11-K 1 d744953d11k.htm 11-K 11-K
Table of Contents

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

 

 

FORM 11-K

 

ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the fiscal year ended December 31, 2018

 

TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Transition Period From                  to                 

 

 

Commission File Number 001-37845

 

A.

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

MICROSOFT CORPORATION SAVINGS PLUS 401(k) PLAN

 

B.

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

Microsoft Corporation

One Microsoft Way

Redmond, Washington 98052-6399

REQUIRED INFORMATION

The Microsoft Corporation Savings Plus 401(k) Plan (the “Plan”) is subject to the Employee Retirement Income Security Act of 1974 (“ERISA”). Therefore, in lieu of the required information outlined as Items 1-3 of the Form 11-K, the statements of net assets available for benefits and the related statements of changes in net assets available for benefits as of and for the years ended December 31, 2018 and 2017, which have been prepared in accordance with the financial reporting requirements of ERISA, are attached hereto as Appendix 1 and incorporated herein by this reference.

 

 


Table of Contents

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 on Form 11-K to be signed on its behalf by the undersigned hereunto duly authorized.

 

  MICROSOFT CORPORATION SAVINGS PLUS 401(K) PLAN    

Date:    June 13, 2019

 

/S/ KRISTEN ROBY DIMLOW

   
 

Kristen Roby Dimlow

   
  Member of 401(k) Administrative Committee    

Date:    June 13, 2019

 

/S/ DANIEL GOFF

   
  Daniel Goff    
  Member of 401(k) Administrative Committee    

Date:    June 13, 2019

 

/S/ GEORGE ZINN

   
  George Zinn    
  Member of 401(k) Administrative Committee    

 


Table of Contents

APPENDIX 1

MICROSOFT CORPORATION

SAVINGS PLUS 401(k) PLAN

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM;

FINANCIAL STATEMENTS AS OF AND FOR THE YEARS ENDED DECEMBER 31, 2018 AND 2017;

NOTES TO FINANCIAL STATEMENTS; AND

SUPPLEMENTAL SCHEDULE OF ASSETS (HELD AT END OF YEAR) AS OF DECEMBER 31, 2018


Table of Contents

MICROSOFT CORPORATION

SAVINGS PLUS 401(k) PLAN

TABLE OF CONTENTS

 

 

 
     Page  

Report of Independent Registered Public Accounting Firm

     1  

Financial Statements:

  

Statements of Net Assets Available for Benefits as of December  31, 2018 and 2017

     2  

Statements of Changes in Net Assets Available for Benefits for the Years Ended December 31, 2018 and 2017

     3  

Notes to Financial Statements

     4  

Supplemental Schedule:

  

Supplemental Schedule of Assets (Held at End of Year) as of December  31, 2018

     11  

Exhibit:

  

Consent of Independent Registered Public Accounting Firm

  

 

 

 

NOTE:

All other schedules required by Section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under ERISA have been omitted because they are not applicable.


Table of Contents

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the Participants and Administrators of the Microsoft Corporation Savings Plus 401(k) Plan

Redmond, WA

Opinion on the Financial Statements

We have audited the accompanying statements of net assets available for benefits of the Microsoft Corporation Savings Plus 401(k) Plan (the “Plan”) as of December 31, 2018 and 2017, the related statements of changes in net assets available for benefits for the years then ended, and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2018 and 2017, 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.

Basis for Opinion

These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on the Plan’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Plan in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

Report on Supplemental Schedule

The supplemental schedule of assets (held at end of year) as of December 31, 2018 has been subjected to audit procedures performed in conjunction with the audit of the Plan’s financial statements. The supplemental schedule is the responsibility of the Plan’s management. Our audit procedures included determining whether the supplemental schedule reconciles to the financial statements or the underlying accounting and other records, as applicable, and performing procedures to test the completeness and accuracy of the information presented in the supplemental schedule. In forming our opinion on the supplemental schedule, we evaluated whether the supplemental schedule, including its form and content, is presented in compliance 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, such schedule is fairly stated, in all material respects, in relation to the financial statements as a whole.

/S/ DELOITTE & TOUCHE LLP

Seattle, Washington

June 13, 2019

We have served as the auditor of the Plan since 1987.

 

1


Table of Contents

STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS

 

 

 
December 31,    2018     2017  

ASSETS

    

Cash

   $ 9,464,025      $ 4,601,325   

Investments held by trustee, at fair value

     20,227,500,071       19,929,242,613  

Receivables:

    

Participant loans

     135,451,909       122,514,373  

Other receivables

     18,999,301       17,054,211  

 

   

 

 

 

Total receivables

     154,451,210       139,568,584  

 

   

 

 

 

Total assets

   $   20,391,415,306     $   20,073,412,522  
  

 

 

   

 

 

 

LIABILITIES

    

Operating payables

   $ 4,226,417     $ 4,369,486  

Other payables

     9,441,069       11,611,061  

 

   

 

 

 

Total liabilities

     13,667,486       15,980,547  

 

   

 

 

 

NET ASSETS AVAILABLE FOR BENEFITS

   $ 20,377,747,820     $ 20,057,431,975  
  

 

 

   

 

 

 

Refer to accompanying notes.

 

2


Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

 

 

 
Year Ended December 31,    2018     2017  

ADDITIONS

    

Net investment income (loss):

    

Interest and dividends

   $ 62,411,020      $ 51,606,670   

Net increase (decrease) in fair value of investments

     (909,898,266     3,489,810,196  

 

   

 

 

 

Net investment income (loss)

     (847,487,246     3,541,416,866  
  

 

 

   

 

 

 

Contributions:

    

Participant contributions

     1,447,279,773       1,226,183,000  

Employer contributions

     541,743,766       488,630,831  

 

   

 

 

 

Total contributions

     1,989,023,539       1,714,813,831  

 

   

 

 

 

Total additions before transfers

     1,141,536,293       5,256,230,697  

DEDUCTIONS

    

Benefits paid to participants

     821,220,448       833,584,671  

 

   

 

 

 

INCREASE IN NET ASSETS BEFORE TRANSFERS

     320,315,845       4,422,646,026  

Net transfers in

     0       367,928  

 

   

 

 

 

INCREASE IN NET ASSETS AVAILABLE FOR BENEFITS

     320,315,845       4,423,013,954  

NET ASSETS AVAILABLE FOR BENEFITS

    

Beginning of year

     20,057,431,975       15,634,418,021  

 

   

 

 

 

End of year

   $   20,377,747,820     $   20,057,431,975  
  

 

 

   

 

 

 

Refer to accompanying notes.

 

3


Table of Contents

NOTES TO FINANCIAL STATEMENTS

 

 

NOTE 1 — DESCRIPTION OF THE PLAN AND ACCOUNTING POLICIES

Plan Description

The Microsoft Corporation Savings Plus 401(k) Plan (the “Plan”), a defined contribution plan, is sponsored by Microsoft Corporation (the “Company” or “Microsoft”). Participating employers included in the Plan are Microsoft Corporation; MOL Corporation; Vexcel Corporation; Microsoft Online, Inc; Microsoft Payments, Inc; Microsoft Open Technologies, Inc; and Microsoft Technology Licensing. These entities represent Microsoft or wholly owned subsidiaries of Microsoft. The Plan year is January 1 through December 31. The Plan is administered by the 401(k) Administrative Committee (the “Plan Administrator”) and subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”). The information below summarizes certain aspects of the Plan as in effect during 2018 and 2017, and is intended to be a summary only. Plan participants should refer to the Summary Plan Description for more complete information.

Accounting Principles

The financial statements and accompanying notes are prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”).

Eligibility

Regular and retail services employees of participating employers who are on U.S. payroll and have reached age 18 may enroll in the Plan at any time.    

Eligible Compensation

Eligible compensation includes wages, salary, bonuses, commissions, and overtime. Compensation does not include, for example, items such as stock awards, amounts realized on the exercise of stock options, reimbursements or other expense allowances, fringe benefits (cash and noncash), moving expenses, deferred compensation, welfare plan benefits including health or life insurance, or bonuses or expense allowances which are not based upon performance as an employee.

Contributions

Participant Contributions

Participants may contribute to the Plan on a pre-tax and/or Roth basis using eligible compensation each pay period, subject to statutory and regulatory limitations. Participants reaching age 50 or older by the end of the Plan year may also elect to make additional catch-up contributions to the Plan on a pre-tax and/or Roth basis. Additionally, participants could contribute up to $27,250 for 2018 and $20,000 for 2017 on an after-tax basis. A participant’s aggregate contribution election (combined pre-tax, Roth, pre-tax catch-up, Roth catch-up, and after-tax) generally may not exceed 65 percent of his or her eligible compensation per pay period. Participants may elect to suspend or reinstate their contributions at any time.

Participants may also choose to make rollover contributions to the Plan of amounts received from an eligible employer plan maintained by another company, including direct rollovers from such plans. Effective April 17, 2017, participants may also make rollover contributions to the plan from an individual retirement account or annuity described in Internal Revenue Code (“IRC”) Section 408(a) or 408(b) that is eligible to be rolled over and would otherwise be includible in gross income.

 

4


Table of Contents

Employer Contributions

The Company provides participants with a matching contribution on eligible pre-tax and/or Roth contributions of $0.50 for every $1.00 contributed. The matching contribution is provided for up to 50 percent of the maximum annual 401(k) pre-tax and Roth contribution limit of $18,500 and $18,000 for 2018 and 2017, respectively. Participants do not receive a match on after-tax contributions.

Transfers

The Company acquired TouchType Ltd. in 2016 and the TouchType Inc. 401k plan assets merged into the Plan during 2017. The merged assets are included as transfers in the statement of changes in net assets available for benefits for the Plan year ended December 31, 2017. There were no plan mergers for the year ended December 31, 2018.

Employee Stock Ownership Plan Feature

The Plan includes an Employee Stock Ownership Plan (“ESOP”) feature for the portion of the Plan designed to invest primarily in Microsoft Common Stock. The ESOP feature allows participants to either reinvest their cash dividends earned on Microsoft Common Stock or receive those dividends in cash. Amounts invested in Microsoft Common Stock are treated as being held through the ESOP, provided that at the time such amounts were received by the Plan (e.g., through contributions or transfers), the participants whose Plan accounts received such assets were employed by Microsoft or a corporation that is part of the same controlled group of corporations as Microsoft.

Participants who are not employed by an employer established as a corporation that is part of the same controlled group of corporations as Microsoft may not participate in the ESOP, but may have their Plan accounts invested in Microsoft Common Stock to the same extent as other participants. However, such participants that are not eligible to participate in the ESOP feature are not eligible to receive dividends on Microsoft Common Stock in cash paid directly to them. Instead, dividends paid on amounts they have invested in Microsoft Common Stock will automatically be reinvested in Microsoft Common Stock.

Effective January 1, 2016, the investment of new contributions or transfer of existing account holdings into Microsoft Common Stock within the Plan was discontinued. Participant accounts with existing Microsoft Common Stock can retain those holdings, and dividends on Microsoft Common Stock can continue to be reinvested or received in cash.

Participant Accounts

Each participant’s account is credited with (a) participant contributions and employer contributions, and (b) the allocation of Plan earnings and expenses, based on participant earnings or 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. All amounts in participant accounts are participant-directed. Participants may invest in various instruments including mutual funds, common collective trusts, and separately managed accounts. Participants also have the option to direct their investments through a brokerage account.

Vesting

Participants are fully vested in Plan accounts at all times.

Distributions

Active participants may take a withdrawal from the Plan in the event of a financial hardship. A hardship withdrawal is limited to the amount necessary to meet the participant’s immediate financial need, and further limited to pre-tax contributions, after-tax contributions, pre-tax catch-up contributions, and rollover contributions (excluding rollover contributions attributable to designated Roth contributions, Roth in-plan conversion amounts and earnings thereon, and acquisition rollovers). In 2017 and 2018, a hardship withdrawal generally resulted in a six-month

 

5


Table of Contents

suspension of contributions (other than rollover contributions) to the Plan. Active participants may also take a withdrawal from their rollover and after-tax account types within the Plan without meeting one of the hardship criteria.

After reaching age 5912, active participants may withdraw all, or any portion, of the balance in their accounts. Distributions, in full or any portion, may also occur if the participant terminates employment, retires, becomes permanently disabled, or dies. Distributions of investments in Microsoft Common Stock may be taken in the form of Microsoft Common Stock or cash. Distributions may be made in installments.

Effective January 1, 2019, the Plan was amended to adopt certain provisions of the Bipartisan Budget Act of 2018. With this amendment, the six-month suspension of contributions following a hardship withdrawal was eliminated, and the sources available for a hardship withdrawal were expanded to include earnings on pre-tax (including catch-up) and after-tax contributions starting in January 2019.

In-Plan Roth Conversions

Active participants may convert their Plan distribution-eligible balances to their Roth account within the Plan.

Administrative Expenses

Plan administrative expenses are paid by the Company to the extent not paid or offset by the Plan. Participants are responsible for fees associated with certain transactions or services they utilize, such as loan originations and maintenance, domestic relations order qualifications, dividend check processing, overnight check fees, and professional management service fees. Participants also pay commission charges to Fidelity for buying and selling Microsoft Common Stock within the Plan.

Plan Amendment and Termination

The Company has the right to amend or terminate the Plan. If the Plan is terminated, all account balances will be distributed in the form and manner determined by the Plan Administrator.

Risks and Uncertainties

The Plan utilizes various investment instruments, including common stock, mutual funds, common collective trusts, and separately managed accounts. Investment securities, in general, are exposed to various risks, such as interest rate risk, credit risk, and overall market volatility. Due to the level of risk associated with certain investment securities, it is 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 financial statements.

Estimates and Assumptions

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and changes therein. Actual results and outcomes may differ from management’s estimates and assumptions. The Plan has no contingent assets or liabilities for any periods presented in these financial statements.

Valuation of Investments and Income (Loss) Recognition

Investments are recorded at fair value. Security transactions are accounted for as of the trade date. Dividend income is recorded on the ex-dividend date, and interest income is recorded as earned. Net increase (decrease) in fair value of investments includes the Plan’s gains and losses on investments bought and sold as well as held during the year.

 

6


Table of Contents

Participant Loans

Participant loans are measured at their unpaid principal balance plus any accrued but unpaid interest, and participant loans deemed distributed due to default are included in benefits paid to participants on the statements of changes in net assets available for benefits.

Other Receivables and Payables

Other receivables and payables as of December 31, 2018 and 2017 primarily consisted of unsettled trades. Other receivables also included accrued interest.

NOTE 2 — FINANCIAL INSTRUMENTS

The Plan accounts for certain assets and liabilities at fair value. The hierarchy below lists three levels of fair value based on the extent to which inputs used in measuring fair value are observable in the market. The Plan categorizes each of its fair value measurements in one of these three levels based on the lowest level input that is significant to the fair value measurement in its entirety. These levels are:

 

   

Level 1—inputs are based upon unadjusted quoted prices for identical instruments in active markets. The Plan’s Level 1 non-derivative investments primarily include domestic and international equities, mutual funds, and U.S. government securities. The Plan’s Level 1 derivative assets include those actively traded on exchanges.

 

   

Level 2—inputs are based upon quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-based valuation techniques (e.g. the Black-Scholes model) for which all significant inputs are observable in the market or can be corroborated by observable market data for substantially the full term of the assets or liabilities. Where applicable, these models project future cash flows and discount the future amounts to a present value using market-based observable inputs including interest rate curves, credit spreads, foreign exchange rates, and forward and spot prices for currencies and commodities. The Plan’s Level 2 non-derivative investments consist primarily of mutual funds in the Plan’s separately managed accounts. These mutual funds are registered under the Investment Company Act of 1940 but are not registered under the Securities Act of 1933 and the prices are made available directly from the investment manager. The Plan’s Level 2 derivative assets and liabilities primarily include certain over-the-counter option and currency contracts.

 

   

Level 3—inputs are generally unobservable and typically reflect management’s estimates of assumptions that market participants would use in pricing the asset or liability. The fair values are therefore determined using model-based techniques, including option pricing models and discounted cash flow models. As of December 31, 2018 and 2017, the Plan did not hold any financial instruments categorized as Level 3.

Mutual funds are valued at the closing price as reported by the fund. Common stocks are valued at the closing price reported on the active markets on which the individual securities are traded.

Common collective trusts are valued using the Net Asset Value (“NAV”) provided by the trustee in order to estimate fair value. The NAV is based on the fair value of the underlying investments held by the fund less its liabilities. In the event the Plan were to initiate a full redemption of a common collective trust, the investment advisor reserves the right to temporarily delay withdrawal from the common collective trust in order to ensure that securities liquidations will be carried out in an orderly business manner. The common collective trusts have no unfunded commitments, other redemption restrictions, or redemption notice periods. The portfolios are comprised of a mix of stocks, bonds, commodities, and cash.

