Document


UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549
FORM 11-K
(Mark One)
 
ý
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2015
OR
 
 
¨
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
Commission file number 001-37702
AMGEN RETIREMENT AND SAVINGS PLAN
(Full title of the plan)
AMGEN INC.
(Name of issuer of the securities held)
 
 
 
 
One Amgen Center Drive,
 
91320-1799
Thousand Oaks, California
 
(Zip Code)
(Address of principal executive offices)
 
 








Amgen Retirement and Savings Plan
Audited Financial Statements
and Supplemental Schedules

Years Ended December 31, 2015 and 2014

Contents
 
 
 
 
 
Audited Financial Statements:
 
 
 
 
 
Supplemental Schedules:
 
 
 



Report of Independent Registered Public Accounting Firm
Amgen Inc., as Named Fiduciary, and the Plan Participants of the
Amgen Retirement and Savings Plan
We have audited the accompanying statements of net assets available for benefits of the Amgen Retirement and Savings Plan (the Plan) as of December 31, 2015 and 2014, and the related statements of changes in net assets available for benefits for the years then ended. 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. We were not engaged to perform an audit of the Plan’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and 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 at December 31, 2015 and 2014, and the changes in its net assets available for benefits for the years then ended, in conformity with U.S. generally accepted accounting principles.
The accompanying supplemental schedule of assets (held at end of year) and schedule of loans or fixed income obligations in default or classified as uncollectible as of December 31, 2015, and schedule of assets (acquired and disposed of within year) for the year then ended, have been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The information in the supplemental schedules is the responsibility of the Plan’s management. Our audit procedures included determining whether the information reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedules. In forming our opinion on the information, we evaluated whether such information, including its form and content, is presented in conformity with the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. In our opinion, the information is fairly stated, in all material respects, in relation to the financial statements as a whole.
/s/ ERNST & YOUNG LLP
Los Angeles, California
June 15, 2016


1


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

 
 
December 31,
 
 
2015
 
2014
Assets
 
 
 
 
Investments at fair value
 
$
3,703,163,819

 
$
3,949,325,428

Investments in fully benefit-responsive investment contracts at contract value
 
250,930,972

 
242,349,277

Notes receivable from participants
 
36,178,066

 
39,160,420

Other, principally due from broker
 
18,191,847

 
4,968,103

Total assets
 
4,008,464,704

 
4,235,803,228

Liabilities
 
 
 
 
Other, principally due to broker
 
19,848,751

 
8,653,815

Total liabilities
 
19,848,751

 
8,653,815

Net assets available for benefits
 
$
3,988,615,953

 
$
4,227,149,413

See accompanying notes.


2


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


 
 
Year Ended December 31,
 
 
2015
 
2014
Additions to (deductions from) net assets:
 
 
 
 
Employer contributions
 
$
152,552,643

 
$
170,868,925

Participant contributions
 
132,244,673

 
149,332,516

Rollover contributions
 
19,563,421

 
27,474,246

Interest and dividend income
 
43,666,455

 
45,071,566

Net realized/unrealized (losses) gains
 
(88,349,679
)
 
294,177,163

Interest income on notes receivable from participants
 
1,562,965

 
1,735,158

Benefits paid
 
(490,737,270
)
 
(378,615,295
)
Investment and administrative fees
 
(9,036,668
)
 
(9,525,126
)
Net (decrease) increase
 
(238,533,460
)
 
300,519,153

Net assets available for benefits at beginning of year
 
4,227,149,413

 
3,926,630,260

Net assets available for benefits at end of year
 
$
3,988,615,953

 
$
4,227,149,413

See accompanying notes.


3


Amgen Retirement and Savings Plan
Notes to Financial Statements
December 31, 2015
1. Description of the Plan
The following description of the Amgen Retirement and Savings Plan (the Plan) provides only general information. Participants should refer to the Plan document for a more complete description of the Plan’s provisions.
General
The Plan was established effective April 1, 1985, and was most recently amended and restated effective January 1, 2015, and subsequently amended, with the most recent amendment adopted on November 5, 2015. The Plan is a defined contribution plan covering substantially all domestic employees of Amgen Inc. (the Company or Amgen) and participating subsidiaries. The Plan, as amended and restated, is intended to qualify under sections 401(a) and 401(k) of the Internal Revenue Code of 1986 (the Code) (see Note 4, Income Tax Status) and section 407(d)(3)(A) of the Employee Retirement Income Security Act of 1974 (ERISA).
Contributions
Subject to certain limitations (as defined in the Plan), participants may elect to contribute up to 30% of their eligible compensation in pre-tax contributions, Roth contributions (in accordance with the Code), after-tax contributions or a combination of these types of contributions. A participant’s combined pre-tax contributions and Roth contributions (exclusive of catch-up contributions discussed below) are subject to Internal Revenue Service (IRS) and Plan limits and could not exceed a maximum of $18,000 in 2015 and $17,500 in 2014. Participant after-tax contributions are subject to IRS and Plan limitations and could not exceed a maximum of $8,500 in 2015 and 2014. Unless an employee has voluntarily enrolled in the Plan or has declined to participate in the Plan within the first 30 days of employment, all newly eligible participants are automatically enrolled in the Plan, and contributions equal to 5% of their eligible compensation are withheld and contributed to the Plan as pre-tax contributions; such contributions are automatically increased by 1% per year until their contributions reach 10% of their eligible compensation. Participants may elect to adjust, cease or resume their contributions at any time.
Participants who are at least age 50 by the close of the Plan year may also elect to make certain additional contributions, referred to as catch-up contributions, that are subject to IRS and Plan limitations and could not exceed $6,000 in 2015 and $5,500 in 2014. Catch-up contributions may be made as pre-tax contributions, Roth contributions or a combination of these types of contributions. Participants may also contribute pre-tax, Roth and after-tax amounts representing distributions from certain other retirement plans qualified in the United States or certain individual retirement accounts (IRAs), referred to as rollover contributions (as defined in the Plan).
Each pay period, the Company makes a non-elective contribution for all eligible participants, whether or not they have elected to make contributions to the Plan, equal to 5% of each participant’s eligible compensation (Core Contributions) up to a maximum of $13,250 in 2015 and $13,000 in 2014. In addition, the Company makes a contribution equal to amounts contributed by the participant as pre-tax contributions or Roth contributions, including such contributions designated as catch-up contributions, of up to 5% of eligible compensation (Matching Contributions) up to a maximum of $13,250 in 2015 and $13,000 in 2014.


4


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

1. Description of the Plan (continued)
Contributions (continued)
Also, the Company can, in its discretion, make a special non-elective contribution on behalf of a participant who is in his or her initial year of employment with the Company and who could not make the maximum participant contribution permitted under the Plan because in the same Plan year he or she previously made pre-tax salary deferrals under a prior unrelated employer’s qualified plan.
Participants select the investments in which their contributions, including their Core Contributions and Matching Contributions (collectively, Company Contributions), are to be invested, electing among various alternatives, including Amgen Inc. common stock (Amgen stock). Participants may direct a maximum of 20% of contributions to be invested in Amgen stock. In addition, participants may transfer amounts among the investment options at any time, subject to certain limitations. Notwithstanding the foregoing, if 20% or more of the value of a participant’s Plan account is invested in Amgen stock, the Plan document provides that no transfers from other investment options can be made to invest in Amgen stock.
The accounts of participants who had never made an investment election are allocated to investments under a qualified default investment alternative, which is intended to be compliant with ERISA regulations. At any time, participants may elect to alter the investments in their accounts made under a qualified default investment alternative.
Vesting
Participants are immediately vested with respect to their contributions, Company Contributions, and earnings and losses (hereafter referred to as earnings) thereon.
Participant Accounts
Each participant’s account is credited with: (a) the participant’s contributions; (b) an allocation of Company Contributions; and (c) earnings. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s account.
Plan Investments
Participants can invest in any of 16 different asset classes as well as Amgen stock or may actively manage their account under a self-directed brokerage arrangement in which a wider array of investment options are available. The value of an investment in an asset class is determined by its underlying investment vehicles, which may include one or more of the following: mutual funds, collective trust funds and portfolios, which are separately managed exclusively for the benefit of Plan participants and their beneficiaries (separately managed portfolios). The separately managed portfolios invest in various types of assets, including publicly traded common and preferred stocks, fixed income securities, collective trust funds and investment contracts. The asset classes are designed to provide participants with choices among a variety of investment objectives.


5


Amgen Retirement and Savings Plan
Notes to Financial Statements (continued)
1. Description of the Plan (continued)
Payments of Benefits
Subject to Plan limitations, upon termination of employment, including termination due to disability (as defined in the Plan) or retirement, participants may elect to receive an amount equal to the entire value of their account balance in: (a) a single payment in cash; (b) a single distribution in full shares of Amgen stock (with any fractional shares paid in cash); (c) a single distribution paid in a combination of cash and full shares of Amgen stock; (d) cash installments over 10 years; or (e) a rollover distribution to an eligible retirement plan. Effective January 1, 2015, a participant may also elect to receive a partial distribution of his or her account balance no more than once per year.
If a participant dies before receiving the value of his or her account balance, the participant’s beneficiary may elect to receive the distribution of remaining funds from among the alternatives described above, subject to certain Plan limitations.
Subsequent to termination of employment, participants may also elect to maintain their account balance in the Plan, provided that their account balance is greater than $1,000.
Certain restrictions apply to withdrawals from the Plan while a participant continues to be employed by the Company.
Amgen Stock Dividends
Participants that invest in Amgen stock may elect to receive distributions of cash with respect to dividends the Company pays on Amgen stock or reinvest such dividends to acquire additional shares of Amgen stock.
Notes Receivable from Participants
Subject to certain restrictions, a participant can have up to two loans outstanding at any one time from his or her Plan account with a combined maximum loan amount which may not exceed the lesser of: (a) 50% of the participant’s account balance (exclusive of amounts related to Roth contributions and earnings thereon) or (b) $50,000 less certain adjustments, as applicable (as defined in the Plan). A participant’s loan is secured by his or her Plan account balance. Loans made prior to July 1, 2003, bear interest at fixed rates based on the average borrowing rates of certain major banks. Loans made on or after July 1, 2003, bear interest at fixed rates which, until changed by the Company, are based on the prime rate plus one percentage point as published in The Wall Street Journal, determined as of the last day of the calendar quarter preceding origination or such other rate as may be required by law. Loans are generally payable in installments over periods of up to five years, unless the loan is used to acquire a principal residence for which the term of the loan may be up to 20 years. Principal and interest payments are allocated to the participant’s account.
Plan Termination
Although it has not expressed any intent to do so, the Company has the right under the Plan to terminate the Plan subject to the provisions of ERISA. Upon termination, participants would receive distributions of their account balances.
Trustees
Bank of America, N.A. and The Northern Trust Company are the Plan’s co-trustees.

