Page 1 of 23 - individual.troweprice.com. Rowe Price Balanced Fund 12/31/2017 (Unaudited) Portfolio...

T. Rowe Price Balanced Fund 12/31/2017

(Unaudited)

Portfolio of Investments

Investments in Securities Coupon % Maturity Shares/Par Value ($) % of Net Assets

21ST CENTURY FOX AMERICA 3.7 10/15/25 525,000 547,932 0.014%

21ST CENTURY FOX AMERICA 4.5 2/15/21 475,000 502,648 0.012%

ABB 274,303 7,347,030 0.181%

Abbott Laboratories 89,310 5,096,922 0.126%

ABBOTT LABORATORIES 3.4 11/30/23 1,830,000 1,861,906 0.046%

ABBOTT LABORATORIES 4.75 11/30/36 2,460,000 2,764,651 0.068%

AbbVie 31,600 3,056,036 0.075%

ABBVIE INC 3.6 5/14/25 1,630,000 1,675,185 0.041%

ABBVIE INC 3.2 5/14/26 420,000 418,631 0.010%

ABBVIE INC 4.5 5/14/35 1,900,000 2,087,283 0.051%

Abn Amro 91,268 2,942,559 0.073%

ABN AMRO BANK NV 144A 4.75 7/28/25 940,000 997,323 0.025%

Accenture 20,700 3,168,963 0.078%

ACE INA HOLDINGS 5.9 6/15/19 335,000 353,068 0.009%

ACTAVIS FUNDING SCS 3.45 3/15/22 3,080,000 3,126,342 0.077%

Activision Blizzard 40,300 2,551,796 0.063%

Acuity Brands 4,800 844,800 0.021%

AERCAP IRELAND CAP/GLOBA 3.5 5/26/22 560,000 567,000 0.014%

AESOP 2013-1A A 144A 1.92 9/20/19 2,335,000 2,331,424 0.057%

AESOP 2014-1A A 144A 2.46 7/20/20 2,875,000 2,879,085 0.071%

Aetna 88,994 16,053,628 0.396%

AFIN 2015-4 A4 2.01 7/20/20 410,000 409,875 0.010%

Agilent Technologies 82,321 5,513,037 0.136%

AGILENT TECHNOLOGIES INC 3.2 10/1/22 710,000 715,129 0.018%

AGILENT TECHNOLOGIES INC 3.88 7/15/23 975,000 1,010,897 0.025%

AHPT 2017-ATRM A 144A 2.41 11/15/19 2,530,000 2,530,000 0.062%

AHS HOSPITAL CORP 5.02 7/1/45 1,600,000 1,928,032 0.048%

AIA Group 695,200 5,913,129 0.146%

AIA GROUP LTD 144A 2.25 3/11/19 395,000 393,461 0.010%

AIA GROUP LTD 144A 3.2 3/11/25 1,020,000 1,014,493 0.025%

AIG GLOBAL FUNDING 144A 2.15 7/2/20 615,000 607,339 0.015%

AIR LEASE CORP 3.63 4/1/27 1,025,000 1,023,405 0.025%

Air Liquide 34,444 4,330,104 0.107%

Air Products & Chemicals 12,200 2,001,776 0.049%

Aisin Seiki 44,500 2,493,005 0.061%

ALABAMA POWER CO 3.75 3/1/45 1,065,000 1,084,369 0.027%

Alaska Air Group 38,400 2,822,784 0.070%

ALBERTA 2.2 7/26/22 3,050,000 3,006,245 0.074%

ALEXANDRIA REAL ESTATE E 3.95 1/15/27 655,000 668,255 0.016%

Alexion Pharmaceuticals 60,747 7,264,734 0.179%

ALFA S.A. 144A 5.25 3/25/24 395,000 419,688 0.010%

ALIBABA GROUP HOLDING 4 12/6/37 585,000 606,163 0.015%

Alibaba Group Holding, ADR 148,535 25,611,890 0.632%

Allegion 7,900 628,524 0.015%

Allergan 12,481 2,041,642 0.050%

ALLSTATE CORP 5.55 5/9/35 1,000,000 1,233,343 0.030%

Ally Financial 44,000 1,283,040 0.032%

ALM 2014-11A A2AR 144A 2.9 10/17/26 815,000 815,840 0.020%

ALM 2014-14A A1R 144A 2.53 7/28/26 825,000 825,000 0.020%

ALM 2014-14A A2R 144A 2.93 7/28/26 855,000 855,000 0.021%

Alphabet Class A 16,670 17,560,178 0.433%

Alphabet Class C 32,254 33,750,586 0.832%

Altaba 30,900 2,158,365 0.053%

Altria Group 40,095 2,863,184 0.071%

ALTRIA GROUP INC 4.75 5/5/21 535,000 573,231 0.014%

Amazon.com 53,294 62,325,734 1.537%

AMAZON.COM INC 5.2 12/3/25 1,850,000 2,122,875 0.052%

AMAZON.COM INC 144A 2.8 8/22/24 1,055,000 1,051,529 0.026%

AMAZON.COM INC 144A 3.88 8/22/37 1,645,000 1,745,582 0.043%

Amcor 342,241 4,100,842 0.101%

AMER AIRLINE 16-1 B PTT 5.25 7/15/25 2,284,357 2,414,295 0.060%

AMER AIRLN 14-1 A PTT 3.7 4/1/28 1,071,604 1,091,787 0.027%

America Movil, ADR 148,300 2,543,345 0.063%

Page 1 of 23

AMERICA MOVIL SA DE CV 6.38 3/1/35 300,000 380,442 0.009%

American Airlines 312,315 16,249,749 0.401%

AMERICAN AIRLINES 2013-2 4.95 7/15/24 747,717 789,337 0.019%

AMERICAN CAMPUS CMNTYS 3.35 10/1/20 585,000 596,238 0.015%

American Electric Power 86,025 6,328,859 0.156%

American Express 500 49,655 0.001%

AMERICAN EXPRESS CREDIT 2.2 3/3/20 1,750,000 1,744,134 0.043%

AMERICAN EXPRESS CREDIT 2.13 7/27/18 1,675,000 1,677,171 0.041%

American International Group 124,452 7,414,850 0.183%

AMERICAN INTL GROUP 2.3 7/16/19 1,080,000 1,079,344 0.027%

American Tower, REIT 47,967 6,843,452 0.169%

American Water Works 7,400 677,026 0.017%

Ameriprise Financial 13,757 2,331,399 0.057%

AmerisourceBergen 3,800 348,916 0.009%

Amgen 11,001 1,913,074 0.047%

AMGEN INC 5.75 3/15/40 325,000 402,987 0.010%

Analog Devices 15,000 1,335,450 0.033%

Andeavor 35,872 4,101,604 0.101%

ANHEUSER-BUSCH INBEV FIN 3.65 2/1/26 2,305,000 2,377,538 0.059%

Anthem 47,768 10,748,278 0.265%

ANTHEM INC 2.5 11/21/20 695,000 693,475 0.017%

ANTHEM INC 1.88 1/15/18 290,000 290,009 0.007%

ANTHEM INC 4.65 1/15/43 915,000 1,011,091 0.025%

Antofagasta 197,335 2,663,252 0.066%

ANZ NEW ZEALAND INTL/LDN 144A 2.2 7/17/20 930,000 923,197 0.023%

AON PLC 2.8 3/15/21 2,085,000 2,090,884 0.052%

A.O. Smith 9,100 557,648 0.014%

Apache 30,000 1,266,600 0.031%

APPALACHIAN POWER CO 4.45 6/1/45 2,450,000 2,726,924 0.067%

Apple 192,959 32,654,452 0.805%

APPLE INC 1.9 2/7/20 2,400,000 2,388,785 0.059%

APPLE INC 3.2 5/11/27 7,495,000 7,583,006 0.187%

Applied Materials 62,587 3,199,447 0.079%

Aptiv 10,400 882,232 0.022%

APTIV PLC 3.15 11/19/20 1,825,000 1,851,156 0.046%

APT PIPELINES LTD 144A 4.25 7/15/27 620,000 641,450 0.016%

Aramark 11,800 504,332 0.012%

ARBYS 2015-1A A2 144A 4.97 10/30/45 3,160,500 3,212,775 0.079%

Asahi Kasei 445,000 5,726,883 0.141%

ASML Holding 6,000 1,042,920 0.026%

ASML Holding 26,726 4,646,540 0.115%

Astellas Pharma 583,400 7,411,088 0.183%

Atmos Energy 25,120 2,157,557 0.053%

ATMOS ENERGY CORP 4.15 1/15/43 1,500,000 1,618,836 0.040%

AT&T 80,174 3,117,165 0.077%

Australia & New Zealand Banking 329,068 7,341,192 0.181%

Autoliv 33,250 4,238,298 0.105%

AUTORIDAD CANAL DE PANAM 144A 4.95 7/29/35 510,000 570,563 0.014%

AutoZone 1,589 1,130,367 0.028%

AUTOZONE INC 4 11/15/20 825,000 855,323 0.021%

AUTOZONE INC 3.13 4/21/26 650,000 632,349 0.016%

AvalonBay Communities, REIT 4,900 874,209 0.022%

Aviva 643,810 4,390,992 0.108%

AVNET INC 4.63 4/15/26 895,000 929,297 0.023%

AXA 411,624 12,197,745 0.301%

Baidu, ADR 17,100 4,004,991 0.099%

BAIDU INC 2.75 6/9/19 1,240,000 1,242,181 0.031%

Baker Hughes A Ge 40,100 1,268,764 0.031%

Ball 118,078 4,469,252 0.110%

BALTIMORE GAS & ELECTRIC 3.35 7/1/23 1,750,000 1,783,955 0.044%

BANCO SANTANDER SA 3.13 2/23/23 1,000,000 993,907 0.025%

Bank of America 103,954 3,068,722 0.076%

BANK OF AMERICA CORP 4.2 8/26/24 600,000 629,253 0.016%

BANK OF MONTREAL 2.38 1/25/19 1,600,000 1,602,358 0.040%

Bank of New York Mellon 103,919 5,597,077 0.138%

BANQUE FED CRED MUTUEL 144A 2.5 10/29/18 2,000,000 2,007,874 0.050%

Barclays, ADR 125,617 1,369,225 0.034%

BARCLAYS PLC 3.25 1/12/21 1,800,000 1,816,304 0.045%

BASF 46,705 5,120,337 0.126%

BAT CAPITAL CORP 144A 2.76 8/15/22 2,205,000 2,192,592 0.054%

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BAXALTA INC 2.88 6/23/20 1,040,000 1,045,585 0.026%

Bayer 120,070 14,920,286 0.368%

BAYLOR SCOTT & WHITE HOL 3.97 11/15/46 1,850,000 1,922,620 0.047%

BB&T CORPORATION 2.25 2/1/19 1,200,000 1,201,372 0.030%

BEAM INC 1.75 6/15/18 1,350,000 1,349,127 0.033%

BECTON DICKINSON AND CO 3.7 6/6/27 3,000,000 3,022,671 0.075%

BECTON DICKINSON AND CO CVT 6.125000 A 18,563 1,070,179 0.026%

Becton, Dickinson & Company 88,643 18,974,921 0.468%

Berkshire Hathaway 21,574 4,276,398 0.105%

BERMUDA 144A 4.14 1/3/23 615,000 647,976 0.016%

BERMUDA 144A 4.85 2/6/24 1,305,000 1,419,357 0.035%

BERMUDA 144A 5.6 7/20/20 300,000 323,601 0.008%

BHP Billiton 202,394 4,092,481 0.101%

BHP Billiton Limited 54,734 1,257,291 0.031%

Biogen 26,314 8,382,851 0.207%

BIOGEN INC 3.63 9/15/22 1,095,000 1,132,309 0.028%

BioMarin Pharmaceutical 4,800 428,016 0.011%

Black Knight 9,151 404,017 0.010%

BlackRock 1,600 821,936 0.020%

BMW 30,995 3,213,627 0.079%

BMWLT 2017-2 A3 2.07 10/20/20 730,000 727,987 0.018%

BNP Paribas 138,534 10,305,346 0.254%

BNP PARIBAS 2.7 8/20/18 1,340,000 1,344,965 0.033%

BOAMS 2004-I 3A2 3.77 10/25/34 24,838 25,075 0.001%

BOARDWALK PIPELINES LP 4.95 12/15/24 780,000 826,770 0.020%

BOARDWALK PIPELINES LP 4.45 7/15/27 385,000 390,542 0.010%

Boeing 102,698 30,286,667 0.747%

BORAL FINANCE PTY LTD 144A 3 11/1/22 220,000 217,995 0.005%

BOSTON PROPERTIES LP 3.65 2/1/26 1,165,000 1,181,738 0.029%

BOSTON PROPERTIES LP 4.13 5/15/21 375,000 392,019 0.010%

BOSTON PROPERTIES LP 3.13 9/1/23 625,000 630,171 0.016%

Boston Scientific 22,600 560,254 0.014%

BP, ADR 26,200 1,101,186 0.027%

BP CAPITAL MARKETS PLC 1.77 9/19/19 680,000 675,052 0.017%

BPCE SA 144A 5.7 10/22/23 1,700,000 1,883,037 0.046%

BPCE SA 144A 4.5 3/15/25 1,000,000 1,044,679 0.026%

BPCE SA 144A 3 5/22/22 425,000 424,564 0.010%

BRASKEM NETHERLANDS 144A 3.5 1/10/23 1,030,000 1,014,035 0.025%

Brighthouse Financial 5,146 301,761 0.007%

Bristol-Myers Squibb 14,500 888,560 0.022%

British American Tobacco 57,002 3,853,267 0.095%

BRITISH SKY BROADCASTING 144A 2.63 9/16/19 355,000 355,000 0.009%

BRIXMOR OPERATING PART 3.9 3/15/27 565,000 558,328 0.014%

BRIXMOR OPERATING PART 4.13 6/15/26 1,220,000 1,231,306 0.030%

BRIXMOR OPERATING PART 3.88 8/15/22 865,000 884,821 0.022%

Broadcom 95,261 24,472,551 0.603%

BROADCOM CRP/CAYMN FI 144A 3 1/15/22 2,675,000 2,656,419 0.066%

BUCKEYE PARTNERS LP 6.05 1/15/18 300,000 300,401 0.007%

Bunge Limited 42,228 2,832,654 0.070%

Burberry 209,752 5,057,095 0.125%

BURLINGTN NORTH SANTA FE 4.38 9/1/42 1,400,000 1,565,711 0.039%

BURLINGTON NORTH SANTA FE 6.15 5/1/37 650,000 880,099 0.022%

CAMDEN PROPERTY TRUST 2.95 12/15/22 565,000 564,615 0.014%

CANADIAN NATL RESOURCES 1.75 1/15/18 415,000 414,964 0.010%

Canadian Natural Resources 40,500 1,446,660 0.036%

Canadian Pacific Railway 6,400 1,169,664 0.029%

CANADIAN PACIFIC RR CO 7.25 5/15/19 200,000 213,032 0.005%

CAPITAL ONE BANK USA NA 2.15 11/21/18 1,000,000 999,436 0.025%

Capital One Financial 6,200 617,396 0.015%

CARMX 2017-4 A3 2.11 10/17/22 515,000 512,395 0.013%

CARPENTER TECHNOLOGY 4.45 3/1/23 790,000 805,112 0.020%

CAS 2016-C04 1M1 3 1/25/29 631,950 638,095 0.016%

CAS 2016-C07 2M1 2.85 5/25/29 425,627 428,303 0.011%

CA ST TXBLE BUILD AMERICA 7.63 3/1/40 2,200,000 3,441,790 0.085%

Caterpillar 13,900 2,190,362 0.054%

CATHOLIC HEALTH INITIATI 2.6 8/1/18 360,000 360,895 0.009%

CA UNIV REVS BUILD AMERICA 5.77 5/15/43 750,000 980,970 0.024%

Cboe Global Markets 7,100 884,589 0.022%

CC HOLDINGS GS V LLC/CRO 3.85 4/15/23 440,000 454,095 0.011%

CDK Global 17,500 1,247,400 0.031%

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Celgene 30,956 3,230,568 0.080%

