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Form 11-K J C PENNEY CO INC For: Dec 31

June 27, 2016 5:11 PM EDT


 
UNITED STATES


 
SECURITIES AND EXCHANGE COMMISSION


 
Washington, D.C. 20549


 
 
 

FORM 11-K

(Mark One)
 
x
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the fiscal year ended December 31, 2015

OR
    
o
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 
For the transition period from to ________


Commission File Number 001-15274


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

J. C. Penney Corporation, Inc.
Savings, Profit‑Sharing and Stock Ownership Plan
    

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

J. C. Penney Company, Inc.
6501 Legacy Drive
Plano, Texas 75024‑3698








REQUIRED INFORMATION
Form 11-K Annual Report
This form provides the annual report pursuant to Section 15(d) of the Securities Exchange Act of 1934, as amended, with respect to the J. C. Penney Corporation, Inc. Savings, Profit‑Sharing and Stock Ownership Plan, a plan subject to the Employee Retirement Income Security Act of 1974.















J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND
STOCK OWNERSHIP PLAN


Financial Statements and Supplemental Schedule
December 31, 2015 and 2014
(With Report of Independent Registered Public Accounting Firm Thereon)







J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND
STOCK OWNERSHIP PLAN

Table of Contents






MONTGOMERY COSCIA GREILICH LLP
972.748.0300 p
972.748.0700 f

Report of Independent Registered Public Accounting Firm


To the Benefit Plan Investment Committee,
Benefits Administration Committee, and
Human Resources Committee of
J.C. Penney Corporation, Inc. Savings,
Profit-Sharing and Stock Ownership Plan:

We have audited the accompanying statements of net assets available for benefits of the J.C. Penney Corporation Inc. Savings, Profit-Sharing and Stock Ownership 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 audit.

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

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

The supplemental information in the accompanying schedule of Schedule H, line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2015, has been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental information is presented for the purpose of additional analysis and is not a required part of the financial statements but includes supplemental information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. The supplemental information is the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental 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 information. In forming our opinion on the supplemental information in the accompanying schedule, we evaluated whether the supplemental 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 supplemental information in the accompanying schedule is fairly stated, in all material respects, in relation to the financial statements as a whole.



MONTGOMERY COSCIA GREILICH LLP
Plano, Texas
June 27, 2016

 
 
 
2500 Dallas Parkway, Suite 300 Plano, Texas 75093
300 Throckmorton Street, Suite 520
Fort Worth, Texas 76102
600 Congress Avenue, Suite 300 Austin, Texas 78701

1




J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
December 31, 2015 and 2014

($ in thousands)
2015
 
2014
Assets:
 
 
 
Investments at fair value:
 
 
 
J. C. Penney Company, Inc. common stock
$
95,443

 
$
88,998

Common and collective trusts
1,682,684

 
1,839,952

Mutual funds
19,117

 
21,077

Common stock
21,998

 
23,771

Other
719

 
633

Total investments at fair value
1,819,961

 
1,974,431

Fully benefit responsive contracts, at contract value
803,004

 
818,658

Total investments
2,622,965

 
2,793,089

Receivables:
 
 
 
J. C. Penney Company, Inc. contribution
14,132

 
13,639

Notes receivable from participants
62,700

 
66,248

Participant contributions

 
1,571

Due from broker for securities sold
574

 
415

Interest and dividends
51

 
99

Other
1

 
576

Total receivables
77,458

 
82,548

Total assets
2,700,423

 
2,875,637

 
 
 
 
Liabilities:
 
 
 
Accounts payable and accrued liabilities
490

 
622

Due to broker for securities purchased
375

 
360

Total liabilities
865

 
982

Net assets available for benefits
2,699,558

 
2,874,655


See the accompanying notes to the financial statements.

2



J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
For The Years Ended December 31, 2015 and 2014

($ in thousands)
2015
 
2014
Investment income:
 
 
 
Net appreciation (depreciation) in the fair value of investments
$
(3,086
)
 
$
72,781

Interest
21,927

 
26,614

Dividends
1,485

 
1,487

 
20,326

 
100,882

Less investment expenses
(908
)
 
(936
)
Net investment income
19,418

 
99,946

Interest income on notes receivable from participants
2,559

 
2,685

Contributions:
 
 
 
J. C. Penney Company, Inc., net of forfeitures
50,457

 
49,581

Participants
99,581

 
100,105

 
150,038

 
149,686

Total additions
172,015

 
252,317

Deductions from net assets attributed to:
 
 
 
Benefit payments
(340,823
)
 
(329,102
)
Administrative expenses
(6,289
)
 
(6,463
)
Total deductions
(347,112
)
 
(335,565
)
Decrease in net assets available for benefits
(175,097
)
 
(83,248
)
Beginning net assets available for benefits
2,874,655

 
2,957,903

Ending net assets available for benefits
$
2,699,558

 
$
2,874,655


See the accompanying notes to the financial statements.

3


J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
NOTES TO FINANCIAL STATEMENTS
December 31, 2015 and 2014

1. Description of Plan
The following description of the J. C. Penney Corporation, Inc. Savings, Profit‑Sharing and Stock Ownership Plan (the Plan) provides only general information. For more complete information, Participants should refer to the Summary Plan Description for the Plan. If these Notes to Financial Statements or the Summary Plan Description result in any misunderstanding or inconsistency with the Plan document, the Plan document will govern.
(a)
General
The Plan is a defined contribution plan available to all eligible employees (Associates) of J. C. Penney Corporation, Inc. (the Company) and certain subsidiaries. Associates who have attained age 21 are immediately eligible to participate in the Plan upon their hire date or rehire date. Eligible Associates, after completion of 1,000 hours of service in an eligibility period (generally a period of 12 consecutive months), are automatically enrolled at a 4% pre-tax contribution, unless they elect otherwise. An eligible Associate must be enrolled in the Plan to be a participant in the Plan (Participant). The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA). The financial statements include all of the funds that comprise the Plan.
The Benefit Plans Investment Committee (BPIC) is the named fiduciary for the control and management of the assets of the Plan except for the J. C. Penney Common Stock Fund (Penney Stock Fund). Effective December 17, 2009, Evercore Trust Company, N.A. became the named fiduciary with respect to the management and disposition of the Penney Stock Fund. The BPIC also has the responsibility for selecting investment funds, other than the Penney Stock Fund, to be offered under the Plan. The Benefits Administration Committee (BAC) is the named fiduciary for the review of denied benefit claims and has overall responsibility for the day-to-day administration of the Plan. The Human Resources Committee (HRC) approves the Company’s overall benefit strategy for the Plan and any modifications or amendments to the Plan and is responsible for appointing members of the BAC and the BPIC and appoints the trustee. The HRC has named State Street Bank & Trust Company (State Street Bank) as the trustee for the Plan and Aon Hewitt Associates as the third party administrator/record keeper for the Plan.
(b)
Payment of Benefits
Generally, Participants who have separated from service with account balances over $5,000 remain in the Plan until the Participant elects payment. The normal form of payment is a lump‑sum settlement (cash and/or J. C. Penney Company, Inc. common stock). A Participant will receive an involuntary lump sum distribution if the total vested account balance is $5,000 or less at the time of distribution. Certain Participants who have separated from service and who are 100% vested in the Company contributions may request periodic withdrawals, fixed monthly payments of at least $100, or a complete distribution. Minimum required distributions will begin by April 1 of the year following the year of separation for a Participant who has attained age 70½ and will continue each year thereafter to comply with federal law.
(c)
Contributions
Participants who are classified as highly compensated in 2015 and 2014 (earning more than $120,000 in 2014 for 2015 and $115,000 in 2013 for 2014) are permitted to contribute from 1% to 8% (6% before-tax, 2% after-tax) of their earnings (up to a maximum of $265,000 for 2015 and $260,000 for 2014) with a maximum of 6% in pre-tax deposits (subject to an annual maximum of $18,000 in 2015 and $17,500 2014). Participants earning $120,000 or less in the previous year are permitted to contribute from 1% to 50% of their earnings (subject to an annual maximum of $18,000 in 2015 and $17,500 in 2014). Associates, who are at least age 21, did not enroll in the plan, and did not decline enrollment, will be automatically enrolled in the Plan after completing 1,000 hours of service in an eligibility period.
The Plan allows Participants who have attained the age of 50 by the end of the year to make an additional tax-deferred deposit (catch-up contribution) up to a maximum of $6,000 during 2015 and $5,500 during 2014. These catch-up contributions are not eligible for the Company’s matching contribution.
The Plan allows Participants who participated in another employer’s qualified retirement plan before coming to work for the Company to rollover a portion or all of their distributions from the prior employer’s plan. The Participant cannot rollover a loan or a Roth 401(k) from another plan. The Plan accepts eligible cash rollovers directly from another qualified retirement plan that meets certain legal requirements within 60 days after receipt of an eligible distribution. The associate is immediately vested in these contributions to the Plan.

4


Participants age 21 or older become eligible for the Company matching contributions after completing 1,000 hours of service in an eligibility period. The Company matching contribution is a per pay period Company match of $0.50 per dollar up to the first 6% of Participant contributions. Associates hired or rehired on or after January 1, 2007, that are over 21 years of age, have 1,000 hours of service in an eligibility period and are active associates on December 31 receive a Company retirement account contribution equal to 2% of the associate’s annual compensation (up to a maximum of $265,000 for 2015 and $260,000 for 2014).
During 2015, the Company matching contribution totaled approximately $36.4 million and the Company retirement account contribution totaled approximately $14.1 million. During 2014, the Company matching contribution totaled approximately $36.6 million and the Company retirement account contribution totaled approximately $13.0 million.
(d)
Participants’ Investment Funds
All Participant contributions, Company matching contributions and Company retirement account contributions are invested in the Plan’s investment funds in accordance with the Participant’s investment elections. Participants direct their investments amongst three tiers of funds as follows: Tier 1 funds consist of target date retirement funds managed by Vanguard Fiduciary Trust Company. Tier 2 funds consist of eight index funds, including the Penney Stock Fund. Tier 3 funds consist of the Participant directed brokerage window. The funds are maintained on a unit-value basis and, accordingly, the actual earnings and appreciation or depreciation in the underlying securities are reflected in the daily unit value.
(e)
Participant Accounts
Each Participant’s account is credited with the Participant’s contributions, the Company’s contributions, Plan earnings and appreciation or depreciation in underlying securities, and is charged with an allocation of administrative expenses. Allocations are based on Participant account balances, as defined. The benefit to which a Participant is entitled is the benefit that can be provided from the Participant’s vested account.
(f)
Participants’ Loans
A Participant who has not separated from service may request a loan. The minimum loan amount is $500. The maximum loan amount is the lesser of: the value of a Participant’s before-tax, rollover and after-tax deposits on the valuation date, 50% of a Participant’s total vested account value on the valuation date, or $50,000 minus the highest aggregate balance of any other loans owed to the Plan during the previous 12 months. All loans must be adequately secured and bear interest at the prime rate plus 1%. Interest rates on the loans outstanding as of December 31, 2015 ranged from 4.25% to 10.50% and maturities ranged from 2016 through 2020. Interest rates on the loans outstanding as of December 31, 2014 ranged from 4.25% to 10.50% and maturities ranged from 2015 through 2019. Loan amounts and the terms of repayment are limited in accordance with Plan provisions.
(g)
Vesting
Participants are immediately vested in the value of their deposits and earnings thereon. Company contributions and earnings thereon for Plan years 2007 and later will be 100% cliff vested after three years of service. Participants will also be 100% vested if they separate from service at normal retirement age, death, total disability, or a reduction in force or unit closing. Participants who separate from service prior to full vesting of their rights forfeit the unvested balance of their Company contributions and any related earnings when their employment ends.
(h)
Forfeited Accounts
Forfeitures are available to restore forfeited amounts of rehired Participants, offset Company contributions, or pay Plan expenses. Forfeitures utilized to offset company contributions during 2015 and 2014 were approximately $2.8 million and $2.8 million respectively.
(i)
Expenses
Participants’ accounts share in the expenses to administer the Plan. These expenses include trustee, investment management, audit, administrative service provider fees, and other expenses. Administrative expenses not paid by the Plan are paid by the Company.


5


2. Related Party and Party in Interest Transactions
Certain trust investment options are investment products managed by State Street Global Advisors (SSgA), which is the investment management division of State Street Bank and Trust Company, a wholly owned subsidiary of State Street Corporation. State Street Bank and Trust Company is the trustee, as defined by the Plan, and the disbursement agent. The trustee and investment manager fees are paid by the Plan.
As of December 31, 2015 and 2014, the Plan held investments in J. C. Penney Company Inc. common stock totaling $95.4 million and $89.0 million respectively. During the year ended December 31, 2015, 5.8 million shares were acquired and 5.1 million were disposed. During the year ended December 31, 2014, 6.2 million shares were acquired and 5.0 million were disposed. All of these transactions are exempt from the prohibitions against party-in-interest transactions.
Eligible Participants may borrow from their individual account balance in the Plan as discussed in note 1(f), and these transactions qualify as exempt party-in-interest transactions.
Certain administrative functions and services necessary for the operation of the plan are performed by employees of the Company who may also be Participants in the Plan. The Plan pays reasonable compensation for those services.
3. Summary of Significant Accounting Policies
(a)
Basis of Accounting
The financial statements of the Plan are prepared under the accrual method of accounting.
(b)
Valuation of Investments and Income Recognition
Except for fully benefit responsive investment contracts, which are carried at contract value as discussed in Note 3(f) herein, the Plan’s investments are stated at fair value. Purchases and sales of investments are recorded on a trade‑date basis. The average cost method is used to calculate gains and losses on the sale of investments. Interest income is recorded on the accrual basis. Dividends are recorded on the ex‑dividend date. Net appreciation (depreciation) includes the Plan’s gains and losses on investments bought and sold as well as held during the year.
(c)
Notes Receivable From Participants
Participant loans are recorded at amortized costs which represent the unpaid principal balance plus accrued interest.
(d)
Payment of Benefits
Benefits are recorded when paid.
(e)
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, and changes therein, and disclosure of contingent assets and liabilities. Actual results could differ from these estimates.
(f)
New Accounting Pronouncements
In May 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent). ASU 2015-07 amended Accounting Standards Codification (ASC) 820, Fair Value Measurements and Disclosures, to remove the requirement to categorize within the fair value hierarchy all investments for which fair value is measured using the net asset value per share practical expedient. The amendment also removes the requirement to make certain disclosures for these investments. The Plan is currently evaluating the potential effects of the new standard.
In July 2015, the FASB issued ASU 2015-12, Plan Accounting: Defined Benefit Pension Plans (Topic 960), Defined Contribution Pension Plans (Topic 962) and Health and Welfare Benefit Plans (Topic 965): (Part I) Fully Benefit-Responsive Investment Contracts (FBRICs), (Part II) Plan Investment Disclosures, and (Part III) Measurement Date Practical Expedient. Part I clarifies that the contract value is the relevant measure for FBRICs because it is the amount participants would receive in a transaction, and simplifies reporting of FBRICs at contract value. Part II eliminates the requirements to disclose individual investments that represent 5 percent or more of net assets available for benefits and the net appreciation or depreciation in fair value of investments by general type. Part II also simplifies the level of disaggregation of investments that are measured using fair value as plans are no longer required to disaggregate investments by nature, characteristics and risks, and are only required to disaggregate by general type of plan asset. Part III is not applicable to the Plan. The Plan retrospectively adopted Parts I and II.


6


4. Fair Value Measurements
Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the exit price) in an orderly transaction between market participants at the measurement date. In determining fair value, the accounting standards establish a three‑level hierarchy for inputs used in measuring fair value, as follows:
Level 1 – Quoted prices in active markets for identical assets or liabilities.
Level 2 – Significant observable inputs other than quoted prices in active markets for similar assets and liabilities, such as quoted prices for identical or similar assets or liabilities in markets that are not active; or other inputs that are observable or can be corroborated by observable market data.
Level 3 – Significant unobservable inputs reflecting our own assumptions, consistent with reasonably available assumptions made by other market participants.

7


The following tables present a summary of the Plan’s investment assets measured at fair value as of December 31, 2015 and 2014:
($ in thousands)
Quoted Prices in Active Market
(Level 1)
 
Significant Other Observable Input
(Level 2)
 
Total
December 31, 2015:
 
 
 
 
 
Common stock (a):
 
 
 
 
 
J. C. Penney Company, Inc.
$
95,443

 
$

 
$
95,443

Common and collective trusts (b)

 
1,682,684

 
1,682,684

Self-directed brokerage window (c):
 
 
 
 
 
Mutual funds
19,117

 

 
19,117

Common stock
21,998

 

 
21,998

Other:
 
 
 
 
 
Cash and cash equivalents
353

 

 
353

Preferred stock
357

 

 
357

Partnerships
9

 

 
9

Total other
719

 

 
719

Total self-directed brokerage window
41,834

 

 
41,834

Total investments at fair value
$
137,277

 
$
1,682,684

 
$
1,819,961

Actual risk depends on the individual investments which are selected by each applicable participant.
($ in thousands)
Quoted Prices in Active Market
(Level 1)
 
Significant Other Observable Input
(Level 2)
 
Total
December 31, 2014:
 
 
 
 
 
Common stock (a):
 
 
 
 
 
J. C. Penney Company, Inc.
$
88,998

 
$

 
$
88,998

Common and collective trusts (b)

 
1,839,952

 
1,839,952

Self-directed brokerage window (c):
 
 
 
 
 
Mutual funds
21,077

 

 
21,077

Common stock
23,771

 

 
23,771

Other:
 
 
 
 
 
Cash and cash equivalents
352

 

 
352

Preferred stock
274

 

 
274

Partnerships
7

 

 
7

Total other
633

 

 
633

Total self-directed brokerage window
45,481

 

 
45,481

Total investments at fair value
$
134,479

 
$
1,839,952

 
$
1,974,431

Actual risk depends on the individual investments which are selected by each applicable participant.
As of December 31, 2015, the plan’s investments have no future commitments and a daily redemption frequency with one days notice. In addition, the Plan’s investments had no transfers between levels 1 to 3 from December 31, 2014 to December 31, 2015 or from December 31, 2013 to December 31, 2014.
Following is a description of the valuation methodologies used for assets measured at fair value. See also footnote 3(b) for more information.
(a)
Common stock: Valued at the closing price reported in the active market in which the individual securities are traded.