6



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

2. Summary of Significant Accounting Policies
Basis of Accounting
The accompanying financial statements are prepared on the accrual basis of accounting.
Fair Value Measurement
The investments of the Plan are reported at fair value, except for fully benefit-responsive investment contracts, discussed below. Fair value is generally defined as the price that would be received to sell an asset or paid to transfer a liability (the exit price) in an orderly transaction between market participants at the measurement date (see Note 3, Fair Value Measurements).
Investment Income and Losses
Dividend income is recognized on the ex-dividend date, and interest income is recorded on an accrual basis. Unrealized gains and losses on investments are measured by the change in the difference between the fair value and cost of the securities held at the beginning of the year (or date purchased if acquired during the Plan year) and the end of the year. Realized gains and losses from security transactions are recorded based on the weighted-average cost of securities sold.
Fully Benefit-Responsive Investment Contracts
As of December 31, 2015 and 2014, the Plan had fully benefit-responsive investment contracts, including synthetic investment contracts and an insurance separate accounts contract (collectively, security-backed contracts). The synthetic investment contracts are comprised of wrapper contracts issued by insurance companies backed by the Plan’s ownership in collective trust funds that invest in fixed income securities. The insurance separate accounts contract is a contract issued by an insurance company backed by specified separate accounts of the issuer which are comprised of fixed income securities. Contract value is the relevant measurement attribute for security-backed contracts because this is the amount participants would receive if they were to initiate qualified transactions related to these investments. The issuers of the Plan’s security-backed contracts credit the Plan with stated rates of interest, and the issuers guarantee that all qualified participant withdrawals related to the contracts will be at contract value, except as discussed below. The crediting rates provide for realized and unrealized gains and losses on the underlying assets to be amortized over the expected duration of the underlying investments through adjustments to the future interest crediting rates rather than being reflected immediately in the net assets of the Plan. The contract values of the Plan’s security-backed contracts were at December 31, 2015 and 2014, were as follows:
 
December 31,
 
2015
 
2014
Synthetic investment contracts
$
185,803,751

 
$
185,878,219

Insurance separate accounts contract
65,127,221

 
56,471,058

Total fully benefit-responsive investment contracts
$
250,930,972

 
$
242,349,277



7


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

2. Summary of Significant Accounting Policies (continued)
The security-backed contracts provide for withdrawals at other than contract value associated with certain events which are not in the ordinary course of Plan operations. These withdrawals are made at contract value, modified by a market value adjustment as defined in the contract. Circumstances which may trigger a market value adjustment are generally defined as any event which, in the reasonable determination of the issuer, has or will have a material adverse effect on the issuer’s interest under the contract. Such events may include, but are not limited to: (i) material amendments to the Plan’s structure or administration; (ii) changes in or the creation of competing investment options; (iii) complete or partial termination of the Plan; (iv) removal of a specifically identifiable group of employees from coverage under the Plan; (v) a change in law, regulation, ruling, administrative position, or accounting standard applicable to the Plan; or (vi) communication to Plan participants designed to influence a participant not to invest in the asset class that contains these contracts. The Company does not believe that the occurrence of any such event, which would limit the Plan’s ability to transact at contract value with participants, is probable.
These security-backed contracts are evergreen contracts with no maturity dates, but do contain termination provisions. The issuer is obligated to pay the excess contract value when the fair value of the underlying investments equals zero. In addition, if the Plan defaults in its obligations under the security-backed contract and such default is not corrected within the time permitted by the contract, then the contract may be terminated by the issuer and the Plan will receive the fair value of the underlying investments as of the date of termination.
Notes Receivable from Participants
Notes receivable from participants are carried at their unpaid balance plus accrued but unpaid interest, as applicable.
Due from/to Brokers
Purchases and sales of investments are recorded on a trade-date basis. Amounts due from and due to brokers arise from unsettled sale and purchase transactions as of December 31, 2015 and 2014.
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (GAAP) requires management to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates.

8


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

2. Summary of Significant Accounting Policies (continued)
New Accounting Pronouncements
During the year ended December 31, 2015, the Plan retrospectively adopted a new accounting standard that eliminated certain disclosure requirements, including: (i) net appreciation/depreciation of plan assets disaggregated by class of investment; (ii) identification of individual investments that represent 5% or more of the net assets available for benefits; (iii) certain disclosures regarding fully benefit-responsive investment contracts; and (iv) significant investment strategies for investments for which fair value is estimated using the net asset value per share provided by the fund manager as a practical expedient, such as the Plan’s investments in collective trust funds. The new standard also specified that plan assets measured at fair value may be disaggregated by general type (including assets in self-directed brokerage accounts) and eliminated the requirement for disaggregation by nature and risk of investment (see Note 3, Fair Value Measurements). In addition, the new standard simplified the presentation of direct investments in fully benefit-responsive investment contracts by eliminating the requirement to disclose the fair value of such contracts with a corresponding adjustment from fair value to contract value in the Statements of Net Assets Available for Benefits. Investments in these contracts are now presented solely at contract value. The reporting requirements for indirect investments in fully benefit-responsive investment contracts (investments in collective trust funds that own fully benefit-responsive investment contracts) were eliminated.
During the year ended December 31, 2015, the Plan also retrospectively adopted a new accounting standard that eliminated the requirement to categorize within the fair value hierarchy investments for which fair value is estimated using the net asset value per share provided by the fund manager as a practical expedient, such as the Plan’s investments in collective trust funds. These investments are now shown as a reconciling item between the amount in the fair value hierarchy table and the total of the Plan’s investments recognized at fair value in the Statements of Net Assets Available for Benefits (see Note 3, Fair Value Measurements).
3. Fair Value Measurements
The Plan uses various valuation approaches in determining the fair value of investments within a hierarchy that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring that observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the investment based on market data obtained from independent sources. Unobservable inputs are inputs that reflect assumptions about the inputs that market participants would use in pricing the investment and are developed based on the best information available in the circumstances. The fair value hierarchy is divided into three levels based on the source of inputs as follows:
Level 1 – Valuations based on unadjusted quoted prices in active markets for identical investments that the Plan has the ability to access;
Level 2 – Valuations for which all significant inputs are observable, either directly or indirectly, other than Level 1 inputs;
Level 3 – Valuations based on inputs that are unobservable and significant to the overall fair value measurement.



9


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

3. Fair Value Measurements (continued)
The availability of observable inputs can vary among the various types of investments. To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. In certain cases, the inputs used for measuring fair value may fall into different levels of the fair value hierarchy. In such cases, for financial statement disclosure purposes, the level in the fair value hierarchy within which the fair value measurement is categorized is based on the lowest level of input used that is significant to the overall fair value measurement.
The following fair value hierarchy table presents information about each major class/category of the Plan’s investments measured at fair value:
 
 
Fair value measurements at December 31, 2015, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
295,705,743

 
$

 
$

 
$
295,705,743

Cash and cash equivalents
 
2,734,210

 

 

 
2,734,210

Common and preferred stocks
 
874,221,841

 
3,305,492

 

 
877,527,333

Debt securities
 
68,513,288

 
238,776,610

 

 
307,289,898

Mutual funds
 
331,413,649

 

 

 
331,413,649

Self-directed brokerage accounts
 
297,167,287

 
510,416

 

 
297,677,703

 
 
$
1,869,756,018

 
$
242,592,518

 
$

 
$
2,112,348,536

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,590,815,283

Total assets at fair value
 
 
 
 
 
 
 
$
3,703,163,819

 
 
 
Fair value measurements at December 31, 2014, using
 
 
Quoted prices in active markets for identical assets
(Level 1)
 
Significant
other observable
inputs
(Level 2)
 
Significant
unobservable
inputs
(Level 3)
 
Total
Amgen stock
 
$
309,990,445

 
$

 
$

 
$
309,990,445

Cash and cash equivalents
 
3,542,572

 

 

 
3,542,572

Common and preferred stocks
 
1,018,885,111

 
2,071,763

 

 
1,020,956,874

Debt securities
 
36,890,567

 
143,299,604

 

 
180,190,171

Mutual funds
 
368,899,331

 

 

 
368,899,331

Self-directed brokerage accounts
 
309,574,113

 
341,485

 

 
309,915,598

 
 
$
2,047,782,139

 
$
145,712,852

 
$

 
$
2,193,494,991

Collective trust funds measured at net asset value
 
 
 
 
 
 
 
1,755,830,437

Total assets at fair value
 
 
 
 
 
 
 
$
3,949,325,428

The fair values of common stocks (including Amgen stock), preferred stocks, publicly traded mutual funds and U.S. treasury securities are valued using quoted market prices in active markets with no valuation adjustment.

10


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

3. Fair Value Measurements (continued)
Debt securities other than U.S. treasury securities are valued by taking into consideration valuations obtained from third-party pricing services. The pricing services utilize industry standard valuation models, including both income and market based approaches, for which all significant inputs are observable, either directly or indirectly, to estimate fair value. These inputs include reported trades of and broker/dealer quotes on the same or similar securities, issuer credit spreads, benchmark securities and, when applicable, prepayment/default projections based on historical data and other observable inputs.
Collective trust funds represent interests in pooled investment vehicles designed typically for collective investment of employee benefit trusts. The fair values of these investments are determined by reference to the net asset value per unit provided by the fund managers as a practical expedient. The unit values are based on the fair values of the trusts’ underlying assets, which are principally equity and fixed income securities and short-term investments. The only redemption restriction with respect to these investments is on the Wells Fargo Stable Value Fund W (fair value of $37,866,002 as of December 31, 2015), which requires a one-year notice to be given in the event of complete liquidation.
4. Income Tax Status
The Plan received a determination letter from the IRS dated September 18, 2013, stating that the Plan is qualified, in form, under Section 401(a) of the Code and, therefore, the related trust is exempt from taxation. Subsequent to this determination by the IRS, the Plan was amended. Once qualified, the Plan is required to operate in conformity with the Code to maintain its qualification. The Company believes the Plan is currently being operated in compliance with the applicable requirements of the Code and, therefore, believes that the Plan is qualified and the related trust is tax exempt. The Company has indicated that it currently intends to continue to take the necessary steps to maintain the Plan’s compliance with the applicable requirements of the Code.
GAAP requires the Company to evaluate uncertain tax positions taken by the Plan. The financial statement effects of a tax position are recognized when the position is more likely than not, based on the technical merits, to be sustained upon examination. As of December 31, 2015, no uncertain tax positions have been taken or are expected to be taken, and no amounts related to uncertain tax positions have been recorded in the Plan’s financial statements. The Plan is subject to audits by the IRS, however there are currently no audits for any periods in progress. The Company believes the Plan is no longer subject to IRS examinations with respect to annual reports for years prior to 2012. 
5. Services Provided by the Company
During 2015 and 2014, the Company paid trustee fees and certain other administrative costs on behalf of the Plan.



