11-K
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 11-K

FOR ANNUAL REPORTS OF EMPLOYEE STOCK PURCHASE, SAVINGS AND

SIMILAR PLANS PURSUANT TO SECTION 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

(Mark One)

x Annual report pursuant to Section 15(d) of the Securities Exchange Act of 1934

For the fiscal year ended December 31, 2015

Or

 

¨ Transition report pursuant to Section 15(d) of the Securities Exchange Act of 1934

For the transition period from              to             

Commission file number 001-5231

 

A. Full title of the plan and the address of the plan, if different from that of the issuer named below.

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

 

B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office.

McDonald’s Corporation

McDonald’s Plaza

Oak Brook, Illinois 60523

 

 


Table of Contents

McDONALD’S CORPORATION

PROFIT SHARING AND SAVINGS PLAN

FINANCIAL STATEMENTS

December 31, 2015 and 2014

CONTENTS

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

     1   

FINANCIAL STATEMENTS

  

STATEMENT OF NET ASSETS AVAILABLE FOR BENEFITS FOR AS OF DECEMBER 31, 2015

     2   

STATEMENT OF NET ASSETS AVAILABLE FOR BENEFITS FOR AS OF DECEMBER 31, 2014

     3   

STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS FOR THE YEAR ENDED DECEMBER 31, 2015

     4   

NOTES TO FINANCIAL STATEMENTS

     5   

SUPPLEMENTAL SCHEDULE

  

SCHEDULE H, LINE 4i - SCHEDULE OF ASSETS (HELD AT END OF YEAR)

     15   

SIGNATURE

     42   

EXHIBIT

     43   

EXHIBIT 23.1 – CONSENT OF CROWE HORWATH LLP

  


Table of Contents

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

McDonald’s Corporation

  Profit Sharing Administrative Committee

Oak Brook, Illinois

We have audited the accompanying statements of net assets available for benefits of the McDonald’s Corporation Profit Sharing and Savings Plan as of December 31, 2015 and 2014, and the related statement of changes in net assets available for benefits for the year ended December 31, 2015. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2015 and 2014, and the changes in net assets available for benefits for the year ended December 31, 2015 in conformity with U.S. generally accepted accounting principles.

The supplemental Schedule H, Line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2015 has been subjected to audit procedures performed in conjunction with the audit of McDonald’s Corporation Profit Sharing and Savings Plan’s financial statements. The supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the information presented in the supplemental schedule reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the supplemental schedule, we evaluated whether the supplemental schedule, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the supplemental schedule is fairly stated in all material respects in relation to the financial statements as a whole.

/s/ Crowe Horwath LLP

Oak Brook, Illinois

June 21, 2016

 

 

1.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

STATEMENT OF NET ASSETS AVAILABLE FOR BENEFITS

December 31, 2015

(Amounts in thousands)

 

 

 

 

     Participant-      ESOP         
     Directed
Investments
     Allocated
Account
    Unallocated
Account
     Total
2015
 

ASSETS

          

Investments, at fair value

          

Cash

   $ 2       $ —        $ —         $ 2   

US Treasury Securities

     20,978         —          —           20,978   

Mortgage backed securities

     24,985         —          —           24,985   

Corporate bonds

     11,104         —          —           11,104   

Mutual funds

     227,659         —          —           227,659   

American depository receipts and common stock other than McDonald’s Corporation common stock

     307,420         —          —           307,420   

McDonald’s Corporation common stock

     885,135         351,711        60,111         1,296,957   

Collective funds

     824,749         5,691        970         831,410   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total investments, at fair value

     2,302,032         357,402        61,081         2,720,515   

Investments, at contract value

     451,928         —          —           451,928   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total investments

     2,753,960         357,402        61,081         3,172,443   

Receivables

          

Company contributions

     13,548         —          —           13,548   

Accrued income

     481         —          —           481   

Pending trades due from brokers

     423         —          —           423   

Interfund receivables

     148         (148     —           —     

Participant loans

     33,311         —          —           33,311   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total receivables

     47,911         (148     —           47,763   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total assets

     2,801,871         357,254        61,081         3,220,206   

LIABILITIES

          

Management expenses payable

     695         —          —           695   

Pending trades due to brokers

     5,568         —          —           5,568   

Accrued interest expense

     —           —          301         301   

Notes payable

     —           —          9,233         9,233   

Other liabilities

     2,005         10        —           2,015   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total liabilities

     8,268         10        9,534         17,812   
  

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS AVAILABLE FOR BENEFITS

   $ 2,793,603       $ 357,244      $ 51,547       $ 3,202,394   
  

 

 

    

 

 

   

 

 

    

 

 

 

See accompanying notes to financial statements.

 

 

2.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

STATEMENT OF NET ASSETS AVAILABLE FOR BENEFITS

December 31, 2014

(Amounts in thousands)

 

 

 

 

     Participant-      ESOP         
     Directed
Investments
     Allocated
Account
    Unallocated
Account
     Total
2014
 

ASSETS

          

Investments, at fair value

          

US Treasury securities

   $ 31,582       $ —        $ —         $ 31,582   

Mortgage backed securities

     16,519         —          —           16,519   

Corporate bonds

     7,006         —          —           7,006   

Mutual funds

     274,031         —          —           274,031   

American depository receipts and common stock other than McDonald’s Corporation common stock

     335,716         —          —           335,716   

McDonald’s Corporation common stock

     763,217         312,045        83,480         1,158,742   

Collective funds

     889,944         5,161        1,586         896,691   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total investments, at fair value

     2,318,015         317,206        85,066         2,720,287   

Investments, at contract value

     456,327         —          —           456,327   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total investments

     2,774,342         317,206        85,066         3,176,614   
  

 

 

    

 

 

   

 

 

    

 

 

 

Receivables

          

Company contributions

     14,678         —          —           14,678   

Accrued income

     541         —          —           541   

Pending trades due from brokers

     5,281         —          —           5,281   

Other receivables

     25         —          —           25   

Interfund receivables

     76         (76     —           —     

Participant loans

     34,349         —          —           34,349   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total receivables

     54,950         (76     —           54,874   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total assets

     2,829,292         317,130        85,066         3,231,488   

LIABILITIES

          

Management expenses payable

     671         —          —           671   

Pending trades due to brokers

     14,322         —          —           14,322   

Accrued interest expense

     —           —          521         521   

Notes payable

     —           —          15,971         15,971   

Other liabilities

     2,215         220        —           2,435   
  

 

 

    

 

 

   

 

 

    

 

 

 

Total liabilities

     17,208         220        16,492         33,920   
  

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS AVAILABLE FOR BENEFITS

   $ 2,812,084       $ 316,910      $ 68,574       $ 3,197,568   
  

 

 

    

 

 

   

 

 

    

 

 

 

See accompanying notes to financial statements.

 

 

3.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

Year ended December 31, 2015

(Amounts in thousands)

 

 

 

     Participant-     ESOP        
     Directed
Investments
    Allocated
Account
     Unallocated
Account
    Total
2015
 

Additions to net assets attributed to:

         

Net appreciation in fair value of investments

   $ 162,117      $ 75,527       $ 14,171      $ 251,815   

Interest Income

     11,380        4         —          11,384   

Dividends

     34,206        10,767         2,268        47,241   

Revenue Sharing

     80        —           —          80   

Commission recapture

     5        —           —          5   
  

 

 

   

 

 

    

 

 

   

 

 

 

Net investment income

     207,788        86,298         16,439        310,525   

Contributions

         

Company

     39,027        15,130         4,870        59,027   

Participant

     52,277        —           —          52,277   

Rollovers

     3,631        —           —          3,631   
  

 

 

   

 

 

    

 

 

   

 

 

 

Total contributions

     94,935        15,130         4,870        114,935   

Interfund transfers-in

     30,696        —           —          30,696   

Participant loan interest income

     1,335        —           —          1,335   

Other

     102        —           —          102   
  

 

 

   

 

 

    

 

 

   

 

 

 

Total net additions

     334,856        101,428         21,309        457,593   
  

 

 

   

 

 

    

 

 

   

 

 

 

Deductions from net assets attributed to:

         

Benefits paid to terminated participants and withdrawals

     349,902        30,342         —          380,244   

Management and administrative expenses

     3,346        56         —          3,402   

Interfund transfers-out

     —          30,696         —          30,696   

Interest expense

     —          —           796        796   

Company matching with profit sharing forfeitures

     89        —           —          89   

Company matching with ESOP shares

     —          —           37,540        37,540   
  

 

 

   

 

 

    

 

 

   

 

 

 

Total deductions

     353,337        61,094         38,336        452,767   
  

 

 

   

 

 

    

 

 

   

 

 

 

Net increase/decrease

     (18,481     40,334         (17,027     4,826   

Net assets available for benefits

         

Beginning of year

     2,812,084        316,910         68,574        3,197,568   
  

 

 

   

 

 

    

 

 

   

 

 

 

End of year

   $ 2,793,603      $ 357,244       $ 51,547      $ 3,202,394   
  

 

 

   

 

 

    

 

 

   

 

 

 

See accompanying notes to financial statements.

 

 

4.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 1 - DESCRIPTION OF PLAN

General: The McDonald’s Corporation Profit Sharing and Savings Plan (the Plan) was amended and restated in its entirety as of January 1, 2015. The Plan has been amended one time subsequent to this date, on December 10, 2015.

The Plan is administered by a committee of officers (Administrative Committee) appointed by the Chief Executive Officer of McDonald’s Corporation (the Company or McDonald’s). Participants should refer to the Summary Plan Description and Prospectus for a complete description and up-to-date information.

Eligibility: In order to participate in the 401(k) feature of the Plan, all eligible employees must be at least 21 years of age, have a valid Social Security number, and be on the U.S. payroll of the Company or a participating employer. The term “Company” includes McDonald’s Corporation and all participating employers in describing eligibility and contributions below.

Restaurant management employees and staff employees (including part-time staff employees) are eligible to make 401(k) contributions, up to 50% of eligible compensation, beginning the first day of the month after completing one full calendar month of employment. All other employees are eligible to make 401(k) contributions after one year of eligibility service as defined by the Plan document. Restaurant management employees, who are not contributing to the Plan, are enrolled automatically at a 1% contribution level as soon as they have completed one year of service and attained age 21. Matching contributions are provided to eligible employees after one year of eligibility service as defined by the Plan document.

Contributions: Each year, participants may contribute up to 50% of their eligible pre-tax annual compensation, as defined by the Plan subject to Internal Revenue Service (IRS) annual limits. Highly compensated employees under IRS rules are not able to make 401(k) contributions in their second calendar year of employment until the first of the month on or after they complete one anniversary year with at least 1,000 hours of service under the Plan.

Participants who have attained age 50 before the end of the Plan year are eligible to make catch-up contributions subject to IRS limits, and in addition, may contribute more than 50% if payroll tax and other withholding requirements are met. In accordance with Plan procedures, participants may roll over money into the Plan if it is from a: Qualified Plan, Section 403(b) tax-sheltered annuity plan, Section 457 deferred compensation plan of a state or local government entity, SIMPLE 401(k) plan, Section 403(a) annuity plan, Traditional IRA, SIMPLE IRA with at least two years participation, IRA set up to receive a distribution from an eligible employer plan or Federal thrift plan under section 7701(j).

Participants direct the investment of their contributions and Company contributions into various investment options offered by the Plan. The investment funds under the Plan are Stable Value Fund, Intermediate Bond Fund, Global Bond Fund, Blended Stock/Bond Fund, Diversified Stock Fund, S&P 500 Index Fund, International Stock Fund, International Stock Index Fund, Real Estate Securities Fund, Small Cap Index Fund, Aggressive Stock Fund, McDonald’s Common Stock Fund, and the McDonald’s ESOP Stock Fund. No more than 20% of a participant’s future 401(k) contributions may be invested in the McDonald’s Common Stock Fund.

The Company matches (after one year of eligibility service and attainment of age 21) 300% of the first 1% of eligible compensation (as defined by the Plan) and 100% of the next 4% of eligible compensation that a participant contributes to the Plan. ESOP shares, to the extent available, are used to make matching contributions.

A discretionary profit-sharing match may be contributed at the option of the Compensation Committee of the Board of Directors of the Company (the Board). For the year ended December 31, 2015, the Board approved a 2% discretionary profit sharing match to the Plan. The discretionary match was contributed after the end of the year, and allocated to participants eligible to share in matching contributions based on participant 401(k) contributions up to 1% of eligible compensation.

 

 

(Continued)

5.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 1 - DESCRIPTION OF PLAN (Continued)

 

Participant Accounts: Participants can elect, on a daily basis, to have their account balances, as well as future deferrals and Company contributions, invested in 1% increments in one or any combination of the Plan’s investment funds, including Company stock. A participant may change how his/her existing account balance is invested at any time, but a participant may not transfer any amount into and out of the same fund more than two times within any rolling 90 day period. Participants are always able to transfer out of any fund into the Stable Value Fund even if they exceed this limit. For participants who are automatically enrolled, all contributions to the plan, both participant and company contributions, are invested in the Blended Stock/Bond Fund and after 30 days are managed by Guided Choice, a managed account provider, unless the participant makes an investment election.

Each participant’s account is credited with the participant’s contribution and allocations of (a) the Company’s matching contribution and discretionary profit sharing match (if any) and (b) Plan earnings, and charged with an allocated portion of investment expenses. Allocations are based on participant earnings or account balances as defined in the Plan.

Leveraged Employee Stock Ownership Plan (Leveraged ESOP): In September 1989, the Leveraged ESOP borrowed $200 million and used the proceeds of the loan to purchase 27,826,084 shares of McDonald’s Series B Convertible Preferred Stock. The Preferred shares were redeemed by the Company for Common Stock in 1992 and 1995. In April 1991, the leveraged ESOP borrowed $100 million to purchase 12,075,468 shares of McDonald’s Series C Convertible Preferred Stock, which were redeemed by the Company for Common Stock in 1995.

The Company is required to make sufficient cash contributions to the Plan to pay the principal and interest on the loans. Released ESOP shares are used to make matching Company allocations. The ESOP shares allocated to participant accounts are held by The Northern Trust Company (Northern Trust), the trustee of the Plan (Trustee). The unallocated ESOP shares are also held at Northern Trust as collateral for loans from the Company to the Plan. Unallocated ESOP dividends are invested in an interest-bearing account until the note payment is due. In 1999, the Leveraged ESOP loans were refinanced as discussed in Note 5, so that the last loan payment and allocation of ESOP Common Stock will occur in 2018.

During 2015, 382,121 shares were released from the unallocated ESOP shares with a fair value of approximately $37,540,000.

Vesting: All participants’ accounts under the Plan are 100% vested.

Diversification: All participants can elect to fully diversify all accounts in the Plan.

Loans: Participants may borrow from their fund accounts a minimum of $1,000 up to a maximum equal to the lesser of $50,000 or 50% of their vested balance reduced by the participants’ highest outstanding loan balance during the preceding 12-month period. All loans are currently subject to a $75 processing fee. Loan terms range from 12 months up to 4.5 years. Participants may not have more than one loan from the Plan outstanding at any time. The loans are secured by the balance in the participant’s account and bear interest based on the prime rate in effect on the first day of the month in which the loan is requested, plus 1%. Principal and interest are paid ratably through payroll deductions.

Payment of Benefits: Participants who terminate their employment with the Company and all other companies or entities that are owned or controlled 80% or more by the Company are entitled to receive the balance in their Plan accounts within a reasonable time following their termination. A terminated participant with benefits in excess of $1,000 will not receive a distribution from the Plan until age 70 1/2 unless an earlier distribution is elected.

 

 

(Continued)

6.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 1 - DESCRIPTION OF PLAN (Continued)

 

Such accounts will continue to share in the allocation of investment income, and accounts will continue to be invested in accordance with the participant’s investment elections (See Note 1, Contributions). Distributions may be in the form of a lump sum or installment payments or a combination of lump sum and installment payments.

Participants who terminate employment after satisfying the requirements to make deferrals and are subsequently rehired can resume making deferrals as soon as administratively feasible.

Forfeitures: Amounts unclaimed for two years are considered forfeitures. These forfeitures, resulting from unclaimed amounts, are used to make a portion of the Company contribution.

