 
United States Of America Treasury Notes Inflation Index 0.125% Due 07/15/2026
 
Index Linked Government Bond 950,000 units
 
955,192

 
 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2028
 
Government Bond 1,250,000 units
 
948,143

 
 
 
Ginnie Mae II Pool #MA4126 Series 2046 3% Due 12/20/2046
 
Government Mortgage Backed Security 921,323 units
 
930,578

 
 
 
United States Treasury Bills 1.0% Due 12/31/2017
 
Government Bond 920,000 units
 
920,000

 
 
 
TCW Emerging Markets Income Fund*
 
Collective trust fund 8,540 units
 
883,763

 
 
 
Federal Home Loan Mortgage Corporation Gold G67703 3.5% Due 04/01/2047
 
Government Mortgage Backed Security 832,303 units
 
859,841

 
 
 
Federal Home Loan Mortgage Corporation Series K Class A 2.77% Due 05/25/2025
 
Government Commercial Mortgage-Backed Security 850,000 units
 
847,388

 
 
 
United States Treasury Bills Due 01/25/2018
 
Short Term Bills and Notes 840,000 units
 
839,340

 
 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2020
 
Government Bond 870,000 units
 
836,310

 
 
 
United States Treasury Bonds 4.375% Due 05/15/2040
 
Government Bond 620,000 units
 
799,413

 
 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2027
 
Government Bond 1,000,000 units
 
797,325

 
 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2022
 
Government Bond 860,000 units
 
782,051

 
 
 
SLC Student Loan Trust Floating Rate 2.2845% Due 12/15/2038
 
Asset Backed Security 800,000 units
 
767,207

 
 
 
United States Treasury Bonds 2.875% Due 05/15/2043
 
Government Bond 740,000 units
 
760,899

 
 
 
Wachovia Student Loan Floating Rate 1.9152% Due 04/25/2040*
 
Asset Backed Security 780,000 units
 
751,755

 
 
 
Fannie Mae Pool #MA2545 3.5% Due 02/01/2046
 
Government Mortgage Backed Security 728,604 units
 
750,164

 
 
 
SLC Student Loan Trust Floating Rate 2.2845% Due 09/15/2039
 
Asset Backed Security 770,000 units
 
743,025

 
 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2027
 
Government Bond 950,000 units
 
740,136

 
 
 
United States Treasury Bond Zero Coupon Due 02/15/2030
 
Government Bond 1,000,000 units
 
732,365

 
 
 
United States of America Treasury Inflation Indexed Bond 0.125% Due 04/15/2022
 
Index Linked Government Bond 725,000 units
 
730,160

 
 
 
J.P. Morgan Mortgage Floating Rate 2.3257% Due 06/25/2035*
 
Asset Backed Security 722,163 units
 
722,924

 
 
 
SLM Student Loan Trust 2005-5 Class A-4 Due 10/25/2028
 
Asset Backed Security 720,000 units
 
715,372

 

12


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Ginnie Mae II Jumbos 3% Due 30 Years Settles January
 
Government Mortgage Backed Security 690,000 units
 
696,253

 
 
 
United States Of America Treasury Notes .75% Due 08/31/2018
 
Government Bond 700,000 units
 
695,734

 
 
 
SLM Student Loan Trust 2005-5 Class A-5 Due 10/25/2040
 
Asset Backed Security 700,000 units
 
695,526

 
 
 
New Century Home Equity Loan Trust Series 2004-2 Class A1 Floating Rate Due 08/25/2034
 
Asset Backed Security 732,252 units
 
689,003

 
 
 
Fannie Mae Single Family Mortgage 3% 15 Years Settles January
 
Government Mortgage Backed Security 675,000 units
 
687,525

 
 
 
SLM Student Loan Trust 2014-2 Class A-3 Floating Rate Due 03/26/2029
 
Asset Backed Security 680,000 units
 
684,121

 
 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2026
 
Government Bond 850,000 units
 
680,989

 
 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2021
 
Government Bond 730,000 units
 
680,614

 
 
 
Ginnie Mae II Jumbos 3.5% Due 30 Years Settles January
 
Government Mortgage Backed Security 655,000 units
 
677,106

 
 
 
Fannie Mae Pool #AV5051 4.50% Due 02/01/2044
 
Government Mortgage Backed Security 632,654 units
 
677,000

 
 
 
Morgan Stanley Floating Due 02/14/2020
 
Corporate Bond 650,000 units
 
652,591

 
 
 
Fannie Mae Remic Trust 2015-M2 Class A3 Variable Rate Due 12/25/2024
 
Government Commercial Mortgage-Backed Security 622,717 units
 
637,080

 
 
 
Wells Fargo & Company 3% Due 04/22/2026*
 
Corporate Bond 645,000 units
 
632,809

 
 
 
GE Capital International Funding Company 4.418% Due 11/15/2035
 
Corporate Bond 581,000 units
 
628,791

 
 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2020
 
Government Bond 650,000 units
 
617,347

 
 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR2 Class 1A1A Floating Rate Due 01/25/2045
 
Non-Government Backed Collateralized Mortgage Obligation 618,041 units
 
613,809

 
 
 
The Goldman Sachs Group Inc. 7.5% Due 02/15/2019
 
Corporate Bond 580,000 units
 
612,964

 
 
 
Soundview Home Loan Trust 2006-2 Mortgage Capital Trust Fund Class M-1 Variable Rate 03/25/2036
 
Asset Backed Security 610,000 units
 
609,176

 
 
 
J.P. Morgan Chase & Company 6.0% Due 01/15/2018*
 
Corporate Bond 605,000 units
 
605,842

 
 
 
Citigroup Inc. 6.125% Due 05/15/2018
 
Corporate Bond 590,000 units
 
598,940

 
 
 
Fannie Mae Pool #Am1762 2.39% Due 12/01/2022
 
Government Mortgage Backed Security 595,595 units
 
593,557

 
 
 
Ginnie Mae II Jumbos 5% Due 30 Years Settles January
 
Government Mortgage Backed Security 555,000 units
 
591,649

 
 