11


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

6. Reconciliation of Financial Statements to Form 5500
The reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2015 and 2014, consisted of the following:
 
 
 
December 31,
 
 
2015
 
2014
Net assets available for benefits per the financial statements
 
$
3,988,615,953

 
$
4,227,149,413

Adjustment from fair value to contract value for fully benefit-responsive investment contracts
 
617,171

 
3,402,352

Amounts allocated to withdrawing participants
 
(2,713,632
)
 
(3,534,073
)
Deemed loans
 
(325,519
)
 
(396,949
)
Net assets per the Form 5500
 
$
3,986,193,973

 
$
4,226,620,743

For the year ended December 31, 2015, the following is a reconciliation of the net investment loss per the financial statements to the Form 5500:
 
 
 
Year Ended
December 31,
2015
Interest and dividend income
 
$
43,666,455

Net realized/unrealized losses
 
(88,349,679
)
Total net investment loss per the financial statements
 
(44,683,224
)
Adjustment from fair value to contract value for fully benefit-responsive investment contracts:
 
 
Less prior year adjustment
 
(3,402,352
)
Add current year adjustment
 
617,171

Total net investment loss per the Form 5500
 
$
(47,468,405
)
For the year ended December 31, 2015, the following is a reconciliation of distributions per the financial statements to the Form 5500:
 
 
 
Year Ended
December 31,
2015
Benefits paid
 
$
(490,737,270
)
Investment and administrative fees
 
(9,036,668
)
Total distributions per the financial statements
 
(499,773,938
)
Add prior year amounts allocated to withdrawing participants
 
3,534,073

Less current year amounts allocated to withdrawing participants
 
(2,713,632
)
Add prior year deemed loan balance
 
396,949

Less current year deemed loan balance
 
(325,519
)
Total distributions per the Form 5500
 
$
(498,882,067
)

12


Supplemental Schedule
Amgen Retirement and Savings Plan
EIN: 95-3540776 Plan: #001
December 31, 2015
Schedule H, line 4i – Schedule of Assets (Held at End of Year)
 
Identity of Issue
 
Description of Investment
 
Current Value
 
 
 
 
 
 
 
Amgen stock*
 
Employer Securities 1,821,633 shares
 
 
$
295,705,743

 
 
 
 
 
 
 
Capital Preservation Asset Class:
 
 
 
 
 
 
Wells Fargo Fixed Income Fund F*
 
Collective trust fund 5,629,003 units
 
$
76,823,511

 
 
Metropolitan Life Insurance Company*
 
Insurance separate accounts investment contract 613,441 units
 
64,934,353

 
 
Wells Fargo Fixed Income Fund D*
 
Collective trust fund 4,806,733 units
 
62,616,349

 
 
Wells Fargo Fixed Income Fund L*
 
Collective trust fund 3,884,341 units
 
46,984,601

 
 
Wells Fargo Stable Value Fund W*
 
Collective trust fund 720,412 units
 
38,055,332

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 18,382,121 units
 
18,382,121

 
Total Capital Preservation Asset Class
 
 
 
 
307,796,267

 
 
 
 
 
 
 
Emerging Markets Equity Asset Class:
 
 
 
 
 
 
Artisan Emerging Markets Inst Fund
 
Mutual Fund 2,264,566 shares
 
23,528,835

 
 
J.P. Morgan Emerging Markets Equity Focus Fund*
 
Collective trust fund 1,560,169 units
 
23,074,893

 
 
Blackrock FTSE RAFI Emerging Index Non Lendable Fund F*
 
Collective trust fund 2,701,748 units
 
21,165,494

 
 
NT Collective Emerging Markets Fund - Non Lending*
 
Collective trust fund 52,373 units
 
6,640,632

 
Total Emerging Markets Equity Asset Class
 
 
 
 
74,409,854

 
 
 
 
 
 
 
Fixed Income Asset Class:
 
 
 
 
 
 
NT Collective Aggregate Bond Index Fund - Non Lending*
 
Collective trust fund 224,464 units
 
29,703,344

 
 
United States Treasury Note 2.25% Due 11/15/2025
 
Government Bond 5,515,000 units
 
5,502,699

 
 
United States Treasury Note .75% Due 10/31/2017
 
Government Bond 4,985,000 units
 
4,958,520

 
 
United States Treasury Note 1% Due 12/31/2017
 
Government Bond 4,270,000 units
 
4,264,663

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 4,070,853 units
 
4,070,853

 
 
Federal Home Loan Mortgage Corporation Pool #G08658 3% Due 08/01/2045
 
Government Mortgage Backed Security 4,028,274 units
 
4,024,907

 
 
United States Treasury Note 1.625% Due 11/30/2020
 
Government Bond 3,965,000 units
 
3,941,456

 
 
United States Treasury Note 1.75% Due 12/31/2020
 
Government Bond 3,930,000 units
 
3,925,701

 
 
United States Treasury Bill Due 10/08/2015
 
Government Bond 3,860,000 units
 
3,858,487

 
 
United States Treasury Note 1.375% Due 10/31/2020
 
Government Bond 3,895,000 units
 
3,826,230

 
 
Fannie Mae Single Family Mortgage 3.5% Due 30 Years
 
Government Mortgage Backed Security 3,595,000 units
 
3,709,044

 
 
United States Treasury Note .875% Due 11/30/2017
 
Government Bond 3,395,000 units
 
3,385,185

 
 
United States Treasury Bond .625% Due 12/31/2016
 
Government Bond 3,371,400 units
 
3,365,736

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2023
 
Government Bond 3,460,000 units
 
2,928,409

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2021
 
Government Bond 3,005,000 units
 
2,716,210

 
 
United States Treasury Note Inflation Indexed .25% Due 01/15/2025
 
Index Linked Government Bond 2,413,500 units
 
2,313,273

 
 
United States Treasury Bond 3% Due 11/15/2045
 
Government Bond 2,275,000 units
 
2,268,157

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2022
 
Government Bond 2,500,000 units
 
2,145,970

 
 
Fannie Mae Single Family Mortgage 4% Due 30 Years
 
Government Mortgage Backed Security 1,905,000 units
 
2,015,818

 
 
United States Treasury Bill Due 01/14/2016
 
Government Bond 1,740,000 units
 
1,739,946

 
 
Treasury Inflation Indexed Bond .75% Due 02/15/2045
 
Index Linked Government Bond 1,909,400 units
 
1,681,890

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2022
 
Government Bond 1,860,000 units
 
1,620,367

 

13

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

Identity of Issue
 
Description of Investment
 
Current Value
 
Ginnie Mae II Jumbos 3.5% Due 30 Years
 
Government Mortgage Backed Security 1,505,000 units
 
1,568,904

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2021
 
Government Bond 1,630,000 units
 
1,463,375

 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 1,299,915 units
 
1,430,269

 
 
Fannie Mae Single Family Mortgage 2.5% Due 01/25/2029
 
Government Mortgage Backed Security 1,390,000 units
 
1,400,988

 
 
Fannie Mae Pool #Al6167 3.5% Due 01/01/2044
 
Government Mortgage Backed Security 1,320,811 units
 
1,364,824

 
 
Federal Home Loan Mortgage Corporation Pool #G60080 3.5% Due 06/01/2045
 
Government Mortgage Backed Security 1,319,841 units
 
1,362,839

 
 
United States Treasury SEC Stripped Interest Payment 0% Due 08/15/2021
 
Government Bond 1,505,000 units
 
1,341,948

 
 
Federal Home Loan Mortgage Corporation Pool #G08659 3.5% Due 08/01/2045
 
Government Mortgage Backed Security 1,299,224 units
 
1,338,495

 
 
Morgan Stanley Capital I Trust 2011-C1 Class A-3 4.7% Due 09/15/2020
 
Commercial Mortgage-Backed Security 1,240,000 units
 
1,314,034

 
 
Ginnie Mae Pool #MA2960 3% Due 07/20/2045
 
Government Mortgage Backed Security 1,291,620 units
 
1,310,893

 
 
Metropolitan West Funds Floating Rate Income Fund Class I
 
Mutual Fund 132,383 shares
 
1,301,325

 
 
Federal Home Loan Mortgage Corporation Gold G60023 3.5% Due 04/01/2045
 
Government Mortgage Backed Security 1,240,036 units
 
1,281,973

 
 
Federal Home Loan Mortgage Corporation Gold #G07924 3.5% Due 01/01/2045
 
Government Mortgage Backed Security 1,238,356 units
 
1,278,698

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2020
 
Government Bond 1,370,000 units
 
1,275,777

 
 
United States Treasury SEC Stripped Interest Payment 00517 Due 02/15/2029
 
Government Bond 1,820,000 units
 
1,274,470

 
 
Federal Home Loan Mortgage Corporation Pool #G08671 3.5% Due 10/01/2045
 
Government Mortgage Backed Security 1,231,908 units
 
1,269,143

 
 
United States Treasury Bond Inflation Index 5.5% Due 8/15/2028
 
Government Bond 900,000 units
 
1,197,598

 
 
United States Treasury SEC Stripped Interest Payment Due 08/15/2020
 
Government Bond 1,250,000 units
 
1,148,308

 
 
Fannie Mae Remic Trust 2010-142 Variable Rate Due 12/25/2040
 
Government Mortgage Backed Security 1,000,000 units
 
1,085,195

 
 
Fannie Mae Pool #466430 3.37% Due 11/01/2020
 
Government Mortgage Backed Security 998,607 units
 
1,045,332

 
 
Fannie Mae Pool #465769 3.96% Due 08/01/2020
 
Government Mortgage Backed Security 952,622 units
 
1,017,252

 
 
United States Treasury Bond 1.375% Due 02/15/2044
 
Index Linked Government Bond 961,600 units
 
998,709

 
 
United States Treasury Bond 1% Due 08/15/2018
 
Government Bond 1,000,000 units
 
993,516

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2028
 
Government Bond 1,250,000 units
 
882,780

 
 