8


(b)
Common and collective trusts: Valued at the net asset value (NAV) of shares held by the plan at year end. The target date funds are comprised of eleven collective trusts, which manage risk and investment return over time. There are three general market risk levels: low to moderate, moderate, and moderate to high. Each fund is a different mix of investments – stocks, bonds and cash. The funds start out with more stock for growth opportunity and end with less stock. The equity funds are comprised of 3 large cap funds and 2 small cap funds with low to moderate and high risk levels, respectively. The fixed income securities have low general market risk.
There are no known commitments or restrictions on the common and collective trusts except for some withdrawal restrictions as related to liquidation by the Plan Sponsor of the equity funds. The Plan Sponsor has no plans to liquidate these funds.
(c)
Self-directed brokerage window includes cash and cash equivalents, common stock, corporate bonds, mutual funds, notes, preferred stock, publicly traded partnerships: Certain U.S. Treasury notes and corporate bonds are valued at the closing price reported in the active market in which the security is traded. Other corporate bonds are valued based on yields currently available on comparable securities of issuers with similar credit ratings. Other investments listed are valued at the closing price reported in the active market in which the individual securities are traded. Actual risk depends on the individual investments which are selected by each applicable participant.
The methods described above may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, while the Plan believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement as of the reporting date.

5. Synthetic Investment Contracts
The Plan also enters into synthetic investment contracts (SICs) with certain insurance companies and financial institutions (the Contract Issuers). Under these SICs, the Plan enters into a wrap agreement with a financial institution at a stated yield on fixed income securities purchased by the Plan. SICs totaled $803.0 million and $818.7 million as of December 31, 2015 and 2014, respectively. Additionally, there are no reserves against contract values for credit risk of the Contract Issuer or otherwise.
Key factors that could influence future average interest crediting rates include, but are not limited to: Plan cash flows, changes in interest rates, total return performance of the fair market value bond strategies underlying each SIC contract, default or credit failures of any of the securities, investment contracts, or other investments held in the fund, the initiation of an extended termination (immunization) of one or more SIC contracts by the manager or the Contract Issuers.
Specific coverage provided by each traditional SIC may be different for each issuer, and can be found in the individual traditional SIC contracts held by the Plan. Contract Issuers are not allowed to terminate any of the above SICs and settle at an amount different from contract value unless there is a breach of the contract, which is not corrected within the applicable cure period. Actions that will result in a breach (after any relevant cure period) include, but are not limited to: material misrepresentation; failure to pay SIC fees, or any other payment due under the contract; and failure to adhere to investment guidelines.

6. Tax Status
The Internal Revenue Service (IRS) has determined and informed the Company by a letter (determination letter) dated April 22, 2014 that the Plan and the related trust are designed in accordance with applicable sections of the IRC. The Plan has been amended since the reliance period specified in the determination letter. The Company will file an application for a new determination letter in accordance with standard IRS filing procedures. The Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable requirements of the IRC.
The Plan evaluates the uncertainties of tax positions taken or expected to be taken on a return based on the probability of whether the position taken will be sustained upon examination by tax authorities. The Plan uses a more‑likely than‑not threshold for recognition and derecognition of tax positions taken or to be taken in a return. The Plan concluded that it has no material uncertain tax liabilities to be recognized as of December 31, 2015. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress. The Plan administrator believes it is no longer subject to income tax examinations for years prior to 2011.
7. Form 5500 Reconciliation
Differences between the financial statements and the Form 5500 include the following:

9


Amounts allocated to withdrawing Participants are recorded on the Form 5500 for benefits that have been processed and approved for payment prior to December 31, but that have not yet been paid as of that date.
Fully benefit-responsive investment contracts are recorded on the Form 5500 at fair value but are recorded at contract value in the financial statements.
The following is a reconciliation of net assets available for benefits per the financial statements at December 31, 2015 and 2014 to the Plan’s Form 5500 ($ in thousands):
 
 
2015
 
2014
Net assets available for benefits per the financial statements
 
$
2,699,558

 
$
2,874,655

Amounts allocated to withdrawing participants
 

 

Net assets available for benefits per Form 5500
 
$
2,699,558

 
$
2,874,655

The following is a reconciliation of benefits paid to Participants per the financial statements at December 31, 2015 and 2014 to Form 5500 ($ in thousands):
 
 
2015
 
2014
Benefits paid to participants per the financial statements
 
$
340,823

 
$
329,102

Amounts allocated to withdrawing participants, current year
 

 

Amounts allocated to withdrawing participants, prior year
 

 
(2,000
)
Deemed distributions
 

 

Benefits paid to participants per Form 5500
 
$
340,823

 
$
327,102

The following is a reconciliation of the net increase (decrease) in net assets available for benefits per the financial statements to net income (loss) in the Form 5500 ($ in thousands):
 
 
2015
 
2014
Increase (decrease) in net assets available for benefits
 
$
(175,097
)
 
$
(83,248
)
Amounts allocated to withdrawing participants, current year
 

 

Amounts allocated to withdrawing participants, prior year
 

 
2,000

Less adjustment from fair value to contract value for fully benefit responsive contracts
 
(23,918
)
 

Net income (loss) per Form 5500
 
$
(199,015
)
 
$
(81,248
)
8. Plan Termination
Although the Company has not expressed any intent to do so, the Company has the right to terminate the Plan and the related Trust at any time subject to the provisions of ERISA. In the event of Plan termination, affected Participants will become fully vested in amounts allocated to their accounts as of the date of the termination.
9. Risks and Uncertainties
The Plan invests in various investment securities. Investment securities are exposed to various risks such as interest rate, market, and credit risks. Due to the level of risk associated with certain investment securities, it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the statement of net assets available for benefits.
The Plan invests in common and collective trusts with contractual cash flows, such as asset-backed securities, collateralized mortgage obligations and commercial mortgage backed securities, including securities backed by subprime mortgage loans. The value, liquidity and related income of those securities are sensitive to changes in economic conditions, including real estate value, delinquencies or defaults, or both, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates.
Market conditions can result in a high degree of volatility and increase the risks and short-term liquidity associated with certain investments held by the Plan, which could impact the value of investments after the date of these financial statements. Due to

10


uncertainties inherent in the estimations and assumptions process, it is at least reasonably possible that changes in these estimates and assumptions in the near term would be material to the financial statements.
10. Subsequent Events
On July 7, 2015, the Plans were amended to permit designated Roth contributions effective for plan years beginning on or after January 2, 2016.

11


J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN
EIN: 13-5583779 Plan #003
Schedule H, Line 4i - Schedule of Assets (Held at End of Year)
December 31, 2015
($ in thousands)
 
(A) Identity of issue, borrower, lessor, or similar party, description of investment
 
(B) Description of Investment
 
Cost
 
Current Value
 
 
 
Shares/Par
 
Rate of Interest
 
Maturity
 
 
 
 
 
Common stock:
 
 
 
 
 
 
 
 
 
 
*
J. C. Penney Company, Inc. common stock
 
 
 
 
 
 
 
(a)
 
95,443

 
Common and collective trusts:
 
 
 
 
 
 
 
 
 
 
*
State Street Bank Short Term Investment Fund
 
 
 
 
 
 
 
(a)
 
105,220

*
State Street Bank Daily EAFE (Europe, Australia and Far East) Fund
 
 
 
 
 
 
 
(a)
 
189,381

*
State Street Bank S&P 500 Flagship Fund Series
 
 
 
 
 
 
 
(a)
 
280,304

*
State Street Bank Russell 1000 Growth Index Fund
 
 
 
 
 
 
 
(a)
 
106,098

*
State Street Bank Russell 1000 Value Index Fund
 
 
 
 
 
 
 
(a)
 
77,732

*
State Street Bank Russell 2000 Index Securities Lending Fund
 
 
 
 
 
 
 
(a)
 
128,943

*
State Street Bank Passive Intermediate Bond Index Fund
 
 
 
 
 
 
 
(a)
 
173,231

 
Vanguard Target Retirement Income Fund
 
 
 
 
 
 
 
(a)
 
58,613

 
Vanguard 2010 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
35,864

 
Vanguard 2015 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
53,575

 
Vanguard 2020 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
89,141

 
Vanguard 2025 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
98,558

 
Vanguard 2030 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
80,248

 
Vanguard 2035 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
56,439

 
Vanguard 2040 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
42,412

 
Vanguard 2045 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
37,454

 
Vanguard 2050 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
54,661

 
Vanguard 2055 Target Retirement Fund
 
 
 
 
 
 
 
(a)
 
14,810

 
Total common and collective trusts
 
 
 
 
 
 
 
 
 
1,682,684

 
Self directed brokerage window
 
 
 
 
 
 
 
(a)
 
41,834

 
Fully benefit responsive contracts:
 
 
 
 
 
 
 
 
 
 
 
Fixed income securities:
 
 
 
 
 
 
 
 
 
 
 
ABBVIE INC
 
1,395

 
1.75
%
 
11/6/2017
 
(a)
 
1,396

 
ABBVIE INC
 
705

 
1.81
%
 
5/14/2018
 
(a)
 
704

 
ABBVIE INC
 
300

 
3.65
%
 
5/14/2025
 
(a)
 
297

 
ABBVIE INC
 
270

 
3.25
%
 
11/6/2022
 
(a)
 
267

 
ABN AMRO BANK NV 144A
 
600

 
4.77
%
 
7/28/2025
 
(a)
 
610

 
ACE INA HOLDINGS
 
605

 
5.27
%
 
6/15/2019
 
(a)
 
679

 
ACTAVIS FUNDING SCS
 
1,065

 
2.34
%
 
3/12/2018
 
(a)
 
1,075

 
ACTAVIS FUNDING SCS
 
1,320

 
3.01
%
 
3/12/2020
 
(a)
 
1,330

 
ACTAVIS FUNDING SCS
 
705

 
1.85
%
 
3/1/2017
 
(a)
 
709

 
AETNA INC
 
1,280

 
1.50
%
 
11/15/2017
 
(a)
 
1,279

 
AETNA INC
 
1,780

 
2.86
%
 
11/15/2022
 
(a)
 
1,720


12


 
AFIN 2013-1 A4
 
585

 
0.97
%
 
1/22/2018
 
(a)
 
585

 
AFIN 2013-4 A3
 
622

 
1.09
%
 
3/20/2018
 
(a)
 
621

 
AFIN 2014-1 A3
 
1,410

 
1.32
%
 
6/20/2018
 
(a)
 
1,410

 
AFIN 2014-2 A3
 
1,260

 
1.26
%
 
5/21/2018
 
(a)
 
1,259

 
AFIN 2014-3 A3
 
1,190

 
1.48
%
 
11/20/2018
 
(a)
 
1,187

 
AFIN 2015-2 A2
 
345

 
1.40
%
 
9/20/2018
 
(a)
 
344

 
AFIN 2015-2 A3
 
735

 
1.74
%
 
9/20/2019
 
(a)
 
732

 
AFIN 2015-3 A3
 
460

 
1.95
%
 
1/21/2020
 
(a)
 
459

 
AFIN 2015-3 A4
 
1,055

 
2.14
%
 
5/20/2020
 
(a)
 
1,049

 
AFIN 2015-4 A2
 
585

 
1.63
%
 
3/20/2019
 
(a)
 
582

 
AFIN 2015-4 A3
 
1,725

 
1.85
%
 
3/20/2020
 
(a)
 
1,710

 
AFLAC INC
 
420

 
2.62
%
 
2/15/2017
 
(a)
 
430

 
AFLAC INC
 
1,260

 
3.57
%
 
11/15/2024
 
(a)
 
1,284

 
AGILENT TECHNOLOGIES INC
 
173

 
6.05
%
 
11/1/2017
 
(a)
 
188

 
AGILENT TECHNOLOGIES INC
 
225

 
3.30
%
 
10/1/2022
 
(a)
 
220

 
AGILENT TECHNOLOGIES INC
 
660

 
3.87
%
 
7/15/2023
 
(a)
 
672

 
AGL CAPITAL CORP
 
880

 
4.88
%
 
8/15/2019
 
(a)
 
964

 
ALLYA 2015-1 A4
 
475

 
1.76
%
 
5/15/2020
 
(a)
 
473

 
ALLYL 2014-SN1 A3
 
326

 
0.75
%
 
2/21/2017
 
(a)
 
326

 
ALLYL 2014-SN1 A4
 
600

 
0.95
%
 
6/20/2018
 
(a)
 
599

 
ALTRIA GROUP INC
 
970

 
4.37
%
 
5/5/2021
 
(a)
 
1,061

 
AMAZON.COM INC
 
2,205

 
2.56
%
 
12/5/2019
 
(a)
 
2,244

 
AMAZON.COM INC
 
1,285

 
3.21
%
 
12/5/2021
 
(a)
 
1,326

 
AMAZON.COM INC
 
885

 
1.20
%
 
11/29/2017
 
(a)
 
884

 
AMCAR 2013-2 A3
 
82

 
0.65
%
 
12/8/2017
 
(a)
 
82

 
AMCAR 2013-3 A3
 
448

 
0.92
%
 
4/9/2018
 
(a)
 
448

 
AMCAR 2013-4 A3
 
233

 
0.96
%
 
4/9/2018
 
(a)
 
233

 
AMCAR 2014-2 A3
 
290

 
0.94
%
 
2/8/2019
 
(a)
 
289

 
AMCAR 2015-2 A3
 
1,415

 
1.28
%
 
1/8/2020
 
(a)
 
1,402

 
AMCAR 2015-3 A3
 
1,165

 
1.55
%
 
3/9/2020
 
(a)
 
1,159

 
AMCAR 2015-4 A3
 
750

 
1.71
%
 
7/8/2020
 
(a)
 
747

 
AMER AIRLN 14-1 A PTT
 
1,229

 
3.70
%
 
4/1/2028
 
(a)
 
1,240

 
AMER AIRLN 15-1 B PTT
 
129

 
3.82
%
 
11/1/2024
 
(a)
 
126

 
AMERICA MOVIL SAB DE CV
 
440

 
2.37
%
 
9/8/2016
 
(a)
 
445

 
AMERICAN CAMPUS CMNTYS
 
465

 
3.35
%
 
10/1/2020
 
(a)
 
470

 
AMERICAN EXPRESS CO
 
1,935

 
0.97
%
 
5/22/2018
 
(a)
 
1,929

 
AMERICAN HONDA FINANCE
 
1,845

 
1.21
%
 
7/14/2017
 
(a)
 
1,847

 
AMERICAN HONDA FINANCE
 
365

 
1.51
%
 
3/13/2018
 
(a)
 
364

 
AMERICAN INTL GROUP
 
810

 
2.32
%
 
7/16/2019
 
(a)
 
812

 
AMERISOURCEBERGEN CORP
 
715

 
3.43
%
 
11/15/2021
 
(a)
 
733

 
AMOT 2012-5 A
 
1,185

 
1.55
%
 
9/15/2019
 
(a)
 
1,179

 
AMOT 2013-1 A-2
 
405

 
1.00
%
 
2/15/2018
 
(a)
 
405

 
AMOT 2015-3 A
 
2,030

 
1.65
%
 
5/15/2020
 
(a)
 
2,012

 
AMPHENOL CORP
 
510

 
1.56
%
 
9/15/2017
 
(a)
 
511

 
AMXCA 2013-1 A
 
850

 
0.75
%
 
2/16/2021
 
(a)
 
850

 
AMXCA 2014-2 A
 
1,355

 
1.26
%
 
1/15/2020
 
(a)
 
1,353

 
AMXCA 2014-3 A
 
960

 
1.49
%
 
4/15/2020
 
(a)
 
961


13


 
ANTHEM INC
 
855

 
5.56
%
 
6/15/2017
 
(a)
 
906

 
ANTHEM INC
 
375

 
3.59
%
 
8/15/2024
 
(a)
 
371

 
APPALACHIAN POWER CO
 
1,145

 
3.48
%
 
6/1/2025
 
(a)
 
1,121

 
APPLE INC
 
570

 
0.45
%
 
5/3/2016
 
(a)
 
570

 
AT&T INC
 
600

 
2.48
%
 
6/30/2020
 
(a)
 
593

 
AT&T INC
 
495

 
1.54
%
 
6/30/2020
 
(a)
 
492

 
ATMOS ENERGY CORP
 
225

 
7.25
%
 
3/15/2019
 
(a)
 
270

 
ATMOS ENERGY CORP
 
1,305

 
5.96
%
 
6/15/2017
 
(a)
 
1,394

 
AUTOZONE INC
 
840

 
1.30
%
 
1/13/2017
 
(a)
 
844

 
AVALONBAY COMMUNITIES IN
 
420

 
3.49
%
 
10/1/2020
 
(a)
 
440

 
BAAT 2012-1 A4
 
3

 
1.03
%
 
12/15/2016
 
(a)
 