In-Service Withdrawals: Participants 59 1/2 or older and terminated participants may withdraw all or any part of their account balances under the Plan at any time. Participants may also withdraw up to 100% of their ESOP, Profit Sharing, Investment Savings, Stock Sharing, and Rollover accounts at any time.

Pass Through Dividend Election: Participants may choose whether dividends earned on shares of McDonald’s common stock will be paid directly to them in cash or reinvested in their accounts in McDonald’s stock.

Voting: Participants may direct the Trustee to vote shares of McDonald’s stock credited to their accounts as well as those shares not voted by other participants and unallocated shares held in the ESOP feature of the Plan.

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting: The financial statements of the Plan are prepared on the accrual basis of accounting.

Use of Estimates: The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires the Administrative Committee to make estimates and assumptions that affect the reported amounts of assets, liabilities, and changes therein, and disclosure of contingent assets and liabilities. Actual results could differ from those estimates.

Reclassifications: Certain amounts have been reclassified to conform to the current year presentation.

Adoption of New Accounting Standards: In May and July 2015, the Financial Accounting Standards Board (FASB) amended existing guidance related to the measurement and reporting disclosure of fully benefit-responsive investment contracts (FBRICs) and certain investment disclosures. The new guidance requires FBRICs to be measured, presented, and disclosed only at contract value. Adoption of the new guidance resulted in removal of FBRICs and investments for which fair value is measured at net asset value (or its equivalent) from the fair value hierarchy, the reporting of investments within the fair value hierarchy by general type rather than by classes of investments, and other changes in investment disclosure requirements. The new guidance also eliminates the need to disclose individual investments with a value equal to or greater than 5% of net assets available for benefits and simplifies the disclosure of net appreciation or depreciation in fair value of investments. The Plan elected early adoption of these standards, each of which requires retrospective application to all periods presented. The adoption of these standards had no effect on the Plan’s net assets available for benefits or changes therein. However, Investments at fair value of $456,327,000 from the amount previously reported as of December 31, 2014, were reclassified as investments at contract value and therefore, no adjustment from fair value to contract value is necessary.

 

 

(Continued)

7.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)

 

Investment Valuation: Other than fully benefit-responsive investment contracts which are valued at contract value, the Plan’s investments are reported at fair value. Purchases and sales of securities are recorded on a trade-date basis. Interest income is recorded on the accrual basis. Dividends are recorded on the ex-dividend date.

Fair value is the price that would be received by the Plan for an asset or paid by the Plan to transfer a liability (an exit price) in an orderly transaction between market participants on the measurement date in the Plan’s principal or most advantageous market for the asset or liability. Fair value measurements are determined by maximizing the use of observable inputs and minimizing the use of unobservable inputs when measuring fair value. The hierarchy places the highest priority on unadjusted quoted market prices in active markets for identical assets or liabilities (level 1 measurements) and gives the lowest priority to unobservable inputs (level 3 measurements). The three levels of inputs within the fair value hierarchy are defined as follows:

 

   

Level 1: Quoted prices (unadjusted) for identical assets or liabilities in active markets that the Plan has the ability to access as of the measurement date.

 

   

Level 2: Significant other observable inputs other than level 1 prices such as quoted prices for similar assets or liabilities; quoted prices in markets that are not active; or other inputs that are observable or can be corroborated by observable market data.

 

   

Level 3: Significant unobservable inputs that reflect the Plan’s own assumptions about the assumptions that market participants would use in pricing an asset or liability.

In some cases, a valuation technique used to measure fair value may include inputs from multiple levels of the fair value hierarchy. The lowest level of significant input determines the placement of the entire fair value measurement in the hierarchy.

The following are descriptions of the valuation methods and assumptions used for investments of the Plan.

Cash: Interest Bearing Cash held at Northern Trust is valued at quoted market prices (level 1 inputs).

U.S. Treasury securities: Fair values of U.S. Treasury bonds reflect the closing price reported in the active market in which the security is traded (level 1 inputs).

Mortgage-backed securities: Mortgage-backed securities (MBS) are types of asset-backed securities that are secured by a mortgage, or more commonly a collection (“pool”) of mortgages. The mortgages are sold to a group of individuals (a government agency or investment bank) that “securitizes”, or packages, the loans together into a security that can be sold to investors. The mortgages of MBS may be residential or commercial, depending on whether it is an Agency MBS or a Non-Agency MBS. The structure of an MBS may be known as “pass-through”, where the interest and principal payments from the borrower or homebuyer pass through it to the MBS holder, or it may be more complex, made up of a pool of other MBSs. Other types of MBS include collateralized mortgage obligations (CMO’s, often structured as real estate mortgage investment conduits) and collateralized debt obligations (CDOs). These are classified within level 2 of the fair value hierarchy. Fair value is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral.

 

 

(Continued)

8.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)

 

Corporate bonds: Corporate bonds are debt securities issued by corporations and sold to investors and are valued using recently executed transactions, market price quotations (where observable), bond spreads or credit default swap spreads. When observable price quotations are not available, fair value is determined based on cash flow models with yield curves, bond, or single-name credit default swap spreads and recovery rates based on collateral values as key inputs. Corporate bonds are categorized within level 2 of the fair value hierarchy.

Mutual funds: The fair values of mutual funds are valued at the daily closing price as reported by the fund. Mutual funds held by the Plan are open-end mutual funds that are registered with the Securities and Exchange Commission (level 1 inputs). These funds are required to publish their daily net asset value (“NAV”) and to transact at that price. The mutual funds held by the Plan are deemed to be actively traded.

American Depository Receipts, Common Stocks including McDonald’s common stock: The fair values of American Depository Receipts (ADR) and publicly traded common stocks are determined by obtaining quoted prices on nationally recognized securities exchanges (level 1 inputs).

Collective trusts: The fair values of investments in collective trusts are valued as determined by the custodian based on their net asset values and recent transaction prices. The investment objectives and underlying investments of the collective trusts vary, with some holding short term investments for principal preservation, diversified portfolios of domestic or international stocks, some holding securities of companies in a particular industry sectors, some holding short-term and/or medium-term corporate, government and government agency bonds, some holding a blend of asset back securities and corporate bonds, and others holding a blend of various domestic and international stocks. Each collective trust provides for daily redemptions by the Plan at reported net asset values per share, with no advance notice requirement.

 

 

(Continued)

9.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)

 

Investments measured at fair value on a recurring basis as of December 31, 2015 and 2014 are summarized below (amounts in thousands):

 

     Assets at Fair Value as of December 31, 2015  
     (Level 1)      (Level 2)      (Level 3)      Total  

Investment Type

           

Cash

   $ 2       $ —         $ —         $ 2   

US Treasury Securities

     20,978         —           —           20,978   

Mortgage-backed securities

     —           24,985         —           24,985   

Corporate bonds

     —           11,104         —           11,104   

Mutual Funds

     227,659         —           —           227,659   

ADR & common stock, other than McDonald’s Corp.

     307,420         —           —           307,420   

McDonald’s Corp. common stock

     1,296,957         —           —           1,296,957   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets in the fair value hierarchy

     1,853,016         36,089         —           1,889,105   

Investments measured at net asset value (a)

           

Collective Trusts

     —           —           —           831,410   
  

 

 

    

 

 

    

 

 

    

 

 

 

Investments at fair value

   $ 1,853,016       $ 36,089       $ —         $ 2,720,515   
  

 

 

    

 

 

    

 

 

    

 

 

 
     Assets at Fair Value as of December 31, 2014  
     (Level 1)      (Level 2)      (Level 3)      Total  

Investment Type

           

US Treasury securities

   $ 31,582       $ —         $ —         $ 31,582   

Mortgage-backed securities

     —           16,519         —           16,519   

Corporate bonds

     —           7,006         —           7,006   

Mutual Funds

     274,031         —           —           274,031   

ADR & common stock, other than McDonald’s Corp.

     335,716         —           —           335,716   

McDonald’s Corp. common stock

     1,158,742         —           —           1,158,742   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total assets in the fair value hierarchy

     1,800,071         23,525         —           1,823,596   

Investments measured at net asset value (a)

           

Collective Trusts

     —           —           —           896,691   
  

 

 

    

 

 

    

 

 

    

 

 

 

Investments at fair value

   $ 1,800,071       $ 23,525       $ —         $ 2,720,287   
  

 

 

    

 

 

    

 

 

    

 

 

 

 

(a) In accordance with Subtopic 820-10, certain investments that were measured at net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the line items presented in the statement of net assets available for benefits.

 

 

(Continued)

10.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)

 

Participant Loans: Participant loans are reported at their unpaid principal balance plus any accrued but unpaid interest, with no allowance for credit losses, as repayments of principal and interest are received through payroll deductions and the notes are collateralized by the participants’ account balances.

Fair Value of Long-Term Debt: The fair value of the Plan’s long-term debt is estimated based on the current rates available to the Plan for debt of the same remaining maturities (level 2). As of December 31, 2015, the estimated fair value and carrying value of the Plan’s long-term debt was $10,145,000 and $9,233,000 respectively. As of December 31, 2014, the estimated fair value and carrying value of the Plan’s long-term debt was $17,929,000 and $15,971,000, respectively.

Unallocated Net Assets Available for Benefits: Unallocated net assets available for benefits represents the fair value of shares of McDonald’s common stock purchased through the ESOP which have not been released for allocation to participants’ accounts offset by the balance of the debt issued by the ESOP. Unallocated net assets available for benefits are reduced by the fair value of the shares as they are allocated to participants as Company matching contributions.

Payment of Benefits: Benefits are recorded at the time of payment.

NOTE 3 - FULLY BENEFIT RESPONSIVE INVESTMENT CONTRACTS

The Plan investments include a Stable Value Fund, managed by JPMorgan, which is a unitized fund established solely for the investment of assets of the Plan. The account is credited with earnings on the underlying investments and charged for Plan withdrawals and administrative expenses. The Stable Value Fund holds synthetic guaranteed investment contracts, with collective funds, US treasuries, mortgage-backed securities, corporate bonds and short-term investments as underlying investments. At December, 31, 2014, the Stable Value fund consisted of synthetic guaranteed investment contracts with collective funds as underlying investments. These synthetic investment contracts are included in the financial statements at contract value. Contract value represents contributions made under the contracts, plus earnings, less participant withdrawals and administrative expenses.

The wrapper contracts within the Stable Value Fund specify certain conditions under which distributions from the contracts would be payable at amounts below contract value. Such circumstances include the termination of the Plan, a material adverse change to the provisions of the Plan, if the employer elects to withdraw from a wrapper contract in order to switch to a different investment provider, or if the terms of a successor plan (in the event of the spin-off or sale of a division) do not meet the wrapper contract issuer’s underwriting criteria for issuance of a clone wrapper contract. The contracts limit the circumstances under which the issuer may terminate the contracts. Examples of circumstances which would allow the issuer to terminate the contracts include the Plan’s loss of its qualified status, un-cured material breaches of responsibilities, or material and adverse changes to the provisions of the Plan. If one of these events were to occur, the issuer could terminate the contracts at the market value of the underlying investments. Currently, the occurrence of an event that would cause the Plan to transact contract distributions at less than contract value is not probable.

The crediting interest rates of the contracts are based on agreed-upon formulas with the issuers, as defined in the contract agreements, but cannot be less than zero. The interest rates are reviewed on a quarterly basis for resetting. The key factors that influence future interest crediting rates could include the following: the level of market interest rates; the amount and timing of participant contributions; transfers and withdrawals into/out of the contracts; and the duration of the underlying investments backing the contracts.

 

 

(Continued)

11.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 4 - NONPARTICIPANT-DIRECTED INVESTMENTS

The nonparticipant directed net assets of the Plan and changes therein consist of those reflected in the financial statements as “ESOP – Unallocated Account.”

NOTE 5 - NOTES PAYABLE

In September 1989, the Leveraged ESOP issued $200 million of 7.67% Guaranteed ESOP Notes, Series A, for 15 years with a final maturity of September 15, 2004. In April 1991, the Leveraged ESOP issued $100 million of 7.30% Guaranteed ESOP Notes, Series B, for 15 years with a final maturity of June 1, 2006. In November 1999, the Leveraged ESOP refinanced the outstanding debt for 19 years with a final maturity of July 15, 2018.The remaining outstanding ESOP Notes are loans directly between the ESOP and the Company. Principal and interest payments are made according to the applicable loan schedules. Dividends on the converted common stock and Company contributions are used to repay the loans.

The ESOP debt is collateralized by unallocated shares of McDonald’s common stock, valued at $60,111,297 at December 31, 2015. The Company has no recourse against the assets of the ESOP, except for such collateralized shares, cash contributions to ESOP, and earnings attributable to such collateralized shares or contributions. The unallocated shares of McDonald’s common stock may be released from collateral under certain circumstances without the consent of the Company.

Following are maturities of the ESOP debt for each of the next three years (amounts in thousands):

 

     Series A
Notes
     Series B
Notes
     Total  

2016

   $ 2,721       $ 1,371       $ 4,092   

2017

     1,962         988         2,950   

2018

     1,457         734         2,191   
  

 

 

    

 

 

    

 

 

 

Total over remaining life of notes

   $ 6,140       $ 3,093       $ 9,233   
  

 

 

    

 

 

    

 

 

 

NOTE 6 - PLAN TERMINATION

Although it has not expressed any intent to do so, the McDonald’s Corporation has the right under the Plan to allow an employer to discontinue its contributions at any time and the Company may terminate the Plan subject to the provisions of the Employee Retirement Income Security Act of 1974 (ERISA).

NOTE 7 - ADMINISTRATIVE FEES

The investment managers’ fees applicable to each investment fund are netted against the related investment income before investment income is allocated to participants’ accounts. Fees for managed account services provided by an independent third-party are charged directly to participant accounts only for individuals that use this service. Revenue sharing received from investments in mutual funds is returned to participants invested in those funds. Administrative fees associated with the Plan are paid by the Company.

 

 

(Continued)

12.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 8 - INCOME TAX STATUS

The Internal Revenue Service has determined and informed the Company by letter dated September 24, 2013, that the Plan and related trust are designed, including amendments adopted through October 18, 2012, in accordance with applicable sections of the Internal Revenue Code (IRC). Although the Plan has been amended and restated, effective January 1, 2015, to reflect the change to a corporate trustee, Plan management believes that the Plan is designed and being operated in compliance with the applicable requirements of the IRC. Therefore, they continue to believe that the Plan is qualified and the related trust was tax-exempt as of the financial statement date.

Accounting principles generally accepted in the United States of America require plan management to evaluate tax positions taken by the Plan. Plan management has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2015 and 2014, there are no uncertain positions taken or expected to be taken that would require recognition of a liability (or asset) or disclosure in the financial statements. The plan is subject to routine audits by taxing authorities; however, there are currently no audits for any tax periods in progress.

NOTE 9 - TRANSACTIONS WITH PARTIES IN INTEREST

During 2015, the Plan received $39,468,951 in common stock dividends from the Company. The Leveraged ESOP loan discussed in Note 5, is intended to be an exempt loan under Section 408(b)(3) of ERISA and Section 4975(d)(3) of the IRC.

During 2015, fees totaling $3,402,000 were paid by the Plan to the managers of the investments held in the Plan and an advisor to Plan participants. These transactions qualify as party-in-interest transactions.

Certain Plan assets are held in participant loans or investments issued by Northern Trust, therefore these transactions qualify as party-in-interest. The Plan holds investments issued by various investment managers of the Plan; these qualify as party-in-interest. A portion of the Plan’s assets are also invested in Company stock.

Certain administrative functions are performed by officers or employees of the Company. No such officer or employee receives compensation from the Plan.

NOTE 10 - RISKS AND UNCERTAINTIES

The Plan invests in various investment securities. Investment securities are exposed to various risks such as interest rate, market, liquidity and credit risks. Due to the level of risk associated with certain investment securities, it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect participants’ account balances and the amounts reported in the statements of net assets available for benefits.