Fannie Mae Pool #AV5051 4.5% Due 02/01/2044
 
Government Mortgage Backed Security 799,469 units
 
879,616

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2021
 
Government Bond 980,000 units
 
867,185

 
 
Federal Home Loan Mortgage Corporation Series K Class A 2.77% Due 05/25/2025
 
Government Mortgage Backed Security 850,000 units
 
835,928

 
 
Ginnie Mae II Pool #MA3106 4% Due 09/20/2045
 
Government Mortgage Backed Security 754,076 units
 
801,936

 
 
Fannie Mae Pool #AT5907 4% Due 06/01/2043
 
Government Mortgage Backed Security 730,070 units
 
783,306

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2026
 
Government Bond 1,000,000 units
 
776,907

 
 
United States Treasury SEC Stripped Interest Payment Due 02/15/2027
 
Government Bond 1,000,000 units
 
750,803

 
 
United States Treasury Note 1.375% Due 12/31/2018
 
Government Bond 750,000 units
 
750,557

 
 
Fannie Mae Pool #AM2674 2.61% Due 03/01/2023
 
Government Mortgage Backed Security 745,000 units
 
739,985

 
 
Fannie Mae Remic Series 25 Apr 2027-M Class A Variable Rate Due 04/25/2027
 
Government Mortgage Backed Security 710,000 units
 
720,681

 
 
Fannie Mae Pool #AT5915 4% Due 06/01/2043
 
Government Mortgage Backed Security 661,105 units
 
703,916

 

14

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

Identity of Issue
 
Description of Investment
 
Current Value
 
J.P. Morgan Mortgage Acquisition Corporation Series 07-Ch1 Class AV5 Floating Rate Due 11/25/2036*
 
Asset Backed Security 725,000 units
 
701,027

 
 
Nationstar Home Floating Rate .7158% Due 09/25/2036
 
Asset Backed Security 750,000 units
 
698,230

 
 
TCW Emerging Markets Income Fund
 
Mutual Fund 93,178 shares
 
696,040

 
 
J.P. Morgan Mortgage Floating Rate .9058% Due 06/25/2035*
 
Asset Backed Security 745,000 units
 
695,595

 
 
United States Treasury SEC Stripped Interest Payment Due 11/15/2027
 
Government Bond 950,000 units
 
695,462

 
 
Federal Home Loan Mortgage Corporation Variable Rate 08/25/2023
 
Government Mortgage Backed Security 665,000 units
 
694,895

 
 
Wachovia Student Loan Floating Rate .7886% Due 04/25/2040*
 
Asset Backed Security 780,000 units
 
692,692

 
 
New Century Home Equity Loan Trust Seriers 2004-2 Class A1 Floating Rate Due 08/25/2034
 
Asset Backed Security 732,252 units
 
689,586

 
 
SLM Student Loan Trust 2007-3 Class A-4 Floating Rate Due 01/25/2022
 
Asset Backed Security 730,000 units
 
688,944

 
 
Banc of America Funding Corporation Series 2015-R7 Class 1A 1.03833%*
 
Collateralized Mortgage Obligation 711,005 units
 
687,310

 
 
SLC Student Loan Trust Floating Rate .672% Due 12/15/2038
 
Asset Backed Security 800,000 units
 
685,112

 
 
Fannie Mae Single Family Mortgage 4.5% Due 30 Years
 
Government Mortgage Backed Security 630,000 units
 
680,321

 
 
Fannie Mae Single Family Mortgage 4.5% Due 02/01/2044
 
Government Mortgage Backed Security 630,000 units
 
679,287

 
 
Federal Home Loan Mortgage Corporation Pool #K037 3.49% Due 01/25/2024
 
Government Mortgage Backed Security 650,000 units
 
678,665

 
 
Nelnet Student Loan Trust Series 2015-3 Class A-2 Floating Rate Due 02/26/2046
 
Asset Backed Security 695,000 units
 
676,822

 
 
United States Treasury 0% Due 02/15/2030
 
Government Bond 1,000,000 units
 
675,350

 
 
SLM Student Loan Trust 2005-5 Class A-4 Due 10/25/2028
 
Asset Backed Security 720,000 units
 
674,721

 
 
SLM Student Loan Trust Floating Rate 2.3186% Due 07/25/2023
 
Asset Backed Security 670,000 units
 
673,955

 
 
NT Collective Short Term Investment Fund*
 
Collective trust fund 672,370 units
 
672,370

 
 
Ginnie Mae Pool #MA3033 3% Due 08/20/2045
 
Government Mortgage Backed Security 660,531 units
 
670,386

 
 
SLC Student Loan Trust Floating Rate .672% Due 09/15/2039
 
Asset Backed Security 770,000 units
 
665,946

 
 
SLM Student Loan Series 2004-10 Class A-6A Floating Rate Due 04/27/2026
 
Asset Backed Security 680,000 units
 
665,820

 
 
GS Mortgage Securities Corporation Trust 2.539% Due 01/10/2045
 
Commercial Mortgage-Backed Security 660,129 units
 
663,732

 
 
Fannie Mae Remic Trust 2015-M2 Class A3 Variable Rate Due 12/25/2024
 
Government Mortgage Backed Security 642,012 units
 
659,194

 
 
Morgan Stanley ABS Capital I Inc. 2006-NC1 Pass-Through Class A-4 Due 12/25/2035
 
Asset Backed Security 684,329 units
 
653,619

 
 
SLM Student Loan Trust 2014-2 Class A-3 Floating Rate Due 03/26/2029
 
Asset Backed Security 680,000 units
 
651,962

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR13 Class A-1A1 Floating Rate Due 10/25/2045
 
Collateralized Mortgage Obligation 701,584 units
 
646,210

 
 
United States Treasury SEC Stripped Interest Payment 6.5% Due 11/15/2026
 
Government Bond 850,000 units
 
643,749

 
 
Ginnie Mae II Pool #Ma2961 Series 2045 3.5% Due 07/20/2045
 
Government Mortgage Backed Security 611,023 units
 
637,904

 
 
Federal Home Loan Mortgage Corporation Pool #G08677 4% Due 11/01/2045
 
Government Mortgage Backed Security 603,329 units
 
637,855

 
 
Federal Home Loan Mortgage Corporation Pool #G08669 4% Due 09/01/2045
 
Government Mortgage Backed Security 596,966 units
 
631,128

 
 
SLM Student Loan Trust 2009-3 Class A Variable Rate Due 01/25/2045
 
Asset Backed Security 659,931 units
 
631,068

 
 
Federal Home Loan Mortgage Corporation Pool #G08672 4% Due 10/01/2045
 
Government Mortgage Backed Security 596,442 units
 
630,574

 
 
Fannie Mae Pool #Al7092 3% Due 07/01/2045
 
Government Mortgage Backed Security 628,586 units
 
629,560

 
 
Fannie Mae Pool #Am1762 2.39% Due 12/01/2022
 
Government Mortgage Backed Security 618,953 units
 
623,618

 
 
SLM Student Loan Trust 2005-5 Class A-5 Due 10/25/2040
 
Asset Backed Security 700,000 units
 
619,511

 
 
International Lease Finance Corporation 6.75% Due 09/01/2016
 
Corporate Bond 600,000 units
 
616,500

 
 
SLM Student Loan Trust 2008-9 Class A Floating Rate Due 04/25/2023
 
Asset Backed Security 615,342 units
 
615,762

 

15

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

Identity of Issue
 
Description of Investment
 
Current Value
 
Citigroup Mortgage Loan Trust Series 2015-6 Class 2A1 Floating Rate Due 12/25/2035
 
Collateralized Mortgage Obligation 662,718 units
 
613,143

 
 
Fannie Mae Pool #MA1462 3.5% Due 06/01/2043
 
Government Mortgage Backed Security 592,653 units
 
612,758

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3677 4.5% Due 05/15/2040
 
Government Mortgage Backed Security 568,095 units
 
607,492

 
 
Ginnie Mae Pool #MA3173 3.5% Due 10/20/2045
 
Government Mortgage Backed Security 577,078 units
 
602,465

 
 
Encore Credit Floating Rate .8558% Due 01/25/2036
 
Asset Backed Security 601,373 units
 
598,175

 
 
American Credit Acceptance Receivables Series 15-2 Class B 2.97% Due 05/12/2021
 
Asset Backed Security 600,000 units
 
589,743

 
 
Bear Stearns ARM Floating Rate 2.995557% Due 11/25/2034
 
Collateralized Mortgage Obligation 590,533 units
 
588,465

 
 
Federal Home Loan Mortgage Corporation Gold Pool U9-0291 4% Due 10/01/2042
 
Government Mortgage Backed Security 532,919 units
 
567,180

 
 
Credit Suisse First Boston Mortgage Securities Corporation 2004-AR6 Pass-Through Class 2-A Variable Rate Due 10/25/34
 
Collateralized Mortgage Obligation 566,632 units
 
567,149

 
 
Fannie Mae Pool #AQ1534 3.5% Due 10/01/2032
 
Government Mortgage Backed Security 541,069 units
 
566,964

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4324 Class AY 3% Due 04/15/2029
 
Government Mortgage Backed Security 568,738 units
 
566,743

 
 
Federal National Mortgage Association Pool #G08676 3.5% Due 11/01/2045
 
Government Mortgage Backed Security 543,866 units
 
560,305

 
 
Fannie Mae Remic Series 2013-M12 Class FA Floating Rate Due 10/25/2017
 
Government Mortgage Backed Security 557,563 units
 
558,032

 
 
Fannie Mae Pool #MA0214 5% Due 10/01/2029
 
Government Mortgage Backed Security 503,765 units
 
554,070

 
 
Ginnie Mae 2007-035 6% Due 06/20/2037
 
Government Mortgage Backed Security 500,000 units
 
553,719

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2018
 
Government Bond 565,000 units
 
549,537

 
 
Fannie Mae Pool #AM2711 2.57% Due 03/01/2023
 
Government Mortgage Backed Security 538,010 units
 
538,152

 
 
GS Mortgage Securities Corporation 2005-9 Class 2A3 Variable Rate Due 08/25/2035
 
Asset Backed Security 554,409 units
 
537,203

 
 
Ginnie Mae 5.5% Due 06/20/2035
 
Government Mortgage Backed Security 476,850 units
 
535,761

 
 
Long Beach Mortgage Loan Trust 2005-2 Pass-through Due 04/25/2035
 
Asset Backed Security 550,000 units
 
535,355

 
 