3

 
BACM 2006-2 A4
 
566

 
6.01
%
 
5/10/2045
 
(a)
 
570

 
BACM 2006-4 A4
 
826

 
5.59
%
 
7/10/2046
 
(a)
 
837

 
BAIDU INC
 
1,200

 
2.76
%
 
6/9/2019
 
(a)
 
1,197

 
BANK OF AMERICA
 
375

 
5.25
%
 
5/1/2018
 
(a)
 
407

 
BANK OF AMERICA CORP
 
115

 
6.32
%
 
8/1/2016
 
(a)
 
121

 
BANK OF AMERICA CORP
 
550

 
2.00
%
 
1/11/2018
 
(a)
 
555

 
BANK OF AMERICA CORP
 
1,080

 
1.71
%
 
8/25/2017
 
(a)
 
1,084

 
BANK OF AMERICA CORP
 
1,515

 
4.09
%
 
1/22/2025
 
(a)
 
1,510

 
BANK OF AMERICA CORP
 
970

 
1.76
%
 
6/5/2018
 
(a)
 
965

 
BANK OF MONTREAL
 
2,190

 
1.30
%
 
7/14/2017
 
(a)
 
2,199

 
BANK OF NEW YORK MELLON
 
980

 
2.08
%
 
8/1/2018
 
(a)
 
996

 
BANK OF NOVA SCOTIA
 
815

 
0.91
%
 
3/15/2016
 
(a)
 
815

 
BANK OF NOVA SCOTIA
 
1,215

 
1.30
%
 
7/21/2017
 
(a)
 
1,219

 
BANK OF NOVA SCOTIA
 
1,335

 
2.77
%
 
7/21/2021
 
(a)
 
1,369

 
BANQUE FED CRED MUTUEL 144A
 
2,660

 
2.49
%
 
10/29/2018
 
(a)
 
2,688

 
BANQUE FED CRED MUTUEL 144A
 
1,395

 
1.70
%
 
1/20/2017
 
(a)
 
1,408

 
BARCLAYS BANK PLC
 
660

 
4.87
%
 
9/22/2016
 
(a)
 
686

 
BARCLAYS BANK PLC
 
300

 
4.74
%
 
10/14/2020
 
(a)
 
329

 
BARCLAYS PLC
 
735

 
2.76
%
 
11/8/2019
 
(a)
 
736

 
BARCLAYS PLC
 
600

 
3.78
%
 
3/16/2025
 
(a)
 
586

 
BAXALTA INC 144A
 
1,110

 
2.90
%
 
6/23/2020
 
(a)
 
1,100

 
BAXALTA INC 144A
 
150

 
2.02
%
 
6/22/2018
 
(a)
 
148

 
BAXTER INTERNATIONAL INC
 
420

 
0.95
%
 
6/1/2016
 
(a)
 
420

 
BAYER US FINANCE LLC 144A
 
995

 
1.50
%
 
10/6/2017
 
(a)
 
998

 
BAYER US FINANCE LLC 144A
 
915

 
2.37
%
 
10/8/2019
 
(a)
 
923

 
BB&T CORPORATION
 
1,170

 
2.04
%
 
6/19/2018
 
(a)
 
1,177

 
BB&T CORPORATION
 
1,665

 
1.37
%
 
6/15/2018
 
(a)
 
1,671

 
BB&T CORPORATION
 
1,060

 
1.05
%
 
12/1/2016
 
(a)
 
1,060

 
BERKSHIRE HATHAWAY INC
 
55

 
2.18
%
 
8/15/2016
 
(a)
 
56

 
BG ENERGY CAPITAL PLC 144A
 
275

 
2.85
%
 
10/15/2016
 
(a)
 
279

 
BHP BILLITON FIN USA LTD
 
255

 
4.09
%
 
9/30/2023
 
(a)
 
243

 
BIOGEN INC
 
420

 
2.91
%
 
9/15/2020
 
(a)
 
422

 
BK TOKYO-MITSUBISHI UFJ 144A
 
915

 
3.89
%
 
9/9/2023
 
(a)
 
977

 
BK TOKYO-MITSUBISHI UFJ 144A
 
1,250

 
1.46
%
 
9/8/2017
 
(a)
 
1,244

 
BMWOT 2014-A A4
 
1,250

 
1.50
%
 
2/25/2021
 
(a)
 
1,248

 
BNP PARIBAS
 
985

 
2.66
%
 
8/20/2018
 
(a)
 
1,008


14


 
BOSTON PROPERTIES LP
 
220

 
3.21
%
 
9/1/2023
 
(a)
 
216

 
BPCE SA
 
2,005

 
2.48
%
 
12/10/2018
 
(a)
 
2,028

 
BPCE SA
 
1,140

 
1.63
%
 
1/26/2018
 
(a)
 
1,142

 
BPCE SA 144A
 
980

 
5.11
%
 
7/21/2024
 
(a)
 
1,010

 
BRITISH TELECOM PLC
 
390

 
1.62
%
 
6/28/2016
 
(a)
 
391

 
BRITISH TELECOM PLC
 
260

 
2.35
%
 
2/14/2019
 
(a)
 
263

 
BRIXMOR OPERATING PART
 
765

 
3.89
%
 
8/15/2022
 
(a)
 
774

 
BSCMS 2006 PW12 A4
 
807

 
5.88
%
 
9/11/2038
 
(a)
 
816

 
BSCMS 2006 PW13 A4
 
774

 
5.49
%
 
9/11/2041
 
(a)
 
785

 
BSCMS 2006-PW14 A4
 
280

 
5.10
%
 
12/11/2038
 
(a)
 
287

 
BSCMS 2006-T24 A4
 
851

 
5.47
%
 
10/12/2041
 
(a)
 
866

 
BURLINGTN NORTH SANTA FE
 
610

 
3.05
%
 
9/1/2022
 
(a)
 
616

 
BURLINGTN NORTH SANTA FE
 
440

 
3.71
%
 
9/1/2023
 
(a)
 
463

 
BURLINGTON NORTH SANTA FE
 
110

 
5.33
%
 
3/15/2018
 
(a)
 
121

 
CABMT 2014-1 A
 
425

 
0.68
%
 
3/16/2020
 
(a)
 
424

 
CAMDEN PROPERTY TRUST
 
885

 
4.32
%
 
6/15/2021
 
(a)
 
950

 
CANADIAN IMPERIAL BANK
 
1,595

 
0.83
%
 
7/18/2016
 
(a)
 
1,600

 
CANADIAN NATL RESOURCES
 
635

 
5.58
%
 
5/15/2017
 
(a)
 
654

 
CAPITAL ONE BANK USA NA
 
385

 
1.15
%
 
11/21/2016
 
(a)
 
385

 
CAPITAL ONE BANK USA NA
 
1,095

 
2.98
%
 
7/23/2021
 
(a)
 
1,099

 
CAPITAL ONE NA
 
385

 
1.67
%
 
2/5/2018
 
(a)
 
384

 
CARMX 2012-1 A4
 
149

 
1.25
%
 
6/15/2017
 
(a)
 
149

 
CARMX 2012-2 A4
 
160

 
1.16
%
 
12/15/2017
 
(a)
 
160

 
CARMX 2012-3 A3
 
21

 
0.52
%
 
7/17/2017
 
(a)
 
21

 
CARMX 2012-3 A4
 
785

 
0.79
%
 
4/16/2018
 
(a)
 
783

 
CARMX 2013-1 A3
 
81

 
0.60
%
 
10/16/2017
 
(a)
 
81

 
CARMX 2013-2 A3
 
270

 
0.64
%
 
1/16/2018
 
(a)
 
270

 
CARMX 2013-3 A3
 
378

 
0.97
%
 
4/16/2018
 
(a)
 
377

 
CARMX 2013-4 A3
 
552

 
0.80
%
 
7/16/2018
 
(a)
 
551

 
CARMX 2014-3 A3
 
1,775

 
1.16
%
 
6/17/2019
 
(a)
 
1,769

 
CARMX 2014-4 A3
 
260

 
1.26
%
 
11/15/2019
 
(a)
 
259

 
CARMX 2014-4 A4
 
155

 
1.82
%
 
7/15/2020
 
(a)
 
154

 
CARMX 2015-1 A3
 
945

 
1.39
%
 
11/15/2019
 
(a)
 
941

 
CARMX 2015-2 A3
 
645

 
1.38
%
 
3/16/2020
 
(a)
 
641

 
CARMX 2015-2 A4
 
330

 
1.82
%
 
3/15/2021
 
(a)
 
328

 
CARMX 2015-3 A3
 
655

 
1.64
%
 
5/15/2020
 
(a)
 
653

 
CARMX 2015-3 A4
 
475

 
1.99
%
 
2/16/2021
 
(a)
 
473

 
CARMX 2015-4 A3
 
880

 
1.57
%
 
11/16/2020
 
(a)
 
874

 
CATERPILLAR FINANCIAL SE
 
840

 
2.77
%
 
8/20/2021
 
(a)
 
841

 
CATERPILLAR INC
 
300

 
2.63
%
 
6/26/2022
 
(a)
 
296

 
CATHOLIC HEALTH INITIATI
 
670

 
3.02
%
 
11/1/2022
 
(a)
 
657

 
CATHOLIC HEALTH INITIATI
 
90

 
1.60
%
 
11/1/2017
 
(a)
 
90

 
CATHOLIC HEALTH INITIATI
 
755

 
2.59
%
 
8/1/2018
 
(a)
 
767

 
CC HOLDINGS GS V LLC/CRO
 
760

 
2.38
%
 
12/15/2017
 
(a)
 
763

 
CCCIT 2014-A2 A2
 
2,240

 
1.02
%
 
2/22/2019
 
(a)
 
2,243

 
CCCIT 2014-A4 A4
 
1,645

 
1.23
%
 
4/24/2019
 
(a)
 
1,648

 
CELGENE CORP
 
1,110

 
3.89
%
 
8/15/2023
 
(a)
 
1,158


15


 
CELGENE CORP
 
1,091

 
2.13
%
 
8/15/2018
 
(a)
 
1,100

 
CGCMT 2013-GC15 A1
 
404

 
1.39
%
 
9/10/2046
 
(a)
 
402

 
CGCMT 2014-GC19 A1
 
198

 
1.23
%
 
3/10/2047
 
(a)
 
194

 
CGCMT 2014-GC21 A1
 
97

 
1.26
%
 
5/10/2047
 
(a)
 
96

 
CGCMT 2014-GC25 A1
 
248

 
1.50
%
 
10/10/2047
 
(a)
 
245

 
CGCMT 2015-GC29 A1
 
572

 
1.47
%
 
4/10/2048
 
(a)
 
566

 
CGCMT 2015-GC33 A1
 
373

 
1.66
%
 
9/10/2058
 
(a)
 
369

 
CGCMT 2015-GC33 A4
 
135

 
3.70
%
 
9/10/2058
 
(a)
 
138

 
CHAIT 2014-A1 A
 
1,305

 
1.15
%
 
1/15/2019
 
(a)
 
1,305

 
CHAIT 2015-A2 A
 
1,380

 
1.59
%
 
2/18/2020
 
(a)
 
1,381

 
CITIGROUP INC
 
1,400

 
1.56
%
 
8/14/2017
 
(a)
 
1,402

 
CITIGROUP INC
 
860

 
1.85
%
 
11/24/2017
 
(a)
 
861

 
CITIGROUP INC
 
710

 
1.81
%
 
2/5/2018
 
(a)
 
712

 
CITIGROUP INC
 
300

 
1.72
%
 
4/27/2018
 
(a)
 
298

 
CITIZENS BANK NA/RI
 
750

 
2.30
%
 
12/3/2018
 
(a)
 
750

 
CME GROUP INC
 
1,015

 
2.99
%
 
9/15/2022
 
(a)
 
1,029

 
CNA FINANCIAL CORP
 
2,055

 
6.30
%
 
8/15/2016
 
(a)
 
2,172

 
CNA FINANCIAL CORP
 
825

 
5.28
%
 
8/15/2020
 
(a)
 
937

 
CNH 2014-C A3
 
690

 
1.06
%
 
11/15/2019
 
(a)
 
686

 
CNH 2014-C A4
 
735

 
1.67
%
 
9/15/2021
 
(a)
 
729

 
CNH 2015-B A3
 
1,110

 
1.39
%
 
7/15/2020
 
(a)
 
1,097

 
CNH 2015-B A4
 
330

 
1.90
%
 
4/15/2022
 
(a)
 
329

 
CNH 2015-C A3
 
1,450

 
1.66
%
 
11/16/2020
 
(a)
 
1,448

 
CNP 2005-A A4
 
255

 
5.04
%
 
8/1/2019
 
(a)
 
267

 
COCA COLA FEMSA SAB CV
 
495

 
4.37
%
 
2/15/2020
 
(a)
 
532

 
COMET 2015-A1 A
 
1,365

 
1.40
%
 
1/15/2021
 
(a)
 
1,358

 
COMM 2006-C8 A4
 
1,724

 
5.21
%
 
12/10/2046
 
(a)
 
1,762

 
COMM 2012-CR3 A3
 
540

 
2.85
%
 
10/15/2045
 
(a)
 
535

 
COMM 2014-CR17 A1
 
72

 
1.29
%
 
5/10/2047
 
(a)
 
72

 
COMM 2014-CR19 A1
 
537

 
1.43
%
 
8/10/2047
 
(a)
 
531

 
COMM 2014-CR20 A1
 
587

 
1.36
%
 
11/10/2047
 
(a)
 
573

 
COMM 2014-CR21 A1
 
133

 
1.51
%
 
12/10/2047
 
(a)
 
132

 
COMM 2014-LC17 A1
 
231

 
1.40
%
 
10/10/2047
 
(a)
 
229

 
COMM 2014-UBS4 A1
 
225

 
1.32
%
 
8/10/2047
 
(a)
 
223

 
COMM 2014-UBS6 A1
 
609

 
1.46
%
 
12/10/2047
 
(a)
 
603

 
COMM 2015-CR22 A1
 
303

 
1.58
%
 
3/10/2048
 
(a)
 
301

 
COMM 2015-CR24 A1
 
1,800

 
1.67
%
 
8/10/2055
 
(a)
 
1,788

 
COMM 2015-CR24 A5
 
190

 
3.64
%
 
8/10/2055
 
(a)
 
194

 
COMM 2015-CR26 A1
 
464

 
1.62
%
 
10/10/2048
 
(a)
 
460

 
COMM 2015-CR26 A4
 
1,435

 
3.60
%
 
10/10/2048
 
(a)
 
1,451

 
COMM 2015-LC23 A2
 
2,055

 
3.14
%
 
10/10/2053
 
(a)
 
2,112

 
COMMONWEALTH BANK AUST 144A
 
505

 
4.55
%
 
12/9/2025
 
(a)
 
501

 
COMMONWEALTH BK AUSTR NY
 
1,135

 
1.13
%
 
3/13/2017
 
(a)
 
1,135

 
COMMONWEALTH BK AUSTR NY
 
770

 
2.42
%
 
11/2/2020
 
(a)
 
766

 
COMMONWEALTH BK AUSTR NY
 
831

 
1.76
%
 
11/2/2018
 
(a)
 
828

 
COMMONWEALTH EDISON
 
235

 
1.94
%
 
9/1/2016
 
(a)
 
238

 
CONTINENTAL AIRLINES INC
 
138

 
4.54
%
 
7/12/2022
 
(a)
 
148


16


 
CONTL AIRLINES 2012-1
 
1,346

 
4.04
%
 
10/11/2025
 
(a)
 
1,396

 
CREDIT SUISSE NEW YORK
 
1,670

 
1.38
%
 
5/26/2017
 
(a)
 
1,664

 
CREDIT SUISSE NEW YORK
 
340

 
2.30
%
 
5/28/2019
 
(a)
 
341

 
CREDIT SUISSE NEW YORK
 
930

 
3.01
%
 
10/29/2021
 
(a)
 
932

 
CROWN CASTLE TOWERS LLC 144A
 
1,344

 
5.61
%
 
1/15/2040
 
(a)
 
1,468

 
CSAIL 2015-C3 A1
 
402

 
1.74
%
 
8/15/2048
 
(a)
 
397

 
CSAIL 2015-C4 A1
 
341

 
2.02
%
 
11/15/2048
 
(a)
 
340

 
CSAILL 2015-C1 A1
 
388

 
1.70
%
 
4/15/2050
 
(a)
 
385

 
CSMC 2006 C4 A3
 
706

 
5.41
%
 
9/15/2039
 
(a)
 
716

 
CVS HEALTH CORP
 
735

 
3.44
%
 
7/20/2022
 
(a)
 
759

 
CVS HEALTH CORP
 
1,680

 
1.90
%
 
7/20/2018
 
(a)
 
1,693

 
DAIMLER FINANCE NA LLC 144A
 
1,115

 
1.19
%
 
8/1/2018
 
(a)
 
1,113

 
DAIMLER FINANCE NA LLC 144A
 
1,480

 
2.92
%
 
3/10/2021
 
(a)
 
1,471

 
DAIMLER FINANCE NA LLC 144A
 
1,915

 
1.14
%
 
3/10/2017
 
(a)
 
1,905

 
DANAHER CORP
 
490

 
4.91
%
 
3/1/2019
 
(a)
 
548

 
DANAHER CORP
 
590

 
2.40
%
 
9/15/2020
 
(a)
 
594

 
DBUBS 2011-LC3A A2
 
757

 
3.63
%
 
8/10/2044
 
(a)
 