 
Nelnet Student Loan Trust Series 2015-3 Class A-2 Floating Rate Due 02/26/2046
 
Asset Backed Security 583,736 units
 
585,320

 
 
 
Fannie Mae Pool #AT5907 4% Due 06/01/2043
 
Government Mortgage Backed Security 550,370 units
 
584,884

 
 
 
Fannie Mae Pool #MA1546 3.5% Due 08/01/2043
 
Government Mortgage Backed Security 564,151 units
 
581,486

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08707 4% Due 05/01/2046
 
Government Mortgage Backed Security 553,078 units
 
578,436

 
 
 
The Goldman Sachs Group Inc. 5.95% Due 01/18/2018
 
Corporate Bond 568,000 units
 
568,896

 
 
 
Fannie Mae Single Family Mortgage 3% 30 Years Settles January
 
Government Mortgage Backed Security 565,000 units
 
565,000

 
 
 
Citigroup Inc. 2.05% Due 12/07/2018
 
Corporate Bond 565,000 units
 
564,409

 
 
 
Fannie Mae Series 2017-M11 Class FA Floating Rate Due 09/25/2024
 
Government Commercial Mortgage-Backed Security 563,545 units
 
564,336

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4324 Class AY 3% Due 04/15/2029
 
Government Mortgage Backed Security 568,738 units
 
562,252

 
 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2034
 
Government Bond 875,000 units
 
561,186

 
 
 
Wellpoint Systems Inc 1.875% Due 01/15/2018
 
Corporate Bond 555,000 units
 
554,962

 
 
 
Anthem Inc. 2.5% Due 11/21/2020
 
Corporate Bond 555,000 units
 
553,841

 
 
 
Morgan Stanley Floating Due 07/22/2022
 
Corporate Bond 540,000 units
 
544,337

 
 
 
Banc of America Funding Corporation Series 2015-R7 Class 1A 1.03833%*
 
Non-Government Backed Collateralized Mortgage Obligation 530,773 units
 
533,861

 

13


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Fannie Mae Pool #AT5915 4% Due 06/01/2043
 
Government Mortgage Backed Security 505,657 units
 
533,265

 
 
 
Fannie Mae Pool #Al6167 3.5% Due 01/01/2044
 
Government Mortgage Backed Security 516,985 units
 
532,858

 
 
 
SLM Student Loan Trust 2009-3 Class A Variable Rate Due 01/25/2045
 
Asset Backed Security 533,039 units
 
530,499

 
 
 
Fannie Mae Pool #Al7092 3% Due 07/01/2045
 
Government Mortgage Backed Security 527,464 units
 
529,477

 
 
 
United States Treasury 3.0% Due 11/15/2045
 
Government Bond 500,000 units
 
525,098

 
 
 
Fannie Mae Pool #MA2883 3% Due 01/01/2027
 
Government Mortgage Backed Security 513,453 units
 
523,815

 
 
 
Bank of America Corporation 5.65% Due 05/01/2018*
 
Corporate Bond 515,000 units
 
521,146

 
 
 
Fannie Mae Pool #AM2711 2.57% Due 03/01/2023
 
Government Mortgage Backed Security 518,180 units
 
519,757

 
 
 
Fannie Mae Pool #AM1990 2.33% Due 01/01/2023
 
Government Mortgage Backed Security 519,503 units
 
516,278

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3895 Class PW 4.5% Due 07/15/2041
 
Government Mortgage Backed Security 450,000 units
 
505,048

 
 
 
Fannie Mae Pool #AM8674 2.81% Due 04/01/2025
 
Government Mortgage Backed Security 500,000 units
 
503,911

 
 
 
J.P. Morgan Chase & Company 3.22% Due 03/01/2025*
 
Corporate Bond 500,000 units
 
503,899

 
 
 
Drive Auto Receivables Trust Class B 2.3% Due 05/17/2021
 
Asset Backed Security 505,000 units
 
503,840

 
 
 
Bank of America Corporation 2.369% Due 07/21/2021*
 
Corporate Bond 500,000 units
 
499,124

 
 
 
WEA Financial LLC / Westfield UK & Europe Finance PLC 2.7% Due 09/17/2019
 
Corporate Bond 494,000 units
 
496,667

 
 
 
Fannie Mae Single Family Mortgage 4% 30 Years Settles January
 
Government Mortgage Backed Security 470,000 units
 
491,497

 
 
 
United States Treasury Notes Inflation Indexed 0.375% Due 7/15/2027
 
Index Linked Government Bond 490,000 units
 
491,466

 
 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR13 Class A1A1 Floating Rate Due 10/25/2045
 
Non-Government Backed Collateralized Mortgage Obligation 505,597 units
 
487,449

 
 
 
CSAIL 2015-C3 3.7182% Due 08/15/2048
 
Commercial Mortgage-Backed Security 463,000 units
 
481,584

 
 
 
Nationstar Home Floating Rate 1.9007% Due 09/25/2036
 
Asset Backed Security 482,203 units
 
479,463

 
 
 
Federal Home Loan Mortgage Corporation Pool #Al2293 4.374% Due 06/01/2021
 
Government Mortgage Backed Security 450,049 units
 
477,193

 
 
 
Fannie Mae Remic Series 2015-M4 Class AV2 2.509% Due 07/25/2022
 
Government Commercial Mortgage-Backed Security 475,000 units
 
475,935

 
 
 
Ba Cr Card Tr 1.36% Due 09/15/2020
 
Asset Backed Security 475,000 units
 
474,487

 
 
 
Fannie Mae Pool #468559 4.01% Due 08/01/2021
 
Government Mortgage Backed Security 449,506 units
 
472,843

 
 
 
Fannie Mae Pool #MA1462 3.5% Due 06/01/2043
 
Government Mortgage Backed Security 458,018 units
 
472,381

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4158 Class TY 3% Due 01/15/2043
 
Government Mortgage Backed Security 500,000 units
 
469,886

 
 