J.P. Morgan Mortgage Trust 2005-A2 Pass-through Class 1-A-1 Due 04/25/2035*
 
Collateralized Mortgage Obligation 534,019 units
 
534,972

 
 
Fannie Mae Pool #AM1990 2.33% Due 01/01/2023
 
Government Mortgage Backed Security 540,722 units
 
534,646

 
 
United States Treasury Note Inflation Indexed .125% Due 07/15/2024
 
Index Linked Government Bond 558,100 units
 
530,928

 
 
Ginnie Mae Pool #783867 6% Due 8/15/2036
 
Government Mortgage Backed Security 459,061 units
 
530,039

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2334 Class KB 6.5% Due 05/15/2028
 
Government Mortgage Backed Security 468,452 units
 
519,709

 
 
Ginnie Mae 5% Due 03/16/2034
 
Government Mortgage Backed Security 460,000 units
 
518,198

 
 
Federal Home Loan Mortgage Corporation Pool #Al2293 4.374% Due 06/01/2021
 
Government Mortgage Backed Security 472,592 units
 
515,389

 
 
Ginnie Mae 2011-71 Class ZC 5.5% Due 7/16/2034
 
Government Mortgage Backed Security 444,270 units
 
513,743

 
 
Washington Mutual Mortgage Pass-Through Series 2005-AR11 Class A1A Floating Rate Due 08/25/2045
 
Collateralized Mortgage Obligation 549,585 units
 
510,894

 
 
Fannie Mae Pool #AB7575 3% Due 01/01/2043
 
Government Mortgage Backed Security 504,348 units
 
505,478

 
 
ZFS Finance (USA) Trust Floating Rate Due 12/15/2065
 
Corporate Bond 500,000 units
 
505,250

 
 
Fannie Mae Pool #468559 4.01% Due 08/01/2021
 
Government Mortgage Backed Security 467,234 units
 
503,677

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3895 4.5% Due 07/15/2041
 
Government Mortgage Backed Security 450,000 units
 
501,360

 
 
United Dominion Realty Trust Inc. 5.25% Due 01/15/2016
 
Corporate Bond 500,000 units
 
500,482

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2022
 
Government Bond 570,000 units
 
500,410

 

16

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

Identity of Issue
 
Description of Investment
 
Current Value
 
NextEra Energy Capital Step Coupon 1.586% Due 06/01/2017
 
Corporate Bond 500,000 units
 
498,210

 
 
SLM Student Loan Trust 2003-12 Class A-5 Variable Rate Due 09/15/2022
 
Asset Backed Security 497,727 units
 
494,499

 
 
Structured Asset Mortgage Investments II Inc. Series 2004-AR1 Class A1 Floating Rate Due 3/19/2034
 
Collateralized Mortgage Obligation 510,008 units
 
494,438

 
 
Fannie Mae Pool #AR6380 3% Due 02/01/2043
 
Government Mortgage Backed Security 492,011 units
 
494,220

 
 
Opteum Mortgage Acceptance Corporation 2005-4 Class I-A1C Floating Rate Due 11/25/2035
 
Collateralized Mortgage Obligation 506,234 units
 
494,167

 
 
Fannie Mae Pool #Am8674 2.81% Due 04/01/2025
 
Government Mortgage Backed Security 500,000 units
 
494,021

 
 
Morgan Stanley 5.95% Due 12/28/2017
 
Corporate Bond 459,000 units
 
493,575

 
 
Federal Home Loan Mortgage Corporation Gold Pool U89009 3.5% Due 09/01/2032
 
Government Mortgage Backed Security 473,069 units
 
493,073

 
 
WEA Financial LLC / Westfield UK & Europe Finance plc 2.7% Due 09/17/2019
 
Corporate Bond 494,000 units
 
489,930

 
 
Residential Accredit Loans, Inc. Series 03-QA1 Class A2 Floating Rate 12/25/2033
 
Collateralized Mortgage Obligation 560,157 units
 
489,297

 
 
Federal National Mortgage Association Pool #Al0561 3.738% Due 06/01/2018
 
Government Mortgage Backed Security 467,606 units
 
484,902

 
 
Fannie Mae Pool #AM3307 2.85% Due 05/01/2023
 
Government Mortgage Backed Security 474,054 units
 
481,147

 
 
Fannie Mae Pool #AQ1607 3.5% Due 11/01/2032
 
Government Mortgage Backed Security 458,087 units
 
480,012

 
 
Fannie Mae Pool #AR7961 3.5% Due 03/01/2033
 
Government Mortgage Backed Security 457,248 units
 
479,125

 
 
NRZ Advance Receivables Series 2015-T1 Class A-T1 2.315% Due 08/15/2046
 
Asset Backed Security 475,000 units
 
474,687

 
 
Fannie Mae Remic Series 2015-M4 Class AV2 2.509% Due 07/25/2022
 
Government Mortgage Backed Security 475,000 units
 
474,576

 
 
Federal National Mortgage Association Pool #Al2965 2.667% Due 12/01/2022
 
Government Mortgage Backed Security 471,050 units
 
474,429

 
 
Ba Cr Card Tr 1.36% Due 09/15/2020
 
Asset Backed Security 475,000 units
 
471,780

 
 
CSAIL 2015-C3 3.7182% Due 08/15/2048
 
Commercial Mortgage-Backed Security 463,000 units
 
469,045

 
 
HSI Asset SecuritizationCorporation Trust 2006-Opt2 Pass-Through Due 1/25/2036
 
Asset Backed Security 460,319 units
 
458,364

 
 
Morgan Stanley .916% Due 08/15/2045
 
Commercial Mortgage-Backed Security 458,673 units
 
457,853

 
 
Fannie Mae Pool #Am7514 3.07% Due 02/01/2025
 
Government Mortgage Backed Security 450,000 units
 
457,092

 
 
Fannie Mae Pool #471834 1.4% Due 07/01/2017
 
Government Mortgage Backed Security 455,000 units
 
456,117

 
 
Fannie Mae Pool #467757 4.33% Due 04/01/2021
 
Government Mortgage Backed Security 417,132 units
 
454,708

 
 
DBWF 2015-LCM Mortgage Trust Floating Rate Due 06/10/2034
 
Commercial Mortgage-Backed Security 460,000 units
 
450,702

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 7307 3% Due 8/15/2044
 
Government Mortgage Backed Security 451,679 units
 
448,875

 
 
Fannie Mae Remic Series 2015-M7 Class A2 2.59% Due 12/25/2024
 
Government Mortgage Backed Security 447,000 units
 
443,433

 
 
Federal Home Loan Mortgage Corporation Series 2899 4% Due 12/15/2019
 
Government Mortgage Backed Security 428,333 units
 
441,737

 
 
Ginnie Mae 5.25% Due 03/20/2038
 
Government Mortgage Backed Security 402,317 units
 
441,571

 
 
J.P. Morgan Mortgage Trust Floating Rate .8858% Due 06/25/2035*
 
Asset Backed Security 442,931 units
 
440,353

 
 
Columbia Pipeline Group, Inc. 2.45% Due 06/01/2018
 
Corporate Bond 450,000 units
 
439,973

 
 
Fannie Mae 3.726% Due 06/25/2021
 
Government Mortgage Backed Security 410,000 units
 
436,895

 
 
Fannie Mae Pool #MA1373 3.5% Due 03/01/2043
 
Government Mortgage Backed Security 422,341 units
 
436,428

 
 
Discover Bank of Greenwood Delaware 2.6% Due 11/13/2018
 
Corporate Bond 435,000 units
 
434,652

 
 
HSI Asset Securitization Corporation Trust 11-A 3% Due 25/12/2035
 
Asset Backed Security 441,543 units
 
434,616

 
 
Fannie Mae Series 2013-M7 Class A2 2.28% Due 12/25/2022
 
Government Mortgage Backed Security 441,000 units
 
433,836

 

17

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

Identity of Issue
 
Description of Investment
 
Current Value
 
Federal Home Loan Mortgage Corporation Series 4374 Class NC Step-up Due 02/15/2046
 
Government Mortgage Backed Security 418,137 units
 
432,997

 
 
Fannie Mae Series 2014-M3 Class A2 Variable Rate Due 01/25/2024
 
Government Mortgage Backed Security 415,000 units
 
432,130

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3662 5% Due 04/15/2040
 
Government Mortgage Backed Security 390,087 units
 
427,292

 
 
Biomed Realty LP 3.85% Due 04/15/2016
 
Corporate Bond 425,000 units
 
426,303

 
 
Fannie Mae 1.80057001114% Due 12/25/2019
 
Government Mortgage Backed Security 425,000 units
 
426,246

 
 
Federal Home Loan Mortgage Corporation Pool #S0/6297 3.5% Due 09/15/2042
 
Government Mortgage Backed Security 415,747 units
 
425,818

 
 
Fannie Mae Pool #467025 3.38% Due 01/01/2018
 
Government Mortgage Backed Security 410,000 units
 
422,494

 
 
Bank of America Trust #00229 5.3% Due 03/15/2017*
 
Corporate Bond 406,000 units
 
422,352

 
 
Soundview Home Loan Trust 2006-Wf2 Class A-2C Due 12/25/2036
 
Asset Backed Security 424,276 units
 
421,442

 
 
Merrill Lynch Mortgage Trust 2006-C1 Class A-4 Due 05/12/2039*
 
Commercial Mortgage-Backed Security 414,985 units
 
415,420

 
 
Fannie Mae Pool #AM5473 3.76% Due 03/01/2024
 
Government Mortgage Backed Security 385,000 units
 
409,140

 
 
JPMorgan Chase Bank NA Floating Rate Due 06/13/2016*
 
Corporate Bond 409,000 units
 
408,392

 
 
Fannie Mae Pool #465973 3.59% Due 10/01/2020
 
Government Mortgage Backed Security 386,416 units
 
407,582

 
 
Bank of America Corporation 3.75% Due 07/12/2016*
 
Corporate Bond 400,000 units
 
405,016

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2901 4.5% Due 12/15/2019
 
Government Mortgage Backed Security 380,000 units
 
404,465

 
 
American Home Mortgage Investment Trust Series 2004-3 Class 5A Variable Rate Due 10/25/2034
 
Collateralized Mortgage Obligation 404,219 units
 
403,388

 
 
CPS Auto 1.65% Due 11/15/2019
 
Asset Backed Security 406,568 units
 
403,104

 
 
Ginnie Mae Pool 2013-H05 Remic Pass-Through Class FB Floating Rate Due 02/20/2062
 
Government Mortgage Backed Security 402,712 units
 
401,883

 
 