CELGENE CORP 4.63 5/15/44 1,200,000 1,278,055 0.032%

CELGENE CORP 3.55 8/15/22 1,700,000 1,745,558 0.043%

CELULOSA ARAUCO CONSTITU 144A 3.88 11/2/27 1,030,000 1,025,520 0.025%

Centene 9,999 1,008,699 0.025%

Central Japan Railway 25,900 4,635,078 0.114%

CF Industries 85,700 3,645,678 0.090%

CGCMT 2014-GC21 AS 4.03 5/10/47 235,000 244,021 0.006%

CGCMT 2014-GC25 A1 1.49 10/10/47 221,540 220,925 0.005%

Challenger Ltd/Australia 525,108 5,726,565 0.141%

Charles Schwab 82,091 4,217,015 0.104%

CHARTER COMM OPT LLC/CAP WI 4.91 7/23/25 2,465,000 2,607,272 0.064%

CHARTER COMM TL H 1L BANKDEBT 3.25 1/15/22 0 0 0.000%

Charter Communications 13,122 4,408,467 0.109%

CHARTER COMMUNICATIONS TL B 1L BANKDEBT 3.57 4/15/25 1,585,000 1,585,571 0.039%

Chevron 61,258 7,668,889 0.189%

CHICAGO IL INTL ARPT BLD AMERICA 6.4 1/1/40 755,000 1,053,814 0.026%

CHICAGO IL WTR REC BLD AMERICA 5.72 12/1/38 500,000 650,150 0.016%

C.H. Robinson Worldwide 10,521 937,316 0.023%

Chubb 82,928 12,118,269 0.299%

Church & Dwight 18,200 913,094 0.023%

Cigna 40,815 8,289,118 0.204%

Cintas 6,100 950,563 0.023%

Cisco Systems 283,325 10,851,348 0.268%

CITIBANK NA 2.13 10/20/20 2,000,000 1,979,350 0.049%

Citigroup 265,591 19,762,626 0.487%

CITIGROUP INC 3.89 1/10/28 3,335,000 3,435,517 0.085%

CITIGROUP INC 2.35 8/2/21 1,460,000 1,441,566 0.036%

CITIZENS BANK NA/RI 2.5 3/14/19 965,000 967,065 0.024%

CITIZENS BANK NA/RI 2.55 5/13/21 1,085,000 1,081,094 0.027%

Citizens Financial 32,000 1,343,360 0.033%

CITIZENS FINANCIAL GROUP 4.3 12/3/25 990,000 1,032,503 0.025%

CITIZENS FINANCIAL GROUP 2.38 7/28/21 210,000 207,393 0.005%

CK Hutchison Holdings 552,968 6,928,853 0.171%

Close Brothers 44,265 864,854 0.021%

CME Group 4,033 589,020 0.015%

CMS ENERGY CORP 4.88 3/1/44 1,200,000 1,400,790 0.035%

CMS ENERGY CORP 4.7 3/31/43 840,000 936,506 0.023%

CNA Financial 10,900 578,245 0.014%

CNA FINANCIAL CORP 3.95 5/15/24 315,000 327,388 0.008%

CNA FINANCIAL CORP 5.88 8/15/20 800,000 862,277 0.021%

CNH 2017-C A3 2.08 2/15/23 995,000 990,594 0.024%

CNOOC CURTIS FUNDING NO 144A 4.5 10/3/23 900,000 959,409 0.024%

CNOOC FINANCE 2013 LTD 3 5/9/23 1,390,000 1,376,418 0.034%

Coca-Cola 74,122 3,400,717 0.084%

Colgate-Palmolive 15,000 1,131,750 0.028%

COLOMBIA 4 2/26/24 275,000 285,519 0.007%

COLT 2017-1 A1 144A 2.61 5/27/47 991,272 991,909 0.024%

COLUMBIA PIPELINE GROUP 3.3 6/1/20 1,300,000 1,315,670 0.032%

Comcast 172,900 6,924,645 0.171%

COMM 2014-LC15 B 4.6 4/10/47 2,495,000 2,590,920 0.064%

COMM 2014-UBS4 C 4.62 8/10/47 545,000 548,048 0.014%

COMM 2014-UBS5 A1 1.37 9/10/47 87,369 87,299 0.002%

COMM 2015-LC21 A4 3.71 7/10/48 3,700,000 3,862,625 0.095%

COMM 2017-PANW A 144A 3.24 10/10/29 2,160,000 2,178,756 0.054%

Commerzbank 142,144 2,120,401 0.052%

COMMONWEALTH BANK AUST 144A 4.5 12/9/25 1,750,000 1,827,763 0.045%

Compass Group 251,115 5,414,600 0.134%

Concho Resources 7,400 1,111,628 0.027%

CONCHO RESOURCES INC 3.75 10/1/27 665,000 671,650 0.017%

Constellation Brands 11,400 2,605,698 0.064%

CONTINENTAL AIRLINES INC 4.75 7/12/22 177,115 184,726 0.005%

Continental Resources 10,500 556,185 0.014%

Cooper Companies 10,000 2,178,800 0.054%

CoStar Group 1,500 445,425 0.011%

Costco Wholesale 13,100 2,438,172 0.060%

Coty 32,458 645,590 0.016%

Covestro 29,967 3,085,595 0.076%

Credit Saison 145,000 2,633,101 0.065%

CREDIT SUISSE GROUP AG 144A 3 12/14/23 1,385,000 1,368,174 0.034%

Page 4 of 23

Crown Castle International, REIT 60,000 6,660,600 0.164%

CROWN CASTLE INTL CORP 3.4 2/15/21 485,000 494,859 0.012%

CROWN CASTLE TOWERS LLC 144A 6.11 1/15/40 1,043,000 1,095,310 0.027%

CROWN CASTLE TOWERS LLC 144A 3.22 5/15/42 45,000 45,276 0.001%

CROWN CASTLE TOWERS LLC 144A 3.66 5/15/45 485,000 489,375 0.012%

CSL 22,608 2,484,477 0.061%

CSX 43,300 2,381,933 0.059%

Ctrip.com International, ADR 28,480 1,255,968 0.031%

CVS Health 71,290 5,168,525 0.127%

CyberAgent 82,100 3,199,658 0.079%

Danaher 169,682 15,749,883 0.388%

Danone 45,168 3,784,667 0.093%

DANONE SA 144A 2.95 11/2/26 1,925,000 1,864,844 0.046%

Danske Bank 128,641 5,006,963 0.123%

DaVita 5,300 382,925 0.009%

DBS Group 390,500 7,222,798 0.178%

DCC 50,341 5,066,176 0.125%

DELPHI CORP 4.15 3/15/24 745,000 788,165 0.019%

Delta Air Lines 170,148 9,528,288 0.235%

DELTA AIR LINES 4.95 5/23/19 103,220 105,693 0.003%

DELTA AIR LINES 7.75 6/17/21 289,084 312,647 0.008%

DELTA AIR LINES INC 2.88 3/13/20 2,200,000 2,210,954 0.055%

Dentsply Sirona 10,600 697,798 0.017%

DENVER COLO PUB SCHS SER B 4.24 12/15/37 760,000 806,672 0.020%

DETROIT MI CITY SD QSCB 6.65 5/1/29 2,000,000 2,460,080 0.061%

Devon Energy 20,500 848,700 0.021%

Diageo 198,328 7,269,589 0.179%

Diamondback Energy 7,400 934,250 0.023%

Direct Line Insurance 1,030,981 5,305,218 0.131%

DISCOVER BANK 2 2/21/18 1,600,000 1,599,891 0.039%

DISCOVER FINANCIAL SVS 3.75 3/4/25 590,000 593,505 0.015%

DISCOVER FINANCIAL SVS 10.25 7/15/19 400,000 434,483 0.011%

DNB 479,718 8,880,262 0.219%

DNKN 2015-1A A2II 144A 3.98 2/20/45 2,295,100 2,342,632 0.058%

DNKN 2017-1A A2I 144A 3.63 11/20/47 1,195,000 1,202,791 0.030%

Dollar General 44,197 4,110,763 0.101%

DOMINION ENERGY INC 2.58 7/1/20 640,000 639,693 0.016%

DOMINION RESOURCES INC 2.75 9/15/22 200,000 197,864 0.005%

DowDuPont 156,703 11,160,388 0.275%

DROCK 2015-1 A 2.2 12/15/22 235,000 234,768 0.006%

DROT 2013-2 A 144A 2.27 5/20/26 297,069 296,485 0.007%

DROT 2014-1 A 144A 2.54 5/20/27 440,870 438,221 0.011%

Dr Pepper Snapple 14,700 1,426,782 0.035%

DTE Energy 41,400 4,531,644 0.112%

DUKE ENERGY CORP 2.65 9/1/26 640,000 611,927 0.015%

DUKE ENERGY CORP 3.75 9/1/46 500,000 494,453 0.012%

DXC TECHNOLOGY CO 2.88 3/27/20 920,000 923,664 0.023%

EATON VANCE CORP 3.63 6/15/23 750,000 773,696 0.019%

ECOPETROL SA 4.25 9/18/18 1,635,000 1,653,803 0.041%

EFF 2015-1 A3 144A 1.74 9/20/20 1,715,000 1,713,258 0.042%

EFF 2017-1 A2 144A 2.13 7/20/22 264,192 264,191 0.007%

EHGVT 2017-A A 144A 2.69 3/25/30 891,885 885,002 0.022%

Electric Power development 151,200 4,067,219 0.100%

Electronic Arts 51,700 5,431,602 0.134%

Elekta 212,400 1,753,864 0.043%

Element Fleet Management 508,400 3,842,323 0.095%

Eli Lilly 21,200 1,790,552 0.044%

ENBRIDGE ENERGY PARTNERS 5.5 9/15/40 245,000 268,761 0.007%

ENBRIDGE INC 4 10/1/23 690,000 718,882 0.018%

ENBRIDGE INC 6 1/15/77 1,135,000 1,181,819 0.029%

ENBRIDGE INC 4.25 12/1/26 590,000 615,590 0.015%

Encana 25,500 339,915 0.008%

ENEL FINANCE INTL NV 144A 2.75 4/6/23 1,665,000 1,640,486 0.040%

ENERGY EAST CORPORATION 6.75 9/15/33 1,000,000 1,263,826 0.031%

Engie 400,784 6,890,084 0.170%

ENLINK MIDSTREAM PARTNER 2.7 4/1/19 370,000 369,708 0.009%

ENLINK MIDSTREAM PARTNER 4.85 7/15/26 895,000 937,001 0.023%

Entergy 30,300 2,466,117 0.061%

Envision Healthcare 31,900 1,102,464 0.027%

EOG Resources 91,269 9,848,838 0.243%

Page 5 of 23

EOG RESOURCES INC 6.88 10/1/18 500,000 517,056 0.013%

EOG RESOURCES INC 2.63 3/15/23 500,000 493,047 0.012%

E.ON 207,492 2,248,420 0.055%

Equifax 5,346 630,400 0.016%

Equinix, REIT 6,425 2,911,939 0.072%

Equity Residential, REIT 23,500 1,498,595 0.037%

ERAC USA FINANCE LLC 144A 2.8 11/1/18 170,000 170,881 0.004%



Erste Group Bank 89,911 3,896,346 0.096%

Estee Lauder 7,400 941,576 0.023%

Eutelsat Communications 101,675 2,354,036 0.058%

Eversource Energy 99,090 6,260,506 0.154%

Exelon 33,448 1,318,186 0.033%

EXPEDIA INC 5 2/15/26 1,810,000 1,935,037 0.048%

Express Scripts Holding 14,800 1,104,672 0.027%

EXPRESS SCRIPTS HOLDING 2.6 11/30/20 1,930,000 1,927,348 0.048%

EXPRESS SCRIPTS HOLDING 3 7/15/23 810,000 806,530 0.020%

ExxonMobil 121,212 10,138,172 0.250%

Facebook 237,547 41,917,544 1.034%

FEDERAL HOME LOAN BANK 1.38 5/28/19 2,265,000 2,249,385 0.055%

FEDERAL REALTY INVS TRST 2.75 6/1/23 1,500,000 1,481,769 0.037%

FedEx 11,700 2,919,618 0.072%

Ferrari 14,040 1,471,954 0.036%

FHLMC 15YR GOLD 5.5 11/1/18 2,529 2,557 0.000%

FHLMC 15YR GOLD 4 1/1/25 185,152 192,101 0.005%

FHLMC 15YR GOLD 3 1/1/29 866,495 883,187 0.022%

FHLMC 15YR GOLD 5.5 12/1/18 4,841 4,868 0.000%

FHLMC 15YR GOLD 5.5 3/1/18 336 336 0.000%

FHLMC 15YR GOLD 4 5/1/26 708,489 739,617 0.018%

FHLMC 15YR GOLD 2.5 5/1/30 2,771,759 2,769,347 0.068%

FHLMC ARM 3.41 10/1/36 29,406 30,938 0.001%

FHLMC ARM 3.34 10/1/36 23,923 24,759 0.001%

FHLMC ARM 3.71 11/1/36 41,645 43,984 0.001%

FHLMC ARM 3.76 12/1/36 63,516 67,227 0.002%

FHLMC ARM 3.41 2/1/35 211,304 222,237 0.005%

FHLMC ARM 3.39 2/1/37 130,257 136,598 0.003%

FHLMC ARM 3.48 7/1/35 95,748 100,649 0.002%

FHLMC GOLD 6 10/1/32 8,271 9,296 0.000%

FHLMC GOLD 5.5 10/1/38 232,167 256,625 0.006%

FHLMC GOLD 4.5 10/1/39 711,240 759,185 0.019%

FHLMC GOLD 4.5 10/1/39 1,011,771 1,079,737 0.027%

FHLMC GOLD 4 10/1/40 10,560 11,091 0.000%

FHLMC GOLD 4 10/1/40 6,582 6,913 0.000%

FHLMC GOLD 4.5 10/1/40 45,920 49,012 0.001%

FHLMC GOLD 3.5 10/1/43 1,013,468 1,046,343 0.026%

FHLMC GOLD 5 11/1/36 253,176 274,565 0.007%

FHLMC GOLD 6 11/1/37 444 498 0.000%

FHLMC GOLD 4 11/1/40 873,667 917,449 0.023%

FHLMC GOLD 3.5 11/1/42 2,085,025 2,152,683 0.053%