 
PNC Bank NA 1.5% Due 02/23/2018
 
Corporate Bond 465,000 units
 
464,854

 
 
 
Fannie Mae Pool #AM7514 3.07% Due 02/01/2025
 
Government Mortgage Backed Security 450,000 units
 
459,413

 
 
 
Fannie Mae Pool #BC1158 3.5% Due 02/01/2046
 
Government Mortgage Backed Security 446,419 units
 
458,593

 
 
 
DBWF 2015-LCM Mortgage Trust Floating Rate Due 06/10/2034
 
Commercial Mortgage-Backed Security 460,000 units
 
455,349

 
 
 
Morgan Stanley 6.625% Due 04/01/2018
 
Corporate Bond 450,000 units
 
454,931

 
 
 
Ginnie Mae Pool #MA4510 3.5% Due 06/20/2047
 
Government Mortgage Backed Security 437,606 units
 
452,830

 
 
 
Federal Home Loan Mortgage Corporation Pool #G07957 4% Due 01/01/2045
 
Government Mortgage Backed Security 427,542 units
 
452,639

 
 
 
Columbia Pipeline Group Inc. 2.45% Due 06/01/2018
 
Corporate Bond 450,000 units
 
450,266

 
 
 
Fannie Mae Remic Series 2015-M7 Class A2 2.59% Due 12/25/2024
 
Government Commercial Mortgage-Backed Security 447,000 units
 
444,762

 
 
 
Santander Drive Auto Fixed 2.79% Due 08/15/2022
 
Asset Backed Security 442,000 units
 
443,402

 

14


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Ginnie Mae 5% Due 03/16/2034
 
Government Mortgage Backed Security 408,017 units
 
440,377

 
 
 
Ginnie Mae 2011-71 Class ZC 5.5% Due 7/16/2034
 
Government Mortgage Backed Security 397,005 units
 
438,925

 
 
 
Fannie Mae Series 2013-M7 Class A2 2.28% Due 12/25/2022
 
Government Commercial Mortgage-Backed Security 441,000 units
 
436,814

 
 
 
Discover Bank of Greenwood Delaware 2.6% Due 11/13/2018
 
Corporate Bond 435,000 units
 
436,476

 
 
 
Fannie Mae Series 2014-M3 Class A2 Variable Rate Due 01/25/2024
 
Government Commercial Mortgage-Backed Security 415,000 units
 
434,694

 
 
 
Farmers Exchange Floating Rate 5.454% Due 10/15/2054
 
Corporate Bond 400,000 units
 
431,120

 
 
 
Fannie Mae 3.726% Due 06/25/2021
 
Government Commercial Mortgage-Backed Security 410,000 units
 
426,248

 
 
 
Fannie Mae Pool #467757 4.33% Due 04/01/2021
 
Government Mortgage Backed Security 402,486 units
 
425,687

 
 
 
Ginnie Mae II Pool #MA3736 Series 2046 3.5% Due 06/20/2046
 
Government Mortgage Backed Security 407,052 units
 
421,224

 
 
 
Fannie Mae Pool #MA3027 4% Due 06/01/2047
 
Government Mortgage Backed Security 396,085 units
 
414,532

 
 
 
Federal Home Loan Mortgage Corporation Series 4639 Class HZ Step Up Due 04/15/2053
 
Government Mortgage Backed Security 437,586 units
 
409,770

 
 
 
Fannie Mae Pool #AM5473 3.76% Due 03/01/2024
 
Government Mortgage Backed Security 385,000 units
 
408,120

 
 
 
Fannie Mae Pool #AQ1534 3.5% Due 10/01/2032
 
Government Mortgage Backed Security 393,258 units
 
406,087

 
 
 
Fannie Mae Pool #AS9830 4% Due 06/01/2047
 
Government Mortgage Backed Security 387,159 units
 
405,230

 
 
 
United States Treasury Security 4.5% Due 08/15/2039
 
Government Bond 310,000 units
 
404,950

 
 
 
Ginnie Mae 3.5% Due 03/20/2046
 
Government Mortgage Backed Security 390,840 units
 
404,568

 
 
 
Citigroup Inc. 1.8% Due 02/05/2018
 
Corporate Bond 400,000 units
 
399,958

 
 
 
Morgan Stanley 7.3% Due 05/13/2019
 
Corporate Bond 375,000 units
 
399,791

 
 
 
United Technologies Corporation 1.778% Due 05/04/2018
 
Corporate Bond 400,000 units
 
399,388

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08711 3.5% Due 06/01/2046
 
Government Mortgage Backed Security 388,137 units
 
399,191

 
 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR11 Class A1A Floating Rate Due 08/25/2045
 
Non-Government Backed Collateralized Mortgage Obligation 398,606 units
 
399,101

 
 
 
United States Treasury Note 4.375% Due 11/15/2039
 
Government Bond 310,000 units
 
398,871

 
 
 
Navient Student Loan Trust Series 2015-3 Class B Floating Rate Due 10/25/2058
 
Asset Backed Security 400,000 units
 
398,239

 
 
 
Fannie Mae Pool #AR6380 3.00% Due 02/01/2043
 
Government Mortgage Backed Security 391,185 units
 
393,439

 
 
 
BBCCRE Trust Series 2015-GTP Class A 3.966% Due 08/10/2033
 
Commercial Mortgage-Backed Security 385,000 units
 
391,597

 
 
 
American Express Credit Corporation A-C Master Series 2017-1 Class A 1.93% Due 09/15/2022
 
Asset Backed Security 390,000 units
 
388,204

 
 
 
Fresenius Medical Care 6.5% Due 09/15/2018
 
Corporate Bond 375,000 units
 
386,666

 
 
 
Fannie Mae Pool #465973 3.59% Due 10/01/2020
 
Government Mortgage Backed Security 372,651 units
 
384,406

 
 
 
Fannie Mae Variable Rate Due 07/25/2024
 
Government Commercial Mortgage-Backed Security 373,000 units
 
383,419

 
 