NOTE 11 - FORM 5500 RECONCILIATION

Following is a reconciliation of net assets available for benefits per the financial statements at December 31, 2015 and 2014 to net assets per the Form 5500 (amounts in thousands):

 

      2015      2014  

Net assets available for benefits per the financial statements

   $ 3,202,394       $ 3,197,568   

Adjustment from contract value to fair value for fully benefit responsive investment contracts

     (3,569      1,238   
  

 

 

    

 

 

 

Net assets per the Form 5500

   $ 3,198,825       $ 3,198,806   
  

 

 

    

 

 

 

 

 

(Continued)

13.


Table of Contents

McDONALD’S CORPORATION PROFIT SHARING AND SAVINGS PLAN

NOTES TO FINANCIAL STATEMENTS

December 31, 2015 and 2014

 

 

 

NOTE 11 - FORM 5500 RECONCILIATION (Continued)

 

Following is a reconciliation of the increase (decrease) in net assets available for benefits per the financial statements for the year ended December 31, 2015, to the net income per the Form 5500 (amounts in thousands):

 

Increase in net assets available for benefits per the financial statements

   $ 4,826   

Change in the adjustment from contract value to fair value for fully benefit responsive investment contracts at December 31, 2015

     (4,807
  

 

 

 

Net income per the Form 5500

   $ 19   
  

 

 

 

NOTE 12 - SUBSEQUENT EVENTS

Effective January 1, 2016, Fiduciary Counselors will act as independent fiduciary to oversee certain aspects of the McDonald’s Common Stock Fund and the McDonald’s ESOP Stock Fund, under the Plan. Fees for Fiduciary Counselors are netted against the related investment income for McDonald’s Stock for individuals who invest in company shares.

For QDROs (Qualified Domestic Relations Order) received on or after January 1, 2016 there will be a QDRO review and processing fee of $550 for each QDRO. The $550 fee will be subtracted from the divorced participant’s account unless the QDRO states the fee is to be split between the participant and the alternate payee.

 

 

(Continued)

14.


Table of Contents

 

 

 

MCDONALD’S CORPORATION, EIN 36-2361282

MCDONALD’S CORPORATION PROFIT SHARING and SAVINGS PLAN, PLAN NUMBER 001

PLAN YEAR END DECEMBER 31, 2015

FORM 5500, SCHEDULE H, LINE 4I - SCHEDULE OF ASSETS HELD AT END OF YEAR

 

(a)   (b) (c)   (d)   (e)  
   

IDENTITY OF ISSUER/DESCRIPTION

  COST**   MARKET VALUE  
 

CORPORATE COMMON STOCKS & AMERICAN DEPOSITORY RECEIPTS

   
 

8X8 INC NEW COM

      80,585.10   
 

ABBOTT LAB COM

      1,454,589.99   
 

ACETO CORP COM

      65,912.14   
 

ADOBE SYS INC COM

      2,017,831.20   
 

ADR ALIBABA GROUP HLDG LTD-SP A

      1,544,373.81   
 

ADR ARM HLDGS PLC SPONSORED ADR

      905,342.88   
 

ADR AXA SA SPONSORED ADR

      373,122.90   
 

ADR BASF AKTIENGESELLSCHAFT - LEVEL I

      690,596.28   
 

ADR BHP BILLITON LTD SPONSORED ADR

      746,524.80   
 

ADR BRIT AMERN TOB PLC SPONSORED COM STK

      1,139,733.55   
 

ADR CONTROLADORA VUELA COMPANIA DE AVIACION SPONSORED ADR REPSTG 10 CPOS

      109,240.56   
 

ADR GRUPO TELEVISA SA DE CV SPONSORED ADR REPSTG ORD PARTN SPONS ADR

      1,551,786.30   
 

ADR INDUSTRIA DE DISENO TEXTIL INDITEX SA ADR ADR

      1,857,859.50   
 

ADR JD COM INC SPONSORED ADR REPSTG COM CL A

      594,321.30   
 

ADR NESTLE S A SPONSORED ADR REPSTG REG SH

      1,262,014.36   
 

ADR NOVARTIS AG

      4,423,746.60   
 

ADR NOVO-NORDISK A S ADR

      1,043,291.04   
 

ADR RIO TINTO PLC SPONSORED ADR

      983,906.56   
 

ADR SILICON MOTION TECHNOLOGY CORP SPONSORED ADR REPSTG SHS

      76,455.68   
 

ADR SOUTH32 LTD SPONSORED ADR

      44,238.74   
 

ADR TENARIS S A SPONSORED ADR

      782,901.00   
 

ADR TENCENT HLDGS LTD ADR

      1,873,356.84   
 

ADR TEVA PHARMACEUTICAL INDS

      2,251,452.00   
 

ADR UNILEVER N V NEW YORK SHS NEW

      1,058,264.28   
 

ADR VALE S A ADR

      144,434.29   
 

ADR VODAFONE GROUP PLC NEW SPONSORED ADRNO PAR

      2,370,755.14   
 

ADR YARA INTL ASA SPONSORED ADR

      87,303.68   
 

AEGION CORP 10

      1,914,972.70   
 

AGCO CORP COM

      1,679,656.95   
 

AGRIUM INC COM

      167,065.80   

 

 

15.


Table of Contents

 

 

 

  

ALEXION PHARMACEUTICALS INC COM

        1,775,310.25   
  

ALLEGION PLC COMMON STOCK

        429,930.24   
  

ALLERGAN PLC. COMMON STOCK

        6,309,687.50   
  

ALLY FINL INC COM

        2,892,555.20   
  

ALON USA ENERGY INC COM STK

        546,112.00   
  

ALPHABET INC CAP STK CL A CAP STK CL A

        2,745,597.29   
  

ALPHABET INC CAP STK CL C CAP STK CL C

        2,801,026.08   
  

AMAZON COM INC COM

        4,905,609.62   
  

AMERICAN EXPRESS CO

        3,093,584.00   
  

AMERICAN TOWER CORP

        3,500,961.45   
  

AMERIPRISE FINL INC COM

        3,020,731.70   
  

AMERISAFE INC COM

        894,822.00   
  

AMERN WOODMARK CORP COM

        47,588.10   
  

AMN HEALTHCARE SVCS INC COM

        88,150.95   
  

AMSURG CORP COM

        1,783,340.00   
  

APPLE INC COM STK

        8,233,647.72   
  

APPLIED MICRO CIRCUITS CORP COM NEW STK

        26,206.18   
  

ARGAN INC COM

        64,994.40   
  

ARGO GROUP INTERNATIONAL HOLDINGS COM STK

        813,824.00   
  

ASSOCTD BANC-CORP COM

        953,156.25   
  

ATLAS FINANCIAL HLDGS INC COM

        106,086.90   
  

ATLASSIAN CORPORATION PLC COM USD0.1 CL A

        40,247.04   
  

ATRICURE INC COM STK

        84,957.84   
  

AUTOBYTEL INC COM NEW

        123,312.96   
  

AVINGER INC COM

        130,809.60   
  

AVISTA CORP COM ISIN # US05379B1070

        604,650.15   
  

BARNES GROUP INC COM

        919,963.05   
  

BASSETT FURNITURE INDS INC COM STK

        55,652.52   
  

BBCN BANCORP INC COM

        586,168.80   
  

BIOGEN INC COMMON STOCK

        1,426,671.95   
  

BIOMARIN PHARMACEUTICAL INC COM ISIN CH0008107010

        232,043.40   
  

BLUEPRINT MEDICINES CORP COM

        133,385.76   
  

BNC BANCORP COM STK

        73,069.02   
  

BOEING CO COM

        4,940,061.94   
  

BRINKER INTL INC COM

        712,776.75   
  

BRINKS CO COM

        1,702,884.30   
  

BRISTOL MYERS SQUIBB CO COM

        2,155,465.86   
  

BROOKFIELD ASSET MGMT INC VOTING SHS CL A VOTING SHS CL A

        436,848.15   
  

BROOKS AUTOMATION INC COM

        1,258,424.40   
  

CALAMOS ASSET MGMT INC CL A COM STK

        517,880.00   
  

CALAMP CORP COM

        64,513.41   
  

CALATLANTIC GROUP INC COM

        883,536.00   

 

 

16.


Table of Contents

 

 

 

  

CALAVO GROWERS INC COM

        48,657.00   
  

CALLIDUS SOFTWARE INC COM STK

        165,737.25   
  

CALLON PETE CO DEL COM

        42,534.00   
  

CANADIAN NATL RY CO COM

        1,788,607.04   
  

CANADIAN PAC RY LTD COM NPV

        1,623,327.20   
  

CARBO CERAMICS INC COM

        566,224.00   
  

CARROLS RESTAURANT GROUP INC COM

        80,771.20   
  

CDN NAT RES LTD COM CDN NAT RES COM STK

        574,740.24   
  

CELGENE CORP COM

        2,098,195.20   
  

CENTENE CORP DEL COM

        1,835,111.85   
  

CERUS CORP COM

        39,860.24   
  

CEVA INC COM

        117,454.08   
  

CHEGG INC COM

        45,427.50   
  

CHEROKEE INC DEL NEW COM

        81,351.00   
  

CHEVRON CORP COM

        4,674,321.60   
  

CHICAGO BRDG & IRON CO N V COM NV

        2,172,132.90   
  

CHUYS HOLDINGS INC COM USD0.01

        117,211.60   
  

CITIGROUP INC COM NEW COM NEW

        3,656,862.00   
  

CNO FINL GROUP INC COM

        1,557,457.65   
  

COGNEX CORP COM

        1,629,402.50   
  

COLUMBIA SPORTSWEAR CO COM

        787,961.60   
  

COMCAST CORP NEW-CL A

        2,952,417.60   
  

COMFORT SYS USA INC COM

        83,441.12   
  

COML METALS CO COM

        618,788.00   
  

CONCHO RES INC COM STK

        695,985.70   
  

CORE LABORATORIES NV NLG0.03

        574,582.16   
  

COSTCO WHOLESALE CORP NEW COM

        1,702,048.50   
  

COWEN GROUP INC NEW CL A CL A

        892,390.00   
  

CPI CARD GROUP INC FORMERLY CPI HLDGS I INC TO 08/07/2015 COM

        46,232.42   
  

CROSS CTRY HEALTHCARE INC COM

        111,599.51   
  

CROWN CASTLE INTL CORP NEW COM

        2,219,171.50   
  

CUBIC CORP COM

        858,060.00   
  

CVB FINL CORP COM

        1,382,787.00   
  

DARLING INGREDIENTS INC COMSTK

        1,893,600.00   
  

DELTA AIR LINES INC DEL COM NEW COM NEW

        1,801,522.60   
  

DERMIRA INC COM

        54,510.75   
  

DIAGEO PLC SPONSORED ADR NEW

        1,072,158.10   
  

DIEBOLD INC COM

        1,556,555.70   
  

DIMENSION THERAPEUTICS INC COM

        35,791.44   
  

DISCOVERY COMMUNICATIONS INC NEW COM SERC COM SER C

        1,820,379.60   
  

DOLLAR GEN CORP NEW COM

        1,467,585.40   
  

DULUTH HLDGS INC COM CL B COM CL B

        48,716.01   

 

 

17.


Table of Contents

 

 

 

  

DYNAVAX TECHNOLOGIES CORP COM NEW COM NEW

        121,259.04   
  

EAST WEST BANCORP INC COM

        555,241.60   
  

EATON CORP PLC COM USD0.50

        910,700.00   
  

ENSCO PLC SHS CLASS A COM

        224,847.90   
  

EOG RESOURCES INC COM

        398,830.86   
  

EXELIXIS INC COM STK

        38,955.48   
  

EXLSERVICE COM INC COM STK

        76,695.51   
  

EXPRESS SCRIPTS HLDG CO COM

        1,839,980.50   
  

F N B CORP PA COM

        976,488.00   
  

FACEBOOK INC CL A CL A

        4,243,963.00   
  

FINISH LINE INC CL A

        605,680.00   
  

FIVE PRIME THERAPEUTICS INC COM

        143,424.00   
  

FLEXION THERAPEUTICS INC COM

        124,060.26   
  

FLOTEK INDS INC DEL COM

        37,809.20   
  

FOAMIX PHARMACEUTICALS LTD COM ILS0.16

        85,430.74   
  

FRANCESCAS HLDGS CORP COM M STOCK

        58,915.44   
  

GATX CORP COM

        579,956.50   
  

GENERAL ELECTRIC CO

        3,747,687.65   
  

GENMARK DIAGNOSTICS INC COM STK

        13,766.24   
  

GIBRALTAR INDS INC COM

        122,315.52   
  

GLACIER BANCORP INC NEW COM

        610,720.60   
  

GLOBAL BLOOD THERAPEUTICS INC COM

        65,953.20   
  

GLOBAL INDEMNITY PLC COM USD0.0001

        837,517.20   
  

GLOBANT SA USD1.20

        220,558.80   
  

GOLDMAN SACHS GROUP INC COM

        2,467,348.70   
  

GOOD TIMES RESTAURANTS INC COM

        38,611.20   
  

GRAN TIERRA ENERGY INC COM

        249,202.80   
  

GREENBRIER COS INC COM STK

        851,382.00   
  

GRIFFON CORP COM

        81,506.20   
  

GROUP 1 AUTOMOTIVE INC COM

        1,101,056.50   
  

GTT COMMUNICATIONS INC COM

        127,387.02   
  

HACKETT GROUP INC COM STK

        80,285.72   
  

HANMI FINL CORP COM NEW COM NEW

        85,202.24   
  

HEIDRICK & STRUGGLES INTL INC COM

        41,891.58   
  

HERON THERAPEUTICS INC COM

        69,072.90   
  

HILL ROM HLDGS INC COM STK

        1,579,972.50   
  

HOME DEPOT INC COM

        682,939.00   
  

HONEYWELL INTL INC COM STK

        3,031,493.90   
  

HP INC COM

        1,000,480.00   
  

ICU MED INC COM

        890,962.00   
  

IDERA PHARMACEUTICALS INC COM NEW STK

        35,547.36   
  

ILLUMINA INC COM

        1,362,041.72   

 

 

18.


Table of Contents

 

 

 

  

IMMERSION CORP COM

        59,232.80   
  

INGERSOLL-RAND PLC COM STK

        1,083,241.68   
  

INPHI CORP COM

        169,631.56   
  

INSIGHT ENTERPRISES INC COM

        1,044,866.40   
  

INSTEEL INDS INC COM

        21,840.48   
  

INSTRUCTURE INC COM

        87,298.26   
  

INTEL CORP COM

        1,731,457.00   
  

INTELIQUENT INC COM USD0.001

        151,755.80   
  

INTERCONTINENTAL EXCHANGE INC COM

        3,264,752.40   
  

INTERSECT ENT INC COM

        38,362.50   
  

INTRA-CELLULAR THERAPIES INC COM

        85,310.94   
  

IPG PHOTONICS CORP COM

        1,587,048.00   
  

JOHNSON CTL INC COM

        2,797,866.50   
  

K2M GROUP HLDGS INC COM

        94,574.34   
  

KEMPHARM INC COM

        83,690.04   
  

KFORCE INC

        73,261.44   
  

KOPPERS HLDGS INC COM

        1,046,728.75   
  

KROGER CO COM

        1,634,549.08   
  

LACLEDE GROUP INC COM

        922,637.30   
  

LAS VEGAS SANDS CORP COM STK

        2,404,185.60   
  

LAWSON PRODS INC COM

        29,771.25   
  

LEMAITRE VASCULAR INC COM STK

        154,629.00   
  

LENDINGTREE INC NEW COM USD0.01

        130,616.64   
  

LIBERTY MEDIA CORP DEL COM SER C COM SERC

        1,252,832.00   
  

LIFEPOINT HEALTH INC COM ISIN US53219L1098

        822,080.00   
  

LINDSAY CORPORATION COM

        447,070.00   
  

LINKEDIN CORP CL A

        1,686,074.28   
  

LIVE OAK BANCSHARES INC COM

        56,629.60   
  

LOXO ONCOLOGY INC COM

        141,453.40   
  

LSI INDS INC OHIO COM

        31,913.42   
  

LYDALL INC COM

        45,556.32   
  

LYON WILLIAM HOMES CL A NEW COM USD0.01 CL’A’(POST REV SPLIT)

        511,500.00   
  

LYONDELLBASELL IND N V COM USD0.01 CL ‘A’

        251,141.00   
  

MACROGENICS INC COM

        109,324.10   
  

MALLINCKRODT PLC COMMON STOCK

        2,129,940.20   

*

  

MANULIFE FINL CORP COM

        226,153.06   
  

MARINEMAX INC COM

        63,585.84   
  

MARRIOTT INTL INC NEW COM STK CL A

        1,458,790.40   
  

MASTERCARD INC CL A

        2,938,130.08   
  

MAXLINEAR INC-CLASS A

        33,643.32   
  

MCBC HLDGS INC COM

        49,073.40   
  

MCGRAW HILL FINANCIAL INC

        1,084,380.00   

 

 

19.