FHLMC GOLD 5.5 1/1/38 118,222 131,346 0.003%

FHLMC GOLD 4 1/1/41 309,342 324,901 0.008%

FHLMC GOLD 4 1/1/41 307,193 322,644 0.008%

FHLMC GOLD 2.5 1/1/43 647,784 626,902 0.015%

FHLMC GOLD 3 1/1/43 955,950 962,085 0.024%

FHLMC GOLD 3.5 1/1/44 2,692,158 2,779,424 0.069%

FHLMC GOLD 5 12/1/35 59,716 64,490 0.002%

FHLMC GOLD 5 12/1/35 16,243 17,612 0.000%

FHLMC GOLD 5.5 12/1/39 102,442 113,226 0.003%

FHLMC GOLD 4.5 12/1/39 88,309 95,036 0.002%

FHLMC GOLD 4.5 12/1/39 520,319 557,048 0.014%

FHLMC GOLD 4 12/1/40 2,056 2,159 0.000%

FHLMC GOLD 4 12/1/40 49,700 52,572 0.001%

FHLMC GOLD 3 12/1/42 2,359,831 2,374,722 0.059%

FHLMC GOLD 3.5 12/1/42 538,810 556,278 0.014%

FHLMC GOLD 3.5 12/1/43 1,395,271 1,445,789 0.036%

FHLMC GOLD 6 2/1/28 2,123 2,380 0.000%

FHLMC GOLD 4 2/1/41 7,917 8,362 0.000%

FHLMC GOLD 4 2/1/41 953,478 1,004,609 0.025%

FHLMC GOLD 2.5 2/1/43 410,217 396,994 0.010%

Page 6 of 23

FHLMC GOLD 2.5 2/1/43 35,603 34,455 0.001%

FHLMC GOLD 2.5 2/1/43 97,599 94,453 0.002%

FHLMC GOLD 3.5 3/1/42 692,999 715,483 0.018%

FHLMC GOLD 2.5 3/1/43 148,260 143,481 0.004%

FHLMC GOLD 3 3/1/43 3,814,893 3,839,567 0.095%

FHLMC GOLD 3.5 3/1/46 4,694,232 4,853,161 0.120%

FHLMC GOLD 5 4/1/40 46,613 50,775 0.001%

FHLMC GOLD 5 5/1/40 332,605 360,610 0.009%

FHLMC GOLD 4.5 5/1/42 420,593 449,704 0.011%

FHLMC GOLD 3.5 5/1/43 1,095,970 1,131,474 0.028%

FHLMC GOLD 7 6/1/32 6,361 6,571 0.000%

FHLMC GOLD 7 6/1/32 22,405 23,800 0.001%

FHLMC GOLD 4.5 6/1/39 509,321 543,527 0.013%

FHLMC GOLD 5 7/1/40 257,130 278,461 0.007%

FHLMC GOLD 6.5 8/1/32 19,131 21,684 0.001%

FHLMC GOLD 5 8/1/37 68,020 74,089 0.002%

FHLMC GOLD 6 8/1/38 32,127 36,258 0.001%

FHLMC GOLD 4.5 8/1/40 122,145 130,360 0.003%

FHLMC GOLD 5 8/1/40 480,307 524,247 0.013%

FHLMC GOLD 5 8/1/40 147,832 161,174 0.004%

FHLMC GOLD 4.5 8/1/40 93,326 99,608 0.002%

FHLMC GOLD 4.5 8/1/40 243,545 260,425 0.006%

FHLMC GOLD 3 8/1/43 1,240,083 1,246,249 0.031%

FHLMC GOLD 4 9/1/40 1,184,754 1,244,199 0.031%

FHLM Gold 4 12/1/41 91,618 96,227 0.002%

FHLM Gold 4 6/1/42 2,117,092 2,239,420 0.055%

FHMS 2014K 36 A1 2.78 4/25/23 612,757 619,665 0.015%

FHMS K024 A1 1.75 2/25/22 3,011,642 2,977,087 0.073%

FHMS K025 A1 1.88 4/25/22 3,343,630 3,317,633 0.082%

FHMS K027 A1 1.79 9/25/22 1,419,934 1,403,953 0.035%

FHMS K057 A1 2.21 6/25/25 1,768,793 1,737,363 0.043%

FHMS K068 A1 2.95 2/25/27 1,353,985 1,373,604 0.034%

FHMS K713 A1 1.67 9/25/19 270,316 269,934 0.007%

FHMS K716 A1 2.41 1/25/21 668,009 670,186 0.017%

FHR 4614 FG 1.98 9/15/46 351,302 354,391 0.009%

FHR 4621 FK 1.98 10/15/46 774,278 781,273 0.019%

FHR 4623 EF 1.93 10/15/46 490,340 493,331 0.012%

FHR 4623 MF 1.98 10/15/46 472,162 476,107 0.012%

FHR 4650 FL 1.93 1/15/47 1,051,981 1,058,547 0.026%

FHR 4654 FK 1.98 2/15/47 439,933 444,092 0.011%

Fidelity National Information 51,800 4,873,862 0.120%

Fifth Third Bancorp 265,657 8,060,033 0.199%

FIFTH THIRD BANCORP 1.45 2/28/18 1,200,000 1,199,318 0.030%

FIFTH THIRD BANCORP 3.5 3/15/22 340,000 350,095 0.009%

FIRST AMERICAN FINANCIAL 4.6 11/15/24 415,000 427,680 0.011%

FIRSTENERGY TRANSMISSION 144A 4.35 1/15/25 1,310,000 1,380,175 0.034%

First Republic Bank 23,690 2,052,502 0.051%

Fiserv 35,300 4,628,889 0.114%

FleetCor Technologies 15,200 2,924,936 0.072%

FL HURRICANE CATASTROPHE FD SR A 2.11 7/1/18 1,700,000 1,700,595 0.042%

Flowserve 17,100 720,423 0.018%

FMR LLC 144A 4.95 2/1/33 740,000 846,718 0.021%

FNF 12,864 504,783 0.012%

FNMA 15YR 4.5 10/1/20 3,867 3,948 0.000%

FNMA 15YR 4 10/1/26 127,784 133,738 0.003%

FNMA 15YR 4.5 10/1/26 208,535 220,197 0.005%

FNMA 15YR 2.5 10/1/31 311,939 311,813 0.008%

FNMA 15YR 3 10/1/32 2,855,772 2,915,581 0.072%

FNMA 15YR 3.5 11/1/26 537,825 556,710 0.014%

FNMA 15YR 3 11/1/27 259,563 265,164 0.007%

FNMA 15YR 3 11/1/27 543,509 555,235 0.014%

FNMA 15YR 5.5 1/1/21 2,263 2,338 0.000%

FNMA 15YR 4 1/1/26 199,804 208,185 0.005%

FNMA 15YR 4 1/1/26 469,828 489,439 0.012%

FNMA 15YR 3 1/1/27 729,461 745,198 0.018%

FNMA 15YR 5.5 12/1/18 15,805 15,880 0.000%

FNMA 15YR 4.5 12/1/20 27,074 27,560 0.001%

FNMA 15YR 5.5 2/1/18 3 3 0.000%

FNMA 15YR 3 2/1/27 1,584,305 1,618,477 0.040%

FNMA 15YR 5.5 3/1/18 181 181 0.000%

Page 7 of 23

FNMA 15YR 6 3/1/21 147,133 152,642 0.004%

FNMA 15YR 5 4/1/18 367 374 0.000%

FNMA 15YR 5.5 4/1/19 1,374 1,383 0.000%

FNMA 15YR 6 4/1/21 960 992 0.000%

FNMA 15YR 4.5 4/1/23 65,718 69,382 0.002%

FNMA 15YR 5 5/1/18 477 486 0.000%

FNMA 15YR 4.5 5/1/19 3,409 3,465 0.000%

FNMA 15YR 4.5 5/1/19 76,423 77,684 0.002%

FNMA 15YR 5 5/1/19 81,294 82,806 0.002%

FNMA 15YR 2.5 5/1/32 9,552,338 9,554,624 0.236%

FNMA 15YR 4.5 8/1/20 51,831 52,784 0.001%

FNMA 15YR 4 8/1/26 147,178 153,324 0.004%

FNMA 15YR 3 8/1/32 3,197,367 3,259,199 0.080%

FNMA 15YR 5 9/1/19 46,160 47,358 0.001%

FNMA 15YR 4 9/1/26 194,718 203,821 0.005%

FNMA 15YR 3.5 9/1/28 3,299,316 3,408,748 0.084%

FNMA 15 YR TBA JAN 3.5 1/1/25 12,610,000 13,017,303 0.321%

FNMA 20YR 3 11/1/36 1,973,732 2,010,416 0.050%

FNMA 20YR 3 11/1/36 520,652 529,202 0.013%

FNMA 30 yr 3.5 1/1/44 3,014,839 3,109,135 0.077%

FNMA 30 yr 3.5 3/1/43 2,328,262 2,401,084 0.059%

FNMA 30 yr 3.5 6/1/42 98,059 101,124 0.002%

FNMA 30 yr 3.5 6/1/42 150,992 155,693 0.004%

FNMA 30 yr 3.5 7/1/42 1,843,903 1,900,928 0.047%

FNMA 30 yr 3.5 7/1/42 129,794 133,853 0.003%

FNMA 30 yr 3.5 8/1/42 260,652 268,797 0.007%

FNMA 30 YR 7 10/1/29 1,765 1,939 0.000%

FNMA 30 YR 7 10/1/30 549 550 0.000%

FNMA 30 YR 5 10/1/34 391,628 425,637 0.010%

FNMA 30 YR 5 10/1/35 68,399 74,312 0.002%

FNMA 30 YR 6.5 10/1/36 7,972 8,953 0.000%

FNMA 30 YR 4 10/1/41 1,155,871 1,214,692 0.030%

FNMA 30 YR 3 10/1/42 128,197 128,915 0.003%

FNMA 30 YR 3 10/1/42 1,209,555 1,216,811 0.030%

FNMA 30 YR 4 10/1/45 587,306 614,806 0.015%

FNMA 30 YR 3.5 10/1/46 1,686,883 1,733,859 0.043%

FNMA 30 YR 3 10/1/46 5,188,659 5,201,844 0.128%

FNMA 30 YR 3 10/1/46 3,913,591 3,921,258 0.097%

FNMA 30 YR 3 10/1/46 1,397,042 1,400,592 0.035%

FNMA 30 YR 6 11/1/34 18,268 20,744 0.001%

FNMA 30 YR 5 11/1/35 486,888 528,782 0.013%

FNMA 30 YR 5.5 11/1/36 44,154 48,878 0.001%

FNMA 30 YR 6.5 11/1/37 19,764 22,153 0.001%

FNMA 30 YR 6 11/1/38 244,897 276,787 0.007%

FNMA 30 YR 4.5 11/1/39 99,088 105,859 0.003%

FNMA 30 YR 4 11/1/40 1,250,213 1,314,009 0.032%

FNMA 30 YR 4 11/1/40 494,696 520,059 0.013%

FNMA 30 YR 4.5 11/1/40 674,310 722,936 0.018%

FNMA 30 YR 4 11/1/41 360,775 379,104 0.009%

FNMA 30 YR 3.5 11/1/45 8,738,302 9,006,875 0.222%

FNMA 30 YR 3.5 11/1/45 805,114 827,534 0.020%

FNMA 30 YR 3 11/1/45 901,559 902,607 0.022%

FNMA 30 YR 4 11/1/45 99,380 104,017 0.003%

FNMA 30 YR 3 11/1/46 1,837,672 1,842,342 0.045%

FNMA 30 YR 3 11/1/46 2,836,708 2,842,265 0.070%

FNMA 30 YR 3 11/1/46 439,441 440,992 0.011%

FNMA 30 YR 3 11/1/46 646,571 648,849 0.016%

FNMA 30 YR 3 11/1/46 293,218 294,251 0.007%

FNMA 30 YR 5.5 1/1/36 205,157 227,666 0.006%

FNMA 30 YR 6.5 1/1/37 29,790 33,476 0.001%

FNMA 30 YR 4 1/1/41 795,834 836,491 0.021%

FNMA 30 YR 4 1/1/41 2,206,369 2,318,846 0.057%

FNMA 30 YR 4 1/1/41 65,928 69,295 0.002%

FNMA 30 YR 4 1/1/42 2,076,319 2,181,788 0.054%

FNMA 30 YR 4.5 1/1/42 50,436 53,862 0.001%

FNMA 30 YR 4 1/1/43 549,760 577,762 0.014%

FNMA 30 YR 3.5 1/1/47 5,853,251 6,016,252 0.148%

FNMA 30 YR 3 1/1/47 1,521,360 1,526,749 0.038%

FNMA 30 YR 6.5 12/1/32 43,064 48,470 0.001%

FNMA 30 YR 6 12/1/35 112,442 127,689 0.003%

Page 8 of 23

FNMA 30 YR 5.5 12/1/35 2,693,091 3,006,571 0.074%

FNMA 30 YR 5 12/1/36 6,467 7,025 0.000%

FNMA 30 YR 4.5 12/1/39 548,298 586,923 0.014%

FNMA 30 YR 4.5 12/1/39 605,727 647,468 0.016%

FNMA 30 YR 4 12/1/40 1,126,929 1,184,419 0.029%

FNMA 30 YR 4.5 12/1/40 523,878 561,696 0.014%

FNMA 30 YR 4 12/1/40 1,233,479 1,296,475 0.032%

FNMA 30 YR 4 12/1/41 326,167 342,833 0.008%

FNMA 30 YR 4.5 12/1/41 40,666 43,596 0.001%

FNMA 30 YR 3.5 12/1/45 1,711,272 1,758,928 0.043%

FNMA 30 YR 3.5 12/1/45 4,333,879 4,454,569 0.110%

FNMA 30 YR 4 12/1/45 321,625 336,650 0.008%

FNMA 30 YR 3 12/1/46 1,396,027 1,400,946 0.035%

FNMA 30 YR 3 12/1/46 2,066,632 2,073,936 0.051%

FNMA 30 YR 3 12/1/46 1,362,656 1,366,128 0.034%

FNMA 30 YR 3 12/1/46 2,056,979 2,064,849 0.051%

FNMA 30 YR 3 12/1/46 2,369,948 2,375,979 0.059%

FNMA 30 YR 3 12/1/46 358,475 359,742 0.009%

FNMA 30 YR 4 12/1/46 316,188 330,995 0.008%

FNMA 30 YR 7 2/1/30 706 781 0.000%

FNMA 30 YR 7 2/1/30 898 1,038 0.000%

FNMA 30 YR 7 2/1/31 529 610 0.000%

FNMA 30 YR 6 2/1/34 248,938 282,918 0.007%

FNMA 30 YR 5 2/1/34 131,783 143,172 0.004%

FNMA 30 YR 5.5 2/1/35 870,029 965,709 0.024%

FNMA 30 YR 5 2/1/36 744,903 809,323 0.020%

FNMA 30 YR 5 2/1/38 27,306 29,667 0.001%

FNMA 30 YR 5.5 2/1/40 37,432 41,313 0.001%

FNMA 30 YR 4.5 2/1/40 450,557 482,477 0.012%

FNMA 30 YR 4 2/1/41 146,076 153,532 0.004%

FNMA 30 YR 4 2/1/41 1,251,464 1,316,097 0.032%

FNMA 30 YR 3 2/1/43 1,135,193 1,141,541 0.028%

FNMA 30 YR 4 2/1/47 800,606 837,774 0.021%

FNMA 30 YR 3 2/1/47 2,379,441 2,381,125 0.059%

FNMA 30 YR 7 3/1/31 33,825 37,051 0.001%

FNMA 30 YR 5 3/1/34 125,278 136,106 0.003%

