2018-11-08T15:00:32-06:00 2017-12-31 861065772 DELOITTE TAX LLP 127 PUBLIC SQUARE CLEVELAND OH 44114 990PF 2017-01-01 136170340 BOOTH FERRIS FOUNDATION XXXXX4008 FERR 8004962583 10 S DEARBORN IL1-0111 CHICAGO IL 60603 JOY G LLANES Vice President 8004962583 2018-11-07 true KELLY NEUGEBAUER P01285591 3124869652 2018-11-07 167.219.88.140 P B6044E31984AC0F1F14290EEA0C566A42F169452 749F195EEC1C2B99DC0744517FA41E55EEA79A4B 2017 2019-02-21 02:37:17Z X 232801198 X 4338782 4338782 3831366 35107237 3831366 0 728128 525500 8898276 8695648 1295435 777261 518174 0 0 0 0 0 0 0 0 109949 65949 0 0 0 0 0 0 0 20850 20850 1426234 843210 0 539024 9432250 9432250 10858484 843210 0 9971274 -1960208 7852438 0 10661880 9704861 9704861 0 0 0 72458104 73995853 107609682 58420012 61158198 61430333 40280040 35145305 54056322 181820036 180004217 232801198 0 X 181820036 180004217 181820036 180004217 181820036 180004217 181820036 -1960208 144389 180004217 0 180004217 40. ALEXION PHARMACEUTICALS INC 2016-04-06 2017-01-03 4896 6236 -1340 -1340 153. ALEXION PHARMACEUTICALS INC 2017-01-03 18729 29515 -10786 -10786 367. CARNIVAL CORPORATION 2017-01-03 19099 19132 -33 -33 96. CARNIVAL CORPORATION 2015-08-06 2017-01-03 5003 5004 -1 -1 5. KIMBERLY CLARK CORP 2016-01-12 2017-01-03 573 630 -57 -57 4. KIMBERLY CLARK CORP 2016-01-12 2017-01-03 456 504 -48 -48 4. KIMBERLY CLARK CORP 2016-01-12 2017-01-03 458 504 -46 -46 . LEHMAN BROS HLDGS INC 2017-01-03 1046 1046 1046 23. KIMBERLY CLARK CORP 2016-01-12 2017-01-04 2651 2898 -247 -247 25. KIMBERLY CLARK CORP 2016-01-12 2017-01-04 2877 3150 -273 -273 19. KIMBERLY CLARK CORP 2016-01-12 2017-01-04 2186 2394 -208 -208 14. KIMBERLY CLARK CORP 2016-01-12 2017-01-05 1619 1764 -145 -145 15. KIMBERLY CLARK CORP 2016-01-12 2017-01-05 1739 1890 -151 -151 3. KIMBERLY CLARK CORP 2016-01-12 2017-01-05 345 378 -33 -33 8. KIMBERLY CLARK CORP 2016-01-12 2017-01-05 924 1008 -84 -84 6. KIMBERLY CLARK CORP 2016-01-12 2017-01-06 696 756 -60 -60 1. KIMBERLY CLARK CORP 2016-01-12 2017-01-06 116 126 -10 -10 1. KIMBERLY CLARK CORP 2016-01-12 2017-01-06 116 126 -10 -10 14. KIMBERLY CLARK CORP 2016-01-12 2017-01-06 1631 1764 -133 -133 7. KIMBERLY CLARK CORP 2016-01-12 2017-01-06 812 882 -70 -70 3. KIMBERLY CLARK CORP 2016-01-12 2017-01-06 349 378 -29 -29 12. KIMBERLY CLARK CORP 2016-01-12 2017-01-09 1377 1512 -135 -135 6. KIMBERLY CLARK CORP 2016-01-12 2017-01-09 690 756 -66 -66 2. KIMBERLY CLARK CORP 2016-01-12 2017-01-09 229 252 -23 -23 10. KIMBERLY CLARK CORP 2016-01-12 2017-01-09 1149 1260 -111 -111 2185. MKP CREDIT OFFSHORE, LTD. CLASS B - NEW ISSUES INELIGIBLE NON-SE 2015-02-27 2017-01-10 1976282 2300000 -323718 -323718 2. KIMBERLY CLARK CORP 2016-01-12 2017-01-11 229 252 -23 -23 1. KIMBERLY CLARK CORP 2016-01-12 2017-01-11 114 126 -12 -12 4. KIMBERLY CLARK CORP 2016-01-12 2017-01-11 458 504 -46 -46 65000. MACYS RETAIL HLDGS INC 6.7% SEP 15 2028 2017-01-11 70992 75852 -4860 -4860 1. KIMBERLY CLARK CORP 2016-01-12 2017-01-12 114 126 -12 -12 9. KIMBERLY CLARK CORP 2016-01-12 2017-01-12 1029 1134 -105 -105 43.13 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-01-17 43 43 1536.73 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-01-17 1537 1609 -72 -72 358.49 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-01-17 358 399 -41 -41 2606.81 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-01-17 2607 2740 -133 -133 3179.22 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-01-17 3179 3287 -108 -108 95.39 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-01-17 95 94 1 1 7.39 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-01-17 7 7 2504.56 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-01-17 2505 2495 10 10 23.56 FREDDIE MAC 2005-01-19 2017-01-17 24 24 885.58 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-01-17 886 962 -76 -76 326.05 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-01-17 326 343 -17 -17 415.94 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-01-17 416 439 -23 -23 2323.04 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-01-17 2323 2596 -273 -273 1539.41 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-01-17 1539 1732 -193 -193 452.46 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-01-17 452 512 -60 -60 1395.13 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-01-17 1395 1595 -200 -200 1901.79 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-01-17 1902 2092 -190 -190 766.18 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-01-17 766 832 -66 -66 344.49 FHLMC 2011-10-05 2017-01-17 344 380 -36 -36 2971.38 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-01-17 2971 3051 -80 -80 1740.86 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-01-17 1741 1938 -197 -197 752.99 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-01-17 753 795 -42 -42 1375.85 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-01-17 1376 1537 -161 -161 1291.16 FREDDIE MAC 2005-09-15 2017-01-17 1291 1324 -33 -33 2694.81 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-01-17 2695 2899 -204 -204 910.9 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-01-17 911 923 -12 -12 3111.3 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-01-17 3111 3387 -276 -276 1338.85 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-01-17 1339 1379 -40 -40 5275.15 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-01-17 5275 5407 -132 -132 127.26 GNMA POOL NO 550851 2001-10-17 2017-01-17 127 132 -5 -5 237.42 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-01-17 237 260 -23 -23 2227.2 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-01-17 2227 2419 -192 -192 711.74 GNMA 701738 5% 03/15/39 2009-07-29 2017-01-17 712 728 -16 -16 1170.95 GNMA 2003-26 CL MB 2012-09-10 2017-01-17 1171 1292 -121 -121 7482.06 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-01-17 7482 8034 -552 -552 5058.46 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-01-17 5058 5210 -152 -152 500000. U S A BONDS 2016-11-02 2017-01-19 665781 712852 -47071 -47071 250000. U S A BONDS 2017-01-19 332891 281352 51539 51539 217.26 CAPITAL AUTO RECEIVABLES ASSET 2014-1 CL A4 1.690% 10/22/2018 2014-02-07 2017-01-20 217 219 -2 -2 2803.2 GNMA II 5% MAY 01 2010 2010-05-13 2017-01-20 2803 2946 -143 -143 3149.2 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-01-20 3149 3338 -189 -189 2896.42 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-01-20 2896 3201 -305 -305 2880.04 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-01-20 2880 3330 -450 -450 2233.5 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-01-20 2234 2421 -187 -187 4567.75 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-01-20 4568 5068 -500 -500 919.83 GNMA SER 2004-53 CL GE 5% AUG 20 2032 2011-04-12 2017-01-20 920 976 -56 -56 1715.25 GNMA SER 2005-26 CL XY 5.5% 2017-01-20 1715 1940 -225 -225 1593.79 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-01-20 1594 1816 -222 -222 308. AETNA INC NEW 2017-01-23 36662 35631 1031 1031 15. AETNA INC NEW 2015-01-15 2017-01-24 1760 1362 398 398 4036.8 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-01-25 4037 3988 49 49 1389.89 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-01-25 1390 1632 -242 -242 7271.72 FNMA SER 2011-118 CL V 4% OCT 25 2029 2012-01-19 2017-01-25 7272 7685 -413 -413 4253.14 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-01-25 4253 4849 -596 -596 5911.57 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-01-25 5912 5925 -13 -13 892.43 FNMA 255836 6% 07/01/25 2012-10-18 2017-01-25 892 1004 -112 -112 3309.97 FNMA 256749 6% 06/01/37 2008-09-30 2017-01-25 3310 3359 -49 -49 298.1 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-01-25 298 323 -25 -25 235.31 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-01-25 235 256 -21 -21 269.4 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-01-25 269 265 4 4 5411.79 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-01-25 5412 5827 -415 -415 4978.11 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-01-25 4978 5053 -75 -75 316.61 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-01-25 317 320 -3 -3 167.48 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-01-25 167 165 2 2 194.93 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-01-25 195 190 5 5 255.22 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-01-25 255 244 11 11 268. FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-01-25 268 261 7 7 217.12 FNMA AU6278 5% 11/01/43 2014-10-28 2017-01-25 217 241 -24 -24 577.47 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-01-25 577 645 -68 -68 2244.06 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-01-25 2244 2306 -62 -62 353.43 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-01-25 353 380 -27 -27 1683.06 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-01-25 1683 1795 -112 -112 4164.12 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-01-25 4164 4711 -547 -547 305.6 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-01-25 306 336 -30 -30 32.14 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-01-25 32 36 -4 -4 621.7 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-01-25 622 630 -8 -8 2979.67 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-01-25 2980 3146 -166 -166 513.72 FNMA 776289 5% 05/01/34 2013-04-04 2017-01-25 514 566 -52 -52 2596.44 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-01-25 2596 2730 -134 -134 173.26 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-01-25 173 182 -9 -9 30.67 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-01-25 31 33 -2 -2 10.95 FANNIE MAE 2005-03-07 2017-01-25 11 12 -1 -1 50.59 FANNIE MAE 2005-01-14 2017-01-25 51 52 -1 -1 234.73 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-01-25 235 248 -13 -13 443.88 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-01-25 444 467 -23 -23 475.65 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-01-25 476 503 -27 -27 3475.3 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-01-25 3475 3659 -184 -184 1839.43 FNMA AA0835 5% 01/01/39 2009-07-29 2017-01-25 1839 1875 -36 -36 16833.89 FNMA AB1693 4% 11/01/40 2011-03-01 2017-01-25 16834 16542 292 292 2893.24 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-01-25 2893 2941 -48 -48 1081.26 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-01-25 1081 1081 1416.49 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-01-25 1416 1406 10 10 290.75 FNMA MA2369 4% 08/01/45 2016-04-05 2017-01-25 291 315 -24 -24 227.77 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-01-25 228 267 -39 -39 100000. FORD MOTOR CREDIT CO LLC 6 5/8% AUG 15 2017 2014-03-04 2017-01-25 102678 116105 -13427 -13427 7677.78 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-01-25 7678 7512 166 166 410.61 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/2033 2015-12-08 2017-01-25 411 408 3 3 2464.55 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-01-25 2465 2503 -38 -38 282. AETNA INC NEW 2017-01-30 32817 25367 7450 7450 80. BLACKROCK INC 2017-01-30 29914 27815 2099 2099 137. CARNIVAL CORPORATION 2015-08-06 2017-01-30 7621 7142 479 479 26. CARNIVAL CORPORATION 2015-08-06 2017-01-30 1450 1355 95 95 17. CARNIVAL CORPORATION 2017-01-30 949 885 64 64 179. LAM RESEARCH CORPORATION COMMON 2017-01-30 20706 7418 13288 13288 447. TIME WARNER INC 2017-01-30 43096 6389 36707 36707 261. CARNIVAL CORPORATION 2017-01-31 14388 13569 819 819 18. CARNIVAL CORPORATION 2015-12-15 2017-02-01 994 936 58 58 16. CARNIVAL CORPORATION 2015-12-15 2017-02-01 887 832 55 55 11. CARNIVAL CORPORATION 2015-12-15 2017-02-01 608 572 36 36 221. LAM RESEARCH CORPORATION COMMON 2017-02-02 25907 9146 16761 16761 . SCHERING PLOUGH CORP 2017-02-03 11 11 11 80000. VERIZON COMMUNICATIONS NON-TRADEABLE ASSET 2013-11-19 2017-02-06 89506 85787 3719 3719 27000. VERIZON GLOBAL FUNDING CORPORATION NON-TRADEABLE ASSET 2005-09-08 2017-02-06 31516 26807 4709 4709 103. LENNOX INTL INC 2017-02-10 16840 12786 4054 4054 191. SCHLUMBERGER LTD 2013-04-29 2017-02-10 15707 14134 1573 1573 25. SCHLUMBERGER LTD 2016-07-07 2017-02-10 2056 1940 116 116 118. SCHLUMBERGER LTD 2017-02-10 9683 8696 987 987 8. SCHLUMBERGER LTD 2012-11-05 2017-02-10 657 560 97 97 74. LENNOX INTL INC 2017-02-13 11959 9102 2857 2857 67. SCHLUMBERGER LTD 2012-11-05 2017-02-13 5480 4691 789 789 47. SCHLUMBERGER LTD 2017-02-13 3841 3290 551 551 51. SCHLUMBERGER LTD 2017-02-13 4174 3569 605 605 86. LENNOX INTL INC 2017-02-14 13761 10454 3307 3307 10. SCHLUMBERGER LTD 2012-11-05 2017-02-14 818 699 119 119 29. SCHLUMBERGER LTD 2012-11-05 2017-02-14 2368 2028 340 340 52. SCHLUMBERGER LTD 2012-11-05 2017-02-14 4257 3636 621 621 43.35 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-02-15 43 43 1226.36 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-02-15 1226 1284 -58 -58 456.49 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-02-15 456 508 -52 -52 156.11 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-02-15 156 164 -8 -8 2896.25 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-02-15 2896 2994 -98 -98 98.81 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-02-15 99 98 1 1 7.44 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-02-15 7 7 2410.88 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-02-15 2411 2402 9 9 23.68 FREDDIE MAC 2005-01-19 2017-02-15 24 25 -1 -1 632.48 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-02-15 632 687 -55 -55 322.94 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-02-15 323 340 -17 -17 416.92 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-02-15 417 440 -23 -23 387.84 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-02-15 388 433 -45 -45 1304.38 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-02-15 1304 1467 -163 -163 519.4 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-02-15 519 588 -69 -69 572.7 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-02-15 573 655 -82 -82 823.99 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-02-15 824 906 -82 -82 1669.25 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-02-15 1669 1813 -144 -144 478.72 FHLMC 2011-10-05 2017-02-15 479 528 -49 -49 1904.14 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-02-15 1904 1955 -51 -51 1386.88 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-02-15 1387 1544 -157 -157 758.07 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-02-15 758 801 -43 -43 2641.3 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-02-15 2641 2951 -310 -310 3882.25 FREDDIE MAC 2005-09-15 2017-02-15 3882 3982 -100 -100 2311.89 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-02-15 2312 2487 -175 -175 521.74 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-02-15 522 529 -7 -7 6029.15 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-02-15 6029 6564 -535 -535 1883.92 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-02-15 1884 1940 -56 -56 2327.7 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-02-15 2328 2386 -58 -58 1344.22 GNMA POOL NO 550851 2001-10-17 2017-02-15 1344 1399 -55 -55 235.26 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-02-15 235 257 -22 -22 108.12 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-02-15 108 117 -9 -9 1365.89 GNMA 701738 5% 03/15/39 2009-07-29 2017-02-15 1366 1397 -31 -31 74. LENNOX INTL INC 2017-02-15 11753 8953 2800 2800 534.47 GNMA 2003-26 CL MB 2012-09-10 2017-02-16 534 590 -56 -56 3935.65 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-02-16 3936 4226 -290 -290 3850.29 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-02-16 3850 3966 -116 -116 12. LENNOX INTL INC 2015-08-11 2017-02-16 1934 1449 485 485 25271.71 CAPITAL AUTO RECEIVABLES ASSET 2014-1 CL A4 1.690% 10/22/2018 2014-02-07 2017-02-21 25272 25497 -225 -225 2243.82 GNMA II 5% MAY 01 2010 2010-05-13 2017-02-21 2244 2358 -114 -114 2896.18 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-02-21 2896 3070 -174 -174 2695.26 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-02-21 2695 2978 -283 -283 2484.81 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-02-21 2485 2873 -388 -388 2385.18 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-02-21 2385 2585 -200 -200 1193.09 GNMA SER 2004-53 CL GE 5% AUG 20 2032 2011-04-12 2017-02-21 1193 1266 -73 -73 1929.92 GNMA SER 2005-26 CL XY 5.5% 2017-02-21 1930 2183 -253 -253 144. PPG INDS INC 2017-02-22 14820 16097 -1277 -1277 166. PPG INDS INC 2017-02-22 17084 15311 1773 1773 62. PPG INDS INC 2016-01-21 2017-02-22 6388 5716 672 672 29.843 BIOVERATIV INC 2016-07-26 2017-02-23 1497 1343 154 154 65.157 BIOVERATIV INC 2017-02-23 3268 498 2770 2770 324. FACEBOOK INC-A 2017-02-23 43724 24681 19043 19043 97. PPG INDS INC 2017-02-23 9965 8940 1025 1025 . BIOVERATIV INC 2017-02-24 22 22 22 3868.73 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-02-24 3869 4292 -423 -423 2547.39 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-02-24 2547 2903 -356 -356 152.93 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-02-27 153 151 2 2 1400.63 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-02-27 1401 1645 -244 -244 3748.28 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-02-27 3748 4273 -525 -525 4986.43 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-02-27 4986 4997 -11 -11 422.11 FNMA 