Table of Contents

 

 

 

 

MCKESSON CORP

        3,550,140.00   
 

MEDTRONIC PLC COMMON STOCK

        2,706,891.72   
 

MERCURY SYSTEMS INC

        82,766.88   
 

MICROSOFT CORP COM

        1,348,940.72   
 

MIDDLEBY CORP COM

        1,139,107.20   
 

MIRATI THERAPEUTICS INC COM

        91,924.40   
 

MITEK SYS INC COM NEW COM NEW

        39,349.14   
 

MONSANTO CO NEW COM

        4,432,414.80   
 

MONSTER BEVERAGE CORP NEW COM

        885,269.28   
 

MORGAN STANLEY COM STK USD0.01

        917,941.17   
 

MOSAIC CO/THE

        1,542,281.00   
 

MOTORCAR PTS & ACCESSORIES INC COM

        138,925.29   
 

MYOKARDIA INC COM

        69,033.94   
 

NABORS INDUSTRIES COM USD0.10

        859,407.88   
 

NAUTILUS INC COM

        59,188.80   
 

NEOGENOMICS INC COM NEW COM NEW

        196,946.75   
 

NEOPHOTONICS CORP

        75,813.66   
 

NETFLIX INC COM STK

        2,437,094.66   
 

NIKE INC CL B

        2,869,500.00   
 

NOBLE CORP PLC COMMON STOCK

        442,266.55   
 

NORDIC AMERICAN TANKERS LIMITED

        699,300.00   
 

NORDSON CORP COM

        1,248,679.75   
 

NORTHERN TR CORP COM

        3,011,127.21   
 

NUTRI SYS INC NEW COM

        39,060.20   
 

NXP SEMICONDUCTORS N V COM STK

        686,384.75   
 

O REILLY AUTOMOTIVE INC NEW COM USD0.01

        1,688,537.46   
 

OCCIDENTAL PETROLEUM CORP

        2,462,356.20   
 

OCLARO INC COM NEW

        27,105.72   
 

OGE ENERGY CORP COM

        1,723,835.30   
 

OLIN CORP COM

        891,565.30   
 

OMNICOM GROUP INC COM

        3,358,547.40   
 

ORACLE CORP COM

        3,363,682.40   
 

OTONOMY INC COM

        64,657.50   
 

OWENS & MINOR INC NEW COM

        705,208.00   
 

PALO ALTO NETWORKS INC COM USD0.0001

        428,724.76   
 

PARTNERRE HLDG LTD COM STK

        505,299.84   
 

PATRICK INDS INC COM

        85,347.00   
 

PAYCOM SOFTWARE INC COM

        155,600.05   
 

PAYLOCITY HLDG CORP COM

        67,840.15   
 

PENTAIR PLC COM STK

        2,636,977.20   
 

PGT INC COM

        58,157.34   
 

PNC FINANCIAL SERVICES GROUP COM STK

        2,804,020.20   

 

 

20.


Table of Contents

 

 

 

 

POLARIS INDS INC COM

        1,428,059.25   
 

POTASH CORP SASK INC COM

        558,214.72   
 

PROGRESS SOFTWARE CORP COM

        859,200.00   
 

PROOFPOINT INC COM

        83,342.82   
 

Q2 HLDGS INC COM

        165,287.16   
 

QUINSTREET INC COM STK

        46,070.31   
 

RED HAT INC COM

        1,596,990.85   
 

REGENERON PHARMACEUTICALS INC COM

        1,407,119.04   
 

RESOURCES CONNECTION INC COM

        42,990.54   
 

REVANCE THERAPEUTICS INC COM

        43,963.92   
 

RINGCENTRAL INC CL A CL A

        186,329.16   
 

SALESFORCE COM INC COM STK

        2,125,267.20   
 

SANDERSON FARMS INC COM

        1,608,540.00   
 

SANFILIPPO JOHN B & SON INC COM

        85,799.64   
 

SCHLUMBERGER LTD COM COM

        1,755,816.75   
 

SENSIENT TECHNOLOGIES CORP COM

        478,060.20   
 

SHERWIN-WILLIAMS CO COM

        537,631.60   
 

SHIRE PLC ADR

        1,742,295.00   
 

SKYWEST INC COM

        76,973.94   
 

SMITH & WESSON HLDG CORP COM

        138,452.02   
 

SNAP-ON INC COM

        892,293.15   
 

SPLUNK INC COMSTK COM USD0.001

        929,139.19   
 

SPS COMM INC COM

        63,891.10   
 

STAMPS COM INC COM NEW

        104,567.94   
 

STANDARD MTR PRODS INC COM

        57,607.70   
 

STARBUCKS CORP COM

        2,189,294.10   
 

SUNCOR ENERGY INC NEW COM STK

        1,259,607.60   
 

SUNESIS PHARMACEUTICALS INC COM NEW STOCK

        20,476.46   
 

SYNERGY PHARMACEUTICALS INC FLA COM NEW

        45,660.51   
 

TAKE-TWO INTERACTIVE SOFTWARE INC CDT-COM CDT-COM

        1,602,640.00   
 

TASER INTL INC COM

        47,893.30   
 

TECK RESOURCES LIMITED

        52,912.88   
 

TEEKAY TANKERS LTD COM STK

        1,795,680.00   
 

TENNECO INC

        1,455,576.55   
 

TESLA MTRS INC COM

        1,168,368.68   
 

TETRA TECHNOLOGIES INC DEL COM

        30,959.84   
 

TEXAS INSTRUMENTS INC COM

        1,215,685.80   
 

THE PRICELINE GROUP INC

        1,672,734.40   
 

THOR INDS INC COM STK

        1,346,477.00   
 

TILE SHOP HLDGS INC COM COM

        65,419.60   
 

TIME WARNER INC USD0.01

        945,540.07   
 

TJX COS INC COM NEW

        1,230,359.41   

 

 

21.


Table of Contents

 

 

 

  

TRINITY IND INC COM

        1,538,601.10   
  

TUESDAY MORNING CORP COM NEW ISIN US8990355054

        371,475.00   
  

U S CONCRETE INC COMMON STOCK

        67,931.40   
  

U S SILICA HLDGS INC

        45,401.52   
  

UBS GROUP AG COMMON STOCK

        296,515.96   
  

UNDER ARMOR INC CL A

        1,430,263.23   
  

UNIQUE FABRICATING INC COM

        54,061.54   
  

UNVL ELECTRS INC COM

        54,636.40   
  

VASCULAR SOLUTIONS INC COM

        107,399.97   
  

VERACYTE INC COM

        33,422.40   
  

VERTEX PHARMACEUTICALS INC COM

        544,214.75   
  

VISA INC COM CL A STK

        3,070,204.50   
  

VITAE PHARMACEUTICALS INC COM

        72,128.50   
  

WALT DISNEY CO

        1,847,306.40   
  

WALTER INVT MGMT CORP

        1,201,163.40   
  

WEATHERFORD INTERNATIONAL LTD(IE)USD0.001

        1,027,649.15   
  

WEIGHT WATCHERS INTL INC NEW COM

        37,437.60   
  

WELLCARE HLTH PLANS INC COM

        1,643,583.15   
  

WERNER ENTERPRISES INC COM

        612,233.25   
  

WESTN REFNG INC COM

        1,097,452.20   
  

WHIRLPOOL CORP COM

        2,910,963.40   
  

WINTRUST FINL CORP COM

        921,880.00   
  

WORKDAY INC CL A COM USD0.001

        1,063,249.92   
  

XCEL BRANDS INC COM NEW

        37,732.50   
  

XENCOR INC COM

        57,749.00   
  

ZIX CORP COM

        61,508.64   
  

TOTAL CORPORATE COMMON STOCKS (other than employer securities) & AMERICAN DEPOSITORY RECEIPTS

        307,419,842.07   
  

McDONALD’S CORPORATION COMMON STOCK

     

*

  

MC DONALDS CORP COM

     8,016,958.43         60,111,167.82   

*

  

MC DONALDS CORP COM

        351,710,695.38   

*

  

MC DONALDS CORP COM

        885,135,123.84   
  

TOTAL McDONALD’S CORPORATION COMMON STOCK

        1,296,956,987.04   
  

INTEREST IN REGISTERED INVESTMENT CO.

     

*

  

MFO AMERICAN BEACON FDS HOLLAND LARGE CAP GROWTH FD INSTL CL

        14,807,575.34   

*

  

MFO ARTISAN MID CAP FD INSTL CL SH

        29,260,900.37   

*

  

MFO DFA EMERGING MARKETS VALUE

        21,155,134.76   

*

  

MFO NUVEEN INVT FDS INC REAL ESTATE SECSFD CL R6

        79,290,074.30   

*

  

MFO PRIMECAP ODYSSEY FDS AGGRESSIVE GROWTH FD

        34,071,306.05   

 

 

22.


Table of Contents

 

 

 

*

  

MFO DODGE & COX INC FD

        49,073,828.69   
  

TOTAL INTEREST IN REGISTERED INVESTMENT CO.

        227,658,819.51   
  

MCDONALD’S LOAN ASSETS

     

*

  

MCDONALD’S LOAN ASSET

        33,310,619.23   
  

TOTAL McDONALD’S LOAN ASSETS

        33,310,619.23   
  

INTEREST-BEARING CASH

     
  

INTEREST-BEARING CASH

        1,798.73   
  

TOTAL INTEREST-BEARING CASH

        1,798.73   
  

WRAPPER CONTRACTS

     

*

  

GIC TRANSAMERICA PREMIER LIFE CONTRACT MDA00824TR RATE 1.65% MAT 12/31/2064

        109,812.00   
  

TOTAL WRAPPER CONTRACTS

        109,812.00   
  

COLLECTIVE TRUSTS

     

*

  

MFO SEI ARTISAN INTL GROWTH FD

        29,453,187.85   

*

  

MFO MANNING & NAPIER NON US EQUITY CIT - U

        28,270,617.51   

*

  

MFO JP MORGAN CHASE BK LIQUIDITY FUND

        19,501,758.37   

*

  

JPMCB INTERMEDIATE BOND FUND

        195,509,852.00   

*

  

MFO BLACKROCK GLOBAL ALLOCATION COLLECTIVE FUND M

        230,233,474.01   

*

  

NT COLLECTIVE ALL CTY WLD EX-US INVSTBL MKT IDX FD - DC - NONLENDING - TR 3

        48,096,711.71   

*

  

NT COLLECTIVE RUSSELL 2000 INDEX FUND - DC -NON LENDING TIER THREE

        78,789,385.61   

*

  

NT COLLECTIVE S&P500 INDEX FUND - DC- NON LENDING - TIER THREE

        274,954,251.20   

*

  

MFO MANULIFE AM TC STRATEGIC FIXED INCOME FUND CLASS 3 RETIREMENT B

        83,894,664.59   

*

  

MFO METROPOLITAN WEST FDS FLOATING RATE INCOME FD CL I

        539,581.68   

*

  

Northern Trust Company COLTV SHORT TERM INVT FD

        64,356,944.85   
  

TOTAL COLLECTIVE TRUSTS

        1,053,600,429.38   
  

MORTAGE BACKED SECURITIES

     
  

PVTPL A VOCE CLO LTD / A VOCE CLO LLC SRSECD NT CL A-1B FLTG 144A 07-15-2026

        142,288.50   
  

PVTPL AMMC CLO XIV LTD / AMMC CLO XIV CORP SR SECD NT CL A-1L FLTG 07-27-2026

        128,570.00   
  

PVTPL CEDAR FDG III CLO LTD / CEDAR FDG III CL SR SECD NT CL A-1 FLTG 05-20-2026

        128,999.00   
  

PVTPL DRYDEN 37 SR LN FD SER 2015-37A CL A FLTG RT 04-15-2027 BEO

        128,960.00   
  

ACCESS FDG 2015-1 VAR RT .8867% DUE 07-25-2056

        193,068.90   
  

CHASE ISSUANCE TR 2014-3 CL A NTS 05-15-2018 REG

        134,966.39   

 

 

23.


Table of Contents

 

 

 

  

CITIBANK CR CARD ISSUANCE TR 2014-A3 NT FLTG RATE 05-09-2018 REG

        134,987.45   
  

GS MTG SECS CORP FLTG RT .6465% DUE 03-25-2035

        173,608.92   
  

MASTR ASSET BACKED SECS TR SER 2006-NC1 CL A3 FLT RT 01-25-2036 REG

        84,639.89   
  

MORGAN STANLEY ABS CAP I INC 2005-1 MTG PASSTHRU CTF M-2 VAR 12-25-2034 REG

        106,072.25   
  

MORGAN STANLEY ABS FLTG RT 1.2065% DUE 12-25-2034

        256,786.75   
  

NAVIENT STUDENT LN SER 2014-2 CL A FLTG 03-25-2043

        110,580.47   
  

NAVIENT STUDENT LN SER 2014-3 CL A FLTG 03-25-2043

        66,533.39   
  

PVTPL MAGNETITE XII LTD/MAGNETITE XII LLC SR SECD NT CL A FLTG 144A 04-15-2027

        128,544.00   
  

PVTPL NELNET STUD LN TR 2015-2 AB NT CL A-2 144A VAR RT DUE 9-25-42 BEO

        228,186.88   
  

PVTPL NELNET STUDENT LN TR SER 2015-3 CL A-2 FLTG 02-26-2046 BEO

        258,068.93   
  

PVTPL PHEAA STUDENT LN STUDENT TR 2013-3A CL A FLTG RT DUE 11-25-2042 BEO

        220,350.06   
  

RESIDENTIAL ASSET MTG PRODS INC SER 2005-EFC5 CL M1 FLT RT 10-25-2035 BEO

        162,793.00   
  

SLC STUD LN TR FLTG RT .6516% DUE 08-15-2031

        46,308.04   
  

SLC STUD LN TR FLTG RT .672% DUE 12-15-2038

        256,917.00   
  

SLC STUDENT LN TR 2006-2 ASSET BKD NT CLA-5 FLTG RATE 09-15-2026 BEO

        259,433.82   
  

SLM STUD LN TR FLTG RT SER 2007-6 CL A 10-25-2024

        256,478.94   
  

SLM STUDENT LN TR 2008 9 STUDENT LOAN BKD NTS CL A FLTG 04-25-2023 REG

        198,077.14   
  

SLM STUDENT LN TR 2008-5 CL B FLT RT 07-25-2029 REG

        143,886.50   
  

SLM STUDENT LN TR 2008-9 CL B FLTG RT 10-25-2029 BEO

        141,287.40   
  

SLM STUDENT LN TR 2011-2 STUDENT LN BKD NT CL A2 FLTG 03-25-2025

        168,048.06   
  

SLM STUDENT LN TR 2012-1 STUDENT LN BKD NTS CL A-2 FLTG 11-25-2020 REG

        232,294.27   
  

SLM STUDENT LN TR 2012-3 CL A FLTG RT DUE 12-26-2025 REG

        224,559.15   
  

SLM STUDENT LN TR 2012-6 A-3 BACKED NT FLTG DUE 05-26-2026 REG

        222,794.78   
  

SLM STUDENT LN TR FLTG SER 2013-3 CL A2 05-26-2020 REG

        108,356.19   
  

STRUCTURED ASSET SECS CORP 2005-2 LEHMANXS 1-A1 08-25-2035 REG

        186,414.60   
  

WACHOVIA STUD LN FLTG RT .7886% DUE 04-25-2040

        257,539.43   
  

WELLS FARGO HOME FLTG RT 1.4265% DUE 10-25-2034

        266,346.83   
  

CMO CD 2007-CD4 CMO TR MTG PASS THRUCTF CL A-1A VAR RT DUE 12-11-2049

        274,288.46   
  

CMO MORGAN STANLEY CAPITAL I 2011-C3 CL A4 4.118 7-15-2021

        191,532.06   
  

CR SUISSE COML MTG FLTG RT 5.526% DUE 01-15-2049

        282,215.70   

*

  

J P MORGAN CHASE 3.6727% DUE 02-15-2046

        23,422.03   
  

PVTP CMO CFCR COM MTG TR 2011-C1 PASS THRU CTF CL A-2 144A 3.7587 4-15-44

        89,970.28   
  

PVTPL CMO DBRR SER 2013-EZ3 CL A VAR RT DUE 12-18-2049

        147,980.13   

 

 

24.