 

7


Table of Contents

Financial Instruments Measured at Fair Value

 

December 31, 2018    Level 1     Level 2     Total  

 

 

Mutual funds

   $ 548,357,364      $ 0      $ 548,357,364   

Microsoft Common Stock

     1,730,325,484       0       1,730,325,484  

Separately managed accounts:

      

Common stock

     2,894,605,848       0       2,894,605,848  

Mutual funds

     0       840,503,595       840,503,595  

Other

     83,307,144       14,495,297       97,802,441  

Brokerage accounts

     826,526,476       53,526,160       880,052,636  

 

   

 

 

   

 

 

 

Total

   $   6,083,122,316     $   908,525,052       6,991,647,368  
  

 

 

   

 

 

   

Common collective trusts measured at NAV

         13,235,852,703  
      

 

 

 

Total Investments

       $   20,227,500,071  
   

 

 

 

 

December 31, 2017    Level 1     Level 2     Total  

 

 

Mutual funds

   $ 518,153,347      $ 0      $ 518,153,347   

Microsoft Common Stock

     1,526,182,502       0       1,526,182,502  

Separately managed accounts:

      

Common stock

     3,071,524,082       0       3,071,524,082  

Mutual funds

     0       770,123,633       770,123,633  

Other

     180,535,880       19,112,205       199,648,085  

Brokerage accounts

     790,232,921       27,124,808       817,357,729  

 

   

 

 

   

 

 

 

Total

   $   6,086,628,732     $   816,360,646       6,902,989,378  
  

 

 

   

 

 

   

Common collective trusts measured at NAV

         13,026,253,235  
      

 

 

 

Total Investments

       $   19,929,242,613  
   

 

 

 

The significance of transfers between levels is evaluated based upon the nature of the financial instrument and the size of the transfer relative to total net assets available for benefits. No significant transfers occurred between Level 1 and Level 2 for the years ended December 31, 2018 and 2017.

NOTE 3 — DERIVATIVES

Investment managers acting under the Plan use derivative instruments to manage risks related to foreign currencies and interest rates, to enhance investment returns for the Plan, and to facilitate Plan portfolio diversification. The Plan’s derivatives consisted of over-the-counter foreign exchange forward contracts and exchange-traded futures contracts, as well as put and call options, for which no hedge accounting treatment is applied. The related notional amounts, gross fair values, and amounts recognized in earnings were immaterial as of and for the years ended December 31, 2018 and 2017. These derivative instruments are a component of the “Other” caption of separately managed accounts in Note 2—Financial Instruments.

NOTE 4 — PARTICIPANT LOANS

Participant loans are available in $100 increments ranging from $1,000 to $50,000. The maximum loan amount is the lesser of (a) 50 percent of the vested account balance, reduced by the current outstanding balance of all other loans from the Plan; or (b) $50,000, reduced by: (1) the current outstanding balance of all other loans from the Plan, and (2) the excess (if any) of all Plan loans during the previous 12 months over the current outstanding balance of Plan loans. When determining the maximum loan amount available under the Plan, outstanding loan balances under any subsidiary and affiliate Microsoft retirement plans are considered in conjunction with the Plan. Participants are limited to two loans—one Primary Residence Loan and one General Loan. The term of a Primary

 

8


Table of Contents

Residence Loan may not exceed 15 years (or 30 years for Nokia Plan legacy loans) or be less than 12 months. The term of a General Loan may not exceed five years (or 15 years for Nokia Plan legacy loans) or be less than 12 months.

The interest rate for participant loans is 1 percent plus the prime rate on corporate loans. The range of interest rates for outstanding Primary Residence Loans as of December 31, 2018 was 3.25 percent to 9.00 percent, maturing at various dates through March 2044. The range of interest rates for outstanding General Loans as of December 31, 2018 was 3.25 percent to 6.25 percent, maturing at various dates through January 2024.

Loan repayments are made through after-tax payroll deductions. Terminated employees generally have 60 days to elect to continue to make loan repayments or pay off the loan in full. Failure of the terminated employee to establish a loan repayment service or payoff the loan in full during this 60-day window generally results in a default of the loan, which is taxable income to the participant, with a possible 10 percent early withdrawal penalty. However, effective January 1, 2018, terminated employees who roll over their Plan account balance to an individual retirement account (“IRA”), Roth IRA, or other employer plan during this 60-day window may avoid such taxable income and 10 percent early withdrawal penalty if they pay off the outstanding loan balance to the rollover recipient IRA custodian or employer plan by the due date (including extensions) for filing their federal income tax return for the year in which the rollover occurred.

NOTE 5 — TAX STATUS

The Internal Revenue Service has determined and informed the Plan, by a letter dated August 21, 2014, that the Plan is qualified as a tax-exempt plan under the appropriate sections of the IRC. The determination letter covered Plan amendments adopted from September 17, 2010 through August 5, 2014, and the trust agreement with Fidelity adopted on July 19, 2013. The Plan has been amended since receiving the determination letter; however, the Plan Administrator believes that the Plan is currently designed and operated in compliance with the applicable requirements of the IRC. Therefore, the Plan is tax-exempt as of the financial statement date and no provision for income taxes has been recorded in the financial statements.

NOTE 6 — PARTY-IN-INTEREST TRANSACTIONS

Certain Plan investments include common collective trusts that are managed by affiliates of Fidelity. Fidelity is the trustee and third-party administrator as defined by the Plan; therefore, these transactions qualify as party-in-interest transactions.

Transactions in Microsoft Common Stock also qualify as party-in-interest transactions. As of December 31, 2018 and 2017, the Plan held 17,035,793 shares of Microsoft Common Stock valued at $1,730,325,484 and 17,841,741 shares of Microsoft Common Stock valued at $1,526,182,502, respectively. During the years ended December 31, 2018 and 2017, the Plan recorded Microsoft Common Stock dividend income of $29,844,171 and $29,683,123, respectively.

 

9


Table of Contents

NOTE 7 — RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500

The following is a reconciliation of net assets available for benefits per the financial statements to net assets per the Form 5500, which is the annual return/report for the Plan:

 

 

 
December 31,    2018     2017  

Net assets available for benefits per the financial statements

   $ 20,377,747,820     $ 20,057,431,975  

Less: benefits payable

     (2,635,425     (2,060,167

 

   

 

 

 

Net assets per the Form 5500

   $   20,375,112,395     $   20,055,371,808  
  

 

 

   

 

 

 

 

The following is a reconciliation of benefits paid to participants per the financial statements to the Form 5500:

 

 

 

 
Year Ended December 31,    2018     2017  

Benefits paid to participants per the financial statements

   $ 821,220,448     $ 833,584,671  

Plus: increase in benefits payable at year end

     575,258       212,500  

 

   

 

 

 

Benefits paid to participants per the Form 5500

   $        821,795,706     $        833,797,171  
  

 

 

   

 

 

 

Benefits payable are recorded on the Form 5500 for payments to participants who requested payment by December 31, but had not been paid as of that date.

 

10


Table of Contents

MICROSOFT CORPORATION

SAVINGS PLUS 401(k) PLAN

EMPLOYER ID 91-1144442, PLAN 001

SUPPLEMENTAL SCHEDULE OF ASSETS (HELD AT END OF YEAR)

AS OF DECEMBER 31, 2018

 

 

 

Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

BROKERAGE ACCOUNTS

        

BrokerageLink **

     N/A         $             880,052,636  

COMMON COLLECTIVE TRUSTS

        

BlackRock LifePath Index 2020

     33,391,128           336,195,238  

BlackRock LifePath Index 2030

     111,485,665           1,118,569,121  

BlackRock LifePath Index 2040

     157,715,607           1,577,061,439  

BlackRock LifePath Index 2050

     119,702,119           1,192,304,931  

BlackRock LifePath Index 2060

     18,439,869           183,557,835  

BlackRock LifePath Index Retirement

     13,324,603           133,972,224  

BlackRock Short-term Investment Fund

       696,403,812           696,403,812  

Fidelity Contrafund Pool Class 3 *

     84,534,820           1,326,351,319  

Fidelity Growth Company Pool Class 3 *

     97,229,745           1,775,415,138  

Vanguard Russell 1000 Growth Index Trust

     5,620,450           843,910,637  

Vanguard Russell 1000 Value Index Trust

     7,251,011           953,653,028  

Vanguard Russell 2000 Growth Index Trust

     6,740,336           890,465,796  

Vanguard S&P 500 Index Trust

     24,535,973           2,207,992,185  

EMPLOYER STOCK

        

Microsoft Common Stock *

     17,035,793           1,730,325,484  

MUTUAL FUNDS

        

PIMCO All Asset All Authority

     3,023,302           23,944,556  

PIMCO Inflation Response Multi-Asset Response

     2,900,985           21,960,455  

Vanguard Short-Term Bond Index Fund (Signal)

     48,734,467           502,452,353  

SEPARATELY MANAGED ACCOUNTS

        

Artisan Mid Cap Account

        

Currency

        

DANISH KRONE

     1,691           259  

Publicly-traded Common Stock

        

ABIOMED INC

     7,847           2,550,589  

ADVANCED MICRO DEVICES INC

     524,584           9,683,821  

AGILENT TECHNOLOGIES INC

     196,206           13,236,057  

ALBEMARLE CORP

     137,534           10,599,745  

ALEXION PHARMACEUTICALS INC

     142,057           13,830,670  

ALIGN TECHNOLOGY INC

     47,589           9,966,564  

APTIV PLC

     210,616           12,967,627  

ATLASSIAN CORP PLC CLS A

     535,445           47,643,896  

BOSTON SCIENTIFIC CORP

     988,975           34,950,377  

BOX INC CL A

     250,968           4,236,340  

 

11


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

BROADRIDGE FINANCIAL SOL

     86,324           8,308,685  

CANADA GOOSE HOLDINGS INC (US)

     303,066                      13,250,046  

CHIPOTLE MEXICAN GRILL INC

     12,064           5,209,115  

CINTAS CORP

     75,594           12,699,036  

COGNEX CORP

     133,933           5,179,189  

CONCHO RESOURCES INC

     65,269           6,709,001  

CREE INC

     395,053           16,898,392  

EDWARDS LIFESCIENCES CORP

     116,788           17,888,418  

EXACT SCIENCES CORP

     200,696           12,663,918  

EXPEDIA INC

     171,397           19,307,872  

FIRST REPUBLIC BANK

     232,583           20,211,463  

FLIR SYSTEMS INC

     291,375           12,686,468  

FORTIVE CORP

     123,542           8,358,852  

GARDNER DENVER HOLDINGS INC

     809,653           16,557,404  

GENMAB AS

     115,804           18,970,424  

GLOBAL PAYMENTS INC

     459,339           47,371,631  

GUIDEWIRE SOFTWARE INC

     272,199           21,838,526  

HARRIS CORP

     161,727           21,776,541  

HASBRO INC

     55,387           4,500,194  

HUBSPOT INC

     102,615           12,901,784  

IHS MARKIT LTD

     811,161           38,911,393  

INSULET CORP

     88,927           7,053,690  

LAM RESEARCH CORP

     74,510           10,146,027  

LONZA GROUP AG

     50,875           13,183,297  

LULULEMON ATHLETICA INC

     132,709           16,138,741  

MARKETAXESS HLDGS INC

     25,594           5,408,268  

MAXIM INTEGRATED PRODUCTS INC

     201,076           10,224,715  

MOTOROLA SOLUTIONS INC

     184,714           21,249,499  

NEUROCRINE BIOSCIENCES INC

     131,459           9,387,487  

NEW YORK TIMES CO CL A

     421,833           9,402,658  

OLLIES BARGAIN OUTLET HOLDINGS

     43,996           2,926,174  

PAGSEGURO DIGITAL LTD CL A

     262,711           4,920,577  

PROGRESSIVE CORP OHIO

     572,473           34,537,296  

ROKU INC CLASS A

     123,927           3,797,123  

ROPER TECHNOLOGIES INC

     90,938           24,236,796  

SAGE THERAPEUTICS INC

     21,614           2,070,405  

SERVICEMASTER GLOBAL HLDG INC

     132,749           4,877,198  

STANLEY BLACK & DECKER INC

     157,251           18,829,235  

SVB FINL GROUP

     36,985           7,024,191  

TABLEAU SOFTWARE INC CL A

     285,521           34,262,520  

TAKE-TWO INTERACTV SOFTWR INC

     173,892           17,900,442  

TD AMERITRADE HOLDING CORP

     328,460           16,081,402  

TEMENOS AG

     83,571           10,024,439  

TRADE DESK INC

     45,219           5,248,117  

 

12


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

TRANSUNION

     302,187                      17,164,222  

TREASURY WINE ESTATES LTD

     909,869           9,484,820  

TRIMBLE INC

     175,475           5,774,882  

TWITTER INC

     215,057           6,180,738  

UNDER ARMOUR INC CL A

     281,793           4,979,282  

VEEVA SYS INC CL A

     365,860           32,678,615  

WAYFAIR INC

     112,822           10,163,006  

WELLCARE HEALTH PLANS INC

     41,222           9,732,102  

WEST PHARMACEUTICAL SVCS INC

     115,243           11,297,271  

WESTINGHOUSE AIR BRAKE TEC CRP

     115,109           8,086,407  

WORLDPAY INC

     308,022           23,542,121  

ZYNGA INC

     4,010,475           15,761,167  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     30,554,597           30,554,594  
        

 

 

 

Artisan Mid Cap Account Total

           976,193,821  

DFA Small Mid Value Account

        

Publicly-traded Common Stock

        

1 800 FLOWERS.COM INC CL A

     20,105           245,884  

AAR CORP

     16,180           604,161  

AARONS INC A

     23,635           993,852  

ABERCROMBIE & FITCH CO CL A

     28,111           563,626  

ABM INDUSTRIES INC

     25,672           824,328  

ABRAXAS PETROLEUM CORP

     23,027           25,099  

ACACIA RESEARCH—ACACIA TECH

     16,702           49,772  

ACADIA HEALTHCARE CO INC

     34,608           889,772  

ACCESS NATIONAL CORP

     5,553           118,445  

ACCO BRANDS CORP

     41,783           283,289  

ACETO CORP

     12,903           10,839  

ACHILLION PHARMACEUTICALS INC

     65,534           104,199  

ACORDA THERAPEUTICS INC

     27,721           431,893  

ACTUANT CORP CL A

     15,327           321,714  

ACUITY BRANDS INC

     2,792           320,940  

ACUSHNET HOLDINGS CORP

     22,214           468,049  

ADAMS RESOURCES AND ENERGY INC

     330           12,774  

ADDUS HOMECARE CORP

     8,982           609,698  

ADIENT PLC

     21,704           326,862  

ADTALEM GLOBAL EDUCATION INC

     28,180           1,333,478  

ADTRAN INC

     37,430           401,998  

ADVANCED DISPOSAL SERVICES INC

     27,669           662,396  

ADVANCED ENERGY INDUSTRIES INC

     5,943           255,133  

ADVANSIX INC

     14,111           343,462  

ADVERUM BIOTECHNOLOGIES INC

     17,230           54,275  

AECOM

     125,890           3,336,085  

 

13


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

AEGION CORP

     17,837           291,100  

AEROCENTURY CORP

     600           5,742  

AEROVIRONMENT INC

     8,095           550,055  

AGCO CORP

     29,448                        1,639,370  

AGILYSYS INC

     2,359           33,828  

AGROFRESH SOLUTIONS INC

     11,792           44,692  

AH BELO CORP CL A

     9,816           33,080  

AIR LEASE CORP CL A

     78,760           2,379,340  

AIR TRANSPORT SERVICES GROUP

     15,706           358,254  

AKORN INC

     21,700           73,563  

ALAMO GROUP INC

     9,561           739,257  

ALASKA AIR GROUP INC

     45,460           2,766,241  

ALASKA COMM SYS GROUP INC

     8,586           12,364  

ALBANY INTERNATIONAL CORP CL A

     5,324           332,377  

ALCOA CORP

     59,156           1,572,366  

ALEXANDER & BALDWIN INC

     7,934           145,827  

ALICO INC

     2,202           64,959  

ALLEGHENY TECHNOLOGIES INC

     21,351           464,811  

ALLEGIANCE BANCSHARES INC

     4,164           134,789  

ALLEGIANT TRAVEL CO

     1,070           107,235  

ALLSCRIPTS HLTHCARE SOLS INC

     136,498           1,315,841  

ALPHA & OMEGA SEMICNDTR LTD

     10,198           103,918  

ALTA MESA RESOURCES INC A

     28,631           28,631  

AMAG PHARMACEUTICALS INC

     3,540           53,773  

AMBAC FINANCIAL GROUP INC

     9,115           157,143  

AMC ENTERTAINMENT HLDS CL A

     17,168           210,823  

AMERCO INC

     7,436           2,439,826  

AMERESCO INC-CL A

     12,085           170,399  

AMERICAN AXLE & MFG HLDGS INC

     75,815           841,547  

AMERICAN EAGLE OUTFITTERS INC

     70,384           1,360,523  

AMERICAN EQY INVT LIFE HLD CO

     43,231           1,207,874  

AMERICAN NATIONAL INSURANCE

     6,979           888,008  

AMERICAN NATL BANKSHARES INC

     5,308           155,577  

AMERICAN OUTDOOR BRANDS CORP

     12,687           163,155  

AMERICAN PUBLIC EDUCATION INC

     12,805           364,430  

AMERICAN SOFTWARE INC CL A

     1,623           16,960  

AMERICAN SUPERCONDUCTOR CORP

     3,900           43,485  

AMERICAN VANGUARD CORP

     15,525           235,825  

AMERICAN WOODMARK

     6,185           344,381  

AMERICAS CAR MART INC

     5,142           372,538  

AMERIS BANCORP

     9,019           285,632  

AMERISAFE INC

     3,114           176,533  

AMKOR TECHNOLOGY INC

     154,442           1,013,140  

AMNEAL PHARMACEUTICALS INC

     2,344           31,714  

 