FNMA 30 YR 5 3/1/36 194,622 211,476 0.005%

FNMA 30 YR 5 3/1/36 214,263 232,820 0.006%

FNMA 30 YR 6 3/1/37 305,068 345,450 0.009%

FNMA 30 YR 4.5 3/1/41 26,246 28,133 0.001%

FNMA 30 YR 4.5 3/1/41 666,357 714,391 0.018%

FNMA 30 YR 3 3/1/43 1,961,279 1,975,676 0.049%

FNMA 30 YR 3.5 3/1/44 403,404 417,648 0.010%

FNMA 30 YR 4 3/1/46 326,465 341,807 0.008%

FNMA 30 YR 7 4/1/32 2,425 2,803 0.000%

FNMA 30 YR 5 4/1/35 131,578 142,953 0.004%

FNMA 30 YR 5.5 4/1/36 19,331 21,438 0.001%

FNMA 30 YR 6.5 4/1/36 130,827 146,448 0.004%

FNMA 30 YR 4.5 4/1/37 165,493 176,801 0.004%

FNMA 30 YR 3 4/1/43 3,112,340 3,129,777 0.077%

FNMA 30 YR 3.5 4/1/45 1,419,531 1,459,062 0.036%

FNMA 30 YR 3.5 4/1/47 2,171,587 2,232,061 0.055%

FNMA 30 YR 4 4/1/47 2,241,383 2,346,768 0.058%

FNMA 30 YR 6 5/1/33 61,012 69,054 0.002%

FNMA 30 YR 6 5/1/36 104,078 118,151 0.003%

FNMA 30 YR 5 5/1/38 1,142 1,240 0.000%

FNMA 30 YR 5 5/1/38 324,314 352,316 0.009%

FNMA 30 YR 5.5 5/1/39 115,770 127,623 0.003%

FNMA 30 YR 5 5/1/40 345,812 373,189 0.009%

FNMA 30 YR 4.5 5/1/41 614,977 659,261 0.016%

FNMA 30 YR 6 5/1/42 79,999 90,264 0.002%

FNMA 30 YR 3.5 5/1/42 1,454,042 1,502,248 0.037%

FNMA 30 YR 4 5/1/47 1,311,082 1,372,510 0.034%

FNMA 30 YR 5 6/1/35 160,208 173,598 0.004%

FNMA 30 YR 6 6/1/36 174,243 197,377 0.005%

FNMA 30 YR 4.5 6/1/37 3,256 3,467 0.000%

FNMA 30 YR 5.5 6/1/38 70,974 78,413 0.002%

FNMA 30 YR 3.5 6/1/43 247,715 256,317 0.006%

FNMA 30 YR 3.5 6/1/46 789,421 816,771 0.020%

FNMA 30 YR 5 7/1/35 187,542 203,752 0.005%

Page 9 of 23

FNMA 30 YR 5 7/1/35 250,438 272,095 0.007%

FNMA 30 YR 4.5 7/1/39 86,593 92,473 0.002%

FNMA 30 YR 5 7/1/40 149,202 160,745 0.004%

FNMA 30 YR 5 7/1/41 471,861 509,603 0.013%

FNMA 30 YR 3.5 7/1/43 2,631,084 2,722,662 0.067%

FNMA 30 YR 3.5 7/1/45 1,382,465 1,424,957 0.035%

FNMA 30 YR 4 7/1/46 2,469,387 2,586,308 0.064%

FNMA 30 YR 8 8/1/24 302 321 0.000%

FNMA 30 YR 6 8/1/34 2,390,910 2,719,150 0.067%

FNMA 30 YR 5 8/1/35 494,490 537,355 0.013%

FNMA 30 YR 6.5 8/1/36 6,980 7,966 0.000%

FNMA 30 YR 5.5 8/1/37 566,495 628,268 0.015%

FNMA 30 YR 6 8/1/37 455,405 515,210 0.013%

FNMA 30 YR 5.5 8/1/37 259,857 288,344 0.007%

FNMA 30 YR 6.5 8/1/38 499,772 563,147 0.014%

FNMA 30 YR 4.5 8/1/39 124,011 132,333 0.003%

FNMA 30 YR 4 8/1/42 2,724,783 2,863,051 0.071%

FNMA 30 YR 4.5 8/1/44 872,315 934,222 0.023%

FNMA 30 YR 3.5 8/1/46 3,774,864 3,879,986 0.096%

FNMA 30 YR 7.5 9/1/26 545 593 0.000%

FNMA 30 YR 5.5 9/1/36 499,519 553,865 0.014%

FNMA 30 YR 6 9/1/38 388,260 439,737 0.011%

FNMA 30 YR 4.5 9/1/39 156,764 167,469 0.004%

FNMA 30 YR 6 9/1/39 55,203 62,157 0.002%

FNMA 30 YR 5.5 9/1/41 8,162 9,056 0.000%

FNMA 30 YR 3.5 9/1/43 866,183 895,245 0.022%

FNMA 30 YR 3.5 9/1/45 3,264,792 3,365,141 0.083%

FNMA 30 YR 4 9/1/45 217,995 228,194 0.006%

FNMA 30 YR 4 9/1/46 170,425 178,383 0.004%

FNMA 30 YR 3.5 9/1/46 3,460,255 3,556,616 0.088%

FNMA 30YR 6.5 1/1/28 1,446 1,603 0.000%

FNMA 30YR 7 12/1/27 2,015 2,285 0.000%

FNMA 30YR 6.5 3/1/24 248 275 0.000%

FNMA 30YR 6 3/1/28 714 798 0.000%

FNMA 30YR 6 3/1/28 3,024 3,379 0.000%

FNMA 30YR 8 7/1/26 779 867 0.000%

FNMA 30YR 7 7/1/26 3,786 4,033 0.000%

FNMA 30YR 7 9/1/25 1,125 1,194 0.000%

FNMA 30YR 7 9/1/26 110 110 0.000%

FNMA 30 YR TBA JAN 4 1/1/40 3,515,000 3,677,745 0.091%

FNMA 30 YR TBA JAN 3.5 1/1/41 8,080,000 8,300,584 0.205%

FNMA ARM 3.64 1/1/37 33,654 35,278 0.001%

FNMA ARM 3.29 7/1/35 63,402 66,108 0.002%

FNMA ARM 3.5 9/1/36 578 582 0.000%

FNR 2016-64 FA 2.05 9/25/46 2,075,512 2,092,666 0.052%

FNR 2016-70 F 2 10/25/46 927,460 934,180 0.023%

FNR 2016-79 NF 2 11/25/46 1,937,594 1,950,525 0.048%

FNR 2016-84 FT 2.05 11/25/46 1,099,346 1,110,386 0.027%

FNR 2017-16 FA 2 3/25/47 1,974,024 1,988,730 0.049%

FORD MOTOR CREDIT CO LLC 2.55 10/5/18 1,745,000 1,749,357 0.043%

FORD MOTOR CREDIT CO LLC 5.75 2/1/21 600,000 650,132 0.016%

FORD MOTOR CREDIT CO LLC 2.24 6/15/18 1,300,000 1,300,545 0.032%

Fortive 83,418 6,035,292 0.149%

Fortune Brands Home & Security 46,300 3,168,772 0.078%

Franklin Resources 16,000 693,280 0.017%

FRANKLIN RESOURCES INC 4.63 5/20/20 300,000 315,071 0.008%

Fresenius 128,798 10,016,844 0.247%

FRESNILLO PLC 144A 5.5 11/13/23 805,000 884,494 0.022%

Gam Holding 166,806 2,691,534 0.066%

GATX CORP 2.6 3/30/20 160,000 159,862 0.004%

GATX CORP 4.85 6/1/21 1,000,000 1,063,387 0.026%

GE CAPITAL INTL FUNDING 2.34 11/15/20 877,000 873,444 0.022%

GE CAPITAL INTL FUNDING 4.42 11/15/35 611,000 661,015 0.016%

GEMNT 2012-2 A 2.22 1/15/22 2,145,000 2,147,751 0.053%

GENERAL ELEC CAP CORP 6.88 1/10/39 172,000 247,357 0.006%



GENERAL MOTORS CO 3.5 10/2/18 1,165,000 1,176,451 0.029%

GENERAL MOTORS CO 4 4/1/25 1,120,000 1,147,975 0.028%

GENERAL MOTORS FINL CO 3.1 1/15/19 1,180,000 1,187,488 0.029%

Page 10 of 23

GEORGE WASHINGTON UNIVER 4.3 9/15/44 975,000 1,055,642 0.026%

GFORT 2017-1 A1 144A 2.22 1/18/22 1,240,000 1,236,576 0.030%

GGP, REIT 38,700 905,193 0.022%

Gilead Sciences 64,400 4,613,616 0.114%

GILEAD SCIENCES INC 3.25 9/1/22 875,000 897,290 0.022%

GILEAD SCIENCES INC 1.85 9/20/19 790,000 786,752 0.019%

GKN 692,224 2,976,784 0.073%

GlaxoSmithKline 39,542 700,257 0.017%

GlaxoSmithKline, ADR 190,200 6,746,394 0.166%

Global Payments 39,700 3,979,528 0.098%

GNMA 15 YR 4.5 6/15/39 821,756 879,412 0.022%

GNMA 15 YR 5 9/15/39 1,045,960 1,144,314 0.028%

GNMA 15 YR PLAT 6 4/15/36 24,526 27,690 0.001%

GNMA 30 YR 5 10/15/39 209,969 227,131 0.006%

GNMA 30 YR 7 12/15/30 395 429 0.000%

GNMA 30 YR 4 2/15/41 1,358,573 1,425,528 0.035%

GNMA 30 YR 3.5 2/15/45 138,087 143,382 0.004%

GNMA 30 YR 5.5 2/20/34 307,248 340,593 0.008%

GNMA 30 YR 7 3/15/28 950 954 0.000%

GNMA 30 YR 7 3/15/29 6,408 6,917 0.000%

GNMA 30 YR 7 3/15/31 183 185 0.000%

GNMA 30 YR 7 5/15/29 463 464 0.000%

GNMA 30 YR 7 6/15/27 5,462 6,077 0.000%

GNMA 30 YR 5 9/15/39 240,834 263,715 0.007%

GNMA 30 YR 3 9/15/42 1,237,516 1,253,989 0.031%

GNMA 30 YR PLAT 5 10/15/34 832,778 903,581 0.022%

GNMA 30 YR PLAT 4.5 4/15/41 367,112 388,712 0.010%

GNMA 30 YR PLAT 6.5 5/15/24 2,632 2,920 0.000%

GNMA 30 YR PLAT 3.5 9/15/41 2,151,967 2,229,318 0.055%

GNMA II 15 YR 3.5 11/20/32 1,004,719 1,040,387 0.026%

GNMA II 30 YR 3.5 2/20/46 1,248,634 1,296,580 0.032%

GNMA II 30 YR 3.5 3/20/43 800,231 828,361 0.020%

GNMA II 30 YR 4 5/20/41 902,364 950,244 0.023%

GNMA II 30 YR 3.5 6/20/43 707,849 734,008 0.018%

GNMA II 30 YR 4.5 9/20/47 2,076,870 2,194,819 0.054%

GNMA II 30 YR 5 9/20/47 2,496,589 2,667,115 0.066%

GNMA II TBA JAN 3 1/1/42 3,650,000 3,682,120 0.091%

GNMA ll 30 YR 4 10/20/41 85,261 89,788 0.002%

GNMA ll 30 YR 3.5 10/20/44 116,728 121,127 0.003%

GNMA ll 30 YR 3.5 10/20/45 222,139 230,572 0.006%

GNMA ll 30 YR 3.5 10/20/45 301,265 312,756 0.008%

GNMA ll 30 YR 3.5 10/20/46 338,990 351,036 0.009%

GNMA ll 30 YR 5 10/20/47 227,361 242,850 0.006%

GNMA ll 30 YR 4.5 10/20/47 213,501 225,758 0.006%

GNMA ll 30 YR 4.5 11/20/39 659,622 699,981 0.017%

GNMA ll 30 YR 4.5 11/20/40 1,772,032 1,879,667 0.046%

GNMA ll 30 YR 3.5 11/20/42 12,234 12,682 0.000%

GNMA ll 30 YR 5 11/20/42 147,009 159,068 0.004%

GNMA ll 30 YR 4 11/20/42 25,228 26,551 0.001%

GNMA ll 30 YR 3 11/20/46 46,298 46,751 0.001%

GNMA ll 30 YR 4.5 1/20/41 1,292,762 1,371,176 0.034%

GNMA ll 30 YR 2.5 1/20/43 833,380 823,734 0.020%

GNMA ll 30 YR 3.5 1/20/46 52,935 54,808 0.001%

GNMA ll 30 YR 5 12/20/34 1,053,628 1,155,609 0.028%

GNMA ll 30 YR 2.5 12/20/42 706,839 698,658 0.017%

GNMA ll 30 YR 3.5 12/20/42 2,763,750 2,874,536 0.071%

GNMA ll 30 YR 5.5 2/20/36 1,931 2,131 0.000%

GNMA ll 30 YR 4 2/20/41 35,169 37,037 0.001%

GNMA ll 30 YR 2.5 2/20/43 28,420 28,091 0.001%

GNMA ll 30 YR 3.5 2/20/43 235,903 245,359 0.006%

GNMA ll 30 YR 4 2/20/44 854,399 898,109 0.022%

GNMA ll 30 YR 3.5 2/20/45 273,512 283,819 0.007%

GNMA ll 30 YR 3.5 2/20/46 890,468 923,918 0.023%

GNMA ll 30 YR 4.5 3/20/41 106,015 112,444 0.003%

GNMA ll 30 YR 5 3/20/41 513,739 558,861 0.014%

GNMA ll 30 YR 4.5 3/20/47 1,930,788 2,028,580 0.050%

GNMA ll 30 YR 3 4/20/43 1,034,816 1,049,151 0.026%

GNMA ll 30 YR 3.5 4/20/45 61,235 63,543 0.002%

GNMA ll 30 YR 3.5 5/20/43 693,289 721,080 0.018%

GNMA ll 30 YR 3.5 5/20/45 89,419 92,777 0.002%

Page 11 of 23

GNMA ll 30 YR 3.5 5/20/45 204,628 212,274 0.005%

GNMA ll 30 YR 4 5/20/46 1,125,532 1,178,845 0.029%

GNMA ll 30 YR 3.5 5/20/46 24,292 25,214 0.001%

GNMA ll 30 YR 3.5 5/20/46 30,246 31,391 0.001%

GNMA ll 30 YR 3.5 5/20/46 17,832 18,464 0.000%

GNMA ll 30 YR 4 5/20/47 4,033,554 4,209,851 0.104%

GNMA ll 30 YR 4 6/20/42 229,906 242,002 0.006%

GNMA ll 30 YR 3.5 6/20/46 43,898 45,459 0.001%

GNMA ll 30 YR 3.5 6/20/46 28,556 29,639 0.001%

GNMA ll 30 YR 4 6/20/47 1,943,092 2,028,624 0.050%

GNMA ll 30 YR 3.5 7/20/32 832,783 862,336 0.021%

GNMA ll 30 YR 4 7/20/42 815,874 858,726 0.021%

GNMA ll 30 YR 3.5 7/20/43 59,860 62,260 0.002%

GNMA ll 30 YR 4 7/20/47 11,414,987 11,917,204 0.294%

GNMA ll 30 YR 3.5 8/20/32 477,534 494,506 0.012%

GNMA ll 30 YR 6 8/20/34 144,013 163,347 0.004%

GNMA ll 30 YR 3.5 8/20/42 231,712 241,000 0.006%

