Date June 26, 2015 | /s/ RICK E. E. HANSEN |
Chevron Corporation, Plan Administrator | |
By: Rick E. Hansen, Assistant Secretary and Managing Counsel Chevron Corporation |
1 | Consent of Independent Registered Public Accounting Firm, dated June 23, 2015. |
2 | Financial Statements of the Chevron Employee Savings Investment Plan for the fiscal year ended December 31, 2014, prepared in accordance with the financial reporting requirements of ERISA. |
PAGE | |||
Report of Independent Registered Public Accounting Firm | 1-2 | ||
Financial Statements: | |||
Statements of Net Assets Available for Benefits as of December 31, 2014 and 2013 | 3 | ||
Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2014 | 4 | ||
Notes to Financial Statements | 5-16 | ||
Supplemental Schedules: | |||
Schedule H - Part IV, Line 4(i) - Schedule of Assets Held as of December 31, 2014 | 17-24 | ||
Schedule H - Part IV, Line 4(j) - Schedule of Reportable Transactions for the Year Ended December 31, 2014 | 25 |
2014 | 2013 | ||||||
Assets | |||||||
Investments - at fair value: | |||||||
Chevron Corporation common stock | $ | 8,870,850 | $ | 9,973,436 | |||
Registered investment companies | 8,599,191 | 8,781,841 | |||||
Vanguard Brokerage Option | 285,621 | 265,547 | |||||
Collective investment funds | 814,602 | 114,172 | |||||
Separate Account | 296,960 | 258,401 | |||||
Total investments | 18,867,224 | 19,393,397 | |||||
Receivables: | |||||||
Notes receivable from participants | 144,859 | 143,105 | |||||
Employer contributions | 0 | 4 | |||||
Participant contributions | 0 | 3 | |||||
Due from broker | 0 | 216 | |||||
Total receivables | 144,859 | 143,328 | |||||
Total assets | 19,012,083 | 19,536,725 | |||||
Liabilities | |||||||
Due to broker | 0 | 765 | |||||
Total liabilities | 0 | 765 | |||||
Net assets available | |||||||
for benefits | $ | 19,012,083 | $ | 19,535,960 | |||
The accompanying notes are an integral part of these financial statements. |
Additions | ||||||||||
Contributions: | ||||||||||
Employer contributions | $ | 316,211 | ||||||||
Participant contributions | 383,636 | |||||||||
Participant rollovers | 123,559 | |||||||||
Total contributions | 823,406 | |||||||||
Investment income | ||||||||||
Net depreciation in fair value of investments | (600,957) | |||||||||
Dividends | 621,887 | |||||||||
Interest | 11,099 | |||||||||
Total investment income | 32,029 | |||||||||
Interest on notes receivable from participants | 4,397 | |||||||||
Total additions | 859,832 | |||||||||
Deductions | ||||||||||
Distribution to participants | 1,378,019 | |||||||||
Administrative fees | 5,448 | |||||||||
Total deductions | 1,383,467 | |||||||||
Interfund transfers | (242) | |||||||||
Net decrease | (523,877) | |||||||||
Net assets available for benefits: | ||||||||||
Beginning of year | 19,535,960 | |||||||||
End of year | $ | 19,012,083 | ||||||||
The accompanying notes are an integral part of these financial statements. |
Level 1: | Inputs to the valuation methodology are unadjusted quoted prices for identical assets or liabilities in active markets that the Plan has the ability to access. |
Level 2: | Inputs to the valuation methodology include: |
• | Quoted prices for similar assets or liabilities in active markets; |
• | Quoted prices for identical or similar assets or liabilities in inactive markets; |
• | Inputs other than quoted prices that are observable for the asset or liability; and |
• | Inputs that are derived principally from or corroborated by observable market data by correlation or other means. |
Level 3: | Inputs to the valuation methodology are unobservable and significant to the fair value measurement. |
• | Common stocks and debt instruments are valued at the closing price reported on the active market on which the individual securities are traded. |
• | Shares of registered investment companies are valued at the net asset value of shares held by the Plan at year end. |
• | Collective investment funds are stated at fair value as determined by the issuers based on the unit values of the funds. Unit values are determined by dividing the fund’s net assets, which represents the unadjusted prices in active markets of the underlying investments, by the number of units outstanding at the valuation date. |
• | The Separate Account is stated at fair value as determined by the issuers based on the unit value of the Separate Account. Unit value is determined by dividing the Separate Account’s net assets, which represent the unadjusted prices in active markets of the underlying investments, by the number of units outstanding at the valuation date. While not publicly traded, the Separate Account comprised primarily of underlying securities represented by a variety of asset classes (i.e., cash equivalents, corporate bonds, mortgages, U.S. government and asset-backed securities) that are publicly traded on exchanges or over-the-counter, and price quotes for the assets held by the Separate Account are readily observable and available. |
Investments at Fair Value (in thousands) as of December 31, 2014 | ||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||
Common stocks | $ 8,870,850 | $ | — | $ | — | $ 8,870,850 | ||||||
Registered investment companies | 8,599,191 | — | — | 8,599,191 | ||||||||
Vanguard Brokerage Option | 285,621 | — | — | 285,621 | ||||||||
Collective investment funds | — | 814,602 | — | 814,602 | ||||||||
Separate Account: | ||||||||||||
Corporte bonds | — | 130,610 | — | 130,610 | ||||||||
Mortgages | — | 97,875 | — | 97,875 | ||||||||
U.S. government securities | — | 45,329 | — | 45,329 | ||||||||
Asset-backed securities | — | 14,999 | — | 14,999 | ||||||||
Cash equivalents | — | 6,431 | — | 6,431 | ||||||||
Receivables | — | 1,882 | — | 1,882 | ||||||||
Liabilities | — | (166 | ) | — | (166) | |||||||