14


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

AMPCO-PITTSBURG CORP

     9,934           30,795  

AMPHASTAR PHARMACEUTICALS INC

     18,944           376,986  

AMTECH SYSTEMS INC

     11,695           52,978  

ANDERSONS INC

     21,707           648,822  

ANGIODYNAMICS INC

     22,392           450,751  

ANIKA THERAPEUTICS INC

     10,235           343,998  

ANIXTER INTL INC

     16,856           915,449  

ANTERO RES CORP

     143,033                        1,343,080  

APOGEE ENTERPRISES INC

     15,464           461,600  

APPLIED GENETIC TECHNO CORP

     2,874           7,156  

APPLIED INDUSTRIAL TECH INC

     1,401           75,570  

APPLIED OPTOELECTRONICS INC

     2,233           34,455  

APTEVO THERAPEUTICS INC W/I

     15,529           19,722  

AQUAVENTURE HOLDINGS LTD

     1,166           22,026  

ARAVIVE INC

     2,397           8,437  

ARC DOCUMENT SOLUTIONS INC

     26,612           54,555  

ARCBEST CORP

     11,050           378,573  

ARCH COAL INC CL A

     9,676           803,011  

ARCHROCK INC

     35,558           266,329  

ARCOSA INC

     22,777           630,695  

ARDELYX INC

     19,663           35,197  

ARDMORE SHIPPING CORP

     7,598           35,483  

ARGAN INC

     7,932           300,147  

ARGO GROUP INTL

     20,667           1,389,856  

ARMSTRONG FLOORING INC

     13,129           155,447  

AROTECH CORP

     13,694           35,878  

ARRIS INTERNATIONAL PLC

     67,900           2,075,703  

ARROW ELECTRONICS INC

     65,258           4,499,539  

ARROW FINANCIAL CORP

     6,575           210,532  

ASBURY AUTOMOTIVE GROUP INC

     1,634           108,922  

ASCENA RETAIL GROUP INC

     103,961           260,942  

ASCENT CAPITAL GROUP INC

     7,319           2,854  

ASGN INC

     8,936           487,012  

ASHLAND GLOBAL HOLDINGS INC

     24,772           1,757,821  

ASPEN INSURANCE HLDGS LTD

     39,531           1,659,907  

ASSERTIO THERAPEUTICS INC

     27,004           97,484  

ASSOCIATED BANC CORP

     121,791           2,410,244  

ASSURANT INC

     41,993           3,755,854  

ASSURED GUARANTY LTD

     52,711           2,017,777  

ASTEC INDUSTRIES INC

     13,364           403,459  

ASTRONICS CORP

     10,213           310,986  

ASTRONICS CORP CL B

     2,236           67,997  

ASURE SOFTWARE INC

     1,348           6,848  

AT HOME GROUP INC

     5,503           102,686  

 

15


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

ATHENE HOLDING LTD

     16,831           670,379  

ATLANTIC CAPITAL BANCSHARES IN

     5,980           97,893  

ATLAS AIR WORLD

     19,932           840,931  

ATLAS FINANCIAL HOLDINGS INC

     5,380           43,524  

ATN INTERNATIONAL INC

     5,868           419,738  

AUTONATION INC

     56,916           2,031,901  

AVANOS MEDICAL INC

     20,990           940,142  

AVIAT NETWORKS INC

     2,296           30,422  

AVNET INC

     86,446                        3,120,701  

AVX CORP

     47,969           731,527  

AWARE INC MASS

     5,120           18,483  

AXCELIS TECHNOLOGIES INC

     16,091           286,420  

AXIS CAPITAL HOLDINGS LTD

     17,045           880,204  

AXOS FINANCIAL INC

     6,777           170,645  

AXT INC

     24,878           108,219  

AZZ INC

     8,391           338,661  

B&G FOODS INC

     4,906           141,832  

BALLANTYNE STRONG INC

     1,527           1,756  

BANC OF CALIFORNIA INC

     18,068           240,485  

BANCFIRST CORP

     7,876           393,012  

BANCORP INC DEL

     44,441           353,750  

BANCORPSOUTH BANK

     17,762           464,299  

BANK MARIN BANCORP

     3,092           127,514  

BANK OZK

     35,129           801,995  

BANKFINANCIAL CORP

     1,100           16,445  

BANKUNITED INC

     17,726           530,716  

BANNER CORP

     20,197           1,080,136  

BAR HARBOR BANKSHARES

     4,120           92,412  

BARNES & NOBLE EDUCATION INC

     27,282           109,401  

BARNES & NOBLE INC

     38,081           269,994  

BARNES GROUP INC

     13,780           738,884  

BASIC ENERGY SERVICES INC

     11,264           43,254  

BASSETT FURNITURE INDS INC

     2,530           50,701  

BAYCOM CORP

     797           18,403  

BBX CAPITAL CORP A

     9,077           52,011  

BCB BANCORP INC

     2,239           23,442  

BEACON ROOFING SUPPLY INC

     17,022           539,938  

BED BATH & BEYOND INC

     48,630           550,492  

BEL FUSE INC NV CL B

     4,882           89,926  

BELDEN INC

     12,698           530,395  

BELMOND LTD CL A

     29,035           726,746  

BENCHMARK ELECTRONICS INC

     17,175           363,767  

BENEFICIAL BANCORP INC

     24,108           344,503  

BERKSHIRE HILLS BANCORP INC

     17,494           471,813  

 

16


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

BIG 5 SPORTING GOODS CORP

     13,448           34,830  

BIG LOTS INC

     11,770           340,388  

BIGLARI HLDGS INC CL A

     32           18,805  

BIGLARI HLDGS INC CL B

     458           52,020  

BJ’S RESTAURANTS INC

     2,502           126,526  

BLACK BOX CORPORATION

     14,093           15,220  

BLUCORA INC

     25,203                           671,408  

BLUE HILLS BANCORP INC

     7,702           164,361  

BMC STK HLDGS INC

     33,431           517,512  

BOISE CASCADE CO

     14,835           353,815  

BOJANGLES INC

     8,714           140,121  

BOK FINANCIAL COMMON NEW

     4,513           330,938  

BONANZA CREEK ENERGY INC

     7,851           162,280  

BOOT BARN HOLDINGS INC

     7,611           129,615  

BORGWARNER INC

     26,522           921,374  

BOSTON PRIVATE FINL HLDG INC

     49,409           522,253  

BOYD GAMING CORP

     4,249           88,294  

BRADY CORPORATION CL A

     12,369           537,557  

BRIDGE BANCORP INC

     5,768           147,026  

BRIDGEPOINT EDUCATION INC

     24,045           168,555  

BRIGGS & STRATTON CORP

     11,655           152,447  

BRISTOW GROUP INC

     19,292           46,880  

BROADWIND ENERGY INC

     2,409           3,132  

BROOKDALE SENIOR LIVING INC

     73,402           491,793  

BROOKLINE BANCORP INC

     32,544           449,758  

BROOKS AUTOMATION INC

     25,884           677,643  

BRYN MAWR BANK CORP

     10,614           365,122  

BSB BANCORP INC

     433           12,150  

BSQUARE CORP

     6,836           10,596  

BUILD A BEAR WORKSHOP INC

     9,374           37,027  

C & F FINANCIAL CORP

     236           12,558  

C T S CORP

     4,030           104,337  

C&J ENERGY SERVICES INC

     13,324           179,874  

CACI INTERNATIONAL INC

     7,368           1,061,213  

CADENCE BANCORP CL A

     17,811           298,869  

CAI INTERNATIONAL INC

     9,925           230,558  

CALERES INC

     20,269           564,086  

CALITHERA BIOSCIENCES INC

     7,881           31,603  

CALIX NETWORKS INC

     20,063           195,614  

CALLAWAY GOLF CO

     28,808           440,762  

CALLON PETROLEUM CO

     70,269           456,046  

CAL-MAINE FOODS INC

     7,223           305,533  

CAMBREX CORP

     2,839           107,201  

CAMDEN NATIONAL CORP

     7,364           264,883  

 

17


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

CANNAE HOLDINGS INC

     12,860           220,163  

CAPITAL CITY BANK GROUP INC

     7,893           183,197  

CAPITOL FED FINL (2ND STEP CV)

     69,424                           886,544  

CARBO CERAMICS INC

     1,684           5,860  

CARDTRONICS PLC

     6,247           162,422  

CAREER EDUCATION CORP

     13,510           154,284  

CARLISLE COS INC

     1,922           193,199  

CAROLINA FINANCIAL CORP

     3,671           108,625  

CARPENTER TECHNOLOGY CORP

     25,482           907,414  

CARRIAGE SERVICES INC

     8,718           135,129  

CARROLS RESTAURANT GROUP INC

     10,511           103,428  

CARS.COM INC

     28,640           615,760  

CASEY GENERAL STORES

     4,478           573,811  

CATALYST BIOSCIENCES INC

     2,041           16,103  

CATO CORP CL A

     11,900           169,813  

CAVCO INDUSTRIES INC

     2,823           368,063  

CBIZ INC

     32,659           643,382  

CECO ENVIRONMENTAL CORP

     16,950           114,413  

CELADON GRP INC

     11,160           9,263  

CELLDEX THERAPEUTICS INC

     37,896           7,500  

CENTENNIAL RESOURCE DEV INC A

     47,728           525,963  

CENTERSTATE BANKS CORPORATION

     12,631           265,756  

CENTRAL GARDEN & PET CO

     4,347           149,754  

CENTRAL GARDEN & PET CO CL A

     15,468           483,375  

CENTRAL PACIFIC FINANCIAL CORP

     12,818           312,118  

CENTRAL VALLEY CMNTY BANCORP

     3,234           61,026  

CENTURY ALUMINUM COMPANY

     30,146           220,367  

CENTURY BANCORP INC CL A NVTG

     842           57,029  

CENTURY CASINOS INC

     4,738           35,014  

CENTURY COMMUNITIES INC

     11,017           190,153  

CEVA INC

     1,021           22,554  

CHART INDUSTRIES INC

     21,237           1,381,042  

CHEFS WAREHOUSE INC

     10,361           331,345  

CHEMICAL FINANCIAL CORP

     20,997           768,700  

CHICAGO RIVET & MACHINE CO

     300           9,450  

CHICOS FAS INC

     55,317           310,882  

CHIMERIX INC

     23,842           61,274  

CHUYS HOLDINGS INC

     4,237           75,164  

CIMAREX ENERGY CO

     25,014           1,542,113  

CINCINNATI BELL INC

     3,412           26,545  

CINEMARK HOLDINGS INC

     6,886           246,519  

CIRCOR INTERNATIONAL INC

     15,023           319,990  

CIRRUS LOGIC INC

     6,355           210,859  

CIT GROUP INC

     30,074           1,150,932  

 

18


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

CITI TRENDS INC

     7,437           151,640  

CITIZENS & NORTHERN CORP

     1,167           30,844  

CITY HOLDING CO

     2,652           179,249  

CIVEO CORP

     42,900           61,347  

CIVISTA BANCSHARES INC

     1,509           26,287  

CIVITAS SOLUTIONS INC

     4,275           74,855  

CLEAN ENERGY FUELS CORP

     76,434           131,466  

CLEAN HARBORS INC

     14,279           704,669  

CLEARFIELD INC

     900           8,928  

CLEARWATER PAPER CORP

     7,361           179,388  

CLOUD PEAK ENERGY INC

     62,325           22,830  

CNB FINANCIAL CORP PA

     4,054           93,039  

CNX RESOURCES CORP

     112,834                        1,288,564  

COEUR MINING INC

     38,896           173,865  

COHERENT INC

     1,706           180,341  

COHU INC

     17,721           284,776  

COLFAX CORP

     44,485           929,737  

COLUMBIA BANKING SYSTEMS INC

     19,923           723,006  

COLUMBUS MCKINNON CORP NY

     9,770           294,468  

COMMERCIAL METALS CO

     44,935           719,859  

COMMERCIAL VEHICLE GROUP INC

     14,651           83,511  

COMMSCOPE HOLDING CO INC

     12,385           202,990  

COMMUNITY BANK SYSTEMS INC

     14,391           838,995  

COMMUNITY HEALTH SYS INC NEW

     29,982           84,549  

COMMUNITY TRUST BANCORP INC

     7,596           300,878  

COMPUTER TASK GROUP INC

     7,144           29,148  

COMTECH TELECOMMUNICATIONS NEW

     11,781           286,750  

CONCERT PHARMACEUTICALS INC

     3,077           38,616  

CONDUENT INC

     54,399           578,261  

CONMED CORP

     10,915           700,743  

CONNECTONE BANCORP INC

     12,075           223,025  

CONNS INC

     6,097           114,989  

CONSOL ENERGY INC—W/I

     14,104           447,238  

CONSOLIDATED COMM HLDGS INC

     20,864           206,136  

CONSOLIDATED TOMOKA LAND CO

     1,749           91,823  

CONSUMER PORTFOLIO SVCS INC

     8,447           25,425  

CONTAINER STORE GROUP INC

     299           1,426  

CONTANGO OIL & GAS CO

     17,582           57,142  

CONTROL4 CORP

     6,963           122,549  

COOPER STANDARD HOLDING INC

     6,673           414,527  

COOPER TIRE & RUBBER COMPANY

     23,810           769,777  

COPA HOLDINGS SA CL A

     4,889           384,813  

CORE MOLDING TECH INC

     2,250           15,998  

CORE-MARK HOLDING CO INC

     12,927           300,553  

 

19


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

COREPOINT LODGING INC

     1,235           15,129  

COSTAMARE INC

     24,782           108,793  

COTY INC CL A

     174,816                        1,146,793  

COVENANT TRANSPORT GROUP CL A

     5,960           114,432  

COWEN INC

     12,173           162,388  

CPI AEROSTRUCTURES INC

     3,000           19,110  

CRA INTERNATIONAL INC

     4,216           179,391  

CRAFT BREW ALLIANCE INC

     12,121           173,452  

CRAY INC

     12,776           275,834  

CREE INC

     16,453           703,777  

CROCS INC

     7,676           199,422  

CROSS COUNTRY HEALTHCARE INC

     13,126           96,214  

CRYOLIFE INC

     8,691           246,651  

CSS INDUSTRIES INC

     3,889           34,884  

CSW INDUSTRIALS INC W/I

     3,442           166,421  

CUBIC CORP

     7,967           428,147  

CULP INC

     4,391           82,990  

CUSTOMERS BANCORP INC

     11,904           216,653  

CVB FINANCIAL CORP

     9,879           199,852  

CYBEROPTICS CORP

     4,223           74,451  

DAKTRONICS INC

     23,392           173,101  

DANA INC

     12,901           175,841  

DARLING INGREDIENTS INC

     70,257           1,351,745  

DATA I O CORP

     1,500           7,500  

DAWSON GEOPHYSICAL CO

     12,650           42,757  

DEAN FOODS CO

     37,860           144,247  

DECKERS OUTDOOR CORP

     8,747           1,119,179  

DEL FRISCOS RESTAURANT GP INC

     11,081           79,229  

DEL TACO RESTAURANTS INC

     15,658           156,423  

DELEK US HOLDINGS INC

     32,030           1,041,295  

DELUXE CORP

     3,009           115,666  

DENBURY RESOURCES INC

     169,885           290,503  

DESTINATION MATERNITY INC

     2,888           8,202  

DESTINATION XL GROUP INC

     20,171           43,771  

DHI GROUP INC

     34,657           52,679  

DHT HOLDINGS INC

     39,179           153,582  

DIAMOND OFFSHORE DRILLING

     43,905           414,463  

DICKS SPORTING GOODS INC

     30,043           937,342  

DIGI INTERNATIONAL INC

     16,542           166,909  

DIGIRAD CORP

     4,600           2,622  

DILLARDS INC CL A

     12,315           742,718  

DIME COMMUNITY BANCSHARES INC

     21,613           366,989  

DINE BRANDS GLOBAL INC

     1,415           95,286  

DIODES INC

     23,825           768,595  

 