Federal Home Loan Mortgage Corporation Pool #G0-7239 3% Due 12/01/2042
 
Government Mortgage Backed Security 399,066 units
 
399,335

 
 
AbbVie Inc. 1.8% Due 05/14/2018
 
Corporate Bond 400,000 units
 
398,158

 
 
Carmax Auto Owner Trust .88% Due 03/15/2018
 
Asset Backed Security 397,136 units
 
396,844

 
 
BBCCRE Trust Series 2015-GTP Class A 3.966% Due 08/10/2033
 
Commercial Mortgage-Backed Security 385,000 units
 
396,711

 
 
United States Treasury Bond 8.125% Due 02/15/2021
 
Government Bond 300,000 units
 
395,508

 
 
Fannie Mae Remic Series 2003-W2 5.9% Due 07/25/2042
 
Government Mortgage Backed Security 354,059 units
 
393,865

 
 
GE Capital International Funding Company Trust #00128 4.418% Due 11/15/2035
 
Corporate Bond 381,000 units
 
388,804

 
 
Farmers Exchange Floating Rate 5.454% Due 10/15/2054
 
Corporate Bond 400,000 units
 
388,752

 
 
Microsoft Corporation 3.125% Due 11/03/2025
 
Corporate Bond 385,000 units
 
387,042

 
 
Fannie Mae Pool #MA1866 4.5% Due 04/01/2044
 
Government Mortgage Backed Security 350,761 units
 
385,932

 
 
Wachovia Bank Commercial Mortgage Trust Pass-Through Due 06/15/2019*
 
Commercial Mortgage-Backed Security 382,557 units
 
383,500

 
 
Ginnie Mae 6% Due 11/16/2032
 
Government Mortgage Backed Security 337,250 units
 
381,045

 
 
Credit Acceptance Auto Loan 2.4% Due 02/15/2023
 
Asset Backed Security 383,000 units
 
380,530

 
 
Fannie Mae Variable Rate Due 07/25/2024
 
Government Mortgage Backed Security 373,000 units
 
378,978

 
 
Fannie Mae Series 2011-M2 3.645% Due 07/25/2021
 
Government Mortgage Backed Security 355,000 units
 
377,205

 
 
Progress Residential Series 2015-SFR2 Class A 2.74% Due 06/12/2032
 
Asset Backed Security 384,000 units
 
374,723

 
 
Commercial Mortgage Trust Series 2015-Cr24 Class A5 3.696% Due 08/10/2055
 
Commercial Mortgage-Backed Security 366,146 units
 
372,160

 
 
Fannie Mae Pool #468564 4.06% Due 07/01/2021
 
Government Mortgage Backed Security 340,000 units
 
367,531

 
 
Fannie Mae Remic Series 416 Class A300 3% Due 11/25/2042
 
Government Mortgage Backed Security 369,411 units
 
366,873

 
 
Fannie Mae Pool #AM5079 3.45% Due 01/01/2024
 
Government Mortgage Backed Security 350,177 units
 
365,454

 

18

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

Identity of Issue
 
Description of Investment
 
Current Value
 
DBRR Series 2013-EZ3 Class A Variable Rate Due 12/18/2049
 
Commercial Mortgage-Backed Security 362,551 units
 
362,551

 
 
Federal Home Loan Mortgage Corporation Pool #G18565 3% Due 08/01/2030
 
Government Mortgage Backed Security 344,555 units
 
355,430

 
 
Fannie Mae Pool #MA2010 4% Due 08/01/2044
 
Government Mortgage Backed Security 333,595 units
 
355,180

 
 
Westgate Resorts 2.15% Due 12/20/2026
 
Corporate Bond 360,713 units
 
354,328

 
 
Fannie Mae Pool #469688 3.38% Due 12/01/2021
 
Government Mortgage Backed Security 338,687 units
 
353,808

 
 
CCO Safari, LLC 4.464% Due 07/23/2022
 
Corporate Bond 355,000 units
 
353,761

 
 
Exelon Corporation 1.55% Due 06/09/2017
 
Corporate Bond 355,000 units
 
353,503

 
 
Flagship CLO VIII Ltd. / Flagship Series 2014-8A Class A Floating Rate Due 01/16/2026
 
Asset Backed Security 355,000 units
 
351,947

 
 
Magnetite IX, Ltd. / Magnetite IX LLC Class A-1 Floating Rate Due 07/25/2026
 
Asset Backed Security 355,000 units
 
351,024

 
 
Wells Fargo Comercial Mortgage 3.664% Due 09/15/2048*
 
Commercial Mortgage-Backed Security 346,000 units
 
350,595

 
 
Citibank Credit Card Issuance Trust 2014-A3 Floating Rate Due 05/09/2018
 
Asset Backed Security 350,000 units
 
349,967

 
 
Navient Student Loan Trust Series 2015-3 Class B Floating Rate Due 10/25/2058
 
Asset Backed Security 400,000 units
 
349,876

 
 
Fannie Mae Pool #AM4764 3.44% Due 11/01/2023
 
Government Mortgage Backed Security 334,783 units
 
349,188

 
 
Cedar Funding II CLO Ltd./Cedar Funding II CLO LLC Ratings Class A-1 Floating Rate Due 05/20/2026
 
Asset Backed Security 350,000 units
 
347,305

 
 
Fannie Mae Pool #MA1510 4% Due 07/01/2043
 
Government Mortgage Backed Security 326,018 units
 
347,155

 
 
National Credit Union Association Guaranteed Trust 2010-R3 Due 12/06/2020
 
Commercial Mortgage-Backed Security 344,707 units
 
347,026

 
 
Voya CLO 2014-2 Ltd. 2014-2 Class A1 Floating Rate Due 07/17/2026
 
Asset Backed Security 350,000 units
 
347,025

 
 
Federal Home Loan Mortgage Corporation Tranche 00839 2.615% Due 01/25/2023
 
Government Mortgage Backed Security 345,000 units
 
344,876

 
 
Public Service Electric and Gas Company 4.05% Due 05/01/2045
 
Corporate Bond 350,000 units
 
342,700

 
 
Volt XXXII LLC Series 2015-NPL3 Class A1144A 3.375% Due 10/25/2058
 
Asset Backed Security 347,764 units
 
341,716

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2020
 
Government Bond 370,000 units
 
341,563

 
 
Duquesne Light Holdings, Inc. 6.4% Due 09/15/2020
 
Corporate Bond 300,000 units
 
339,587

 
 
Fannie Mae Pool #FN0001 3.766% Due 12/01/2020
 
Government Mortgage Backed Security 319,670 units
 
339,295

 
 
Fannie Mae Remic Trust 2007-93 4.5% Due 09/25/2037
 
Government Mortgage Backed Security 310,539 units
 
339,103

 
 
Ginnie Mae II Jumbos 4.5% Due 30 Years
 
Government Mortgage Backed Security 315,000 units
 
338,428

 
 
Fannie Mae Pool #Fn0009 3.414% Due 10/01/2020
 
Government Mortgage Backed Security 318,300 units
 
336,533

 
 
Fannie Mae Remic Trust 2004-W12 6.5% Due 07/25/2044
 
Government Mortgage Backed Security 282,284 units
 
334,356

 
 
Fannie Mae Series 2002-86 6% Due 09/25/2032
 
Government Mortgage Backed Security 293,722 units
 
333,936

 
 
Ocwen Master Advance Receivables Trust Series 15-T3 Class AT3 3.211% Due 11/15/2047
 
Asset Backed Security 334,000 units
 
332,994

 
 
Fannie Mae Pool #Am4407 3.65% Due 09/01/2023
 
Government Mortgage Backed Security 314,461 units
 
332,649

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 4168 Class JA 3.5% Due 02/15/2043
 
Government Mortgage Backed Security 320,247 units
 
332,403

 
 
Fannie Mae Series 2009-W1 6% Due 12/25/2049
 
Government Mortgage Backed Security 289,638 units
 
332,166

 
 
Americredit Corporation 1.26% Due 11/08/2019
 
Asset Backed Security 333,000 units
 
331,365

 
 
Berkshire Hathaway Inc. 4.4% Due 05/15/2042
 
Corporate Bond 334,000 units
 
330,701

 
 
Nissan Auto .87000000477% Due 11/15/2018
 
Asset Backed Security 330,000 units
 
328,797

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 323 Class 300 Due 01/15/2044
 
Government Mortgage Backed Security 332,302 units
 
325,659

 

19

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

Identity of Issue
 
Description of Investment
 
Current Value
 
Impac Secured Assets Corporation 2004-3 Pass-Through Class M-1 Floating Rate Due 11/25/2034
 
Collateralized Mortgage Obligation 370,000 units
 
325,327

 
 
Actavis Funding SCS 4.75% Due 03/15/2045
 
Corporate Bond 333,000 units
 
324,690

 
 
Fannie Mae Pool #MA1900 4.5% Due 05/01/2039
 
Government Mortgage Backed Security 293,289 units
 
322,662

 
 
Fannie Mae Pool #MA1900 4.5% Due 04/01/2044
 
Government Mortgage Backed Security 292,085 units
 
321,439

 
 
Fannie Mae Remic Series 2004-T1 6% Due 01/25/2044
 
Government Mortgage Backed Security 284,062 units
 
320,940

 
 
Americredit Corporation 1.27% Due 01/08/2020
 
Asset Backed Security 324,000 units
 
320,697

 
 
American Airlines 2013-2 4.95% Due 01/15/2023
 
Corporate Bond 303,740 units
 
320,446

 
 
Citi Held For Asset Issuance Series 15-PM1 Class A 2% Due 12/15/2021
 
Asset Backed Security 319,505 units
 
319,374

 
 
Honda Auto .82% Due 07/23/2018
 
Asset Backed Security 320,000 units
 
319,140

 
 
Chase Issuance Trust Series 2007-A2 Class A2 Floating Rate Due 04/15/2019
 
Asset Backed Security 320,000 units
 
318,917

 
 
Structured Adjustable Rate Mortgage Loan Trust 2005-6Xs Class A4 Variable Rate Due 03/25/2035
 
Collateralized Mortgage Obligation 319,662 units
 
318,521

 
 
Duke Energy Corporation 3.75% Due 06/01/2045
 
Corporate Bond 343,000 units
 
317,671

 
 
The Goldman Sachs Group, Inc. 5.25% Due 07/27/2021
 
Corporate Bond 283,000 units
 
312,890

 
 
United States Treasury SEC Stripped Interest Payment Due 05/15/2031
 
Government Bond 470,000 units
 
304,292

 
 