GNMA ll 30 YR 4 8/20/47 10,537,357 11,041,192 0.272%

GNMA ll 30 YR 4.5 8/20/47 5,912,664 6,238,109 0.154%

GNMA ll 30 YR 5 8/20/47 542,142 580,170 0.014%

GNMA ll 30 YR 4.5 9/20/40 406,951 431,735 0.011%

GNMA ll 30 YR 3 9/20/42 577,362 585,062 0.014%

GNMA ll 30 YR 4 9/20/42 30,488 32,085 0.001%

GNMA ll 30 YR 3.5 9/20/43 816,110 848,828 0.021%

GNMA ll 30 YR 3.5 9/20/46 1,457,102 1,508,879 0.037%

GN Store Nord 153,090 4,944,351 0.122%

GOLDCORP INC 2.13 3/15/18 1,705,000 1,705,917 0.042%

GOLDCORP INC 3.63 6/9/21 1,260,000 1,285,710 0.032%

Goldman Sachs 1,100 280,236 0.007%

GOLDMAN SACHS GROUP INC 4.25 10/21/25 1,865,000 1,942,280 0.048%

GOLDMAN SACHS GROUP INC 5.75 1/24/22 380,000 420,221 0.010%

GOLDMAN SACHS GROUP INC 3 4/26/22 3,935,000 3,950,693 0.097%

GOLDMAN SACHS GROUP INC 2.75 9/15/20 1,300,000 1,304,606 0.032%

GOLDMAN SACHS GRP INC 6.75 10/1/37 700,000 937,283 0.023%

GOVT NATL MORTG ASSN 7.5 1/15/26 275 276 0.000%

GOVT NATL MTG ASSN 8 11/15/24 387 417 0.000%

GOVT NATL MTG ASSN 7 4/15/26 2,419 2,582 0.000%

GOVT NATL MTG ASSN 7 4/15/26 1,317 1,329 0.000%

GOVT NATL MTG ASSN 1 8 10/15/23 729 778 0.000%

GOVT NATL MTG ASSN I 7.5 10/15/25 7,483 7,571 0.000%

GOVT NATL MTG ASSN I 7 10/15/27 2,294 2,485 0.000%

GOVT NATL MTG ASSN I 9.5 11/15/20 62 62 0.000%






GOVT NATL MTG ASSN I 7 11/15/26 503 568 0.000%























Page 12 of 23

















GOVT NATL MTG ASSN II 10 1/20/20 81 81 0.000%

GOVT NATL MTG ASSN II 9 6/20/20 18,372 18,594 0.000%

GOVT NATL MTG ASSN II 8.5 6/20/25 7,127 7,707 0.000%

GOVT NATL MTG ASSN II 8.5 6/20/26 1,599 1,604 0.000%

GOVT NATL MTG ASSN II 10 8/20/19 2 2 0.000%

GOVT NATL MTG ASSN I NEW 6.5 3/15/26 2,606 2,890 0.000%


GOVT NATL MTG ASSN I NEW 6.5 4/15/26 427 474 0.000%


GOVT NATL MTG ASSN NEW 8 2/15/23 1,170 1,174 0.000%

GOVT NATL MTG ASSN PLATINUM 7.5 9/15/26 1,194 1,350 0.000%

GOVT NATL MTG ASSOC ARM 2.75 8/20/23 1,281 1,309 0.000%

GRAIN SPECTRUM FUNDING 144A 4 10/10/33 2,300,000 2,302,177 0.057%

Great Portland Estates 248,565 2,306,864 0.057%

GSMS 2014-GC24 A1 1.51 9/10/47 1,029,016 1,024,137 0.025%

GSMS 2015-GC32 A4 3.76 7/10/48 950,000 998,315 0.025%

Hamamatsu Photonics KK 58,900 1,975,539 0.049%

Harris 53,187 7,533,939 0.186%

HARRIS CORPORATION 3.83 4/27/25 570,000 589,382 0.015%

HCA Healthcare 24,781 2,176,763 0.054%

HEALTHCARE REALTY TRUST 3.63 1/15/28 1,075,000 1,063,396 0.026%

HEALTHCARE REALTY TRUST 3.75 4/15/23 1,010,000 1,029,636 0.025%

HEATHROW FUNDING LTD 144A 4.88 7/15/23 935,000 999,690 0.025%

Henry Schein 3,700 258,556 0.006%

Hess 29,300 1,390,871 0.034%

Hewlett Packard Enterprise 100,400 1,441,744 0.036%

Hilton Worldwide Holdings 30,686 2,450,584 0.060%

HNGRY 2013-1A A2 144A 4.47 3/20/43 2,135,842 2,140,017 0.053%

Hologic 85,900 3,672,225 0.091%

Home Depot 61,500 11,656,095 0.287%

Honda Motor 173,200 5,910,883 0.146%

Honeywell International 93,769 14,380,414 0.355%

Hormel Foods 15,100 549,489 0.014%

HOWARD HUGHES MEDICAL IN 3.5 9/1/23 1,280,000 1,322,185 0.033%

HP ENTERPRISE CO 144A 2.1 10/4/19 1,010,000 1,002,698 0.025%

HPHT FINANCE 15 LTD 144A 2.25 3/17/18 901,000 900,409 0.022%

HSBC BANK PLC 144A 1.5 5/15/18 1,500,000 1,497,789 0.037%

HSBC BANK USA 5.88 11/1/34 950,000 1,224,417 0.030%

HSBC HOLDINGS PLC 3.26 3/13/23 1,800,000 1,822,907 0.045%

Hubbell 4,600 622,564 0.015%

Humana 14,700 3,646,629 0.090%

HUMANA INC 2.63 10/1/19 300,000 300,462 0.007%

HYATT HOTELS CORP 3.38 7/15/23 275,000 280,576 0.007%

HYDRO QUEBEC 8.4 1/15/22 200,000 241,628 0.006%

HYUNDAI CAPITAL AMERICA 144A 2.55 2/6/19 1,720,000 1,716,971 0.042%

IHS Markit 1,760 79,464 0.002%

Illinois Tool Works 14,700 2,452,695 0.060%

ILLINOIS TOOL WORKS INC 3.9 9/1/42 1,200,000 1,275,990 0.031%

Illumina 844 184,406 0.005%

IL TOLL HWY BUILD AMER TXBL 6.18 1/1/34 470,000 610,037 0.015%

IMPERIAL TOBACCO FINANCE 144A 2.05 2/11/18 1,680,000 1,679,696 0.041%

IMPERIAL TOBACCO FINANCE 144A 2.05 7/20/18 670,000 668,825 0.016%

Incyte 14,000 1,325,940 0.033%

Independence 1,080,713 3,987,754 0.098%

Page 13 of 23

INDONESIA 4.88 5/5/21 1,000,000 1,068,379 0.026%

Infosys, ADR 235,400 3,818,188 0.094%

ING Groep 553,424 10,159,053 0.250%

ING GROEP NV 3.15 3/29/22 560,000 564,980 0.014%

INLAND VLY CA AGY TAX ALLOC TXBL SER B 5.5 3/1/33 695,000 788,123 0.019%

Intel 59,900 2,764,984 0.068%

INTER-AMERICAN DEVEL BK 3.88 9/17/19 700,000 722,087 0.018%

Intercontinental Exchange 169,286 11,944,820 0.295%

INTERCONTINENTALEXCHANGE 2.5 10/15/18 455,000 456,775 0.011%

INTERCONTINENTALEXCHANGE 2.75 12/1/20 965,000 974,216 0.024%

International Paper 117,091 6,784,253 0.167%

INTERNATIONAL PAPER CO 4.4 8/15/47 1,180,000 1,239,671 0.031%

INTERPUBLIC GROUP COS 4 3/15/22 450,000 465,196 0.011%

INTERPUBLIC GROUP COS 4.2 4/15/24 585,000 613,804 0.015%

Intesa Sanpaolo 1,732,318 5,747,587 0.142%

INTESA SANPAOLO SPA 144A 3.13 7/14/22 1,875,000 1,861,697 0.046%

Intuit 56,041 8,842,149 0.218%

Intuitive Surgical 29,394 10,727,046 0.264%

INVESCO FINANCE PLC 3.13 11/30/22 480,000 482,609 0.012%

JBG SMITH Properties, REIT 6,700 232,691 0.006%

JB HUNT TRANSPRT SVCS 2.4 3/15/19 255,000 255,257 0.006%

JIMMY 2017-1A A2I 144A 3.61 7/30/47 518,700 520,697 0.013%

JOBSOHIO BEV SYS LIQ PROFIT SR B 3.99 1/1/29 1,225,000 1,298,623 0.032%

Johnson Controls International 211,451 8,058,398 0.199%

Johnson & Johnson 95,692 13,370,086 0.330%

Johnson Matthey 81,643 3,383,154 0.083%

JPMBB 2014-C22 A1 1.45 9/15/47 340,707 339,338 0.008%

JPMBB 2014-C23 A1 1.65 9/15/47 205,751 205,205 0.005%

JPMBB 2014-C24 A1 1.54 11/15/47 207,306 206,535 0.005%

JPMBB 2015-C31 A3 3.8 8/15/48 2,425,000 2,540,615 0.063%

JPMCC 2012-C8 A3 2.83 10/15/45 1,423,954 1,430,792 0.035%

JPMorgan Chase 392,602 41,984,858 1.035%

JPMORGAN CHASE & CO 4.5 1/24/22 2,000,000 2,134,918 0.053%





KAISER FOUNDATION HOSPIT 3.5 4/1/22 625,000 643,268 0.016%

Kakaku.com 109,800 1,853,498 0.046%

KANSAS GAS & ELECTRIC CO 144A 6.7 6/15/19 280,000 296,092 0.007%

KCOT 2015-1A A3 144A 1.54 3/15/19 362,298 362,046 0.009%

Kellogg 8,600 584,628 0.014%

Kering 12,055 5,674,613 0.140%

KeyCorp 344,561 6,949,795 0.171%

Keysight Technologies 79,300 3,298,880 0.081%

KEYSIGHT TECHNOLOGIES 3.3 10/30/19 1,870,000 1,889,702 0.047%

KFW 4.88 6/17/19 1,000,000 1,041,429 0.026%

KILROY REALTY LP 4.38 10/1/25 480,000 503,784 0.012%

KILROY REALTY LP 3.45 12/15/24 1,350,000 1,346,300 0.033%

Kimberly-Clark 10,100 1,218,666 0.030%

Kingfisher 1,483,868 6,775,393 0.167%

Kirin Holdings 204,700 5,158,733 0.127%

Kkr 16,700 351,702 0.009%

KLA-Tencor 21,471 2,255,958 0.056%

Koito Manufacturing 29,500 2,065,394 0.051%

Koninklijke Philips 249,985 9,439,100 0.233%

Kraft Heinz 31,100 2,418,336 0.060%

KT 99,015 2,968,247 0.073%

L A CA DEPT ARPTS BAB TXB SUB SR C 7.05 5/15/40 1,000,000 1,438,840 0.035%

Lam Research 1,600 294,512 0.007%

L Brands 45,224 2,723,389 0.067%

Legrand 70,239 5,399,899 0.133%

Lennar 70,627 4,466,451 0.110%

Lennar 388 20,052 0.000%

Liberty Global 73,791 2,644,669 0.065%

LIBERTY MUTUAL GROUP INC 144A 4.25 6/15/23 410,000 430,851 0.011%

LIBERTY MUTUAL GROUP INC 144A 4.85 8/1/44 1,700,000 1,883,661 0.046%

Lloyds Banking Group 7,362,786 6,751,552 0.166%

LM Ericsson 353,094 2,330,326 0.057%

LOCKHEED MARTIN CORP 3.8 3/1/45 650,000 655,067 0.016%

Page 14 of 23

Loews 17,090 855,013 0.021%

Lojas Renner 213,299 2,280,038 0.056%

L'Oreal 30,711 6,804,968 0.168%

Lowe's 9,000 836,460 0.021%

Macquarie Group 63,126 4,882,471 0.120%

Maersk 537 935,984 0.023%

MAGELLAN MIDSTREAM PARTNERS 6.55 7/15/19 155,000 164,160 0.004%

Magna International 171,202 9,702,017 0.239%

Mallinckrodt 10,200 230,112 0.006%

MANUF & TRADERS TRUST CO 2.78 12/28/20 834,000 833,132 0.021%

MANUF & TRADERS TRUST CO 3.4 8/17/27 250,000 252,773 0.006%

Marathon Petroleum 95,400 6,294,492 0.155%

Marriott 63,853 8,666,768 0.214%

Marsh & McLennan 91,273 7,428,709 0.183%

MARSH & MCLENNAN COS INC 2.55 10/15/18 495,000 496,050 0.012%



Martin Marietta Materials 3,700 817,848 0.020%

Marvell Technology Group 78,300 1,681,101 0.041%

MASSMUTUAL GLOBAL FUNDIN 144A 1.95 9/22/20 1,496,000 1,479,955 0.036%

MasterCard 130,900 19,813,024 0.489%

MAYO CLINIC 4 11/15/47 1,500,000 1,545,710 0.038%

McCormick 4,000 407,640 0.010%

McDonald's 30,600 5,266,872 0.130%

McKesson 4,200 654,990 0.016%

MCMLT 2016-1 A1 144A 2.5 4/25/57 234,241 232,771 0.006%

MD ST HHEFA UNI MD MED SYS SR B 4.67 7/1/36 1,800,000 1,903,644 0.047%

MD ST TRANS BUILD AMERICA 5.89 7/1/43 350,000 466,897 0.012%

MEAD JOHNSON NUTRITION C 4.13 11/15/25 200,000 212,850 0.005%

Medtronic 118,334 9,555,471 0.236%

Meggitt 830,797 5,394,667 0.133%

Merck 284,100 15,986,307 0.394%

MERRILL LYNCH 6.11 1/29/37 900,000 1,145,321 0.028%

MERRILL LYNCH 6.75 6/1/28 700,000 875,174 0.022%

MERRILL LYNCH & CO 6.5 7/15/18 1,575,000 1,610,411 0.040%

MetLife 86,895 4,393,411 0.108%

METRO TRANS NY BUILD AMERICA 5.87 11/15/39 700,000 902,097 0.022%

MET TRANS AUTH NY DED TX BLD AMER 7.34 11/15/39 240,000 371,374 0.009%

MGM Resorts International 1,100 36,729 0.001%