20


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

DIPLOMAT PHARMACY INC

     9,637           129,714  

DIXIE GROUP INC

     3,539           2,488  

DMC GLOBAL INC

     3,401           119,443  

DOMTAR CORP

     26,560                           933,053  

DONEGAL GROUP INC CL A

     13,971           190,634  

DORIAN LPG LTD

     15,775           91,968  

DOUGLAS DYNAMICS INC

     1,730           62,090  

DOVER MOTORSPORTS INC

     4,100           7,708  

DRIL-QUIP INC

     21,482           645,104  

DSP GROUP

     11,328           126,874  

DSW INC CL A

     31,955           789,289  

DUCOMMUN INC

     6,929           251,661  

DXP ENTERPRISES INC

     4,428           123,276  

DYCOM INDUSTRIES INC

     1,987           107,377  

EAGLE BANCORP INC MD

     9,153           445,843  

EAGLE BULK SHIPPING INC

     13,074           60,271  

EARTHSTONE ENERGY INC

     2,637           11,919  

EASTERN CO

     1,100           26,598  

ECHO GLOBAL LOGISTICS INC

     14,052           285,677  

ECHOSTAR CORP CL A

     25,330           930,118  

ECLIPSE RESOURCES CORP

     26,210           27,521  

EDGEWELL PERSONAL CARE CO

     17,015           635,510  

EHEALTH INC

     1,048           40,264  

EL POLLO LOCO HLDGS INC

     9,480           143,812  

ELECTRO SCIENTIFIC INDS INC

     19,743           591,500  

ELECTROMED INC

     1,717           8,740  

ELECTRONICS FOR IMAGING INC

     22,132           548,874  

ELEMENT SOLUTIONS INC

     85,185           879,961  

ELLIE MAE INC

     5,147           323,386  

EMC INSURANCE GROUP INC

     7,803           248,526  

EMCOR GROUP INC

     7,315           436,632  

EMCORE CORP

     13,001           54,604  

EMERALD EXPOSITIONS EVENTS INC

     3,178           39,217  

EMERGENT BIOSOL

     10,533           624,396  

EMPLOYERS HOLDINGS INC

     15,647           656,705  

ENCORE CAP GROUP INC

     19,250           452,375  

ENCORE WIRE CORPORATION

     7,480           375,346  

ENDO INTERNATIONAL PLC

     47,059           343,531  

ENERSYS INC

     2,949           228,872  

ENGILITY HOLDINGS INC

     15,047           428,238  

ENLINK MIDSTREAM LLC

     43,187           409,845  

ENNIS INC

     8,746           168,361  

ENOVA INTL INC

     22,523           438,298  

ENPRO INDUSTRIES INC

     3,752           225,495  

 

21


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

ENSCO PLC CL A

     138,144           491,793  

ENSIGN GROUP INC

     8,977           348,218  

ENSTAR GROUP LTD

     4,554           763,114  

ENTEGRA FINANCIAL CORP

     890           18,468  

ENTERCOM COMM CORP CL A

     30,954           176,747  

ENTERPRISE FINL SVCS CORP

     5,072           190,859  

ENTRAVISION COMMUN CRP CL A

     26,247           76,379  

EPLUS INC

     5,337           379,834  

EQUITY BANCSHARES INC

     3,160           111,390  

ERA GROUP INC

     10,194           89,096  

ESCALADE

     1,300           14,885  

ESCO TECHNOLOGIES INC

     8,703           573,963  

ESPEY MFG.&ELECTRIC

     272           6,778  

ESSA BANCORP INC

     3,403           53,121  

ESSENDANT INC

     17,881           224,943  

ESTERLINE TECHNOLOGIES CORP

     12,477                        1,515,332  

ETHAN ALLEN INTERIORS INC

     11,916           209,602  

EVINE LIVE INC CL A

     4,996           1,993  

EVOLENT HEALTH INC A

     15,963           318,462  

EXLSERVICE HOLDINGS INC

     3,635           191,274  

EXPERI CORP

     7,103           130,624  

EXPRESS INC

     35,565           181,737  

EXTENDED STAY AMERICA INC UNIT

     63,262           980,561  

EXTERRAN CORP

     13,901           246,048  

EXTRACTION OIL & GAS INC

     30,456           130,656  

EZCORP INC CL A NON VTG

     40,315           311,635  

FABRINET

     11,175           573,389  

FARMER BROTHERS CO

     4,653           108,554  

FARMERS NATL BANC CORP

     7,317           93,219  

FARO TECHNOLOGIES INC

     6,875           279,400  

FB FINANCIAL CORP

     408           14,288  

FBL FINANCIAL GROUP INC CL A

     10,355           679,806  

FCB FINANCIAL HLDGS INC CL A

     12,046           404,505  

FEDERAL AGRI MTG NON VTG CL C

     3,241           195,886  

FEDERAL SIGNAL CORP

     19,835           394,717  

FEDNAT HOLDING CO

     9,690           193,025  

FERROGLOBE PLC

     42,510           67,591  

FERROGLOBE REP&WARRANTY INS TR

     20,872           0  

FIDELITY SOUTHERN CORP

     13,459           350,203  

FIESTA RESTAURANT GROUP INC

     8,557           132,719  

FINANCIAL INSTITUTIONS INC

     9,443           242,685  

FINISAR CORP

     36,346           785,074  

FINJAN HOLDINGS INC

     4,000           10,040  

FIRST AMERICAN FINANCIAL CORP

     31,912           1,424,552  

 

22


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

FIRST BANCORP INC ME

     3,780           99,414  

FIRST BANCORP NC

     7,891           257,720  

FIRST BANCORP PUERTO RICO

     75,087           645,748  

FIRST BANCSHARES INC MISS

     2,414           73,024  

FIRST BUSEY CORP

     8,553           209,891  

FIRST BUSINESS FIN SVCS INC

     357           6,965  

FIRST CITIZENS BANCSHARES INC

     1,189           448,312  

FIRST COMMONWEALTH FINL CORP

     38,571           465,938  

FIRST COMMUNITY BANKSHARES, IN

     8,770           276,080  

FIRST DEFIANCE FINL CORP

     9,768           239,414  

FIRST FINANCIAL BANCORP

     39,791                           943,843  

FIRST FINANCIAL INDIANA

     1,588           63,758  

FIRST FINANCIAL NORTWEST INC

     4,521           69,940  

FIRST FOUNDATION INC

     10,388           133,590  

FIRST HAWAIIAN INC

     12,312           277,143  

FIRST HORIZON NATIONAL CORP

     45,602           600,122  

FIRST INTERNET BANCORP

     2,793           57,089  

FIRST INTST BANCSYST INC CL A

     14,392           526,172  

FIRST MERCHANTS CORP

     12,999           445,476  

FIRST MID ILL BANCSHARES INC

     2,088           66,649  

FIRST MIDWEST BANCORP INC DEL

     42,724           846,362  

FIRST NORTHWEST BANCORP

     553           8,201  

FIRST OF LONG ISLAND CORP

     7,177           143,181  

FIRST SOLAR INC

     16,996           721,565  

FIRST SOURCE CORP

     6,543           263,945  

FITBIT INC CL A

     20,721           102,983  

FIVE PRIME THERAPEUTICS INC

     9,149           85,086  

FIVE STAR SENIOR LIVING INC

     2,229           1,037  

FLAGSTAR BANCORP INC

     20,336           536,870  

FLEX LTD

     104,927           798,494  

FLEXIBLE SOLUTIONS INTL INC

     4,800           6,480  

FLEXSTEEL IND

     3,153           69,618  

FLOTEK INDUSTRIES INC

     27,543           30,022  

FLUSHING FINANCIAL CORP

     14,849           319,699  

FNB CORP PA

     103,018           1,013,697  

FONAR CORP

     2,259           45,722  

FOOT LOCKER INC

     38,220           2,033,304  

FORESTAR GROUP INC

     4,358           60,358  

FORMFACTOR INC

     23,258           327,705  

FORUM ENERGY TECHNOLOGIES INC

     48,348           199,677  

FORWARD AIR CORP

     3,912           214,573  

FOSSIL GROUP INC

     10,522           165,511  

FOSTER L B CO CL A

     6,716           106,784  

FRANCESCA’S HOLDINGS CORP

     15,964           15,498  

 

23


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

FRANKLIN ELECTRIC CO. INC.

     11,668           500,324  

FRANKLIN FINANCIAL NETWORK INC

     6,007           158,405  

FRANK’S INTERNATIONAL NV

     12,493           65,213  

FREDS INC CL A

     18,000           34,020  

FREIGHTCAR AMERICA INC

     7,555           50,543  

FRESH DEL MONTE PRODUCE INC

     20,165           570,065  

FRIEDMAN INDS INC

     1,579           11,132  

FRONTIER COMMUNICATIONS CORP

     29,212           69,525  

FRP HOLDINGS INC

     1,592           73,248  

FS BANCORP INC

     627           26,886  

FTD COS INC

     15,098           22,345  

FTI CONSULTING INC

     17,092                        1,139,011  

FUELCELL ENERGY INC

     9,790           5,389  

FULLER H B CO

     16,316           696,204  

FULTON FINANCIAL CORP

     69,784           1,080,256  

FUTUREFUEL CORP

     16,917           268,304  

GAIN CAPITAL HOLDINGS INC

     23,065           142,080  

GAMCO INVESTORS INC

     416           7,026  

GAMESTOP CORP CL A

     41,371           522,102  

GANNETT CO INC NEW

     44,579           380,259  

GASLOG LTD

     14,670           241,468  

GATX CORP

     14,535           1,029,223  

GCI LIBERTY INC CL A

     2,113           86,971  

GCI LIBERTY SR A 5% PFD PERP

     670           16,234  

GENCO SHIPPING & TRADING LTD

     5,405           42,645  

GENCOR INDUSTRIES INC

     2,966           32,537  

GENESCO INC

     11,758           520,879  

GENESEE & WYOMING INC CL A

     27,390           2,027,408  

GENTEX CORP

     44,654           902,457  

GENTHERM INC

     8,717           348,506  

GENWORTH FINANCIAL INC A

     23,897           111,360  

GEOSPACE TECHNOLOGIES CORP

     7,949           81,954  

GERMAN AMERICAN BANCORP INC

     5,325           147,875  

GIBRALTAR INDUSTRIES INC

     10,725           381,703  

G-III APPAREL GROUP LTD

     18,293           510,192  

GLATFELTER

     20,475           199,836  

GLOBAL EAGLE ENTERTAINMENT INC

     1,935           4,315  

GLOBAL INDEMNITY LTD

     5,753           208,431  

GMS INC

     5,426           80,630  

GOLD RESOURCE CORP

     2,679           10,716  

GOLDEN OCEAN GROUP LTD

     1,900           11,704  

GOLDFIELD CORP

     18,894           42,700  

GOODRICH PETROLEUM CORP

     886           11,961  

GOODYEAR TIRE & RUBBER CO

     61,894           1,263,257  

 

24


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

GORMAN-RUPP CO

     5,829           188,918  

GP STRATEGIES CORP

     6,168           77,778  

GRAHAM CORPORATION

     3,138           71,672  

GRAHAM HOLDINGS CO

     1,844                        1,181,230  

GRANITE CONSTRUCTION INC

     23,850           960,678  

GRAPHIC PACKAGING HOLDING CO

     2,427           25,823  

GRAY TELEVISION INC

     27,725           408,667  

GREAT LAKES DREDGE & DOCK CORP

     28,458           188,392  

GREAT SOUTHERN BANCORP INC

     7,626           351,025  

GREAT WESTERN BANCORP INC

     18,056           564,250  

GREEN BANCORP INC

     8,200           140,548  

GREEN BRICK PARTNERS INC

     4,940           35,766  

GREEN DOT CORP CLASS-A

     3,683           292,872  

GREEN PLAINS INC

     17,085           223,984  

GREENBRIER COMPANIES INC

     10,773           425,964  

GREENLIGHT CAPITAL RE LTD A

     15,550           134,041  

GREIF INC CL A

     10,414           386,464  

GREIF INC CL B

     2,044           90,754  

GRIFFON CORP

     10,897           113,874  

GROUP 1 AUTOMOTIVE INC

     7,451           392,817  

GSI TECHNOLOGY INC

     4,196           21,567  

GUARANTY BANCORP

     3,220           66,815  

GUARANTY BANCSHARES INC

     187           5,576  

GUESS INC

     53,162           1,104,175  

GULF ISLAND FABRICATION INC

     8,612           62,179  

GULFPORT ENERGY CORP

     61,032           399,760  

HABIT RESTAURANTS INC CL A

     3,310           34,755  

HAEMONETICS CORP MASS

     8,180           818,409  

HALCON RESOURCES CORP

     45,125           76,713  

HALLADOR PETROLEUM CO

     1,473           7,468  

HALLMARK FIN SERVICES INC

     2,831           30,263  

HANCOCK WHITNEY CORP

     32,326           1,120,096  

HANMI FINANCIAL CORPORATION

     10,647           209,746  

HANOVER INSURANCE GROUP INC

     9,270           1,082,458  

HARBORONE BANCORP INC

     2,658           42,236  

HARMONIC INC

     61,557           290,549  

HARTE-HANKS INC

     2,213           5,355  

HARVARD BIOSCIENCES INC

     12,612           40,106  

HAVERTY FURNITURE COS INC

     9,000           169,020  

HAWAIIAN HLDGS INC

     15,456           408,193  

HAWKINS INC

     3,526           144,390  

HAYNES INTL INC

     6,822           180,101  

HCI GROUP INC

     3,879           197,092  

HEALTHSTREAM INC

     5,224           126,160  

 

25


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

HEARTLAND EXPRESS INC

     17,915           327,845  

HEARTLAND FINANCIAL USA INC

     6,927           304,442  

HECLA MINING CO

     259,286           611,915  

HEIDRICK & STRUGGLES INTL INC

     8,975           279,930  

HELEN OF TROY LTD

     7,986                        1,047,603  

HELIX ENERGY SOL GRP INC

     100,803           545,344  

HELMERICH & PAYNE INC

     19,095           915,414  

HEMISPHERE MEDIA GRP INC

     2,456           29,816  

HERC HOLDINGS INC

     1,543           40,103  

HERITAGE COMMERCE CORP

     18,977           215,199  

HERITAGE CRYSTAL CLEAN INC

     3,917           90,130  

HERITAGE FINANCIAL CORP WASH

     14,586           433,496  

HERITAGE INSURANCE HOLDINGS IN

     6,067           89,306  

HERTZ GLOBAL HOLDINGS INC

     26,095           356,197  

HIBBETT SPORTS INC

     9,873           141,184  

HIGHPOINT RESOURCES CORP

     51,730           128,808  

HILL INTL INC

     5,059           15,582  

HILLTOP HLDGS I

     35,827           638,795  

HINGHAM INSTITUTION FOR SAVING

     104           20,565  

HMS HOLDINGS CORP

     11,335           318,854  

HOME BANCORP INC

     1,037           36,710  

HOME BANCSHARES INC

     9,379           153,253  

HOMESTREET INC

     12,030           255,397  

HOMETRUST BANCSHARES INC

     4,475           117,156  

HOOKER FURNITURE CORP

     4,681           123,298  

HOPE BANCORP INC

     70,553           836,759  

HORACE MANN EDUCATORS CORP

     16,151           604,855  

HORIZON BANCORP INC INDIANA

     12,424           196,051  

HORIZON GLOBAL CORP

     8,142           11,643  

HORIZON PHARMA PLC

     7,629           149,071  

HORNBECK OFFSHORE SERVICES INC

     7,548           10,869  

HOSTESS BRANDS INC CL A

     22,100           241,774  

HOUGHTON MIFFLIN HARCOURT CO

     24,433           216,476  

HOUSTON WIRE & CABLE CO

     3,800           19,228  

HOWARD BANCORP INC

     1,304           18,647  

HOWARD HUGHES CORP

     5,322           519,534  

HUB GROUP INC CL A

     8,173           302,973  

HUDSON TECHNOLOGIES INC

     17,316           15,411  

HUNTSMAN CORP

     56,722           1,094,167  

HURCO INC

     2,508           89,536  

HURON CONSULTING GROUP INC

     9,878           506,840  

HUTTIG BUILDING PRODUCTS INC

     4,166           7,499  

HYSTER-YALE MATRS

     3,237           200,565  

IBERIABANK CORP

     20,700           1,330,596  

 

26


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

ICF INTERNATIONAL INC

     8,555           554,193  

ICHOR HOLDINGS LTD

     4,063           66,227  

IES HOLDINGS INC

     467           7,262  

II-VI INC.