Bank of America Corporation 6% Due 09/01/2017*
 
Corporate Bond 285,000 units
 
303,300

 
 
Commercial Mortgage Trust Series 2015-CRE25 Class A-4 3.759% Due 08/10/2048
 
Commercial Mortgage-Backed Security 297,000 units
 
302,892

 
 
J.P. Morgan Chase & Company 2.55% Due 10/29/2020*
 
Corporate Bond 305,000 units
 
302,441

 
 
Continental Airlines Pass-Through 6.9% Due 07/02/2019
 
Corporate Bond 294,244 units
 
302,336

 
 
Fannie Mae Pool #Am4493 3.92% Due 10/01/2023
 
Government Mortgage Backed Security 280,000 units
 
299,942

 
 
Capital One Bank (USA), National Association 1.15% Due 11/21/2016
 
Corporate Bond 300,000 units
 
299,278

 
 
Fannie Mae Pool #467136 4.57% Due 01/01/2021
 
Government Mortgage Backed Security 271,566 units
 
297,864

 
 
Fannie Mae Series 2013-96 3.5% Due 09/25/2038
 
Government Mortgage Backed Security 282,863 units
 
295,372

 
 
Ford Motor Credit Company LLC Floating Rate 1.55685% Due 01/09/2018
 
Corporate Bond 298,000 units
 
295,009

 
 
CVS Health Corporation 3.875% Due 07/20/2025
 
Corporate Bond 285,000 units
 
290,865

 
 
VNDO Mortgage Trust 2012-6 2.995% Due 11/15/2030
 
Commercial Mortgage-Backed Security 295,237 units
 
290,857

 
 
Cap Auto 1.72% Due 01/22/2019
 
Asset Backed Security 289,000 units
 
288,408

 
 
DT Auto Owner Trust Series 15-2A Class A 1.24% Due 09/17/2018
 
Asset Backed Security 288,578 units
 
287,956

 
 
Appalachian Power Company 4.45% Due 06/01/2045
 
Corporate Bond 300,000 units
 
284,770

 
 
Fannie Mae Remic Series 2014-M1 Class A Floating Rate Due 07/25/2023
 
Government Mortgage Backed Security 275,000 units
 
283,998

 
 
Citigroup Inc. 4.25% Due 08/15/2017
 
Corporate Bond 275,000 units
 
281,188

 
 
Fannie Mae Remic Trust 2001-81 6.5% Due 01/25/2032
 
Government Mortgage Backed Security 245,080 units
 
280,959

 
 
Wachovia Bank National Association 6% Due 11/15/2017*
 
Corporate Bond 260,000 units
 
280,417

 
 
PFP 2015-2 Limited/PFP 2015-2 LLC Class A Variable Rate Due 07/14/2034
 
Commercial Mortgage-Backed Security 280,000 units
 
280,117

 
 
Fannie Mae Pool #Fn0004 3.619% Due 12/01/2020
 
Government Mortgage Backed Security 263,954 units
 
278,558

 
 
Verizon Communications Inc. 4.862% Due 08/21/2046
 
Corporate Bond 292,000 units
 
276,444

 
 
Toyota Auto .67% Due 12/15/2017
 
Asset Backed Security 275,507 units
 
274,925

 
 
AT&T Inc. 4.8% Due 06/15/2044
 
Corporate Bond 300,000 units
 
274,841

 
 
J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC16 Class A4 Due 05/12/2045*
 
Commercial Mortgage-Backed Security 270,703 units
 
273,880

 
 
The Goldman Sachs Group, Inc. 5.95% Due 01/18/2018
 
Corporate Bond 253,000 units
 
272,475

 
 
HCA Inc. 6.5% Due 02/15/2020
 
Corporate Bond 250,000 units
 
272,375

 
 
Federal Home Loan Mortgage Corporation Floating Rate Due 07/25/2020
 
Government Mortgage Backed Security 272,322 units
 
272,307

 

20

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

Identity of Issue
 
Description of Investment
 
Current Value
 
UBS AG Stamford Branch 1.8% Due 03/26/2018
 
Corporate Bond 271,000 units
 
270,546

 
 
Jersey Central Power & Light Company 4.7% Due 04/01/2024
 
Corporate Bond 261,000 units
 
270,409

 
 
Banc America Commercial Mortgage Inc. 2006-3 Due 07/10/2044*
 
Commercial Mortgage-Backed Security 267,387 units
 
268,798

 
 
Ventas Realty Limited 3.5% Due 02/01/2025
 
Corporate Bond 280,000 units
 
268,109

 
 
J.P. Morgan Chase Bank of New York 6% Due 10/01/2017*
 
Corporate Bond 250,000 units
 
267,290

 
 
Trafigura Securitizations Finance PLC Floating Rate Due 10/15/2021
 
Asset Backed Security 266,000 units
 
264,907

 
 
Fannie Mae Pool #466049 2.49% Due 10/01/2017
 
Government Mortgage Backed Security 260,790 units
 
264,850

 
 
Fannie Mae Pool #Am8203 2.74% Due 03/01/2025
 
Government Mortgage Backed Security 266,583 units
 
264,106

 
 
Hyundai Auto 1.05% Due 04/15/2019
 
Asset Backed Security 265,000 units
 
263,927

 
 
United States Treasury Bond 4.24% Due 05/15/2039
 
Government Bond 210,000 units
 
259,407

 
 
Realty Income Corporation 5.95% Due 09/15/2016
 
Corporate Bond 250,000 units
 
257,419

 
 
United States Treasury Bond 4.5% Due 02/15/2036
 
Government Bond 200,000 units
 
256,312

 
 
Federal Home Loan Mortgage Corporation Series 2595 5% Due 04/15/2023
 
Government Mortgage Backed Security 239,930 units
 
256,127

 
 
Macmo Master Asset Securitization Trust 5.5% Due 12/25/2033
 
Collateralized Mortgage Obligation 241,234 units
 
255,447

 
 
UBS Commercial Mortgage Trust 2012-C1 Variable Rate Due 05/10/2045
 
Commercial Mortgage-Backed Security 250,000 units
 
252,544

 
 
Toyota Motor Credit Corporation 2% Due 09/15/2016
 
Corporate Bond 250,000 units
 
252,018

 
 
J.P. Morgan Chase Commercial Mortgage-Backed Securities Corporation Series 2006-LDP6 Variable Rate Due 04/15/2043*
 
Commercial Mortgage-Backed Security 250,000 units
 
251,100

 
 
Credit Suisse Group Funding (Guernsey) Ltd. 3.8% Due 09/15/2022
 
Corporate Bond 250,000 units
 
249,803

 
 
Fannie Mae Pool #Am6501 3.32% Due 08/01/2026
 
Government Mortgage Backed Security 245,000 units
 
249,700

 
 
UBS AG Stamford Branch 1.375% Due 06/01/2017
 
Corporate Bond 250,000 units
 
248,809

 
 
Bank of America Corporation 5.65% Due 05/01/2018*
 
Corporate Bond 230,000 units
 
247,321

 
 
Stadshypotek AB (publ) 1.875% Due 10/02/2019
 
Corporate Bond 250,000 units
 
246,506

 
 
GS Mortgage Securities Corporation Trust 2011-GC5 Due 08/10/2044
 
Commercial Mortgage-Backed Security 245,000 units
 
245,374

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3415 Class TF Due 08/15/2035
 
Government Mortgage Backed Security 237,073 units
 
241,137

 
 
Ginnie Mae 2015-H32 Remic Pass-Through Class FH Due 12/20/2065
 
Government Mortgage Backed Security 242,000 units
 
241,124

 
 
J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-A4 Due 05/12/2045*
 
Commercial Mortgage-Backed Security 238,219 units
 
241,014

 
 
Oracle Corporation 3.625% Due 07/15/2023
 
Corporate Bond 224,000 units
 
231,701

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2980 6% Due 05/15/2035
 
Government Mortgage Backed Security 202,522 units
 
231,505

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 2072 6.5% Due 07/15/2028
 
Government Mortgage Backed Security 201,671 units
 
228,413

 
 
Wachovia Corporation 5.75% Due 02/01/2018*
 
Corporate Bond 210,000 units
 
226,819

 
 
Nordea Bank 1.625% Due 05/15/2018
 
Corporate Bond 225,000 units
 
223,688

 
 
UnitedHealth Group, Inc. 4.625% Due 07/15/2035
 
Corporate Bond 215,000 units
 
223,195

 
 
Microsoft Corporation 3.75% Due 02/12/2045
 
Corporate Bond 242,000 units
 
222,982

 
 
Fannie Mae Preassign 00653 5.5% Due 03/25/2023
 
Government Mortgage Backed Security 203,755 units
 
221,025

 
 
HSBC Bank PLC 4.75% Due 01/19/2021
 
Corporate Bond 200,000 units
 
220,302

 
 
UBS Commercial Mortgage 2007 C7 Variable Rate Mortgage Pass Thru Class A/3 09/15/2045
 
Commercial Mortgage-Backed Security 209,907 units
 
220,288

 
 
JPMorgan Chase Capital XXIII Series W Floating Rate Due 05/15/2047
 
Corporate Bond 291,000 units
 
218,978

 
 
Ginnie Mae 0% Due 12/20/2040
 
Government Mortgage Backed Security 239,719 units
 
218,884

 
 
Ford Credit Auto Owner 1.28% Due 09/15/2019
 
Asset Backed Security 218,000 units
 
217,648

 
 
Energy Transfer Partners, LP 5.2% Due 2/1/2022
 
Corporate Bond 232,000 units
 
216,747

 
 
UBS-Bank of America Merrill Lynch Trust Series 2012-WRM 3.663% Due 06/10/2030*
 
Commercial Mortgage-Backed Security 211,000 units
 
212,543

 
 
General Motors Financial Company, Inc. 4.75 Due 08/15/2017
 
Corporate Bond 205,000 units
 
212,470

 

21

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

Identity of Issue
 
Description of Investment
 
Current Value
 
H. J. Heinz Company 1.6% Due 06/30/2017
 
Corporate Bond 213,000 units
 
212,383

 
 
AT&T Inc. 3.875% Due 08/15/2021
 
Corporate Bond 205,000 units
 
211,493

 
 
New York State Dormitory Authority 5.289% Due 03/15/2033
 
Municipal/Provincial Bond 180,000 units
 
210,053

 
 
The Goldman Sachs Group, Inc. 5.375% Due 03/15/2020
 
Corporate Bond 190,000 units
 
208,723

 
 
Fannie Mae Tranche 00743 3.5% Due 10/25/2037
 
Government Mortgage Backed Security 196,937 units
 
205,828

 
 