Microchip Technology 40,900 3,594,292 0.089%

Micron Technology 20,500 842,960 0.021%

Microsoft 794,865 67,992,752 1.677%

MIDAMERICAN ENERGY HLDGS 5.15 11/15/43 1,350,000 1,621,729 0.040%

Miraca Holdings 56,900 2,427,075 0.060%

Mitsubishi Corporation 177,500 4,894,348 0.121%

Mitsubishi Electric 671,800 11,133,459 0.275%

Mitsubishi UFJ Financial 789,100 5,743,044 0.142%

Mitsubishi UFJ Lease & Finance 512,600 3,042,424 0.075%

Mitsui Fudosan 169,400 3,788,713 0.093%

MMAF 2017-B A3 144A 2.21 10/17/22 1,445,000 1,438,475 0.035%

Mohawk Industries 3,400 938,060 0.023%

Moncler 139,540 4,361,675 0.108%

Mondelez International 57,334 2,453,895 0.061%

Monster Beverage 3,400 215,186 0.005%

Morgan Stanley 485,426 25,470,302 0.628%

MORGAN STANLEY 4.3 1/27/45 1,150,000 1,233,424 0.030%

MORGAN STANLEY 6.63 4/1/18 750,000 758,069 0.019%

MORGAN STANLEY 2.13 4/25/18 1,100,000 1,100,523 0.027%

MORGAN STANLEY 3.97 7/22/38 1,445,000 1,485,856 0.037%

MORGAN STANLEY 6.25 8/9/26 755,000 901,546 0.022%

MOROCCO 144A 4.25 12/11/22 1,400,000 1,479,464 0.036%

MSBAM 2014-C17 B 4.46 8/15/47 1,670,000 1,729,212 0.043%

MSBAM 2014-C18 A1 1.69 10/15/47 232,210 231,917 0.006%

MSBAM 2015-C24 AS 4.04 5/15/48 1,375,000 1,425,641 0.035%

MSC 2015-MS1 A4 3.78 5/15/48 1,440,000 1,513,904 0.037%

Munich Re 48,753 10,528,209 0.260%

MVWOT 2013-1A A 144A 2.15 4/22/30 134,375 132,655 0.003%

NABORS INDUSTRIES INC 5.5 1/15/23 675,000 656,438 0.016%

National Bank of Canada 137,900 6,880,738 0.170%

National Grid 426,567 5,028,596 0.124%

Page 15 of 23

NATIONAL RURAL UTIL COOP 2.35 6/15/20 725,000 724,328 0.018%

NATIONWIDE BLDG SOCIETY 144A 2.35 1/21/20 560,000 559,340 0.014%

NAVER 2,455 1,994,392 0.049%

NBCUNIVERSAL ENTERPRISE 144A 1.97 4/15/19 855,000 853,169 0.021%

Nestle 237,820 20,446,871 0.504%

Netflix 39,600 7,601,616 0.187%

NEW YORK LIFE GLOBAL FDG 144A 1.5 10/24/19 2,960,000 2,921,209 0.072%

NextEra Energy 76,406 11,933,853 0.294%

NEXTERA ENERGY INC CVT 6.123000 37,309 2,125,134 0.052%

NHLT 2016-2A A 144A 2.24 6/25/26 154,824 154,534 0.004%

NHLT 2016-3A A 144A 2.01 8/25/26 136,675 136,716 0.003%

Nielsen Holdings 15,200 553,280 0.014%

Nike 26,800 1,676,340 0.041%

Nippon Telegraph & Telephone 280,900 13,206,266 0.326%

NiSource 96,220 2,469,967 0.061%

NISOURCE FINANCE CORP 3.95 3/30/48 1,775,000 1,808,439 0.045%

NISOURCE FINANCE CORP 3.49 5/15/27 1,730,000 1,759,823 0.043%

NJ TPK TXBL BUILD AMERICA F 7.41 1/1/40 415,000 640,561 0.016%

Noble Energy 65,427 1,906,543 0.047%

Nordea Bank 745,274 9,023,751 0.223%

NORDEA BANK AB 144A 2.13 5/29/20 1,500,000 1,490,784 0.037%

NORFOLK SOUTHERN CORP 3 4/1/22 1,085,000 1,096,870 0.027%

NORTHEAST UTILITIES 1.6 1/15/18 380,000 379,807 0.009%

NORTHERN TRUST COMPANY 6.5 8/15/18 250,000 256,613 0.006%

Northrop Grumman 11,053 3,392,276 0.084%

NORTHWESTERN UNIVERSITY 3.81 12/1/50 2,000,000 2,037,098 0.050%

Norwegian Cruise Line Holdings 76,612 4,079,589 0.101%

Novartis 170,624 14,358,439 0.354%

Novo Nordisk 69,056 3,710,757 0.091%

NSTAR ELECTRIC CO 2.38 10/15/22 565,000 557,935 0.014%

NYC FIN AUTH BUILD AMERICA 5.51 8/1/37 950,000 1,208,638 0.030%

NYC WTR BUILD AMERICA 2ND GEN EE 6.01 6/15/42 245,000 344,722 0.008%

NY ST DORM AUTH INC TX BUILD AMER 5.63 3/15/39 1,300,000 1,623,635 0.040%

Occidental Petroleum 63,926 4,708,789 0.116%

OCCIDENTAL PETROLEUM COR 3 2/15/27 2,320,000 2,300,839 0.057%

OMNICOM GROUP INC 3.6 4/15/26 830,000 839,205 0.021%

Omron 82,300 4,895,116 0.121%

ONTARIO 1.2 2/14/18 1,275,000 1,273,334 0.031%

ONTARIO 2.4 2/8/22 2,300,000 2,292,431 0.057%

OR DEPT TRANS HWY BULD AMERICA SUB LIEN 5.83 11/15/34 375,000 482,963 0.012%

O'Reilly Automotive 6,300 1,515,402 0.037%

OREILLY AUTOMOTIVE INC 4.88 1/14/21 1,000,000 1,058,246 0.026%

OREILLY AUTOMOTIVE INC 3.8 9/1/22 370,000 386,470 0.010%

OREILLY AUTOMOTIVE INC 3.6 9/1/27 1,825,000 1,827,223 0.045%

ORIGIN ENERGY FINANCE 144A 3.5 10/9/18 1,210,000 1,212,841 0.030%

OZLM 2014-8A A1AR 144A 2.48 10/17/26 1,130,000 1,131,936 0.028%

OZLM 2014-8A A2AR 144A 2.95 10/17/26 835,000 838,793 0.021%

PACCAR 31,600 2,246,128 0.055%

PACCAR FINANCIAL CORP 1.95 2/27/20 920,000 914,632 0.023%

PACIFICORP 3.85 6/15/21 900,000 938,558 0.023%

PACKAGING CORP OF AMERIC 4.5 11/1/23 395,000 424,815 0.010%

PACKAGING CORP OF AMERIC 3.65 9/15/24 785,000 804,006 0.020%

Panasonic 442,500 6,457,810 0.159%

PARTNERS HEALTHCARE SYST 3.44 7/1/21 1,150,000 1,166,220 0.029%

PayPal Holdings 129,400 9,526,428 0.235%

PENSKE TRUCK LEASING/PTL 144A 3.2 7/15/20 1,250,000 1,266,149 0.031%

PENSKE TRUCK LEASING/PTL 144A 2.88 7/17/18 235,000 236,004 0.006%

Pentair 16,100 1,136,982 0.028%

PepsiCo 37,738 4,525,541 0.112%

Perrigo 27,996 2,440,131 0.060%

Persimmon 169,620 6,266,496 0.155%

PERTAMINA PERSERO PT 144A 4.3 5/20/23 1,250,000 1,309,388 0.032%

PERUSAHAAN GAS NEGARA 144A 5.13 5/16/24 1,105,000 1,188,788 0.029%

PETROLEOS MEXICANOS 3.13 1/23/19 175,000 176,313 0.004%


PETROLEOS MEXICANOS 6 3/5/20 1,050,000 1,115,363 0.028%


PETROLEOS MEXICANOS 3.5 7/18/18 1,125,000 1,134,225 0.028%

PETROLEOS MEXICANOS 144A 5.38 3/13/22 495,000 525,938 0.013%

Pfizer 292,019 10,576,928 0.261%

Page 16 of 23

PG&E 53,716 2,408,088 0.059%

PHILA PA CITY SVC AGR REV TXBL REF 3.96 4/15/26 805,000 815,296 0.020%

Philip Morris International 169,689 17,927,643 0.442%

Ping An Insurance 419,000 4,345,897 0.107%

Plains Gp Holdings 10,600 232,670 0.006%

PNC Financial Services Group 49,092 7,083,485 0.175%

PNC FUNDING CORP 3.3 3/8/22 1,100,000 1,127,465 0.028%

PNC FUNDING CORP 6.7 6/10/19 590,000 626,164 0.015%

POLAND 3.25 4/6/26 1,030,000 1,053,927 0.026%

Pola Orbis Holdings 58,700 2,056,892 0.051%

PORT AUTH NY & NJ SER 182 5.31 8/1/46 1,400,000 1,568,028 0.039%

POTASH CORP-SASKATCHEWAN 4 12/15/26 830,000 860,319 0.021%

PPG Industries 13,370 1,561,883 0.039%

PPL CAPITAL FUNDING INC 3.1 5/15/26 2,200,000 2,153,105 0.053%

PPL CAPITAL FUNDING INC 1.9 6/1/18 190,000 189,848 0.005%

Priceline 15,533 26,992,315 0.666%

PRICELINE GROUP INC/THE 3.65 3/15/25 1,515,000 1,532,721 0.038%

PRICELINE GROUP INC/THE 3.6 6/1/26 2,020,000 2,028,054 0.050%

PRICOA GLOBAL FUNDING 1 144A 1.45 9/13/19 675,000 664,264 0.016%

PRINCIPAL FINANCIAL GROUP 3.4 5/15/25 2,460,000 2,496,128 0.062%

Procter & Gamble 54,180 4,978,058 0.123%

PROGRESS ENERGY INC 4.4 1/15/21 450,000 470,332 0.012%

Progressive 35,700 2,010,624 0.050%

Prologis, REIT 30,200 1,948,202 0.048%

PROVINCE OF QUEBEC 2.88 10/16/24 2,000,000 2,020,972 0.050%

PROV OF NEW BRUNSWICK 2.75 6/15/18 1,400,000 1,405,190 0.035%

Prudential 352,270 9,021,748 0.222%

PRVDNC HLTH & SVC OBL GR 4.38 10/1/23 1,310,000 1,420,842 0.035%

PUBLIC SERVICE COLORADO 3.2 11/15/20 325,000 331,350 0.008%

Qualcomm 158,202 10,128,092 0.250%

QUALCOMM INC 3 5/20/22 1,595,000 1,596,616 0.039%

QUEBEC PROVINCE 3.5 7/29/20 750,000 773,694 0.019%

QVC INC 4.45 2/15/25 140,000 143,127 0.004%

QVC INC 4.38 3/15/23 770,000 787,220 0.019%

QVC INC 4.85 4/1/24 1,645,000 1,721,080 0.042%

Randgold Resources, ADR 3,300 326,337 0.008%

RAYMOND JAMES FINANCIAL 3.63 9/15/26 210,000 210,780 0.005%

Raytheon 500 93,925 0.002%

Recruit Holdings 167,300 4,154,052 0.102%

Red Hat 59,100 7,097,910 0.175%

Regency Centers, REIT 15,800 1,093,044 0.027%

Regeneron Pharmaceuticals 534 200,763 0.005%

REGIONS BANK 2.25 9/14/18 2,060,000 2,062,332 0.051%

REINSURANCE GRP OF AMER 5 6/1/21 630,000 671,293 0.017%

REI - SECURITY LENDING COLLATERAL 284,715 2,847,147 0.070%

Reliance Steel & Aluminum 2,300 197,317 0.005%

Renesas Electronics 195,600 2,268,458 0.056%

REPUBLIC SERVICES INC 3.38 11/15/27 1,045,000 1,052,893 0.026%

REPUBLIC SERVICES INC 5.5 9/15/19 400,000 421,116 0.010%

Restaurant Brands International 20,670 1,270,792 0.031%

REYNOLDS AMERICAN INC 2.3 6/12/18 1,400,000 1,401,127 0.035%

Rio Tinto 41,291 2,427,706 0.060%

Roche Holding 50,124 12,674,126 0.313%

Rockwell Automation 4,400 863,940 0.021%

Rockwell Collins 8,100 1,098,522 0.027%

ROGERS COMMUNICATIONS IN 3.63 12/15/25 610,000 622,708 0.015%

ROPER INDUSTRIES INC 2.05 10/1/18 595,000 594,717 0.015%

ROPER INDUSTRIES INC 6.25 9/1/19 300,000 318,823 0.008%

Roper Technologies 38,150 9,880,850 0.244%

ROPER TECHNOLOGIES INC 3 12/15/20 1,160,000 1,173,449 0.029%

ROPER TECHNOLOGIES INC 3.8 12/15/26 1,085,000 1,118,702 0.028%

Ross Stores 76,800 6,163,200 0.152%

ROYAL BANK OF CANADA 2.2 7/27/18 600,000 600,827 0.015%

Royal Caribbean Cruises 29,100 3,471,048 0.086%

Royal Dutch Shell, ADR 105,300 7,190,937 0.177%

RPM 10,300 539,926 0.013%

Rsa Insurance 580,105 4,944,790 0.122%

SABINE PASS LIQUEFACTION 4.2 3/15/28 1,335,000 1,355,025 0.033%

Salesforce.com 132,223 13,517,157 0.333%

Samsonite International 782,100 3,587,521 0.088%

Page 17 of 23

Samsung Electronics 3,094 7,351,067 0.181%

Sanofi 88,038 7,579,361 0.187%

SANTANDER UK PLC 2.35 9/10/19 1,375,000 1,375,363 0.034%

SBA Communications, REIT 6,300 1,029,168 0.025%

SBA TOWER TRUST 144A 3.6 4/15/18 1,140,000 1,139,393 0.028%

Scentre 1,163,695 3,795,940 0.094%