— | 296,960 | — | 296,960 | |||||||||
Total investments, at fair value | $ 17,755,662 | $ | 1,111,562 | $ | — | $ 18,867,224 | ||||||
Investments at Fair Value (in thousands) as of December 31, 2013 | |||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common stocks | $ | 9,973,436 | $ | — | $ | — | $ | 9,973,436 | |||||||
Registered investment companies | 8,781,841 | — | — | 8,781,841 | |||||||||||
Vanguard Brokerage Option | 265,547 | — | — | 265,547 | |||||||||||
Collective investment funds | — | 114,172 | — | 114,172 | |||||||||||
Separate Account: | |||||||||||||||
Corporte bonds | — | 118,219 | — | 118,219 | |||||||||||
Mortgages | — | 93,891 | — | 93,891 | |||||||||||
U.S. government securities | — | 31,676 | — | 31,676 | |||||||||||
Asset-backed securities | — | 6,393 | — | 6,393 | |||||||||||
Cash equivalents | — | 7,013 | — | 7,013 | |||||||||||
Receivables | — | 1,349 | — | 1,349 | |||||||||||
Liabilities | — | (140 | ) | — | (140 | ) | |||||||||
— | 258,401 | — | 258,401 | ||||||||||||
Total investments, at fair value | $ | 19,020,824 | $ | 372,573 | $ | — | $ | 19,393,397 |
2014 | 2013 | |||||||||||
Assets | ||||||||||||
Investments - at fair value: | ||||||||||||
Chevron Corporation common stock | $ | 8,870,850 | $ | 9,973,436 | ||||||||
Total investments | 8,870,850 | 9,973,436 | ||||||||||
Receivables: | ||||||||||||
Employer contributions | — | 4 | ||||||||||
Participant contribution | — | 1 | ||||||||||
Total receivables | — | 5 | ||||||||||
Total assets | 8,870,850 | 9,973,441 | ||||||||||
Liabilities | — | — | ||||||||||
Net assets available for benefits | $ | 8,870,850 | $ | 9,973,441 |
Year Ended December 31, 2014 | ||||||||||
Additions | ||||||||||
Contributions: | ||||||||||
Employer contributions | $ | 315,671 | ||||||||
Participant contributions | 128,559 | |||||||||
Total contributions | 444,230 | |||||||||
Investment income (loss) | ||||||||||
Net depreciation in fair value of investments | (960,049) | |||||||||
Dividends | 261,112 | |||||||||
Total investment loss | (698,937) | |||||||||
Total additions, net | (254,707) | |||||||||
Deductions | ||||||||||
Distribution to participants | 615,452 | |||||||||
Administrative fees | 718 | |||||||||
Total deductions | 616,170 | |||||||||
Interfund transfers | (231,726) | |||||||||
Intra-plan transfers | 12 | |||||||||
Net decrease | (1,102,591) | |||||||||
Net assets available for benefits: | ||||||||||
Beginning of year | 9,973,441 | |||||||||
End of year | $ | 8,870,850 |
Fund Name | Fund Type | ||
Vanguard Target Retirement Income Trust Vanguard Target Retirement 2010 Trust Vanguard Target Retirement 2015 Trust Vanguard Target Retirement 2020 Trust Vanguard Target Retirement 2025 Trust Vanguard Target Retirement 2030 Trust Vanguard Target Retirement 2035 Trust Vanguard Target Retirement 2040 Trust Vanguard Target Retirement 2045 Trust Vanguard Target Retirement 2050 Trust Vanguard Target Retirement 2055 Trust Vanguard Target Retirement 2060 Trust | Balanced Balanced Balanced Balanced Balanced Balanced Balanced Balanced Balanced Balanced Balanced Balanced |
Fund Name | Fund Type | |
Chevron Leveraged ESOP Fund | Company stock | |
Chevron Corporation Common Stock Fund | Company stock | |
Vanguard Prime Money Market Fund | Money market | |
Vanguard Short-Term Bond Index Fund | Fixed income | |
Vanguard Total Bond Market Index Fund | Fixed income | |
SSgA U.S. Inflation Protected Bond Index Fund | Fixed income | |
Vanguard Institutional Index Fund | Large-cap stock | |
Vanguard Institutional Total Stock Market Index Fund | Growth and income stock | |
Vanguard REIT Index Fund | Real estate | |
Vanguard Total World Stock Index Fund | International stock | |
Vanguard Extended Market Index Fund | Small & mid-cap growth stock | |
Vanguard Small-Cap Index Fund | Small-cap value stock | |
Vanguard Developed Markets Index Fund | International stock | |
Vanguard Emerging Markets Stock Index Fund | International stock |
Fund Name | Fund Type | |
Dodge & Cox Income Separate Account | Fixed income | |
Vanguard Windsor II Fund | Large-cap value stock | |
Artisan Mid Cap Fund | Mid-cap growth stock | |
Neuberger Berman Genesis Fund | Small-cap blend stock | |
Vanguard PRIMECAP Fund | Large-cap growth stock | |
American Funds EuroPacific Growth Fund | International stock |
2014 | 2013 | |||||||||||||||
Participant | Non-Participant | Participant | Non-Participant | |||||||||||||
Directed | Directed | Directed | Directed | |||||||||||||
(thousands of dollars) | (thousands of dollars) | |||||||||||||||
Chevron Corporation Common Stock | $ | — | $ | 8,870,850 | $ | — | $ | 9,973,436 | ||||||||
Vanguard Total Bond Market Index Bond Fund | 1,142,242 | — | 1,041,743 | — | ||||||||||||
Vanguard Prime Money Market Fund | 966,234 | — | 1,142,279 | — | ||||||||||||
Vanguard Institutional Index Fund | 1,663,356 | — | 1,533,420 | — |
Participant | Non-Participant | |||||||||||||
Directed | Directed | Total | ||||||||||||
(thousands of dollars) | ||||||||||||||
Common stocks | $ | — | $ | (960,049 | ) | $ | (960,049 | ) | ||||||
Registered investment companies | 314,854 | — | 314,854 | |||||||||||
Collective investment fund | 38,762 | — | 38,762 | |||||||||||
Separate Account: | ||||||||||||||
Corporate bonds | 4,229 | — | 4,229 | |||||||||||
Mortgages | (252 | ) | — | (252 | ) | |||||||||
U.S. government securities | 1,511 | — | 1,511 | |||||||||||
Asset-backed securities | (12 | ) | — | (12 | ) | |||||||||
Total Separate Account | 5,476 | — | 5,476 | |||||||||||
Net appreciation (depreciation) in fair value of investments | $ | 359,092 | $ | (960,049 | ) | $ | (600,957 | ) |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
COMMON STOCK | ||||||||||||||||
* | Chevron Corporation | Common Stock | 79,076,930 | $ 4,664,885 | $ 8,870,850 | |||||||||||
TOTAL COMMON STOCK | 8,870,850 | |||||||||||||||