255836 6% 07/01/25 2012-10-18 2017-02-27 422 475 -53 -53 1375.05 FNMA 256749 6% 06/01/37 2008-09-30 2017-02-27 1375 1395 -20 -20 299.31 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-02-27 299 324 -25 -25 236.52 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-02-27 237 258 -21 -21 270.4 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-02-27 270 266 4 4 4749.17 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-02-27 4749 5114 -365 -365 905.84 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-02-27 906 919 -13 -13 317.69 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-02-27 318 321 -3 -3 168.1 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-02-27 168 166 2 2 195.69 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-02-27 196 191 5 5 255.97 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-02-27 256 245 11 11 269.01 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-02-27 269 262 7 7 214.52 FNMA AU6278 5% 11/01/43 2014-10-28 2017-02-27 215 239 -24 -24 882.89 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-02-27 883 987 -104 -104 1450.61 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-02-27 1451 1491 -40 -40 111.03 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-02-27 111 119 -8 -8 1650.14 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-02-27 1650 1759 -109 -109 3885.89 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-02-27 3886 4396 -510 -510 483.79 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-02-27 484 532 -48 -48 320.73 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-02-27 321 359 -38 -38 709.91 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-02-27 710 720 -10 -10 3359.24 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-02-27 3359 3547 -188 -188 561.76 FNMA 776289 5% 05/01/34 2013-04-04 2017-02-27 562 619 -57 -57 36.74 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-02-27 37 39 -2 -2 130.48 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-02-27 130 137 -7 -7 30.89 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-02-27 31 33 -2 -2 11.02 FANNIE MAE 2005-03-07 2017-02-27 11 12 -1 -1 50.86 FANNIE MAE 2005-01-14 2017-02-27 51 53 -2 -2 235.63 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-02-27 236 249 -13 -13 457.97 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-02-27 458 482 -24 -24 477.48 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-02-27 477 505 -28 -28 4106.07 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-02-27 4106 4323 -217 -217 801.57 FNMA AA0835 5% 01/01/39 2009-07-29 2017-02-27 802 817 -15 -15 1027.4 FNMA AB1693 4% 11/01/40 2011-03-01 2017-02-27 1027 1010 17 17 1107.82 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-02-27 1108 1126 -18 -18 572.4 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-02-27 572 572 645.23 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-02-27 645 641 4 4 287.16 FNMA MA2369 4% 08/01/45 2016-04-05 2017-02-27 287 311 -24 -24 228.88 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-02-27 229 268 -39 -39 289.96 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-02-27 290 284 6 6 2369.67 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/203 2015-12-08 2017-02-27 2370 2356 14 14 1451.8 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/20 2013-09-27 2017-02-27 1452 1474 -22 -22 . MERCK & CO INC 2017-02-28 206 206 206 10728.87 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-03-15 10729 10728 1 1 43.62 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-03-15 44 43 1 1 1401.15 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-03-15 1401 1467 -66 -66 374.95 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-03-15 375 418 -43 -43 127.89 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-03-15 128 134 -6 -6 2155.23 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-03-15 2155 2228 -73 -73 623.33 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-03-15 623 617 6 6 7.49 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-03-15 7 8 -1 -1 1511.08 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-03-15 1511 1506 5 5 23.8 FREDDIE MAC 2005-01-19 2017-03-15 24 25 -1 -1 630.22 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-03-15 630 685 -55 -55 5030.3 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-03-15 5030 5289 -259 -259 418.99 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-03-15 419 442 -23 -23 332.29 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-03-15 332 371 -39 -39 1483.82 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-03-15 1484 1669 -185 -185 745.5 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-03-15 746 844 -98 -98 855.77 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-03-15 856 978 -122 -122 3385.07 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-03-15 3385 3724 -339 -339 89.18 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-03-15 89 97 -8 -8 866.89 FHLMC 2011-10-05 2017-03-15 867 956 -89 -89 1252.89 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-03-15 1253 1287 -34 -34 909.24 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-03-15 909 1012 -103 -103 672.08 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-03-15 672 710 -38 -38 3858.58 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-03-15 3859 4310 -451 -451 959.68 FREDDIE MAC 2005-09-15 2017-03-15 960 984 -24 -24 2673.38 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-03-15 2673 2876 -203 -203 628.86 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-03-15 629 637 -8 -8 4770.6 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-03-15 4771 5194 -423 -423 1554.09 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-03-15 1554 1601 -47 -47 569.42 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-03-15 569 584 -15 -15 125.98 GNMA POOL NO 550851 2001-10-17 2017-03-15 126 131 -5 -5 235.52 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-03-15 236 258 -22 -22 108.56 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-03-15 109 118 -9 -9 1320.17 GNMA 701738 5% 03/15/39 2009-07-29 2017-03-15 1320 1350 -30 -30 7000. NOBLE HOLDING INTL LTD 2 1/2% MAR 15 2017 2012-02-07 2017-03-15 7000 6996 4 4 40000. CREDIT SUISSE NEW YORK NON-TRADEABLE ASSET 2010-02-11 2017-03-16 41459 41700 -241 -241 722.78 GNMA 2003-26 CL MB 2012-09-10 2017-03-16 723 797 -74 -74 4277.85 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-03-16 4278 4593 -315 -315 3903.49 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-03-16 3903 4021 -118 -118 191. HOME DEPOT INC 2017-03-17 28365 7271 21094 21094 67. HOME DEPOT INC 2011-09-29 2017-03-17 9933 2263 7670 7670 48. YUM BRANDS INC 2017-03-17 3065 2763 302 302 99. YUM BRANDS INC 2016-03-16 2017-03-17 6334 5423 911 911 167. YUM BRANDS INC 2016-04-08 2017-03-17 10684 9603 1081 1081 23651.41 CAPITAL AUTO RECEIVABLES ASSET 2014-1 CL A4 1.690% 10/22/2018 2014-02-07 2017-03-20 23651 23862 -211 -211 1984.97 GNMA II 5% MAY 01 2010 2010-05-13 2017-03-20 1985 2086 -101 -101 2141.84 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-03-20 2142 2270 -128 -128 2699.33 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-03-20 2699 2983 -284 -284 1924.83 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-03-20 1925 2226 -301 -301 2022.14 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-03-20 2022 2191 -169 -169 3970.43 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-03-20 3970 4405 -435 -435 670.97 GNMA SER 2004-53 CL GE 5% AUG 20 2032 2011-04-12 2017-03-20 671 712 -41 -41 1512.55 GNMA SER 2005-26 CL XY 5.5% 2017-03-20 1513 1711 -198 -198 1604.06 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-03-20 1604 1828 -224 -224 277. YUM BRANDS INC 2017-03-20 17722 15161 2561 2561 3872.33 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-03-27 3872 3825 47 47 1423.48 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-03-27 1423 1672 -249 -249 3300.18 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-03-27 3300 3762 -462 -462 4273.24 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-03-27 4273 4283 -10 -10 1747.77 FNMA 255836 6% 07/01/25 2012-10-18 2017-03-27 1748 1966 -218 -218 2228.03 FNMA 256749 6% 06/01/37 2008-09-30 2017-03-27 2228 2261 -33 -33 372.06 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-03-27 372 403 -31 -31 330.65 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-03-27 331 360 -29 -29 329.26 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-03-27 329 324 5 5 4098.48 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-03-27 4098 4413 -315 -315 6648.94 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-03-27 6649 6749 -100 -100 380.44 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-03-27 380 384 -4 -4 204.95 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-03-27 205 202 3 3 246.72 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-03-27 247 241 6 6 296.67 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-03-27 297 284 13 13 346.87 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-03-27 347 338 9 9 3028.31 FNMA AU6278 5% 11/01/43 2014-10-28 2017-03-27 3028 3368 -340 -340 680.91 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-03-27 681 761 -80 -80 1821.26 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-03-27 1821 1871 -50 -50 589.19 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-03-27 589 633 -44 -44 1617.86 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-03-27 1618 1725 -107 -107 3838.09 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-03-27 3838 4342 -504 -504 219.73 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-03-27 220 242 -22 -22 381.51 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-03-27 382 427 -45 -45 953.72 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-03-27 954 967 -13 -13 3049.57 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-03-27 3050 3220 -170 -170 687.34 FNMA 776289 5% 05/01/34 2013-04-04 2017-03-27 687 757 -70 -70 33.21 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-03-27 33 35 -2 -2 155.3 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-03-27 155 163 -8 -8 1051.88 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-03-27 1052 1120 -68 -68 11.09 FANNIE MAE 2005-03-07 2017-03-27 11 12 -1 -1 51.12 FANNIE MAE 2005-01-14 2017-03-27 51 53 -2 -2 236.64 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-03-27 237 250 -13 -13 447.19 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-03-27 447 470 -23 -23 455.58 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-03-27 456 482 -26 -26 3627.42 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-03-27 3627 3819 -192 -192 63.86 FNMA AA0835 5% 01/01/39 2009-07-29 2017-03-27 64 65 -1 -1 8922.05 FNMA AB1693 4% 11/01/40 2011-03-01 2017-03-27 8922 8767 155 155 2999.03 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-03-27 2999 3048 -49 -49 614.4 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-03-27 614 614 954.47 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-03-27 954 948 6 6 289.82 FNMA MA2369 4% 08/01/45 2016-04-05 2017-03-27 290 314 -24 -24 299.43 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-03-27 299 351 -52 -52 293.69 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-03-27 295 287 8 8 369.82 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/2033 2015-12-08 2017-03-27 370 368 2 2 1704.25 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-03-27 1704 1731 -27 -27 . BAXTER INTL INC 2017-03-30 188 188 188 118086.792 BLACKSTONE COMMERCIAL REAL ESTATE DEBT OFFSHORE LTD BCRED - 2013-04-05 2017-03-30 69349 101814 -32465 -32465 60273.06 JPMORGAN US LARGE CAP CORE PLUS FUND SEL 2017-04-06 1810000 1251857 558143 558143 2. BROADCOM LTD 2013-04-29 2017-04-12 421 70 351 351 3. BROADCOM LTD 2013-04-29 2017-04-12 632 105 527 527 10. BROADCOM LTD 2013-04-29 2017-04-12 2090 349 1741 1741 4. BROADCOM LTD 2013-04-29 2017-04-12 836 139 697 697 1. BROADCOM LTD 2013-04-29 2017-04-12 211 35 176 176 12. BROADCOM LTD 2013-04-29 2017-04-12 2511 418 2093 2093 2. BROADCOM LTD 2013-04-29 2017-04-12 419 70 349 349 16. BROADCOM LTD 2013-04-29 2017-04-12 3424 558 2866 2866 36. BROADCOM LTD 2013-04-29 2017-04-12 7549 1255 6294 6294 11. BROADCOM LTD 2013-04-29 2017-04-12 2316 383 1933 1933 3. BROADCOM LTD 2013-04-29 2017-04-12 629 105 524 524 1. BROADCOM LTD 2013-04-29 2017-04-13 212 35 177 177 15. BROADCOM LTD 2013-04-29 2017-04-13 3179 523 2656 2656 13. BROADCOM LTD 2013-04-29 2017-04-13 2748 453 2295 2295 20. BROADCOM LTD 2013-04-29 2017-04-13 4239 697 3542 3542 5. BROADCOM LTD 2013-04-29 2017-04-13 1062 174 888 888 26. BROADCOM LTD 2013-04-29 2017-04-13 5549 906 4643 4643 13. BROADCOM LTD 2013-04-29 2017-04-13 2764 453 2311 2311 1. BROADCOM LTD 2013-04-29 2017-04-13 212 35 177 177 9. BROADCOM LTD 2013-04-29 2017-04-13 1921 314 1607 1607 44. FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-04-17 44 44 1330.86 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-04-17 1331 1393 -62 -62 643.53 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-04-17 644 717 -73 -73 112.71 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-04-17 113 118 -5 -5 1828.44 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-04-17 1828 1890 -62 -62 111.09 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-04-17 111 110 1 1 7.54 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-04-17 8 8 2472.84 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-04-17 2473 2464 9 9 24.11 FREDDIE MAC 2005-01-19 2017-04-17 24 25 -1 -1 672.18 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-04-17 672 730 -58 -58 310.61 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-04-17 311 327 -16 -16 395.06 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-04-17 395 417 -22 -22 1809.53 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-04-17 1810 2022 -212 -212 1843. FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-04-17 1843 2073 -230 -230 854.75 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-04-17 855 968 -113 -113 751.34 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-04-17 751 859 -108 -108 728.96 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-04-17 729 802 -73 -73 151.15 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-04-17 151 164 -13 -13 120.33 FHLMC 2011-10-05 2017-04-17 120 133 -13 -13 1548.91 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-04-17 1549 1591 -42 -42 3791.99 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-04-17 3792 4221 -429 -429 656.03 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-04-17 656 693 -37 -37 2545.68 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-04-17 2546 2844 -298 -298 1095.87 FREDDIE MAC 2005-09-15 2017-04-17 1096 1124 -28 -28 2632.76 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-04-17 2633 2832 -199 -199 756.3 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-04-17 756 766 -10 -10 3048.82 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-04-17 3049 3319 -270 -270 2313.11 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-04-17 2313 2383 -70 -70 4450.99 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-04-17 4451 4563 -112 -112 134.01 GNMA POOL NO 550851 2001-10-17 2017-04-17 134 139 -5 -5 3479.01 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-04-17 3479 3805 -326 -326 1270.02 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-04-17 1270 1379 -109 -109 1256.7 GNMA 701738 5% 03/15/39 2009-07-29 2017-04-17 1257 1285 -28 -28 832.54 GNMA 2003-26 CL MB 2012-09-10 2017-04-17 833 918 -85 -85 7693.16 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-04-17 7693 8261 -568 -568 3374.1 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-04-17 3374 3475 -101 -101 17348.23 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-04-18 17348 17347 1 1 25796.05 CAPITAL AUTO RECEIVABLES ASSET 2014-1 CL A4 1.690% 10/22/2018 2014-02-07 2017-04-20 25796 26026 -230 -230 22. COSTCO WHSL CORP NEW 2015-08-14 2017-04-20 3751 3213 538 538 2121.81 GNMA II 5% MAY 01 2010 2010-05-13 2017-04-20 2122 2230 -108 -108 3903.13 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-04-20 3903 4137 -234 -234 1833.63 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-04-20 1834 2026 -192 -192 2596.58 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-04-20 2597 3002 -405 -405 1937.88 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-04-20 1938 2100 -162 -162 4046.28 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-04-20 4046 4489 -443 -443 843.78 GNMA SER 2004-53 CL GE 5% AUG 20 2032 2011-04-12 2017-04-20 844 895 -51 -51 1631.67 GNMA SER 2005-26 CL XY 5.5% 2017-04-20 1632 1845 -213 -213 1702.84 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-04-20 1703 1941 -238 -238 206. MARSH & MCLENNAN COS INC 2017-04-20 15107 9040 6067 6067 205. MARSH & MCLENNAN COS INC 2017-04-20 15035 8894 6141 6141 55. COSTCO WHSL CORP NEW 2015-08-14 2017-04-21 9399 8032 1367 1367 9. COSTCO WHSL CORP NEW 2015-08-14 2017-04-21 1539 1314 225 225 29. MARSH & MCLENNAN COS INC 2017-04-21 2085 1252 833 833 181. MARSH & MCLENNAN COS INC 2017-04-21 13123 7744 5379 5379 4. COSTCO WHSL CORP NEW 2015-08-14 2017-04-24 688 584 104 104 7. COSTCO WHSL CORP NEW 2015-08-14 2017-04-24 1200 1022 178 178 7. COSTCO WHSL CORP NEW 2015-08-14 2017-04-24 1203 1022 