Table of Contents

 

 

 

*

  

PVTPL CMO J P MORGAN CHASE DTD 6-1-10 2010-C1 CL A1 144A 3.853 DUE 6-15-15

        13,170.76   

*

  

PVTPL CMO JP MORGAN CHASE COMMERCIAL MORTGAGE SE 2010-C2 A1 2.7493 7-15-17

        8,909.38   
  

UBS-CITIGROUP COML 1.524% DUE 01-10-2045

        73,029.29   
  

FEDERAL HOME LN MTG CORP POOL #G07848 3.5% 04-01-2044 BEO

        474,333.09   
  

FEDERAL HOME LN MTG CORP POOL #G08653 3% 07-01-2045 BEO

        221,125.21   
  

FEDERAL HOME LN MTG CORP POOL #G08654 3.5% 07-01-2045 BEO

        404,057.39   
  

FEDERAL HOME LN MTG CORP POOL #G08658 3% 08-01-2045 BEO

        172,425.63   
  

FEDERAL HOME LN MTG CORP POOL #G08659 3.5% 08-01-2045 BEO

        476,585.28   
  

FEDERAL HOME LN MTG CORP POOL #G08669 4% 09-01-2045 BEO

        260,796.82   
  

FEDERAL HOME LN MTG CORP POOL #G08671 3.5% 10-01-2045 BEO

        424,753.65   
  

FEDERAL HOME LN MTG CORP POOL #G08672 4% 10-01-2045 BEO

        262,739.19   
  

FEDERAL HOME LN MTG CORP POOL #G08677 4% 11-01-2045 BEO

        263,576.61   
  

FEDERAL HOME LN MTG CORP POOL #G18565 3% 08-01-2030 BEO

        130,157.30   
  

FEDERAL HOME LN MTG CORP POOL #G18568 2.5% 09-01-2030 BEO

        236,885.66   
  

FEDERAL HOME LN MTG CORP POOL #G60238 3.5% 10-01-2045 BEO

        519,450.59   
  

FEDERAL HOME LN MTG CORP POOL #U99114 3.5% 02-01-2044 BEO

        491,062.42   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL2168 3.5% 06-01-2042 BEO

        365,395.91   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL6829 2.965% DUE 05-01-2027 BEO

        177,388.02   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL7092 3% 07-01-2045 BEO

        83,613.44   
  

FHLMC GOLD #G07924 3.5% 01-01-2045

        493,280.50   
  

FHLMC GOLD G60023 3.5 04-01-2045

        97,860.51   
  

FNMA POOL #466919 3.93% 01-01-2021 BEO

        203,241.53   
  

FNMA POOL #466960 3.89% 12-01-2020 BEO

        152,284.22   
  

FNMA POOL #468551 3.98% DUE 07-01-2021 BEO

        162,072.90   
  

FNMA POOL #469024 3.44% DUE 10-01-2021 BEO

        141,804.23   
  

FNMA POOL #469621 3.65% 11-01-2021 BEO

        178,571.03   
  

FNMA POOL #AM0827 2.6 DUE 11-01-2022 REG

        128,050.23   
  

FNMA POOL #AM2808 2.7% 03-01-2023 BEO

        129,632.62   
  

FNMA POOL #AM4125 3.74% 08-01-2023 BEO

        116,755.10   
  

FNMA POOL #AM4367 4.12% 09-01-2023 BEO

        153,131.02   
  

FNMA POOL #FN0001 3.766% 12-01-2020 BEO

        131,948.05   
  

FNMA POOL #FN0009 3.414% DUE 10-01-2020 BEO

        107,503.50   
  

FNMA POOL #MA1512 3.5% 07-01-2033 BEO

        227,242.49   
  

FNMA POOL #MA1607 3% 10-01-2033 BEO

        257,648.36   
  

FNMA SINGLE FAMILY MORTGAGE 2.5% 15 YEARS SETTLES JANUARY

        418,280.58   
  

FNMA SINGLE FAMILY MORTGAGE 3% 30 YEARS SETTLES JANUARY

        835,007.52   
  

FNMA SINGLE FAMILY MORTGAGE 3.5% 30 YEARS SETTLES JANUARY

        2,001,542.62   
  

FNMA SINGLE FAMILY MORTGAGE 4% 30 YEARS SETTLES JANUARY

        423,268.80   

 

 

25.


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FNMA SINGLE FAMILY MORTGAGE 4.5% 30 YEARS SETTLES JANUARY

        523,739.38   
 

GNMA II JUMBOS 3.5% 30 YEARS SETTLES JAN

        635,901.21   
 

GNMA II JUMBOS 4.5% 30 YEARS SETTLES JANUARY

        150,412.50   
 

GNMA POOL #MA2960 3% 07-20-2045 BEO

        493,453.92   
 

GNMA POOL #MA3033 3% 08-20-2045 BEO

        290,167.23   
 

GNMA POOL #MA3173 3.5% 10-20-2045 BEO

        244,102.17   
 

GNMAII POOL #MA2961 SER 2045 3.5% DUE 07-20-2045

        239,851.75   
 

GNMAII POOL #MA3106 4.0% DUE 09-20-2045 REG

        309,243.44   
 

CMO NCUA GTD NTS TR 2011-C1 SR NT II-A DUE 03-09-2021 REG

        209,650.36   
 

FEDERAL HOME LN MTG CORP FLT RT 07-25-2020 REG

        106,787.06   
 

FHLMC MULTICLASS TRANCHE 00154 3.511 04-25-2030

        111,639.44   
 

FHLMC MULTICLASS TRANCHE 00268 3.16100001335 05-25-2025

        50,400.75   
 

FNMA REMIC TR 2015-M2 CL-A3 VAR RATE 12-25-2024

        209,743.52   
 

CMO 2005-AR13 MTG PASSTHRU CTF CL A-1A2 DUE 10-25-2045 REG

        225,079.22   
 

CMO IMPAC CMB TR 2004-7 CL 1-A-1 FLTG RATE DUE 11-25-2034 REG

        223,552.37   
 

CMO MORGAN STANLEY MTG LN TR 2004-2AR DUE 01-25-2035 REG

        207,230.29   
 

CMO RESIDENTIAL ASSET MTG PRODS INC 2004-SP3 MTG LN ASSET AII FLTG 9-25-2034

        203,499.26   
 

CMO SEQUOIA MTG TR 2003-2 MTG PASSTHRU CTF CL A-1 VAR RATE DUE 06-20-2033 REG

        219,425.12   
 

CMO SEQUOIA MTG TR 2004-1 2004-12 MTG PASSTHRU CTF 1A1 DUE 01-20-2035 REG

        221,595.04   
 

CMO SEQUOIA MTG TR 2004-1 2004-4 CL A FLTG RATE DUE 05-20-2034 REG

        225,661.45   
 

CMO SER 2005-AR9 CL A1A FLT RT DUE 07-25-2045 REG

        234,882.09   
 

CMO STRUCTURED ADJ RATE MTG LN TR DUE 11-25-2034 REG

        199,475.01   
 

CMO STRUCTURED ADJ RATE MTG LN TR SER 2005-16 CL A1 DUE 08-25-2035 REG

        209,096.82   
 

CMO STRUCTURED ASSET SECS CORP 2004-3AC CL A1 DUE 03-25-2034 REG

        229,753.66   
 

CMO STRUCTURED ASSET SECS CORP SER 2004-10 CL 3A2 DUE 08-25-2034 BEO

        230,509.34   
 

CMO WA MUT MTG SECS CORP 2003-AR1 MTG PASSTHRU CTF CL A-5 VAR 03-25-2033BEO

        154,860.75   
 

CMO WAMU MTG PASS-THRU CTFS 2005-AR2 CTFCL 2A-2A1 DUE 12-25-2044 REG

        232,474.16   
 

CMO WAMU MTG PASS-THRU CTFS SER 2005-AR13 CL A-1A1 FLT 10-25-45

        208,223.29   
 

BRAZOS HIGHER ED AUTH INC SER 2005 I NT CL A-10 VAR RT 12-26-2019

        436,374.02   
 

CHASE ISSUANCE TR 2014-3 CL A NTS 05-15-2018 REG

        284,929.04   
 

CITIBANK CR CARD ISSUANCE TR 2006-A8 NT FLTG 12-17-2018 REG

        284,303.75   
 

HONDA AUTO .69% DUE 08-21-2017

        284,594.73   
 

NISSAN AUTO .67% DUE 09-15-2017

        266,417.61   
 

SLM STUD LN TR FLTG RT 2.3186% DUE 07-25-2023

        553,246.65   

 

 

26.


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SLM STUDENT LN TR SER 2005-10 CL A4 FLT RT 10-25-2019 BEO

        192,942.96   
  

SLM STUDENT LN TR 2006-9 CL A5 FLT RT 01-26-2026 BEO

        486,399.50   
  

SLM STUDENT LN TR 2012-2 STUDENT LN BKD NTS CL A FLTG 01-25-2029 REG

        410,075.43   
  

TOYOTA AUTO .76% DUE 03-15-2018

        279,298.88   
  

2007-11 NT CL A FLTG 12-15-2019 BEO

        288,497.22   
  

CMO BEAR STEARNS COML MTG SECS TR 2006-PWR12 MTG PASSTHRU CTF 09-11-2038

        116,236.23   

*

  

CMO J P MORGAN CHASE COML MTG SECS TR 2006-CIBC16 CL A4 DUE 05-12-2045 REG

        401,690.64   

*

  

CMO J P MORGAN CHASE COML MTG SECS TR 2006-LDP7 CL A-4 DUE 04-17-2045 REG

        256,537.58   
  

CMO MERRILL LYNCH MTG TR 2006-C1 CL A-4 DUE 05-12-2039 REG

        261,120.84   
  

CMO MORGAN STANLEY CAP I TR 2006-HQ9 CL A-4 5.731 DUE 08-01-2016 REG

        464,302.57   
  

CMO MORGAN STANLEY CAP I TR 2011-C3 SER 2011-C3 CL A-2 3.224 DUE 07-15-2049 REG

        535,575.22   
  

CMO WACHOVIA BK COML MTG TR COML MTG PASSTHR CL A-3 DUE 06-15-2045 REG

        384,407.80   
  

PVTPL CMO DBUBS 2011-LC2 MTG TR CL A-2 3.386% DUE 07-10-2044 BEO

        494,850.49   

*

  

PVTPL CMO J P MORGAN CHASE COML MTG SEC 2011-C4 A-2 3.3412 DUE 07-15-16 BEO

        250,938.64   
  

PVTPL CMO MORGAN STANLEY BK AMER MERRILLLYNCH TR COML MTG 1.863 2-15-46

        568,575.57   
  

PVTPL CMO OBP DEPOSITOR LLC TR 2010 OBP CTF 144A 4.6462 DUE 07-15-2045 BEO

        107,742.20   
  

VNDO 2012-6AVE MTG TR SER 2012-6AVE CL A2.9950 144A DUE 11-15-2030

        113,293.98   
  

FEDERAL HOME LN MTG CORP POOL #G0-8681 3.5% 12-01-2045 BEO

        309,067.80   
  

FEDERAL HOME LN MTG CORP POOL #G08650 3.5% 06-01-2045 BEO

        440,930.31   
  

FEDERAL HOME LN MTG CORP POOL #G08653 3%07-01-2045 BEO

        216,211.33   
  

FEDERAL HOME LN MTG CORP POOL #G08669 4%09-01-2045 BEO

        438,138.66   
  

FEDERAL HOME LN MTG CORP POOL #G18568 2.5% 09-01-2030 BEO

        222,080.30   
  

FEDERAL HOME LN MTG CORP POOL #G60238 3.5% 10-01-2045 BEO

        1,054,179.12   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0600 4.301% DUE 07-01-2021 BEO

        568,076.17   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0705 3.477% DUE 12-01-2020 BEO

        116,189.37   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL7092 3% 07-01-2045 BEO

        545,946.58   
  

FNMA POOL #AM4522 3.95% 10-01-2024 BEO

        229,456.28   
  

FNMA POOL #FN0001 3.766% 12-01-2020 BEO

        278,033.40   
  

FNMA POOL #FN0003 4.283% DUE 01-01-2021 BEO

        490,088.42   
  

FNMA POOL #FN0004 3.619% DUE 12-01-2020 BEO

        269,572.31   

 

 

27.


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FNMA POOL #FN0009 3.414% DUE 10-01-2020 BEO

        275,769.85   
  

FNMA POOL #464916 4.16% DUE 04-01-2020 BEO

        188,628.86   
  

FNMA POOL #465738 3.915% DUE 10-01-2020 BEO

        282,673.28   
  

FNMA POOL #466216 3.54% DUE 10-01-2020 BEO

        226,456.49   
  

FNMA POOL #467626 3.74% DUE 05-01-2018 BEO

        209,001.59   
  

FNMA POOL #468477 4.59% 08-01-2026 BEO

        225,184.25   
  

FNMA POOL #469217 3.68% DUE 10-01-2021 BEO

        224,438.81   
  

FNMA SINGLE FAMILY MORTGAGE 2.5% 15 YEARS SETTLES JANUARY

        342,687.70   
  

FNMA SINGLE FAMILY MORTGAGE 3.5% 30 YEARS SETTLES JANUARY

        1,083,309.15   
  

FNMA SINGLE FAMILY MORTGAGE 3% 30 YEARS SETTLES JANUARY

        555,005.00   
  

FNMA SINGLE FAMILY MORTGAGE 4.5% 30 YEARS SETTLES FEBRUARY

        285,732.01   
  

FNMA SINGLE FAMILY MORTGAGE 4% 30 YEARS SETTLES JANUARY

        920,609.64   
  

GNMA II JUMBOS 3.5% 30 YEARS SETTLES JAN

        218,916.81   
  

GNMA II JUMBOS 4.5% 30 YEARS SETTLES JANUARY

        112,809.38   
  

GNMA POOL #MA3033 3% 08-20-2045 BEO

        230,132.64   
  

GNMA POOL #MA3173 3.5% 10-20-2045 BEO

        420,686.72   
  

GNMAII POOL #MA3174 SER 2045 4% DUE 10-20-2045 REG

        237,603.36   
  

FHLMC MULTICLASS TRANCHE 00268 3.16100001335 05-25-2025

        110,881.65   
  

FHLMC MULTICLASS TRANCHE 00738 05-25-2022

        568,618.35   
  

FNMA SER 2012-M11 CL FA FLTG RT DUE 08-25-2019 BEO

        564,640.51   
  

FNMA SR 2013-M14 CL A2 VAR RT DUE 10-25-2023

        510,032.18   
  

AMERN EXPRESS CR A/C MASTER TR FLTG RT SER 2014-4 CL A 12-15-2021

        1,146,098.05   
  

BRAZOS HIGHER ED AUTH INC SER 2005 I NT CL A-10 VAR RT 12-26-2019

        393,800.94   
  

EDUCATIONAL FDG SOUTH INC NT CL A-2 FLTGRATE 04-25-2035 REG

        390,148.59   
  

PVTPL ACADEMIC LN FDG TR SER 2012-1A CL A1 FLTG RT 144A DUE 12-27-2022

        752,981.73   
  

SLM STUDENT LN TR 2005-6 STUDENT LN-BKD NT CL A6 VAR 10-27-2031 REG

        750,726.40   
  

SLM STUDENT LN TR 2008-8 STUDENT LOAN BKD NT CL A-4 FLTG 04-25-2023 REG

        1,490,928.27   
  

FED HOME LN MTG CORP GOLD POOL# Q16042 3.5 DUE 3-01-2043

        18,490.59   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ1520 4.5% DUE 09-01-2041

        1,345,988.61   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ5304 4% 11-01-2041 BEO

        394,013.13   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AJ7689 4% 12-01-2041 BEO

        456,050.37   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0071 5% 05-01-2040 BEO

        124,372.74   
  

FEDERAL NATL MTG ASSN GTD MTG POOL #AL0215 4.5% 04-01-2041 BEO

        391,812.83   
  

FHLMC GOLD G06858 5 11-01-2041

        584,792.69   
  

FHLMC GOLD POOL #U9-0772 3.5 01-01-2043

        185,750.31   
  

FHLMC GOLD POOL# U91254 4 DUE 04-01-2043

        185,536.06   
  

FHLMC GOLD POOL#Q17792 3.5 DUE 05-01-2043

        168,204.92   
  

FHLMC GOLD U90503 3.5 11-01-2042

        349,255.25   
  

FHLMC GOLD U90903 3.5 02-01-2043

        94,591.62   

 

 

28.