REGISTERED INVESTMENT COMPANIES | ||||||||||||||||
* | Vanguard Small Cap Index Fund | 1,251,166 | 195,454 | 201,776 | ||||||||||||
* | Vanguard REIT Index Fund | 4,533,234 | 75,505 | 80,556 | ||||||||||||
* | Vanguard Emerging Market Stock Index Fund | 2,631,989 | 69,992 | 66,563 | ||||||||||||
* | Vanguard Institutional Index Fund | 8,815,751 | 1,200,661 | 1,663,356 | ||||||||||||
* | Vanguard Total Bond Market Index Fund | 105,082,050 | 1,147,285 | 1,142,242 | ||||||||||||
* | Vanguard Prime Money Market Fund | 966,233,579 | 966,234 | 966,234 | ||||||||||||
* | Vanguard PRIMECAP Fund | 8,908,005 | 709,180 | 949,148 | ||||||||||||
* | Vanguard Developed Markets Index Fund | 33,278,916 | 691,847 | 633,963 | ||||||||||||
* | Vanguard Windsor II Fund | 9,796,185 | 539,033 | 648,507 | ||||||||||||
* | Vanguard Total Stock Market Index Fund | 13,552,526 | 474,043 | 634,123 | ||||||||||||
* | Vanguard Extended Market Index Fund | 3,417,907 | 408,949 | 561,767 | ||||||||||||
* | Vanguard Short-Term Bond Fund Index | 24,253,914 | 256,631 | 254,181 | ||||||||||||
* | Vanguard World Stock Fund | 331,263 | 39,228 | 40,623 | ||||||||||||
Neuberger Berman Genesis Fund | 4,969,477 | 243,824 | 281,272 | |||||||||||||
American Funds EuroPacific Growth Fund | 5,556,234 | 229,777 | 261,643 | |||||||||||||
Artisan Mid Cap Fund | 4,692,717 | 180,341 | 213,237 | |||||||||||||
TOTAL REGISTERED INVESTMENT COMPANIES | 8,599,191 | |||||||||||||||
* | VANGUARD BROKERAGE OPTION | — | 285,621 | |||||||||||||
COLLECTIVE INVESTMENT FUNDS | ||||||||||||||||
* | Vanguard Target Date Retirement Trust I | 867,121 | 37,565 | 38,925 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2010 | 861,211 | 35,579 | 37,170 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2015 | 2,866,472 | 118,794 | 124,606 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2020 | 5,449,583 | 226,151 | 237,874 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2025 | 3,743,775 | 152,841 | 161,244 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2030 | 1,593,832 | 64,588 | 68,136 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2035 | 1,049,681 | 42,532 | 45,105 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2040 | 859,716 | 35,247 | 37,587 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2045 | 632,439 | 26,072 | 27,568 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2050 | 340,999 | 14,123 | 14,956 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2055 | 77,490 | 3,977 | 4,148 | ||||||||||||
* | Vanguard Target Date Retirement Trust 2060 | 88,217 | 2,364 | 2,478 | ||||||||||||
SSgA Inflation Prot Bond Index | 1,141,717 | 14,986 | 14,805 | |||||||||||||
TOTAL COLLECTIVE INVESTMENT FUNDS | 814,602 | |||||||||||||||
SEPARATE ACCOUNT | ||||||||||||||||
Corporate bonds | ||||||||||||||||
21st Century Fox America Company | Guaranty 02/41 6.150% | 295,000 | 336 | 375 | ||||||||||||
22nd Century Fox America Company | Guaranty 03/37 6.150% | 290,000 | 325 | 363 | ||||||||||||
23rd Century Fox America Company | Guaranty 11/37 6.650% | 80,000 | 93 | 107 | ||||||||||||
24th Century Fox America Company | Guaranty 12/34 6.200% | 70,000 | 78 | 89 | ||||||||||||
25th Century Fox America Company | Guaranty 12/35 6.400% | 285,000 | 321 | 372 | ||||||||||||
Anthem Inc | Sr Unsecured 02/19 7.000% | 685,000 | 863 | 807 | ||||||||||||
Anthem Inc | Sr Unsecured 06/17 5.875% | 160,000 | 189 | 176 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
AT&T Corp Company | Guaranty 11/31 8.000% | 1,550,000 | $ | 2,289 | $ | 2,284 | ||||||||||
AT&T Inc | Sr Unsecured 09/40 5.350% | 85,000 | 96 | 92 | ||||||||||||
Bank of America Corp Capital Trust XI Limited | Guaranty 05/36 6.625% | 2,470,000 | 2,736 | 3,010 | ||||||||||||
Bank of America Corp | Sr Unsecured 06/19 7.625% | 1,525,000 | 1,746 | 1,843 | ||||||||||||
Bank of America Corp | Sr Unsecured 07/20 5.625% | 400,000 | 460 | 455 | ||||||||||||
Bank of America Corp | Subordinated 08/24 4.200% | 400,000 | 400 | 407 | ||||||||||||
Bank One Capital III | Limited Guaranty 09/30 8.750% | 450,000 | 619 | 650 | ||||||||||||
Barclays | Plc Subordinated 09/24 4.375% | 1,450,000 | 1,447 | 1,397 | ||||||||||||
Becton Dickinson and Co | Sr Unsecured 12/24 3.734% | 375,000 | 376 | 386 | ||||||||||||
BNP Paribas | 10/24 4.250% | 2,150,000 | 2,145 | 2,172 | ||||||||||||
BNSF Railway Co | 2007 1 P Pass Thru Ce 04/24 5.996% | 451,728 | 529 | 508 | ||||||||||||
Boston Properties LP | Sr Unsecured 02/23 3.850% | 250,000 | 249 | 260 | ||||||||||||
Boston Properties LP | Sr Unsecured 02/24 3.800% | 375,000 | 374 | 385 | ||||||||||||
Boston Properties LP | Sr Unsecured 05/21 4.125% | 955,000 | 1,034 | 1,017 | ||||||||||||
Boston Properties LP | Sr Unsecured 10/19 5.875% | 475,000 | 546 | 544 | ||||||||||||
Boston Properties LP | Sr Unsecured 11/18 3.700% | 280,000 | 293 | 295 | ||||||||||||
Boston Properties LP | Sr Unsecured 11/20 5.625% | 545,000 | 634 | 622 | ||||||||||||
Boston Scientific Corp | Sr Unsecured 01/20 6.000% | 1,240,000 | 1,439 | 1,397 | ||||||||||||
Boston Scientific Corp | Sr Unsecured 06/16 6.400% | 1,085,000 | 1,253 | 1,161 | ||||||||||||
Boston Scientific Corp | Sr Unsecured 11/15 6.250% | 145,000 | 161 | 151 | ||||||||||||
Burlingtn No | SF 06 1 TR Pass Thru Ce 01/24 5.720% | 166,761 | 196 | 190 | ||||||||||||
Burlingtn No | SF 06 2 TR Pass Thru Ce 04/24 5.629% | 233,847 | 273 | 262 | ||||||||||||
Burlingtn No | SF 99 2 TR Pass Thru Ce 01/21 7.570% | 124,143 | 149 | 142 | ||||||||||||
Burlingtn North Santa Fe | Sr Unsecured 09/22 3.050% | 575,000 | 576 | 579 | ||||||||||||
Burlingtn North Santa Fe | Sr Unsecured 09/23 3.850% | 875,000 | 872 | 923 | ||||||||||||
Burlingtn North Santa Fe | Sr Unsecured 10/19 4.700% | 750,000 | 857 | 829 | ||||||||||||