181 181 752. PROCTER & GAMBLE CO 1996-02-29 2017-04-24 67299 15260 52039 52039 143.28 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-04-25 143 142 1 1 14653.5 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-04-25 14654 17209 -2555 -2555 3484.45 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-04-25 3484 3972 -488 -488 3242.5 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-04-25 3243 3250 -7 -7 2679.79 FNMA 255836 6% 07/01/25 2012-10-18 2017-04-25 2680 3015 -335 -335 913.02 FNMA 256749 6% 06/01/37 2008-09-30 2017-04-25 913 927 -14 -14 302.04 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-04-25 302 327 -25 -25 239.45 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-04-25 239 261 -22 -22 272.64 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-04-25 273 268 5 5 5731.56 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-04-25 5732 6172 -440 -440 2462.31 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-04-25 2462 2499 -37 -37 320.08 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-04-25 320 323 -3 -3 169.47 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-04-25 169 167 2 2 197.42 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-04-25 197 193 4 4 257.62 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-04-25 258 247 11 11 271.33 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-04-25 271 265 6 6 4752.53 FNMA AU6278 5% 11/01/43 2014-10-28 2017-04-25 4753 5286 -533 -533 661.03 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-04-25 661 739 -78 -78 2566.83 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-04-25 2567 2637 -70 -70 177.87 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-04-25 178 191 -13 -13 1586.25 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-04-25 1586 1691 -105 -105 1032.17 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-04-25 1032 1168 -136 -136 435.81 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-04-25 436 479 -43 -43 277.76 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-04-25 278 311 -33 -33 721.38 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-04-25 721 732 -11 -11 2795.98 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-04-25 2796 2952 -156 -156 427.54 FNMA 776289 5% 05/01/34 2013-04-04 2017-04-25 428 471 -43 -43 2079.16 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-04-25 2079 2186 -107 -107 154.07 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-04-25 154 162 -8 -8 28.98 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-04-25 29 31 -2 -2 11.16 FANNIE MAE 2005-03-07 2017-04-25 11 12 -1 -1 51.39 FANNIE MAE 2005-01-14 2017-04-25 51 53 -2 -2 237.54 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-04-25 238 251 -13 -13 459.95 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-04-25 460 484 -24 -24 498.52 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-04-25 499 527 -28 -28 3597.57 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-04-25 3598 3788 -190 -190 70.08 FNMA AA0835 5% 01/01/39 2009-07-29 2017-04-25 70 71 -1 -1 5091.39 FNMA AB1693 4% 11/01/40 2011-03-01 2017-04-25 5091 5003 88 88 1664.54 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-04-25 1665 1692 -27 -27 822.46 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-04-25 822 822 1310.56 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-04-25 1311 1301 10 10 3390.1 FNMA MA2369 4% 08/01/45 2016-04-05 2017-04-25 3390 3675 -285 -285 231.47 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-04-25 231 271 -40 -40 7899.03 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-04-25 7899 7729 170 170 869.53 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/2033 2015-12-08 2017-04-25 870 864 6 6 2965.38 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-04-25 2965 3012 -47 -47 11. DISCOVER FINL SVCS 2015-08-14 2017-05-02 681 615 66 66 38. DISCOVER FINL SVCS 2015-08-14 2017-05-02 2352 2124 228 228 5. DISCOVER FINL SVCS 2015-08-14 2017-05-03 307 279 28 28 6. DISCOVER FINL SVCS 2015-08-14 2017-05-03 367 335 32 32 34. DISCOVER FINL SVCS 2015-08-14 2017-05-03 2084 1900 184 184 11. DISCOVER FINL SVCS 2015-08-14 2017-05-03 673 615 58 58 25. DISCOVER FINL SVCS 2015-08-14 2017-05-03 1526 1397 129 129 262. COSTCO WHSL CORP NEW 2017-05-04 47801 31834 15967 15967 22. DISCOVER FINL SVCS 2015-08-14 2017-05-04 1337 1229 108 108 8. DISCOVER FINL SVCS 2015-08-14 2017-05-04 484 447 37 37 90. ILLUMINA INC 2017-05-04 16950 18182 -1232 -1232 6. DISCOVER FINL SVCS 2015-08-14 2017-05-05 364 335 29 29 7. DISCOVER FINL SVCS 2015-08-14 2017-05-05 422 391 31 31 61. DISCOVER FINL SVCS 2015-08-14 2017-05-05 3683 3409 274 274 2. DISCOVER FINL SVCS 2015-08-14 2017-05-05 122 112 10 10 3. DISCOVER FINL SVCS 2015-08-14 2017-05-05 181 168 13 13 63. ILLUMINA INC 2017-05-05 11814 10385 1429 1429 5. DISCOVER FINL SVCS 2015-08-14 2017-05-08 302 279 23 23 2. DISCOVER FINL SVCS 2015-08-14 2017-05-08 120 112 8 8 16. DISCOVER FINL SVCS 2015-08-14 2017-05-08 965 894 71 71 12. DISCOVER FINL SVCS 2015-08-14 2017-05-08 725 671 54 54 2. DISCOVER FINL SVCS 2015-08-14 2017-05-08 121 112 9 9 1. DISCOVER FINL SVCS 2015-08-14 2017-05-08 60 56 4 4 13. ILLUMINA INC 2016-03-22 2017-05-08 2397 2030 367 367 4. DISCOVER FINL SVCS 2015-08-14 2017-05-09 242 224 18 18 19. DISCOVER FINL SVCS 2015-08-14 2017-05-09 1151 1062 89 89 9. DISCOVER FINL SVCS 2015-08-14 2017-05-09 546 503 43 43 22. DISCOVER FINL SVCS 2015-08-14 2017-05-09 1335 1229 106 106 16. DISCOVER FINL SVCS 2015-08-14 2017-05-09 972 894 78 78 47. ILLUMINA INC 2016-03-22 2017-05-09 8608 7338 1270 1270 2. ILLUMINA INC 2016-03-22 2017-05-09 368 312 56 56 4. DISCOVER FINL SVCS 2015-08-14 2017-05-10 242 224 18 18 12. DISCOVER FINL SVCS 2015-08-14 2017-05-10 724 671 53 53 75000. AT&T INC 3.000% 06/30/2022 DTD 05/04/201 2016-09-09 2017-05-11 74734 76961 -2227 -2227 109403.255 ISHARES RUSSELL MIDCAP INDEX FD CL K 2016-09-21 2017-05-15 1210000 1110443 99557 99557 14689.56 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-05-15 14690 14689 1 1 399. DISCOVER FINL SVCS 2015-08-14 2017-05-15 24188 22297 1891 1891 339. DISCOVER FINL SVCS 2017-05-15 20560 17601 2959 2959 44.23 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-05-15 44 44 601.07 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-05-15 601 629 -28 -28 395.3 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-05-15 395 440 -45 -45 82.33 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-05-15 82 87 -5 -5 2573.11 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-05-15 2573 2660 -87 -87 2693.25 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-05-15 2693 2666 27 27 7.59 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-05-15 8 8 1977.28 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-05-15 1977 1970 7 7 24.05 FREDDIE MAC 2005-01-19 2017-05-15 24 25 -1 -1 3014. FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-05-15 3014 3274 -260 -260 328.02 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-05-15 328 345 -17 -17 393.72 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-05-15 394 416 -22 -22 311.75 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-05-15 312 348 -36 -36 1960.79 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-05-15 1961 2206 -245 -245 608.72 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-05-15 609 689 -80 -80 1397.74 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-05-15 1398 1598 -200 -200 1337.23 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-05-15 1337 1471 -134 -134 155.69 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-05-15 156 169 -13 -13 293.11 FHLMC 2011-10-05 2017-05-15 293 323 -30 -30 2023.39 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-05-15 2023 2078 -55 -55 1381.79 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-05-15 1382 1538 -156 -156 734.47 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-05-15 734 776 -42 -42 773.86 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-05-15 774 864 -90 -90 562.03 FREDDIE MAC 2005-09-15 2017-05-15 562 576 -14 -14 2174.98 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-05-15 2175 2339 -164 -164 315.16 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-05-15 315 319 -4 -4 2652.68 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-05-15 2653 2888 -235 -235 1455.58 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-05-15 1456 1499 -43 -43 4980.51 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-05-15 4981 5105 -124 -124 126.13 GNMA POOL NO 550851 2001-10-17 2017-05-15 126 131 -5 -5 211.85 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-05-15 212 232 -20 -20 112.56 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-05-15 113 122 -9 -9 2429.02 GNMA 701738 5% 03/15/39 2009-07-29 2017-05-15 2429 2484 -55 -55 18. TRANSCANADA CORP 2016-07-07 2017-05-15 840 831 9 9 546. TRANSCANADA CORP 2017-05-15 25511 24744 767 767 686. JOHNSON CONTROLS INTERNATIONAL PLC 2016-09-07 2017-05-15 29153 32861 -3708 -3708 312. JOHNSON CONTROLS INTERNATIONAL PLC 2017-05-15 13258 14501 -1243 -1243 7. JOHNSON CONTROLS INTERNATIONAL PLC 2016-10-03 2017-05-15 297 325 -28 -28 534.1 GNMA 2003-26 CL MB 2012-09-10 2017-05-16 534 589 -55 -55 371.42 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-05-16 371 411 -40 -40 3390.47 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-05-16 3390 3641 -251 -251 2879.12 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-05-16 2879 2965 -86 -86 258. TRANSCANADA CORP 2016-06-30 2017-05-16 11995 11562 433 433 1. TRANSCANADA CORP 2016-06-30 2017-05-16 47 45 2 2 10. TRANSCANADA CORP 2016-06-30 2017-05-16 464 448 16 16 7. TRANSCANADA CORP 2016-06-30 2017-05-16 329 314 15 15 53. TRANSCANADA CORP 2017-05-16 2454 2375 79 79 109. JOHNSON CONTROLS INTERNATIONAL PLC 2016-10-03 2017-05-16 4612 5054 -442 -442 28. TRANSCANADA CORP 2016-11-16 2017-05-17 1287 1240 47 47 525. TRANSCANADA CORP 2017-05-17 23934 23209 725 725 22. GENERAL MOTORS CO 2017-05-18 712 673 39 39 500. GENERAL MOTORS CO 2017-05-18 16205 14115 2090 2090 213. GENERAL MOTORS CO 2017-05-18 6924 5407 1517 1517 24. GENERAL MOTORS CO 2012-12-05 2017-05-18 779 609 170 170 80. GENERAL MOTORS CO 2012-12-05 2017-05-18 2587 2030 557 557 1. TRANSCANADA CORP 2016-11-15 2017-05-18 46 44 2 2 1. TRANSCANADA CORP 2016-11-15 2017-05-18 45 44 1 1 10. TRANSCANADA CORP 2016-11-15 2017-05-18 454 440 14 14 5. TRANSCANADA CORP 2016-11-15 2017-05-18 228 220 8 8 197. VERTEX PHARMACEUTICALS INC 2017-05-18 23110 25689 -2579 -2579 31. VERTEX PHARMACEUTICALS INC 2017-05-18 3627 3612 15 15 67. GENERAL MOTORS CO 2012-12-05 2017-05-19 2199 1700 499 499 748. GENERAL MOTORS CO 2017-05-19 24495 18768 5727 5727 36. GENERAL MOTORS CO 2012-09-19 2017-05-19 1184 901 283 283 59. GENERAL MOTORS CO 2012-09-19 2017-05-19 1930 1477 453 453 142. GENERAL MOTORS CO 2012-09-19 2017-05-19 4646 3554 1092 1092 59. GENERAL MOTORS CO 2012-09-19 2017-05-19 1930 1477 453 453 103. GENERAL MOTORS CO 2012-09-19 2017-05-19 3368 2578 790 790 13. TRANSCANADA CORP 2016-11-15 2017-05-19 603 572 31 31 8. TRANSCANADA CORP 2016-11-15 2017-05-19 367 352 15 15 31000. BP CAPITAL MARKETS PLC 2.750% 05/10/2023 DTD 05/10/2013 2016-04-21 2017-05-22 31042 30876 166 166 65000. BERKSHIRE HATHAWAY INC 3.4% JAN 31 2022 2014-06-30 2017-05-22 68571 67595 976 976 20171.55 CAPITAL AUTO RECEIVABLES ASSET 2014-1 CL A4 1.690% 10/22/2018 2014-02-07 2017-05-22 20172 20351 -179 -179 1979.41 GNMA II 5% MAY 01 2010 2010-05-13 2017-05-22 1979 2080 -101 -101 40. GENERAL MOTORS CO 2012-09-19 2017-05-22 1316 1001 315 315 45. GENERAL MOTORS CO 2012-09-19 2017-05-22 1484 1126 358 358 10. GENERAL MOTORS CO 2012-09-19 2017-05-22 328 250 78 78 15. GENERAL MOTORS CO 2012-09-19 2017-05-22 496 375 121 121 60. GENERAL MOTORS CO 2012-09-19 2017-05-22 1971 1502 469 469 2. GENERAL MOTORS CO 2012-09-19 2017-05-22 66 50 16 16 2441.09 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-05-22 2441 2587 -146 -146 2421.31 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-05-22 2421 2676 -255 -255 2863.83 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-05-22 2864 3311 -447 -447 1701.42 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-05-22 1701 1844 -143 -143 3819.82 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-05-22 3820 4238 -418 -418 1114.38 GNMA SER 2004-53 CL GE 5% AUG 20 2032 2011-04-12 2017-05-22 1114 1183 -69 -69 1318.49 GNMA SER 2005-26 CL XY 5.5% 2017-05-22 1318 1491 -173 -173 1974.68 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-05-22 1975 2326 -351 -351 2159.23 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-05-22 2159 2461 -302 -302 18. TRANSCANADA CORP 2016-11-15 2017-05-22 839 792 47 47 132. GENERAL MOTORS CO 2012-09-19 2017-05-23 4384 3303 1081 1081 1. GENERAL MOTORS CO 2012-09-19 2017-05-23 33 25 8 8 54000. BP CAPITAL MARKETS PLC 2.750% 05/10/2023 DTD 05/10/2013 2017-05-24 53961 53704 257 257 30. GENERAL MOTORS CO 2012-09-19 2017-05-24 997 751 246 246 203773.585 BROWN ADV JAPAN ALPHA OPP-IS 2017-05-25 2160000 2547255 -387255 -387255 140.81 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-05-25 141 139 2 2 1232.35 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-05-25 1232 1447 -215 -215 3011.88 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-05-25 3012 3434 -422 -422 3855.16 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-05-25 3855 3864 -9 -9 920.6 FNMA 255836 6% 07/01/25 2012-10-18 2017-05-25 921 1036 -115 -115 2307.62 FNMA 256749 6% 06/01/37 2008-09-30 2017-05-25 2308 2342 -34 -34 327.02 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-05-25 327 354 -27 -27 271.56 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-05-25 272 296 -24 -24 292.87 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-05-25 293 288 5 5 3941.38 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-05-25 3941 4244 -303 -303 2934.76 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-05-25 2935 2979 -44 -44 341.65 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-05-25 342 345 -3 -3 182.13 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-05-25 182 180 2 2 214.89 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-05-25 215 210 5 5 271.64 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-05-25 272 261 11 11 297.9 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-05-25 298 291 7 7 212.13 FNMA AU6278 5% 11/01/43 2014-10-28 2017-05-25 212 236 -24 -24 869.58 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-05-25 870 972 -102 -102 1996.96 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-05-25 1997 2052 -55 -55 307.23 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-05-25 307 330 -23 -23 1555.24 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-05-25 1555 1658 -103 -103 2051.62 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-05-25 2052 2321 -269 -269 241.27 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-05-25 241 265 -24 -24 369.64 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-05-25 370 414 -44 -44 1087.81 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-05-25 1088 1103 -15 -15 3140.55 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-05-25 3141 3316 -175 -175 529.21 FNMA 776289 5% 05/01/34 2013-04-04 2017-05-25 529 583 -54 -54 28.58 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-05-25 29 30 -1 -1 143.16 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-05-25 143 150 -7 -7 29.16 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-05-25 29 31 -2 -2 11.24 FANNIE MAE 2005-03-07 2017-05-25 11 12 -1 -1 51.65 FANNIE MAE 2005-01-14 2017-05-25 52 53 -1 -1 238.44 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-05-25 238 252 -14 -14 462.05 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-05-25 462 486 -24 -24 708.92 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-05-25 709 750 -41 -41 2980.5 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-05-25 2981 3138 -157 -157 58.12 FNMA AA0835 5% 01/01/39 2009-07-29 2017-05-25 58 59 -1 -1 16498.85 FNMA AB1693 4% 11/01/40 2011-03-01 2017-05-25 16499 16213 286 286 996.28 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-05-25 996 1013 -17 -17 622. FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-05-25 622 622 1155.03 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-05-25 1155 1147 8 8 3452.75 FNMA MA2369 4% 08/01/45 2016-04-05 2017-05-25 3453 3742 -289 -289 255.66 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-05-25 256 299 -43 -43 265.11 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-05-25 265 259 6 6 1573.45 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/203 2015-12-08 2017-05-25 1573 1564 9 9 1630.67 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-05-25 1631 1656 -25 -25 18000. PENTAIR FINANCE SA 2.900% 09/15/2018 DTD 09/16/2015 2015-09-28 2017-05-30 18296 18068 228 228 14409.47 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-06-08 14409 14490 -81 -81 15634.38 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-06-15 15634 15634 75000. ERP OPER LP 5.750% 6/15/17 2011-04-11 2017-06-15 75000 82334 -7334 -7334 44.55 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-06-15 45 44 1 1 910.42 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-06-15 910 953 -43 -43 402.38 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-06-15 402 448 -46 -46 128.74 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-06-15 129 135 -6 -6 2530.88 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-06-15 2531 2617 -86 -86 10713.85 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-06-15 10714 10606 108 108 7.65 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-06-15 8 8 2215.7 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-06-15 2216 2208 8 8 24.18 FREDDIE MAC 2005-01-19 2017-06-15 24 25 -1 -1 611.64 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-06-15 612 664 -52 -52 317.32 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-06-15 317 334 -17 -17 395.35 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-06-15 395 418 -23 -23 961.35 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-06-15 961 1074 -113 -113 1509.86 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-06-15 1510 1699 -189 -189 563.05 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-06-15 563 638 -75 -75 1107.02 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-06-15 1107 1265 -158 -158 692.29 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-06-15 692 762 -70 -70 796.35 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-06-15 796 865 -69 -69 194.85 FHLMC 2011-10-05 2017-06-15 195 215 -20 -20 1280.7 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-06-15 1281 1315 -34 -34 1713.57 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-06-15 1714 1907 -193 -193 660.97 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-06-15 661 698 -37 -37 6031.65 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-06-15 6032 6738 -706 -706 104.32 FREDDIE MAC 2005-09-15 2017-06-15 104 107 -3 -3 2244.66 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-06-15 2245 2414 -169 -169 452.72 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-06-15 453 459 -6 -6 1668.34 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-06-15 1668 1816 -148 -148 1081.06 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-06-15 1081 1113 -32 -32 3168.37 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-06-15 3168 3248 -80 -80 121.06 GNMA POOL NO 550851 2001-10-17 2017-06-15 121 126 -5 -5 213.35 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-06-15 213 233 -20 -20 2125.22 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-06-15 2125 2308 -183 -183 2255.76 GNMA 701738 5% 03/15/39 2009-07-29 2017-06-15 2256 2307 -51 -51 12475.03 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-06-15 12475 12613 -138 -138 489.02 GNMA 2003-26 CL MB 2012-09-10 2017-06-16 489 539 -50 -50 3004.26 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-06-16 3004 3226 -222 -222 2064.08 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-06-16 2064 2126 -62 -62 75000. ARROW ELECTRONICS INC NON-TRADEABLE ASSET 2011-04-11 2017-06-19 97072 80355 16717 16717 4892.02 CAPITAL AUTO RECEIVABLES ASSET 2014-1 CL A4 1.690% 10/22/2018 2014-02-07 2017-06-20 4892 4936 -44 -44 1993.7 GNMA II 5% MAY 01 2010 2010-05-13 2017-06-20 1994 2095 -101 -101 2056.81 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-06-20 2057 2180 -123 -123 2304.87 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-06-20 2305 2547 -242 -242 3269.37 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-06-20 3269 3780 -511 -511 1943.91 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-06-20 1944 2107 -163 -163 3454.59 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-06-20 3455 3833 -378 -378 1474.48 GNMA SER 2005-26 CL XY 5.5% 2017-06-20 1474 1667 -193 -193 1299.21 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-06-20 1299 1530 -231 -231 2283.57 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-06-20 2284 2603 -319 -319 26000. RIO TINTO FIN USA LTD 9% MAY 01 2019 2017-06-21 29396 35691 -6295 -6295 2475.29 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-06-22 2475 2737 -262 -262 2424.64 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-06-26 2425 2395 30 30 2102.39 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-06-26 2102 2469 -367 -367 3000.27 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-06-26 3000 3420 -420 -420 3846.84 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-06-26 3847 3855 -8 -8 839.93 FNMA 255836 6% 07/01/25 2012-10-18 2017-06-26 840 945 -105 -105 842.9 FNMA 256749 6% 06/01/37 2008-09-30 2017-06-26 843 855 -12 -12 304.59 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-06-26 305 330 -25 -25 242.08 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-06-26 242 264 -22 -22 274.75 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-06-26 275 270 5 5 3142.05 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-06-26 3142 3383 -241 -241 5301.72 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-06-26 5302 5381 -79 -79 322.35 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-06-26 322 325 -3 -3 170.76 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-06-26 171 169 2 2 199.03 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-06-26 199 194 5 5 259.19 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-06-26 259 249 10 10 273.48 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-06-26 273 267 6 6 4361.31 FNMA AU6278 5% 11/01/43 2014-10-28 2017-06-26 4361 4851 -490 -490 1815.06 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-06-26 1815 2029 -214 -214 1755.67 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-06-26 1756 1804 -48 -48 103.95 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-06-26 104 112 -8 -8 1524.88 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-06-26 1525 1626 -101 -101 3085.3 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-06-26 3085 3490 -405 -405 220.07 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-06-26 220 242 -22 -22 221.79 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-06-26 222 248 -26 -26 828.43 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-06-26 828 840 -12 -12 2862.16 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-06-26 2862 3022 -160 -160 471.59 FNMA 776289 5% 05/01/34 2013-04-04 2017-06-26 472 520 -48 -48 28.76 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-06-26 29 30 -1 -1 146.12 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-06-26 146 153 -7 -7 28.4 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-06-26 28 30 -2 -2 11.31 FANNIE MAE 2005-03-07 2017-06-26 11 12 -1 -1 51.92 FANNIE MAE 2005-01-14 2017-06-26 52 54 -2 -2 239.26 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-06-26 239 253 -14 -14 465.13 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-06-26 465 489 -24 -24 470.74 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-06-26 471 498 -27 -27 3178.26 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-06-26 3178 3346 -168 -168 636.15 FNMA AA0835 5% 01/01/39 2009-07-29 2017-06-26 636 648 -12 -12 9696.49 FNMA AB1693 4% 11/01/40 2011-03-01 2017-06-26 9696 9528 168 168 1277.22 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-06-26 1277 1298 -21 -21 911.63 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-06-26 912 911 1 1 1034.51 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-06-26 1035 1027 8 8 290.9 FNMA MA2369 4% 08/01/45 2016-04-05 2017-06-26 291 315 -24 -24 233.86 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-06-26 234 274 -40 -40 265.64 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-06-26 266 260 6 6 382.85 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/2033 2015-12-08 2017-06-26 383 381 2 2 2070.02 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-06-26 2070 2102 -32 -32 613525.316 ISHARES RUSSELL MIDCAP INDEX FD CL K 2016-09-21 2017-06-27 6846943 6227282 619661 619661 411892.006 JPMORGAN HIGH YIELD BOND FUND 2017-06-27 3076833 3288698 -211865 -211865 186480.186 LORD ABBETT INVT TR LT DU USGVSP Y 2016-08-15 2017-06-27 800000 811189 -11189 -11189 3369.77 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-06-28 3370 3370 957.7 GNMA SER 2004-53 CL GE 5% AUG 20 2032 2011-04-12 2017-06-28 958 1016 -58 -58 1. APOLLO EPF II PRIVATE INVESTORS,L.P. (OFFSHORE) CLASS A - 2016-01-01 2017-06-30 836701 837833 -1132 -1132 1. AP VIII (APAX) PRIVATE INVESTORS OFFSHORE LP - CLASS A (NON-SELF 2016-01-01 2017-06-30 193469 194457 -988 -988 1. DFJ GROWTH 2013 PRIVATE INVESTORS OFFSHORE, L.P. CLASS A (NON-SELF 2016-01-01 2017-06-30 1747 -1747 -1747 1. KKR ASIAN FUND II PRIVATE INVESTORS OFFSHORE, LP - CLASS A - NON-SE 2016-01-01 2017-06-30 180484 181597 -1113 -1113 1. KKR NORTH AMERICA XI PRIVATE INVESTORS OFFSHORE CLASS A NON SELF 2016-01-01 2017-06-30 365707 378466 -12759 -12759 1. GSO PRIVATE INVESTORS OFFSHORE II, LP CLASS A - NON-SELF DEALING 2016-01-01 2017-06-30 386570 387576 -1006 -1006 1. CCMP III PRIVATE INVESTORS OFFSHORE, L.P. - CLASS A - 2016-01-01 2017-06-30 140082 143022 -2940 -2940 1. PROVIDENCE VII PRIVATE INVESTORS, LP (OFFSHORE) CLASS A NSD FIDUCI 2016-01-01 2017-06-30 683930 686166 -2236 -2236 1. STARWOOD SOF IX PRIVATE INVESTORS OFFSHORE L.P. CLASS A - NON-SELF 2016-01-01 2017-06-30 476557 497460 -20903 -20903 1. SILVER LAKE PARTNERS IV (SLP IV) PRIVATE INVESTORS, L.P. (OFFSHORE 2016-01-01 2017-06-30 195923 196986 -1063 -1063 1. BLACKSTONE GSO PRIVATE INVESTORS, L.P. ( 2016-01-01 2017-06-30 187232 52550 134682 134682 40000. WASTE MANAGEMENT INC 4.6% MAR 01 2021 2014-06-05 2017-06-30 43213 44080 -867 -867 15113.29 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-07-10 15113 15198 -85 -85 75000. ANHEUSER BUSCH INBEV WOR 5 3/8% JAN 15 2020 2011-01-24 2017-07-10 81218 80882 336 336 75000. ROGERS COMMUNICATIONS IN 4.100% 10/01/2023 DTD 10/02/2013 2013-10-30 2017-07-11 79689 77326 2363 2363 329. METLIFE INC 2009-01-21 2017-07-12 18280 8254 10026 10026 322. METLIFE INC 2009-01-21 2017-07-12 17875 8079 9796 9796 427. METLIFE INC 2009-01-21 2017-07-12 23721 10713 13008 13008 308. METLIFE INC 2009-01-21 2017-07-12 17092 7727 9365 9365 56. METLIFE INC 2009-01-21 2017-07-12 3112 1405 1707 1707 54. METLIFE INC 2009-01-21 2017-07-13 3006 1355 1651 1651 14731.31 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-07-17 14731 14731 44.85 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-07-17 45 44 1 1 656.48 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-07-17 656 687 -31 -31 257.21 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-07-17 257 286 -29 -29 769.39 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-07-17 769 809 -40 -40 2156.05 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-07-17 2156 2229 -73 -73 3946.76 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-07-17 3947 3907 40 40 7.7 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-07-17 8 8 2436.55 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-07-17 2437 2428 9 9 24.3 FREDDIE MAC 2005-01-19 2017-07-17 24 25 -1 -1 2491.82 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-07-17 2492 2707 -215 -215 311.05 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-07-17 311 327 -16 -16 396.78 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-07-17 397 419 -22 -22 377.5 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-07-17 378 422 -44 -44 1200.39 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-07-17 1200 1350 -150 -150 758.99 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-07-17 759 860 -101 -101 1115.6 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-07-17 1116 1275 -159 -159 2049.9 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-07-17 2050 2255 -205 -205 172.19 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-07-17 172 187 -15 -15 233.1 FHLMC 2011-10-05 2017-07-17 233 257 -24 -24 2652.79 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-07-17 2653 2724 -71 -71 3211.39 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-07-17 3211 3575 -364 -364 685.09 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-07-17 685 724 -39 -39 2209.91 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-07-17 2210 2469 -259 -259 104.97 FREDDIE MAC 2005-09-15 2017-07-17 105 108 -3 -3 2186.96 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-07-17 2187 2352 -165 -165 187.95 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-07-17 188 190 -2 -2 3344.85 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-07-17 3345 3642 -297 -297 1979.77 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-07-17 1980 2039 -59 -59 5336.93 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-07-17 5337 5471 -134 -134 126.99 GNMA POOL NO 550851 2001-10-17 2017-07-17 127 132 -5 -5 238.94 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-07-17 239 261 -22 -22 107.12 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-07-17 107 116 -9 -9 131.24 GNMA 701738 5% 03/15/39 2009-07-29 2017-07-17 131 134 -3 -3 343.52 GNMA 2003-26 CL MB 2012-09-10 2017-07-17 344 379 -35 -35 1510.15 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-07-17 1510 1670 -160 -160 3108.09 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-07-17 3108 3337 -229 -229 3120.33 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-07-17 3120 3214 -94 -94 7000. HOSPITALITY PROP TRUST 4.950% 02/15/2027 DTD 01/13/2017 2017-01-10 2017-07-17 7329 6927 402 402 11743.99 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-07-17 11744 11874 -130 -130 9343.25 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-07-20 9343 9343 28976.84 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL C 2.670% 02/20/2019 2016-02-26 2017-07-20 28977 29258 -281 -281 2124.78 GNMA II 5% MAY 01 2010 2010-05-13 2017-07-20 2125 2233 -108 -108 4143.15 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-07-20 4143 4391 -248 -248 2764.12 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-07-20 2764 3054 -290 -290 2454.34 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-07-20 2454 2838 -384 -384 1781.77 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-07-20 1782 1931 -149 -149 3763.57 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-07-20 3764 4175 -411 -411 1668.28 GNMA SER 2005-26 CL XY 5.5% 2017-07-20 1668 1887 -219 -219 1728.22 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-07-20 1728 2036 -308 -308 4094.22 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-07-20 4094 4666 -572 -572 3816.69 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-07-25 3817 3770 47 47 1131.93 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-07-25 1132 1329 -197 -197 3442.73 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-07-25 3443 3925 -482 -482 9210.94 FNMA-ACES 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2017-07-25 9211 9211 4109.23 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-07-25 4109 4118 -9 -9 15.86 FANNIEMAE GRANTOR TRUST 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01 2017-04-19 2017-07-25 16 16 406.1 FNMA 255836 6% 07/01/25 2012-10-18 2017-07-25 406 457 -51 -51 2753.77 FNMA 256749 6% 06/01/37 2008-09-30 2017-07-25 2754 2794 -40 -40 329.5 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-07-25 330 357 -27 -27 274.12 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-07-25 274 299 -25 -25 294.92 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-07-25 295 290 5 5 3826.14 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-07-25 3826 4120 -294 -294 9864.79 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-07-25 9865 10013 -148 -148 6723.76 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-07-25 6724 6787 -63 -63 183.38 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-07-25 183 181 2 2 216.45 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-07-25 216 211 5 5 273.17 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-07-25 273 263 10 10 299.98 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-07-25 300 293 7 7 206.38 FNMA AU6278 5% 11/01/43 2014-10-28 2017-07-25 206 230 -24 -24 810.23 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-07-25 810 906 -96 -96 1251.95 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-07-25 1252 1286 -34 -34 137.77 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-07-25 138 148 -10 -10 1495.12 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-07-25 1495 1594 -99 -99 2358.55 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-07-25 2359 2668 -309 -309 403.23 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-07-25 403 444 -41 -41 254.47 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-07-25 254 285 -31 -31 861.72 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-07-25 862 874 -12 -12 2798. FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-07-25 2798 2954 -156 -156 540.07 FNMA 776289 5% 05/01/34 2013-04-04 2017-07-25 540 595 -55 -55 28.92 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-07-25 29 30 -1 -1 155.83 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-07-25 156 163 -7 -7 29.52 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-07-25 30 31 -1 -1 11.38 FANNIE MAE 2005-03-07 2017-07-25 11 12 -1 -1 52.2 FANNIE MAE 2005-01-14 2017-07-25 52 54 -2 -2 240.73 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-07-25 241 255 -14 -14 464.12 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-07-25 464 488 -24 -24 481.26 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-07-25 481 509 -28 -28 3075.95 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-07-25 