     25,776           836,689  

IMAX CORP

     14,710                           276,695  

IMMUNE DESIGN CORP

     3,388           4,404  

INDEPENDENCE CONTRACT DRILLING

     5,182           16,168  

INDEPENDENT BANK CORP MASS

     6,697           470,866  

INDEPENDENT BANK GROUP INC

     7,407           339,018  

INFINERA CORP

     33,979           135,576  

INGLES MARKETS INC-CL A

     5,628           153,194  

INGREDION INC

     24,767           2,263,704  

INNERWORKINGS INC

     23,848           89,192  

INNOPHOS HOLDINGS INC

     7,296           178,971  

INNOSPEC INC

     8,663           535,027  

INOVALON HOLDINGS INC CL A

     4,377           62,066  

INSIGHT ENTERPRISES INC

     1,200           48,900  

INSTEEL INDUSTRIES INC

     8,006           194,386  

INTEGER HOLDINGS CORP

     12,374           943,641  

INTER PARFUMS INC

     4,965           325,555  

INTERNATIONAL BANCSHARES CORP

     32,952           1,133,549  

INTERNATIONAL GAME TECHNGY PLC

     32,066           469,126  

INTERNATIONAL SEAWAYS INC

     9,865           166,127  

INTEST CORP

     7,530           46,159  

INTEVAC INC

     10,220           53,451  

INTL FCSTONE INC

     6,402           234,185  

INTRA-CELLULAR THERAPIES INC

     3,875           44,136  

INTREPID POTASH INC

     43,981           114,351  

INVACARE CORP

     23,549           101,261  

INVESCO LTD

     15,534           260,039  

INVESTMENT TECH GROUP INC

     25,753           778,771  

INVESTORS BANCORP INC NEW

     126,242           1,312,917  

INVESTORS TITLE CO

     623           110,072  

IRIDIUM COMMUNICATIONS INC

     34,395           634,588  

ITT INC

     26,821           1,294,650  

J ALEXANDERS HLDGS INC

     3,098           25,497  

JABIL INC

     82,807           2,052,786  

JACOBS ENGINEERING GROUP INC

     17,723           1,036,087  

JAMES RIVER GROUP HOLDINGS LTD

     5,097           186,244  

JANUS HENDERSON GROUP PLC

     69,067           1,431,068  

JELD-WEN HOLDING INC

     1,552           22,054  

JETBLUE AIRWAYS CORP

     150,578           2,418,283  

JOHNSON OUTDOORS INC CL A

     916           53,806  

JONES LANG LASALLE INC

     819           103,685  

 

27


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

K12 INC

     18,779           465,531  

KADANT INC

     3,339           271,995  

KAMAN CORP

     10,795           605,492  

KB HOME

     13,583           259,435  

KBR INC

     45,925           697,142  

KEANE GROUP INC

     10,017           81,939  

KEARNY FINANCIAL CORP

     41,957           537,889  

KELLY SERVICES INC CL A

     18,019           369,029  

KEMET CORP

     9,968           174,839  

KEMPER CORP

     24,370                        1,617,681  

KENNAMETAL INC

     26,522           882,652  

KENNEDY-WILSON HOLDINGS INC

     6,856           124,574  

KEWAUNEE SCIENTIFIC CORP

     482           16,022  

KEYW HOLDING CORP

     15,256           102,063  

KIMBALL ELECTRONICS INC

     12,463           193,052  

KIMBALL INTL INC CL B

     1,756           24,918  

KINGSTONE COS INC

     1,243           21,989  

KIRBY CORP

     24,109           1,623,982  

KIRKLANDS INC

     12,594           120,021  

KLX ENERGY SVCS HLDGS INC W/I

     11,526           270,285  

KNIGHT-SWIFT TRANP HOLDG CL A

     33,063           828,889  

KNOWLES CORP

     31,919           424,842  

KORN FERRY

     22,802           901,591  

KOSMOS ENERGY LTD

     50,571           205,824  

KRATON CORP

     12,298           268,588  

KRONOS WORLDWIDE INC

     3,131           36,069  

KULICKE & SOFFA INDUSTRIES INC

     52,425           1,062,655  

KVH INDUSTRIES INC

     4,416           45,441  

LA Z BOY INC

     23,367           647,500  

LAKELAND BANCORP INC

     14,913           220,862  

LAKELAND INDUSTRIES INC

     3,461           36,133  

LANDEC CORP

     8,714           103,174  

LANDMARK BANCORP INC

     665           15,232  

LAREDO PETROLEUM INC

     72,604           262,826  

LAUREATE EDUCATION INC CL A

     6,725           102,489  

LCI INDUSTRIES

     6,364           425,115  

LCNB CORPORATION

     2,003           30,345  

LEAF GROUP LTD

     2,170           14,865  

LEAR CORP NEW

     930           114,260  

LEGACYTEXAS FINANCIAL GRP INC

     37,501           1,203,407  

LEGG MASON INC

     50,411           1,285,985  

LENDINGCLUB CORP

     55,381           145,652  

LHC GROUP INC

     16,424           1,541,885  

LIBBEY INC.

     10,581           41,054  

 

28


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

LIBERTY EXPEDIA HLDGS INC CL A

     16,796           656,892  

LIBERTY LATIN AMERICA LTD CL A

     16,937           245,248  

LIBERTY LATIN AMERICA LTD CL C

     37,903           552,247  

LIBERTY TAX INC CL A

     2,227           26,123  

LIBERTY TRIPADVISOR HOLDG A WI

     26,810           426,011  

LIFETIME BRANDS INC

     8,088           81,123  

LIGHTPATH TECHNOLOGIES CL A

     11,419           17,014  

LIMELIGHT NETWORKS INC

     5,735           13,420  

LIMONEIRA CO

     2,703           52,844  

LIONS GATE ENT CORP A

     25,596           412,096  

LIONS GATE ENT CORP B

     39,553           588,549  

LIQUIDITY SERVICES INC

     15,135           93,383  

LITHIA MOTORS INC CL A

     6,880           525,150  

LIVANOVA PLC

     2,210           202,149  

LIVE OAK BANCSHARES INC

     4,217           62,454  

LIVERAMP HOLDINGS INC

     63,181                        2,440,682  

LOGMEIN INC

     9,723           793,105  

LONESTAR RESOURCES US INC A

     3,829           13,976  

LOUISIANA PACIFIC CORP

     48,208           1,071,182  

LSB INDUSTRIES INC

     8,252           45,551  

LSC COMMUNICATIONS INC

     10,190           71,330  

LSI INDUSTRIES INC

     12,484           39,574  

LUMENTUM HOLDINGS INC

     5,180           217,612  

LUMINEX CORP

     9,177           212,080  

LUNA INNOVATIONS INC

     4,212           14,110  

LUXOFT HOLDING INC—CL A

     411           12,503  

LYDALL INC

     2,138           43,423  

LYON WILLIAM HOMES CLS A

     11,485           122,775  

M D C HOLDINGS INC

     23,567           662,468  

M/I HOMES INC

     19,890           418,088  

MACOM TECHNOLOGY SOLN HLDS INC

     4,960           71,970  

MACQUARIE INFRASTRUCTURE CORP

     19,969           730,067  

MAGELLAN HEALTH INC

     11,627           661,460  

MAIDEN HLDGS LTD

     42,076           69,425  

MALLINCKRODT PLC

     35,147           555,323  

MAMMOTH ENERGY SERVICES INC

     2,313           41,588  

MANITOWOC CO INC

     20,720           306,034  

MANPOWERGROUP INC

     22,013           1,426,442  

MANTECH INTL CORP CL A

     12,175           636,692  

MARCHEX INC

     12,388           32,828  

MARCUS CORP

     3,304           130,508  

MARINEMAX INC

     11,985           219,445  

MARLIN BUSINESS SERVICES CORP

     6,395           142,800  

MARRIOTT VACATIONS WORLD

     12,313           868,190  

 

29


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

MARTEN TRANSPORT LTD

     24,736           400,476  

MASONITE INTERNATIONAL CORP

     7,463           334,566  

MASTEC INC

     30,180                        1,224,101  

MATADOR RESOURCES COMPANY

     10,013           155,502  

MATERION CORP

     15,486           696,715  

MATRIX SERVICE CO

     8,078           144,919  

MATSON INC

     16,984           543,828  

MATTHEWS INTL CORP CL A

     5,702           231,615  

MAXLINEAR INC

     6,623           116,565  

MB FINANCIAL INC

     20,038           794,106  

MBT FINANCIAL CORP

     6,106           56,786  

MCCLATCHY COMPANY CL A

     1,242           9,501  

MCDERMOTT INTL INC

     47,979           313,783  

MCEWEN MINING INC

     24,025           43,726  

MCGRATH RENTCORP

     8,838           454,980  

MEDNAX INC

     27,721           914,793  

MEDPACE HOLDINGS INC

     2,100           111,153  

MEET GROUP INC/THE

     45,933           212,670  

MELINTA THERAPEUTICS INC

     6,184           4,902  

MERCANTILE BANK CORP

     7,211           203,783  

MERCER INTERNATIONAL INC

     24,264           253,316  

MERCURY GENERAL CORP

     10,996           568,603  

MERCURY SYSTEMS INC

     10,243           484,391  

MEREDITH CORP.

     12,781           663,845  

MERIDIAN BANCORP INC

     10,774           154,284  

MERIT MEDICAL SYSTEMS INC

     13,743           766,997  

MERITAGE HOMES CORP

     15,110           554,839  

MERRIMACK PHARMACEUTICALS INC

     9,020           34,817  

META FINL GROUP INC

     11,058           214,415  

METHODE ELECTRONICS INC

     2,160           50,306  

MICHAEL KORS HOLDINGS LTD

     2,158           81,831  

MICROSTRATEGY INC CL A

     387           49,439  

MIDLAND STATES BANCORP INC

     3,858           86,188  

MIDSOUTH BANCORP INC

     10,019           106,201  

MIDSTATES PETROLEUM CO INC

     5,121           38,459  

MIDWESTONE FINANCIAL GRP INC

     2,953           73,323  

MILACRON HOLDINGS CORP

     3,759           44,695  

MILLER INDUSTRIES INC TENN

     5,750           155,250  

MINERALS TECHNOLOGIES INC

     11,796           605,607  

MINERVA NEUROSCIENCES INC

     3,343           22,532  

MISTRAS GROUP INC

     8,277           119,023  

MITCHAM INDUSTRIES INC

     900           2,304  

MKS INSTRUMENTS INC

     8,024           518,431  

MOBILE MINI INC

     13,191           418,814  

 

30


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

MODINE MANUFACTURING CO

     18,994           205,325  

MONARCH CASINO & RESORT INC

     1,818           69,339  

MONOTYPE IMAGING HLDGS INC

     6,872           106,653  

MONRO INC

     4,060           279,125  

MOOG INC CL A

     10,172           788,127  

MOTORCAR PARTS OF AMERICA INC

     8,550           142,272  

MOVADO GROUP INC

     919           29,059  

MR COOPER GROUP INC

     7,896           92,146  

MRC GLOBAL INC

     6,594           80,645  

MTS SYSTEMS CORP

     3,325           133,432  

MUELLER INDUSTRIES INC

     12,406           289,804  

MULTI COLOR CO.

     3,306           116,008  

MURPHY OIL CORP

     83,015                        1,941,721  

MURPHY USA INC

     446           34,181  

MYR GROUP INC/DELAWARE

     8,332           234,712  

MYRIAD GENETICS INC

     23,015           669,046  

NABORS INDUSTRIES LTD

     125,388           250,776  

NACCO INDUSTRIES INC CL A

     1,778           60,274  

NANOMETRICS INC

     11,515           314,705  

NANTKWEST INC

     5,304           6,153  

NAPCO SECURITY TECHNOLOGIES IN

     4,193           66,040  

NATIONAL BK HLDGS CORP

     12,758           393,839  

NATIONAL COMMERCE CORP

     2,846           102,456  

NATIONAL GEN HLDGS CORP

     26,959           652,677  

NATIONAL HEALTHCARE CORP

     3,115           244,372  

NATIONAL PRESTO INDS

     1,358           158,777  

NATIONAL WESTN LIFE GRP INC- A

     872           262,210  

NATURAL ALTERNATIVES INTL INC

     1,498           14,725  

NATURAL GAS SERVICES GROUP

     7,953           130,747  

NATURAL GROCERS VIT GROC INC

     11,302           173,260  

NATURES SUNSHINE PRODUCTS INC

     1,481           12,070  

NATUS MEDICAL INC

     5,305           180,529  

NAUTILUS INC

     6,485           70,687  

NAVIENT CORP

     116,699           1,028,118  

NAVIGANT CONSULTING INC

     17,971           432,203  

NAVIGATORS GROUP INC

     13,339           926,927  

NBT BANCORP INC

     8,699           300,898  

NCS MULTISTAGE HOLDINGS INC

     2,283           11,620  

NELNET INC CL A

     22,579           1,181,785  

NEOPHOTONICS CO

     25,435           164,819  

NETGEAR INC

     24,201           1,259,178  

NETSCOUT SYSTEMS INC

     22,423           529,855  

NETWORK-1 TECHNOLOGIES INC

     4,399           9,810  

NEW HOME CO INC

     5,261           27,515  

 

31


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

NEW MEDIA INVSTMNT GRP INC

     23,597           273,017  

NEW YORK COMMUNITY BANCORP INC

     176,265           1,658,654  

NEWFIELD EXPLORATION CO

     3,548           52,014  

NEWLINK GENETICS CORP

     3,969           6,033  

NEWPARK RESOURCES INC

     70,320           483,098  

NEWS CORP NEW CL A

     115,413                        1,309,938  

NEWS CORP NEW CL B

     48,211           556,837  

NEWSTAR FINANCIAL INC RT CVR

     16,905           4,388  

NEXA RESOURCES SA

     4,926           58,619  

NEXEO SOLUTIONS INC

     4,793           41,172  

NEXSTAR MEDIA GROUP INC A

     16,253           1,278,136  

NEXSTAR MEDIA GROUP INC A CVR

     6,927           0  

NEXTGEN HEALTHCARE INC

     6,091           92,279  

NICOLET BANKSHARES INC

     1,709           83,399  

NL INDUSTRIES

     7,483           26,265  

NMI HOLDINGS INC

     16,614           296,560  

NN INC

     13,869           93,061  

NOBLE CORP PLC

     105,580           276,620  

NORTHEAST BANCORP (NEW)

     2,122           35,501  

NORTHFIELD BANCORP INC NEW

     27,408           371,378  

NORTHRIM BANCORP INC

     3,320           109,128  

NORTHWEST BANCSHARES INC

     44,326           750,882  

NORTHWEST PIPE CO

     7,987           186,017  

NOW INC

     39,037           454,391  

NUVECTRA CORP

     5,189           84,788  

NV5 GLOBAL INC

     3,415           206,778  

OASIS PETROLEUM INC

     112,181           620,361  

OCEANEERING INTERNATIONAL INC

     42,100           509,410  

OCEANFIRST FINANCIAL CORP

     13,174           296,547  

OCWEN FINANCIAL CORP

     40,198           53,865  

OFFICE DEPOT INC

     191,074           492,971  

OFG BANCORP

     23,444           385,888  

OIL STATES INTERNATIONAL INC

     28,277           403,796  

OIL-DRI CORP OF AMERICA

     943           24,990  

OLD LINE BANCSHARES INC

     3,791           99,779  

OLD NATIONAL BANCORP (IND)

     66,833           1,029,228  

OLD REPUBLIC INTL CORP

     100,681           2,071,008  

OLD SECOND BANCORP

     6,754           87,802  

OLIN CORP

     35,930           722,552  

OLYMPIC STEEL INC

     4,828           68,896  

ON DECK CAPITAL INC

     25,799           152,214  

ON SEMICONDUCTOR CORP

     52,300           863,473  

ONEMAIN HOLDINGS INC

     41,886           1,017,411  

ONESPAN INC

     7,947           102,914  

 

32


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

OPPENHEIMER HLDGS CL A NON-VTG

     4,922           125,757  

OPUS BANK

     8,177           160,187  

ORCHIDS PAPER PRODUCTS CO

     3,740           3,516  

ORION GROUP HOLDINGS INC

     15,813           67,838  

ORITANI FINL CORP NEW

     28,621           422,160  

ORMAT TECHNOLOGIES INC

     11,998           627,495  

ORRSTOWN FINANCIAL SERVICES

     535           9,742  

ORTHOFIX MEDICAL INC

     2,835           148,809  

OSHKOSH CORP

     6,314           387,111  

OSI SYSTEMS INC

     6,047           443,245  

OTONOMY INC

     22,267           41,194  

OVERSEAS SHIPHLDG GRP INC NEW

     23,381           38,812  

OWENS AND MINOR INC

     26,420           167,239  

OWENS CORNING INC

     25,308                        1,113,046  

OWENS ILLINOIS INC

     3,546           61,133  

OXFORD INDUSTRIES

     2,198           156,146  

PACIFIC ETHANOL INC

     22,213           19,125  

PACIFIC PREMIER BANCORP INC

     13,659           348,578  

PACWEST BANCORP

     58,011           1,930,606  

PAM TRANSPORTAION

     566           22,306  

PANHANDLE OIL & GAS CL A

     4,107           63,659  

PAR PACIFIC HOLDINGS INC

     3,724           52,806  

PARK ELECTROCHEMICAL CORP.