 
Santander UK PLC 2.5% Due 03/14/2019
 
Corporate Bond 382,000 units
 
383,174

 
 
 
Commercial Mortgage Trust Series 2015-Cr24 Class A5 3.696% Due 08/10/2055
 
Commercial Mortgage-Backed Security 366,146 units
 
382,521

 
 
 
AT&T Inc. 3.4% Due 05/15/2025
 
Corporate Bond 389,000 units
 
382,445

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2901 4.5% Due 12/15/2019
 
Government Mortgage Backed Security 376,768 units
 
381,128

 
 
 
Fannie Mae Pool #AB7575 3.00% Due 01/01/2043
 
Government Mortgage Backed Security 378,912 units
 
380,956

 
 
 
Long Beach Mortgage Loan Trust 2005-2 Pass-Through Due 04/25/2035
 
Asset Backed Security 374,299 units
 
378,102

 

15


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Progress Residential Series 2015-SFR2 Class A 2.74% Due 06/12/2032
 
Asset Backed Security 378,278 units
 
377,408

 
 
 
Berkshire Hathaway Inc. 4.4% Due 05/15/2042
 
Corporate Bond 334,000 units
 
376,375

 
 
 
Charter 4.464% Due 07/23/2022
 
Corporate Bond 355,000 units
 
370,389

 
 
 
Ginnie Mae II Pool #MA3597 Series 2046 3.5% Due 04/20/2046
 
Government Mortgage Backed Security 355,897 units
 
368,370

 
 
 
Fannie Mae Pool #AR7961 3.5% Due 03/01/2033
 
Government Mortgage Backed Security 353,542 units
 
365,078

 
 
 
Impac Secured Assets Corporation 2004-3 Pass-Through Class M-1 Floating Rate Due 11/25/2034
 
Non-Government Backed Collateralized Mortgage Obligation 370,000 units
 
364,524

 
 
 
Kabbage Asset Securitization LLC Class A 4.571% Due 03/15/2022
 
Asset Backed Security 355,000 units
 
362,757

 
 
 
Wells Fargo Commercial 3.664% Due 09/15/2048*
 
Commercial Mortgage-Backed Security 346,000 units
 
360,096

 
 
 
Navient Student Loan Trust Series 17-3A Class A3 Floating Rate Due 07/26/2066
 
Asset Backed Security 350,000 units
 
359,212

 
 
 
Magnetite CLO Limited Class A1R Flat Rate Due 07/25/2026
 
Asset Backed Security 355,000 units
 
356,434

 
 
 
Actavis Funding SCS 3.8% Due 03/15/2025
 
Corporate Bond 350,000 units
 
356,317

 
 
 
Fannie Mae Pool #AS9972 4% Due 07/01/2047
 
Government Mortgage Backed Security 339,964 units
 
355,832

 
 
 
Ginnie Mae Class 2007-035 6% Due 06/20/2037
 
Government Mortgage Backed Security 324,079 units
 
355,677

 
 
 
Flagship CLO Series 14-8A Class AR Floating Rate Due 01/16/2026
 
Asset Backed Security 355,000 units
 
355,340

 
 
 
Fannie Mae Pool #AM5079 3.45% Due 01/01/2024
 
Government Mortgage Backed Security 339,001 units
 
353,675

 
 
 
Duke Energy 3.75% Due 06/01/2045
 
Corporate Bond 343,000 units
 
353,258

 
 
 
Federal Home Loan Mortgage Corporation Pool #SO7307 3% Due 8/15/2044
 
Government Mortgage Backed Security 356,544 units
 
352,407

 
 
 
Voya CLO Class A-1 Floating Rate
 
Asset Backed Security 350,000 units
 
350,734

 
 
 
Fannie Mae Pool #468564 4.06% Due 07/01/2021
 
Government Mortgage Backed Security 332,903 units
 
350,554

 
 
 
Fannie Mae Pool #MA1373 3.50% Due 03/01/2043
 
Government Mortgage Backed Security 339,639 units
 
350,068

 
 
 
Ginnie Mae Pool #783867 Series 2036 6.0% Due 8/15/2036
 
Government Mortgage Backed Security 309,756 units
 
349,770

 
 
 
American Express Company 1.55% Due 05/22/2018
 
Corporate Bond 350,000 units
 
349,591

 
 
 
FREMF 2015-K48 Mortgage Trust Floating Rate Due 06/25/2025
 
Commercial Mortgage-Backed Security 345,000 units
 
348,770

 
 
 
Ginnie Mae 5.5% Due 06/20/2035
 
Government Mortgage Backed Security 313,368 units
 
346,909

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Tranche 00839 2.615% Due 01/25/2023
 
Government Commercial Mortgage-Backed Security 345,000 units
 
346,004

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3677 4.5% Due 05/15/2040
 
Government Mortgage Backed Security 328,141 units
 
345,789

 
 
 
Protective Life Global Funding 1.722% Due 04/15/2019
 
Corporate Bond 345,000 units
 
343,178

 
 
 
United States Treasury Notes 1.875% Due 12/31/2019
 
Government Bond 340,000 units
 
339,894

 
 
 
GS Mortgage Securities Corporation 2005-9 Class 2A3 Variable Rate Due 08/25/2035
 
Asset Backed Security 341,258 units
 
339,862

 
 
 
Structured Asset Mortgage Investments II Inc. Series 2004-AR1 Class A1 Floating Rate Due 3/19/2034
 
Non-Government Backed Collateralized Mortgage Obligation 343,420 units
 
339,117

 
 
 
Federal Home Loan Mortgage Corporation Gold Pool U9-0291 4% Due 10/01/2042
 
Government Mortgage Backed Security 321,061 units
 
338,526

 
 
 
Fannie Mae Pool #AM4764 3.44% Due 11/01/2023
 
Government Mortgage Backed Security 324,459 units
 
338,081

 
 
 
Fannie Mae Pool #469688 3.38% Due 12/01/2021
 
Government Mortgage Backed Security 326,364 units
 
337,214

 
 