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FNMA POOL #AA9204 6% DUE 08-01-2039

        670,668.88   
  

FNMA POOL #AA9999 6% DUE 08-01-2039

        390,561.27   
  

FNMA POOL #AB2038 4.5% DUE 01-01-2031

        1,113,389.78   
  

FNMA POOL #AC0481 5.5% 09-01-2039 BEO

        913,070.59   
  

FNMA POOL #AC2956 6% DUE 09-01-2039

        1,082,532.95   
  

FNMA POOL #AE5471 4.5% 10-01-2040 BEO

        1,222,560.06   
  

FNMA POOL #AQ4555 4% 12-01-2042 BEO

        156,360.63   
  

FNMA POOL #AQ8181 3.5% 01-01-2043 BEO

        80,556.77   
  

FNMA POOL #AR7503 4% DUE 03-01-2043

        844,878.86   
  

FNMA POOL #AS0089 3.5% DUE 08-01-2043 REG

        2,558,206.37   
  

FNMA POOL #AT8691 4% DUE 08-01-2043

        2,140,923.13   
  

FNMA POOL #AV0639 3.5% 11-01-2028 BEO

        349,995.65   
  

FNMA POOL #AV1854 3.5% DUE 12-01-2028

        133,126.63   
  

FNMA POOL #AV1872 4% 12-01-2043 BEO

        246,253.52   
  

FNMA POOL #AV3959 3.5% 01-01-2029 BEO

        121,283.71   
  

FNMA POOL #AV4770 3.5% DUE 12-01-2028

        597,310.36   
  

FNMA POOL #MA0596 4% 12-01-2025 BEO

        425,487.43   
  

FNMA POOL #MA0913 4.5% 11-01-2031 BEO

        1,409,434.46   
  

FNMA POOL #MA0939 4.5% 12-01-2031 BEO

        61,455.10   
  

FNMA POOL #MA1283 3.5% 12-01-2042 BEO

        1,215,384.92   
  

FNMA POOL #MA1437 3.5% 05-01-2043 BEO

        812,906.26   
  

FNMA POOL #254793 5% 07-01-2033 BEO

        21,871.46   
  

FNMA POOL #256045 5% DUE 12-01-2025 REG

        263,296.11   
  

FNMA POOL #310088 5% DUE 06-01-2038 BEO

        120,154.47   
  

FNMA POOL #555743 5% 09-01-2033 BEO

        29,866.36   
  

FNMA POOL #836464 ADJ RT DUE 10-01-2035 BEO

        108,650.31   
  

FNMA POOL #844052 4.065 11-01-2035 BEO

        30,903.74   
  

FNMA POOL #844148 2.295% 11-01-2035 BEO

        18,589.86   
  

FNMA POOL #844237 ADJ RT DUE 11-01-2035 BEO

        16,421.64   
  

FNMA POOL #844789 2.211% 11-01-2035 BEO

        16,840.68   
  

FNMA POOL #849077 5.5% DUE 01-01-2036 REG

        745,884.97   
  

FNMA POOL #889117 5% 10-01-2035 BEO

        82,534.65   
  

FNMA POOL #915154 5% DUE 04-01-2037 REG

        138,920.62   
  

FNMA POOL #924874 7% 10-01-2037 BEO

        9,956.00   
  

FNMA POOL #928938 7% 12-01-2037 BEO

        6,222.44   
  

FNMA POOL #934648 7% DUE 11-01-2038 BEO

        31,117.75   
  

FNMA POOL #955183 7% 11-01-2037 BEO

        9,929.11   
  

FNMA POOL #959477 6% 12-01-2037 BEO

        154,990.65   
  

FNMA POOL #974156 7% 02-01-2038 BEO

        6,144.87   
  

FNMA POOL #983077 5% 05-01-2038 BEO

        126,602.71   
  

FNMA POOL #985867 7% DUE 08-01-2038 BEO

        4,908.29   
  

FNMA POOL #991549 7% 11-01-2038 BEO

        7,112.66   

 

 

29.


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FNMA POOL #995072 5.5% 08-01-2038 BEO

        44,760.03   
 

GNMA POOL #AC8757 3.5 DUE 05-15-2043 REG

        470,570.11   
 

GNMA POOL #MA1678 4% 02-20-2044 BEO

        733,625.99   
 

GNMA POOL #4617 4.5% 01-20-2040 BEO

        599,962.16   
 

GNMA POOL #4772 5% 08-20-2040 BEO

        32,853.61   
 

GNMA POOL #4871 6% 11-20-2040 BEO

        94,222.85   
 

GNMA POOL #4882 4% 12-20-2040 BEO

        1,496,620.33   
 

GNMA POOL #4928 6% 01-20-2041 BEO

        112,438.92   
 

GNMA POOL #5240 6% 11-20-2041 BEO

        61,891.51   
 

GNMAII POOL #4696 SER 2040 4.5% DUE 05-20-2040 REG

        821,625.60   
 

GNMAII POOL #783368 SER 2041 4.5% DUE 07-20-2041 BEO

        226,857.51   
  TOTAL MORTGAGE BACKED SECURITIES         78,095,525.87   
  CORPORATE BONDS      
 

ABBVIE INC FIXED 1.8% DUE 05-14-2018

        174,194.30   
 

ACTAVIS FDG SCS 4.75% DUE 03-15-2045

        126,755.85   
 

AMERN AIRLS 2013-2 4.95 DUE 01-15-2023

        183,112.05   
 

AMGEN INC 5.15% DUE 11-15-2041

        53,807.40   
 

AT&T INC 4.75% DUE 05-15-2046

        96,137.58   
 

AT&T INC 4.8% DUE 06-15-2044

        50,387.48   
 

AT&T INC SR NT FLTG RATE DUE 02-12-2016 REG

        99,955.70   
 

BANK AMER CORP 2.625% DUE 10-19-2020

        98,742.10   
 

BANK AMER CORP 6.5% DUE 08-01-2016

        128,645.75   
 

BARCLAYS BK PLC SR GLOBAL NT 5 DUE 09-22-2016

        112,822.60   
 

BERKSHIRE HATHAWAY 4.4% DUE 05-15-2042

        123,765.38   
 

BK AMER N A CHARLOTTE N C MEDIUM TERM TRANCHE # TR 00229 5.3 DUE 03-15-2017

        312,082.50   
 

BOARDWALK 5.2% DUE 06-01-2018

        175,153.65   
 

BURL NORTHN SANTA 4.15% DUE 04-01-2045

        72,506.16   
 

CAP 1 BK USA NATL 1.2% DUE 02-13-2017

        124,384.25   
 

CATHOLIC HLTH 2.95 DUE 11-01-2022

        82,907.22   
 

CELGENE CORP 5% DUE 08-15-2045

        75,291.60   
 

CENTERPOINT ENERGY 4.5% DUE 04-01-2044

        118,638.72   
 

CITIGROUP INC 1.25% DUE 01-15-2016

        150,019.05   
 

CITIGROUP INC GLOBAL SUB NT FLTG RATE DUE 08-25-2036 REG

        205,018.56   
 

CITIGROUP INC SR NT 5.3% DUE 01-07-2016

        125,016.25   
 

CONTINENTAL AIRLS PASSTHRU TR 2007-1A 5.983 DUE 10-19-2023

        174,563.83   
 

ENERGY TRANSFER PARTNERS 5.2 2-1-2022

        186,851.00   
 

ESSEX PORTFOLIO L 5.5% DUE 03-15-2017

        182,197.23   
 

EXXON MOBIL CORP 3.567% DUE 03-06-2045

        51,691.64   
 

FARMERS EXCHANGE FLTG RT 5.454% DUE 10-15-2054

        145,781.85   
 

FORD MTR CR CO LLC FLTG RT 1.55685% DUE 01-09-2018

        247,491.00   
 

GEN MTRS FINL CO 4.75 DUE 08-15-2017

        51,822.05   

 

 

30.


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GENERAL ELEC CO 4.5% DUE 03-11-2044

        128,641.50   
  

GENERAL MTRS FINL CO INC 2.75 DUE 05-15-2016 REG

        125,365.50   
  

GILEAD SCIENCES 4.5% DUE 02-01-2045

        78,253.12   
  

GOLDMAN SACHS 3.5% DUE 01-23-2025

        49,140.65   
  

GOLDMAN SACHS 4.75% DUE 10-21-2045

        79,470.16   
  

GOLDMAN SACHS 5.35% DUE 01-15-2016

        200,209.20   
  

GOLDMAN SACHS GROUP INC 5.95 DUE 01-18-2018

        242,319.83   
  

HCP INC 3.4% DUE 02-01-2025

        163,009.35   
  

HEALTHCARE RLTY TR 5.75% DUE 01-15-2021

        137,878.13   
  

HEINZ H J CO 1.6% DUE 06-30-2017

        157,542.27   
  

HLTH CARE REIT INC 3.625% DUE 03-15-2016

        175,760.55   

*

  

JPMORGAN CHASE & 2.55% DUE 10-29-2020

        143,783.31   

*

  

JPMORGAN CHASE & 3.15% DUE 07-05-2016

        75,775.28   

*

  

JPMORGAN CHASE & CO 4.85 NOTES DUE 02-01-2044

        79,963.43   

*

  

JPMORGAN CHASE BK N A NY N Y FORME NT FLTG RATE ACCD INVS DUE 06-13-2016 BEO

        349,479.90   
  

MICROSOFT CORP 3.75% DUE 02-12-2045

        69,106.13   
  

MICROSOFT CORP 4.45% DUE 11-03-2045

        51,561.15   
  

MIDAMERICAN ENERGY 4.8% DUE 09-15-2043

        187,239.68   
  

MORGAN STANLEY FORMERLY MORGAN STANLEY MORGAN STANLEY 5.95 DUE 12-28-2017

        268,831.75   
  

MORGAN STANLEY SR NT 2.375% DUE 07-23-2019

        49,832.45   
  

NOBLE ENERGY INC 5.25% DUE 11-15-2043

        16,134.34   
  

NORTHEAST UTILS 3.15% DUE 01-15-2025

        97,606.20   
  

NYU HOSPS CTR 4.784% DUE 07-01-2044

        99,823.10   
  

PUB SVC CO OKLA 6.15 DUE 08-01-2016 BEO

        205,321.60   
  

PVTPL CCO SAFARI II LLC BNDS 4.464% DUE 07-23-2022 BEO

        134,528.85   
  

PVTPL DUQUESNE LT HLDGS INC SR NT 144A 6.4% DUE 09-15-2020/09-13-2010 BEO

        226,391.40   
  

PVTPL FIRSTENERGY TRANSMISSION LLC SR NT144A 5.45% DUE 07-15-2044/05-19-2014 BEO

        100,703.20   
  

PVTPL FLORIDA GAS TRANSMISSION CO SR NT 144A 7.9% DUE 05-15-2019 BEO

        208,447.27   
  

PVTPL CR SUISSE GROUP FDG GUERNSEY LTD GTD SR NT 144A 3.8 DUE 09-15-2022 BEO

        79,936.88   
  

PVTPL HBOS PLC MED TRM SUB NTS BK ENTRY TRANCHE # SB 00008 6.75 5-21-2018 BEO

        136,331.75   
  

PVTPL INTL LEASE FIN CORP SR SECD NT 144A 7.125 DUE 09-01-2018/08-20-2010 BEO

        109,625.00   
  

PVTPL WEA FIN LLC/WESTFIELD UK & EUROPE FIN NT 144A 2.7 9-17-2019/09-17-2014BEO

        198,352.40   
  

RECKSON OPER 4.5% DUE 12-01-2022

        101,196.60   
  

SHELL INTERNATIONAL FIN 4.375% DUE 05-11-2045

        51,923.69   
  

SOUTHERN CAL EDISON 3.6% 02-01-2045

        90,565.50   

 

 

31.


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SPCL1 GEN ELEC CAP CORP 5.875% DUE 01-14-2038

        91,767.08   
  

SPECTRA ENERGY 4.5% DUE 03-15-2045

        76,847.50   
  

UBS AG STAMFORD 1.375% DUE 06-01-2017

        248,808.75   
  

UNITEDHEALTH GROUP 4.625% DUE 07-15-2035

        83,049.44   
  

VENTAS REALTY LP 3.5% DUE 02-01-2025

        215,444.48   
  

VERIZON 4.862% DUE 08-21-2046

        118,340.75   
  

VERIZON COMMUNICATIONS 2.5 NTS DUE 09-15-2016 USD REG

        50,390.15   
  

ZFS FINANCE USA TST FLT RT BD 144A DUE 12-15-2065/12-15-2015 BEO

        176,837.50   

*

  

MFO METROPOLITAN WEST FUNDS HIGH YIELD BD FD CL I

        959,697.05   

*

  

MFO TCW FUNDS INC EMERGING MARKETS INC FD

        259,562.33   
  

NEW YORK N Y 5.206% 10-01-2031 BEO TAXABLE

        73,143.85   
  

NEW YORK N Y CITY MUN WTR FIN AUTH WTR &SWR SYS REV 5.44% 06-15-2043 BEO TAXABLE

        91,291.50   
  

NEW YORK N Y TAXABLE-SER D-1-BUILD AMER BDS 5.985% DUE 12-01-2036 REG TAXABLE

        73,449.60   
  

NEW YORK ST DORM AUTH ST PERS INCOME TAXREV 5.427% 03-15-2039 BEO TAXABLE

        88,430.25   
  

UNIVERSITY CALIF REVS 3.931% 05-15-2045 BEO TAXABLE

        97,392.00   
  

ABBEY NATL TREAS 1.375% DUE 03-13-2017

        248,966.75   
  

ABBVIE INC 2.9% DUE 11-06-2022

        217,673.55   
  

ACTAVIS FDG SCS 1.85% DUE 03-01-2017

        100,179.30   
  

ACTAVIS FDG SCS 2.45% DUE 06-15-2019

        98,918.80   
  

ACTAVIS FUNDING SCS FIXED 3.8% DUE 03-15-2025

        213,902.00   
  

AEP TEX CENT CO 3.85% DUE 10-01-2025

        202,171.20   
  

AMERN EXPRESS CR CORP MEDIUM TERM NTS TRANCHE # TR 00075 2.8 DUE 09-19-2016

        405,094.80   
  

AMGEN INC 2.3% DUE 06-15-2016

        352,013.90   
  

AT&T INC SR NT FLTG RATE DUE 02-12-2016 REG

        474,789.58   
  

BANK AMER CORP MTN 6% DUE 09-01-2017

        638,526.00   
  

BANK AMER CORP 6.5% DUE 08-01-2016

        463,124.70   
  

BANK OF AMER CORP 5.00 DUE 05-13-2021

        218,510.00   
  

BARCLAYS BK PLC SR GLOBAL NT 5 DUE 09-22-2016

        307,698.00   
  

BIOMED RLTY L P 3.85% DUE 04-15-2016

        401,226.40   
  

BOSTON PPTYS LTD PARTNERSHIP 3.7 15 NOV 2018

        155,388.90   
  

BP CAP MKTS P L C 3.506% DUE 03-17-2025

        159,785.84   
  

CAP ONE BK USA NATL ASSN GLEN ALLEN 1.15 11-21-2016

        399,036.80   
  

CELGENE CORP 3.875% DUE 08-15-2025

        174,291.25   
  

CITIGROUP INC SR NT 5.3% DUE 01-07-2016

        300,039.00   
  

CITIGROUP INC 1.3% DUE 04-01-2016

        200,282.00   
  

CITIGROUP INC 1.3% DUE 11-15-2016

        573,592.40   
  

CMO CONTINENTAL AIRLS PASS THRU TRS SER 2000-1 CTF CL A-1 8.048 5-1-22BEO

        280,940.63   
  

CONTINENTAL AIRLS PASSTHRU TR 2007-1A 5.983 DUE 10-19-2023

        218,204.79   

 

 

32.