3076 3238 -162 -162 60.49 FNMA AA0835 5% 01/01/39 2009-07-29 2017-07-25 60 62 -2 -2 6506.63 FNMA AB1693 4% 11/01/40 2011-03-01 2017-07-25 6507 6394 113 113 1919.01 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-07-25 1919 1950 -31 -31 729.96 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-07-25 730 730 1372.47 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-07-25 1372 1363 9 9 1739.12 FNMA MA2369 4% 08/01/45 2016-04-05 2017-07-25 1739 1885 -146 -146 257.99 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-07-25 258 302 -44 -44 261.76 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-07-25 262 256 6 6 1531.41 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/203 2015-12-08 2017-07-25 1531 1522 9 9 1624.66 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-07-25 1625 1650 -25 -25 10000. AMERICAN TOWER CORP 4 1/2% JAN 15 2018 2014-06-17 2017-07-31 10135 10828 -693 -693 85000. GENERAL MOTORS FINL CO 3.150% 01/15/2020 DTD 01/12/2015 2017-01-27 2017-08-01 86783 85598 1185 1185 292. T-MOBILE US INC 2017-08-01 18399 11790 6609 6609 377. T-MOBILE US INC 2017-08-01 23782 15156 8626 8626 13871.88 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-08-08 13872 13949 -77 -77 90000. US TREAS 2.75% 02/28/18 2017-08-11 90788 90095 693 693 29. HUMANA INC 2011-04-11 2017-08-14 7260 2019 5241 5241 83. HUMANA INC 2017-01-23 2017-08-14 20778 16862 3916 3916 14522.13 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-08-15 14522 14521 1 1 6964.46 CALIFORNIA REPUBLIC AUT RECEI 1.820% 09/15/2020 DTD 03/12/201 2015-09-18 2017-08-15 6964 6966 -2 -2 45.2 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-08-15 45 45 918.77 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-08-15 919 962 -43 -43 267.69 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-08-15 268 298 -30 -30 118.89 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-08-15 119 125 -6 -6 1682.16 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-08-15 1682 1739 -57 -57 11082.56 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-08-15 11083 10971 112 112 7.75 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-08-15 8 8 1917.38 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-08-15 1917 1910 7 7 24.43 FREDDIE MAC 2005-01-19 2017-08-15 24 25 -1 -1 600.08 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-08-15 600 652 -52 -52 317.34 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-08-15 317 334 -17 -17 398.23 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-08-15 398 421 -23 -23 496.42 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-08-15 496 555 -59 -59 1397.01 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-08-15 1397 1572 -175 -175 411.02 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-08-15 411 465 -54 -54 667.17 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-08-15 667 763 -96 -96 1793.78 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-08-15 1794 1973 -179 -179 1201.66 FHLMC 2355 CL AE 6.000% 09/15/2031 DTD 09/01/2001 2017-01-27 2017-08-15 1202 1329 -127 -127 110.39 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-08-15 110 120 -10 -10 296.96 FHLMC 2011-10-05 2017-08-15 297 327 -30 -30 919.85 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-08-15 920 945 -25 -25 2715.79 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-08-15 2716 3023 -307 -307 562.67 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-08-15 563 594 -31 -31 4316.48 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-08-15 4316 4822 -506 -506 105.06 FREDDIE MAC 2005-09-15 2017-08-15 105 108 -3 -3 1745.06 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-08-15 1745 1877 -132 -132 149.24 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-08-15 149 151 -2 -2 2655.67 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-08-15 2656 2891 -235 -235 1248.31 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-08-15 1248 1286 -38 -38 4662.2 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-08-15 4662 4779 -117 -117 128.15 GNMA POOL NO 550851 2001-10-17 2017-08-15 128 133 -5 -5 215.97 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-08-15 216 236 -20 -20 105.01 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-08-15 105 114 -9 -9 527.12 GNMA 701738 5% 03/15/39 2009-07-29 2017-08-15 527 539 -12 -12 11613.01 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-08-15 11613 11742 -129 -129 4215.33 SANTANDER DRIVE AUTO RECEIVABL 2014-5 CL C 2.480% 06/15/2020 2015-09-30 2017-08-15 4215 4237 -22 -22 2267.85 SANTANDER DRIVE AUTO RECEIVABL 2015-5 CL B 1.960% 05/15/2020 2016-02-25 2017-08-15 2268 2265 3 3 340.01 GNMA 2003-26 CL MB 2012-09-10 2017-08-16 340 375 -35 -35 2041.92 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-08-16 2042 2258 -216 -216 5378.79 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-08-16 5379 5775 -396 -396 1851.48 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-08-16 1851 1907 -56 -56 8877.52 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-08-21 8878 8877 1 1 35970.86 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL C 2.670% 02/20/2019 2016-02-26 2017-08-21 35971 36319 -348 -348 1957.62 GNMA II 5% MAY 01 2010 2010-05-13 2017-08-21 1958 2057 -99 -99 1746.74 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-08-21 1747 1851 -104 -104 1508.56 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-08-21 1509 1667 -158 -158 1714.81 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-08-21 1715 1983 -268 -268 2234.16 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-08-21 2234 2421 -187 -187 2623.92 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-08-21 2624 2911 -287 -287 1331.31 GNMA SER 2005-26 CL XY 5.5% 2017-08-21 1331 1506 -175 -175 1009.44 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-08-21 1009 1189 -180 -180 3595.68 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-08-21 3596 4098 -502 -502 1. HUMANA INC 2011-04-11 2017-08-21 248 70 178 178 167. HUMANA INC 2011-04-11 2017-08-21 41557 11629 29928 29928 47. LINCOLN NATL CORP IND 2017-07-13 2017-08-21 3154 3343 -189 -189 71. LINCOLN NATL CORP IND 2017-08-21 4763 5044 -281 -281 12. LINCOLN NATL CORP IND 2017-07-12 2017-08-21 806 847 -41 -41 16. LINCOLN NATL CORP IND 2017-07-12 2017-08-22 1083 1129 -46 -46 92. LINCOLN NATL CORP IND 2017-07-12 2017-08-22 6230 6495 -265 -265 30. LINCOLN NATL CORP IND 2017-07-12 2017-08-22 2033 2118 -85 -85 14. LINCOLN NATL CORP IND 2017-07-12 2017-08-23 951 988 -37 -37 32. LINCOLN NATL CORP IND 2017-07-12 2017-08-23 2177 2259 -82 -82 11. LINCOLN NATL CORP IND 2017-08-23 747 776 -29 -29 16. LINCOLN NATL CORP IND 2017-07-12 2017-08-24 1092 1129 -37 -37 34. LINCOLN NATL CORP IND 2017-07-12 2017-08-24 2313 2400 -87 -87 4. LINCOLN NATL CORP IND 2017-07-12 2017-08-24 273 282 -9 -9 33. LINCOLN NATL CORP IND 2017-07-12 2017-08-24 2250 2329 -79 -79 2835.85 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-08-25 2836 2801 35 35 1206.6 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-08-25 1207 1417 -210 -210 3146.1 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-08-25 3146 3587 -441 -441 3072.71 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-08-25 3073 3079 -6 -6 743.59 FNMA 255836 6% 07/01/25 2012-10-18 2017-08-25 744 837 -93 -93 815.6 FNMA 256749 6% 06/01/37 2008-09-30 2017-08-25 816 828 -12 -12 307.17 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-08-25 307 333 -26 -26 244.74 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-08-25 245 267 -22 -22 276.87 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-08-25 277 272 5 5 2995.44 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-08-25 2995 3225 -230 -230 3983.21 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-08-25 3983 4043 -60 -60 313.87 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-08-25 314 317 -3 -3 172.07 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-08-25 172 170 2 2 200.66 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-08-25 201 196 5 5 260.77 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-08-25 261 251 10 10 275.64 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-08-25 276 269 7 7 210.84 FNMA AU6278 5% 11/01/43 2014-10-28 2017-08-25 211 234 -23 -23 979.64 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-08-25 980 1095 -115 -115 1708.49 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-08-25 1708 1755 -47 -47 444.87 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-08-25 445 478 -33 -33 1465.96 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-08-25 1466 1563 -97 -97 833.96 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-08-25 834 943 -109 -109 305.82 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-08-25 306 336 -30 -30 73.05 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-08-25 73 82 -9 -9 650.47 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-08-25 650 660 -10 -10 2735.25 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-08-25 2735 2888 -153 -153 510.39 FNMA 776289 5% 05/01/34 2013-04-04 2017-08-25 510 562 -52 -52 29.1 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-08-25 29 31 -2 -2 145.27 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-08-25 145 152 -7 -7 29.7 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-08-25 30 32 -2 -2 11.46 FANNIE MAE 2005-03-07 2017-08-25 11 12 -1 -1 52.47 FANNIE MAE 2005-01-14 2017-08-25 52 54 -2 -2 241.09 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-08-25 241 255 -14 -14 456.02 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-08-25 456 480 -24 -24 489.41 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-08-25 489 518 -29 -29 2772.72 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-08-25 2773 2919 -146 -146 875.14 FNMA AA0835 5% 01/01/39 2009-07-29 2017-08-25 875 892 -17 -17 4901.7 FNMA AB1693 4% 11/01/40 2011-03-01 2017-08-25 4902 4817 85 85 1358.81 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-08-25 1359 1381 -22 -22 820.47 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-08-25 820 820 1208.78 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-08-25 1209 1200 9 9 1600.06 FNMA MA2369 4% 08/01/45 2016-04-05 2017-08-25 1600 1734 -134 -134 6691.03 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-08-25 6691 7837 -1146 -1146 264.6 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-08-25 265 259 6 6 51. LINCOLN NATL CORP IND 2017-07-12 2017-08-25 3485 3599 -114 -114 10. LINCOLN NATL CORP IND 2017-07-12 2017-08-25 684 706 -22 -22 4. LINCOLN NATL CORP IND 2017-07-12 2017-08-25 273 282 -9 -9 354.07 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/2033 2015-12-08 2017-08-25 354 352 2 2 . ANADARKO PETE CORP 2017-08-28 11 11 11 75. LINCOLN NATL CORP IND 2017-07-12 2017-08-28 5096 5293 -197 -197 39. LINCOLN NATL CORP IND 2017-07-12 2017-08-28 2650 2753 -103 -103 5. LINCOLN NATL CORP IND 2017-07-12 2017-08-29 334 353 -19 -19 27. LINCOLN NATL CORP IND 2017-08-29 1814 1903 -89 -89 10. LINCOLN NATL CORP IND 2017-07-12 2017-08-29 669 704 -35 -35 18. LINCOLN NATL CORP IND 2017-07-12 2017-08-30 1216 1266 -50 -50 11. LINCOLN NATL CORP IND 2017-07-12 2017-08-30 747 774 -27 -27 1645.17 FNMA-ACES 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2017-08-31 1645 1645 65000. DEUTSCHE BANK AG LONDON 6% SEP 01 2017 2017-09-01 65000 74972 -9972 -9972 1615.29 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-09-01 1615 1641 -26 -26 14964.58 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-09-08 14965 15048 -83 -83 25000. CNA FINANCIAL CORP 7.35% NOV 15 2019 2014-03-06 2017-09-11 27933 30995 -3062 -3062 35000. BHP BILLITON FIN USA LTD NON-TRADEABLE ASSET 2015-12-07 2017-09-13 38232 34719 3513 3513 10872.87 CALIFORNIA REPUBLIC AUT RECEI 1.820% 09/15/2020 DTD 03/12/20 2015-09-18 2017-09-15 10873 10876 -3 -3 45.47 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-09-15 45 45 1369.98 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-09-15 1370 1434 -64 -64 309.97 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-09-15 310 345 -35 -35 128.25 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-09-15 128 135 -7 -7 1632.08 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-09-15 1632 1687 -55 -55 13690.74 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-09-15 13691 13553 138 138 7.81 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-09-15 8 8 1507.03 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-09-15 1507 1502 5 5 24.56 FREDDIE MAC 2005-01-19 2017-09-15 25 25 602.24 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-09-15 602 654 -52 -52 315.73 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-09-15 316 332 -16 -16 400.02 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-09-15 400 422 -22 -22 1104.66 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-09-15 1105 1234 -129 -129 1606.85 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-09-15 1607 1808 -201 -201 814.9 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-09-15 815 923 -108 -108 1183.51 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-09-15 1184 1353 -169 -169 1496.69 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-09-15 1497 1646 -149 -149 2999.04 FHLMC 2355 CL AE 6.000% 09/15/2031 DTD 09/01/2001 2017-01-27 2017-09-15 2999 3318 -319 -319 108.05 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-09-15 108 117 -9 -9 77.57 FHLMC 2011-10-05 2017-09-15 78 86 -8 -8 1446.26 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-09-15 1446 1485 -39 -39 1200.86 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-09-15 1201 1337 -136 -136 676.76 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-09-15 677 715 -38 -38 1274.65 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-09-15 1275 1424 -149 -149 1117.79 FREDDIE MAC 2005-09-15 2017-09-15 1118 1146 -28 -28 2606.12 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-09-15 2606 2803 -197 -197 572.83 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-09-15 573 580 -7 -7 4062.79 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-09-15 4063 4423 -360 -360 2032.05 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-09-15 2032 2093 -61 -61 2140.58 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-09-15 2141 2194 -53 -53 433.49 GNMA POOL NO 550851 2001-10-17 2017-09-15 433 451 -18 -18 216.98 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-09-15 217 237 -20 -20 140.02 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-09-15 140 152 -12 -12 1523.13 GNMA 701738 5% 03/15/39 2009-07-29 2017-09-15 1523 1557 -34 -34 12100.59 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-09-15 12101 12235 -134 -134 14796.22 SANTANDER DRIVE AUTO RECEIVABL 2014-5 CL C 2.480% 06/15/2020 2015-09-30 2017-09-15 14796 14871 -75 -75 16637.01 SANTANDER DRIVE AUTO RECEIVABL 2015-5 CL B 1.960% 05/15/2020 2016-02-25 2017-09-15 16637 16618 19 19 507.37 GNMA 2003-26 CL MB 2012-09-10 2017-09-18 507 560 -53 -53 1616.16 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-09-18 1616 1787 -171 -171 7326.87 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-09-18 7327 7867 -540 -540 1641.5 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-09-18 1642 1691 -49 -49 8845.61 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-09-20 8846 8845 1 1 35254.12 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL C 2.670% 02/20/2019 2016-02-26 2017-09-20 35254 35596 -342 -342 6487.66 CAPITAL AUTO RECEIVABLES ASSET 2016-1 CL A3 1.730% 04/20/2020 2016-04-26 2017-09-20 6488 6473 15 15 2109.38 GNMA II 5% MAY 01 2010 2010-05-13 2017-09-20 2109 2217 -108 -108 2793.3 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-09-20 2793 2961 -168 -168 1817.85 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-09-20 1818 2009 -191 -191 2068.83 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-09-20 2069 2392 -323 -323 2042.37 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-09-20 2042 2213 -171 -171 4387.27 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-09-20 4387 4867 -480 -480 1503.37 GNMA SER 2005-26 CL XY 5.5% 2017-09-20 1503 1700 -197 -197 1954.94 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-09-20 1955 2303 -348 -348 3348.48 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-09-20 3348 3816 -468 -468 13833.84 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-09-21 13834 13833 1 1 994. STARBUCKS CORP 2017-03-17 2017-09-22 54680 55550 -870 -870 1942.96 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-09-25 1943 1919 24 24 4036.68 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-09-25 4037 4741 -704 -704 3336.88 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-09-25 3337 3804 -467 -467 315.31 FNMA-ACES 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2017-09-25 315 315 3947.55 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-09-25 3948 3956 -8 -8 5793.66 FNMA 2016-9 CL D 3.000% 03/25/2046 DTD 02/01/2016 2017-07-28 2017-09-25 5794 5821 -27 -27 424.2 FNMA 255836 6% 07/01/25 2012-10-18 2017-09-25 424 477 -53 -53 1617.04 FNMA 256749 6% 06/01/37 2008-09-30 2017-09-25 1617 1641 -24 -24 308.42 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-09-25 308 334 -26 -26 246.01 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-09-25 246 268 -22 -22 158558.82 FNMA 470883 2.97% 