 
Boston Properties Limited Partnership 3.8% Due 02/01/2024
 
Corporate Bond 325,000 units
 
336,786

 
 
 
Fannie Mae Pool #AQ1607 3.5% Due 11/01/2032
 
Government Mortgage Backed Security 322,132 units
 
332,586

 
 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2031
 
Government Bond 470,000 units
 
331,810

 

16


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Federal Home Loan Mortgage Corporation Gold Pool U89009 3.5% Due 09/01/2032
 
Government Mortgage Backed Security 318,161 units
 
331,391

 
 
 
Ginnie Mae Pool #MA4069 3.5% Due 11/20/2046
 
Government Mortgage Backed Security 319,614 units
 
330,734

 
 
 
Citigroup Mortgage Loan Trust Series 2015-6 Class 2A1 Floating Rate Due 12/25/2035
 
Non-Government Backed Collateralized Mortgage Obligation 343,119 units
 
329,102

 
 
 
Duquesne Light Holdings, Inc. 6.4% Due 09/15/2020
 
Corporate Bond 300,000 units
 
328,062

 
 
 
Ginnie Mae Pool #MA4838 4% Due 11/20/2047
 
Government Mortgage Backed Security 309,309 units
 
324,098

 
 
 
Morgan Stanley ABS Capital I Inc. 2006-NC1 Pass-Through Class A/4 Due 12/25/2035
 
Asset Backed Security 320,257 units
 
320,475

 
 
 
Fannie Mae Pool #AM4407 3.65% Due 09/01/2023
 
Government Mortgage Backed Security 304,081 units
 
319,284

 
 
 
Fannie Mae Pool #MA0214 5% Due 10/01/2029
 
Government Mortgage Backed Security 293,218 units
 
315,244

 
 
 
Federal National Mortgage Association Pool #Al2965 2.667% Due 12/01/2022
 
Government Mortgage Backed Security 313,319 units
 
315,183

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2334 Class KB 6.5% Due 05/15/2028
 
Government Mortgage Backed Security 284,544 units
 
313,297

 
 
 
Bank of America Corporation 6.875% Due 11/15/2018*
 
Corporate Bond 300,000 units
 
312,418

 
 
 
J.P. Morgan Mortgage Trust 2005-A2 Pass-Through Class 1-A-1 Due 04/25/2035*
 
Non-Government Backed Collateralized Mortgage Obligation 310,810 units
 
311,365

 
 
 
Commercial Mortgage Trust Series 2015-CRE25 Class A/4 3.759% Due 08/10/2048
 
Commercial Mortgage-Backed Security 297,000 units
 
311,148

 
 
 
Fannie Mae Remic Series 2003-W2 5.9% Due 07/25/2042
 
Government Mortgage Backed Security 280,725 units
 
308,469

 
 
 
Bank of America Corporation 3.705% Due 04/24/2028*
 
Corporate Bond 300,000 units
 
307,918

 
 
 
The Goldman Sachs Group Inc. 5.25% Due 07/27/2021
 
Corporate Bond 283,000 units
 
306,713

 
 
 
Federal Home Loan Mortgage Corporation Pool #G07239 3.00% Due 12/01/2042
 
Government Mortgage Backed Security 304,780 units
 
306,381

 
 
 
Fannie Mae Pool #MA1866 4.50% Due 04/01/2044
 
Government Mortgage Backed Security 285,992 units
 
306,349

 
 
 
Fannie Mae Pool #MA2010 4.00% Due 08/01/2044
 
Government Mortgage Backed Security 288,514 units
 
304,261

 
 
 
Verizon Communications Inc. 4.862% Due 08/21/2046
 
Corporate Bond 292,000 units
 
304,154

 
 
 
Bank of America Corporation 4% Due 01/22/2025*
 
Corporate Bond 292,000 units
 
303,786

 
 
 
Ginnie Mae II Jumbos 4% Due 30 Years Settles January
 
Government Mortgage Backed Security 290,000 units
 
302,302

 
 
 
Appalachian Power Company 3.3% Due 06/01/2027
 
Corporate Bond 300,000 units
 
300,915

 
 
 
Citigroup Inc. 2.5% Due 09/26/2018
 
Corporate Bond 300,000 units
 
300,860

 
 
 
Teva 2.8% Due 07/21/2023
 
Corporate Bond 345,000 units
 
300,429

 
 
 
UBS AG London Branch Note Floating Rate 144A Due 05/28/2019
 
Corporate Bond 300,000 units
 
300,012

 
 
 
J.P. Morgan Chase & Company 1.7% Due 03/01/2018*
 
Corporate Bond 300,000 units
 
299,971

 
 
 
Ginnie Mae II Pool #MA4722 Series 2047 5% Due 09/20/2047
 
Government Mortgage Backed Security 280,124 units
 
299,213

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08737 3% Due 12/01/2046
 
Government Mortgage Backed Security 298,877 units
 
299,183

 
 
 
Ford Motor Credit Company LLC Floating Rate 2.29028% Due 01/09/2018
 
Corporate Bond 298,000 units
 
298,026

 
 
 
VNDO Mortgage Trust 2012-6 2.9950% Due 11/15/2030
 
Commercial Mortgage-Backed Security 295,237 units
 
297,957

 
 
 
AT&T Inc. 4.8% Due 06/15/2044
 
Corporate Bond 300,000 units
 
296,724

 
 
 
Federal Home Loan Mortgage Corporation Pool #S06297 3.5% Due 09/15/2042
 
Government Mortgage Backed Security 280,296 units
 
290,154

 
 
 
Fannie Mae Pool #Al9472 4% Due 10/01/2043
 
Government Mortgage Backed Security 275,079 units
 
288,836

 
 
 
Fannie Mae Pool #AM6429 3.58% Due 08/01/2029
 
Government Mortgage Backed Security 275,418 units
 
288,560

 
 
 
Fannie Mae Pool #FN0009 3.414% Due 10/01/2020
 
Government Mortgage Backed Security 281,666 units
 
288,110

 