     9,660           174,556  

PARK NATIONAL CORP

     2,772           235,481  

PARK OHIO HLDGS CORP

     4,514           138,535  

PARKER DRILLING CO

     4,409           1,499  

PARSLEY ENERGY INC CL A

     23,591           376,984  

PARTY CITY HOLDCO INC

     20,653           206,117  

PATRIOT TRANSPORTATION HLD INC

     253           4,931  

PATTERSON COMPANIES INC

     23,413           460,300  

PATTERSON-UTI ENERGY INC

     63,624           658,508  

PBF ENERGY INC CL A

     58,302           1,904,726  

PC CONNECTION INC

     8,287           246,373  

PCM INC

     5,851           103,036  

PCSB FINANCIAL CORP

     544           10,641  

PDC ENERGY INC

     22,687           675,165  

PDF SOLUTIONS INC

     9,356           78,871  

PDL BIOPHARMA INC

     88,003           255,209  

PEABODY ENERGY CORP

     46,215           1,408,633  

PEAPACK GLADSTONE FINL CORP

     7,364           185,426  

PENN VIRGINIA CORP

     3,076           166,289  

PENNEY (J.C.) CO INC

     87,903           91,419  

PENNS WOODS BANCORP INC

     331           13,319  

PENSKE AUTOMOTIVE GROUP INC

     30,146           1,215,487  

 

33


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

PEOPLES BANCORP INC

     8,878           267,228  

PEOPLES UNITED FINANCIAL INC

     150,353                        2,169,594  

PEOPLES UTAH BANCORP

     4,842           145,986  

PERCEPTRON INC

     2,177           17,547  

PERFICIENT INC

     15,338           341,424  

PERFORMANCE FOOD GROUP CO

     11,484           370,589  

PERRIGO CO PLC

     3,497           135,509  

PERSPECTA INC W/I

     5,421           93,350  

PFENEX INC

     2,500           7,975  

PHI INC NON VTG

     6,294           11,644  

PHOTRONIC INC

     53,120           514,202  

PICO HOLDINGS INC

     11,406           104,251  

PIER 1 IMPORTS INC

     71,962           22,006  

PILGRIM’S PRIDE CORP NEW

     1,939           30,074  

PINNACLE FINL PARTNERS INC

     21,979           1,013,232  

PIONEER ENERGY SVCS CORP

     51,512           63,360  

PIPER JAFFRAY COS

     5,780           380,555  

PLAYA HOTELS & RESORTS NV

     5,552           39,919  

PLEXUS CORP

     13,968           713,485  

POPULAR INC

     37,194           1,756,301  

POST HOLDINGS INC

     23,795           2,120,848  

POTBELLY CORP

     9,645           77,642  

POWELL INDUSTRIES INC

     6,004           150,160  

PQ GROUP HOLDINGS INC

     7,459           110,468  

PRA GROUP INC

     14,910           363,357  

PREFORMED LINE PRODUCTS CO

     2,013           109,205  

PREMIER FINANCIAL BANCORP

     1,918           28,597  

PREMIER INC

     4,223           157,729  

PRESIDIO INC

     5,948           77,621  

PRESTIGE CONSUMER HEALTHCA INC

     13,558           418,671  

PRICESMART INC

     8,347           493,308  

PRIMORIS SVCS CORP

     19,316           369,515  

PROASSURANCE CORPORATION

     12,966           525,901  

PROPETRO HOLDING CORP

     9,050           111,496  

PROSPERITY BANCSHARES INC

     28,305           1,763,402  

PROTAGONIST THERAPEUTICS INC

     6,271           42,204  

PROTECTIVE INSURANCE CORP CL B

     4,320           71,928  

PROTHENA CORP PLC

     8,664           89,239  

PROVIDENCE SERVICE CORP

     4,493           269,670  

PROVIDENT FINANCIAL HLDGS INC

     2,348           36,394  

PROVIDENT FINANCIAL SVCS INC

     26,149           630,975  

PULTEGROUP INC

     84,019           2,183,654  

PVH CORP

     5,876           546,174  

PYXUS INTERNATIONAL INC

     7,039           83,483  

 

34


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

QCR HOLDINGS INC

     4,348           139,527  

QEP RESOURCES INC

     83,129           468,016  

QUAD/GRAPHICS INC CL A

     8,354           102,921  

QUANEX BUILDING PRODUCTS

     15,828           215,103  

QUANTA SVCS INC

     66,742                        2,008,934  

QUORUM HEALTH CORPORATION WI

     9,960           28,784  

RADIAN GROUP INC

     72,153           1,180,423  

RADIANT LOGISTICS INC

     17,470           74,248  

RAFAEL HOLDINGS INC

     5,589           44,321  

RAMBUS INC

     27,784           213,103  

RANGE RESOURCES CORP

     68,037           651,114  

RAYONIER ADVANCED MATERIALS

     6,591           70,194  

RCI HOSPITALITY HOLDINGS INC

     6,809           152,045  

RE/MAX HOLDINGS INC CL A

     1,468           45,141  

READING INTL INC CL A

     7,090           103,089  

REALNETWORKS INC

     4,000           9,240  

REALOGY HOLDINGS CORP

     34,763           510,321  

RED LION HOTEL CORP

     10,342           84,804  

RED ROBIN GOURMET BURGERS INC

     7,300           195,056  

REGAL BELOIT CORP

     17,561           1,230,148  

REGIONAL MANAGEMENT CORP

     5,394           129,726  

REGIS CORPORATION

     14,731           249,690  

REINSURANCE GROUP OF AMERICA

     4,763           667,915  

RELIANCE STEEL & ALUMINUM CO

     33,125           2,357,506  

RENAISSANCERE HLDGS LTD

     1,499           200,416  

RENASANT CORP

     15,882           479,319  

RENEWABLE ENERGY GROUP INC

     25,923           666,221  

REPLIGEN

     1,387           73,150  

REPUBLIC BANCORP INC KY CL A

     5,500           212,960  

REPUBLIC FIRST BANCORP INC

     6,838           40,823  

RESOLUTE FOREST PRODUCTS INC

     21,012           166,625  

RESOURCES CONNECTION INC

     22,644           321,545  

REV GROUP INC

     8,835           66,351  

REVOLUTION LTG TECHNLGIES INC

     1,121           441  

REX AMERICAN RESOURCES CORP

     3,086           210,187  

REXNORD CORP NEW

     8,471           194,409  

RF INDUSTRIES LTD

     426           3,093  

RIBBON COMMUNICATIONS INC

     29,902           144,128  

RIGNET INC

     3,139           39,677  

RING ENERGY INC

     18,803           95,519  

RIVERVIEW BANCORP INC

     7,537           54,869  

ROCKY BRANDS INC

     3,100           80,600  

ROGERS CORP

     7,033           696,689  

ROWAN COMPANIES PLC A

     95,192           798,661  

 

35


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

RTI SURGICAL INC

     31,491           116,517  

RUBICON PROJECT INC

     22,587           84,250  

RUDOLPH TECHNOLOGIES INC

     15,151           310,141  

RUSH ENTERPRISES INC CL A

     10,246           353,282  

RYDER SYSTEM INC

     19,200           924,480  

S & T BANCORP

     10,077           381,314  

SAFETY INSURANCE GROUP INC

     7,565           618,893  

SAGA COMMUNICATIONS INC CL A

     232           7,709  

SAIA INC

     9,204           513,767  

SALEM MEDIA GROUP INC CL A

     1,585           3,313  

SANDERSON FARMS INC

     10,826                        1,074,914  

SANDRIDGE ENERGY INC

     6,514           49,572  

SANDY SPRING BANCORP INC

     11,254           352,700  

SANFILIPPO (JOHN B) & SON INC.

     2,494           138,816  

SANMINA CORP

     34,522           830,599  

SANTANDER CONSMR USA HLDGS INC

     101,260           1,781,163  

SAPIENS INTL CORP NV

     2,906           32,053  

SCANSOURCE INC

     7,758           266,720  

SCHNITZER STEEL INDS INC CL A

     20,710           446,301  

SCHOLASTIC CORP

     13,073           526,319  

SCHWEITZER-MAUDUIT INTL INC

     11,775           294,964  

SCORPIO BULKERS INC

     19,121           105,739  

SCORPIO TANKERS INC

     115,573           203,408  

SCRIPPS (EW) CO CL A

     25,348           398,724  

SEABOARD CORP

     302           1,068,479  

SEACHANGE INTL INC

     28,136           35,451  

SEACOAST BANKING CORP FLORIDA

     10,949           284,893  

SEACOR HOLDINGS INC

     8,531           315,647  

SEACOR MARINE HOLDINGS INC

     8,174           96,126  

SEARS HOMETOWN&OUTLET STRS INC

     3,370           7,178  

SEASPINE HOLDINGS CORP

     2,800           51,072  

SECUREWORKS CORP

     1,000           16,890  

SELECT ENERGY SERVICES INC CL

     3,983           25,173  

SELECT MEDICAL HLDGS CORP

     50,274           771,706  

SELECTIVE INSURANCE GROUP INC

     15,668           954,808  

SEMGROUP CORP-CLASS A

     31,105           428,627  

SENECA FOODS CORP CL A

     3,741           105,571  

SEQUENTIAL BRANDS GROUP INC

     1,867           1,494  

SHILOH INDUSTRIES

     13,073           76,216  

SHIP FINANCE INTL LTD (NY)

     29,228           307,771  

SHOE CARNIVAL

     5,961           199,753  

SHORE BANCSHARES INC

     890           12,941  

SIERRA BANCORP

     5,814           139,710  

SIERRA ONCOLOGY INC

     15,013           19,817  

 

36


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

SIGNET JEWELERS LTD (US)

     20,505           651,444  

SILVERBOW RESOURCES INC

     1,144           27,044  

SIMMONS 1ST NATL CORP CL A

     24,988           602,960  

SIMPSON MANUFACTURING CO

     10,863           588,014  

SINCLAIR BROADCAST GROUP CL A

     13,381           352,456  

SKECHERS USA INC CL A

     2,873           65,763  

SKYLINE CHAMPION CORP

     497           7,301  

SKYWEST INC

     36,100                        1,605,367  

SM ENERGY CO

     36,215           560,608  

SMART & FINAL STORES INC

     23,257           110,238  

SMART SAND INC

     6,104           13,551  

SMARTFINANCIAL INC

     1,954           35,700  

SNAP-ON INCORPORATED

     2,390           347,243  

SONIC AUTOMOTIVE INC CL A

     16,269           223,861  

SONOCO PRODUCTS CO

     16,596           881,745  

SOUTH STATE CORP

     10,595           635,170  

SOUTHERN FIRST BANCSHARES INC

     643           20,621  

SOUTHERN MISSOURI BANCORP INC

     489           16,577  

SOUTHERN NATL BANCORP VA INC

     6,593           87,159  

SOUTHSIDE BANCSHARES INC

     3,961           125,762  

SOUTHWESTERN ENERGY CO

     197,252           672,629  

SP PLUS CORP

     8,469           250,174  

SPARTAN MOTORS INC

     19,667           142,192  

SPARTANNASH CO

     12,845           220,677  

SPARTON CORP

     2,736           49,768  

SPECTRUM BRANDS HOLDINGS INC

     248           10,478  

SPEEDWAY MOTORSPORTS

     15,489           252,006  

SPIRIT AIRLINES INC

     25,099           1,453,734  

SPOK HOLDINGS INC

     8,824           117,006  

SPX FLOW INC

     2,284           69,479  

SRC ENERGY INC

     93,507           439,483  

STAGE STORES INC

     14,649           10,840  

STANDARD MOTOR PRODUCTS INC

     7,177           347,582  

STANDEX INTL CORP

     2,665           179,035  

STATE AUTO FINANCIAL CORP

     7,384           251,351  

STATE BANK FINANCIAL CORP

     30,501           658,517  

STEEL CONNECT INC

     9,387           16,240  

STEEL DYNAMICS INC

     12,672           380,667  

STEELCASE INC CLASS A

     25,559           379,040  

STEPAN CO

     8,131           601,694  

STERICYCLE INC

     4,802           176,185  

STERLING BANCORP/DE

     66,946           1,105,278  

STERLING CONSTRUCTION CO INC

     11,732           127,761  

STEWART INFORMATION SERVICES

     11,338           469,393  

 

37


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

STIFEL FINANCIAL CORP

     23,503                           973,494  

STOCK YARDS BANCORP INC

     2,159           70,815  

STONERIDGE INC

     9,029           222,565  

STRATASYS LTD

     8,571           154,364  

STRATTEC SEC CORP

     2,026           58,349  

SUMMIT MATERIALS INC CL A

     23,520           291,648  

SUN HYDRAULICS INC

     4,648           154,267  

SUNCOKE ENERGY INC

     29,499           252,216  

SUNRUN INC

     5,671           61,757  

SUPER MICRO COMPUTER INC

     18,589           256,528  

SUPERIOR ENERGY SERVICES INC

     73,058           244,744  

SUPERIOR GROUP OF COS INC

     3,094           54,609  

SUPERIOR INDUSTRIES INTL

     11,649           56,032  

SURGERY PARTNERS INC

     3,499           34,255  

SYKES ENTERPRISES INC

     18,159           449,072  

SYNAPTICS INC

     7,837           291,615  

SYNCHRONOSS TECHNOLOGIES INC

     13,591           83,449  

SYNEOS HEALTH INC

     9,712           382,167  

SYNLOGIC INC

     2,665           18,682  

SYNNEX CORP

     18,685           1,510,495  

SYNOVUS FINANCIAL CORP

     14,740           471,533  

TALOS ENERGY INC

     4,662           76,084  

TANDY LEATHER FACTORY INC

     1,300           7,384  

TARO PHARMACEUTICALS IND

     1,200           101,568  

TAYLOR MORRISON HME COR CLS A

     39,864           633,838  

TCF FINANCIAL CORPORATION

     55,144           1,074,757  

TEAM INC

     13,123           192,252  

TECH DATA CORP

     19,415           1,588,341  

TEEKAY CORP

     1,238           4,135  

TEEKAY TANKERS LTD CL A

     24,967           23,169  

TEGNA INC

     69,988           760,770  

TEJON RANCH CO

     13,989           231,938  

TELARIA INC

     4,600           12,558  

TELEPHONE & DATA SYSTEMS INC

     43,409           1,412,529  

TENNECO INC

     2,240           61,354  

TEREX CORP

     14,597           402,439  

TERRAFORM POWER INC CL A

     6,872           77,104  

TERRITORIAL BANCORP INC

     5,399           140,266  

TESSCO TECHNOLOGIES INC

     4,066           48,792  

TETRA TECH INC

     16,646           861,763  

TETRA TECHNOLOGIES INC

     62,002           104,163  

TETRAPHASE PHARMACEUTICALS INC

     20,656           23,341  

TEXAS CAPITAL BANCSHARES INC

     7,024           358,856  

TEXTAINER GROUP HLDGS LTD

     13,407           133,534  

 

38


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

THERMON GROUP HOLDINGS INC

     20,800           421,824  

THIRD POINT REINSURANCE LTD

     18,401           177,386  

THOR INDUSTRIES INC

     10,031           521,612  

TIDEWATER INC

     3,143           60,126  

TILE SHOP HLDGS INC

     9,076           49,736  

TILLY’S INC

     8,259           89,693  

TIMBERLAND BANCORP INC

     1,619           36,104  

TIMKEN CO

     25,531           952,817  

TIMKENSTEEL CORP

     35,092           306,704  

TITAN INTERNATIONAL INC

     49,577           231,029  

TITAN MACHINERY INC

     18,134           238,462  

TIVO CORP

     54,314           511,095  

TOLL BROTHERS INC

     100,713                        3,316,479  

TOMPKINS FINANCIAL CORP

     1,872           140,419  

TOOTSIE ROLL INDUSTRIES INC

     904           30,194  

TOPBUILD CORP

     9,691           436,095  

TOWER INTERNATIONAL INC

     9,726           231,479  

TOWNE BANK

     15,388           368,543  

TOWNSQUARE MEDIA INC

     1,275           5,202  

TRANSCAT INC

     656           12,477  

TRANSOCEAN LTD

     42,603           295,665  

TRAVELCENTERS OF AMERICA LLC

     12,270           46,135  

TRECORA RESOURCES

     8,867           69,163  

TREDEGAR CORP

     10,255           162,644  

TREEHOUSE FOODS INC

     16,832           853,551  

TRI POINTE GROUP INC

     86,394           944,286  

TRIBUNE MEDIA CO CL A

     3,467           157,332  

TRIBUNE PUBLISHING CO

     1,833           20,786  

TRICO BANCSHARES

     7,386           249,573  

TRIMAS CORP

     4,047           110,443  

TRINITY INDUSTRIES INC

     66,932           1,378,130  

TRINSEO SA

     2,540           116,281  

TRIPLE-S MANAGEMENT CORP CL B

     11,300           196,507  

TRISTATE CAPITAL HOLDINGS INC

     9,517           185,201  

TRITON INTERNATIONAL LTD

     25,644           796,759  

TRIUMPH BANCORP INC

     5,775           171,518  

TRIUMPH GROUP INC

     15,613           179,550  

TRONOX LTD CL A

     21,122           164,329  

TRUEBLUE INC

     13,165           292,921  

TRUSTCO BANK CORP NY

     39,780           272,891  

TRUSTMARK CORP

     35,627           1,012,876  

TTM TECHNOLOGIES INC

     46,826           455,617  

TUESDAY MORNING CORP

     24,371           41,431  

TUTOR PERINI CORP

     20,867           333,246  

 

39


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

TWIN DISC INC

     4,160           61,360  

UFP TECHNOLOGIES INC

     847           25,444  

ULTRA CLEAN HOLDINGS INC

     17,389           147,285  

ULTRALIFE CORP

     1,039           7,013  

UMB FINANCIAL CORP

     1,854           113,038  

UMPQUA HOLDINGS CORP

     93,567           1,487,715  

UNIFI INC

     6,450           147,318  

UNIFIRST CORP

     2,794           399,738  

UNION BANKSHARES CORP

     17,754           501,195  

UNIT CORP

     42,145           601,831  

UNITED BANKSHARES INC. W VA.