762

 
DCENT 2014-A3 A3
 
1,505

 
1.22
%
 
10/15/2019
 
(a)
 
1,504

 
DCENT 2014-A5 A
 
2,385

 
1.39
%
 
4/15/2020
 
(a)
 
2,380

 
DCENT 2015-A3 A
 
1,705

 
1.46
%
 
3/15/2021
 
(a)
 
1,691

 
DELPHI CORP
 
1,405

 
4.79
%
 
2/15/2023
 
(a)
 
1,495

 
DELTA AIR LINES
 
342

 
6.92
%
 
6/17/2021
 
(a)
 
384

 
DELTA AIR LINES
 
393

 
4.70
%
 
5/23/2019
 
(a)
 
416

 
DELTA AIR LINES 2011-1
 
192

 
5.01
%
 
10/15/2020
 
(a)
 
205

 
DELTA AIR LINES 2015-1AA
 
300

 
3.59
%
 
1/30/2029
 
(a)
 
307

 
DISCOVER BANK
 
750

 
2.01
%
 
2/21/2018
 
(a)
 
750

 
DISCOVER BANK
 
1,560

 
2.60
%
 
11/13/2018
 
(a)
 
1,576

 
DNB BANK ASA 144A
 
2,430

 
3.14
%
 
4/3/2017
 
(a)
 
2,496

 
EASTMAN CHEMICAL CO
 
525

 
2.38
%
 
6/1/2017
 
(a)
 
530

 
EATON VANCE CORP
 
790

 
3.61
%
 
6/15/2023
 
(a)
 
795

 
ELL 2011-A A1
 
654

 
2.05
%
 
9/1/2023
 
(a)
 
652

 
EMD FINANCE LLC 144A
 
365

 
1.72
%
 
3/19/2018
 
(a)
 
363

 
EMD FINANCE LLC 144A
 
1,385

 
3.05
%
 
3/19/2022
 
(a)
 
1,351

 
EMERSON ELECTRIC CO
 
645

 
5.04
%
 
10/15/2017
 
(a)
 
695

 
ENBRIDGE ENERGY PARTNERS
 
315

 
5.10
%
 
3/15/2020
 
(a)
 
326

 
ENBRIDGE ENERGY PARTNERS
 
805

 
4.40
%
 
9/15/2021
 
(a)
 
778

 
ENLINK MIDSTREAM PARTNER
 
190

 
2.96
%
 
4/1/2019
 
(a)
 
175

 
ENTERPRISE PRODUCTS OPER
 
780

 
4.18
%
 
2/15/2024
 
(a)
 
739

 
ENTERPRISE PRODUCTS OPER
 
305

 
2.66
%
 
10/15/2019
 
(a)
 
294

 
ENTERPRISE PRODUCTS OPER
 
810

 
1.70
%
 
5/7/2018
 
(a)
 
789

 
EOG RESOURCES INC
 
960

 
5.51
%
 
9/15/2017
 
(a)
 
1,040

 
EOG RESOURCES INC
 
920

 
3.92
%
 
2/1/2021
 
(a)
 
979

 
ERAC USA FINANCE COMPANY 144A
 
470

 
5.94
%
 
10/15/2017
 
(a)
 
511

 
ERAC USA FINANCE COMPANY 144A
 
305

 
2.72
%
 
3/15/2017
 
(a)
 
311

 
ERAC USA FINANCE LLC 144A
 
640

 
1.40
%
 
4/15/2016
 
(a)
 
642

 
ERAC USA FINANCE LLC 144A
 
110

 
2.78
%
 
11/1/2018
 
(a)
 
111

 
ESSEX PORTFOLIO LP
 
690

 
3.34
%
 
5/1/2023
 
(a)
 
676


17


 
EXELON CORP
 
645

 
1.56
%
 
6/9/2017
 
(a)
 
643

 
EXELON GENERATION CO LLC
 
405

 
2.96
%
 
1/15/2020
 
(a)
 
409

 
EXPERIAN FINANCE PLC 144A
 
420

 
2.39
%
 
6/15/2017
 
(a)
 
418

 
EXPRESS SCRIPTS INC
 
1,150

 
3.10
%
 
5/15/2016
 
(a)
 
1,162

 
EXXON MOBIL CORPORATION
 
765

 
1.31
%
 
3/6/2018
 
(a)
 
766

 
EXXON MOBIL CORPORATION
 
1,110

 
0.84
%
 
3/6/2022
 
(a)
 
1,092

 
FANNIE MAE
 
3,450

 
0.88
%
 
10/26/2017
 
(a)
 
3,440

 
FANNIE MAE
 
1,025

 
0.63
%
 
8/26/2016
 
(a)
 
1,027

 
FANNIE MAE
 
125

 
0.38
%
 
7/5/2016
 
(a)
 
125

 
FANNIE MAE
 
1,680

 
1.85
%
 
2/19/2019
 
(a)
 
1,714

 
FANNIE MAE
 
1,875

 
2.60
%
 
9/6/2024
 
(a)
 
1,912

 
FANNIE MAE
 
1,210

 
1.88
%
 
12/28/2020
 
(a)
 
1,210

 
FEDERAL HOME LOAN BANK
 
825

 
4.67
%
 
11/17/2017
 
(a)
 
889

 
FEDERAL HOME LOAN BANK
 
6,705

 
1.00
%
 
6/21/2017
 
(a)
 
6,704

 
FEDERAL HOME LOAN BANK
 
18,765

 
0.63
%
 
12/28/2016
 
(a)
 
18,724

 
FHL ARM
 
12

 
2.46
%
 
9/1/2032
 
(a)
 
12

 
FHL-15YR GOLD
 
32

 
4.36
%
 
1/1/2019
 
(a)
 
33

 
FHLMC 15YR GIANT
 
58

 
5.53
%
 
8/1/2022
 
(a)
 
63

 
FHLMC 15YR GOLD
 
14

 
4.84
%
 
10/1/2018
 
(a)
 
14

 
FHLMC 15YR GOLD
 
42

 
4.35
%
 
4/1/2019
 
(a)
 
43

 
FHLMC 15YR GOLD
 
65

 
5.89
%
 
3/1/2019
 
(a)
 
67

 
FHLMC 15YR GOLD
 
1

 
5.26
%
 
11/1/2018
 
(a)
 
1

 
FHLMC 15YR GOLD
 
1

 
5.31
%
 
3/1/2018
 
(a)
 
1

 
FHLMC 15YR GOLD
 
25

 
5.27
%
 
7/1/2020
 
(a)
 
26

 
FHLMC 15YR GOLD
 
43

 
5.24
%
 
9/1/2020
 
(a)
 
45

 
FHLMC 15YR GOLD
 
6

 
5.34
%
 
8/1/2020
 
(a)
 
6

 
FHLMC 15YR GOLD
 
97

 
5.22
%
 
8/1/2020
 
(a)
 
103

 
FHLMC 15YR GOLD
 
4

 
5.69
%
 
8/1/2021
 
(a)
 
5

 
FHLMC 15YR GOLD
 
34

 
4.65
%
 
10/1/2022
 
(a)
 
37

 
FHLMC 15YR GOLD
 
155

 
4.63
%
 
12/1/2023
 
(a)
 
169

 
FHLMC 15YR GOLD
 
308

 
3.79
%
 
5/1/2026
 
(a)
 
326

 
FHLMC 15YR GOLD
 
11

 
4.84
%
 
7/1/2025
 
(a)
 
11

 
FHLMC 15YR GOLD
 
143

 
4.21
%
 
7/1/2026
 
(a)
 
154

 
FHLMC ARM
 
43

 
2.61
%
 
11/1/2035
 
(a)
 
46

 
FHLMC ARM
 
17

 
2.35
%
 
7/1/2035
 
(a)
 
18

 
FHLMC ARM
 
103

 
2.45
%
 
3/1/2036
 
(a)
 
109

 
FHLMC ARM
 
7

 
6.34
%
 
8/1/2036
 
(a)
 
7

 
FHLMC ARM
 
3

 
5.79
%
 
10/1/2036
 
(a)
 
3

 
FHLMC ARM
 
68

 
5.53
%
 
12/1/2036
 
(a)
 
72

 
FHLMC ARM
 
49

 
5.78
%
 
11/1/2036
 
(a)
 
52

 
FHLMC ARM
 
230

 
2.29
%
 
2/1/2037
 
(a)
 
244

 
FHLMC ARM
 
55

 
2.21
%
 
2/1/2037
 
(a)
 
59

 
FHLMC ARM
 
162

 
2.65
%
 
2/1/2037
 
(a)
 
172

 
FHLMC ARM
 
120

 
2.28
%
 
1/1/2037
 
(a)
 
129

 
FHLMC ARM
 
856

 
2.31
%
 
10/1/2036
 
(a)
 
912

 
FHLMC ARM
 
85

 
2.58
%
 
10/1/2037
 
(a)
 
91

 
FHLMC GOLD
 
3

 
6.67
%
 
6/1/2032
 
(a)
 
3


18


 
FHLMC GOLD
 
9

 
6.48
%
 
6/1/2032
 
(a)
 
10

 
FHLMC GOLD
 
21

 
5.87
%
 
5/1/2017
 
(a)
 
22

 
FHLMC GOLD
 
17

 
4.84
%
 
11/1/2018
 
(a)
 
17

 
FHLMC GOLD
 
30

 
5.34
%
 
10/1/2032
 
(a)
 
34

 
FHLMC GOLD
 
57

 
4.49
%
 
11/1/2033
 
(a)
 
64

 
FHLMC GOLD
 
34

 
4.50
%
 
11/1/2033
 
(a)
 
38

 
FHLMC GOLD
 
7

 
4.58
%
 
9/1/2033
 
(a)
 
7

 
FHLMC GOLD
 
42

 
5.24
%
 
8/1/2038
 
(a)
 
48

 
FHLMC GOLD
 
338

 
4.53
%
 
6/1/2040
 
(a)
 
374

 
FHLMC GOLD
 
85

 
4.97
%
 
6/1/2040
 
(a)
 
95

 
FHLMC GOLD
 
548

 
4.95
%
 
12/1/2039
 
(a)
 
611

 
FHLMC GOLD
 
350

 
4.95
%
 
2/1/2040
 
(a)
 
391

 
FHLMC GOLD
 
196

 
4.94
%
 
1/1/2040
 
(a)
 
219

 
FHLMC GOLD
 
140

 
5.28
%
 
12/1/2036
 
(a)
 
160

 
FHLMC GOLD
 
131

 
5.26
%
 
9/1/2035
 
(a)
 
150

 
FHLMC GOLD
 
66

 
5.29
%
 
12/1/2028
 
(a)
 
75

 
FHLMC GOLD
 
375

 
5.26
%
 
2/1/2035
 
(a)
 
430

 
FHLMC GOLD
 
15

 
5.34
%
 
1/1/2038
 
(a)
 
17

 
FHLMC GOLD
 
25

 
5.26
%
 
9/1/2034
 
(a)
 
29

 
FHLMC GOLD
 
3,495

 
3.39
%
 
3/1/2045
 
(a)
 
3,615

 
FHLMC GOLD
 
2,473

 
3.39
%
 
9/1/2045
 
(a)
 
2,557

 
FHLMC GOLD
 
5,838

 
3.39
%
 
10/1/2045
 
(a)
 
6,037

 
FHLMC_ARM
 
14

 
2.15
%
 
1/1/2036
 
(a)
 
15

 
FHMS 5502 A2
 
2,269

 
1.43
%
 
8/25/2017
 
(a)
 
2,273

 
FHR 4448 JA
 
690

 
3.77
%
 
11/15/2036
 
(a)
 
735

 
FIFTH THIRD BANCORP
 
480

 
4.20
%
 
1/16/2024
 
(a)
 
501

 
FIFTH THIRD BANCORP
 
675

 
1.35
%
 
6/1/2017
 
(a)
 
674

 
FLORIDA GAS TRANSMISSION 144A
 
1,055

 
4.01
%
 
7/15/2022
 
(a)
 
1,038

 
FLORIDA GAS TRANSMISSION 144A
 
290

 
4.74
%
 
7/15/2025
 
(a)
 
272

 
FLORIDA POWER & LIGHT CO
 
1,560

 
3.12
%
 
12/1/2025
 
(a)
 
1,568

 
FNMA 15YR
 
14

 
6.38
%
 
5/1/2017
 
(a)
 
14

 
FNMA 15YR
 
13

 
5.26
%
 
7/1/2019
 
(a)
 
14

 
FNMA 15YR
 
3

 
5.41
%
 
3/1/2017
 
(a)
 
3

 
FNMA 15YR
 
32

 
4.80
%
 
11/1/2018
 
(a)
 
34

 
FNMA 15YR
 
19

 
4.29
%
 
12/1/2020
 
(a)
 
20

 
FNMA 15YR
 
32

 
4.75
%
 
5/1/2019
 
(a)
 
34

 
FNMA 15YR
 
32

 
5.60
%
 
3/1/2021
 
(a)
 
35

 
FNMA 15YR
 
187

 
4.67
%
 
10/1/2021
 
(a)
 
201

 
FNMA 15YR
 
5

 
5.57
%
 
1/1/2022
 
(a)
 
6

 
FNMA 15YR
 
5

 
5.28
%
 
2/1/2021
 
(a)
 
5

 
FNMA 15YR
 
13

 
5.23
%
 
5/1/2021
 
(a)
 
13

 
FNMA 15YR
 
93

 
5.23
%
 
3/1/2021
 
(a)
 
98

 
FNMA 15YR
 
110

 
5.10
%
 
5/1/2022
 
(a)
 
119

 
FNMA 15YR
 
119

 
5.11
%
 
4/1/2022
 
(a)
 
128

 
FNMA 15YR
 
17

 
5.12
%
 
9/1/2021
 
(a)
 
18

 
FNMA 15YR
 
12

 
5.16
%
 
9/1/2021
 
(a)
 
13

 
FNMA 15YR
 
9

 
5.15
%
 
9/1/2021
 
(a)
 
10


19


 
FNMA 15YR
 
21

 
5.12
%
 
8/1/2021
 
(a)
 
23

 
FNMA 15YR
 
3

 
5.47
%
 
8/1/2022
 
(a)
 
3

 
FNMA 15YR
 
32

 
5.56
%
 
5/1/2021
 
(a)
 
35

 
FNMA 15YR
 
51

 
5.14
%
 
3/1/2021
 
(a)
 
55

 
FNMA 15YR
 
48

 
4.32
%
 
7/1/2020
 
(a)
 
50

 
FNMA 15YR
 
424

 
5.10
%
 
2/1/2023
 
(a)
 
460

 
FNMA 15YR
 
135

 
4.67
%
 
6/1/2023
 
(a)
 
146

 
FNMA 15YR
 
58

 
4.67
%
 
5/1/2023
 
(a)
 
63

 
FNMA 15YR
 
6

 
4.83
%
 
6/1/2023
 
(a)
 
6

 
FNMA 15YR
 
220

 
5.07
%
 
6/1/2023
 
(a)
 
239

 
FNMA 15YR
 
152

 
5.49
%
 
3/1/2023
 
(a)
 
167

 
FNMA 15YR
 
46

 
5.06
%
 
5/1/2023
 
(a)
 
50

 
FNMA 15YR
 
33

 
4.72
%
 
5/1/2021
 
(a)
 
35

 
FNMA 15YR
 
2

 
4.67
%
 
4/1/2023
 
(a)
 
3

 
FNMA 15YR
 
23

 
4.66
%
 
1/1/2023
 
(a)
 
25

 
FNMA 15YR
 
87

 
4.74
%
 
5/1/2023
 
(a)
 
93

 
FNMA 15YR
 
56

 
5.12
%
 
11/1/2023
 
(a)
 
60

 
FNMA 15YR
 
33

 
5.10
%
 
2/1/2023
 
(a)
 
35

 
FNMA 15YR
 
675

 
4.66
%
 
1/1/2024
 
(a)
 
727

 
FNMA 15YR
 
98

 
5.10
%
 
12/1/2023
 
(a)
 
106

 
FNMA 15YR
 
9

 
4.68
%
 
2/1/2022
 
(a)
 
10

 
FNMA 15YR
 
206

 
4.66
%
 
3/1/2023
 
(a)
 
222

 
FNMA 15YR
 
122

 
5.48
%
 
2/1/2023
 
(a)
 
135

 
FNMA 15YR
 
45

 
4.76
%
 
12/1/2019
 
(a)
 
47

 
FNMA 15YR
 
801

 
4.74
%
 
12/1/2020
 
(a)
 
849

 
FNMA 15YR
 
178

 
4.69
%
 
9/1/2022
 
(a)
 
190

 
FNMA 15YR
 
60

 
4.21
%
 
10/1/2024
 
(a)
 
64

 
FNMA 15YR
 
85

 
4.69
%
 
12/1/2020
 
(a)
 
91

 
FNMA 15YR
 
149

 
4.19
%
 
9/1/2024
 
(a)
 
161

 
FNMA 15YR
 
70

 
4.17
%
 
12/1/2024
 
(a)
 
76

 
FNMA 15YR
 
52

 
4.17
%
 
11/1/2024
 
(a)
 
57

 
FNMA 15YR
 
16

 
4.65
%
 
5/1/2023
 
(a)
 
17

 
FNMA 15YR
 
522

 
4.17
%
 
11/1/2024
 
(a)
 
565

 
FNMA 15YR
 
32

 
5.18
%
 
5/1/2022
 
(a)
 
34

 
FNMA 15YR
 
20

 
4.19
%
 
9/1/2025
 
(a)
 