17


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Bank of America Corporation 3.593% Due 07/21/2028*
 
Corporate Bond 280,000 units
 
284,607

 
 
 
Bear Stearns ARM Floating Rate 3.722068% Due 11/25/2034
 
Non-Government Backed Collateralized Mortgage Obligation 283,092 units
 
283,590

 
 
 
Fannie Mae Remic Series 2014-M1 Class A Floating Rate Due 07/25/2023
 
Government Commercial Mortgage-Backed Security 275,000 units
 
283,406

 
 
 
Ginnie Mae Pool #MA3663 3.5% Due 05/20/2046
 
Government Mortgage Backed Security 273,786 units
 
283,360

 
 
 
Jersey Central Power & Light Company 4.7% Due 04/01/2024
 
Corporate Bond 261,000 units
 
282,610

 
 
 
Ventas Realty Limited 3.5% Due 02/01/2025
 
Corporate Bond 280,000 units
 
282,084

 
 
 
Fannie Mae Pool #FN0001 3.766% Due 12/01/2020
 
Government Mortgage Backed Security 272,585 units
 
281,921

 
 
 
AT&T Inc. 5.25% Due 03/01/2037
 
Corporate Bond 265,000 units
 
280,270

 
 
 
J.P. Morgan Mortgage Acquisition Corporation Series 07-Ch1 Class AV5 Floating Rate Due 11/25/2036*
 
Asset Backed Security 279,507 units
 
279,368

 
 
 
United States Treasury Bond Zero Coupon Due 08/15/2023
 
Government Bond 315,000 units
 
276,426

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 323 Class 300 Due 01/15/2044
 
Government Mortgage Backed Security 272,898 units
 
273,155

 
 
 
UBS AG Stamford Branch 1.8% Due 03/26/2018
 
Corporate Bond 271,000 units
 
271,009

 
 
 
Fannie Mae Pool #AN0335 3.39% Due 01/01/2031
 
Government Mortgage Backed Security 260,000 units
 
268,283

 
 
 
Ginnie Mae 5.25% Due 03/20/2038
 
Government Mortgage Backed Security 246,518 units
 
268,282

 
 
 
Fannie Mae Pool #MA1510 4.00% Due 07/01/2043
 
Government Mortgage Backed Security 253,933 units
 
267,631

 
 
 
Fannie Mae Pool #AN1835 2.535% Due 07/01/2028
 
Government Mortgage Backed Security 275,000 units
 
266,450

 
 
 
United States Treasury Bond 4.24% Due 05/15/2039
 
Government Bond 210,000 units
 
265,428

 
 
 
Fannie Mae Pool #AM6430 3.58% Due 08/01/2029
 
Government Mortgage Backed Security 251,675 units
 
263,684

 
 
 
Fannie Mae Pool #AM9491 3.55% Due 08/01/2030
 
Government Mortgage Backed Security 251,250 units
 
262,903

 
 
 
Metlife Inc. 7.8% Due 11/01/2025*
 
Corporate Bond 205,000 units
 
262,809

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08716 3.5% Due 08/01/2046
 
Government Mortgage Backed Security 255,024 units
 
262,288

 
 
 
Colony American Finance 2016-2 2.554% Due 11/15/2048
 
Commercial Mortgage-Backed Security 264,855 units
 
262,020

 
 
 
Fannie Mae Pool #An5742 3.19% Due 05/01/2030
 
Government Mortgage Backed Security 258,436 units
 
261,109

 
 
 
Fannie Mae Remic Series 416 Class A300 3% Due 11/25/2042
 
Government Mortgage Backed Security 259,799 units
 
260,826

 
 
 
Fannie Mae Pool #AM8203 2.74% Due 03/01/2025
 
Government Mortgage Backed Security 256,880 units
 
259,280

 
 
 
Fannie Mae Pool #AM4198 3.55% Due 03/01/2024
 
Government Mortgage Backed Security 246,302 units
 
258,492

 
 
 
International Lease Finance Corporation 7.125% Due 09/01/2018
 
Corporate Bond 250,000 units
 
257,967

 
 
 
Credit Suisse First Boston Mortgage Securities Corporation 2004/AR6 Pass-Through Class 2/A Variable Rate Due 10/25/34
 
Non-Government Backed Collateralized Mortgage Obligation 255,148 units
 
256,568

 
 
 
Microsoft Corporation 3.75% Due 02/12/2045
 
Corporate Bond 242,000 units
 
254,946

 
 
 
J.P. Morgan Chase & Company NT Fixed/Floating Rate Due 05/01/2028*
 
Corporate Bond 250,000 units
 
254,337

 
 
 
Fannie Mae Pool #MA1900 4.50% Due 04/01/2044
 
Government Mortgage Backed Security 237,235 units
 
254,127

 
 
 
Fannie Mae Pool #AM6428 3.58% Due 08/01/2029
 
Government Mortgage Backed Security 242,178 units
 
253,734

 
 
 
Fannie Mae Pool #AM6501 3.32% Due 08/01/2026
 
Government Mortgage Backed Security 245,000 units
 
253,530

 
 
 
Ginnie Mae 6% Due 11/16/2032
 
Government Mortgage Backed Security 226,702 units
 
251,906

 
 
 
UBS Commercial Mortgage Trust 2012-C1 Variable Rate Due 05/10/2045
 
Commercial Mortgage-Backed Security 250,000 units
 
250,575

 
 
 
J.P. Morgan Chase & Company 1.8% Due 01/25/2018*
 
Corporate Bond 250,000 units
 
249,981

 

18


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Fannie Mae Pool #MA1900 4.50% Due 05/01/2039
 
Government Mortgage Backed Security 233,012 units
 
249,551

 
 
 
Continental Airlines, Inc. Pass-Through Series 2000-1 Class A-1 8.048% Due 5/1/2022
 
Corporate Bond 226,504 units
 
249,438

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3662 5% Due 04/15/2040
 
Government Mortgage Backed Security 229,984 units
 
248,917

 
 