Capital One Financial Co | Sr Unsecured 06/23 3.500% | 1,545,000 | 1,546 | 1,561 | ||||||||||||
Capital One Financial Co | Sr Unsecured 07/21 4.750% | 1,250,000 | 1,352 | 1,378 | ||||||||||||
Cemex Finance LLC | Sr Secured 144A 04/24 6.000% | 575,000 | 576 | 561 | ||||||||||||
Cemex Sab De Cv | Sr Secured 144A 01/21 7.250% | 275,000 | 290 | 288 | ||||||||||||
Cemex Sab De Cv | Sr Secured 144A 12/19 6.500% | 1,375,000 | 1,375 | 1,409 | ||||||||||||
Cigna Corp | Sr Unsecured 01/33 VAR | 260,000 | 339 | 346 | ||||||||||||
Cigna Corp | Sr Unsecured 03/23 7.650% | 270,000 | 344 | 345 | ||||||||||||
Cigna Corp | Sr Unsecured 05/19 8.500% | 740,000 | 960 | 915 | ||||||||||||
Cigna Corp | Sr Unsecured 05/27 7.875% | 290,000 | 385 | 396 | ||||||||||||
Cigna Corp | Sr Unsecured 11/36 6.150% | 540,000 | 638 | 673 | ||||||||||||
Citigroup Inc | Capital XIII Preferred Stock 10/40 Var | 107,450 | 2,874 | 2,856 | ||||||||||||
Citigroup Inc | Sr Unsecured 05/18 VAR | 1,080,000 | 1,016 | 1,116 | ||||||||||||
Citigroup Inc | Sr Unsecured 11/17 6.125% | 275,000 | 315 | 307 | ||||||||||||
Comcast Corp Company | Guaranty 02/18 5.875% | 680,000 | 801 | 765 | ||||||||||||
Comcast Corp Company | Guaranty 05/18 5.700% | 25,000 | 29 | 28 | ||||||||||||
Cox Communications Inc | Sr Unsecured 144A 01/19 9.375% | 1,400,000 | 1,893 | 1,762 | ||||||||||||
Cox Communications Inc | Sr Unsecured 144A 02/25 3.850% | 900,000 | 898 | 908 | ||||||||||||
Cox Communications Inc | Sr Unsecured 144A 06/23 2.950% | 925,000 | 902 | 887 | ||||||||||||
Cox Communications Inc | Sr Unsecured 144A 12/16 5.875% | 760,000 | 877 | 822 | ||||||||||||
Cox Communications Inc | Sr Unsecured 144A 12/22 3.250% | 1,575,000 | 1,467 | 1,546 | ||||||||||||
CSX Transportation Inc | Sr Secured 01/23 6.251% | 158,600 | 190 | 190 | ||||||||||||
CSX Transportation Inc | Sr Unsecured 06/20 9.750% | 100,000 | 142 | 132 | ||||||||||||
Dillards Inc | Sr Unsecured 05/27 7.750% | 125,000 | 121 | 140 | ||||||||||||
Dillards Inc | Sr Unsecured 07/26 7.750% | 210,000 | 207 | 234 | ||||||||||||
Dillards Inc | Sr Unsecured 08/18 7.130% | 230,000 | 241 | 258 | ||||||||||||
Dillards Inc | Sr Unsecured 12/28 7.000% | 280,000 | 265 | 297 | ||||||||||||
Dominion Resources Inc Jr | Subordina 10/54 VAR | 1,325,000 | 1,325 | 1,383 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
Dow Chemical Co/The | Sr Unsecured 05/19 8.550% | 1,260,000 | $ | 1,663 | $ | 1,566 | ||||||||||
Dow Chemical Co/The | Sr Unsecured 05/39 9.400% | 1,225,000 | 1,901 | 1,988 | ||||||||||||
Dow Chemical Co/The | Sr Unsecured 11/29 7.375% | 480,000 | 636 | 639 | ||||||||||||
Eaton Corp Company | Guaranty 11/17 1.500% | 250,000 | 250 | 249 | ||||||||||||
Eaton Corp Company | Guaranty 11/22 2.750% | 650,000 | 648 | 639 | ||||||||||||
Enel Finance Intl Nv Company | Guaranty 144A 09/37 6.800% | 1,300,000 | 1,476 | 1,662 | ||||||||||||
Enel Finance Intl Nv Company | Guaranty 144A 10/39 6.000% | 700,000 | 671 | 823 | ||||||||||||
ERP Operating LP | Sr Unsecured 04/23 3.000% | 625,000 | 619 | 610 | ||||||||||||
ERP Operating LP | Sr Unsecured 12/21 4.625% | 750,000 | 819 | 821 | ||||||||||||
FedEx Corp | 1998 Pass Tst Pass Thru Ce 07/23 6.720% | 163,684 | 194 | 192 | ||||||||||||
FedEx Corp Company | Guaranty 01/19 8.000% | 180,000 | 239 | 219 | ||||||||||||
Ford Motor Credit Co LLC | Sr Unsecured 01/20 8.125% | 300,000 | 378 | 372 | ||||||||||||
Ford Motor Credit Co LLC | Sr Unsecured 02/21 5.750% | 565,000 | 635 | 647 | ||||||||||||
Ford Motor Credit Co LLC | Sr Unsecured 08/21 5.875% | 500,000 | 554 | 579 | ||||||||||||
Ford Motor Credit Co LLC | Sr Unsecured 09/22 4.250% | 525,000 | 520 | 557 | ||||||||||||
General Elec Cap Corp | Sr Unsecured 01/20 5.500% | 1,755,000 | 2,004 | 2,009 | ||||||||||||
General Elec Cap Corp | Sr Unsecured 01/21 4.625% | 160,000 | 174 | 178 | ||||||||||||
General Elec Cap Corp | Sr Unsecured 09/20 4.375% | 910,000 | 986 | 997 | ||||||||||||
General Elec Cap Corp | Sr Unsecured 10/21 4.650% | 285,000 | 312 | 321 | ||||||||||||
HCA Inc | Guaranty 01/15 6.375% | 915,000 | 981 | 915 | ||||||||||||
HCA Inc | Guaranty 02/16 6.500% | 2,555,000 | 2,725 | 2,667 | ||||||||||||
Health Net Inc | Sr Unsecured 06/17 6.375% | 815,000 | 831 | 880 | ||||||||||||
Hewlett Packard Co | Sr Unsecured 12/16 3.300% | 895,000 | 923 | 924 | ||||||||||||
Hsbc Holdings Plc | Plc Sr Unsecured 04/21 5.100% | 515,000 | 570 | 582 | ||||||||||||
Hsbc Holdings Plc | Plc Subordinated 05/36 6.500% | 1,560,000 | 1,731 | 2,004 | ||||||||||||
Hsbc Holdings Plc | Plc Subordinated 09/37 6.500% | 1,060,000 | 1,178 | 1,362 | ||||||||||||
JPMorgan Chase & Co | Sr Unsecured 03/20 4.950% | 270,000 | 301 | 298 | ||||||||||||
Kinder Morgan Ener Part Company | Guaranty 02/24 4.150% | 1,550,000 | 1,535 | 1,546 | ||||||||||||
Kinder Morgan Inc/Delawa Company | Guaranty 06/25 4.300% | 500,000 | 498 | 500 | ||||||||||||
Lafarge Sa | Sr Unsecured 07/16 6.500% | 1,505,000 | 1,613 | 1,603 | ||||||||||||
Lafarge Sa | Sr Unsecured 144A 07/15 6.200% | 1,665,000 | 1,767 | 1,703 | ||||||||||||
Liberty Interactive LLC | Sr Unsecured 02/30 8.250% | 285,000 | 292 | 308 | ||||||||||||
Liberty Interactive LLC | Sr Unsecured 07/29 8.500% | 115,000 | 118 | 126 | ||||||||||||
Lloyds Banking Group | Plc Subordinated 11/24 4.500% | 725,000 | 723 | 732 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 01/32 6.900% | 520,000 | 627 | 677 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 02/28 7.000% | 255,000 | 304 | 318 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 03/37 6.375% | 730,000 | 891 | 924 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 04/29 6.900% | 490,000 | 576 | 624 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 07/24 6.650% | 390,000 | 468 | 484 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 07/34 6.700% | 835,000 | 1,005 | 1,067 | ||||||||||||