21

 
FNMA 15YR
 
34

 
3.34
%
 
1/1/2026
 
(a)
 
36

 
FNMA 15YR
 
595

 
4.17
%
 
8/1/2025
 
(a)
 
643

 
FNMA 15YR
 
186

 
3.34
%
 
8/1/2025
 
(a)
 
196

 
FNMA 15YR
 
192

 
4.65
%
 
6/1/2026
 
(a)
 
208

 
FNMA 15YR
 
70

 
3.77
%
 
9/1/2026
 
(a)
 
74

 
FNMA 15YR
 
42

 
4.64
%
 
9/1/2025
 
(a)
 
45

 
FNMA 15YR
 
226

 
3.34
%
 
1/1/2027
 
(a)
 
238

 
FNMA 15YR
 
485

 
3.34
%
 
1/1/2027
 
(a)
 
510

 
FNMA 15YR
 
209

 
3.34
%
 
12/1/2026
 
(a)
 
220

 
FNMA 15YR
 
1

 
3.77
%
 
7/1/2025
 
(a)
 
1

 
FNMA 15YR
 
215

 
4.17
%
 
10/1/2026
 
(a)
 
233

 
FNMA 15YR
 
48

 
3.78
%
 
5/1/2025
 
(a)
 
51


20


 
FNMA 15YR
 
1,329

 
3.77
%
 
11/1/2027
 
(a)
 
1,415

 
FNMA 15YR
 
310

 
3.34
%
 
12/1/2025
 
(a)
 
327

 
FNMA 15YR
 
241

 
3.77
%
 
11/1/2025
 
(a)
 
256

 
FNMA 15YR
 
393

 
3.77
%
 
10/1/2026
 
(a)
 
418

 
FNMA 15YR
 
445

 
3.78
%
 
1/1/2026
 
(a)
 
473

 
FNMA 15YR
 
333

 
3.77
%
 
1/1/2026
 
(a)
 
354

 
FNMA 15YR
 
1,623

 
4.19
%
 
4/1/2026
 
(a)
 
1,751

 
FNMA 15YR
 
86

 
4.17
%
 
4/1/2026
 
(a)
 
93

 
FNMA 15YR
 
261

 
4.22
%
 
7/1/2026
 
(a)
 
280

 
FNMA 15YR
 
48

 
3.34
%
 
12/1/2026
 
(a)
 
50

 
FNMA 15YR
 
295

 
4.19
%
 
1/1/2027
 
(a)
 
319

 
FNMA 15YR
 
14

 
3.34
%
 
3/1/2026
 
(a)
 
15

 
FNMA 15YR
 
99

 
3.34
%
 
3/1/2026
 
(a)
 
104

 
FNMA 15YR
 
17

 
4.33
%
 
6/1/2019
 
(a)
 
18

 
FNMA 15YR
 
42

 
3.33
%
 
2/1/2027
 
(a)
 
44

 
FNMA 15YR
 
475

 
3.33
%
 
3/1/2028
 
(a)
 
501

 
FNMA 15YR
 
906

 
3.33
%
 
11/1/2026
 
(a)
 
955

 
FNMA 15YR
 
1,624

 
2.91
%
 
3/1/2030
 
(a)
 
1,680

 
FNMA 15YR
 
1,314

 
2.91
%
 
9/1/2030
 
(a)
 
1,359

 
FNMA 15YR
 
1,272

 
2.91
%
 
7/1/2030
 
(a)
 
1,316

 
FNMA 15YR
 
1,320

 
2.91
%
 
7/1/2030
 
(a)
 
1,365

 
FNMA 15YR
 
2,066

 
2.91
%
 
4/1/2030
 
(a)
 
2,137

 
FNMA 15YR
 
28

 
3.34
%
 
7/1/2028
 
(a)
 
29

 
FNMA 15YR
 
483

 
2.91
%
 
11/1/2029
 
(a)
 
500

 
FNMA 15YR
 
555

 
2.91
%
 
3/1/2030
 
(a)
 
574

 
FNMA 15YR
 
376

 
2.91
%
 
2/1/2030
 
(a)
 
389

 
FNMA 15YR
 
1,758

 
2.91
%
 
9/1/2030
 
(a)
 
1,817

 
FNMA 20YR
 
3,580

 
3.36
%
 
6/1/2035
 
(a)
 
3,743

 
FNMA 30 YR
 
1

 
5.32
%
 
8/1/2028
 
(a)
 
1

 
FNMA 30 YR
 
3

 
6.66
%
 
8/1/2029
 
(a)
 
3

 
FNMA 30 YR
 
78

 
4.52
%
 
5/1/2033
 
(a)
 
86

 
FNMA 30 YR
 
223

 
4.52
%
 
3/1/2034
 
(a)
 
248

 
FNMA 30 YR
 
21

 
5.26
%
 
8/1/2034
 
(a)
 
24

 
FNMA 30 YR
 
28

 
4.88
%
 
12/1/2034
 
(a)
 
32

 
FNMA 30 YR
 
74

 
5.28
%
 
11/1/2034
 
(a)
 
85

 
FNMA 30 YR
 
196

 
5.26
%
 
2/1/2034
 
(a)
 
225

 
FNMA 30 YR
 
44

 
5.28
%
 
4/1/2035
 
(a)
 
50

 
FNMA 30 YR
 
17

 
4.90
%
 
1/1/2036
 
(a)
 
20

 
FNMA 30 YR
 
696

 
4.89
%
 
5/1/2035
 
(a)
 
786

 
FNMA 30 YR
 
86

 
4.91
%
 
4/1/2036
 
(a)
 
96

 
FNMA 30 YR
 
107

 
4.52
%
 
11/1/2033
 
(a)
 
119

 
FNMA 30 YR
 
3

 
4.94
%
 
5/1/2036
 
(a)
 
3

 
FNMA 30 YR
 
760

 
4.86
%
 
12/1/2035
 
(a)
 
864

 
FNMA 30 YR
 
30

 
5.69
%
 
11/1/2037
 
(a)
 
35

 
FNMA 30 YR
 
19

 
5.47
%
 
7/1/2036
 
(a)
 
23

 
FNMA 30 YR
 
48

 
5.58
%
 
8/1/2037
 
(a)
 
56

 
FNMA 30 YR
 
751

 
5.28
%
 
1/1/2036
 
(a)
 
856


21


 
FNMA 30 YR
 
85

 
2.45
%
 
8/1/2038
 
(a)
 
90

 
FNMA 30 YR
 
332

 
4.49
%
 
7/1/2035
 
(a)
 
371

 
FNMA 30 YR
 
1,290

 
4.93
%
 
6/1/2038
 
(a)
 
1,446

 
FNMA 30 YR
 
34

 
5.31
%
 
5/1/2038
 
(a)
 
39

 
FNMA 30 YR
 
24

 
4.90
%
 
3/1/2036
 
(a)
 
27

 
FNMA 30 YR
 
366

 
4.53
%
 
4/1/2040
 
(a)
 
405

 
FNMA 30 YR
 
226

 
4.89
%
 
8/1/2037
 
(a)
 
255

 
FNMA 30 YR
 
608

 
4.92
%
 
6/1/2040
 
(a)
 
682

 
FNMA 30 YR
 
27

 
4.90
%
 
4/1/2035
 
(a)
 
30

 
FNMA 30 YR
 
8

 
4.89
%
 
8/1/2037
 
(a)
 
9

 
FNMA 30 YR
 
17

 
4.90
%
 
8/1/2037
 
(a)
 
19

 
FNMA 30 YR
 
137

 
4.91
%
 
1/1/2036
 
(a)
 
155

 
FNMA 30 YR
 
1,042

 
4.16
%
 
2/1/2041
 
(a)
 
1,131

 
FNMA 30 YR
 
217

 
4.93
%
 
11/1/2039
 
(a)
 
243

 
FNMA 30 YR
 
624

 
4.92
%
 
6/1/2039
 
(a)
 
700

 
FNMA 30 YR
 
150

 
4.91
%
 
1/1/2038
 
(a)
 
168

 
FNMA 30 YR
 
498

 
4.92
%
 
12/1/2039
 
(a)
 
559

 
FNMA 30 YR
 
118

 
4.16
%
 
4/1/2041
 
(a)
 
128

 
FNMA 30 YR
 
396

 
4.90
%
 
1/1/2040
 
(a)
 
446

 
FNMA 30 YR
 
210

 
4.94
%
 
7/1/2040
 
(a)
 
235

 
FNMA 30 YR
 
75

 
3.77
%
 
2/1/2041
 
(a)
 
79

 
FNMA 30 YR
 
244

 
4.54
%
 
7/1/2041
 
(a)
 
270

 
FNMA 30 YR
 
9

 
5.30
%
 
3/1/2037
 
(a)
 
10

 
FNMA 30 YR
 
477

 
4.90
%
 
9/1/2038
 
(a)
 
538

 
FNMA 30 YR
 
51

 
4.88
%
 
8/1/2037
 
(a)
 
58

 
FNMA 30 YR
 
2

 
5.30
%
 
4/1/2036
 
(a)
 
2

 
FNMA 30 YR
 
3

 
5.30
%
 
6/1/2036
 
(a)
 
3

 
FNMA 30 YR
 
105

 
5.30
%
 
10/1/2038
 
(a)
 
119

 
FNMA 30 YR
 
129

 
5.31
%
 
2/1/2037
 
(a)
 
147

 
FNMA 30 YR
 
176

 
4.52
%
 
7/1/2035
 
(a)
 
195

 
FNMA 30 YR
 
301

 
5.29
%
 
3/1/2037
 
(a)
 
343

 
FNMA 30 YR
 
170

 
4.90
%
 
8/1/2037
 
(a)
 
192

 
FNMA 30 YR
 
257

 
5.30
%
 
9/1/2039
 
(a)
 
292

 
FNMA 30 YR
 
106

 
4.93
%
 
5/1/2039
 
(a)
 
119

 
FNMA 30 YR
 
2

 
4.88
%
 
12/1/2038
 
(a)
 
3

 
FNMA 30 YR
 
207

 
3.77
%
 
1/1/2041
 
(a)
 
220

 
FNMA 30 YR
 
905

 
3.77
%
 
10/1/2041
 
(a)
 
963

 
FNMA 30 YR
 
301

 
4.92
%
 
6/1/2038
 
(a)
 
338

 
FNMA 30 YR
 
642

 
3.77
%
 
3/1/2041
 
(a)
 
683

 
FNMA 30 YR
 
236

 
4.92
%
 
1/1/2037
 
(a)
 
265

 
FNMA 30 YR
 
292

 
3.77
%
 
12/1/2040
 
(a)
 
311

 
FNMA 30 YR
 
175

 
3.77
%
 
8/1/2042
 
(a)
 
186

 
FNMA 30 YR
 
23

 
5.27
%
 
12/1/2034
 
(a)
 
27

 
FNMA 30 YR
 
229

 
5.67
%
 
12/1/2032
 
(a)
 
264

 
FNMA 30 YR
 
643

 
5.26
%
 
3/1/2034
 
(a)
 
736

 
FNMA 30 YR
 
444

 
3.76
%
 
4/1/2045
 
(a)
 
473

 
FNMA 30 YR
 
140

 
3.76
%
 
2/1/2045
 
(a)
 
149


22


 
FNMA 30 YR
 
375

 
4.52
%
 
6/1/2041
 
(a)
 
416

 
FNMA 30 YR
 
121

 
5.68
%
 
8/1/2038
 
(a)
 
139

 
FNMA 30 YR
 
4

 
5.27
%
 
9/1/2038
 
(a)
 
5

 
FNMA 30 YR
 
761

 
3.78
%
 
7/1/2045
 
(a)
 
808

 
FNMA 30 YR
 
1,577

 
3.78
%
 
3/1/2045
 
(a)
 
1,674

 
FNMA 30 YR
 
766

 
3.77
%
 
9/1/2045
 
(a)
 
816

 
FNMA 30 YR
 
66

 
3.78
%
 
2/1/2045
 
(a)
 
70

 
FNMA 30YR
 
300

 
5.61
%
 
7/1/2032
 
(a)
 
349

 
FNMA ARM
 
392

 
2.74
%
 
12/1/2036
 
(a)
 
419

 
FNMA ARM
 
36

 
2.52
%
 
12/1/2035
 
(a)
 
38

 
FNMA ARM
 
28

 
2.59
%
 
12/1/2035
 
(a)
 
31

 
FNMA ARM
 
17

 
2.12
%
 
12/1/2035
 
(a)
 
18

 
FNMA ARM
 
79

 
2.31
%
 
12/1/2035
 
(a)
 
83

 
FNMA ARM
 
63

 
2.33
%
 
11/1/2035
 
(a)
 
67

 
FNMA ARM
 
135

 
2.30
%
 
8/1/2036
 
(a)
 
144

 
FNMA ARM
 
376

 
2.20
%
 
7/1/2036
 
(a)
 
399

 
FNMA ARM
 
12

 
6.08
%
 
9/1/2036
 
(a)
 
12

 
FNMA ARM
 
268

 
2.25
%
 
9/1/2037
 
(a)
 
285

 
FNMA ARM
 
654

 
2.07
%
 
12/1/2037
 
(a)
 
692

 
FNMA MEGA
 
474

 
5.13
%
 
12/1/2021
 
(a)
 
511

 
FNR 2005-69 AD
 
99

 
4.72
%
 
8/25/2035
 
(a)
 
105

 
FORD MOTOR CREDIT CO LLC
 
765

 
6.21
%
 
8/15/2017
 
(a)
 
835

 
FORD MOTOR CREDIT CO LLC
 
1,160

 
2.98
%
 
6/12/2017
 
(a)
 
1,168

 
FORD MOTOR CREDIT CO LLC
 
575

 
1.70
%
 
5/9/2016
 
(a)
 
577

 
FORD MOTOR CREDIT CO LLC
 
1,270

 
1.70
%
 
9/8/2017
 
(a)
 
1,263

 
FORDF 2014-1 A1
 
890

 
1.20
%
 
2/15/2019
 
(a)
 
887

 
FORDF 2015-1 A1
 
1,520

 
1.43
%
 
1/15/2020
 
(a)
 
1,509

 
FORDL 2013-B A4
 
251

 
0.96
%
 
10/15/2016
 
(a)
 
251

 
FORDL 2014-A A4
 
1,105

 
0.90
%
 
6/15/2017
 
(a)
 
1,104

 
FORDL 2014-B A4
 
430

 
1.10
%
 
11/15/2017
 
(a)
 
429

 
FORDO 2014-B A4
 
215

 
1.42
%
 
8/15/2019
 
(a)
 
215

 
FORDO 2014-C A3
 
480

 
1.06
%
 
5/15/2019
 
(a)
 
479

 
FORDO 2015-A A3
 
435

 
1.28
%
 
9/15/2019
 
(a)
 
435

 
FORDO 2015-A A4
 
435

 
1.65
%
 
6/15/2020
 
(a)
 
433

 
FORDO 2015-B A3
 
1,390

 
1.17
%
 
11/15/2019
 
(a)
 
1,380

 
FORDO 2015-B A4
 
605

 
1.59
%
 
8/15/2020
 
(a)
 
601

 
FREDDIE MAC
 
3,890

 
4.49
%
 
6/13/2018
 
(a)
 
4,234

 
FREDDIE MAC
 
4,885

 
3.50
%
 
3/27/2019
 
(a)
 
5,279

 
FREDDIE MAC
 
3,665

 
1.74
%
 
5/30/2019
 
(a)
 
3,699

 
FREDDIE MAC
 
4,000

 
1.00
%
 
7/28/2017
 
(a)
 
4,011

 
FREDDIE MAC
 
2,735

 
1.26
%
 
8/1/2019
 
(a)
 
2,719

 
FREDDIE MAC
 
8,980

 
0.87
%
 
10/14/2016
 
(a)
 
9,004

 
FREDDIE MAC
 
8,225

 
0.88
%
 
2/22/2017
 
(a)
 
8,248

 
GATX CORP
 
360

 
3.46
%
 
7/15/2016
 
(a)
 
370

 
GATX CORP
 
650

 
4.61
%
 
6/1/2021
 
(a)
 
686

 
GATX CORP
 
295

 
2.39
%
 
7/30/2018
 
(a)
 
296

 
GATX CORP
 
480

 
2.53
%
 
3/15/2019
 
(a)
 
477


23


 
GATX CORP
 
995

 
1.26
%
 
3/4/2017
 
(a)
 
989

 
GATX CORP
 
170

 
2.54
%
 
7/30/2019
 
(a)
 
169

 
GATX CORP
 
125

 
2.67
%
 
3/30/2020
 
(a)
 
123

 
GE CAPITAL INTL FUNDING 144A
 
4,475

 
0.96
%
 
4/15/2016
 
(a)
 
4,484

 
GE CAPITAL INTL FUNDING 144A
 
1,930

 
2.36
%
 
11/15/2020
 
(a)
 
1,923

 
GEDFT 2013-1 A
 
1,790

 
0.80
%
 
4/20/2018
 
(a)
 
1,790

 
GEDFT 2014-2 A
 
1,740

 
0.85
%
 
10/20/2019
 
(a)
 
1,737

 
GEMNT 2012-2 A
 
1,820

 
2.21
%
 
1/15/2022
 
(a)
 
1,827

 
GENERAL ELEC CAP CORP
 
426

 
4.71
%
 
2/11/2021
 
(a)
 
489

 
GENERAL ELEC CAP CORP
 
272

 
2.20
%
 
1/9/2020
 
(a)
 
275

 
GENERAL MOTORS FINL CO
 
1,415

 
3.61
%
 
4/10/2022
 
(a)
 