04/01/22 2014-01-03 2017-09-25 158559 155883 2676 2676 3838.74 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-09-25 3839 4134 -295 -295 4258.51 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-09-25 4259 4322 -63 -63 314.94 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-09-25 315 318 -3 -3 15719.08 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-09-25 15719 15523 196 196 201.44 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-09-25 201 197 4 4 261.54 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-09-25 262 252 10 10 276.68 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-09-25 277 270 7 7 211.97 FNMA AU6278 5% 11/01/43 2014-10-28 2017-09-25 212 236 -24 -24 709.24 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-09-25 709 793 -84 -84 1933.75 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-09-25 1934 1987 -53 -53 512.9 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-09-25 513 551 -38 -38 1437.39 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-09-25 1437 1533 -96 -96 3752.33 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-09-25 3752 4245 -493 -493 142.97 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-09-25 143 157 -14 -14 1200.98 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-09-25 1201 1218 -17 -17 2673.88 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-09-25 2674 2823 -149 -149 482.1 FNMA 776289 5% 05/01/34 2013-04-04 2017-09-25 482 531 -49 -49 29.26 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-09-25 29 31 -2 -2 152.55 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-09-25 153 160 -7 -7 29.89 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-09-25 30 32 -2 -2 11.54 FANNIE MAE 2005-03-07 2017-09-25 12 12 52.74 FANNIE MAE 2005-01-14 2017-09-25 53 55 -2 -2 242.58 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-09-25 243 257 -14 -14 469.02 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-09-25 469 493 -24 -24 500.03 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-09-25 500 529 -29 -29 2832.81 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-09-25 2833 2982 -149 -149 425.32 FNMA AA0835 5% 01/01/39 2009-07-29 2017-09-25 425 434 -9 -9 11224.46 FNMA AB1693 4% 11/01/40 2011-03-01 2017-09-25 11224 11030 194 194 2583.85 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-09-25 2584 2626 -42 -42 699.94 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-09-25 700 700 1522.85 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-09-25 1523 1512 11 11 289.54 FNMA MA2369 4% 08/01/45 2016-04-05 2017-09-25 290 314 -24 -24 226.24 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-09-25 226 265 -39 -39 313.46 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-09-25 313 307 6 6 2770.05 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/203 2015-12-08 2017-09-25 2770 2754 16 16 30000. RAYMOND JAMES FINANCIAL 8.6% AUG 15 2019 2017-09-25 33689 38139 -4450 -4450 . DOWDUPONT INC 2017-09-29 57 57 57 17.97 FANNIEMAE GRANTOR TRUST 2017-T1 CL A 2.898% 06/25/2027 DTD 04/01 2017-04-19 2017-09-29 18 18 250000. US TREAS 1.875% 09/30/17 2013-04-29 2017-10-02 250000 264355 -14355 -14355 2206.97 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-10-02 2207 2241 -34 -34 49. ALEXION PHARMACEUTICALS INC 2016-04-06 2017-10-03 6933 7639 -706 -706 135. ALEXION PHARMACEUTICALS INC 2017-10-03 19102 13107 5995 5995 119. HARTFORD FINL SVCS GROUP INC 2016-12-16 2017-10-03 6596 5668 928 928 154. BROADCOM LTD 2013-04-29 2017-10-03 36823 5368 31455 31455 11. BROADCOM LTD 2013-04-29 2017-10-03 2624 383 2241 2241 37. BROADCOM LTD 2013-04-29 2017-10-03 8839 1290 7549 7549 23. ALEXION PHARMACEUTICALS INC 2013-05-07 2017-10-04 3247 2223 1024 1024 21. HARTFORD FINL SVCS GROUP INC 2016-12-16 2017-10-04 1168 1000 168 168 119. HARTFORD FINL SVCS GROUP INC 2016-12-16 2017-10-04 6626 5668 958 958 8. HARTFORD FINL SVCS GROUP INC 2016-12-16 2017-10-04 445 381 64 64 56. HARTFORD FINL SVCS GROUP INC 2016-12-16 2017-10-04 3118 2667 451 451 10. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-04 557 413 144 144 15. HARTFORD FINL SVCS GROUP INC 2016-12-16 2017-10-04 836 714 122 122 58. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-05 3232 2393 839 839 3. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-05 167 124 43 43 13. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-06 726 536 190 190 1. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-06 56 41 15 15 33. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-09 1833 1361 472 472 6. HARTFORD FINL SVCS GROUP INC 2016-09-09 2017-10-09 334 248 86 86 15707.8 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-10-10 15708 15796 -88 -88 1561. GENERAL ELEC CO 2017-10-10 36965 47310 -10345 -10345 40000. ZOETIS INC 1.875% 02/01/2018 DTD 08/01/2013 2014-05-08 2017-10-12 40066 40126 -60 -60 10597.52 CALIFORNIA REPUBLIC AUT RECEI 1.820% 09/15/2020 DTD 03/12/20 2015-09-18 2017-10-16 10598 10600 -2 -2 45.78 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-10-16 46 45 1 1 1003.58 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-10-16 1004 1051 -47 -47 123.76 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-10-16 124 138 -14 -14 2323.72 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-10-16 2324 2442 -118 -118 1977.93 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-10-16 1978 2045 -67 -67 7.86 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-10-16 8 8 1624.76 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-10-16 1625 1619 6 6 24.69 FREDDIE MAC 2005-01-19 2017-10-16 25 26 -1 -1 622.9 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-10-16 623 677 -54 -54 7257.92 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-10-16 7258 7631 -373 -373 401.47 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-10-16 401 424 -23 -23 1537.43 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-10-16 1537 1718 -181 -181 1238.41 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-10-16 1238 1393 -155 -155 638.35 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-10-16 638 723 -85 -85 971.81 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-10-16 972 1111 -139 -139 510.94 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-10-16 511 562 -51 -51 6941.36 FHLMC 2355 CL AE 6.000% 09/15/2031 DTD 09/01/2001 2017-01-27 2017-10-16 6941 7679 -738 -738 343.49 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-10-16 343 373 -30 -30 127.82 FHLMC 2011-10-05 2017-10-16 128 141 -13 -13 1844.99 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-10-16 1845 1895 -50 -50 1185.8 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-10-16 1186 1320 -134 -134 584.85 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-10-16 585 618 -33 -33 1272.49 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-10-16 1272 1422 -150 -150 116.55 FREDDIE MAC 2005-09-15 2017-10-16 117 120 -3 -3 1684.52 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-10-16 1685 1812 -127 -127 72.73 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-10-16 73 74 -1 -1 1198.39 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-10-16 1198 1305 -107 -107 1096.51 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-10-16 1097 1129 -32 -32 3953.24 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-10-16 3953 4052 -99 -99 124.15 GNMA POOL NO 550851 2001-10-17 2017-10-16 124 129 -5 -5 215.23 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-10-16 215 235 -20 -20 1684.23 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-10-16 1684 1829 -145 -145 1050.47 GNMA 701738 5% 03/15/39 2009-07-29 2017-10-16 1050 1074 -24 -24 302.13 GNMA 2003-26 CL MB 2012-09-10 2017-10-16 302 333 -31 -31 1729. GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-10-16 1729 1912 -183 -183 3855.67 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-10-16 3856 4140 -284 -284 3067.59 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-10-16 3068 3160 -92 -92 13837.89 SANTANDER DRIVE AUTO RECEIVABL 2014-5 CL C 2.480% 06/15/2020 2015-09-30 2017-10-16 13838 13908 -70 -70 7853.37 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-10-20 7853 7853 32253.09 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL C 2.670% 02/20/2019 2016-02-26 2017-10-20 32253 32566 -313 -313 1837.09 GNMA II 5% MAY 01 2010 2010-05-13 2017-10-20 1837 1931 -94 -94 1293.03 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-10-20 1293 1370 -77 -77 2441.07 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-10-20 2441 2697 -256 -256 1894.43 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-10-20 1894 2190 -296 -296 2127.02 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-10-20 2127 2305 -178 -178 3392.19 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-10-20 3392 3763 -371 -371 1243.09 GNMA SER 2005-26 CL XY 5.5% 2017-10-20 1243 1406 -163 -163 1632.66 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-10-20 1633 1923 -290 -290 784.9 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-10-20 785 895 -110 -110 15035.25 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-10-23 15035 15035 3.21 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-10-25 3 3 1089.3 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-10-25 1089 1279 -190 -190 3105.2 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-10-25 3105 3540 -435 -435 335.75 FNMA-ACES 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2017-10-25 336 336 3019.9 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-10-25 3020 3027 -7 -7 4192.27 FNMA 2016-9 CL D 3.000% 03/25/2046 DTD 02/01/2016 2017-07-28 2017-10-25 4192 4212 -20 -20 1382.09 FNMA 255836 6% 07/01/25 2012-10-18 2017-10-25 1382 1555 -173 -173 1307.81 FNMA 256749 6% 06/01/37 2008-09-30 2017-10-25 1308 1327 -19 -19 333.22 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-10-25 333 361 -28 -28 277.94 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-10-25 278 303 -25 -25 3472.55 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-10-25 3473 3739 -266 -266 836.84 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-10-25 837 849 -12 -12 5595.45 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-10-25 5595 5648 -53 -53 218.79 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-10-25 219 214 5 5 275.45 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-10-25 275 265 10 10 303.09 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-10-25 303 296 7 7 210.41 FNMA AU6278 5% 11/01/43 2014-10-28 2017-10-25 210 234 -24 -24 197.37 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-10-25 197 221 -24 -24 2373.42 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-10-25 2373 2439 -66 -66 417.01 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-10-25 417 448 -31 -31 1409.38 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-10-25 1409 1503 -94 -94 3759.13 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-10-25 3759 4253 -494 -494 317.27 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-10-25 317 349 -32 -32 158.7 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-10-25 159 178 -19 -19 912.79 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-10-25 913 926 -13 -13 2613.86 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-10-25 2614 2760 -146 -146 4391.57 FNMA 776289 5% 05/01/34 2013-04-04 2017-10-25 4392 4839 -447 -447 29.44 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-10-25 29 31 -2 -2 153.62 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-10-25 154 161 -7 -7 30.07 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-10-25 30 32 -2 -2 11.61 FANNIE MAE 2005-03-07 2017-10-25 12 13 -1 -1 375.84 FANNIE MAE 2005-01-14 2017-10-25 376 389 -13 -13 13750.48 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-10-25 13750 14547 -797 -797 470.21 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-10-25 470 495 -25 -25 511.55 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-10-25 512 541 -29 -29 2702.58 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-10-25 2703 2845 -142 -142 209.67 FNMA AA0835 5% 01/01/39 2009-07-29 2017-10-25 210 214 -4 -4 10636.21 FNMA AB1693 4% 11/01/40 2011-03-01 2017-10-25 10636 10452 184 184 1706.25 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-10-25 1706 1734 -28 -28 740.41 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-10-25 740 740 1268.14 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-10-25 1268 1259 9 9 293.97 FNMA MA2369 4% 08/01/45 2016-04-05 2017-10-25 294 319 -25 -25 6641. FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-10-25 6641 7778 -1137 -1137 258.92 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-10-25 259 253 6 6 2480.15 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/203 2015-12-08 2017-10-25 2480 2466 14 14 75000. WAL-MART STORES INC 5 7/8% APR 05 2027 2011-04-12 2017-10-25 94253 82151 12102 12102 2357.3 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/20 2013-09-27 2017-10-25 2357 2394 -37 -37 212. AT&T INC 2015-06-01 2017-10-27 7198 7322 -124 -124 699. AT&T INC 2017-10-27 23686 24134 -448 -448 648. AT&T INC 2017-10-30 21923 22339 -416 -416 552. AT&T INC 2015-06-02 2017-10-30 18523 19004 -481 -481 2462.57 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-10-30 2463 2438 25 25 10781.54 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-11-02 10782 10901 -119 -119 13975.44 SANTANDER DRIVE AUTO RECEIVABL 2015-5 CL B 1.960% 05/15/2020 2016-02-25 2017-11-02 13975 13959 16 16 15602.16 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-11-08 15602 15689 -87 -87 213. ANALOG DEVICES INC 2017-11-10 19084 13687 5397 5397 95. BIOGEN IDEC INC 2017-11-10 29490 17570 11920 11920 176. ANALOG DEVICES INC 2017-11-13 15769 11277 4492 4492 100000. BELLSOUTH CAPITAL FUNDING CORP 7 7/8% FEB 15 2030 2015-01-23 2017-11-13 131590 138745 -7155 -7155 156.35 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-11-13 156 154 2 2 9829.37 CALIFORNIA REPUBLIC AUT RECEI 1.820% 09/15/2020 DTD 03/12/201 2015-09-18 2017-11-15 9829 9832 -3 -3 46.07 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-11-15 46 46 824.93 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-11-15 825 864 -39 -39 197.09 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-11-15 197 220 -23 -23 110.23 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-11-15 110 116 -6 -6 1268.37 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-11-15 1268 1311 -43 -43 310.59 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-11-15 311 307 4 4 7.92 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-11-15 8 8 1640.75 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-11-15 1641 1635 6 6 24.81 FREDDIE MAC 2005-01-19 2017-11-15 25 26 -1 -1 642.12 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-11-15 642 698 -56 -56 304.56 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-11-15 305 320 -15 -15 403.07 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-11-15 403 426 -23 -23 404.06 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-11-15 404 452 -48 -48 1069.83 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-11-15 1070 1204 -134 -134 615.16 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-11-15 615 697 -82 -82 956.28 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-11-15 956 1093 -137 -137 2512.27 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-11-15 2512 2764 -252 -252 903.38 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-11-15 903 981 -78 -78 76.07 FHLMC 2011-10-05 2017-11-15 76 84 -8 -8 2116.88 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-11-15 2117 2174 -57 -57 992.87 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-11-15 993 1105 -112 -112 470.32 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-11-15 470 497 -27 -27 3185.98 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-11-15 3186 3559 -373 -373 172.23 FREDDIE MAC 2005-09-15 2017-11-15 172 177 -5 -5 1937.8 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-11-15 1938 2084 -146 -146 272.03 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-11-15 272 276 -4 -4 1211.26 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-11-15 1211 1319 -108 -108 1325.51 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-11-15 1326 1365 -39 -39 3218.19 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-11-15 3218 3299 -81 -81 123.96 GNMA POOL NO 550851 2001-10-17 2017-11-15 124 129 -5 -5 3545.11 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-11-15 3545 3877 -332 -332 963.11 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-11-15 963 1046 -83 -83 478.21 GNMA 701738 5% 03/15/39 2009-07-29 2017-11-15 478 489 -11 -11 11051.57 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-11-15 11052 11174 -122 -122 14744.28 SANTANDER DRIVE AUTO RECEIVABL 2014-5 CL C 2.480% 06/15/2020 2015-09-30 2017-11-15 14744 14819 -75 -75 22266.24 SANTANDER AUTO RECEIVABL 2015-1 CL C 2.57% 04/15/2021 DTD 02/ 2017-11-15 22266 22284 -18 -18 14296.9 SANTANDER DRIVE AUTO RECEIVABL 2015-5 CL B 1.960% 05/15/2020 2016-02-25 2017-11-15 14297 14280 17 17 598.65 GNMA 2003-26 CL MB 2012-09-10 2017-11-16 599 660 -61 -61 2150.75 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-11-16 2151 2378 -227 -227 5776.84 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-11-16 5777 6203 -426 -426 1740.78 