Macys Retail Hldgs Inc Company | Guaranty 09/28 6.700% | 220,000 | 252 | 269 | ||||||||||||
Myriad Int Holdings Bv Company | Guaranty 144A 07/20 6.000% | 1,275,000 | 1,307 | 1,393 | ||||||||||||
Navient Corp. | Sr Unsecured 01/16 6.250% | 750,000 | 827 | 780 | ||||||||||||
Navient Corp. | Sr Unsecured 01/17 6.000% | 1,075,000 | 1,055 | 1,126 | ||||||||||||
Navient Corp. | Sr Unsecured 09/15 3.875% | 700,000 | 722 | 705 | ||||||||||||
Navient Corp. | Sr Unsecured 09/17 4.625% | 275,000 | 283 | 279 | ||||||||||||
Nordstrom Inc | Sr Unsecured 01/18 6.250% | 160,000 | 194 | 180 | ||||||||||||
Nordstrom Inc | Sr Unsecured 03/28 6.950% | 125,000 | 164 | 165 | ||||||||||||
Norfolk Southern Corp | Sr Unsecured 05/17 7.700% | 285,000 | 362 | 326 | ||||||||||||
Petrobras Global Finance Company | Guaranty 03/24 6.250% | 450,000 | 449 | 428 | ||||||||||||
Petrobras Global Finance Company | Guaranty 05/23 4.375% | 1,525,000 | 1,521 | 1,312 | ||||||||||||
Petrobras Intl Fin Co Company | Guaranty 01/20 5.750% | 290,000 | 316 | 280 | ||||||||||||
Petrobras Intl Fin Co Company | Guaranty 01/21 5.375% | 630,000 | 687 | 584 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
Petroleos Mexicanos Company | Guaranty 01/45 6.375% | 525,000 | $ | 521 | $ | 595 | ||||||||||
Petroleos Mexicanos Company | Guaranty 06/35 6.625% | 675,000 | 755 | 780 | ||||||||||||
Petroleos Mexicanos Company | Guaranty 144A 01/25 4.250% | 1,475,000 | 1,487 | 1,465 | ||||||||||||
Provident Companies Inc | Sr Unsecured 03/28 7.250% | 245,000 | 277 | 311 | ||||||||||||
Reed Elsevier Capital Company | Guaranty 01/19 8.625% | 275,000 | 350 | 336 | ||||||||||||
Reed Elsevier Capital Company | Guaranty 10/22 3.125% | 1,240,000 | 1,145 | 1,227 | ||||||||||||
Rio Oil Finance Trust | Sr Secured 144A 01/27 6.750% | 2,925,000 | 2,925 | 2,779 | ||||||||||||
Rio Oil Finance Trust | Sr Secured 144A 07/24 6.250% | 3,200,000 | 3,171 | 3,024 | ||||||||||||
Royal Bk Scotlnd Grp | Plc Subordinated 12/22 6.125% | 2,250,000 | 2,216 | 2,449 | ||||||||||||
Royal Bk Scotlnd Grp | Plc Subordinated 12/23 6.000% | 1,100,000 | 1,134 | 1,191 | ||||||||||||
Southern Railway Co | Sr Unsecured 06/20 9.750% | 135,000 | 197 | 180 | ||||||||||||
Sprint Communications | Sr Unsecured 12/16 6.000% | 1,650,000 | 1,575 | 1,726 | ||||||||||||
Telecom Italia Capital Company | Guaranty 06/18 6.999% | 1,135,000 | 1,270 | 1,260 | ||||||||||||
Telecom Italia Capital Company | Guaranty 06/19 7.175% | 1,400,000 | 1,489 | 1,603 | ||||||||||||
Telecom Italia Capital Company | Guaranty 06/38 7.721% | 550,000 | 569 | 613 | ||||||||||||
Telecom Italia Capital Company | Guaranty 07/36 7.200% | 425,000 | 399 | 457 | ||||||||||||
Telecom Italia Spa | Sr Unsecured 144A 05/24 5.303% | 750,000 | 729 | 759 | ||||||||||||
Time Warner Cable Inc Company | Guaranty 02/19 8.750% | 810,000 | 1,071 | 1,003 | ||||||||||||
Time Warner Cable Inc Company | Guaranty 02/20 5.000% | 80,000 | 89 | 88 | ||||||||||||
Time Warner Cable Inc Company | Guaranty 04/19 8.250% | 1,910,000 | 2,447 | 2,338 | ||||||||||||
Time Warner Cable Inc Company | Guaranty 09/21 4.000% | 760,000 | 814 | 809 | ||||||||||||
Time Warner Inc Company | Guaranty 04/31 7.625% | 1,810,000 | 2,345 | 2,523 | ||||||||||||
Time Warner Inc Company | Guaranty 05/32 7.700% | 1,530,000 | 2,016 | 2,162 | ||||||||||||
Union Pacific Corp | Sr Unsecured 02/24 3.646% | 425,000 | 465 | 450 | ||||||||||||
Union Pacific Corp | Sr Unsecured 07/22 4.163% | 245,000 | 274 | 269 | ||||||||||||
Union Pacific RR Co | 07 3 Pass Thru Ce 01/31 6.176% | 337,138 | 403 | 402 | ||||||||||||
UNP RR Co | 2002 Pass Trst Pass Thru Ce 01/23 6.061% | 81,617 | 91 | 93 | ||||||||||||
UNP RR Co | 2006 Pass Trst Pass Thru Ce 07/30 5.866% | 453,731 | 530 | 540 | ||||||||||||
Unum Group | Sr Unsecured 02/28 7.190% | 110,000 | 120 | 134 | ||||||||||||
Unum Group | Sr Unsecured 12/28 6.750% | 75,000 | 82 | 92 | ||||||||||||
Verizon Communications | Sr Unsecured 03/24 4.150% | 600,000 | 600 | 621 | ||||||||||||
Verizon Communications | Sr Unsecured 09/23 5.150% | 3,000,000 | 3,018 | 3,313 | ||||||||||||
Verizon Communications | Sr Unsecured 09/43 6.550% | 300,000 | 305 | 384 | ||||||||||||
Vulcan Materials Co | Sr Unsecured 06/21 7.500% | 1,490,000 | 1,675 | 1,736 | ||||||||||||
Vulcan Materials Co | Sr Unsecured 12/16 6.500% | 45,000 | 46 | 48 | ||||||||||||
Xerox Corporation | Sr Unsecured 02/17 6.750% | 620,000 | 725 | 683 | ||||||||||||
Xerox Corporation | Sr Unsecured 04/16 7.200% | 250,000 | 290 | 268 | ||||||||||||
Xerox Corporation | Sr Unsecured 05/18 6.350% | 1,060,000 | 1,243 | 1,199 | ||||||||||||
Xerox Corporation | Sr Unsecured 05/21 4.500% | 995,000 | 1,043 | 1,063 | ||||||||||||
Xerox Corporation | Sr Unsecured 12/19 5.625% | 665,000 | 754 | 747 | ||||||||||||
Total Corporate bonds | 130,612 | |||||||||||||||
Mortgages | ||||||||||||||||
America Express Credit Account | AMXCA 2014 4 A | 1,455,000 | 1,455 | 1,453 | ||||||||||||
Chase Issuance Trust Chait | Chait 2012 A5 A5 | 2,900,000 | 2,902 | 2,901 | ||||||||||||
Chase Issuance Trust Chait | Chait 2012 A8 A8 | 4,240,000 | 4,240 | 4,238 | ||||||||||||
Chase Issuance Trust Chait | Chait 2013 A5 A | 840,000 | 840 | 840 | ||||||||||||
Chase Issuance Trust Chait | Chait 2014 A7 A | 1,450,000 | 1,450 | 1,450 | ||||||||||||
Fannie Mae | Fnr 2008 24 GD | 33,138 | 36 | 37 | ||||||||||||
Fannie Mae | Fnr 2009 40 TB | 88,091 | 99 | 96 | ||||||||||||
Fannie Mae | Fnr 2009 53 QM | 49,477 | 54 | 53 | ||||||||||||
Fannie Mae | Fnr 2010 123 WT | 677,056 | 768 | 764 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
Fannie Mae | Fnr 2010 136 BA | 4,753,961 | $ | 4,943 | $ | 4,962 | ||||||||||
Fannie Mae | Fnr 2013 101 CF | 2,048,542 | 2,047 | 2,072 | ||||||||||||
Fannie Mae | Fnr 2013 118 FB | 996,244 | 1,000 | 1,008 | ||||||||||||