     27,664           860,627  

UNITED CMNTY FINL CORP OHIO

     26,122           231,180  

UNITED COMMUNITY BANKS GA

     11,144           239,150  

UNITED FINL BANCORP INC NEW

     23,665           347,876  

UNITED FIRE GROUP INC

     10,489           581,615  

UNITED INS HLDGS CORP

     7,401           123,005  

UNITED NATURAL FOODS INC

     19,637           207,956  

UNITED STATES CELLULAR CORP

     12,912           671,037  

UNITED STATES LIME & MIN INC

     1,194           84,774  

UNITED STATES STEEL CORP

     67,269                        1,226,987  

UNITED THERAPEUTICS CORP DEL

     13,943           1,518,393  

UNIVERSAL CORP

     11,207           606,859  

UNIVERSAL ELECTRONICS INC

     3,917           99,022  

UNIVERSAL FOREST PRODUCTS INC

     47,287           1,227,571  

UNIVERSAL INSURANCE HLDGS INC

     3,482           132,037  

UNIVERSAL STAINLESS & ALLOY

     3,380           54,790  

UNIVERSAL TECH INST INC

     5,805           21,188  

UNIVEST FINANCIAL CORP

     12,172           262,550  

UNUM GROUP

     63,524           1,866,335  

URBAN OUTFITTERS

     35,693           1,185,008  

US CONCRETE INC C NEW

     1,960           69,149  

US FOODS HOLDING CORP

     62,265           1,970,065  

US SILICA HOLDINGS INC

     23,397           238,181  

USA TRUCK INC

     4,072           60,958  

USG CORP NEW

     9,131           389,528  

VALLEY NATL BANCORP

     111,984           994,418  

VALMONT INDUSTRIES INC

     751           83,323  

VAREX IMAGING CORP

     5,090           120,531  

VECTRUS INC

     4,208           90,809  

VEECO INSTRUMENT

     22,649           167,829  

VENATOR MATERIALS PLC

     10,242           42,914  

VERA BRADLEY INC

     16,309           139,768  

VERINT SYSTEMS INC

     8,277           350,200  

VERITEX HOLDINGS INC

     8,533           182,436  

 

40


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

VERITIV CORP

     5,298           132,291  

VERSO CORP

     11,787           264,029  

VIAD CORP

     8,470           424,262  

VILLAGE SUPER MKT INC CL A NEW

     4,575           122,336  

VIRTUS INVESTMENT PARTNERS

     1,612           128,041  

VIRTUSA CORP

     3,103           132,157  

VISHAY INTERTECHNOLOGY INC

     96,523           1,738,379  

VISHAY PRECISION GROUP INC

     2,304           69,650  

VISTA OUTDOOR INC

     22,718           257,849  

VITAMIN SHOPPE INC

     18,787           89,050  

VOXX INTERNATIONAL CORP

     12,828           50,799  

VOYA FINANCIAL INC

     30,718           1,233,021  

VSE CORP

     4,410           131,903  

WABASH NATIONAL CORP

     21,510           281,351  

WADDELL & REED FINL INC CL A

     22,510           406,981  

WAGEWORKS INC

     2,212           60,078  

WALKER & DUNLOP INC

     10,999           475,707  

WASHINGTON FEDERAL INC

     30,378           811,396  

WASHINGTON TR BANCORP INC

     3,372           160,271  

WATERSTONE FINANCIAL INC

     12,045           201,874  

WATTS WATER TECH INC CL A

     8,342           538,309  

WAYSIDE TECHNOLOGY GROUP INC

     800           8,000  

WEIS MARKETS INC

     6,548           312,863  

WERNER ENTERPRISES INC

     30,372           897,189  

WESBANCO INC

     21,979           806,410  

WESCO AIRCRAFT HOLDINGS INC

     35,398           279,644  

WESCO INTERNATIONAL INC

     21,373                        1,025,904  

WEST BANCORPORATION INC

     2,813           53,700  

WESTERN NEW ENGLAND BANCORP IN

     17,057           171,252  

WESTWOOD HOLDINGS GROUP INC

     1,206           41,004  

WEYCO GROUP INC

     3,677           107,258  

WHITE MOUNTAINS INS GROUP LTD

     662           567,791  

WHITING PETROLEUM CORP

     28,453           645,599  

WILDHORSE RESOURCE DEVELOPMENT

     3,100           43,741  

WILEY (JOHN) & SONS INC CL A

     13,000           610,610  

WILEY (JOHN) & SONS INC CL B

     876           41,014  

WILLDAN GROUP

     1,039           36,344  

WINNEBAGO INDUSTRIES INC

     12,833           310,687  

WINTRUST FINANCIAL CORP

     10,238           680,725  

WOLVERINE WORLD WIDE INC

     3,081           98,253  

WORLD ACCEPTANCE CORP

     4,615           471,930  

WORLD FUEL SERVICES CORP

     21,757           465,817  

WORTHINGTON INDUSTRIES INC

     18,843           656,490  

WPX ENERGY INC

     56,112           636,871  

 

41


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units     Cost **      Current Value  

WSFS FINANCIAL CORP

     9,900          375,309  

XEROX CORP

     65,373          1,291,770  

ZAFGEN INC

     7,885          39,031  

ZAGG INC

     8,671          84,802  

ZUMIEZ INC

     19,821                          379,969  

ZYNGA INC

     49,817          195,781  

STIFS and Money Markets

       

SSBK STIF FUND

     766,358          766,358  
       

 

 

 

DFA Small Mid Value Account

          471,779,727  

PIMCO Total Return Account

       

Mutual Funds

       

PIMCO ASSET BACK SECS PORT-UNL

     6,015,092          75,068,350  

PIMCO US GOVT SECTOR PORT INST

     14,560,782          128,717,309  

PIMCO MTG PORT INSTL CL(UNLST)

     24,094,888          253,719,168  

PIMCO MUNI SECTR PORT INSTL CL

     1,413,452          9,583,205  

PIMCO REAL RETRN BD FD INST CL

     406,312          2,990,458  

PIMCO EMMERG MKTS FD INST CL

     3,913,982          37,221,969  

PIMCO INTL PORT FUND(UNLISTED)

     8,729,627          60,059,833  

HIGH YIELD PORTFOLIO INSTL CL

     3,871,431          28,842,163  

PIMCO INV GRD CORP PORT(UNLST)

     21,263,756          194,988,640  

PIMCO SHORT TM FLT NAV PORT II

     4,928,786          49,312,500  
       

 

 

 

PIMCO Total Return Account

          840,503,595  

International Growth Account

       

Currency

       

AUSTRALIAN DOLLAR CURRENCY

     (143,517        (101,086

BRAZILIAN REAL

     18,419          4,752  

BRITISH POUND STERLING CURRENCY

     30          38  

CANADIAN DOLLAR

     (323,486        (261,411

DANISH KRONE

     286          44  

EURO MONETARY UNIT.

     (53,018        1,168,666  

HONG KONG DOLLAR

     639          (1,026,807

INDIAN RUPEE

     174          3  

JAPANESE YEN

     0          (762,273

PHILIPPINE PESO

     20          0  

SOUTH KOREAN WON

     113          1,128,047  

SWEDISH KRONA CURRENCY

     1,158          131  

SWISS FRANC

     36          37  

TAIWAN DOLLAR

     10,550,126          344,719  

Futures

       

BP CURRENCY FUT MAR19 BPH9

     (309        0  

FTSE 100 IDX FUT MAR19 Z H9

     (436        0  

JPN YEN CURR FUT MAR19 JYH9

     212          0  

 

42


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

TOPIX INDX FUTR MAR19 TPH9

     266           0  

Publicly-traded Common Stock

        

A2 MILK CO LTD

     434,017                        3,248,131  

ABB LTD (REG) (SWIT)

     113,020           2,149,668  

ABBOTT LABORATORIES

     83,580           6,045,341  

ADIDAS AG

     14,473           3,024,637  

AIA GROUP LTD

     1,201,800           9,975,991  

AIER EYE HOSPITAL GROUP CO LTD

     190,900           729,908  

AIR LIQUIDE SA

     81,253           10,096,220  

AIRBUS SE

     32,580           3,134,104  

AL RAJHI BK(HSBC)(ELN) 1/19/21

     20,912           487,778  

ALGONQUIN PWR & UTIL CORP

     439,697           4,422,092  

ALIBABA GROUP HLD LTD SPON ADR

     84,807           11,624,495  

ALPHABET INC CL A

     3,471           3,627,056  

ALPHABET INC CL C

     4,231           4,381,666  

AMERICA MOVIL SPON ADR SER L

     80,100           1,141,425  

ANHUI CONCH CEMENT WT 4/12/21

     235,200           1,001,186  

ARISTOCRAT LEISURE LTD

     140,079           2,154,836  

ASIAN PAINTS LTD (DEMAT)

     51,797           1,022,278  

ASML HOLDING NV

     20,262           3,184,195  

ASSA ABLOY AB SER B

     193,473           3,452,322  

ASTRA INTL TBK PT (DEMAT)

     1,401,000           801,337  

ASTRAZENECA PLC (UK)

     150,024           11,230,385  

ATLAS COPCO AB SER A

     136,516           3,242,331  

AUROBINDO PHARMACEUTICALS LTD

     61,714           650,184  

BAE SYSTEMS PLC

     505,525           2,958,819  

BAIDU INC SPON ADR

     10,870           1,723,982  

BANCO DO BRASIL SA

     122,700           1,471,798  

BANGKOK DUSIT MED SVC NVDR

     747,800           569,140  

BANK OF CHINA LTD H

     4,673,000           2,017,079  

BANK RAKYAT INDONESIA TBK PT

     11,524,600           2,933,243  

BEIERSDORF AG

     63,941           6,678,418  

BHP GROUP PLC

     190,051           4,000,819  

BIDVEST GROUP LTD

     94,056           1,352,249  

BIM BIRLESIK MAGAZALAR AS

     55,435           911,260  

BNP PARIBAS (FRAN)

     47,884           2,165,721  

BUNZL PLC

     165,421           4,994,932  

CANADIAN NATL RAILWAY CO

     47,124           3,490,117  

CANADIAN NATL RAILWAY(FIL USD)

     87,220           6,463,874  

CAPGEMINI SA (FF40)

     33,196           3,301,379  

CATHAY FINANCIAL HLDG CO LTD

     634,000           973,632  

CELLNEX TELECOM SAU

     313,586           8,044,529  

CENTRE TESTING INTL GRP CO LTD A

     748,000           712,277  

CHINA CONSTRUCTION BANK CORP H

     4,343,000           3,582,885  

 

43


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

CHINA MOBILE LIMITED

     112,500                        1,082,546  

CHINA OVERSEAS LAND & INV LTD

     718,000           2,466,535  

CHINA PETROL & CHEM CORP H

     2,060,000           1,470,583  

CHINA TOWER CORP LTD H

     9,144,961           1,728,439  

CHRISTIAN HANSEN HOLDING SA

     47,356           4,190,205  

CK INFRASTRUCTURE HOLDINGS LTD

     220,346           1,668,670  

CLICKS GROUP LTD

     100,965           1,343,510  

CNOOC LTD

     527,000           814,341  

COCA COLA HBC AG

     125,564           3,924,276  

COMMERCIAL INTL BK EGY GDR EC

     94,964           403,122  

COMMERCIAL INTL BK EGYPT SAE

     66,508           278,472  

COMMONWEALTH BK OF AUSTRALIA

     151,715           7,735,629  

CREDICORP LTD (USA)

     7,932           1,758,286  

CSL LIMITED

     30,401           3,964,821  

CSPC PHARMACEUTICAL GROUP LTD

     368,000           531,052  

CTBC FIN HLD (JP)(CWT) 2/25/21

     898,000           592,701  

CTBC FINL HLDG CO LTD

     693,000           457,396  

DAVIDE CAMPARI SPA MILANO

     418,315           3,539,515  

DELTA ELECTRONICS IND CO LTD

     178,000           753,178  

DEUTSCHE BOERSE AG

     44,899           5,398,946  

DIAGEO PLC

     642,215           22,878,954  

DSV DE SAMMENSLUT VOGN

     54,457           3,586,733  

ECLAT TEXTILE CO LTD

     57,000           648,129  

EISAI CO LTD

     57,500           4,460,244  

EMAAR PROPERTIES

     503,941           566,619  

ENCANA CORP

     431,259           2,489,248  

ESSILORLUXOTTICA

     62,988           7,971,011  

FANUC CORPORATION

     31,700           4,821,304  

FERRARI NV

     29,660           2,949,390  

FINECOBANK SPA

     281,826           2,834,435  

FIRST QUANTUM MINERALS INC

     315,150           2,548,532  

FIRSTRAND LIMITED

     354,736           1,616,437  

FMTC INR UNREALIZED GAIN/LOSS

     1           0  

FOMENTO ECONO MEX(FEMSA)SP ADR

     17,590           1,513,620  

FORTIS INC

     167,633           5,588,176  

FUCHS PETROLU SE (GERW) PFD

     102,448           4,223,325  

GALP ENERGIA SGPS SA

     222,145           3,511,140  

GAZPROM PJSC SPON ADR

     340,242           1,506,932  

GEBERIT AG (REG)

     15,319           5,958,341  

GERDAU SA SPON ADR

     202,700           762,152  

GLENCORE PLC

     300,222           1,114,889  

GRUPO AERO CENTRO NORTE CL B

     133,400           635,715  

GRUPO FIN GALICIA SPONS ADR

     22,200           612,054  

GRUPO FINANCIERO BANORTE SAB

     100,000           487,387  

 

44


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

GUDANG GARAM PT(DEMAT)

     149,300           868,235  

HANG SENG BANK LTD

     173,062           3,885,358  

HDFC BANK LTD (DEMAT)

     86,667           2,643,113  

HDFC BANK LTD SPON ADR

     230,236                      23,850,147  

HEINEKEN NV

     109,972           9,727,232  

HENGAN INTL GRP CO LTD

     240,263           1,748,929  

HERMES INTERNATIONAL SA

     5,209           2,893,389  

HOA PHAT GROUP JSC WT 12/12/19

     343,670           458,572  

HONG KONG & CHINA GAS CO LTD

     807,992           1,671,601  

HOWDEN JOINERY GROUP PLC

     723,916           4,019,296  

HUAZHU GROUP ADR

     15,400           440,902  

ICICI BANK LTD (DEMAT)

     267,545           1,385,027  

ICICI BANK LTD SPONS ADR

     36,800           378,672  

IHS MARKIT LTD

     162,660           7,802,800  

INDITEX SA

     82,046           2,100,994  

INFINEON TECHNOLOGIES AG

     182,345           3,627,927  

INFOSYS LTD

     290,064           2,747,415  

INFOSYS LTD SPON ADR

     296,515           2,822,823  

ING GROEP NV

     226,922           2,446,561  

INTERCONTINENTAL HOTELS GP PLC

     177,983           9,611,937  

INTERTEK GROUP PLC

     143,361           8,770,941  

INTERXION HOLDING NV

     58,395           3,162,673  

ITAU UNIBANCO HLDG SA SPON ADR

     471,400           4,308,596  

ITC LTD (DEMAT)

     474,293           1,920,147  

JULIUS BAER GRUPPE AG

     77,350           2,755,136  

JUST EAT PLC

     340,716           2,548,335  

KASIKORNBANK PCL NVDR

     281,900           1,600,476  

KEYENCE CORP

     29,300           14,884,576  

KOMATSU LTD

     129,000           2,784,084  

KWEICHOW MOU(JPM) CWT 11/19/19

     14,500           1,243,752  

LARGAN PRECISION CO LTD

     7,400           777,357  

LARSEN & TOUBRO LTD

     117,730           2,432,697  

LG CHEMICAL LTD

     3,381           1,053,299  

LG HOUSEHOLD & HEALTHCARE LTD

     1,004           992,426  

LINK REAL ESTATE INVESTMENT TR

     130,500           1,321,582  

LOJAS RENNER SA

     205,800           2,251,415  

LONDON STOCK EXCHANGE GRP PLC

     251,850           13,039,345  

L’OREAL SA (PRIME FIDE 2020)

     10,600           2,443,564  

L’OREAL SA (TEMP)

     23,304           5,372,152  

L’OREAL SA ORD

     58,587           13,505,762  

LUKOIL PJSC SPONS ADR

     28,347           2,026,244  

LVMH MOET HENNESSY LOUIS VU SE

     21,310           6,304,194  

MACQUARIE GROUP LTD

     56,495           4,323,428  

MAHINDRA & MAHINDRA LTD(DEMAT)

     100,978           1,166,755  

 