Schlumberger 9,161 617,360 0.015%

SC PUB SVC AUTH TXBL REV SR C 5.78 12/1/41 2,000,000 2,462,600 0.061%

SCRT 2016-1 M1 144A 3 9/25/55 530,000 512,746 0.013%

Sembcorp Industries 402,260 908,646 0.022%

Sempra Energy 66,898 7,152,734 0.176%

Sensata Technologies Holding 11,700 597,987 0.015%

ServiceNow 62,000 8,084,180 0.199%

Seven & i Holdings 133,200 5,517,996 0.136%

Sherwin-Williams 10,300 4,223,412 0.104%

SHIRE ACQ INV IRELAND DA 2.88 9/23/23 2,870,000 2,811,346 0.069%

Shire, ADR 35,680 5,534,682 0.136%

Siemens 92,448 12,800,130 0.316%

SKANDINAVISKA ENSKILDA 144A 2.38 11/20/18 1,500,000 1,504,047 0.037%

SLFT 2016-AA A 144A 2.9 11/15/29 805,000 806,183 0.020%

SL Green Realty, REIT 9,800 989,114 0.024%

SMB 2015-A A2A 144A 2.49 6/15/27 841,655 839,809 0.021%

SMC 10,000 4,103,845 0.101%

Softbank 42,800 3,388,500 0.084%

SOLVAY FINANCE (AMERICA) 144A 3.4 12/3/20 1,890,000 1,924,765 0.047%

Sony 60,500 2,715,414 0.067%

South32 1,000,603 2,712,184 0.067%

SOUTH AFRICA 5.5 3/9/20 1,405,000 1,478,074 0.036%

SOUTH AFRICA 5.88 9/16/25 495,000 540,075 0.013%

SOUTHEAST SUPPLY HEADER 144A 4.25 6/15/24 905,000 934,655 0.023%

SOUTHERN CO 4.4 7/1/46 1,770,000 1,888,560 0.047%

SOUTHERN CO 2.45 9/1/18 1,300,000 1,303,610 0.032%

Southern Company 176,200 8,473,458 0.209%

Southern Copper 9,500 450,775 0.011%

SOUTHERN POWER CO 5.15 9/15/41 1,200,000 1,342,212 0.033%

SPECTRA ENERGY CAPITAL 3.3 3/15/23 1,075,000 1,072,690 0.026%

SPECTRA ENERGY PARTNERS 3.38 10/15/26 480,000 471,753 0.012%

SPECTRA ENERGY PARTNERS 4.75 3/15/24 1,145,000 1,237,720 0.031%

S&P Global 16,516 2,797,810 0.069%

SRFC 2014-3A A 144A 2.3 10/20/31 265,116 264,213 0.007%

SRFC 2015-3A A 144A 2.58 9/20/32 218,961 218,637 0.005%

SRT 2017-A A3 144A 2.22 1/20/21 1,265,000 1,261,098 0.031%

SSE 126,490 2,248,715 0.055%

STACR 2015-DNA1 M1 2.45 10/25/27 179,422 179,623 0.004%

STACR 2015-DNA2 M2 4.15 12/25/27 1,628,824 1,663,379 0.041%

STACR 2015-DNA3 M2 4.4 4/25/28 1,440,893 1,491,236 0.037%

STACR 2016-HQA1 M2 4.3 9/25/28 785,000 806,974 0.020%

STACR 2016-HQA3 M1 2.35 3/25/29 373,468 374,123 0.009%

Standard Chartered 320,519 3,365,960 0.083%

Stanley Black & Decker 55,050 9,341,435 0.230%

Starbucks 48,500 2,785,355 0.069%

STATE GRID OVERSEAS INV 144A 2.25 5/4/20 2,225,000 2,204,129 0.054%

State Street 105,800 10,327,138 0.255%

STATE STREET CORP 3.1 5/15/23 265,000 267,319 0.007%

Statoil 160,718 3,440,720 0.085%

STATOIL ASA 1.2 1/17/18 500,000 499,879 0.012%

Steel Dynamics 10,523 453,857 0.011%

Stericycle 59,956 4,076,408 0.101%

Stora Enso 288,429 4,569,523 0.113%

Storebrand 597,083 4,857,396 0.120%

Stroeer SE & Co KGaA 38,979 2,872,130 0.071%

Stryker 99,620 15,425,161 0.380%

STRYKER CORP 1.3 4/1/18 1,200,000 1,198,513 0.030%

Sumitomo Corporation 561,100 9,517,243 0.235%

SUMITOMO MITSUI BANKING 2.5 7/19/18 1,270,000 1,272,983 0.031%

SUMITOMO MITSUI BANKING 1.95 7/23/18 1,850,000 1,847,112 0.046%

Sumitomo Mitsui Trust Holdings 147,554 5,838,123 0.144%

Sumitomo Rubber Industries 112,800 2,090,551 0.052%

Sun Life Financial 135,500 5,592,474 0.138%

SUNTRUST BANKS INC 2.35 11/1/18 345,000 345,725 0.009%

Page 18 of 23

Suzuki Motor 87,900 5,087,975 0.125%

Svenska Handelsbanken 516,220 7,054,687 0.174%

SVENSKA HANDELSBANKEN AB 1.63 3/21/18 1,300,000 1,299,449 0.032%

Symantec 185,289 5,199,209 0.128%

Synchrony Financial 125,261 4,836,327 0.119%

SYNCT 2015-2 A 1.6 4/15/21 1,300,000 1,299,171 0.032%

SYNCT 2017-2 A 2.62 10/15/25 920,000 919,585 0.023%

Synopsys 48,154 4,104,647 0.101%

Taiwan Semiconductor Manufacturing 1,290,969 9,885,043 0.244%

TAMPA ELECTRIC 6.15 5/15/37 1,000,000 1,296,785 0.032%

Tapestry 30,000 1,326,900 0.033%

TARRANT CO TX CEFFC REV HLTH RES SR A 4.37 11/15/47 1,200,000 1,263,180 0.031%

TD Ameritrade Holding 196,423 10,043,108 0.248%

TDC 916,236 5,628,168 0.139%

TEACHERS INSUR & ANNUITY 144A 4.9 9/15/44 1,800,000 2,066,418 0.051%

TE Connectivity 38,074 3,618,553 0.089%

Telecom Italia 3,805,243 2,699,234 0.067%

Telefonica 422,960 4,118,679 0.102%

Telefonica Deutschland Holding 987,265 4,941,004 0.122%

Telstra 418,239 1,182,299 0.029%

Tencent Holdings 351,300 18,182,573 0.448%

Tesla 12,244 3,812,169 0.094%

TEVA PHARMACEUTICALS NE 1.7 7/19/19 3,750,000 3,639,319 0.090%

TEVA PHARM FIN IV BV 3.65 11/10/21 1,465,000 1,393,701 0.034%

Texas Instruments 42,000 4,386,480 0.108%

Textron 37,500 2,122,125 0.052%

Thermo Fisher Scientific 56,887 10,801,704 0.266%

THERMO FISHER SCIENTIFIC 2.15 12/14/18 2,400,000 2,402,160 0.059%

THERMO FISHER SCIENTIFIC 2.4 2/1/19 355,000 355,061 0.009%

THK 170,900 6,388,207 0.158%

THOMSON REUTERS CORP 3.35 5/15/26 405,000 401,647 0.010%

Time Warner 5,100 466,497 0.012%

TIME WARNER CABLE INC 5 2/1/20 485,000 505,792 0.012%

TIME WARNER CABLE INC 8.75 2/14/19 105,000 112,108 0.003%





TIME WARNER CABLE INC 4 9/1/21 200,000 205,427 0.005%

TJX 20,700 1,582,722 0.039%

T-Mobile US 16,900 1,073,319 0.026%

Tokio Marine Holdings 150,000 6,822,455 0.168%

Tokyo Electron 41,400 7,468,122 0.184%

TORONTO-DOMINION BANK 1.4 4/30/18 800,000 798,998 0.020%

TORONTO-DOMINION BANK 3.63 9/15/31 305,000 304,536 0.008%

TORONTO-DOMINION BANK 1.45 9/6/18 1,300,000 1,295,367 0.032%

Tosoh 61,000 1,376,172 0.034%

Total 221,092 12,204,264 0.301%

Total, ADR 112,913 6,241,831 0.154%

TOTAL SA COUP RTS 1/18 221,092 0 0.000%

Toyota Motor 143,300 9,132,511 0.225%

TPMT 2015-3 A1B 144A 3 3/25/54 895,115 898,834 0.022%

TPMT 2015-4 A1B 144A 2.75 4/25/55 1,065,832 1,066,001 0.026%

TPMT 2015-5 A1B 144A 2.75 5/25/55 1,253,410 1,253,493 0.031%

TPMT 2016-1 A1B 144A 2.75 2/25/55 991,110 991,186 0.024%

TPMT 2016-2 A1A 144A 2.75 8/25/55 943,936 943,586 0.023%

TPMT 2016-3 A1 144A 2.25 4/25/56 1,117,815 1,106,943 0.027%

TPMT 2017-1 A1 144A 2.75 10/25/56 575,742 574,939 0.014%

TPMT 2017-6 A1 144A 2.75 10/25/57 1,545,354 1,539,806 0.038%

TransCanada 226,070 10,996,045 0.271%

TransUnion 8,095 444,901 0.011%

TRANSURBAN FINANCE CO 144A 4.13 2/2/26 335,000 343,794 0.008%

TRANSURBAN FINANCE CO 144A 3.38 3/22/27 395,000 384,900 0.009%

TRAVELERS COS INC 6.25 6/15/37 750,000 1,015,648 0.025%

TRINITY HEALTH CREDIT GR 4.13 12/1/45 725,000 766,173 0.019%

TRP Inflation Protected Bond - I 1,125,321 13,357,562 0.329%

TRP Institutional High Yield - Inst 14,865,949 133,793,545 3.299%

TRP Inst Large-Cap Core Growth - Inst 174,433 6,529,017 0.161%

TRP Inst US Structured Research - Inst 511,800 6,612,457 0.163%

TRP Limited Duration Infl Foc Bd - I 1,591,189 7,908,209 0.195%

Page 19 of 23

TRP Overseas Stock - I 857,953 9,677,715 0.239%

TRP Real Assets - I 5,116,454 59,760,187 1.474%

TRP Treasury Reserve 1.25 110,409,320 110,409,320 2.722%

TRP US Bond Enhanced Index 1,341,263 14,753,898 0.364%

TRP Value - I 177,125 6,610,307 0.163%

Twenty-First Century Fox 32,300 1,115,319 0.028%

Twenty-First Century Fox 146,100 4,984,932 0.123%

TX ST BAUILD AMERICA BONDS TXBLE 5.52 4/1/39 1,300,000 1,706,640 0.042%

Tyson Foods 321,743 26,083,705 0.643%

UBS GROUP FUNDING 144A 4.13 9/24/25 1,115,000 1,167,579 0.029%

UBS GROUP FUNDING SWITZE 144A 3.49 5/23/23 1,040,000 1,056,152 0.026%

Ulta Beauty 4,300 961,738 0.024%

Umicore 91,283 4,322,155 0.107%

Unibail-Rodamco 18,967 4,773,081 0.118%

Unilever 266,547 14,784,333 0.365%

Union Pacific 500 67,050 0.002%

UNITED AIR 2014-1 B PTT 4.75 10/11/23 408,115 421,178 0.010%

UNITED AIR 2014-2 B PTT 4.63 3/3/24 1,626,358 1,670,406 0.041%

United Continental 29,900 2,015,260 0.050%

UnitedHealth Group 97,761 21,552,390 0.531%

UNITEDHEALTH GROUP INC 4.7 2/15/21 835,000 887,542 0.022%

UNITEDHEALTH GROUP INC 3.75 7/15/25 645,000 678,712 0.017%

UNITEDHEALTH GROUP INC 4.75 7/15/45 1,235,000 1,459,350 0.036%

UNITED MEXICAN STATES 4.13 1/21/26 1,760,000 1,837,000 0.045%

United Overseas Bank 194,700 3,838,124 0.095%

United Technologies 18,960 2,418,727 0.060%

UNIV CA REV TAX GEN SR AJ 4.6 5/15/31 1,625,000 1,806,123 0.045%

Universal Health Services 3,500 396,725 0.010%

UNIV OF CA REVS LTD PRJ SR J 4.13 5/15/45 365,000 386,093 0.010%

UNUM GROUP 3 5/15/21 590,000 592,533 0.015%

UNUM GROUP 5.63 9/15/20 200,000 215,077 0.005%

UPS 45,329 5,400,950 0.133%

U.S. Bancorp 112,100 6,006,318 0.148%

US TREASURY N/B 1.75 10/31/20 975,000 969,516 0.024%

US TREASURY N/B 1.25 10/31/21 5,500,000 5,328,125 0.131%

US TREASURY N/B 1.63 11/15/22 315,000 306,879 0.008%

US TREASURY N/B 2.25 11/15/24 13,385,000 13,311,801 0.328%

US TREASURY N/B 2.25 11/15/25 3,830,000 3,795,291 0.094%

US TREASURY N/B 6.5 11/15/26 5,425,000 7,200,840 0.178%

US TREASURY N/B 2 11/15/26 13,170,000 12,741,975 0.314%

US TREASURY N/B 2.25 11/15/27 5,095,000 5,021,759 0.124%

US TREASURY N/B 4.38 11/15/39 6,065,000 7,801,106 0.192%

US TREASURY N/B 3.13 11/15/41 8,710,000 9,357,806 0.231%

US TREASURY N/B 2.75 11/15/42 3,000,000 3,016,406 0.074%

US TREASURY N/B 3 11/15/44 2,990,000 3,139,967 0.077%

US TREASURY N/B 1.75 11/30/21 1,500,000 1,478,906 0.036%

US TREASURY N/B 2 11/30/22 34,850,000 34,539,617 0.852%

US TREASURY N/B 1.75 12/31/20 7,560,000 7,506,844 0.185%