Fannie Mae | Fnr 2013 15 FA | 1,606,102 | 1,607 | 1,610 | ||||||||||||
Fannie Mae | Fnr 2013 26 FE | 1,582,570 | 1,583 | 1,580 | ||||||||||||
Fannie Mae | Fnr 2013 6 FL | 2,897,926 | 2,906 | 2,925 | ||||||||||||
Fannie Mae Whole Loan | Fnw 2003 W2 1A2 | 95,805 | 110 | 112 | ||||||||||||
Fannie Mae Whole Loan | Fnw 2004 W2 5A | 85,681 | 100 | 98 | ||||||||||||
Fannie Mae Whole Loan | Fnw 2004 W8 3A | 62,786 | 74 | 73 | ||||||||||||
Fannie Mae Whole Loan | Fnw 2005 W1 1A3 | 79,076 | 94 | 91 | ||||||||||||
Fannie Mae Whole Loan | Fnw 2007 W10 1A | 232,228 | 263 | 260 | ||||||||||||
Fannie Mae Whole Loan | Fnw 2007 W10 2A | 66,129 | 75 | 75 | ||||||||||||
Federal Home Loan | PC Pool 1B1150 | 103,222 | 110 | 110 | ||||||||||||
Federal Home Loan | PC Pool 1G2080 | 123,085 | 130 | 131 | ||||||||||||
Federal Home Loan | PC Pool 1G2667 | 60,571 | 65 | 64 | ||||||||||||
Federal Home Loan | PC Pool 1H2581 | 122,266 | 130 | 131 | ||||||||||||
Federal Home Loan | PC Pool 1Q0479 | 136,733 | 147 | 145 | ||||||||||||
Federal Home Loan | PC Pool 1Q0556 | 73,292 | 78 | 78 | ||||||||||||
Federal Home Loan | PC Pool 1Q0557 | 113,425 | 121 | 122 | ||||||||||||
Federal Home Loan | PC Pool 1Q0558 | 136,729 | 147 | 147 | ||||||||||||
Federal Home Loan | PC Pool 1Q1400 05/42 | 838,755 | 915 | 899 | ||||||||||||
Federal Home Loan | PC Pool 2B2591 | 1,326,159 | 1,362 | 1,373 | ||||||||||||
Federal Home Loan | PC Pool 781274 | 81,507 | 86 | 87 | ||||||||||||
Federal Home Loan | PC Pool 782735 | 708,001 | 762 | 754 | ||||||||||||
Federal Home Loan | PC Pool 847671 | 66,159 | 71 | 71 | ||||||||||||
Federal Home Loan | PC Pool 848349 | 41,871 | 45 | 45 | ||||||||||||
Federal Home Loan | PC Pool E02703 | 1,646,785 | 1,750 | 1,759 | ||||||||||||
Federal Home Loan | PC Pool G01665 | 199,272 | 220 | 225 | ||||||||||||
Federal Home Loan | PC Pool G01749 | 86,138 | 94 | 97 | ||||||||||||
Federal Home Loan | PC Pool G01767 | 56,608 | 65 | 66 | ||||||||||||
Federal Home Loan | PC Pool G01777 | 2,532,304 | 2,788 | 2,901 | ||||||||||||
Federal Home Loan | PC Pool G03081 | 51,582 | 58 | 59 | ||||||||||||
Federal Home Loan | PC Pool G04378 | 165,376 | 186 | 188 | ||||||||||||
Federal Home Loan | PC Pool G05603 | 38,339 | 45 | 44 | ||||||||||||
Federal Home Loan | PC Pool G05862 | 126,572 | 139 | 142 | ||||||||||||
Federal Home Loan | PC Pool G06238 | 133,326 | 148 | 152 | ||||||||||||
Federal Home Loan | PC Pool G06570 | 180,802 | 200 | 206 | ||||||||||||
Federal Home Loan | PC Pool G06932 | 1,464,767 | 1,618 | 1,660 | ||||||||||||
Federal Home Loan | PC Pool G07074 | 2,108,882 | 2,333 | 2,371 | ||||||||||||
Federal Home Loan | PC Pool G07568 | 3,206,486 | 3,419 | 3,476 | ||||||||||||
Federal Home Loan | PC Pool G07596 | 1,205,049 | 1,290 | 1,332 | ||||||||||||
Federal Home Loan | PC Pool G12277 | 46,250 | 51 | 51 | ||||||||||||
Federal Home Loan | PC Pool G12339 | 154,135 | 168 | 167 | ||||||||||||
Federal Home Loan | PC Pool G12758 | 80,209 | 88 | 88 | ||||||||||||
Federal Home Loan | PC Pool G13338 | 84,204 | 92 | 93 | ||||||||||||
Federal Home Loan | PC Pool G13346 | 87,024 | 95 | 96 | ||||||||||||
Federal Home Loan | PC Pool G13854 | 1,578,381 | 1,677 | 1,685 | ||||||||||||
Federal Home Loan | PC Pool G14585 | 4,507,084 | 4,798 | 4,813 | ||||||||||||
Federal Home Loan | PC Pool G30305 | 46,990 | 53 | 53 | ||||||||||||
Federal Home Loan | PC Pool G30458 | 416,948 | 460 | 472 | ||||||||||||
Federal Home Loan | PC Pool H09070 | 44,249 | 49 | 49 | ||||||||||||
Federal Home Loan | PC Pool H09203 | 33,601 | 37 | 37 | ||||||||||||
Federal Home Loan | PC Pool J08788 | 671,044 | 722 | 723 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
Federal Home Loan | COR 01/42 FH 849254 | 1,902,104 | $ | 1,963 | $ | 1,970 | ||||||||||
Federal Natl Mtg Assn | Pool 256614 FN 02/37 Fixed 6.000% | 30,641 | 34 | 34 | ||||||||||||
Federal Natl Mtg Assn | Pool 256901 FN 09/37 Fixed 6.500% | 38,156 | 43 | 42 | ||||||||||||
Federal Natl Mtg Assn | Pool 256937 FN 10/37 Fixed 6.500% | 40,450 | 45 | 44 | ||||||||||||
Federal Natl Mtg Assn | Pool 256985 FN 11/37 Fixed 7.000% | 67,895 | 78 | 75 | ||||||||||||
Federal Natl Mtg Assn | Pool 257095 FN 02/38 Fixed 6.000% | 58,816 | 64 | 65 | ||||||||||||
Federal Natl Mtg Assn | Pool 310048 FN 02/38 Fixed Var | 57,248 | 65 | 65 | ||||||||||||
Federal Natl Mtg Assn | Pool 555285 FN 03/33 Fixed Var | 126,867 | 142 | 145 | ||||||||||||
Federal Natl Mtg Assn | Pool 677709 FN 02/33 Fixed 5.500% | 174,077 | 191 | 196 | ||||||||||||
Federal Natl Mtg Assn | Pool 725206 FN 02/34 Fixed Var | 46,555 | 51 | 52 | ||||||||||||
Federal Natl Mtg Assn | Pool 725228 FN 03/34 Fixed Var | 494,182 | 552 | 568 | ||||||||||||
Federal Natl Mtg Assn | Pool 725271 FN 02/19 Fixed Var | 39,361 | 42 | 41 | ||||||||||||
Federal Natl Mtg Assn | Pool 725330 FN 03/34 Fixed Var | 666,686 | 745 | 762 | ||||||||||||
Federal Natl Mtg Assn | Pool 725417 FN 04/18 Fixed Var | 39,091 | 42 | 41 | ||||||||||||
Federal Natl Mtg Assn | Pool 735415 FN 12/32 Fixed Var | 273,329 | 313 | 316 | ||||||||||||
Federal Natl Mtg Assn | Pool 735523 FN 12/19 Fixed Var | 36,695 | 39 | 38 | ||||||||||||
Federal Natl Mtg Assn | Pool 735869 FN 08/35 Floating Var | 58,680 | 63 | 63 | ||||||||||||
Federal Natl Mtg Assn | Pool 745238 FN 12/20 Fixed Var | 45,413 | 49 | 48 | ||||||||||||
Federal Natl Mtg Assn | Pool 745303 FN 01/36 Floating Var | 69,568 | 74 | 74 | ||||||||||||
Federal Natl Mtg Assn | Pool 745398 FN 06/35 Fixed Var | 69,606 | 78 | 80 | ||||||||||||
Federal Natl Mtg Assn | Pool 745942 FN 04/34 Fixed Var | 74,606 | 83 | 85 | ||||||||||||
Federal Natl Mtg Assn | Pool 832257 FN 08/35 Floating Var | 104,607 | 110 | 113 | ||||||||||||
Federal Natl Mtg Assn | Pool 888015 FN 11/16 Fixed Var | 348,311 | 390 | 369 | ||||||||||||
Federal Natl Mtg Assn | Pool 888136 FN 12/21 Fixed Var | 96,870 | 106 | 106 | ||||||||||||