 
National Credit Union Association Guaranteed Trust 2010-R3 Due 12/06/2020
 
Government Mortgage Backed Security 248,019 units
 
248,877

 
 
 
Stadshypotek AB (publ) 1.875% Due 10/02/2019
 
Corporate Bond 250,000 units
 
248,288

 
 
 
Shire Acquisitions 1.9% Due 09/23/2019
 
Corporate Bond 250,000 units
 
247,737

 
 
 
Oracle Corporation 2.4% Due 09/15/2023
 
Corporate Bond 248,000 units
 
244,899

 
 
 
Merrill Lynch & Co., Inc. 6.875% Due 04/25/2018*
 
Corporate Bond 240,000 units
 
243,667

 
 
 
Providence Health & Services 2.746% Due 10/01/2026
 
Corporate Bond 250,000 units
 
242,180

 
 
 
Federal Home Loan Mortgage Corporation Tranche 00374 Series KF34 Class A Floating Rate Due 08/25/2024
 
Government Commercial Mortgage-Backed Security 244,993 units
 
241,479

 
 
 
GS Mortgage Securities Corporation Trust 2011-GC5 Due 08/10/2044
 
Commercial Mortgage-Backed Security 245,000 units
 
239,925

 
 
 
Siemens 2% Due 09/15/2023
 
Corporate Bond 250,000 units
 
239,630

 
 
 
Abbvie Inc. 3.6% Due 05/14/2025
 
Corporate Bond 232,000 units
 
238,513

 
 
 
Verizon Communications Inc. 4.4% Due 11/01/2034
 
Corporate Bond 231,000 units
 
235,398

 
 
 
Credit Acceptance Corp. Auto Loan 2.4% Due 02/15/2023
 
Asset Backed Security 232,609 units
 
232,839

 
 
 
Anadarko Petroleum Corporation 6.45% Due 09/15/2036
 
Corporate Bond 190,000 units
 
232,714

 
 
 
Public Service Electric and Gas Company 4.05% Due 05/01/2045
 
Corporate Bond 220,000 units
 
232,059

 
 
 
Federal Home Loan Mortgage Corporation Pool #G08792 3.5% Due 12/01/2047
 
Government Mortgage Backed Security 224,257 units
 
230,646

 
 
 
Fannie Mae Remic Trust 2004-W12 6.5% Due 07/25/2044
 
Government Mortgage Backed Security 198,039 units
 
226,145

 
 
 
Fannie Mae Series 2002-86 6% Due 09/25/2032
 
Government Mortgage Backed Security 201,604 units
 
225,801

 
 
 
Shell International Finance BV 4.375% Due 05/11/2045
 
Corporate Bond 200,000 units
 
224,875

 
 
 
Conoco Inc. 6.95% Due 04/15/2029
 
Corporate Bond 170,000 units
 
223,280

 
 
 
Anheuser-Busch 4.9% Due 02/01/2046
 
Corporate Bond 192,000 units
 
222,526

 
 
 
Federal Home Loan Mortgage Corporation Pool #G18592 3% Due 03/01/2031
 
Government Mortgage Backed Security 217,199 units
 
221,279

 
 
 
Fannie Mae Remic Series 2004-T1 6% Due 01/25/2044
 
Government Mortgage Backed Security 197,544 units
 
220,481

 
 
 
Fannie Mae Series 2017-T1 Class A 2.898% Due 06/25/2027
 
Government Mortgage Backed Security 221,952 units
 
220,480

 
 
 
MidAmerican Energy 4.8% Due 09/15/2043
 
Corporate Bond 183,000 units
 
219,807

 
 
 
Comcast Corporation 4.4% Due 08/15/2035
 
Corporate Bond 200,000 units
 
218,659

 
 
 
Hero Funding LLC 2017-2 Fixed 3.28% Due 09/20/2048
 
Asset Backed Security 218,741 units
 
217,872

 
 
 
Fannie Mae Pool #AN1161 3.05% Due 04/01/2028
 
Government Mortgage Backed Security 215,000 units
 
217,869

 
 
 
Bank of America Corporation 3.004% Due 12/20/2023*
 
Corporate Bond 215,000 units
 
215,552

 
 
 
Ginnie Mae 2015-H32 Remic Pass-Through Class FH Due 12/20/2065
 
Government Mortgage Backed Security 213,719 units
 
215,420

 
 
 
Verizon Communications Inc. 5.25% Due 03/16/2037
 
Corporate Bond 195,000 units
 
214,438

 
 
 
UBS-Bank of America Merrill Lynch Trust Series 2012-WRM 3.663% Due 06/10/2030*
 
Commercial Mortgage-Backed Security 211,000 units
 
214,085

 
 
 
HSBC Bank PLC 4.75% Due 01/19/2021
 
Corporate Bond 200,000 units
 
212,652

 
 
 
New York State Dormitory Authority 5.289% Due 03/15/2033
 
Municipal/Provincial Bond 180,000 units
 
211,135

 
 
 
Energy Transfer 5.15% Due 03/15/2045
 
Corporate Bond 215,000 units
 
209,055

 
 
 
Federal Home Loan Mortgage Corporation Multiclass Tranche 2.72% Due 07/25/2026
 
Government Commercial Mortgage-Backed Security 210,000 units
 
208,543

 
 
 
Fannie Mae Series 2013-96 3.5% Due 09/25/2038
 
Government Mortgage Backed Security 201,508 units
 
207,037

 
 
 
Bank of America Corporation 4.125% Due 01/22/2024*
 
Corporate Bond 194,000 units
 
206,330

 

19


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

Identity of Issue
 
Description of Investment
 
Current Value
 
 
Massachusetts State 4.91% Due 05/01/2029
 
Municipal/Provincial Bond 175,000 units
 
205,424

 
 
 
Aetna Inc. 2.8% Due 06/15/2023
 
Corporate Bond 208,000 units
 
204,709

 
 
 
Fannie Mae Series 2009-W1 6% Due 12/25/2049
 
Government Mortgage Backed Security 181,565 units
 
204,160

 
 