US TREASURY N/B 2 12/31/21 3,270,000 3,253,139 0.080%

US TREASURY N/B 1.88 1/31/22 9,095,000 8,999,787 0.222%

US TREASURY N/B 2 2/15/22 12,450,000 12,387,750 0.305%

US TREASURY N/B 1.63 2/15/26 1,000,000 944,063 0.023%

US TREASURY N/B 2.25 2/15/27 12,695,000 12,524,411 0.309%

US TREASURY N/B 5.25 2/15/29 1,775,000 2,259,797 0.056%

US TREASURY N/B 5.38 2/15/31 1,440,000 1,912,500 0.047%

US TREASURY N/B 3.5 2/15/39 2,930,000 3,343,405 0.082%

US TREASURY N/B 4.63 2/15/40 2,830,000 3,761,247 0.093%

US TREASURY N/B 4.75 2/15/41 3,350,000 4,545,008 0.112%

US TREASURY N/B 3.13 2/15/43 3,715,000 3,990,723 0.098%

US TREASURY N/B 2.5 2/15/46 2,975,000 2,830,898 0.070%

US TREASURY N/B 3 2/15/47 1,150,000 1,208,938 0.030%

US TREASURY N/B 1.13 2/28/21 16,110,000 15,661,941 0.386%

US TREASURY N/B 2.13 5/15/25 2,840,000 2,796,069 0.069%

US TREASURY N/B 1.63 5/15/26 10,180,000 9,588,288 0.236%

US TREASURY N/B 4.5 5/15/38 2,420,000 3,144,866 0.078%

US TREASURY N/B 3 5/15/45 10,640,000 11,173,663 0.276%

US TREASURY N/B 3 5/15/47 4,120,000 4,331,150 0.107%

US TREASURY N/B 1.38 5/31/21 5,300,000 5,179,922 0.128%

US TREASURY N/B 1.75 5/31/22 19,820,000 19,473,150 0.480%

US TREASURY N/B 1.5 6/15/20 8,805,000 8,715,574 0.215%

Page 20 of 23

US TREASURY N/B 1.13 6/30/21 8,875,000 8,593,496 0.212%

US TREASURY N/B 1.38 6/30/23 5,355,000 5,114,025 0.126%

US TREASURY N/B 1.13 7/31/21 32,385,000 31,317,307 0.772%

US TREASURY N/B 7.25 8/15/22 100,000 122,375 0.003%

US TREASURY N/B 3.63 8/15/43 11,460,000 13,374,178 0.330%

US TREASURY N/B 2.88 8/15/45 4,185,000 4,288,971 0.106%

US TREASURY N/B 2.25 8/15/46 8,700,000 7,844,953 0.193%

US TREASURY N/B 2.75 8/15/47 6,725,000 6,731,305 0.166%

UT TRAN TAX REV BUILD AMERICA B 5.94 6/15/39 900,000 1,191,024 0.029%

Valvoline 13,665 342,445 0.008%

Vantiv 35,700 2,625,735 0.065%

VA PUB BLDG BUILD AMERICA 5.9 8/1/30 755,000 927,925 0.023%

VA TRANS REV BUILD AMERICA BONDS 5.35 5/15/35 690,000 827,082 0.020%

VENDEE MORTG TR 96-3 4 9.79 3/15/25 1,355 1,409 0.000%

VENTAS REALTY LP/CAP CRP 2 2/15/18 450,000 450,005 0.011%

VEREIT OPERATING PARTNER 3.95 8/15/27 1,490,000 1,470,645 0.036%

Verizon Communications 264,700 14,010,571 0.345%

VERIZON COMMUNICATIONS 4.27 1/15/36 1,615,000 1,606,586 0.040%

VERIZON COMMUNICATIONS 5.25 3/16/37 2,475,000 2,720,649 0.067%

Vertex Pharmaceuticals 70,000 10,490,200 0.259%

Visa 213,300 24,320,466 0.600%

VISA INC 2.15 9/15/22 2,420,000 2,382,125 0.059%

VMware 7,400 927,368 0.023%

Vodafone, ADR 304,363 9,709,180 0.239%

Vornado Realty Trust, REIT 14,000 1,094,520 0.027%

Voya Financial 63,711 3,151,783 0.078%

VOYA FINANCIAL INC 2.9 2/15/18 369,000 369,463 0.009%

Vulcan Materials 14,881 1,910,274 0.047%

VULCAN MATERIALS CO 4.5 6/15/47 590,000 601,270 0.015%

Wabtec 7,420 604,211 0.015%

Walgreens Boots Alliance 13,607 988,140 0.024%

Wal-Mart 128,075 12,647,406 0.312%

WAL-MART STORES 5.25 9/1/35 250,000 315,469 0.008%

Walt Disney 30,381 3,266,261 0.081%

Waste Connections 19,400 1,376,236 0.034%

WEA FINANCE LLC/WESTFIEL 144A 3.25 10/5/20 720,000 732,946 0.018%

Wells Fargo 412,717 25,039,540 0.617%

WELLS FARGO & COMPANY 3.07 1/24/23 3,240,000 3,262,991 0.080%

WEN 2015-1A A2II 144A 4.08 6/15/45 2,932,500 3,001,795 0.074%

WESFARMERS LTD 144A 1.87 3/20/18 1,300,000 1,300,321 0.032%

Westar Energy 88,000 4,646,400 0.115%

WEST FRASER TIMBER CO 144A 4.35 10/15/24 800,000 786,378 0.019%

WESTPAC BANKING CORP 1.6 1/12/18 1,200,000 1,199,977 0.030%



Weyerhaeuser, REIT 88,193 3,109,685 0.077%

WFRBS 2014-C19 B 4.72 3/15/47 610,000 640,638 0.016%

WFRBS 2014-C22 A1 1.48 9/15/57 305,692 304,188 0.008%

WILLIAMS PARTNERS LP 5.25 3/15/20 775,000 818,967 0.020%

WILLIAMS PARTNERS LP 5.1 9/15/45 1,735,000 1,888,983 0.047%

WILLIS NORTH AMERICA INC 3.6 5/15/24 820,000 832,845 0.021%

Willis Towers Watson 60,892 9,175,815 0.226%

Wilmar International 1,594,600 3,674,717 0.091%

WOART 2016-A A3 1.77 9/15/21 2,550,000 2,541,985 0.063%

WOODSIDE FINANCE LTD 144A 3.7 3/15/28 1,187,000 1,180,519 0.029%

WOODSIDE FINANCE LTD 144A 3.7 9/15/26 738,000 737,728 0.018%

Workday 26,500 2,696,110 0.066%

WorleyParsons 269,330 3,001,767 0.074%

WPP 322,965 5,834,603 0.144%

WPP FINANCE 2010 3.75 9/19/24 1,310,000 1,335,326 0.033%

Xilinx 15,490 1,044,336 0.026%

XL Group 169,449 5,957,827 0.147%

Yahoo! Japan 699,300 3,203,836 0.079%

Yum! Brands 84,400 6,887,884 0.170%

YY, ADR 41,300 4,669,378 0.115%

Zoetis 35,600 2,564,624 0.063%

Zurich Insurance Group 18,636 5,666,155 0.140%

Total Investments in Securities 4,086,064,028

Page 21 of 23

Options Strike Price($) Exercise Date Shares/Par Value ($) % of Net Assets

CDX HY S29 PAY 100 01/17/2018 100.00 1/17/2018 (172,500,000) (47,434) (0.001%)

CDX IG S29 PAY 55 03/21/2018 55.00 3/21/2018 50,000,000 67,684 0.002%

CDX IG S29 PAY 57.5 02/21/2018 57.50 2/21/2018 50,000,000 34,666 0.001%

CDX IG S29 PAY 65 02/21/2018 65.00 2/21/2018 (50,000,000) (21,225) (0.001%)

CDX IG S29 PAY 65 03/21/2018 65.00 3/21/2018 (50,000,000) (35,986) (0.001%)

CDX IG S29 PAY 80 02/21/2018 80.00 2/21/2018 (50,000,000) (13,365) 0.000%

CDX IG S29 PAY 80 03/21/2018 80.00 3/21/2018 (50,000,000) (21,967) (0.001%)

Total Options (37,626)

Futures Contracts Contracts Expiration Contract Value Unrealized G/L % of Net Assets

FVH8 5YR US NOTE FUT MAR 18 (299) 3/29/2018 (34,733,055) 40,886 (0.856%)

MSCI EAFE FUT 3/18 25 3/16/2018 2,556,875 48,635 0.063%

S&P500 EMINI FUT 3/18 38 3/16/2018 5,084,400 49,966 0.125%

TUH8 2YR US NOTE FUT MAR 18 8 3/29/2018 1,712,875 (526) 0.042%

TYH8 US 10YR NOTE FUT MAR18 (6) 3/20/2018 (744,281) 3,975 (0.018%)

USH8 UST 30YR FUT MAR 18 53 3/20/2018 8,109,000 2,768 0.200%

WNH8 ULTRA US BOND FUT MAR 18 (3) 3/20/2018 (502,969) (1,528) (0.012%)

Total Futures Contracts 144,175

NET ASSETS 4,055,597,412

NET ASSET VALUE PER SHARE

Balanced Fund Shares 24.33

($3,776,654,300 / 155,198,033 Shares Outstanding)

Balanced Fund - I Class Shares 24.34

($278,943,112 / 11,459,690 Shares Outstanding)

ADR American Depository Receipts

ADS American Depository Shares

AR Auction Rate security with an interest rate reset feature through a modified Dutch auction at predetermined short-term intervals; rate shown is effective rate at period end

ARM Adjustable Rate Mortgage

BAN Bond Anticipation Note

CDA Community Development Administration

CLN Credit Linked Note

CMO Collateralized Mortgage Obligation

COP Certificate of Participation

DOT Department of Transportation

EFA Educational Facility Authority

ETC Equipment Trust Certificate

FDR Fiduciary Depository Receipt

FRN Floating Rate Note

GDR Global Depository Receipts

GDS Global Depository Shares

GO General Obligation

HDA Housing Development Authority

HEFA Health & Education Facility Authority

HFA Health Facility Authority

HFC Housing Finance Corp

HFFA Health Facility Financing Authority

HHEFA Health & Higher Education Facility Authority

IDA Industrial Development Authority/Agency

IDB Industrial Development Bond

IDC Industrial Development Corp

IDRB Industrial Development Revenue Bond

IO Interest Only security for which the fund receives interest on notional principal (par)

PCR Pollution Control Revenue

PFA Public Finance Authority

PIK Payment-in-kind

PTC Pass-Through Certificate

RAC Revenue Anticipation Certificate

RAN Revenue Anticipation Note

RAW Revenue Anticipation Warrant

REIT Real Estate Investment Trust

RIB Residual interest bond issued by a third party securitization trust and purchased directly through a cash transaction that involved no exchange of previously held securities; rate varies

inversely to short-term rates and the rate presented is the effective rate at period-end

STEP Stepped coupon bond for which the coupon rate of interest will adjust on specified future dates(s)

TAN Tax Anticipation Note

TAW Tax Anticipation Warrant

TBA To Be Announced purchase commitment

TDFA Trade & Deposit Facility Agreement

TECP Tax-Exempt Commercial Paper

TRAN Tax Revenue Anticipation Note

VR Variable Rate; rate shown is effective rate at period end

VRDN Variable Rate Demand Note under which the holder has the right to sell the security to the issuer or the issuer's agent at a predetermined price (generally par) on specified dates upon

required notification; rate shown is effective rate at period-end

Page 22 of 23

Important Information

The portfolio data contained herein is for informational purposes only and does not constitute a recommendation or an offer for a particular security or investment. Unlike the fund's regulatory

filings, the portfolio data and its presentation in this document do not conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation

requirements. The holdings are not audited and the information may differ in certain respects, such as derivatives exposure and security name, from the information found in the complete list

of portfolio investments in the semiannual and annual shareholder reports and Form N-Q.

Page 23 of 23

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