1,364

 
GENERAL MOTORS FINL CO
 
615

 
3.09
%
 
1/15/2019
 
(a)
 
621

 
GEORGE WASHINGTON UNIVER
 
980

 
3.43
%
 
9/15/2022
 
(a)
 
1,007

 
GEORGIA POWER COMPANY
 
2,180

 
0.76
%
 
8/15/2016
 
(a)
 
2,179

 
GEORGIA POWER COMPANY
 
1,605

 
1.96
%
 
12/1/2018
 
(a)
 
1,603

 
GILEAD SCIENCES INC
 
330

 
2.35
%
 
2/1/2020
 
(a)
 
333

 
GILEAD SCIENCES INC
 
390

 
3.48
%
 
2/1/2025
 
(a)
 
398

 
GILEAD SCIENCES INC
 
495

 
3.23
%
 
9/1/2022
 
(a)
 
503

 
GILEAD SCIENCES INC
 
480

 
1.84
%
 
9/4/2018
 
(a)
 
484

 
GILEAD SCIENCES INC
 
105

 
3.62
%
 
3/1/2026
 
(a)
 
107

 
GMALT 2015-3 A3
 
1,030

 
1.70
%
 
3/20/2019
 
(a)
 
1,024

 
GMALT 2015-3 A4
 
960

 
1.83
%
 
11/20/2019
 
(a)
 
952

 
GNMA 30 YR
 
2

 
5.68
%
 
7/15/2028
 
(a)
 
2

 
GNMA 30 YR
 
2

 
5.68
%
 
2/15/2028
 
(a)
 
2

 
GNMA 30 YR
 
3

 
5.68
%
 
7/15/2028
 
(a)
 
4

 
GNMA 30 YR
 
3

 
5.68
%
 
7/15/2028
 
(a)
 
4

 
GNMA 30 YR
 
10

 
5.68
%
 
7/15/2028
 
(a)
 
12

 
GNMA 30 YR
 
12

 
5.68
%
 
7/15/2028
 
(a)
 
14

 
GNMA 30 YR
 
7

 
5.68
%
 
7/15/2028
 
(a)
 
8

 
GNMA 30 YR
 

 
7.28
%
 
11/15/2025
 
(a)
 

 
GNMA 30 YR
 
4

 
7.81
%
 
7/15/2025
 
(a)
 
4

 
GNMA 30 YR
 
4

 
6.99
%
 
6/15/2025
 
(a)
 
5

 
GNMA 30 YR
 

 
7.27
%
 
8/15/2025
 
(a)
 

 
GNMA 30 YR
 
5

 
6.42
%
 
8/15/2025
 
(a)
 
6

 
GNMA 30 YR
 
2

 
7.40
%
 
10/15/2025
 
(a)
 
2

 
GNMA 30 YR
 
4

 
7.34
%
 
8/15/2025
 
(a)
 
4

 
GNMA 30 YR
 
3

 
6.76
%
 
11/15/2025
 
(a)
 
4

 
GNMA 30 YR
 
2

 
6.80
%
 
10/15/2025
 
(a)
 
3

 
GNMA 30 YR
 
34

 
5.91
%
 
11/15/2028
 
(a)
 
40

 
GNMA 30 YR
 
18

 
5.57
%
 
1/15/2029
 
(a)
 
21

 
GNMA 30 YR
 
5

 
6.60
%
 
6/15/2032
 
(a)
 
6

 
GNMA 30 YR
 
4

 
6.58
%
 
10/15/2031
 
(a)
 
4

 
GNMA 30 YR
 
109

 
3.36
%
 
1/15/2042
 
(a)
 
114

 
GNMA 30 YR PLAT
 
19

 
6.15
%
 
3/15/2032
 
(a)
 
23

 
GNMA 30 YR PLAT
 
323

 
5.20
%
 
7/15/2036
 
(a)
 
375

 
GNMA II
 
602

 
3.35
%
 
11/20/2044
 
(a)
 
631

 
GNMA II 15 YR
 
909

 
3.35
%
 
3/20/2026
 
(a)
 
952


24


 
GNMA II 30 YR
 
195

 
4.54
%
 
1/20/2035
 
(a)
 
216

 
GNMA II 30 YR
 
142

 
4.53
%
 
5/20/2035
 
(a)
 
157

 
GNMA II 30 YR
 
53

 
4.54
%
 
1/20/2036
 
(a)
 
59

 
GNMA II 30 YR
 
309

 
2.93
%
 
10/20/2044
 
(a)
 
318

 
GNMA II 30 YR
 
1,408

 
2.93
%
 
11/20/2044
 
(a)
 
1,447

 
GNMA II 30 YR
 
449

 
3.82
%
 
1/20/2045
 
(a)
 
471

 
GNMA ll 30 YR
 
450

 
4.52
%
 
12/20/2034
 
(a)
 
500

 
GNMA ll 30 YR
 
68

 
4.54
%
 
12/20/2035
 
(a)
 
75

 
GNMA ll 30 YR
 
600

 
4.52
%
 
10/20/2035
 
(a)
 
666

 
GNMA ll 30 YR
 
73

 
4.54
%
 
5/20/2036
 
(a)
 
81

 
GNMA ll 30 YR
 
24

 
4.53
%
 
10/20/2039
 
(a)
 
26

 
GNMA ll 30 YR
 
298

 
4.13
%
 
11/20/2040
 
(a)
 
326

 
GNMA ll 30 YR
 
2,806

 
4.53
%
 
11/20/2039
 
(a)
 
3,112

 
GNMA ll 30 YR
 
119

 
4.53
%
 
2/20/2040
 
(a)
 
132

 
GNMA ll 30 YR
 
1,342

 
4.53
%
 
3/20/2041
 
(a)
 
1,488

 
GNMA ll 30 YR
 
710

 
3.35
%
 
3/20/2043
 
(a)
 
744

 
GNMA ll 30 YR
 
549

 
3.77
%
 
8/20/2045
 
(a)
 
585

 
GNMA ll 30 YR
 
113

 
3.76
%
 
9/20/2045
 
(a)
 
121

 
GNR 2004-47 QV
 
506

 
5.90
%
 
9/16/2020
 
(a)
 
516

 
GNR 2012-32 FP
 
491

 
0.74
%
 
3/16/2042
 
(a)
 
494

 
GOLDCORP INC
 
1,515

 
2.19
%
 
3/15/2018
 
(a)
 
1,479

 
GOLDCORP INC
 
650

 
3.86
%
 
6/9/2021
 
(a)
 
612

 
GOLDMAN SACHS GROUP INC
 
2,643

 
5.84
%
 
9/1/2017
 
(a)
 
2,884

 
GOLDMAN SACHS GROUP INC
 
495

 
5.66
%
 
4/1/2018
 
(a)
 
545

 
GOLDMAN SACHS GROUP INC
 
235

 
2.84
%
 
7/19/2018
 
(a)
 
243

 
GOLDMAN SACHS GROUP INC
 
915

 
3.90
%
 
3/3/2024
 
(a)
 
951

 
GOLDMAN SACHS GROUP INC
 
640

 
2.55
%
 
10/23/2019
 
(a)
 
643

 
GOLDMAN SACHS GROUP INC
 
595

 
4.28
%
 
10/21/2025
 
(a)
 
596

 
GOVT NATL MORTG ASSN
 
4

 
8.84
%
 
7/15/2024
 
(a)
 
4

 
GOVT NATL MORTG ASSN
 
2

 
8.15
%
 
11/15/2024
 
(a)
 
2

 
GOVT NATL MORTG ASSN
 

 
8.96
%
 
1/15/2025
 
(a)
 

 
GOVT NATL MORTG ASSN
 
1

 
8.59
%
 
2/15/2025
 
(a)
 
2

 
GOVT NATL MORTG ASSN
 
1

 
8.03
%
 
3/15/2025
 
(a)
 
1

 
GOVT NATL MORTG ASSN
 
6

 
9.45
%
 
2/15/2019
 
(a)
 
6

 
GOVT NATL MORTG ASSN
 
1

 
9.45
%
 
4/15/2020
 
(a)
 
1

 
GOVT NATL MORTG ASSN
 
1

 
9.45
%
 
9/15/2020
 
(a)
 
1

 
GOVT NATL MORTG ASSN
 
5

 
8.09
%
 
12/15/2022
 
(a)
 
5

 
GOVT NATL MTG ASSN
 

 
9.45
%
 
10/15/2020
 
(a)
 

 
GOVT NATL MTG ASSN
 
2

 
9.18
%
 
9/15/2020
 
(a)
 
2

 
GOVT NATL MTG ASSN 1
 

 
9.45
%
 
10/15/2020
 
(a)
 

 
GOVT NATL MTG ASSN I
 
1

 
8.25
%
 
12/15/2024
 
(a)
 
1

 
GOVT NATL MTG ASSN I
 
6

 
8.46
%
 
10/15/2024
 
(a)
 
6

 
GOVT NATL MTG ASSN I
 
4

 
7.04
%
 
7/15/2025
 
(a)
 
5

 
GOVT NATL MTG ASSN I
 

 
9.46
%
 
9/15/2020
 
(a)
 

 
GOVT NATL MTG ASSN II
 
5

 
7.48
%
 
10/20/2026
 
(a)
 
6

 
GOVT NATL MTG ASSN II
 
2

 
7.54
%
 
8/20/2026
 
(a)
 
2

 
GOVT NATL MTG ASSN II 002038M
 

 
7.59
%
 
7/20/2025
 
(a)
 


25


 
GRAIN SPECTRUM FUNDING 144A
 
1,660

 
3.93
%
 
10/10/2018
 
(a)
 
1,707

 
GSMS 2012-GC6 A2
 
1,084

 
2.53
%
 
1/10/2045
 
(a)
 
1,092

 
GSMS 2014-GC20 A1
 
694

 
1.35
%
 
4/10/2047
 
(a)
 
689

 
GSMS 2015-GC32 A1
 
999

 
1.61
%
 
7/10/2048
 
(a)
 
990

 
GSMS 2015-GC32 A4
 
390

 
3.68
%
 
7/10/2048
 
(a)
 
400

 
GSMS 2015-GC34 A1
 
857

 
1.57
%
 
10/10/2048
 
(a)
 
844

 
GULF SOUTH PIPELINE
 
230

 
4.42
%
 
6/15/2022
 
(a)
 
209

 
HARLEY DAVIDSON FINL SERV 144A
 
175

 
3.85
%
 
3/15/2016
 
(a)
 
178

 
HARLEY-DAVIDSON FINL SER 144A
 
1,125

 
2.20
%
 
2/26/2020
 
(a)
 
1,110

 
HARLEY-DAVIDSON INC
 
1,170

 
3.51
%
 
7/28/2025
 
(a)
 
1,185

 
HAROT 2013-2 A4
 
250

 
0.66
%
 
6/17/2019
 
(a)
 
249

 
HAROT 2013-4 A3
 
696

 
0.69
%
 
9/18/2017
 
(a)
 
695

 
HAROT 2013-4 A4
 
160

 
1.04
%
 
2/18/2020
 
(a)
 
160

 
HAROT 2014-4 A3
 
510

 
0.99
%
 
9/17/2018
 
(a)
 
509

 
HAROT 2015-1 A3
 
1,320

 
1.05
%
 
10/15/2018
 
(a)
 
1,316

 
HAROT 2015-1 A4
 
570

 
1.33
%
 
11/16/2020
 
(a)
 
566

 
HART 2012-C A4
 
533

 
0.73
%
 
6/15/2018
 
(a)
 
533

 
HART 2013-A A4
 
645

 
0.75
%
 
9/17/2018
 
(a)
 
644

 
HART 2013-C A3
 
173

 
1.01
%
 
2/15/2018
 
(a)
 
173

 
HART 2014-A A3
 
729

 
0.79
%
 
7/16/2018
 
(a)
 
728

 
HART 2015-A A3
 
570

 
1.05
%
 
4/15/2019
 
(a)
 
568

 
HART 2015-A A4
 
300

 
1.38
%
 
7/15/2020
 
(a)
 
297

 
HEINEKEN NV 144A
 
1,125

 
1.41
%
 
10/1/2017
 
(a)
 
1,125

 
HERSHEY CO
 
1,145

 
3.82
%
 
12/1/2020
 
(a)
 
1,240

 
HOWARD HUGHES MEDICAL IN
 
355

 
3.37
%
 
9/1/2023
 
(a)
 
373

 
HSBC BANK PLC 144A
 
230

 
3.07
%
 
5/24/2016
 
(a)
 
233

 
HSBC HOLDINGS PLC
 
765

 
4.60
%
 
4/5/2021
 
(a)
 
858

 
HSBC USA INC
 
900

 
1.63
%
 
1/16/2018
 
(a)
 
902

 
HUMANA INC
 
1,580

 
2.63
%
 
10/1/2019
 
(a)
 
1,590

 
HUNT 2012-1 A4
 
223

 
1.18
%
 
6/15/2017
 
(a)
 
223

 
HUNT 2012-2 A4
 
485

 
0.68
%
 
1/16/2018
 
(a)
 
484

 
HUNTINGTON NATIONAL BANK
 
750

 
2.21
%
 
11/6/2018
 
(a)
 
750

 
HYATT HOTELS CORP
 
405

 
3.55
%
 
7/15/2023
 
(a)
 
391

 
HYUNDAI CAPITAL AMERICA 144A
 
1,795

 
3.73
%
 
4/6/2016
 
(a)
 
1,821

 
HYUNDAI CAPITAL AMERICA 144A
 
620

 
2.84
%
 
8/9/2018
 
(a)
 
634

 
HYUNDAI CAPITAL AMERICA 144A
 
395

 
1.46
%
 
2/6/2017
 
(a)
 
396

 
HYUNDAI CAPITAL AMERICA 144A
 
560

 
2.41
%
 
10/30/2018
 
(a)
 
561

 
IMPERIAL TOBACCO FINANCE 144A
 
1,005

 
3.74
%
 
7/21/2022
 
(a)
 
1,026

 
ING BANK NV 144A
 
1,125

 
1.80
%
 
3/16/2018
 
(a)
 
1,131

 
ING BANK NV 144A
 
900

 
2.46
%
 
3/16/2020
 
(a)
 
904

 
INTERCONTINENTALEXCHANGE
 
795

 
2.48
%
 
10/15/2018
 
(a)
 
806

 
INTERCONTINENTALEXCHANGE
 
1,380

 
2.76
%
 
12/1/2020
 
(a)
 
1,380

 
INVESCO FINANCE PLC
 
795

 
3.18
%
 
11/30/2022
 
(a)
 
785

 
INVESCO FINANCE PLC
 
675

 
3.88
%
 
1/30/2024
 
(a)
 
708

 
INVESCO FINANCE PLC
 
100

 
3.73
%
 
1/15/2026
 
(a)
 
101

 
JB HUNT TRANSPRT SVCS
 
225

 
2.40
%
 
3/15/2019
 
(a)
 
226

 
JCPL 2002-A A4
 
534

 
5.98
%
 
6/5/2019
 
(a)
 
553


26


 
JDOT 2014-A A3
 
3,197

 
0.92
%
 
4/16/2018
 
(a)
 
3,191

 
JDOT 2015-A A3
 
355

 
1.33
%
 
6/17/2019
 
(a)
 
353

 
JDOT 2015-A A4
 
495

 
1.66
%
 
12/15/2021
 
(a)
 
493

 
JDOT 2015-B A3
 
140

 
1.45
%
 
10/15/2019
 
(a)
 
139

 
JOHN DEERE CAPITAL CORP
 
115

 
1.31
%
 
3/12/2018
 
(a)
 
115

 
JOHN DEERE CAPITAL CORP
 
1,030

 
1.55
%
 
12/15/2017
 
(a)
 
1,031

 
JOHN DEERE CAPITAL CORP
 
510

 
2.08
%
 
3/10/2020
 
(a)
 
507

 
JOHN DEERE CAPITAL CORP
 
375

 
1.61
%
 
7/13/2018
 
(a)
 
377

 
JOHN DEERE CAPITAL CORP
 
210

 
2.45
%
 
9/11/2020
 
(a)
 
211

 
JPMBB 2013-C12 A1
 
120

 
1.09
%
 
7/15/2045
 
(a)
 
120

 
JPMBB 2014-C19 A1
 
82

 
1.28
%
 
4/15/2047
 
(a)
 
81

 
JPMBB 2014-C21 A1
 
91

 
1.34
%
 
8/15/2047
 
(a)
 
90

 
JPMBB 2014-C22 A1
 
268

 
1.47
%
 
9/15/2047
 
(a)
 
266

 
JPMBB 2014-C23 A1
 
210

 
1.67
%
 
9/15/2047
 
(a)
 
208

 
JPMBB 2014-C24 A1
 
291

 
1.56
%
 
11/15/2047
 
(a)
 
288

 
JPMBB 2015-C29 A1
 
384

 
1.65
%
 
5/15/2048
 
(a)
 
380

 
JPMBB 2015-C32 A1
 
1,883

 
1.53
%
 
11/15/2048
 
(a)
 
1,862

 
JPMCC 2006-LDP7 A4
 
1,431

 
6.09
%
 
4/17/2045
 
(a)
 
1,442

 
JPMCC 2007-LD12 A4
 
400

 
5.67
%
 
2/15/2051
 
(a)
 
417

 
JPMCC 2012-C8 A3
 
795

 
2.86
%
 
10/15/2045
 
(a)
 
787

 
JPMCC 2015-JP1 A1
 
285

 
1.96
%
 
1/15/2049
 
(a)
 