Federal Natl Mtg Assn | Pool 888151 FN 01/21 Fixed Var | 131,490 | 143 | 140 | ||||||||||||
Federal Natl Mtg Assn | Pool 888262 FN 01/22 Fixed Var | 54,613 | 60 | 60 | ||||||||||||
Federal Natl Mtg Assn | Pool 888291 FN 03/22 Fixed Var | 172,368 | 189 | 189 | ||||||||||||
Federal Natl Mtg Assn | Pool 888365 FN 04/22 Fixed Var | 91,263 | 100 | 99 | ||||||||||||
Federal Natl Mtg Assn | Pool 888366 FN 04/37 Fixed Var | 1,178,803 | 1,364 | 1,324 | ||||||||||||
Federal Natl Mtg Assn | Pool 888559 FN 06/17 Fixed Var | 211,014 | 240 | 226 | ||||||||||||
Federal Natl Mtg Assn | Pool 888631 FN 08/22 Fixed Var | 134,083 | 147 | 147 | ||||||||||||
Federal Natl Mtg Assn | Pool 888791 FN 10/37 Fixed Var | 25,552 | 28 | 28 | ||||||||||||
Federal Natl Mtg Assn | Pool 888891 FN 11/37 Fixed Var | 90,432 | 102 | 103 | ||||||||||||
Federal Natl Mtg Assn | Pool 888894 FN 11/37 Fixed Var | 43,686 | 49 | 49 | ||||||||||||
Federal Natl Mtg Assn | Pool 888956 FN 03/36 Fixed Var | 205,927 | 230 | 236 | ||||||||||||
Federal Natl Mtg Assn | Pool 889151 FN 01/38 Fixed Var | 47,170 | 53 | 53 | ||||||||||||
Federal Natl Mtg Assn | Pool 889157 FN 02/28 Fixed Var | 64,048 | 71 | 73 | ||||||||||||
Federal Natl Mtg Assn | Pool 889390 FN 03/23 Fixed Var | 177,160 | 195 | 194 | ||||||||||||
Federal Natl Mtg Assn | Pool 889528 FN 05/38 Fixed Var | 79,144 | 89 | 86 | ||||||||||||
Federal Natl Mtg Assn | Pool 889886 FN 12/37 Fixed Var | 133,398 | 156 | 148 | ||||||||||||
Federal Natl Mtg Assn | Pool 907860 FN 02/37 Floating Var | 123,287 | 133 | 133 | ||||||||||||
Federal Natl Mtg Assn | Pool 936482 FN 09/21 Fixed 6.000% | 53,632 | 59 | 59 | ||||||||||||
Federal Natl Mtg Assn | Pool 995005 FN 10/38 Floating Var | 61,667 | 67 | 65 | ||||||||||||
Federal Natl Mtg Assn | Pool 995212 FN 05/36 Fixed Var | 223,213 | 249 | 255 | ||||||||||||
Federal Natl Mtg Assn | Pool 995405 FN 10/23 Fixed Var | 273,586 | 297 | 300 | ||||||||||||
Federal Natl Mtg Assn | Pool 995487 FN 08/37 Fixed Var | 61,801 | 69 | 71 | ||||||||||||
Federal Natl Mtg Assn | Pool 995575 FN 09/36 Fixed Var | 51,923 | 57 | 59 | ||||||||||||
Federal Natl Mtg Assn | Pool 995597 FN 03/24 Fixed Var | 67,068 | 73 | 74 | ||||||||||||
Federal Natl Mtg Assn | Pool 995694 FN 12/38 Fixed Var | 55,888 | 63 | 64 | ||||||||||||
Federal Natl Mtg Assn | Pool 995788 FN 09/36 Fixed Var | 831,548 | 914 | 937 | ||||||||||||
Federal Natl Mtg Assn | Pool AB1763 FN 11/30 Fixed 4.000% | 671,428 | 715 | 723 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0111 FN 06/38 Fixed Var | 48,801 | 55 | 56 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0112 FN 07/38 Fixed Var | 52,194 | 59 | 59 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
Federal Natl Mtg Assn | Pool AD0198 FN 09/38 Fixed Var | 337,609 | $ | 370 | $ | 379 | ||||||||||
Federal Natl Mtg Assn | Pool AD0249 FN 04/37 Fixed Var | 389,641 | 428 | 439 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0284 FN 01/24 Fixed Var | 140,617 | 153 | 154 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0494 FN 08/37 Fixed Var | 65,423 | 72 | 74 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0650 FN 09/39 Fixed Var | 81,156 | 89 | 91 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0663 FN 06/36 Fixed Var | 307,626 | 338 | 347 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0692 FN 01/39 Fixed Var | 38,800 | 43 | 43 | ||||||||||||
Federal Natl Mtg Assn | Pool AD0931 FN 07/35 Fixed Var | 105,683 | 116 | 119 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0006 FN 05/38 Fixed Var | 42,828 | 48 | 49 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0012 FN 09/38 Fixed Var | 233,691 | 264 | 266 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0063 FN 03/38 Fixed Var | 39,622 | 44 | 43 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0379 FN 08/24 Fixed Var | 64,611 | 70 | 71 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0380 FN 10/24 Fixed Var | 224,808 | 244 | 247 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0381 FN 12/24 Fixed Var | 1,096,697 | 1,193 | 1,205 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0382 FN 10/24 Fixed Var | 167,973 | 183 | 185 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0442 FN 01/39 Fixed Var | 255,229 | 288 | 291 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0620 FN 05/24 Fixed Var | 159,948 | 174 | 176 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0875 FN 01/25 Fixed Var | 234,873 | 255 | 258 | ||||||||||||
Federal Natl Mtg Assn | Pool AE0952 FN 05/38 Fixed Var | 93,876 | 105 | 105 | ||||||||||||
Federal Natl Mtg Assn | Pool AL0144 FN 11/37 Floating Var | 27,790 | 30 | 30 | ||||||||||||
Federal Natl Mtg Assn | Pool AL0406 FN 06/38 Fixed Var | 79,839 | 88 | 88 | ||||||||||||
Federal Natl Mtg Assn | Pool AL0852 FN 06/38 Fixed Var | 38,318 | 42 | 42 | ||||||||||||
Federal Natl Mtg Assn | Pool AL1043 FN 10/38 Floating Var | 107,658 | 115 | 115 | ||||||||||||
Federal Natl Mtg Assn | Pool AL2439 FN 06/26 Fixed Var | 724,994 | 789 | 789 | ||||||||||||
Federal Natl Mtg Assn | Pool AL3442 FN 11/38 Fixed Var | 502,255 | 539 | 551 | ||||||||||||
Federal Natl Mtg Assn | Pool AL4147 FN 01/25 Fixed Var | 913,574 | 970 | 984 | ||||||||||||
Federal Natl Mtg Assn | Pool AL4165 FN 01/31 Fixed Var | 6,583,900 | 7,045 | 7,183 | ||||||||||||
Federal Natl Mtg Assn | Pool AL4831 FN 02/44 Floating Var | 2,215,363 | 2,293 | 2,292 | ||||||||||||
Federal Natl Mtg Assn | Pool AL4980 FN 02/44 Floating Var | 1,236,176 | 1,281 | 1,281 | ||||||||||||
Federal Natl Mtg Assn | Pool AL5441 FN 09/41 Fixed Var | 1,425,616 | 1,551 | 1,564 | ||||||||||||
Federal Natl Mtg Assn | Pool AL5749 FN 07/42 Fixed Var | 2,009,972 | 2,179 | 2,184 | ||||||||||||
Federal Natl Mtg Assn | Pool AL5931 FN 09/28 Fixed Var | 1,231,649 | 1,304 | 1,303 | ||||||||||||
Federal Natl Mtg Assn | Pool AL5957 | 3,096,956 | 3,328 | 3,313 | ||||||||||||