Fannie Mae Remic Series 2013-6 Class GI 09/25/2032
 
Government Mortgage Backed Security 1,817,547 units
 
204,990

 
 
Bank of America Corporation 4% Due 01/22/2025*
 
Corporate Bond 208,000 units
 
203,617

 
 
General Electric Capital Corporation 3.1% Due 01/09/2023
 
Corporate Bond 200,000 units
 
203,002

 
 
UBS-Barclays Commercial Mortgage Trust 2012-C2 3.52500009537% Due 05/10/2063
 
Commercial Mortgage-Backed Security 197,600 units
 
202,161

 
 
Fannie Mae Preassign 00166 6.5% Due 08/25/2036
 
Government Mortgage Backed Security 177,744 units
 
201,865

 
 
The Goldman Sachs Group, Inc. Variable Rate Due 11/29/2023
 
Corporate Bond 200,000 units
 
201,775

 
 
Comcast Corporation 4.4% Due 08/15/2035
 
Corporate Bond 200,000 units
 
201,192

 
 
Citigroup Inc. 1.3% Due 04/01/2016
 
Corporate Bond 200,000 units
 
200,282

 
 
Wachovia Bank Commercial Mortgage Trust Pass-Through Due 07/15/2045*
 
Commercial Mortgage-Backed Security 200,198 units
 
199,949

 
 
United States Treasury Bond .625% Due 02/15/2043
 
Index Linked Government Bond 227,800 units
 
199,425

 
 
Fannie Mae Pool #Ap0645 3.5% Due 07/01/2032
 
Government Mortgage Backed Security 190,323 units
 
199,403

 
 
MidAmerican Energy 4.8% Due 09/15/2043
 
Corporate Bond 183,000 units
 
195,799

 
 
Conoco Inc. 6.95% Due 04/15/2029
 
Corporate Bond 170,000 units
 
194,716

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3087 5.5% Due 12/15/2025
 
Government Mortgage Backed Security 178,302 units
 
194,514

 
 
Ginnie Mae Pool 2012-84 Class LI I-O 4% Due 05/16/2042
 
Government Mortgage Backed Security 1,188,446 units
 
191,692

 
 
Hyundai Auto 1.12% Due 11/15/2019
 
Asset Backed Security 193,000 units
 
191,515

 
 
Federal Home Loan Mortgage Corporation Multiclass Series 3005 5% Due 07/15/2025
 
Government Mortgage Backed Security 177,778 units
 
191,378

 
 
Federal Home Loan Mortgage Corporation Series 3852 Floating Rate Due 05/15/2041
 
Government Mortgage Backed Security 171,640 units
 
189,415

 
 
North Shore Long Island 4.8% Due 11/01/2042
 
Corporate Bond 200,000 units
 
189,129

 
 
Shell International Finance BV 4.375% Due 05/11/2045
 
Corporate Bond 200,000 units
 
188,813

 
 
Residential Accredit Loans, Inc. Pass-Through Trust Series 2004-QS7 5.5% Due 05/25/2034
 
Collateralized Mortgage Obligation 183,085 units
 
188,154

 
 
Sprint Nextel Corporation 9% Due 11/15/2018
 
Corporate Bond 175,000 units
 
184,188

 
 
Merrill Lynch Mortgage Investors, Inc. Series 2003-5 Class-A1 Due 10/25/2028*
 
Collateralized Mortgage Obligation 188,540 units
 
183,903

 
 
Anadarko Petroleum Corporation 6.45% Due 09/15/2036
 
Corporate Bond 190,000 units
 
183,133

 
 
DT Auto Owner Trust 7% Due 04/16/2018
 
Asset Backed Security 183,432 units
 
183,075

 
 
Springleaf Mortgage Loan Trust 2013-2 Class M-1 Variable Rate Due 12/25/2065
 
Collateralized Mortgage Obligation 181,000 units
 
182,130

 
 
Nissan Auto 1.11% Due 05/15/2019
 
Asset Backed Security 182,000 units
 
181,445

 
 
Burlington Northern and Santa Fe Railway Company 4.15% Due 04/01/2045
 
Corporate Bond 197,000 units
 
178,546

 
 
Santander Drive Auto Receivables Trust 1.27% Due 02/15/2019
 
Asset Backed Security 178,000 units
 
177,399

 
 
BP Capital Markets plc 3.506% Due 03/17/2025
 
Corporate Bond 183,000 units
 
177,217

 
 
United States Treasury Note 1% Due 06/30/2019
 
Government Bond 180,000 units
 
177,026

 
 
Springleaf Mortgage Loan Trust 2013-2 Class M-2 Variable Rate 12/25/2065
 
Collateralized Mortgage Obligation 175,000 units
 
176,236

 
 
WFRBS Commercial Mortgage Trust Variable Rate Due 03/15/2045
 
Commercial Mortgage-Backed Security 190,000 units
 
175,488

 
 
Texas Eastern Transmission, LP 2.8% Due 10/15/2022
 
Corporate Bond 195,000 units
 
173,324

 
 
Fannie Mae Series 417 Class C11 2.5% Due 2/25/2028
 
Government Mortgage Backed Security 1,845,404 units
 
172,848

 
 
Wal-Mart Stores, Inc. 4.75% Due 10/02/2043
 
Corporate Bond 160,000 units
 
172,091

 
 
HSBC Holdings PLC 4% Due 03/30/2022
 
Corporate Bond 163,000 units
 
171,112

 
 
Morgan Stanley 5.75% Due 01/25/2021
 
Corporate Bond 150,000 units
 
168,413

 

22

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

Identity of Issue
 
Description of Investment
 
Current Value
 
Wells Fargo & Company 4.48% Due 01/16/2024*
 
Corporate Bond 158,000 units
 
166,179

 
 
Bank of America Corporation 4.125% Due 01/22/2024*
 
Corporate Bond 160,000 units
 
165,256

 
 
Telefonica 5.134% Due 04/27/2020
 
Corporate Bond 150,000 units
 
163,778

 
 
Enterprise Products Company 4.9% Due 05/15/2046
 
Corporate Bond 200,000 units
 
163,438

 
 
Sequoia Mortgage Trust 2004-1 Floating Rate Due 11/20/2034
 
Collateralized Mortgage Obligation 169,705 units
 
162,264

 
 
Royal Bank of Canada 1.2% Due 09/19/2017
 
Corporate Bond 163,000 units
 
162,230

 
 
Citigroup Inc. 3.3% Due 04/27/2025
 
Corporate Bond 165,000 units
 
162,045

 
 
Homestar Mortgage Acceptance Corporation Series 2004-4 Class A3 Floating Rate Due 09/25/2034
 
Collateralized Mortgage Obligation 162,160 units
 
160,547

 
 
Federal Home Loan Mortgage Corporation Series 3507 5% Due 03/15/2036
 
Government Mortgage Backed Security 151,994 units
 
159,372

 
 
Energy Transfer 5.5% Due 06/01/2027
 
Corporate Bond 209,000 units
 
158,840

 
 
First Horizon Mortgage Pass-Through Trust Series 2004-AR6 4.75% Due 12/25/34
 
Collateralized Mortgage Obligation 158,015 units
 
158,606

 
 
CarFinance Capital Auto Trust 2014-2 Class B 2.64% Due 11/16/2020
 
Asset Backed Security 160,000 units
 
158,332

 
 
J.P. Morgan Chase & Company 4.25% Due 10/15/2020*
 
Corporate Bond 149,000 units
 
158,066

 
 
Chase Mortgage Financial Trust Series 2007-A1 Pass-Through Due 02/25/2037
 
Collateralized Mortgage Obligation 157,341 units
 
157,674

 
 
General Electric Capital Corporation 5.5% Due 01/08/2020
 
Corporate Bond 140,000 units
 
157,020

 
 
Healthcare Realty Trust Inc. 5.75% Due 01/15/2021
 
Corporate Bond 142,000 units
 
156,630

 
 
HBOS plc Tranche # Sb 00008 6.75% Due 5/21/2018
 
Corporate Bond 143,000 units
 
155,964

 
 
Fannie Mae 1.43% Due 03/25/2037
 
Government Mortgage Backed Security 933,879 units
 
154,281

 
 
United States Treasury Note 3.25% Due 12/31/2016
 
Government Bond 150,000 units
 
153,551

 
 
J.P. Morgan Mortgage Trust Series 2004-A3 Due 07/25/2034*
 
Collateralized Mortgage Obligation 157,702 units
 
153,081

 
 
Energy Transfer 5.15% Due 03/15/2045
 
Corporate Bond 215,000 units
 
151,966

 
 
Reckson Operating Partnership, LP 6% Due 03/31/2016
 
Corporate Bond 150,000 units
 
151,399

 
 
CarFinance Capital Auto Trust 2015-1 Class A 1.75% Due 06/15/2021
 
Asset Backed Security 152,068 units
 
151,119

 
 
The Goldman Sachs Group, Inc. 3.75% Due 05/22/2025
 
Corporate Bond 150,000 units
 
151,000

 
 
Celgene Corporation 5% Due 08/15/2045
 
Corporate Bond 150,000 units
 
150,583

 
 
Merrill Lynch Mortgage Investors, Inc. Series 2004-B Class 1 Due 05/25/2029*
 
Collateralized Mortgage Obligation 152,943 units
 
148,672

 
 
PRICOA Global Funding 1.6% Due 05/29/2018
 
Corporate Bond 150,000 units
 
148,346

 
 
General Electric Company 4.5% Due 03/11/2044
 
Corporate Bond 144,000 units
 
148,195

 
 
Spectra Energy Capital 5.65% Due 03/01/2020
 
Corporate Bond 141,000 units
 
148,143

 
 
Morgan Stanley Capital I Trust 2011-C3 4.054% Due 07/15/2049
 
Commercial Mortgage-Backed Security 141,000 units
 
147,752

 
 
Cox Communications, Inc. 3.85% Due 02/01/2025
 
Corporate Bond 160,000 units
 
146,586

 
 
Fannie Mae Pool #890231 5% Due 07/01/2025
 
Government Mortgage Backed Security 141,061 units
 
146,302

 
 
Ginnie Mae 2004-30 5.5% Due 02/20/2034
 
Government Mortgage Backed Security 138,519 units
 
146,254

 
 
Ginnie Mae II Pool #3760 Series 2035 5.5% Due 09/20/2035
 
Government Mortgage Backed Security 130,719 units
 
145,849

 
 
Spcl1 Gen Elec Capital Corporation