285

 
JPMORGAN CHASE & CO
 
550

 
5.63
%
 
4/23/2019
 
(a)
 
622

 
JPMORGAN CHASE & CO
 
1,000

 
4.18
%
 
1/24/2022
 
(a)
 
1,096

 
JPMORGAN CHASE & CO
 
1,540

 
1.99
%
 
8/15/2017
 
(a)
 
1,559

 
JPMORGAN CHASE & CO
 
1,125

 
1.03
%
 
2/26/2016
 
(a)
 
1,126

 
JPMORGAN CHASE & CO
 
600

 
3.45
%
 
5/1/2023
 
(a)
 
591

 
JPMORGAN CHASE & CO
 
435

 
1.64
%
 
5/15/2018
 
(a)
 
433

 
JPMORGAN CHASE & CO
 
775

 
2.28
%
 
1/23/2020
 
(a)
 
774

 
KAISER FOUNDATION HOSPIT
 
795

 
3.45
%
 
4/1/2022
 
(a)
 
813

 
KERN RIVER FUNDING CORP 144A
 
129

 
4.71
%
 
4/30/2018
 
(a)
 
134

 
KILROY REALTY LP
 
1,190

 
5.85
%
 
6/1/2020
 
(a)
 
1,355

 
KIMCO REALTY CORP
 
285

 
3.43
%
 
11/1/2022
 
(a)
 
285

 
KROGER CO/THE
 
415

 
1.20
%
 
10/17/2016
 
(a)
 
416

 
LBUBS 2006-C6 A4
 
1,009

 
5.30
%
 
9/15/2039
 
(a)
 
1,026

 
LBUBS06-C7 A3
 
210

 
5.25
%
 
11/15/2038
 
(a)
 
215

 
LEGG MASON INC
 
165

 
2.71
%
 
7/15/2019
 
(a)
 
166

 
LLOYDS BANK PLC
 
1,330

 
2.29
%
 
11/27/2018
 
(a)
 
1,338

 
LLOYDS BANK PLC
 
895

 
2.35
%
 
9/5/2019
 
(a)
 
901

 
LLOYDS BANKING GROUP PLC 144A
 
929

 
4.56
%
 
12/10/2025
 
(a)
 
936

 
LYONDELLBASELL IND NV
 
1,070

 
5.35
%
 
11/15/2021
 
(a)
 
1,209

 
MAGELLAN MIDSTREAM PARTNERS
 
300

 
6.03
%
 
7/15/2019
 
(a)
 
335

 
MANITOBA
 
1,205

 
1.30
%
 
4/3/2017
 
(a)
 
1,209

 
MANUF & TRADERS TRUST CO
 
1,900

 
1.25
%
 
1/30/2017
 
(a)
 
1,904

 
MANUF & TRADERS TRUST CO
 
1,550

 
2.30
%
 
1/30/2019
 
(a)
 
1,567

 
MARSH & MCLENNAN COS INC
 
640

 
2.53
%
 
10/15/2018
 
(a)
 
650

 
MARSH & MCLENNAN COS INC
 
1,050

 
2.37
%
 
3/6/2020
 
(a)
 
1,048

 
MASSMUTUAL GLOBAL FUNDIN 144A
 
648

 
2.47
%
 
11/23/2020
 
(a)
 
645


27


 
MBALT 2015-A A3
 
460

 
1.10
%
 
8/15/2017
 
(a)
 
460

 
MCDONALDS CORP
 
240

 
2.10
%
 
12/7/2018
 
(a)
 
240

 
MCKESSON CORP
 
220

 
3.24
%
 
3/1/2016
 
(a)
 
223

 
MEAD JOHNSON NUTRITION C
 
480

 
2.99
%
 
11/15/2020
 
(a)
 
483

 
MEDTRONIC INC
 
705

 
1.50
%
 
3/15/2018
 
(a)
 
708

 
MEDTRONIC INC
 
670

 
2.49
%
 
3/15/2020
 
(a)
 
679

 
MERCK & CO INC
 
2,075

 
0.70
%
 
5/18/2016
 
(a)
 
2,077

 
MERCK & CO INC
 
1,125

 
1.85
%
 
2/10/2020
 
(a)
 
1,131

 
MERRILL LYNCH & CO
 
1,000

 
5.97
%
 
8/28/2017
 
(a)
 
1,093

 
MERRILL LYNCH & CO
 
1,220

 
6.23
%
 
4/25/2018
 
(a)
 
1,361

 
MET LIFE GLOB FUNDING I 144A
 
555

 
1.51
%
 
1/10/2018
 
(a)
 
556

 
MICROSOFT CORP
 
1,335

 
2.65
%
 
11/3/2022
 
(a)
 
1,339

 
MIZUHO BANK LTD 144A
 
870

 
1.71
%
 
9/25/2017
 
(a)
 
870

 
MIZUHO BANK LTD 144A
 
1,089

 
2.65
%
 
9/25/2019
 
(a)
 
1,096

 
MIZUHO BANK LTD 144A
 
600

 
2.15
%
 
10/20/2018
 
(a)
 
602

 
MLCFC 2006-2 A4
 
134

 
6.07
%
 
6/12/2046
 
(a)
 
135

 
MLMT 2008-C1 A4
 
1,026

 
5.41
%
 
2/12/2051
 
(a)
 
1,083

 
MMAF 2009-AA A4 144A
 
38

 
3.51
%
 
1/15/2030
 
(a)
 
38

 
MORGAN STANLEY
 
1,255

 
2.12
%
 
4/25/2018
 
(a)
 
1,262

 
MORGAN STANLEY
 
1,265

 
1.59
%
 
4/25/2018
 
(a)
 
1,280

 
MORGAN STANLEY
 
3,155

 
1.18
%
 
1/24/2019
 
(a)
 
3,147

 
MORGAN STANLEY
 
1,300

 
4.07
%
 
4/23/2027
 
(a)
 
1,272

 
MSBAM 2013-C12 A1
 
353

 
1.33
%
 
10/15/2046
 
(a)
 
350

 
MSBAM 2014-C14 A1
 
239

 
1.26
%
 
2/15/2047
 
(a)
 
237

 
MSBAM 2014-C15 A1
 
206

 
1.33
%
 
4/15/2047
 
(a)
 
204

 
MSBAM 2014-C16 A1
 
109

 
1.31
%
 
6/15/2047
 
(a)
 
107

 
MSC 2006-HQ9 A4
 
381

 
5.70
%
 
7/12/2044
 
(a)
 
386

 
MSC 2007-T25 A3
 
104

 
5.40
%
 
11/12/2049
 
(a)
 
106

 
MSC 2007-T27 A4
 
1,323

 
5.57
%
 
6/11/2042
 
(a)
 
1,388

 
NALT 2015-A A3
 
2,175

 
1.40
%
 
6/15/2018
 
(a)
 
2,172

 
NALT 2015-A A4
 
1,895

 
1.59
%
 
5/17/2021
 
(a)
 
1,889

 
NALT 2015-B A4
 
1,830

 
1.71
%
 
4/15/2021
 
(a)
 
1,823

 
NAROT 2012-B A4
 
139

 
0.66
%
 
12/17/2018
 
(a)
 
139

 
NAROT 2013-A A4
 
1,245

 
0.75
%
 
7/15/2019
 
(a)
 
1,242

 
NAROT 2013-B A3
 
47

 
0.84
%
 
11/15/2017
 
(a)
 
47

 
NAROT 2014-B A3
 
835

 
1.11
%
 
5/15/2019
 
(a)
 
833

 
NAROT 2015-B A3
 
1,095

 
1.35
%
 
3/16/2020
 
(a)
 
1,089

 
NAROT 2015-B A4
 
630

 
1.80
%
 
1/17/2022
 
(a)
 
627

 
NATIONAL AUSTRALIA BANK 144A
 
1,500

 
1.30
%
 
6/30/2017
 
(a)
 
1,497

 
NATIONAL BANK OF CANADA
 
3,795

 
1.46
%
 
11/7/2017
 
(a)
 
3,778

 
NATIONAL RURAL UTIL COOP
 
670

 
2.37
%
 
6/15/2020
 
(a)
 
664

 
NATIONAL RURAL UTIL COOP
 
1,065

 
0.95
%
 
4/24/2017
 
(a)
 
1,062

 
NATIONWIDE BLDG SOCIETY 144A
 
1,530

 
2.37
%
 
1/21/2020
 
(a)
 
1,536

 
NATIONWIDE BLDG SOCIETY 144A
 
600

 
3.80
%
 
7/21/2025
 
(a)
 
626

 
NEW YORK LIFE GLOBAL FDG 144A
 
750

 
1.56
%
 
11/2/2018
 
(a)
 
746

 
NEW YORK LIFE GLOBAL FDG 144A
 
450

 
2.10
%
 
1/2/2019
 
(a)
 
455

 
NISOURCE FINANCE CORP
 
703

 
5.88
%
 
3/15/2018
 
(a)
 
779


28


 
NISOURCE FINANCE CORP
 
730

 
6.06
%
 
1/15/2019
 
(a)
 
842

 
NISSAN MOTOR ACCEPTANCE 144A
 
1,645

 
1.95
%
 
9/12/2017
 
(a)
 
1,657

 
NMOTR 2015-A A2
 
1,440

 
1.45
%
 
1/15/2020
 
(a)
 
1,430

 
NOBLE ENERGY INC
 
590

 
4.37
%
 
11/15/2024
 
(a)
 
530

 
NORDEA BANK AB 144A
 
700

 
4.56
%
 
5/13/2021
 
(a)
 
753

 
NORDEA BANK AB 144A
 
2,660

 
0.88
%
 
5/13/2016
 
(a)
 
2,661

 
NORDEA BANK AB 144A
 
600

 
1.88
%
 
9/17/2018
 
(a)
 
601

 
NORFOLK SOUTHERN CORP
 
1,270

 
5.74
%
 
1/15/2016
 
(a)
 
1,305

 
NORTHEAST UTILITIES
 
675

 
1.61
%
 
1/15/2018
 
(a)
 
675

 
NOVARTIS CAPITAL CORP
 
975

 
2.44
%
 
9/21/2022
 
(a)
 
966

 
O REILLY AUTOMOTIVE INC
 
410

 
3.81
%
 
6/15/2023
 
(a)
 
415

 
OMNICOM GROUP INC
 
1,665

 
5.82
%
 
4/15/2016
 
(a)
 
1,708

 
OMNICOM GROUP INC
 
825

 
3.59
%
 
5/1/2022
 
(a)
 
839

 
OMNICOM GROUP INC
 
225

 
3.66
%
 
11/1/2024
 
(a)
 
226

 
ONEOK PARTNERS LP
 
1,795

 
3.25
%
 
2/1/2016
 
(a)
 
1,820

 
ONEOK PARTNERS LP
 
240

 
3.37
%
 
9/15/2018
 
(a)
 
230

 
ONTARIO
 
1,250

 
2.90
%
 
7/16/2018
 
(a)
 
1,309

 
OREILLY AUTOMOTIVE INC
 
370

 
4.33
%
 
9/15/2021
 
(a)
 
401

 
PACCAR FINANCIAL CORP
 
2,125

 
1.60
%
 
3/15/2017
 
(a)
 
2,140

 
PACCAR FINANCIAL CORP
 
705

 
1.11
%
 
6/6/2017
 
(a)
 
702

 
PACCAR INC
 
510

 
1.75
%
 
8/14/2018
 
(a)
 
512

 
PECO ENERGY CO
 
1,225

 
4.98
%
 
3/1/2018
 
(a)
 
1,338

 
PEPSICO INC
 
1,315

 
3.45
%
 
3/1/2024
 
(a)
 
1,388

 
PEPSICO INC
 
510

 
1.25
%
 
4/30/2018
 
(a)
 
509

 
PEPSICO INC
 
565

 
1.87
%
 
4/30/2020
 
(a)
 
562

 
PEPSICO INC
 
720

 
1.01
%
 
10/13/2017
 
(a)
 
718

 
PHILIP MORRIS INTL INC
 
675

 
1.62
%
 
3/20/2017
 
(a)
 
682

 
PHILIP MORRIS INTL INC
 
1,380

 
1.25
%
 
11/9/2017
 
(a)
 
1,380

 
PNC BANK NA
 
715

 
0.63
%
 
1/28/2016
 
(a)
 
716

 
PNC BANK NA
 
1,110

 
1.13
%
 
1/27/2017
 
(a)
 
1,113

 
PNC FUNDING CORP
 
1,485

 
5.41
%
 
2/1/2017
 
(a)
 
1,579

 
PPL WEM HOLDINGS PLC 144A
 
555

 
3.89
%
 
5/1/2016
 
(a)
 
561

 
PRECISION CASTPARTS CORP
 
120

 
1.26
%
 
1/15/2018
 
(a)
 
120

 
PRICOA GLOBAL FUNDING 1 144A
 
900

 
1.90
%
 
9/21/2018
 
(a)
 
904

 
PRINCIPAL FINANCIAL GROU
 
165

 
1.85
%
 
11/15/2017
 
(a)
 
166

 
PRINCIPAL FINANCIAL GROUP
 
325

 
3.33
%
 
9/15/2022
 
(a)
 
326

 
PRINCIPAL LFE GLB FND II 144A
 
1,335

 
1.20
%
 
5/19/2017
 
(a)
 
1,332

 
PRINCIPAL LFE GLB FND II 144A
 
680

 
1.51
%
 
9/11/2017
 
(a)
 
681

 
PRINCIPAL LFE GLB FND II 144A
 
410

 
2.37
%
 
9/11/2019
 
(a)
 
413

 
PRINCIPAL LFE GLB FND II 144A
 
795

 
2.23
%
 
4/8/2020
 
(a)
 
788

 
PRINCIPAL LFE GLB FND II 144A
 
700

 
2.63
%
 
11/19/2020
 
(a)
 
700

 
PROGRESS ENERGY INC
 
255

 
4.16
%
 
1/15/2021
 
(a)
 
275

 
QUEBEC PROVINCE
 
1,620

 
4.33
%
 
5/14/2018
 
(a)
 
1,741

 
REGIONS BANK
 
1,365

 
2.25
%
 
9/14/2018
 
(a)
 
1,373

 
REINSURANCE GRP OF AMER
 
110

 
5.40
%
 
3/15/2017
 
(a)
 
116

 
REINSURANCE GRP OF AMER
 
930

 
4.64
%
 
6/1/2021
 
(a)
 
1,007

 
RIO TINTO FIN USA LTD
 
395

 
4.14
%
 
5/20/2021
 
(a)
 
396


29


 
RIO TINTO FIN USA LTD
 
495

 
3.86
%
 
9/20/2021
 
(a)
 
486

 
RIO TINTO FIN USA PLC
 
2,315

 
1.38
%
 
6/17/2016
 
(a)
 
2,309

 
RIO TINTO FIN USA PLC
 
55

 
1.65
%
 
8/21/2017
 
(a)
 
54

 
RIO TINTO FIN USA PLC
 
160

 
3.72
%
 
3/22/2022
 
(a)
 
152

 
RIO TINTO FIN USA PLC
 
160

 
3.18
%
 
8/21/2022
 
(a)
 
146

 
ROGERS COMMUNICATIONS IN
 
450

 
3.68
%
 
12/15/2025
 
(a)
 
444

 
ROPER INDUSTRIES INC
 
150

 
1.86
%
 
11/15/2017
 
(a)
 
150

 
ROPER INDUSTRIES INC
 
1,925

 
2.06
%
 
10/1/2018
 
(a)
 
1,923

 
ROYAL BANK OF CANADA
 
735

 
2.14
%
 
3/15/2019
 
(a)
 
743

 
ROYAL BANK OF CANADA
 
1,685

 
1.04
%
 
3/15/2019
 
(a)
 
1,682

 
RSBBC 2007-A A2
 
7

 
5.72
%
 
4/1/2018
 
(a)
 
7

 
S&P GLOBAL INC
 
375

 
2.48
%
 
8/15/2018
 
(a)
 
381

 
SAN DIEGO G & E
 
376

 
1.95
%
 
2/1/2022
 
(a)
 
372

 
SANTANDER UK GROUP HLDGS
 
660

 
2.90
%
 
10/16/2020
 
(a)
 
659

 
SANTANDER UK PLC
 
630

 
2.35
%
 
9/10/2019
 
(a)
 
635

 
SANTANDER UK PLC
 
1,035

 
2.00
%
 
8/24/2018
 
(a)
 
1,040

 
SANTANDER UK PLC 144A
 
600

 
4.81
%
 
11/7/2023
 
(a)
 
629

 
SBA TOWER TRUST 144A
 
3,660

 
2.92
%
 
12/15/2042
 
(a)
 
3,680

 
SBA TOWER TRUST 144A
 
2,200

 
2.26
%
 
4/15/2043
 
(a)
 
2,188

 
SBA TOWER TRUST 144A
 
120

 
3.21
%
 
10/15/2045
 
(a)
 
118

 
SCHLUMBERGER HLDGS CORP 144A
 
1,120

 
3.04
%
 
12/21/2020
 
(a)
 
1,107

 
SIMON PROPERTY GROUP LP
 
200

 
5.04
%
 
2/1/2020
 
(a)
 
229

 
SIMON PROPERTY GROUP LP
 
720

 
3.34
%
 
10/1/2024
 
(a)
 
733

 
SKANDINAVISKA ENSKILDA 144A
 
1,130

 
2.36
%
 
11/20/2018
 
(a)
 
1,139

 
SOUTHEAST SUPPLY HEADER 144A
 
900

 
4.43
%
 
6/15/2024
 
(a)
 