Federal Natl Mtg Assn | Pool AL5968 FN 10/44 Floating Var | 3,675,772 | 3,784 | 3,781 | ||||||||||||
Federal Natl Mtg Assn | Pool AL6137 FN 07/21 Fixed Var | 640,000 | 687 | 676 | ||||||||||||
Federal Natl Mtg Assn | Pool AS2666 FN 06/34 Fixed 4.000% | 510,227 | 545 | 549 | ||||||||||||
Federal Natl Mtg Assn | Pool AT7040 FN 09/44 Floating Var | 293,194 | 301 | 303 | ||||||||||||
Federal Natl Mtg Assn | Pool AU6423 FN 10/43 Fixed 4.500% | 896,440 | 966 | 975 | ||||||||||||
Federal Natl Mtg Assn | Pool AW4688 FN 05/44 Floating Var | 1,878,767 | 1,935 | 1,944 | ||||||||||||
Federal Natl Mtg Assn | Pool AX2197 FN 12/44 Floating Var | 1,414,000 | 1,453 | 1,456 | ||||||||||||
Federal Natl Mtg Assn | Pool MA3894 FN 09/31 Fixed 4.000% | 1,436,615 | 1,532 | 1,549 | ||||||||||||
Freddie Mac | Fhr 3312 AB | 54,445 | 62 | 61 | ||||||||||||
Freddie Mac | Fhr 4240 FA | 2,379,382 | 2,378 | 2,384 | ||||||||||||
Freddie Mac | Fhr 4283 EW | 1,145,091 | 1,273 | 1,261 | ||||||||||||
Freddie Mac | Fhr 4319 MA | 1,946,000 | 2,185 | 2,168 | ||||||||||||
Vendee Mortgage Trust | Vende 1997 2 Z | 115,921 | 139 | 132 | ||||||||||||
Total Mortgages | 108,762 | |||||||||||||||
U.S. government securities | ||||||||||||||||
California St | Cas 03/40 Fixed 7.625% | 785,000 | 1,030 | 1,205 | ||||||||||||
California St | Cas 04/39 Fixed 7.550% | 1,200,000 | 1,540 | 1,852 | ||||||||||||
California St | Cas 10/19 Fixed 6.200% | 195,000 | 231 | 228 |
(a) | (b) | (c) | (d) | (e) | |||||||
Description of Investment Including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value | |||||||||||
Identity of Issue, Borrower, Lessor, or Similar Party | Number of Shares/Units | Cost | Current Value |
California St | Cas 10/39 Fixed 7.300% | 710,000 | $ | 894 | $ | 1,046 | ||||||||||
Export Import Bk Korea | Sr Unsecured 01/17 4.000% | 285,000 | 299 | 299 | ||||||||||||
Illinois St | ILS 03/16 Fixed 4.961% | 540,000 | 584 | 563 | ||||||||||||
Illinois St | ILS 03/17 Fixed 5.365% | 1,840,000 | 2,023 | 1,970 | ||||||||||||
Illinois St | ILS 03/18 Fixed 5.665% | 2,100,000 | 2,349 | 2,300 | ||||||||||||
Kingdom of Spain | Sr Unsecured 144A 03/18 4.000% | 700,000 | 698 | 736 | ||||||||||||
New Jersey St Turnpike Auth | NJSTRN 01/40 Fixed 7.414% | 375,000 | 479 | 564 | ||||||||||||
New Jersey St Turnpike Auth | NJSTRN 01/41 Fixed 7.102% | 1,070,000 | 1,483 | 1,552 | ||||||||||||
US Treasury | N/B 01/15 0.250% | 6,500,000 | 6,507 | 6,500 | ||||||||||||
US Treasury | N/B 02/17 0.625% | 3,500,000 | 3,494 | 3,491 | ||||||||||||
US Treasury | N/B 02/17 0.875% | 8,100,000 | 8,107 | 8,120 | ||||||||||||
US Treasury | N/B 03/17 0.750% | 2,700,000 | 2,700 | 2,699 | ||||||||||||
US Treasury | N/B 04/15 0.375% | 3,200,000 | 3,209 | 3,202 | ||||||||||||
US Treasury | N/B 05/17 0.875% | 1,000,000 | 999 | 1,001 | ||||||||||||
US Treasury | N/B 10/16 0.625% | 8,000,000 | 8,004 | 8,002 | ||||||||||||
Total U.S. government securities | 45,330 | |||||||||||||||
Asset backed securities | ||||||||||||||||
Chase Issuance Trust | CHAIT 2014 A1 A1 | 800,000 | 802 | 800 | ||||||||||||
SLM Student Loan Trust | SLMA 2012 C A2 144A | 2,020,000 | 2,045 | 2,094 | ||||||||||||
Small Business Administration | SBAP 2001 20L 1 | 44,301 | 49 | 48 | ||||||||||||
Small Business Administration | SBAP 2005 20E 1 | 54,703 | 61 | 59 | ||||||||||||
Small Business Administration | SBAP 2005 20G 1 | 52,853 | 59 | 56 | ||||||||||||
Small Business Administration | SBAP 2005 20I 1 | 66,004 | 74 | 70 | ||||||||||||
Small Business Administration | SBAP 2006 20A 1 | 65,828 | 74 | 71 | ||||||||||||
Small Business Administration | SBAP 2006 20C 1 | 92,762 | 105 | 102 | ||||||||||||
Small Business Administration | SBAP 2006 20G 1 | 181,455 | 208 | 204 | ||||||||||||
Small Business Administration | SBAP 2007 20A 1 | 109,597 | 123 | 121 | ||||||||||||
Small Business Administration | SBAP 2007 20C 1 | 168,045 | 190 | 185 | ||||||||||||
Small Business Administration | SBAP 2007 20D 1 | 168,401 | 190 | 186 | ||||||||||||
Small Business Administration | SBAP 2007 20G 1 | 109,523 | 126 | 122 | ||||||||||||
Total Asset backed securities | 4,118 | |||||||||||||||
Cash Equivalents | ||||||||||||||||
State Street Bank & Trust Co | Short Term Investment Fund | 6,431,431 | 6,431 | 6,431 | ||||||||||||
Receivables | 1,872 | |||||||||||||||
Liabilities | (165) | |||||||||||||||
TOTAL SEPARATE ACCOUNT | 296,960 | |||||||||||||||
TOTAL INVESTMENTS PER FINANCIAL STATEMENTS | 18,867,224 | |||||||||||||||
PARTICIPANT LOANS | Interest rates ranging from 2.86% to 9.50% | — | 144,859 | |||||||||||||
TOTAL INVESTMENTS PER FORM 5500 | $ | 19,012,083 | ||||||||||||||
* Party-in-interest as defined by ERISA. |
(a) | (b) | (c) | (d) | (e) | (f) | (g) | (h) | (i) | ||||||||||||||||||||
Expense | Current value | |||||||||||||||||||||||||||
Identity of | Description | Purchase | Selling | Lease | incurred with | Cost of | of asset on | Net gain | ||||||||||||||||||||
party involved | of asset | price | price | rental | transaction | asset | transaction date | or (loss) | ||||||||||||||||||||
Category (iii) - Series of Transactions (Aggregate) in Excess of 5% of Plan Assets | ||||||||||||||||||||||||||||
Vanguard | Vanguard Prime MM Inst* | $ | 801,519 | $ | — | N/A | $ | — | $ | 801,519 | $ | 801,519 | $ | — | ||||||||||||||
Vanguard | Vanguard Prime MM Inst* | — | 979,711 | N/A | — | 979,711 | 979,711 | — | ||||||||||||||||||||
Vanguard | Chevron Stock Fund* | 1,412,897 | — | N/A | — | 1,412,897 | 1,412,897 | — | ||||||||||||||||||||
Vanguard | Chevron Stock Fund* | — | 1,368,987 | N/A | — | 960,813 | 1,368,987 | 408,174 | ||||||||||||||||||||
There were no category (i), (ii) or (iv) reportable transactions during the year ended December 31, 2014. | ||||||||||||||||||||||||||||
* Party-in-interest as defined by ERISA. |