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-11-16 1741 1793 -52 -52 216962.525 HARBOR HIGH YIELD BOND FUND - INS 2017-11-16 2200000 2404354 -204354 -204354 443. TJX COS INC NEW 2017-11-17 31323 34477 -3154 -3154 15. TJX COS INC NEW 2016-12-05 2017-11-17 1062 1160 -98 -98 61. TJX COS INC NEW 2016-12-05 2017-11-17 4339 4718 -379 -379 12410.34 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-11-20 12410 12410 4319.66 CAPITAL AUTO RECEIVABLES ASSET 2015-3 CL A3 01/21/2020 2016-12-13 2017-11-20 4320 4345 -25 -25 8224.93 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-11-20 8225 8225 7545.09 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL C 2.670% 02/20/2019 2016-02-26 2017-11-20 7545 7618 -73 -73 8776.23 CAPITAL AUTO RECEIVABLES ASSET 2016-1 CL A3 1.730% 04/20/2020 2016-04-26 2017-11-20 8776 8756 20 20 1838.19 GNMA II 5% MAY 01 2010 2010-05-13 2017-11-20 1838 1932 -94 -94 1707.13 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-11-20 1707 1809 -102 -102 2560.31 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-11-20 2560 2829 -269 -269 2203.2 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-11-20 2203 2547 -344 -344 2098.61 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-11-20 2099 2274 -175 -175 3648.69 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-11-20 3649 4048 -399 -399 1413.31 GNMA SER 2005-26 CL XY 5.5% 2017-11-20 1413 1598 -185 -185 1543.54 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-11-20 1544 1818 -274 -274 3371.44 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-11-20 3371 3842 -471 -471 292. PNC FINL SVCS GROUP INC 2017-11-20 38921 37224 1697 1697 33. BLACKROCK INC 2017-11-21 15883 11045 4838 4838 92.37 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-11-27 92 91 1 1 1098.85 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-11-27 1099 1290 -191 -191 3013.26 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-11-27 3013 3435 -422 -422 317.5 FNMA-ACES 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2017-11-27 318 318 4720.52 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-11-27 4721 4731 -10 -10 5307.95 FNMA 2016-9 CL D 3.000% 03/25/2046 DTD 02/01/2016 2017-07-28 2017-11-27 5308 5333 -25 -25 844.37 FNMA 255836 6% 07/01/25 2012-10-18 2017-11-27 844 950 -106 -106 1656.29 FNMA 256749 6% 06/01/37 2008-09-30 2017-11-27 1656 1681 -25 -25 311.03 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-11-27 311 337 -26 -26 248.71 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-11-27 249 271 -22 -22 3325.69 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-11-27 3326 3581 -255 -255 2345.74 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-11-27 2346 2381 -35 -35 308.33 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-11-27 308 311 -3 -3 203.08 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-11-27 203 199 4 4 263.14 FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-11-27 263 253 10 10 278.87 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-11-27 279 272 7 7 218.8 FNMA AU6278 5% 11/01/43 2014-10-28 2017-11-27 219 243 -24 -24 316.1 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-11-27 316 353 -37 -37 2179.8 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-11-27 2180 2240 -60 -60 107. FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-11-27 107 115 -8 -8 1381.95 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-11-27 1382 1474 -92 -92 4093.18 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-11-27 4093 4630 -537 -537 267.94 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-11-27 268 295 -27 -27 69.72 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-11-27 70 78 -8 -8 1012.57 FNMA 2009-33 CL FB VAR RT 03/25/2037 2013-03-01 2017-11-27 1013 1027 -14 -14 2555.17 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-11-27 2555 2698 -143 -143 3873.08 FNMA 776289 5% 05/01/34 2013-04-04 2017-11-27 3873 4268 -395 -395 29.61 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-11-27 30 31 -1 -1 150.55 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-11-27 151 158 -7 -7 30.4 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-11-27 30 32 -2 -2 11.69 FANNIE MAE 2005-03-07 2017-11-27 12 13 -1 -1 54.97 FANNIE MAE 2005-01-14 2017-11-27 55 57 -2 -2 225.03 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-11-27 225 238 -13 -13 473.04 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-11-27 473 498 -25 -25 471.45 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-11-27 471 499 -28 -28 2586.91 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-11-27 2587 2724 -137 -137 657.43 FNMA AA0835 5% 01/01/39 2009-07-29 2017-11-27 657 670 -13 -13 6641.12 FNMA AB1693 4% 11/01/40 2011-03-01 2017-11-27 6641 6526 115 115 1788.28 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-11-27 1788 1818 -30 -30 789.88 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-11-27 790 790 1756.56 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-11-27 1757 1744 13 13 2219.23 FNMA MA2369 4% 08/01/45 2016-04-05 2017-11-27 2219 2405 -186 -186 260.68 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-11-27 261 255 6 6 3420.99 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/203 2015-12-08 2017-11-27 3421 3401 20 20 1542.12 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/2 2013-09-27 2017-11-27 1542 1566 -24 -24 25253.65 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL D 3.220% 05/20/2019 2015-12-04 2017-11-29 25254 25795 -541 -541 6000. WATSON PHARMCEUTICALS I 6 1/8% AUG 15 2019 2014-04-17 2017-11-30 6402 6994 -592 -592 79. ADOBE SYS INC 2017-12-04 13343 2928 10415 10415 . FEDERAL NATL MTG ASSN 2017-12-04 52 52 52 9. ADOBE SYS INC 2012-08-03 2017-12-05 1522 288 1234 1234 15. ADOBE SYS INC 2012-08-03 2017-12-05 2513 479 2034 2034 93. ADOBE SYS INC 2012-08-03 2017-12-05 15801 2971 12830 12830 47. ADOBE SYS INC 2012-08-03 2017-12-05 7911 1502 6409 6409 515. GENERAL ELEC CO 2017-12-05 9135 15290 -6155 -6155 324. GENERAL ELEC CO 2015-09-08 2017-12-05 5774 8081 -2307 -2307 751. GENERAL ELEC CO 2015-09-08 2017-12-05 13363 18731 -5368 -5368 74. GENERAL ELEC CO 2015-09-08 2017-12-06 1318 1846 -528 -528 937. GENERAL ELEC CO 2017-12-06 16620 23202 -6582 -6582 603. GENERAL ELEC CO 2017-12-06 10640 14757 -4117 -4117 14453.29 AMERICREDIT AUTOMOBILE RECEIVA 2013-5 CL C 2.290% 11/08/2019 2016-11-07 2017-12-08 14453 14534 -81 -81 15000. VIACOM INC 3.875% 04/01/2024 DTD 03/11/2014 2014-03-04 2017-12-08 15005 14879 126 126 . BANK OF AMERICA CORPORATION 2017-12-12 2340 2340 2340 150. STADA ARZNEIMITTEL AG 2014-04-22 2017-12-13 9432 6860 2572 2572 457. STADA ARZNEIMITTEL AG 2017-12-13 28727 18014 10713 10713 375. STADA ARZNEIMITTEL AG 2013-12-12 2017-12-13 23567 13990 9577 9577 146.8 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-12-14 147 145 2 2 216.17 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-12-14 216 253 -37 -37 9378.6 CALIFORNIA REPUBLIC AUT RECEI 1.820% 09/15/2020 DTD 03/12/2015 2015-09-18 2017-12-15 9379 9381 -2 -2 46.35 FEDERAL HOME LOAN MORTGAGE CORP 1996-09-30 2017-12-15 46 46 827.73 FHLMC GOLD G02927 5.5% 04/01/37 2009-09-30 2017-12-15 828 867 -39 -39 300.04 FHLMC GOLD G04792 6.5% 10/01/38 2011-02-22 2017-12-15 300 334 -34 -34 98.4 FHLMC GOLD G06203 5% 03/01/37 2011-03-02 2017-12-15 98 103 -5 -5 2718.62 FHLMC GOLD G08354 5% 07/01/39 2009-09-30 2017-12-15 2719 2811 -92 -92 220.54 FHLMC POOL 1J1749 ARM 06/01/2037 DTD 06/01/2007 2007-08-23 2017-12-15 221 218 3 3 7.97 FEDERAL HOME LOAN MORTGAGE CORP 1996-05-08 2017-12-15 8 8 1764.58 FHLMC GOLD A90316 4.5% 12/01/39 2009-12-29 2017-12-15 1765 1758 7 7 24.94 FREDDIE MAC 2005-01-19 2017-12-15 25 26 -1 -1 3339.14 FHLMC GOLD C46102 5.5% 08/01/29 2013-07-01 2017-12-15 3339 3627 -288 -288 305.59 FHLMC GOLD U90234 3% 10/01/42 2012-10-11 2017-12-15 306 321 -15 -15 404.33 FHLMC GOLD 3.5% 02/01/46 2016-06-07 2017-12-15 404 427 -23 -23 1463.44 FHLMC SER 2338 CL ZC 6.5% JUL 15 2031 2011-04-19 2017-12-15 1463 1635 -172 -172 2178.21 FHLMC SER 1611 CL Z 6.5% NOV 15 2023 2013-08-19 2017-12-15 2178 2450 -272 -272 502.91 FHLMC SER 1974 CL ZA 7% JUL 15 2027 2011-04-25 2017-12-15 503 570 -67 -67 692.68 FHLMC 2122 CL ZE 6.000% 02/15/2029 2013-01-30 2017-12-15 693 792 -99 -99 602.05 FHLMC MAR2310 CL Z 6.000% 04/15/2031 DTD 04/30/2001 2013-09-19 2017-12-15 602 662 -60 -60 1181.87 FHLB SER 3854 CL EW 4% MAY 15 2026 2012-01-06 2017-12-15 1182 1271 -89 -89 148.8 FHLMC SER 2532 CL PH 5.5% DEC 15 2032 2011-04-19 2017-12-15 149 162 -13 -13 79.61 FHLMC 2011-10-05 2017-12-15 80 88 -8 -8 1419.27 FHLMC SER 2590 CL OA 4% MAR 15 2033 2011-04-13 2017-12-15 1419 1457 -38 -38 1263.35 FREDDIE MAC SER 2598 CL QE 5.5% APR 15 2033 2017-12-15 1263 1406 -143 -143 506.94 FEDERAL HOME LN MTG CORP MULTICLASS 2011-04-21 2017-12-15 507 535 -28 -28 2913.03 FHLMC SER 2696 CL DG 5.5% OCT 15 2033 2017-12-15 2913 3254 -341 -341 121.05 FREDDIE MAC 2005-09-15 2017-12-15 121 124 -3 -3 1563.23 FHLMC REMIC SER 3027 CL DE 5% SEP 15 2025 2011-04-19 2017-12-15 1563 1681 -118 -118 7.54 FHLMC SER 3508 CL PK 4% FEB 15 2039 2011-04-27 2017-12-15 8 8 2821.04 FHLMC SER 3653 CL B 4.500% 04/15/2030 2011-12-29 2017-12-15 2821 3071 -250 -250 1026.97 FHLMC SER 3631 CL PA 4% FEB 15 2040 2011-04-26 2017-12-15 1027 1058 -31 -31 6310.41 GNMA 737022 4.5% 02/15/40 2010-05-13 2017-12-15 6310 6469 -159 -159 991.9 GNMA POOL NO 550851 2001-10-17 2017-12-15 992 1032 -40 -40 3989.21 GNMA 550750 5.5% 12/15/35 2013-07-23 2017-12-15 3989 4363 -374 -374 1338.7 GNMA 658181 5.5% 11/15/36 2011-01-26 2017-12-15 1339 1454 -115 -115 924.19 GNMA 701738 5% 03/15/39 2009-07-29 2017-12-15 924 945 -21 -21 10365.2 SANTANDER DRIVE AUTO RECEIVABL 2014-4 CL C 2.600% 11/16/2020 2016-04-27 2017-12-15 10365 10480 -115 -115 13195.45 SANTANDER DRIVE AUTO RECEIVABL 2014-5 CL C 2.480% 06/15/2020 2015-09-30 2017-12-15 13195 13262 -67 -67 22116.41 SANTANDER AUTO RECEIVABL 2015-1 CL C 2.57% 04/15/2021 DTD 02/ 2017-12-15 22116 22134 -18 -18 13874.61 SANTANDER DRIVE AUTO RECEIVABL 2015-5 CL B 1.960% 05/15/2020 2016-02-25 2017-12-15 13875 13858 17 17 689.22 GNMA 2003-26 CL MB 2012-09-10 2017-12-18 689 760 -71 -71 1892.09 GNMA 2004-19 CL KE 5.000% 03/16/2034 DTD 03/30/2004 2017-12-18 1892 2092 -200 -200 4561.37 GNMA 2009-84 CL C 4.000% 09/16/2024 DTD 09/29/2009 2013-06-18 2017-12-18 4561 4898 -337 -337 1623.32 GNMA 2010-162 CL QK 4.500% 06/16/2039 DTD 12/29/2010 2016-12-14 2017-12-18 1623 1672 -49 -49 105000. VERIZON COMMUNICATIONS NON-TRADEABLE ASSET 2017-02-24 2017-12-18 114255 108593 5662 5662 . CASH RECEIPT SECURITIES 2017-12-19 9928 9928 9928 45754.08 CAPITAL AUTO RECEIVABLES ASSET 2015-3 CL A3 01/21/2020 2016-12-13 2017-12-20 45754 46020 -266 -266 7329.88 CAPITAL AUTO RECEIVABLES ASSET 2015-4 CL A2 1.620% 03/20/2019 2015-10-15 2017-12-20 7330 7330 30098.45 CAPITAL AUTO RECEIVABLES ASSET 2013-4 CL D 3.220% 05/20/2019 2015-12-04 2017-12-20 30098 30744 -646 -646 8355.1 CAPITAL AUTO RECEIVABLES ASSET 2016-1 CL A3 1.730% 04/20/2020 2016-04-26 2017-12-20 8355 8336 19 19 1725.05 GNMA II 5% MAY 01 2010 2010-05-13 2017-12-20 1725 1813 -88 -88 2635.53 GNMA SER 2003-19 CL DH 5% MAR 20 2033 2011-04-26 2017-12-20 2636 2793 -157 -157 3166.08 GOVERNMENT NATL MTG ASSN GTD REMIC 2011-04-13 2017-12-20 3166 3499 -333 -333 2427.72 GNMA 2002-79 CL KL 5.500% 11/20/2032 DTD 11/29/2002 2013-05-16 2017-12-20 2428 2807 -379 -379 1653.23 GNMA II SER 2003-75 CL ZA 5.5% SEP 20 2033 2011-04-26 2017-12-20 1653 1792 -139 -139 3062.67 GNMA II SER 2003-84 CL PC 5.5% OCT 20 2033 2017-12-20 3063 3398 -335 -335 1485.38 GNMA SER 2005-26 CL XY 5.5% 2017-12-20 1485 1680 -195 -195 1206.71 GNMA 2008-83 CL ND REMIC 5.50% 09/20/2038 DTD 09/29/2008 2012-12-07 2017-12-20 1207 1421 -214 -214 2657.14 GNMA 2011-137 CL WA VAR RT 07/20/2040 DTD 10/01/2011 2016-03-08 2017-12-20 2657 3028 -371 -371 11697.07 CALIFORNIA REPUBLIC AUTO RECEI 2015-3 CL A3 1.620% 11/15/2019 2015-09-25 2017-12-21 11697 11697 945.21 COUNTRYWIDE HOME LOANS 2003-56 CL 4A1 VAR RT 12/25/2033 2014-02-25 2017-12-26 945 934 11 11 1106.86 FANNIE MAE SER 1991-52 CL J 8.5% MAY 25 2021 2013-06-11 2017-12-26 1107 1300 -193 -193 2643.87 FNMA SER 2011-99 CL DB 5% OCT 25 2041 2012-07-05 2017-12-26 2644 3014 -370 -370 13130.31 FNMA-ACES 2013-M9 CL A2 VAR RT 01/25/2023 DTD 06/01/2013 2016-01-21 2017-12-26 13130 13130 4132.97 FNMA 2014-73 CL PJ 3.000% 12/25/2043 DTD 10/01/2014 2016-12-09 2017-12-26 4133 4142 -9 -9 5119.61 FNMA 2016-9 CL D 3.000% 03/25/2046 DTD 02/01/2016 2017-07-28 2017-12-26 5120 5144 -24 -24 897.87 FNMA 255836 6% 07/01/25 2012-10-18 2017-12-26 898 1010 -112 -112 1047. FNMA 256749 6% 06/01/37 2008-09-30 2017-12-26 1047 1062 -15 -15 335.76 FNMA 468852 4.1% 08/01/21 2013-10-23 2017-12-26 336 364 -28 -28 280.57 FNMA 469130 4.87% 10/01/41 2016-12-20 2017-12-26 281 306 -25 -25 3840.35 FNMA 555424 5.5% 05/01/33 2010-09-17 2017-12-26 3840 4135 -295 -295 3019.06 FNMA AH5823 4.5% 02/01/41 2011-02-17 2017-12-26 3019 3064 -45 -45 328.17 FNMA AL2602 2.646% 10/01/22 2014-10-28 2017-12-26 328 331 -3 -3 10691.94 FNMA AL2965 2.619% 12/01/22 2014-06-11 2017-12-26 10692 10558 134 134 220.39 FNMA AL3876 2.764% 06/01/23 2013-12-18 2017-12-26 220 216 4 4 277. FNMA AM3301 2.35% 05/01/23 2014-01-28 2017-12-26 277 267 10 10 305.22 FNMA AM8970 2.87% 05/01/30 2016-01-27 2017-12-26 305 298 7 7 4443.34 FNMA AU6278 5% 11/01/43 2014-10-28 2017-12-26 4443 4942 -499 -499 410.42 FNMA SER 2003-11 CL BY 5.5% 02/25/2033 DTD 01/01/2003 2017-12-26 410 459 -49 -49 1721.93 FNMA SER 2003-33 CL-AM 4.25% MAY 25 2033 2011-04-15 2017-12-26 1722 1769 -47 -47 554.05 FNMA SER 2003-42 CL JH 5.5% MAY 25 2033 2011-04-20 2017-12-26 554 595 -41 -41 1355.07 FNMA SER 2004-60 CL LB 5% APR 25 2034 2011-04-19 2017-12-26 1355 1445 -90 -90 793.98 FNMA SER 2006-9 CL DG 5.5% MAR 25 2036 2017-12-26 794 898 -104 -104 131.98 FNMA SER 2006 102 CL A2 6.5% OCT 25 2036 2011-04-07 2017-12-26 132 145 -13 -13 516.04 FANNIE MAE SER 2007-22 CL A 5.5% MAR 25 2037 2012-12-04 2017-12-26 516 578 -62 -62 2476.01 FANNIE MAE SER 2010-64 CL DM 5% JUN 25 2040 2011-04-13 2017-12-26 2476 2614 -138 -138 455.53 FNMA 776289 5% 05/01/34 2013-04-04 2017-12-26 456 502 -46 -46 29.87 FEDERAL NATIONAL MORTGAGE ASSN 2005-02-03 2017-12-26 30 31 -1 -1 152.7 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-12-26 153 160 -7 -7 30.59 FEDERAL NATIONAL MORTGAGE ASSN 2005-03-07 2017-12-26 31 33 -2 -2 11.76 FANNIE MAE 2005-03-07 2017-12-26 12 13 -1 -1 53.61 FANNIE MAE 2005-01-14 2017-12-26 54 56 -2 -2 225.63 FNMA BC0100 3.5% 12/01/45 2016-06-07 2017-12-26 226 239 -13 -13 473.37 FNMA BC3492 3.5% 02/01/46 2016-04-05 2017-12-26 473 498 -25 -25 481.99 FNMA BC4899 3.5% 04/01/46 2016-06-07 2017-12-26 482 510 -28 -28 3106.06 FNMA 889197 4.5% 11/01/21 2009-12-09 2017-12-26 3106 3270 -164 -164 307.68 FNMA AA0835 5% 01/01/39 2009-07-29 2017-12-26 308 314 -6 -6 5438.91 FNMA AB1693 4% 11/01/40 2011-03-01 2017-12-26 5439 5345 94 94 1186.55 FNMA AB3678 3.5% 10/01/41 2011-10-26 2017-12-26 1187 1206 -19 -19 628.74 FNMA MA1213 3.5% 10/01/42 2014-02-28 2017-12-26 629 629 1135.7 FNMA MA1546 3.5% 08/01/43 2014-03-19 2017-12-26 1136 1128 8 8 286.17 FNMA MA2369 4% 08/01/45 2016-04-05 2017-12-26 286 310 -24 -24 237.99 FNMA AD0910 4.632% 04/01/20 2012-10-17 2017-12-26 238 279 -41 -41 261.09 JP MORGAN MORTGAGE TRUST SER 2004-A1 CL 1A1 4.800801% 2017-12-26 261 255 6 6 340.01 MERRILL LYNCH MORTGAGE INVESTO 2003-A5 CL 2A6 VAR RT 08/25/2033 2015-12-08 2017-12-26 340 338 2 2 25000. TIME WARNER INC NON-TRADEABLE ASSET 2016-03-30 2017-12-26 31631 30259 1372 1372 1021.8 WELLS FARGO MORTGAGE BACKED SE 2005-AR10 CL 2A2 VAR RT 06/25/20 2013-09-27 2017-12-26 1022 1038 -16 -16 . DELPHI TECHNOLOGIES PLC 2017-12-26 35 35 35 . CASH RECEIPT SECURITIES 2017-12-27 12632 12632 12632 1. RIVERSTONE GLOBAL ENERGY AND POWER PRIVATE INVESTORS V, LP (OFFSHOR 2016-01-01 2017-12-31 133859 145857 -11998 -11998 1. PROVIDENCE TMT DEBT OPPORTUNITY FEEDER II (NON-US) L.P OFFSHORE 2016-01-01 2017-12-31 455056 45880 409176 409176 CAPITAL GAIN DIVIDENDS P 2856166 3831366 false 9827914 207950019 0.047261 12305745 222032592 0.055423 9929861 226218313 0.043895 9346306 214106470 0.043653 9438622 200860925 0.046991 0.237223 0.047445 221509064 10509498 78524 10588022 9971274 157049 0 157049 0 157049 82584 285000 367584 X 0 210535 210535 0 false false false false false false false true true NY true false false false false true JPMORGAN CHASE BANK NA 8004962583 10 S DEARBORN IL1-0111 CHICAGO IL 606032003 false false false false true false false false false false false false false false false false false false false false false false JPMORGAN CHASE BANK NA 10 S DEARBORN IL1-0111 CHICAGO IL 606032003 TRUSTEE 50 1295435 NONE 0 NONE 0 218349784 6532514 0 224882298 0 0 224882298 3373234 221509064 11075453 11075453 157049 157049 10918404 100000 11018404 0 11018404 9971274 0 0 0 0 9971274 0 9971274 11018404 1088051 0 0 0 0 0 0 0 9971274 1088051 0 0 8883223 0 0 0 0 0 0 0 0 2135181 0 0 0 0 0 0 0 0 BOOTH FERRIS FOUNDATION JPMORGAN C 270 PARK AVENUE NEW YORK NY 10017 2124642487 NONE@JPMORGAN.COM ONE COPY OF THE PROPOSAL SHOULD BE ACCOMPANIED BY AN ANNUAL REPORT. FINANCIAL DATA, INCLUDING THE ORGANIZATION'S CURRENT BUDGET AND ITS LATEST AUDITED FINANCIAL STATEMENTS SHOULD BE SUBMITTED AS WELL. N/A THE FOUNDATION'S PRIMARY INTERESTS ARE IN THE FIELD OF EDUCATION, ESPECIALLY