 
UBS-Barclays Commercial Mortgage Trust 2012-C2 3.52500009537% Due 05/10/2063
 
Commercial Mortgage-Backed Security 197,600 units
 
204,084

 
 
 
Healthcare Realty Trust Inc. 3.75% Due 04/15/2023
 
Corporate Bond 200,000 units
 
203,431

 
 
 
GE Capital International Funding Company 3.373% Due 11/15/2025
 
Corporate Bond 200,000 units
 
203,413

 
 
 
Ford Motor Credit Company LLC 3.336% Due 03/18/2021
 
Corporate Bond 200,000 units
 
203,127

 
 
 
Barclays PLC 3.684% Due 01/10/2023
 
Corporate Bond 200,000 units
 
202,956

 
 
 
Healthcare Trust of America Inc. 3.5% Due 08/01/2026
 
Corporate Bond 205,000 units
 
201,838

 
 
 
Williams Partners LP 3.6% Due 03/15/2022
 
Corporate Bond 197,000 units
 
201,513

 
 
 
The Goldman Sachs Group Inc. 5.375% Due 03/15/2020
 
Corporate Bond 190,000 units
 
201,463

 
 
 
American Credit Acceptance 2.8599998951% Due 06/12/2023
 
Asset Backed Security 201,000 units
 
200,899

 
 
 
CRH Finance America Inc. 3.4% Due 05/09/2027
 
Corporate Bond 200,000 units
 
199,955

 
 
 
Federal Home Loan Mortgage Corporation Series 4374 Class NC Step/up Due 02/15/2046
 
Government Mortgage Backed Security 195,027 units
 
199,187

 
 
 
Santander Drive Auto 1.5% Due 08/17/2020
 
Asset Backed Security 199,000 units
 
198,673

 
 
 
AstraZeneca PLC 3.125% Due 06/12/2027
 
Corporate Bond 200,000 units
 
197,634

 
 
 
The Goldman Sachs Group Inc. 3.85% Due 07/08/2024
 
Corporate Bond 190,000 units
 
197,081

 
 
 
Continental Airlines, Inc. Pass-Through 5.983% Due 04/19/2023
 
Corporate Bond 179,736 units
 
195,967

 
 
 
AT&T Inc. 4.75% Due 05/15/2046
 
Corporate Bond 200,000 units
 
195,609

 
 
 
Bank of New York Mellon Corporation 2.5% Due 04/15/2021
 
Corporate Bond 195,000 units
 
195,439

 
 
 
Progress Residential Series 2015-SFR2 Class B 3.138% Due 06/12/2032
 
Asset Backed Security 195,000 units
 
194,769

 
 
 
Kraft Heinz Foods Co 3% Due 06/01/2026
 
Corporate Bond 200,000 units
 
192,456

 
 
 
Drive Auto 2.75% Due 09/15/2023
 
Asset Backed Security 191,000 units
 
191,270

 
 
 
Sprint Spectrum Coompany LLC 3.36% Due 09/20/2021
 
Corporate Bond 187,500 units
 
188,672

 
 
 
The Goldman Sachs Group Inc. 3.85% Due 01/26/2027
 
Corporate Bond 183,000 units
 
187,878

 
 
 
Comcast Corporation 3.0% Due 02/01/2024
 
Corporate Bond 185,000 units
 
186,225

 
 
 
HCA Inc. 6.5% Due 02/15/2020
 
Corporate Bond 175,000 units
 
185,500

 
 
 
The Goldman Sachs Group Inc. 3.272% Due 09/29/2025
 
Corporate Bond 185,000 units
 
184,255

 
 
 
UnitedHealth Group, Inc. 3.75% Due 10/15/2047
 
Corporate Bond 180,000 units
 
183,648

 
 
 
Fannie Mae Remic Trust 2001-81 6.5% Due 01/25/2032
 
Government Mortgage Backed Security 162,940 units
 
182,926

 
 
 
General Motors Company 6.6% Due 04/01/2036
 
Corporate Bond 150,000 units
 
182,758

 
 
 
WFRBS Commercial Mortgage Trust Variable Rate Due 03/15/2045
 
Commercial Mortgage-Backed Security 190,000 units
 
180,459

 
 
 
Federal National Mortgage Association Pool #Al0561 3.738% Due 06/01/2018
 
Government Mortgage Backed Security 179,542 units
 
179,801

 
 
 
Fannie Mae Remic Trust 2007-93 4.50% Due 09/25/2037
 
Government Mortgage Backed Security 167,934 units
 
175,860

 
 
 
Anheuser-Busch 3.65% Due 02/01/2026
 
Corporate Bond 170,000 units
 
175,436

 
 
 
Reynolds American Inc. 6.875% Due 05/01/2020
 
Corporate Bond 160,000 units
 
175,423

 
 
 
Flagship Credit Auto 2.96000003815% Due 07/15/2023
 
Asset Backed Security 175,000 units
 
174,849

 
 
 
Crown Castle International Corporation 3.2% Due 09/01/2024
 
Corporate Bond 175,000 units
 
173,185

 
 
 
Federal Home Loan Mortgage Corporation Pool #G18626 2.5% Due 01/01/2032
 
Government Mortgage Backed Security 172,333 units
 
172,129

 
 
 
American Credit Acceptance Receivables Series 15-2 Class B 2.97% Due 05/12/2021
 
Asset Backed Security 171,866 units
 
172,110

 
 
 
Santander Drive Auto Receivables Trust Series 17-1 Class D 3.17% Due 04/17/2023
 
Asset Backed Security 171,000 units
 
171,870

 
 
 
HSBC Holdings PLC 4% Due 03/30/2022
 
Corporate Bond 163,000 units
 
170,264

 
 
 
Celgene Corporation 5% Due 08/15/2045
 
Corporate Bond 150,000 units
 
170,189

 
 
 
Exeter Automobile 1.84% Due 11/16/2020
 
Asset Backed Security 168,967 units