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DELTA AIR LINES INC DEL PASS THRU TRS SER 2002-1 CL G-1 6.718 01-02-2023 BEO

        587,249.54   
  

DEVELOPERS 9.625% DUE 03-15-2016

        253,903.25   
  

DEVON ENERGY CORP 3.25% DUE 05-15-2022

        106,254.63   
  

DISCOVER BK FIXED 2.6% DUE 11-13-2018

        344,724.35   
  

DUKE ENERGY 3.25% DUE 08-15-2025

        302,086.50   
  

ENBRIDGE ENERGY 5.875% DUE 10-15-2025

        115,651.32   
  

ENTERGY ARK INC 3.05% DUE 06-01-2023

        221,137.20   
  

ENTERGY TEX INC 7.125% DUE 02-01-2019

        226,450.40   
  

EQTY RESDNTL PPTY 5.125 3 15 16 5.125 DUE 03-15-2016 BEO

        554,258.65   
  

FORD MTR CR CO LLC 3.157% DUE 08-04-2020

        229,194.08   
  

FORD MTR CR CO LLC 8% DUE 12-15-2016

        158,568.15   
  

GOLDMAN SACHS GROUP INC NT FLTG RATE DUE03-22-2016 REG

        224,787.60   
  

GOLDMAN SACHS 5.35% DUE 01-15-2016

        225,235.35   
  

GOLDMAN SACHS 6.15% DUE 04-01-2018

        651,549.60   
  

HBOS PLC FR SUB MTN 09/2016 USD

        224,509.28   
  

HCP INC 4% DUE 12-01-2022

        174,190.98   
  

HEALTH CARE PPTY INVS INC NT 6.3% DUE 09-15-2016/09-14-2016

        516,930.50   
  

HLTH CARE REIT INC 6.2% DUE 06-01-2016

        458,734.05   
  

JERSEY CENT PWR & 4.8% DUE 06-15-2018

        340,369.25   
  

KAISER FOUNDATION HOSPITAL 3.5 DUE 04-01-2022 REG

        177,810.85   
  

MIDAMERICAN ENERGY 3.5% DUE 10-15-2024

        229,940.55   
  

MORGAN STANLEY GLOBAL MEDIUM TERM NT SERF 5.625 DUE 09-23-2019

        662,159.40   
  

MORGAN STANLEY MORGAN STANLEY 5.55% DUE 04-27-2017/04-27-2007

        314,772.30   
  

MYLAN N V 3% DUE 12-15-2018

        299,337.90   
  

NEXTERA ENERGY CAP 2.056% DUE 09-01-2017

        350,326.20   
  

PIEDMONT OPER 3.4% DUE 06-01-2023

        234,419.00   
  

PIONEER NAT RES CO 3.45% DUE 01-15-2021

        115,419.13   
  

PRIN LIFE GLOBAL 2.625% DUE 11-19-2020

        299,295.30   
  

PROVID HLTH & SVCS 4.379% DUE 10-01-2023

        159,854.85   
  

PUB SVC CO N MEX FIXED 3.85% DUE 08-01-2025

        173,159.18   
  

PUB SVC CO N MEX 7.95% DUE 05-15-2018

        279,763.50   
  

PVPTL UBS GROUP FDG JERSEY LTD 2.95% DUE 09-24-2020 BEO

        272,432.88   
  

PVTPL CCO SAFARI II LLC BNDS 4.464% DUE 07-23-2022 BEO

        298,953.00   
  

PVTPL CR SUISSE GROUP FDG GUERNSEY LTD GTD SR NT 144A 3.8 DUE 09-15-2022 BEO

        349,723.85   
  

PVTPL DUQUESNE LT HLDGS INC SR NT 144A 6.4% DUE 09-15-2020/09-13-2010 BEO

        396,184.95   
  

PVTPL INTL LEASE FIN CORP SR SECD NT 144A 7.125 DUE 09-01-2018/08-20-2010 BEO

        548,125.00   
  

PVTPL NATIONWIDE MUT INS CO FLTG RT SURPNT 144A 5.81 12-15-2024/2004 BEO

        241,802.25   
  

PVTPL NEW YORK LIFE GLOBAL FDG 1.55% DUE 11-02-2018

        297,556.50   

 

 

33.


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PVTPL PRICOA GLOBAL FDG I MEDIUM TERM NTS BOOK 2.55% 11-24-2020

        228,906.12   
  

PVTPL RUBY PIPELINE L L C NT 6 DUE 04-01-2022

        208,292.80   
  

PVTPL TEXAS EASTN TRANSMISSION LP SR NT 2.8 DUE 10-15-2022

        355,535.60   
  

PVTPL WEA FIN LLC/WESTFIELD UK & EUROPE FIN NT 144A 2.7 9-17-2019/09-17-2014BEO

        396,704.80   
  

RECKSON OPER PARTNERSHIP L P 6 DUE 03-31-2016 BEO

        504,663.50   
  

REGENCY ENERGY 5% DUE 10-01-2022

        442,938.50   
  

ROYAL BK SCOTLAND 4.375% DUE 03-16-2016

        503,262.00   
  

SEMPRA ENERGY 6.5% DUE 06-01-2016

        330,902.65   
  

SHELL INTERNATIONAL FIN 3.25% 05-11-2025

        146,396.25   
  

SOUTHWESTN ELEC 3.55 DUE 02-15-2022

        202,930.80   
  

TUCSON ELEC PWR CO 5.15 DUE 11-15-2021

        325,584.00   
  

U.S AWYS 2011-1 7.125% DUE 10-22-2023

        216,889.52   
  

US AWYS PASS THRU 6.25% DUE 04-22-2023

        337,714.81   
  

VENTAS RLTY LTD PARTNERSHIP 1.25 DUE 04-17-2017

        595,575.60   
  

VERIZON COMMUNICATIONS 5.15 BDS DUE 09-15-2023 USD2000 REG

        549,663.00   
  

VISA INC 3.15% DUE 12-14-2025

        200,247.20   
  

WACHOVIA BK NATL FLTG RT .60325% DUE 03-15-2016

        599,848.20   
  

WELLS FARGO & CO 2.55% DUE 12-07-2020

        288,574.36   
  

ABBEY NATL TREAS 4% DUE 04-27-2016

        252,302.00   
  

ABBVIE INC 1.75% DUE 11-06-2017

        159,689.44   
  

ABN AMRO BK N V 4.65% DUE 06-04-2018

        185,591.34   
  

ACE INA HLDGS INC 2.3% DUE 11-03-2020

        49,640.45   
  

ACE INA HLDGS INC 3.35% DUE 05-03-2026

        39,877.44   
  

ACTAVIS FDG SCS 3.45% DUE 03-15-2022

        60,065.46   
  

ACTAVIS FUNDING SCS FIXED 3.8% DUE 03-15-2025

        89,540.37   
  

AGILENT 5% DUE 07-15-2020

        343,790.72   
  

ALTRIA GROUP INC 2.85 DUE 08-09-2022 REG

        175,478.58   
  

ALTRIA GROUP INC 2.95% DUE 05-02-2023

        437,808.60   
  

ALTRIA GROUP INC 9.25% DUE 08-06-2019

        122,397.90   
  

AMERN INTL GROUP 6.4% DUE 12-15-2020

        323,017.80   
  

AMGEN INC 3.625% DUE 05-22-2024

        9,996.27   
  

ANADARKO PETE CORP 5.95% DUE 09-15-2016

        20,551.14   
  

ANADARKO PETE CORP 6.375% DUE 09-15-2017

        377,503.92   
  

ANHEUSER BUSCH GTD NT 5.375 DUE 01-15-2020

        132,786.72   
  

ANHEUSER BUSCH INBEV FIN INC 3.7 DUE 02-01-2024

        51,010.55   
  

ANHEUSER BUSCH 2.5% DUE 07-15-2022

        269,383.52   
  

APACHE CORP 3.25 DUE 04-15-2022 REG

        186,678.04   
  

AT&T INC 3.4% DUE 05-15-2025

        269,105.20   
  

AT&T INC 4.45% DUE 05-15-2021

        42,574.16   
  

AT&T INC 5.5% DUE 02-01-2018

        160,348.20   
  

BAKER HUGHES INC 3.2 DUE 08-15-2021

        109,292.70   

 

 

34.


Table of Contents

 

 

 

  

BANK AMER CORP BDS 4 04-01-2024

        470,448.90   
  

BANK AMER CORP 3.3% DUE 01-11-2023

        39,373.00   
  

BANK AMER CORP 4.1% DUE 07-24-2023

        1,013,283.74   
  

BANK AMER CORP 4% DUE 01-22-2025

        68,524.96   
  

BANK AMER CORP 5.625% DUE 07-01-2020

        33,323.07   
  

BANK AMER CORP 6.5% DUE 08-01-2016

        699,832.88   
  

BANK OF AMERICA CORP BNDS 4.2 DUE 08-26-2024

        188,513.82   
  

BANK OF AMERICA CORP 2.6 DUE 01-15-2019

        160,521.44   
  

BHP BILLITON FIN USA LTD 6.5 DUE 04-01-2019

        220,308.20   
  

BHP BILLITON FIN 3.25% DUE 11-21-2021

        131,502.28   
  

BNP PARIBAS / BNP US MEDIUM TERM NTS 2.375 DUE 09-14-2017

        121,425.48   
  

BNP PARIBAS US MEDIUM TERMTRANCHE # TR 330 2.7 DUE 08-20-2018

        294,158.60   
  

BOEING CO SR NT 6 DUE 03-15-2019

        291,699.98   
  

BOTTLING GROUP LLC 5.5% DUE 04-01-2016

        303,373.20   
  

BP CAP MKTS P L C 3.245 DUE 05-06-2022

        49,376.85   
  

BP CAP MKTS P L C 3.506% DUE 03-17-2025

        67,787.93   
  

BRIT TELECOM 2.35 DUE 02-14-2019

        260,695.76   
  

CCO SAFARI II LLC SR SECD NT 144A 4.908% 23 JUL 2025

        249,756.75   
  

CELGENE CORP 3.55% DUE 08-15-2022

        90,874.89   
  

CELGENE CORP 3.875% DUE 08-15-2025

        219,109.00   
  

CITIGROUP INC 3.5% DUE 05-15-2023

        393,286.80   
  

CITIGROUP INC 3.875% DUE 10-25-2023

        62,005.20   
  

CITIGROUP INC 4.3% DUE 11-20-2026

        39,802.56   
  

CITIGROUP INC 4.4% DUE 06-10-2025

        141,401.12   
  

CITIGROUP INC 5.5% DUE 09-13-2025

        922,669.90   
  

CNOOC FIN 2015 U S 3.5% DUE 05-05-2025

        494,959.92   
  

COMCAST CORP NEW 2.85% DUE 01-15-2023

        198,706.20   
  

COMCAST CORP NEW 3.375 DUE 02-15-2025

        50,461.10   
  

COMCAST CORP NEW 5.15% DUE 03-01-2020

        256,985.67   
  

CONOCOPHILLIPS 6 DUE 01-15-2020

        22,282.12   
  

COOPERATIEVE 4.375% DUE 08-04-2025

        254,263.25   
  

COOPERATIEVE 4.625% DUE 12-01-2023

        1,563,217.50   
  

CR SUISSE AG FIXED 3.625% DUE 09-09-2024

        251,966.00   
  

CVS CAREMARK CORP 4 DUE 12-05-2023

        259,804.75   
  

CVS HEALTH CORP 2.8% DUE 07-20-2020

        170,763.64   
  

CVS HEALTH CORP 3.875% DUE 07-20-2025

        204,116.00   
  

CVS HEALTH CORP 4.125% DUE 05-15-2021

        317,352.90   
  

DEUTSCHE BK AG 6% DUE 09-01-2017

        360,120.86   
  

DEUTSCHE TELEKOM 5.75% DUE 03-23-2016

        232,124.97   
  

DEVON ENERGY CORP 6.3% DUE 01-15-2019

        324,544.50   
  

DIAGEO CAP PLC GTD NT 4.828 DUE 07-15-2020

        436,797.20   

 

 

35.


Table of Contents

 

 

 

  

DUKE ENERGY CORP 3.55% DUE 09-15-2021

        163,400.16   
  

EATON CORP OHIO 2.75% DUE 11-02-2022

        299,969.02   
  

ECOLAB INC 4.35% DUE 12-08-2021

        42,710.76   
  

ECOPETROL S A 5.375% DUE 06-26-2026

        144,925.00   
  

EL PASO NAT GAS CO 5.95% DUE 04-15-2017

        606,847.20   
  

ENSCO PLC FORMERLY 4.7% DUE 03-15-2021

        88,569.69   
  

FORD MTR CR CO LLC 8.125% DUE 01-15-2020

        800,891.76   
  

FREEPORT-MCMORAN 4% DUE 11-14-2021

        24,000.00   
  

GEN ELEC CAP CORP MEDIUM TERM NTS BO TRANCHE # TR 00849 4.65 DUE 10-17-2021

        311,114.21   
  

GEN ELEC CAP CORP 5.3% DUE 02-11-2021

        157,866.80   
  

GEN ELEC CAP CORP 6% DUE 08-07-2019

        114,416.84   
  

GEN MTRS FINL CO 3.7% DUE 11-24-2020

        80,216.40   
  

GILEAD SCIENCES 2.05% DUE 04-01-2019

        400,738.80   
  

GLENCORE FDG LLC 2.875% DUE 04-16-2020

        249,600.00   
  

GOLDMAN SACHS GROUP INC SR NT 3.625 01-22-2023

        455,109.75   
  

GOLDMAN SACHS GROUP INC 7.5 02-15-2019 MTN1

        400,491.35   
  

GOLDMAN SACHS 4.25% DUE 10-21-2025

        89,312.13   
  

GOLDMAN SACHS 4% DUE 03-03-2024

        431,079.60   
  

GOLDMAN SACHS 6 DUE 06-15-2020

        1,310,927.60   
  

HALLIBURTON CO 2.7% DUE 11-15-2020

        19,768.96   
  

HALLIBURTON CO 3.8% DUE 11-15-2025

        126,583.86   
  

HESS CORP NT 8.125 DUE 02-15-2019 REG

        102,003.84   
  

HSBC FIN CORP 6.676% DUE 01-15-2021

        114,767.60   
  

HSBC HLDGS PLC 4.25% DUE 08-18-2025

        208,405.47   
  

HUMANA INC 3.15 DUE 12-01-2022

        38,883.28   
  

HUMANA INC 7.2% DUE 06-15-2018

        234,972.78   
  

INTEL CORP 3.7% DUE 07-29-2025

        20,687.10   
  

INTESA SANPAOLO S 3.125% DUE 01-15-2016

        200,099.80   
  

KIMBERLY CLARK 6.125% DUE 08-01-2017

        150,414.88   
  

KLA-TENCOR CORP 4.125% DUE 11-01-2021

        260,377.52   
  

KRAFT FOODS GROUP 5.375% DUE 02-10-2020

        209,133.73   
  

KROGER CO 4 DUE 02-01-2024

        259,100.25   
  

LLOYDS BK PLC NY BRNCH GTD SR NT 2.3 DUE11-27-2018 REG

        250,992.50   
  

MASTERCARD INC 3.375 DUE 04-01-2024 BEO

        183,949.38   

*

  

MCDONALDS CORP 2.75% DUE 12-09-2020

        269,813.97   
  

MEDTRONIC INC 3.125 DUE 03-15-2022 REG

        191,922.80   
  

MEDTRONIC INC 3.5% DUE 03-15-2025 REG

        292,369.30   
  

MERCK & CO INC NEW FIXED 2.75% DUE 02-10-2025

        68,145.56   
  

MERRILL LYNCH & CO INC MEDIUM TERM NTS BTRANCHE # TR 00677 6.875% DUE 04-25-2018

        165,488.55   
  

MERRILL LYNCH & CO INC SUB NT 5.7% DUE 05-02-2017/05-02-2007

        521,438.00   

 

 

36.