THEOLOGICAL, SMALLER COLLEGES AND INDEPENDENT SECONDARY SCHOOLS. A LIMITED NUMBER OF GRANTS ARE MADE IN THE AREAS OF SOCIAL SERVICES AND CULTURAL ACTIVITIES IN NEW YORK CITY. GRANTS ARE NOT MADE Schuyler Center for Analysis & Advocacy 322 EIGHTH AVENUE New York NY 10001 NONE PC GENERAL 50000 DreamYard Project 1085 WASHINGTON AVE GROUND FLOOR Bronx NY 10456 NONE PC GENERAL 150000 Marymount Manhattan College 221 EAST 71ST STREET New York NY 10021 NONE PC GENERAL 125000 HERE Art Center 145 SIXTH AVENUE New York NY 10013 NONE PC GENERAL 75000 The Children's Village ONE ECHO HILLS Dobbs Ferry NY 10522 NONE PC GENERAL 100000 Hobart and William Smith Colleges 300 PULTENEY STREET Geneva NY 144563397 NONE PC GENERAL 75000 The New York Immigration Coalition Inc 131 WEST 33RD ST SUITE 610 New York NY 10001 NONE PC GENERAL 100000 The Opportunity Network 85 BROAD STREET 6TH FLOOR New York NY 10004 NONE PC GENERAL 120000 Irish Repertory Theatre Company Inc 132 WEST 22ND STREET New York NY 10011 NONE PC GENERAL 50000 Lower Manhattan Cultural Council 125 MAIDEN LANE 2ND FLOOR New York NY 10038 NONE PC GENERAL 100000 Food Corps Inc 1140 SE 7TH AVE SUITE 110 Portland OR 10001 NONE PC GENERAL 100000 Friends of Van Cortlandt Park 80 VAN CORTLANDT PARK SOUTH STE E1 Bronx NY 10463 NONE PC GENERAL 75000 Neighborhood Coalition for Shelter Inc 50 BROADWAY SUITE 1301 New York NY 10004 NONE PC GENERAL 55000 Museum of the City of New York 1220 FIFTH AVENUE New York NY 100295287 NONE PC GENERAL 50000 Bronx Arts Ensemble 80 VAN CORTLANDT PARK SOUTH Bronx NY 10463 NONE PC GENERAL 60000 STEM Academy 6300 SAGEWOOD DRIVE SUITE H 235 Park City UT 84098 NONE PC GENERAL 150000 Business United in Investing Lending and Development (BUILD) 6 BEACON STREET SUITE 415 Boston MA 02108 NONE PC GENERAL 120000 Queens Botanical Garden Society 43-50 MAIN STREET Flushing NY 11355 NONE PC GENERAL 100000 New Yorkers for Parks 55 BROAD STREET 23RD FLOOR New York NY 10004 NONE PC GENERAL 100000 New York Theatre Workshop 79 EAST 4TH STREET New York NY 10003 NONE PC GENERAL 150000 The New York Community Trust 909 THIRD AVENUE FLOOR 22 New York NY 10022 NONE PC GENERAL 275000 COMMUNITY FUND INC 121 AVENUE OF THE AMERICAS 6TH FLO New York NY 100131590 NONE PC GENERAL 50000 College Access Research & Action (CARA) CENTER FOR HUMAN ENVIRONMENTS RM 6 New York NY 10016 NONE PC GENERAL 75000 Center for Traditional Music and Dance 200 CHURCH STREET ROOM 303 New York NY 100133831 NONE PC GENERAL 50000 New York Lawyers for the Public Interest Inc 151 WEST 30TH STREET 11TH FLOOR New York NY 100014017 NONE PC GENERAL 150000 Gina Gibney Dance 890 BROADWAY STUDIO 5-2 New York NY 10003 NONE PC GENERAL 100000 International Contemporary Ensemble 4306 3RD AVENUE 4TH FLOOR Brooklyn NY 11232 NONE PC GENERAL 75000 Hostos Community College Foundation 500 GRAND CONCOURSE Bronx NY 10451 NONE PC GENERAL 75000 The Ghetto Film School Inc 79 ALEXANDER AVE SUITE 41-A Bronx NY 10454 NONE PC GENERAL 75000 STREB Inc 51 NORTH FIRST STREET Brooklyn NY 11211 NONE PC GENERAL 50000 Lycoming College 700 COLLEGE PLACE Williamsport PA 17701 NONE PC GENERAL 55000 Leslie-Lohman Museum of Gay and Lesbian Art 26 WOOSTER STREET New York NY 10013 NONE PC GENERAL 75000 Sea Change Capital Partners 1385 BROADWAY 23RD FLOOR New York NY 10018 NONE PC GENERAL 50000 Snug Harbor Cultural Center and Botanical Garden 1000 RICHMOND TERRACE Staten Island NY 10301 NONE PC GENERAL 150000 The Participatory Budgeting Project Inc 540 PRESIDENT ST 1ST FLOOR Brooklyn NY 11215 NONE PC GENERAL 100000 Community Resource Exchange 42 BROADWAY 20TH FLOOR New York NY 10004 NONE PC GENERAL 120000 New Leaders 30 WEST 26TH STREET 9TH FLOOR New York NY 10010 NONE PC GENERAL 150000 Apollo Theater Foundation Inc 253 WEST 125TH STREET New York City NY 10027 NONE PC GENERAL 150000 The University of Connecticut Foundation Inc 2390 ALUMNI DRIVE Storrs CT 06269 NONE PC GENERAL 150000 Hudson Guild 441 WEST 26TH STREET New York NY 10001 NONE PC GENERAL 87500 WNYC Radio 160 VARICK STREET New York NY 10013 NONE PC GENERAL 125000 Women for Afghan Women 158-24 73RD AVE Fresh Meadows NY 11366 NONE PC GENERAL 100000 National Academy 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York NY 10271 NONE PC GENERAL 150000 American Museum of the Moving Image 3601 35TH AVENUE Astoria NY 11106 NONE PC GENERAL 50000 Cypress Hills Local Development Corporation 625 JAMAICA AVENUE Brooklyn NY 11208 NONE PC GENERAL 75000 New York Live Arts 219 W 19TH ST New York NY 10011 NONE PC GENERAL 111250 Arts Connection 520 EIGHTH AVENUE New York NY 10018 NONE PC GENERAL 75000 American Folk Art Museum 47-29 32ND PLACE Long Island City NY 11101 NONE PC GENERAL 100000 Callen-Lorde Community Health Center 356 WEST 18TH STREET New York NY 10011 NONE PC GENERAL 100000 9432250 14 4338782 18 3831366 TAX REFUND 14 114000 OTHER INCOME 14 600 DEFERRED INCOME 14 88628 STARWOOD SOF VIII 14 59016 ATLAS GLOBAL INVES 14 35641 JANA OFFSHORE PART 14 384363 PROVIDENCE TMT DEB 14 45880 8898276 8898276 false false false false false false false false false false 411511553 HARBOR HIGH YIELD BO 5632764 5625259 543916688 LORD ABBETT INVT TR 00037BAB8 ABB FINANCE USA INC 119033 116909 001192AG8 AGL CAPITAL CORP 5 1 74837 77988 00206RCM2 AT&T INC 3.000% 06/3 00206RDA7 AT&T INC 5.000% 03/0 83855 80309 00440EAM9 ACE INA HOLDINGS 5.9 82748 78985 00507UAS0 ACTAVIS FUNDING SCS 75794 76336 00751YAC0 ADVANCE AUTO PARTS 4 29950 31536 008916AP3 AGRIUM INC 3.375% 03 28906 30132 01F0526A5 FNMA 5.5% 10/15/43 01F0606A8 FNMA 6% 10/15/43 023135AM8 AMAZON.COM INC 3.300 22914 23749 023551AM6 HESS CORP 7 1/8% MAR 39941 36173 025816AY5 AMERICAN EXPRESS SR 77468 65696 026874CY1 AMERICAN INTL GROUP 20987 22184 029912BD3 AMERICAN TOWER CORP 03062AAF3 AMERICREDIT AUTOMOBI 171634 170525 03064VAE8 AMERICREDIT AUTOMOBI 90021 90052 03065EAF2 AMERICREDIT AUTOMOBI 51162 50903 03065JAF1 AMERICREDIT AUTOMOBI 200219 200632 03065KAF8 AMERICREDIT AUTOMOBI 185650 185512 031162AZ3 AMGEN INC SR NOTES 5 83530 77841 032511BC0 ANADARKO PETROLEUM C 133038 107210 03523TAN8 ANHEUSER BUSCH INBEV 035242AM8 ANHEUSER-BUSCH INBEV 103638 112145 037411AX3 APACHE CORP 3.625% 0 43129 40946 037735CM7 APPALACHIAN POWER CO 101398 106699 03879QAF1 VEREIT OPERATING PAR 20366 20910 042735AK6 ARROW ELECTRONICS IN 049560AJ4 ATOMS ENERGY CORP 8 119866 96740 05348EAU3 AVALONBAY COMMUNITIE 57758 56556 055451AU2 BHP BILLITON FIN USA 05565QCD8 BP CAPITAL MARKETS P 059165EE6 BALTIMORE GAS & ELEC 77245 75215 06051GEU9 BANK OF AMERICA CORP 322484 332426 079857AH1 BELLSOUTH CAPITAL FU 084670BF4 BERKSHIRE HATHAWAY I 097023AM7 BOEING CO 7 1/4% JUN 133444 126541 10112RAW4 BOSTON PROPERTIES LP 37168 36262 120568AT7 BUNGE LIMITED FINANC 89474 81239 12189TAZ7 BURLINGTN NORTH SANT 58141 73675 12572QAF2 CME GROUP INC 5.300% 23957 30786 126117AP5 CNA FINANCIAL CORP 7 12618SAE7 CNH EQUIPMENT TRUST 249893 249990 12669FBN2 COUNTRYWIDE HOME LOA 33737 34591 13056JAC8 CALIFORNIA REPUBLIC 39367 39360 13056UAD1 CALIFORNIA REPUBLIC 127392 127204 136385AV3 CANADIAN NATL RESOUR 37225 41173 13645RAJ3 CANADIAN PACIFIC RR 90419 79796 13974HAD9 CAPITAL AUTO RECEIVA 346934 344999 13974LAB4 CAPITAL AUTO RECEIVA 5590 5589 13975FAF7 CAPITAL AUTO RECEIVA 13975FAG5 CAPITAL AUTO RECEIVA 76249 74697 13975GAD0 CAPITAL AUTO RECEIVA 13975NAC7 CAPITAL AUTO RECEIVA 81197 81317 14149YAY4 CARDINAL HEALTH INC 18438 20018 151020AE4 CELGENE CORP 3.95% O 36797 36240 171232AE1 CHUBB CORPORATION 6. 77731 80069 172967EW7 CITIGROUP INC SR NOT 103162 111847 172967JN2 CITIGROUP INC 1.700% 74858 74925 205887BJ0 CONAGRA FOODS INC 3. 39458 40510 20825CAQ7 CONOCOPHILLIPS NOTES 73920 104881 21685WBT3 RABOBANK NEDERLAND N 80771 79489 22541HCC4 CREDIT SUISSE NEW YO 233835AQ0 DAIMLER CHRYSLER N A 112455 113263 25152CMN3 DEUTSCHE BANK AG LON 25156PAC7 DEUTSCHE TELEKOM INT 98575 110934 25389JAK2 DIGITAL REALTY TRUST 40478 41216 26884AAX1 ERP OPERATING LP 5 3 26884AAZ6 ERP OPERATING LP 4 5 1992 2142 278058DH2 EATON CORP 6.95% MAR 90064 78890 278642AE3 EBAY INC 2.6% JUL 15 46509 49543 29273RAS8 ENERGY TRANSFER PART 35680 36015 29364DAR1 ENTERGY ARKANSAS INC 32077 32113 29379VAM5 ENTERPRISE PRODUCTS 55847 62982 29379VBB8 ENTERPRISE PRODUCTS 4991 5209 30219GAK4 EXPRESS SCRIPTS HOLD 74442 75648 3128FHDC3 FHLMC GOLD D75499 7. 7038 7125 3128M4SQ7 FHLMC GOLD G02927 5. 35621 37586 3128M6UR7 FHLMC GOLD G04792 6. 13930 13853 3128M8GL2 FHLMC GOLD G06203 5% 19433 20020 3128MJMC1 FHLMC GOLD G08354 5% 120553 127009 3128NH5J8 FHLMC POOL 1J1749 AR 98657 103734 31292GP83 FHLMC GOLD C00447 8% 1109 1111 312938K51 FHLMC GOLD A90316 4. 89766 96154 31297LDH0 FHLMC GOLD A31004 6% 9470 10221 31298EX75 FHLMC GOLD C46102 5. 69772 71112 3132H3HK2 FHLMC GOLD U90234 3% 150386 142563 3132QDDX6 FHLMC GOLD 3.5% 02/0 254642 248579 3133984L0 FHLMC SER 2338 CL ZC 51895 53531 3133T2QN3 FHLMC SER 1611 CL Z 69338 66811 3133TAN73 FHLMC SER 1974 CL ZA 31963 31289 3133TJDF7 FHLMC 2122 CL ZE 6.0 83930 81828 3133TSQF3 FHLMC MAR2310 CL Z 6 65320 67040 313586RC5 FNMA ZERO CPN 10/09/ 166404 168523 31358GXJ1 FANNIE MAE SER 1991- 48998 44784 3136A13U7 FNMA SER 2011-118 CL 3136A1MA0 FNMA SER 2011-99 CL 160555 152779 3136AEX69 FNMA-ACES 2013-M9 CL 175045 174119 3136AKQM8 FANNIEMAE-ACES 2014- 205313 205040 3136ALMX6 FNMA 2014-73 CL PJ 3 160201 160312 31371MEH6 FNMA 255836 6% 07/01 39127 38859 31371NEW1 FNMA 256749 6% 06/01 61938 68891 3137AA5D1 FHLB SER 3854 CL EW 213729 207574 3137ALYM5 FHLMC JAN4000 CL VH 153703 152460 3137AYCE9 FHLMC MULTIFAMILY ST 95836 101169 3137B2PC8 FHLMC POOL 4212 02/1 129357 127163 31381RZR8 FNMA 468852 4.1% 08/ 193393 188403 31381SEB4 FNMA 469130 4.87% 10 199988 203067 31381UCU9 FNMA 470883 2.97% 04 31385XAZ0 FNMA 555424 5.5% 05/ 187471 192870 3138A7PH5 FNMA AH5823 4.5% 02/ 270171 288755 3138EJ3L0 FNMA AL2602 2.646% 1 176614 175826 3138EKJK2 FNMA AL2965 2.619% 1 72972 74325 3138ELJW4 FNMA AL3876 2.764% 0 125287 131975 3138L3U37 FNMA AM3301 2.35% 05 127692 135370 3138L4H55 FNMA JUL25 3.020% 07 345379 348762 3138L96G2 FNMA AM8970 2.87% 05 202517 206030 3138L9T85 FNMA POOL AM8674 2.8 206570 201490 3138X56Q5 FNMA AU6278 5% 11/01 151808 147452 31392HMM2 FNMA SER 2003-11 CL 43834 43596 31393BFF7 FNMA SER 2003-33 CL- 109610 111097 31393BVP7 FNMA SER 2003-42 CL 24398 24785 31393DK42 FNMA SER 2003-80 CL 108875 110122 31393FPA8 FHLMC SER 2532 CL PH 20588 20849 31393FPW0 FHLMC SER 2544 CL KE 12682 12623 31393NK57 FHLMC SER 2590 CL OA 56374 56313 31393NVW6 FREDDIE MAC SER 2598 90821 89881 31393W6E4 FEDERAL HOME LN MTG 2359 2239 31394AWY8 FNMA SER 2004-60 CL 44255 43293 31394DA59 FNMA 2005-48 CL AU A 179156 167475 31394ED54 FNMA 2005-73 CL EZ 5 317996 339468 31394KR89 FHLMC SER 2696 CL DG 148032 145462 31395BBS1 FNMA SER 2006-9 CL D 101362 99704 31395R2Z0 FHLMC REMIC 2949 CL 240000 224392 31395UEH0 FREDDIE MAC SER 2980 28197 31340 31396AU69 FHLMC REMIC SER 3027 97691 96986 31396LLF5 FNMA SER 2006 102 CL 11130 11345 31396PW64 FANNIE MAE SER 2007- 20704 20638 31397NXK6 FNMA 2009-33 CL FB V 49979 50384 31397UDK2 FNMA SER 2011-52 CL 110500 113738 31397YWZ0 FHLMC SER 3508 CL PK 3242 3269 31398QK30 FHLMC 3684 CL CY 4.5 281563 267518 31398RM85 FANNIE MAE SER 2010- 110140 111998 31398VWE2 FHLMC SER 3653 CL B 192611 189467 31398WKY9 FHLMC SER 3631 CL PA 72718 73606 31404RNE3 FNMA 776289 5% 05/01 119245 118775 31405E5Q4 FNMA 787555 6.5% 02/ 11873 12527 31405E5Y7 FNMA 787563 6.5% 03/ 48953 54895 31405E5Z4 FNMA 787564 7% 03/01 6830 6882 31405E6A8 FNMA 787565 7.5% 03/ 5540 5438 31406CQS0 FNMA 806065 6% 12/01 19609 21168 3140EUDE6 FNMA BC0100 3.5% 12/ 155928 151821 3140EX3A9 FNMA BC3492 3.5% 02/ 252256 247016 3140F0NR1 FNMA BC4899 3.5% 04/ 285590 278112 31410G3E1 FNMA 889197 4.5% 11/ 55885 54186 31416H4V4 FNMA AA0835 5% 01/01 23240 24543 31416W3B6 FNMA AB1693 4% 11/01 350968 375331 31417ACQ0 FNMA AB3678 3.5% 10/ 150269 153213 31418AK31 FNMA MA1213 3.5% 10/ 60146 62036 31418AWG9 FNMA MA1546 3.5% 08/ 121994 126723 31418BT30 FNMA MA2369 4% 08/01 186622 182528 31418NAL4 FNMA AD0910 4.632% 0 171658 152174 31428XBA3 FEDEX CORP 3.900% 02 5038 5076 341099CH0 FLORIDA POWER CORP 6 74901 104345 345397VP5 FORD MOTOR CREDIT CO 36202FGE0 GNMA II 5% MAY 01 2 92142 95335 3620AQYT4 GNMA 737022 4.5% 02/ 207357 216351 36213C5L0 GNMA 550851 7% 09/15 29177 32828 36213CZP8 GNMA 550750 5.5% 12/ 63346 64181 36294SFW2 GNMA 658181 5.5% 11/ 38450 39314 36296US35 GNMA 701738 5% 03/15 50010 53066 36962GXZ2 GENERAL ELECTRIC CAP 242686 273874 375558AW3 GILEAD SCIENCES INC 35852 36609 38141EA66 GOLDMAN SACHS GROUP 74071 75680 38141EC23 GOLDMAN SACHS GROUP 39990 39408 38141GGM0 GOLDMAN SACHS GROUP 59774 80794 38141GGQ1 GOLDMAN SACHS GROUP 58155 56351 38148LAC0 GOLDMAN SACHS GROUP 25989 26406 38373S3V7 GNMA 2003-26 CL MB 5 181020 186087 38373SYG6 GNMA SR 2003-19 CL G 34167 33514 38373SZB6 GNMA SER 2003-19 CL 124790 130282 38373VHD5 GOVERNMENT NATL MTG 139479 141193 38373YAB0 GNMA 2002-79 CL KL 5 151310 142830 38374BDZ3 GNMA 2003-62 CL HE 5 112625 108821 38374CBC4 GNMA II SER 2003-75 119750 121230 38374CYU9 GNMA II SER 2003-84 219321 216015 38374FTH7 GNMA 2004-19 CL KE 5 119645 116784 38374GSQ6 GNMA 2004-37 CL PE 5 190388 183941 38374HGS3 GNMA SER 2004-53 CL 38374JYA8 GNMA 2004-86 CL C 5. 174188 173882 38374KP23 GNMA SER 2005-26 CL 93048 91138 38374KTZ6 GNMA 2005-13 CL AH 5 79969 84154 38374XD93 GNMA 2009-84 CL C 4. 198197 191131 38375YET5 GNMA 2008-83 CL ND R 85569 78860 38376WCN3 GNMAPOOL 2010-14 CL 264344 252716 38377QRF6 GNMA 2011-22 CL PL 5 230125 229314 38377RPC3 GNMA 2010-162 CL QK 56983 56576 38377YX39 GNMA 2011-137 CL WA 138019 134026 3837H27G8 GNMA 2008-63 CL PE 5 139375 139524 40414LAJ8 HCP INC 4.250% 11/15 28867 30433 404280AL3 HSBC HOLDINGS PLC 4. 93353 91444 44107TAU0 HOST HOTELS & RESORT 19648 20355 458140AS9 INTEL CORP 3.700% 07 23964 25355 45866FAB0 INTERCONTINENTALEXCH 3996 4016 46132FAA8 INVESCO FINANCE PLC 39591 40473 466247BL6 JP MORGAN MORTGAGE T 60248 61411 4812C0803 JPM HIGH YIELD FD - 485134BL3 KANSAS CITY POWER & 44935 37038 49326EED1 KEYCORP MTN 5.1% MAR 79334 74352 501044CN9 KROGER CO/THE 5.4% J 64427 71768 524901AT2 LEGG MASON INC 3.950 50486 51142 534187AY5 LINCOLN NATIONAL COR 76868 69990 534187BD0 LINCOLN NATIONAL COR 5190 5219 539830BG3 LOCKHEED MARTIN CORP 72090 71116 544646ZR6 LOS ANGELES CALIFORN 90000 124301 548661CV7 LOWE'S COMPANIES INC 45448 47006 55273E640 MFS EMERGING MKTS DE 553794AC2 MUFG AMERICAS HLDGS 39788 39484 56501RAB2 MANULIFE FINANCIAL C 39144 37045 565849AB2 MARATHON OIL CORP NO 83449 91222 577778BH5 MACYS RETAIL HLDGS I 5899293T3 MERRILL LYNCH MORTGA 73633 76399 59156RAM0 METLIFE INC NOTES 5. 76577 82285 6174466Q7 MORGAN STANLEY 6 5/8 100000 101095 61747YCG8 MORGAN STANLEY 7.3% 99987 106602 61747YDY8 MORGAN STANLEY 4.300 4963 5388 61945CAC7 MOSAIC CO 4.250% 11/ 34879 36237 63946BAE0 NBCUNIVERSAL MEDIA L 84217 79484 65339KAG5 NEXTERA ENERGY CAPIT 38012 41119 65504LAH0 NOBLE HOLDING INTL L 655844BC1 NORFOLK SOUTHERN COR 99750 105118 656531AD2 NORSK HYDRO A S 7.15 70558 63338 670346AM7 NUCOR CORP 4.000% 08 36581 36643 674599BY0 OCCIDENTAL PETROLEUM 36231 36653 68389XAE5 ORACLE CORP 6 1/2% 74871 105532 693475AP0 PNC FINANCIAL SERVIC 78226 78516 69362BAY8 PSEG POWER LLC 4.15% 72075 72994 694308GQ4 PACIFIC GAS & ELECTR 98333 97419 709629AM1 PENTAIR FINANCE SA 2 18068 18071 713448BP2 PEPSICO INC NOTES 5 89034 115324 71654QAW2 PETROLEOS MEXICANOS 72800 68965 71654QBB7 PETROLEOS MEXICANOS 52098 52113 73755LAH0 POTASH CORP-SASKATCH 32139 31408 73755LAL1 POTASH CORP-SASKATCH 44600 46114 74251VAH5 PRINCIPAL FINANCIAL 1997 2010 74251VAM4 PRINCIPAL FINANCIAL 32952 32583 74432QBT1 PRUDENTIAL FINANCIAL 81587 80374 74834LAP5 QUEST DIAGNOSTIC INC 42170 41797 754730AB5 RAYMOND JAMES FINANC 760759AP5 REPUBLIC SERVICES IN 36898 38137 760761AB2 REPUBLIC SERVICES IN 41843 36801 767201AH9 RIO TINTO FIN USA LT 775109AY7 ROGERS COMMUNICATION 796253T93 SAN ANTONIO TEXAS EL 95000 127925 80283YAF2 SANTANDER DRIVE AUTO 70644 70020 80284AAF3 SANTANDER DRIVE AUTO 119816 119412 80284CAF9 SANTANDER AUTO RECEI 230798 231192 80284QAE1 SANTANDER DRIVE AUTO 48891 48951 806854AH8 SCHLUMBERGER INVESTM 35865 36841 808513AG0 CHARLES SCHWAB CORP 83072 81300 822582AD4 SHELL INTERNATIONAL 74602 104483 82481LAC3 SHIRE ACQ INV IRELAN 40296 39316 842434CG5 SOUTHERN CALIF GAS C 96069 94860 84755TAE7 SPECTRA ENERGY CAPIT 47112 49881 857477AL7 STATE STREET CORP 3. 23961 24204 857477AM5 STATE STREET CORP 3. 20361 21056 85771PAQ5 STATOIL ASA 4.800% 1 9950 11703 867229AE6 SUNCOR ENERGY INC 6 41836 47252 86765BAQ2 SUNOCO LOGISTICS PAR 19866 19805 87236YAA6 TD AMERITRADE HOLDIN 41724 37149 880591CS9 TVA 5.880% 04/01/203 92867 105383 88059ENT7 TENN VAL AUTH CPN ST 227889 237566 88165FAG7 TEVA PHARMACEUT FIN 14956 14351 887315BN8 TIME WARNER INC 6 5/ 893526BY8 TRANSCANADA PIPELINE 113771 89981 89417EAF6 TRAVELLERS COS INC S 82551 78753 90131HAN5 21ST CENTY FOX AMER 75291 65252 90131HAS4 21ST CENTY FOX AMER 64257 58224 90265EAL4 UDR INC MTN 2.950% 0 34766 33628 911596AL8 U S BANCORP 7 1/2% J 65965 64323 912810EP9 US TREAS 7.125% 02/1 469540 451366 912810EW4 US TREAS 6% 02/15/26 1084563 1014056 912810FP8 US TREAS 5.375% 02/1 912810QK7 US TREAS 3.875% 08/1 570189 704170 912810QN1 US TREAS 4.75% 02/15 502655 657728 912828D56 US TREAS 2.375% 08/1 736586 702079 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