865

 
SOUTHERN CO
 
510

 
1.94
%
 
9/1/2016
 
(a)
 
515

 
SOUTHERN POWER CO
 
1,185

 
2.44
%
 
6/1/2020
 
(a)
 
1,154

 
SOUTHERN POWER CO
 
675

 
1.85
%
 
12/1/2017
 
(a)
 
676

 
SPECTRA ENERGY PARTNERS
 
365

 
3.00
%
 
9/25/2018
 
(a)
 
361

 
STANDARD CHARTERED PLC 144A
 
1,280

 
1.52
%
 
9/8/2017
 
(a)
 
1,273

 
STANDARD CHARTERED PLC 144A
 
1,545

 
2.30
%
 
4/17/2020
 
(a)
 
1,521

 
STANLEY BLACK & DECKER I
 
760

 
2.44
%
 
11/17/2018
 
(a)
 
766

 
STATOIL ASA
 
100

 
0.66
%
 
5/15/2018
 
(a)
 
99

 
SUMITOMO MITSUI BANKING 144A
 
1,450

 
3.76
%
 
1/12/2022
 
(a)
 
1,552

 
SUMITOMO MITSUI TR BK LT 144A
 
1,185

 
1.81
%
 
3/28/2018
 
(a)
 
1,182

 
SUNTRUST BANKS INC
 
305

 
3.58
%
 
4/15/2016
 
(a)
 
309

 
SUNTRUST BANKS INC
 
520

 
2.34
%
 
11/1/2018
 
(a)
 
524

 
SVENSKA HANDELSBANKEN AB
 
1,870

 
1.02
%
 
3/21/2016
 
(a)
 
1,872

 
SWEDBANK AB 144A
 
2,105

 
1.76
%
 
3/12/2018
 
(a)
 
2,107

 
SWEDISH EXPORT CREDIT
 
335

 
4.90
%
 
3/1/2017
 
(a)
 
356

 
SYNCT 2014-1 A
 
2,825

 
1.62
%
 
11/15/2020
 
(a)
 
2,818

 
SYNCT 2015-2 A
 
2,085

 
1.61
%
 
4/15/2021
 
(a)
 
2,072

 
SYNCT 2015-3 A
 
2,580

 
1.75
%
 
9/15/2021
 
(a)
 
2,562

 
TAKEDA PHARMACEUTICAL 144A
 
1,815

 
1.63
%
 
3/17/2017
 
(a)
 
1,822

 
TAOT 2013-A A4
 
530

 
0.69
%
 
11/15/2018
 
(a)
 
529

 
TAOT 2014-C A4
 
775

 
1.44
%
 
4/15/2020
 
(a)
 
774

 
TAOT 2015-C A4
 
480

 
1.69
%
 
12/15/2020
 
(a)
 
479


30


 
TECO FINANCE INC
 
170

 
3.98
%
 
3/15/2016
 
(a)
 
173

 
TECO FINANCE INC
 
1,095

 
0.93
%
 
4/10/2018
 
(a)
 
1,081

 
TELEFONICA EMISIONES SAU
 
120

 
4.89
%
 
2/16/2021
 
(a)
 
136

 
THERMO FISHER SCIENTIFIC
 
775

 
1.30
%
 
2/1/2017
 
(a)
 
777

 
THERMO FISHER SCIENTIFIC
 
240

 
2.40
%
 
2/1/2019
 
(a)
 
243

 
THERMO FISHER SCIENTIFIC
 
300

 
3.30
%
 
2/15/2022
 
(a)
 
304

 
THOMSON REUTERS CORP
 
510

 
0.88
%
 
5/23/2016
 
(a)
 
510

 
THOMSON REUTERS CORP
 
560

 
1.31
%
 
2/23/2017
 
(a)
 
559

 
THOMSON REUTERS CORP
 
480

 
1.66
%
 
9/29/2017
 
(a)
 
479

 
TORONTO-DOMINION BANK
 
550

 
1.41
%
 
4/30/2018
 
(a)
 
548

 
TORONTO-DOMINION BANK
 
1,045

 
0.87
%
 
4/30/2018
 
(a)
 
1,047

 
TORONTO-DOMINION BANK
 
260

 
2.51
%
 
12/14/2020
 
(a)
 
260

 
TOTAL CAPITAL INTL SA
 
400

 
0.75
%
 
1/25/2016
 
(a)
 
401

 
TOTAL CAPITAL SA
 
1,580

 
3.86
%
 
1/28/2021
 
(a)
 
1,714

 
TOYOTA MOTOR CREDIT CORP
 
1,200

 
1.45
%
 
1/12/2018
 
(a)
 
1,207

 
TOYOTA MOTOR CREDIT CORP
 
795

 
1.55
%
 
7/13/2018
 
(a)
 
798

 
TOYOTA MOTOR CREDIT CORP
 
1,140

 
2.81
%
 
7/13/2022
 
(a)
 
1,150

 
TRANS-ALLEGHENY INTERSTA 144A
 
1,380

 
3.85
%
 
6/1/2025
 
(a)
 
1,384

 
TRANS-CANADA PIPELINES
 
1,800

 
0.75
%
 
1/15/2016
 
(a)
 
1,806

 
TRANSURBAN FINANCE CO 144A
 
330

 
4.20
%
 
2/2/2026
 
(a)
 
327

 
TYSON FOODS INC
 
570

 
4.23
%
 
6/15/2022
 
(a)
 
607

 
TYSON FOODS INC
 
1,155

 
2.65
%
 
8/15/2019
 
(a)
 
1,166

 
UBS AG STAMFORD CT
 
1,205

 
1.38
%
 
8/14/2017
 
(a)
 
1,203

 
UNION BANK NA
 
750

 
2.11
%
 
6/16/2017
 
(a)
 
756

 
UNIONBANCAL CORP
 
340

 
3.44
%
 
6/18/2022
 
(a)
 
347

 
UNITED AIR 2015-1 A PTT
 
70

 
3.69
%
 
6/1/2024
 
(a)
 
70

 
UNITED TECHNOLOGIES CORP
 
1,560

 
1.79
%
 
5/4/2018
 
(a)
 
1,564

 
UNITEDHEALTH GROUP INC
 
355

 
1.86
%
 
11/15/2016
 
(a)
 
359

 
UNITEDHEALTH GROUP INC
 
1,335

 
2.91
%
 
3/15/2023
 
(a)
 
1,329

 
UNITEDHEALTH GROUP INC
 
450

 
1.41
%
 
12/15/2017
 
(a)
 
449

 
UNITEDHEALTH GROUP INC
 
840

 
1.89
%
 
7/16/2018
 
(a)
 
851

 
UNUM GROUP
 
235

 
5.13
%
 
9/15/2020
 
(a)
 
262

 
UNUM GROUP
 
120

 
4.01
%
 
3/15/2024
 
(a)
 
121

 
US BANCORP
 
255

 
3.44
%
 
2/1/2016
 
(a)
 
259

 
US BANCORP
 
1,320

 
2.18
%
 
11/15/2016
 
(a)
 
1,336

 
US TREASURY N/B
 
4,455

 
0.63
%
 
8/31/2017
 
(a)
 
4,436

 
US TREASURY N/B
 
9,325

 
0.63
%
 
4/30/2018
 
(a)
 
9,215

 
US TREASURY N/B
 
5,310

 
1.75
%
 
10/31/2020
 
(a)
 
5,318

 
US TREASURY N/B
 
1,255

 
1.50
%
 
5/31/2019
 
(a)
 
1,258

 
US TREASURY N/B
 
16,295

 
1.74
%
 
9/30/2019
 
(a)
 
16,479

 
US TREASURY N/B
 
11,860

 
0.88
%
 
11/15/2017
 
(a)
 
11,834

 
US TREASURY N/B
 
4,295

 
2.11
%
 
12/31/2021
 
(a)
 
4,333

 
US TREASURY N/B
 
8,960

 
1.51
%
 
5/31/2020
 
(a)
 
8,898

 
US TREASURY N/B
 
9,890

 
0.88
%
 
7/15/2018
 
(a)
 
9,843

 
US TREASURY N/B
 
4,100

 
0.63
%
 
7/31/2017
 
(a)
 
4,088

 
US TREASURY N/B
 
2,795

 
2.05
%
 
8/15/2025
 
(a)
 
2,745

 
US TREASURY N/B
 
13,440

 
1.40
%
 
8/31/2020
 
(a)
 
13,288


31


 
US TREASURY N/B
 
3,515

 
1.79
%
 
9/30/2022
 
(a)
 
3,460

 
US TREASURY N/B
 
2,665

 
0.89
%
 
10/15/2018
 
(a)
 
2,641

 
US TREASURY N/B
 
10,035

 
1.40
%
 
10/31/2020
 
(a)
 
9,883

 
US TREASURY N/B
 
3,675

 
2.26
%
 
11/15/2025
 
(a)
 
3,676

 
US TREASURY N/B
 
1,325

 
1.25
%
 
11/15/2018
 
(a)
 
1,325

 
US TREASURY N/B
 
16,580

 
1.63
%
 
11/30/2020
 
(a)
 
16,508

 
US TREASURY N/B
 
4,510

 
1.75
%
 
12/31/2020
 
(a)
 
4,508

 
US TREASURY N/B
 
640

 
1.00
%
 
12/31/2017
 
(a)
 
639

 
VALERO ENERGY CORP
 
780

 
7.92
%
 
3/15/2019
 
(a)
 
945

 
VALET 2013-1 A4
 
185

 
0.78
%
 
7/22/2019
 
(a)
 
184

 
VALET 2014-1 A3
 
155

 
0.92
%
 
10/22/2018
 
(a)
 
154

 
VALET 2014-2 A4
 
2,325

 
1.42
%
 
5/20/2021
 
(a)
 
2,277

 
VENTAS REALTY LP
 
450

 
1.26
%
 
4/17/2017
 
(a)
 
448

 
VENTAS REALTY LP/CAP CRP
 
1,135

 
3.34
%
 
8/15/2022
 
(a)
 
1,120

 
VENTAS REALTY LP/CAP CRP
 
645

 
1.55
%
 
9/26/2016
 
(a)
 
649

 
VERIZON COMMUNICATIONS
 
860

 
4.19
%
 
9/15/2020
 
(a)
 
936

 
VERIZON COMMUNICATIONS
 
1,125

 
1.35
%
 
6/9/2017
 
(a)
 
1,123

 
VERIZON COMMUNICATIONS
 
597

 
2.61
%
 
2/21/2020
 
(a)
 
605

 
VOLKSWAGEN GROUP AMERICA 144A
 
265

 
1.28
%
 
5/23/2017
 
(a)
 
259

 
VOLKSWAGEN INTL FIN NV 144A
 
215

 
2.39
%
 
3/22/2017
 
(a)
 
215

 
WASTE MANAGEMENT INC
 
475

 
2.58
%
 
9/1/2016
 
(a)
 
482

 
WBCMT 2006 C28 A4
 
792

 
5.49
%
 
10/15/2048
 
(a)
 
807

 
WEA FINANCE LLC/WESTFIEL 144A
 
1,360

 
3.24
%
 
10/5/2020
 
(a)
 
1,376

 
WEINGARTEN REALTY INVEST
 
820

 
3.60
%
 
4/15/2023
 
(a)
 
803

 
WEINGARTEN REALTY INVEST
 
485

 
4.34
%
 
1/15/2024
 
(a)
 
507

 
WELLS FARGO & COMPANY
 
775

 
2.08
%
 
5/8/2017
 
(a)
 
785

 
WELLS FARGO & COMPANY
 
1,500

 
3.99
%
 
8/15/2023
 
(a)
 
1,575

 
WELLS FARGO & COMPANY
 
1,400

 
1.40
%
 
9/8/2017
 
(a)
 
1,402

 
WESTPAC BANKING CORP
 
1,900

 
1.60
%
 
1/12/2018
 
(a)
 
1,911

 
WFCM 2015-C26 A1
 
991

 
1.47
%
 
2/15/2048
 
(a)
 
979

 
WFCM 2015-C29 A4
 
615

 
3.60
%
 
6/15/2048
 
(a)
 
624

 
WFCM 2015-C30 A1
 
110

 
1.67
%
 
9/15/2058
 
(a)
 
109

 
WFCM 2015-NXS1 A1
 
692

 
1.36
%
 
5/15/2048
 
(a)
 
685

 
WFCM 2015-SG1 A1
 
371

 
1.58
%
 
12/15/2047
 
(a)
 
369

 
WFCM 2015-SG1 A4
 
525

 
3.71
%
 
12/15/2047
 
(a)
 
539

 
WFRBS 2013-C16 A1
 
316

 
1.41
%
 
9/15/2046
 
(a)
 
315

 
WFRBS 2013-C17 A1
 
324

 
1.16
%
 
12/15/2046
 
(a)
 
322

 
WFRBS 2014-C19 A1
 
574

 
1.24
%
 
3/15/2047
 
(a)
 
569

 
WFRBS 2014-C22 A1
 
175

 
1.49
%
 
9/15/2057
 
(a)
 
174

 
WFRBS 2014-C23 A1
 
187

 
1.67
%
 
10/15/2057
 
(a)
 
186

 
WFRBS 2014-C24 A1
 
232

 
1.41
%
 
11/15/2047
 
(a)
 
230

 
WFRBS 2014-LC14 A1
 
368

 
1.20
%
 
3/15/2047
 
(a)
 
366

 
WHIRLPOOL CORP
 
465

 
2.41
%
 
3/1/2019
 
(a)
 
466

 
WHIRLPOOL CORP
 
340

 
1.35
%
 
3/1/2017
 
(a)
 
341

 
WHIRLPOOL CORP
 
400

 
1.65
%
 
11/1/2017
 
(a)
 
400

 
WILLIAMS PARTNERS LP
 
1,440

 
4.33
%
 
8/15/2022
 
(a)
 
1,133

 
WOART 2012-A A4
 
1,186

 
0.85
%
 
8/15/2018
 
(a)
 
1,186


32


 
WOART 2014-A A3
 
174

 
0.94
%
 
4/15/2019
 
(a)
 
174

 
WOART 2015-A A3
 
630

 
1.35
%
 
5/15/2020
 
(a)
 
627

 
WOLS 2014-A A4
 
925

 
1.37
%
 
1/15/2020
 
(a)
 
923

 
WOLS 2015-A A4
 
990

 
1.74
%
 
12/15/2020
 
(a)
 
983

 
WPP FINANCE 2010
 
1,305

 
3.78
%
 
9/19/2024
 
(a)
 
1,310

 
XLIT LTD
 
645

 
2.30
%
 
12/15/2018
 
(a)
 
647

 
Total fixed income securities at fair value
 


 
 
 
 
 
 
 
812,435

 
Adjustment to contract value
 
 
 
 
 
 
 
 
 
(9,431
)
 
Total fixed income securities at contract value
 
 
 
 
 
 
 
 
 
803,004

 
Wrapper agreements:
 
 
 
 
 
 
 
 
 
 
 
American General Life Insurance Company
 
 
 
 
 
 
 
(a)
 

 
The Prudential Insurance Company of America
 
 
 
 
 
 
 
(a)
 

*
State Street Bank & Trust Co.
 
 
 
 
 
 
 
(a)
 

 
Total synthetic investment contracts wrapper
 
 
 
 
 
 
 
 
 

 
Total fully benefit responsive contracts
 
 
 
 
 
 
 
 
 
803,004

 
Total investments
 
 
 
 
 
 
 
 
 
$
2,622,965

 
Notes receivable from participants:
 
 
 
 
 
 
 
 
 
 
*
Participant loans, interest rates ranging from 4.25% to 10.50% and maturing 2016 through 2020
 
 
 
 
 
 
 
(a)
 
$
62,700

* Party-in-interest to the Plan.
(a) Cost omitted for participant-directed investments.

See accompanying report of independent registered public accounting firm.



33



SIGNATURES
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.

J. C. PENNEY CORPORATION, INC.
SAVINGS, PROFIT-SHARING AND STOCK OWNERSHIP PLAN

By:    /s/ Scott Seale
Scott Seale
Plan Administrator

Date: June 27, 2016


34



INDEX TO EXHIBITS

Exhibit Number
Description
23.1*
Consent of Montgomery Coscia Greilich LLP

*     Filed herewith.


35


Exhibit 23.1

MONTGOMERY COSCIA GREILICH LLP
972.748.0300 p
972.748.0700 f


Consent of Independent Registered Public Accounting Firm

To the Benefit Plan Investment Committee,
Benefits Administration Committee, and
Human Resources Committee of
J.C. Penney Corporation, Inc. Savings,
Profit-Sharing and Stock Ownership Plan:

We consent to the incorporation by reference in the Registration Statement (No. 333-33343) on Form S-8 of J.C. Penney Company, Inc. of our report dated June 27, 2016, with respect to the statements of net assets available for benefits of the J.C. Penney Corporation Inc. Savings, Profit-Sharing and Stock Ownership 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, and the related supplemental schedule of Schedule H, line 4i - Schedule of Assets (Held at End of Year) as of December 31, 2015, which report appears in the December 31, 2015 annual report on Form 11-K of the J.C. Penney Corporation Inc. Savings, Profit-Sharing and Stock Ownership Plan.

/s/ Montgomery Coscia Greilich LLP

MONTGOMERY COSCIA GREILICH LLP
Plano, TX
June 27, 2016



 
 
 
2500 Dallas Parkway, Suite 300 Plano, Texas 75093
300 Throckmorton Street, Suite 520
Fort Worth, Texas 76102
600 Congress Avenue, Suite 300 Austin, Texas 78701





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