Table of Contents

 

 

 

  

METLIFE INC FIXED 2.463% DUE 12-15-2017

        100,588.30   
  

METLIFE INC SR NT SER D STEP UP 09-15-2023 09-11-2015

        483,162.75   
  

METLIFE INC 6.75% DUE 06-01-2016

        286,413.68   
  

MONDELEZ INTL INC 4 DUE 02-01-2024

        298,930.55   
  

MORGAN STANLEY MORGAN STANLEY 5.55% DUE 04-27-2017/04-27-2007

        482,650.86   
  

NBCUNIVERSAL MEDIA LLC SR NT 4.375 4-1-2021

        10,862.30   
  

NOBLE ENERGY INC 4.15% DUE 12-15-2021

        271,359.48   
  

OCCIDENTAL PETE 3.125% DUE 02-15-2022

        87,999.57   
  

ORACLE CORP 1.2% DUE 10-15-2017

        190,100.70   
  

PEPSICO INC SR NT 2.5% DUE 05-10-2016

        100,609.50   
  

PEPSICO INC 7.9% DUE 11-01-2018

        108,973.49   
  

PERRIGO CO PLC 2.3% DUE 11-08-2018

        404,180.05   
  

PHILIP MORRIS INTL 5.65% DUE 05-16-2018

        414,589.88   
  

PHILLIPS 66 2.95% DUE 05-01-2017

        101,359.20   
  

PLAINS EXPL & 6.875 DUE 02-15-2023

        110,880.00   
  

PLAINS EXPLORATION 6.5 15 NOV 2020

        16,770.00   
  

POTASH CORP SASK 4.875% DUE 03-30-2020

        32,522.55   
  

PVTPL AVIATION CAP GROUP CORP SR NT 144A6.75% DUE 04-06-2021 BEO

        123,200.00   
  

PVTPL BAXALTA INC SR NT 4% DUE 06-23-2025

        257,297.82   
  

PVTPL GE CAP INTL FDG CO MEDIUM TERM NTSBOOK TR 00126 2.342 11-15-20 BEO

        1,077,934.42   
  

PVTPL HEINZ H J CO 4.875% DUE 02-15-2025

        340,152.00   
  

PVTPL HYUNDAI CAP AMER 2.4% DUE 10-30-2018 BEO

        219,317.56   
  

PVTPL INTL LEASE FIN CORP SR SECD NT 144A 6.75 DUE 09-01-2016/08-20-2010 BEO

        113,025.00   
  

PVTPL UBS GROUP FDG JERSEY LTD SR NT 144A 4.125% DUE 09-24-2025 BEO

        249,740.75   
  

PVTPL WRIGLEY WM JR CO NT 2.9 DUE 10-21-2019

        504,627.00   
  

RABOBANK NEDERLAND UTREC 3.375 19 JAN 2017

        235,113.82   
  

REYNOLDS AMERN INC FIXED 4.45% DUE 06-12-2025

        198,707.89   
  

REYNOLDS AMERN INC 3.25% DUE 06-12-2020

        81,304.24   
  

REYNOLDS AMERN INC 8.125% DUE 06-23-2019

        305,946.42   
  

ROYAL BK SCOTLAND 6.4% DUE 10-21-2019

        443,791.60   
  

SANTANDER HLDGS 3.45% DUE 08-27-2018

        172,829.82   
  

SANTANDER HLDGS 4.625% DUE 04-19-2016

        393,421.47   
  

SCHLUMBERGER HLDGS CORP 144A 3.0% 12-21-2020 BEO

        286,253.49   
  

SHELL INTERNATIONAL FIN 3.25% 05-11-2025

        165,915.75   
  

SHELL INTL FIN B V GTD NT 4.375 DUE 03-25-2020

        123,513.57   
  

SHELL INTL FIN B V 2.25% DUE 11-10-2020

        325,145.37   
  

SINOPEC GRP 4.375 DUE 04-10-2024

        537,234.36   
  

SYNCHRONY FINANCIAL 3 NTS 08-15-2019 USD1000

        119,833.44   
  

THERMO FISHER SCIENTIFIC INC 2.4 DUE 02-01-2019 REG

        149,934.15   
  

THERMO FISHER 3.6% DUE 08-15-2021

        81,235.44   

 

 

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TIME WARNER CABLE INC 8.25 DUE 04-01-2019 REG

        11,483.00   
  

TIME WARNER CABLE 4% DUE 09-01-2021

        555,352.05   
  

TIME WARNER INC NEW NT 4.75 DUE 03-29-2021

        214,978.20   
  

TOYOTA MTR CR CORP MEDIUM TERM NTS BOOK TRANCHE # TR 00893 1.375 01-10-2018

        260,528.32   
  

TYSON FOODS INC 3.9 DUE 08-15-2024

        236,143.07   
  

UNITEDHEALTH GROUP 1.625% DUE 03-15-2019

        474,695.52   
  

UNITEDHEALTH GROUP 2.875% DUE 03-15-2023

        247,343.00   
  

UTD TECHNOLOGIES 4.5% DUE 04-15-2020

        65,659.14   
  

VERIZON COMMUNICATIONS 5.15 BDS DUE 09-15-2023 USD2000 REG

        978,400.14   
  

VERIZON NT 6.35 DUE 04-01-2019

        123,753.74   
  

VERIZON 2.45% DUE 11-01-2022

        18,931.60   
  

VERIZON 2.625% DUE 02-21-2020

        257,893.59   
  

VIACOM INC NEW 3.875% DUE 04-01-2024

        28,111.29   
  

VISA INC 2.2% DUE 12-14-2020

        279,478.92   
  

VISA INC 3.15% DUE 12-14-2025

        140,173.04   
  

WAL-MART STORES 4.25% DUE 04-15-2021

        220,196.00   
  

WASTE MGMT INC DEL 3.5% DUE 05-15-2024

        120,962.04   
  

WELLPOINT INC NT 4.35 DUE 08-15-2020

        180,056.01   
  

WELLPOINT INC 3.125% DUE 05-15-2022

        78,514.48   
  

WELLPOINT INC 3.7% DUE 08-15-2021

        81,763.36   
  

WELLS FARGO & CO NEW MEDIUM TERM SR 4.125 DUE 08-15-2023

        321,957.01   
  

WELLS FARGO & CO NEW MEDIUM TERM SR NTS 1.5 01-16-2018

        79,659.20   
  

WELLS FARGO & CO STEP CPN 3.676% DUE 06-15-2016

        536,624.47   
  

WELLS FARGO & CO TRANCHE # SR 00129 3.45DUE 02-13-2023

        140,329.84   
  

WELLS FARGO & COMPANY 4.6 MTN TRANCHE # SR 00116 DUE 04-01-2021 USD1000

        545,066.00   
  

WELLS FARGO BANK NATL ASSOCIATION TRANCHE # SB 00008 6% DUE 11-15-2017

        269,631.50   
  

WESTPAC BKG CORP 4.875% DUE 11-19-2019

        217,853.80   
  

WYETH 5.45% DUE 04-01-2017

        241,682.16   
  

ZOETIS INC 1.875% DUE 02-01-2018

        69,064.45   
   TOTAL CORPORATE BONDS         78,825,226.46   
   UNITED STATES TREASURIES      
  

UNITED STATES TREAS NTS 1% DUE 12-31-2017 REG

        1,203,493.75   
  

UNITED STATES TREAS NTS 1.625% DUE 11-30-2020 REG

        1,595,469.51   
  

UNITED STATES TREAS NTS DTD 10/31/2012 .75% DUE 10-31-2017 REG

        4,366,680.32   
  

UNITED STATES TREAS NTS DTD 10/31/2015 1.375% DUE 10-31-2020 REG

        1,100,225.28   
  

UNITED STATES TREAS NTS DTD 11/15/2015 2.25% DUE 11-15-2025 REG

        2,783,786.67   
  

UNITED STATES TREAS NTS DTD 11/30/2015 .875% DUE 11-30-2017 REG

        578,323.22   

 

 

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UNITED STATES TREAS NTS DTD 12/31/2015 1.75% DUE 12-31-2020 REG

        1,133,758.31   
  

US TREASURY N/B 3.0% 11-15-2045 REG

        1,111,646.08   
  

FNMA FLTG RT 10-05-2017

        533,971.73   
  

FNMA TRANCHE 00623 07-20-2017

        534,198.04   
  

UNITED STATES OF AMER TREAS BILLS 04-07-2016 DTD 10/08/2015

        1,954,233.64   
  

UNITED STATES TREAS BILLS 01-14-2016

        404,987.45   
  

UNITED STATES TREAS BILLS 0% 01-07-2016

        54,999.78   
  

UNITED STATES TREAS BILLS 02-04-2016 DTD02/05/2015

        664,942.15   
  

UNITED STATES TREAS BILLS 02-25-2016 UNITED STATES TREAS BILLS

        399,951.60   
  

TSY INFL IX N/B TREAS BONDS 0.75% 02-15-2045

        321,509.35   
  

UNITED STATES OF AMER INFL INDXD TREAS NOTES 0.25% TB 01-15-25 USD1000 A-2025

        594,252.78   
  

UNITED STATES OF AMER TREAS BONDS 0.625% TIPS INFL IDX 02-15-2043 USD1000

        126,938.39   
  

UNITED STATES OF AMER TREAS NOTES INFLATION INDEX 0.125 NTS 07-15-2024

        442,360.57   
  

UNITED STATES TREAS BDS 1.375 02-15-2044 REG

        778,943.53   
  

UNITED STATES TREAS INFL NTS 0.375% DTD 07/15/2015 07-15-2025

        53,406.29   
  

US TREAS NTS INFLATION LINKED 2.50 DUE 07-15-2016 REG

        89,751.72   
  

USA TREASURY NTS TIPS DTD 00340 04-15-2016

        150,265.53   
  

FFCB TRANCHE 09-18-2017

        1,108,094.13   
  

FHLMC TRANCHE # TR 00775 04-20-2017

        1,113,302.97   
  

FNMA FLTG RT 10-05-2017

        1,112,856.97   
  

UNITED STATES TREAS NTS DTD 10/31/2012 .75% DUE 10-31-2017 REG

        13,900,764.80   
  

UNITED STATES TREAS NTS DTD 10/31/2015 1.375% DUE 10-31-2020 REG

        3,796,759.56   
  

UNITED STATES TREAS NTS DTD 11/15/2015 2.25% DUE 11-15-2025 REG

        6,146,281.68   
  

UNITED STATES TREAS NTS DTD 11/30/2015 .875% DUE 11-30-2017 REG

        8,585,108.49   
  

UNITED STATES TREAS NTS DTD 12/31/2015 1.75% DUE 12-31-2020 REG

        3,895,733.40   
  

UNITED STATES TREAS NTS 1.625% DUE 11-30-2020 REG

        15,114,712.71   
  

UNITED STATES TREAS NTS 1% DUE 12-31-2017 REG

        7,650,425.00   
  

UNITED STATES OF AMER INFL INDXD TREAS NOTES 0.25% TB 01-15-25 USD1000 A-2025

        2,233,240.30   
  

UNITED STATES TREAS INFL NTS 0.375% DTD 07/15/2015 07-15-2025

        131,088.16   
  

UNITED STATES OF AMER TREAS BILLS 04-07-2016 DTD 10/08/2015

        3,388,671.12   
  

UNITED STATES TREAS BILLS 01-14-2016

        904,971.95   
  

UNITED STATES TREAS BILLS 02-04-2016 DTD02/05/2015

        609,946.93   
  

UNITED STATES TREAS BILLS 02-11-2016 UNITED STATES TREAS BILLS

        2,279,683.08   
  

NEW YORK N Y CITY TRANSITIONAL FIN AUTH REV 5.267% 05-01-2027 BEO TAXABLE

        283,012.50   
  

FHLB BD 5.625 06-11-2021

        1,185,192.00   
  

FHLMC PREASSIGN 00074 2.375 01-13-2022

        932,780.64   
  

FHLMC 1.25 10-02-2019

        1,578,190.40   

 

 

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PETROLEOS 3.5% DUE 01-30-2023

        680,550.00   
  

RESOLUTION FDG CORP FED BOOK ENTRY PRIN STRIPS GENERIC PRIN PMT 10-15-2019

        698,272.50   
  

TENNESSEE VALLEY AUTH 2011 GLOBAL PWR BDSER A 3.875% DUE 02-15-2021 REG

        2,696,111.21   
  

PERU REP BD 6.55 DUE 03-14-2037 BEO

        404,250.00   
  

REPUBLIC OF COLOMBIA 5.625 02-26-2044 REG

        319,375.00   
  

STATE TREAS REP POLAND NT 5.125% DUE 04-21-2021 REG

        411,917.30   
  

STATE TREAS REP POLAND 4 DUE 01-22-2024 REG

        452,360.00   
  

UNITED MEXICAN STS 3.5 01-21-2021 REG

        213,150.00   
  

UNITED STATES TREAS BDS 00245 2.875% DUE 08-15-2045 REG

        19,424.22   
  

UNITED STATES TREAS BDS 3.125 DUE 08-15-2044

        715,394.40   
  

UNITED STATES TREAS BDS 3.375 05-15-2044REG

        1,266,379.54   
  

UNITED STATES TREAS BDS 3% DUE 05-15-2045

        1,124,835.90   
  

UNITED STATES TREAS NTS .875% DUE 11-15-2017

        19,930.46   
  

UNITED STATES TREAS NTS .875 DUE 04-15-2017 REG

        209,950.86   
  

UNITED STATES TREAS NTS DTD 05/31/2013 1% DUE 05-31-2018 REG

        378,055.54   
  

UNITED STATES TREAS NTS DTD 05/31/2014 1.5% DUE 05-31-2019 REG

        100,093.80   
  

UNITED STATES TREAS NTS DTD 08/15/2013 2.5% DUE 08-15-2023 REG

        1,056,756.31   
  

UNITED STATES TREAS NTS DTD 08/15/2015 2% DUE 08-15-2025 REG

        263,260.53   
  

UNITED STATES TREAS NTS DTD 10/31/2012 .75% DUE 10-31-2017 REG

        6,226,746.88   
  

UNITED STATES TREAS NTS DTD 11/15/2013 2.75% DUE 11-15-2023 REG

        130,454.13   
  

UNITED STATES TREAS NTS DTD 11/15/2014 2.25% DUE 11-15-2024 REG

        9,994.92   
  

UNITED STATES TREAS NTS DTD 2.75% DUE 02-15-2024 REG

        999,937.92   
  

UNITED STATES TREAS NTS DTD 604 2.375% DUE 08-15-2024 REG

        80,834.40   
  

US TREAS NTS DTD 1.625 DUE 03-31-2019 REG

        110,687.50   
  

US TREASURY N/B 3.0% 11-15-2045 REG

        408,766.72   
  

UTD STATES TREAS .75% DUE 03-15-2017

        99,855.50   
  

UTD STATES TREAS .875% DUE 10-15-2017

        69,789.44   
  

UTD STATES TREAS 1.625% DUE 04-30-2019

        30,174.60   
  

UTD STATES TREAS 1.625% DUE 06-30-2019

        110,494.12   
  

UTD STATES TREAS 1.875% DUE 05-31-2022

        1,455,758.64   
  

UTD STATES TREAS 1.875% DUE 10-31-2022

        898,483.04<