45


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

MASTERCARD INC CL A

     37,462           7,067,206  

MEDTRONIC PLC

     62,102           5,648,798  

METROPOLITAN BANK & TRUST CO

     931,870           1,436,855  

MONCLER SPA

     67,330           2,231,757  

MTR CORPORATION LTD

     519,000           2,730,707  

MUNICH REINSURANCE (REG)

     5,250           1,146,194  

NASPERS LTD N SHS

     9,853           1,980,715  

NESTLE SA (REG)

     197,565                      16,039,971  

NIDEC CORP

     30,100           3,425,916  

NINTENDO CO LTD

     12,700           3,393,271  

NOVARTIS AG (REG)

     87,934           7,518,540  

NOVO-NORDISK AS CL B

     206,765           9,452,205  

ONO PHARMACEUTICAL CO LTD

     152,550           3,124,627  

OTP BANK (REG)

     23,935           964,402  

PERNOD-RICARD

     4,686           769,375  

PETROLEO BRASILEIRO SPONS ADR

     192,200           2,500,522  

PING AN INSURANCE CO LTD H

     1,218,302           10,758,647  

POWSZECHNA KASA OSZCZ BK SA

     125,424           1,322,828  

POWSZECHNY ZALKAD UBEZPIEC SA

     68,988           809,270  

PRESIDENT CHAIN STORE CORP

     48,000           487,763  

PRESIDENT CHAIN(HSBC)(CWT)9/24

     69,000           701,160  

PRUDENTIAL PLC

     120,615           2,155,377  

PTT PCL NVDR

     850,300           1,200,362  

PUBLIC BANK BHD (LOC) (MLAY)

     158,000           946,662  

RATIONAL AG

     4,758           2,703,933  

RECKITT BENCKISER GROUP PLC

     39,559           3,031,869  

RELIANCE INDUSTRIES LTD(DEMAT)

     103,821           1,673,269  

RICHEMONT CIE FINANCIERE SA A

     110,889           7,107,546  

ROCHE HLDGS AG (GENUSSCHEINE)

     48,296           11,959,758  

ROTORK PLC

     1,751,165           5,526,518  

ROYAL DUTCH SHELL PLC CL B(UK)

     32,350           964,859  

RUMO SA

     349,200           1,531,678  

RYANAIR HOLDINGS PLC SPON ADR

     27,267           1,945,228  

SAFRAN SA

     78,654           9,498,418  

SAMSUNG ELECTRONICS CO LTD

     218,108           7,578,090  

SAMSUNG ENG CO LTD

     83,570           1,320,506  

SANDS CHINA LTD

     1,095,200           4,797,313  

SAP SE

     77,636           7,732,549  

SAP SE SPON ADR

     89,163           8,876,177  

SBERBANK OF RUSSIA (RUS)

     213,300           570,943  

SBERBANK OF RUSSIA (USD)

     43,500           116,312  

SBERBANK-SPONSORED ADR

     36,900           404,424  

SCHINDLER HOLDING AG PART CERT

     40,362           7,995,199  

SECOM CO LTD

     44,500           3,700,315  

 

46


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

SEVEN & I HOLDINGS CO LTD

     52,164           2,276,360  

SHANGHAI INTL (JPM) CWT 11/19

     263,400           1,943,764  

SHIMANO INC

     42,200           5,975,494  

SHIN-ETSU CHEMICAL CO LTD

     35,183           2,740,040  

SHINHAN FINANCIAL GROUP CO LTD

     61,498           2,186,419  

SHIONOGI & CO LTD

     41,600           2,380,125  

SIKA AG

     53,158           6,738,719  

SM INVESTMENTS CORP

     38,460           672,134  

SONY CORP

     77,100           3,746,495  

SPIRAX-SARCO ENGINEERING PLC

     84,847           6,748,310  

SPOTIFY TECHNOLOGY SA

     26,227           2,976,765  

SSANGYONG CEMENT IND CO LTD

     135,026           762,509  

SUNNY OPTICAL TEC(GROUP)CO LTD

     227,922           2,025,844  

SVENSKA HANDELSBANKEN SER A

     511,776           5,676,167  

TAIWAN SEMIC MFG CO LTD SP ADR

     408,861                      15,091,060  

TAIWAN SEMICONDUCT MFG CO LTD

     363,000           2,674,612  

TAL ED GROUP ADR

     57,300           1,528,764  

TECHTRONIC INDUSTRIES CO LTD

     551,239           2,928,490  

TELEKOMUNIKASI INDO B (DEMAT)

     3,839,100           1,001,156  

TEMENOS AG

     24,925           2,989,783  

TENCENT HOLDINGS LTD

     359,000           14,395,760  

TIM PARTICIPACOES SA SPON ADR

     37,200           570,648  

TOKIO MARINE HOLDINGS INC

     118,435           5,657,823  

TOTAL SA (FRAN)

     67,231           3,557,242  

TOTAL SA (SCRIP) RT

     67,231           49,299  

TREASURY WINE ESTATES LTD

     282,552           2,945,429  

TRELLEBORG AB SER B

     155,104           2,438,662  

TURKIYE GARANTI BANKASI AS

     337,786           508,035  

ULTRATECH CEMENT LTD

     18,650           1,069,875  

UNICHARM CORP

     174,300           5,659,721  

UNILEVER NV CVA (BEARER)

     412,630           22,418,792  

VALE SA ADR

     92,958           1,226,116  

VISA INC CL A

     42,834           5,651,518  

VOLKSWAGEN AG PFD

     18,261           2,906,559  

WAL MART DE MEXICO SAB DE CV V

     310,100           788,515  

YANDEX NV CL A

     168,051           4,596,195  

ZALANDO SE

     67,909           1,745,983  

ZHUZHOU CRRC TIMES ELECTRIC H

     198,200           1,098,510  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     24,853,449           24,853,449  
        

 

 

 

International Growth Account

           815,224,610  

International Value Account

        

Currency

        

 

47


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units     Cost **      Current Value  

AUSTRALIAN DOLLAR CURRENCY

     501,182          353,008  

BRAZILIAN REAL

     173,046          44,648  

BRITISH POUND STERLING CURRENCY

     192,407          245,241  

CANADIAN DOLLAR

     314,582          230,429  

CHILEAN PESO

     1,259,102          1,814  

CHINESE RENMINBI

     290,395          42,218  

DANISH KRONE

     526,108          12,094  

EURO MONETARY UNIT.

     591,981          678,263  

HONG KONG DOLLAR

     2,011,567          172,684  

HUNGARIAN FORINT

     341,326          1,218  

INDIAN RUPEE

     1          0  

ISRAELI SHEKEL

     40,041          10,708  

JAPANESE YEN

     18,053,277          164,712  

MALAYSIAN RINGGIT

     61,330          14,841  

MEXICAN PESO CURRENCY

     146,772          7,469  

NEW ZEALAND DOLLAR CURRENCY

     11,850          7,954  

NORWEGIAN KRONA

     142,610          16,493  

PHILIPPINE PESO

     24,434          465  

POLAND ZLOTY NEW

     19,917          5,322  

SINGAPORE DOLLAR CURRENCY

     49,243          36,130  

SOUTH AFRICAN RAND CURRENCY

     4,519,340                          314,116  

SOUTH KOREAN WON

     345,242,388          309,957  

SWEDISH KRONA CURRENCY

     994,163          58,437  

SWISS FRANC

     74,256          75,548  

TAIWAN DOLLAR

     13,298,024          434,505  

THAILAND BAHT CURRENCY

     156,183          4,793  

TURKISH LIRA (NEW)

     35,450          6,698  

UNITED ARAB EMIRATES DIRHAM

     94          26  

Forward Currency Contract

       

BRITISH POUND STERLING CURRENCY

     (6,564        118  

CANADIAN DOLLAR

     20,354          24  

CURRENCY CONTRACT—EUR

     (24,393        385  

CURRENCY CONTRACT—USD

     (10,963,207        (17,640

JAPANESE YEN

     44,959,858          3,099  

Futures

       

AUDUSD CRNCY FUT MAR19 ADH9

     116          (2,320

C$ CURRENCY FUT MAR19 CDH9

     339          23,730  

EURO FX CURR FUT MAR19 ECH9

     (331        (28,963

EURO STOXX 50 FUT MAR19 VGH9

     (1,096        0  

FTSE 100 IDX FUT MAR19 Z H9

     (18        1,721  

MSCI EAFE FUT MAR19 MFSH9

     86          3,440  

MSCI EMGMKT FUT MAR19 MESH9

     721          (126,175

S&P/TSX 60 IX FUT MAR19 PTH9

     6          4,487  

TOPIX INDX FUTR MAR19 TPH9

     55          (20,060

 

48


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

Publicly-traded Common Stock

        

3I GROUP PLC

     221,093           2,179,481  

A P MOLLER—MAERSK S/A B

     3,079           3,866,882  

ABB LTD (REG) (SWIT)

     279,115                        5,308,836  

ABN AMRO GROUP NV-GDR

     3,180           74,837  

ADASTRIA CO LTD

     9,500           160,782  

ADIDAS AG

     6,628           1,385,151  

ADMIRAL GROUP PLC

     1,703           44,433  

ADVANTEST CORP

     19,400           397,186  

AECI LTD

     186,380           1,081,814  

AEGON NV

     44,036           205,803  

AEON FINANCIAL SERVICE CO LTD

     1,100           19,610  

AERCAP HOLDINGS NV

     13,700           542,520  

AGEAS (BELG)

     13,747           619,000  

AGRICULTURAL BANK OF CHINA H

     197,082           86,328  

AIR CANADA VTG

     14,400           273,824  

AKR CORPORINDO TBK PT

     8,829,546           2,634,127  

ALLIANZ SE (REGD)

     39,329           7,892,019  

ALPHA BANK SA

     1,324,615           1,669,445  

AMP LTD (POST RECON)

     22,278           38,444  

ANDRITZ AG

     46,700           2,146,682  

ANHEUSER-BUSCH INBEV SA/NV

     3,537           233,830  

AOZORA BANK LTD

     900           26,892  

ARCELORMITTAL SA (NETH)

     45,800           951,903  

AREZZO INDUSTRIA E COMERCIO SA

     251,978           3,579,671  

ARKEMA

     1,630           139,993  

ASHTEAD GROUP PLC

     47,510           991,306  

ASR NEDERLAND NV

     4,855           192,355  

ASSICURAZIONI GENERALI SPA

     9,053           151,438  

ASSOCIATED BRITISH FOODS PLC

     11,020           286,962  

ASTELLAS PHARMA INC

     190,400           2,434,612  

ASTM SPA

     5,970           119,565  

AURELIUS EQUITY OPP SE&CO KGAA

     3,612           131,272  

AURIZON HOLDINGS LTD

     31,000           93,453  

AUSTEVOLL SEAFOOD ASA

     70,803           874,546  

AUSTRALIA & NZ BANKING GRP

     20,639           355,577  

AVAST PLC

     86,297           312,383  

AVIVA PLC

     706,056           3,379,271  

AXA SA

     25,833           558,162  

B2W CIA DIGITAL

     338,700           3,672,108  

BABCOCK INTL GROUP PLC

     312,627           1,949,735  

BAJAJ AUTO LTD

     51,537           2,015,069  

BALOISE HOLDINGS AG

     393           54,138  

BANCO BILBAO VIZ ARGENTARIA SA

     157,203           834,925  

 

49


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

BANCO DE SABADELL SA

     40,774           46,740  

BANCO DO BRASIL SA

     4,528           54,314  

BANCO SANTANDER MEXICO SA INST

     16,428           20,397  

BANCO SANTANDER SA (SPAIN)

     1,001,397                        4,558,424  

BANCOLOMBIA SA

     234,400           2,194,229  

BANGKOK LIFE ASSURAN LTD NVDR

     2,917,500           2,350,295  

BANK HANDLOWY W WARSZAWIE SA

     6,260           115,587  

BANK HAPOALIM LTD (REG)

     63,014           398,556  

BANK LEUMI LE-ISRAEL BM

     329,404           1,990,942  

BANK OF CHINA HONG KONG LTD

     26,874           99,870  

BANK OF CHINA LTD H

     564,039           243,465  

BANK OF COMMUNICATIONS H

     70,339           54,884  

BANK OF IRELAND GROUP PLC

     5,075           28,259  

BANK OF KYOTO

     500           20,734  

BANK OF MONTREAL

     4,610           301,176  

BANK OF NOVA SCOTIA

     8,434           420,403  

BANK OF QUEENSLAND LTD

     3,453           23,592  

BANK POLSKA KASA OPIEKI

     1,313           38,243  

BANKIA SA

     480,915           1,410,581  

BANKINTER SA

     5,483           44,088  

BARCLAYS PLC ORD

     1,000,187           1,918,887  

BARRATT DEVELOPMENTS PLC

     82,804           488,448  

BASF SE

     28,800           1,993,055  

BAUSCH HEALTH COS INC

     63,100           1,166,284  

BB SEGURIDADE PARTICIPACOES SA

     200,088           1,424,351  

BBA AVIATION PLC

     506,693           1,409,203  

BDO UNIBANK INC

     16,550           41,233  

BELLWAY PLC

     69,839           2,238,772  

BENDIGO AND ADELAIDE BANK LTD

     4,131           31,395  

BERKELEY GRP HLDGS PLC

     8,020           355,634  

BHP GROUP PLC

     17,700           372,608  

BHP GROUP PLC ADR (UK)

     52,500           2,199,225  

BIM BIRLESIK MAGAZALAR AS

     88,517           1,455,074  

BNK FINANCIAL GROUP INC

     2,681           17,643  

BNP PARIBAS (FRAN)

     7,858           355,405  

BOLSA MEXICANA DE VALORES SA

     1,164,600           1,984,681  

BOUYGUES ORD

     38,876           1,395,952  

BOVIS HOMES GRP PLC

     32,450           356,447  

BP PLC

     925,433           5,850,012  

BRADESCO SA

     7,720           67,425  

BRADESCO SA PREF

     23,962           238,955  

BRP INC

     16,534           428,004  

BURSA MALAYSIA BHD

     1,388,600           2,298,372  

CAIXABANK SA

     10,273           37,241  

 

50


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

CANADIAN IMP BK OF COMMERCE

     3,063           228,132  

CANADIAN NATL RAILWAY CO

     1,900           140,719  

CANADIAN TIR LT A PH DELIVEREY

     3,400           355,491  

CARLSBERG AS CL B

     19,482                        2,070,626  

CARNIVAL PLC

     11,240           539,106  

CATHAY FINANCIAL HLDG CO LTD

     61,049           93,753  

CENTURY PACIFIC FOOD INC

     8,656,045           2,506,131  

CERVECERIAS UNIDAS SA CIA

     124,842           1,618,988  

CGI INC CL A SUB VTG

     36,200           2,214,108  

CHANG HWA COMMERCIAL BANK

     48,308           27,149  

CHECK POINT SOFTWARE TECHS LTD

     9,200           944,380  

CHIBA BANK LTD

     5,300           29,690  

CHINA CINDA ASSET MGT CO LTD H

     80,956           19,643  

CHINA CITIC BANK CORP LTD H

     72,993           44,371  

CHINA CONSTRUCTION BANK CORP H

     590,582           487,218  

CHINA DEV FIN HOLDINGS CORP

     118,116           37,513  

CHINA EVERBRIGHT LTD

     9,290           16,467  

CHINA GALAXY SEC CO LTD H

     47,500           21,474  

CHINA HONGXING SPORTS LTD

     3,613,000           150,304  

CHINA HUARONG ASSET MANAGEMENT

     90,000           16,436  

CHINA LIFE INS CO LTD H

     53,749           114,218  

CHINA MENGNIU DAIRY CO LTD

     1,353,977           4,219,020  

CHINA MERCHANTS BANK CO LTD H

     28,865           105,795  

CHINA MINSHENG BANK CORP H

     55,740           38,439  

CHINA MOBILE LIMITED

     743,950           7,158,755  

CHINA PACIFIC INS(GRP)CO LTD H

     19,907           64,446  

CHINA RESOURCES POWER HLDS LTD

     1,286,000           2,473,298  

CHINA TAIPING INSU HLDS CO LTD

     13,802           37,896  

CHONG QING CHNGAN AUTO CO CL B

     468,562           208,835  

CHRISTIAN DIOR SE

     3,395           1,298,811  

CHUBU ELECTRIC POWER CO INC

     32,400           461,886  

CHUGOKU BANK LTD

     2,500           21,144  

CI FINANCIAL CORP

     2,181           27,606  

CIA DE DIS INT LOG HOLDINGS SA

     33,567           840,722  

CIA HERING SA

     333,500           2,516,039  

CIMB GROUP HOLDINGS BERHAD

     36,300           50,157  

CINEWORLD GROUP PLC

     729,100           2,445,946  

CITIC SECURITIES CO LTD H

     18,911           32,603  

CK ASSET HOLDINGS LTD

     189,000           1,383,015  

CK HUTCHISON HOLDINGS LTD

     675,000           6,482,345  

CLICKS GROUP LTD

     110,637           1,472,212  

CNH INDUSTRIAL NV(IT)

     98,137           882,433  

CNP ASSURANCES

     1,515           32,147  

COMMERZBANK AG

     11,400           75,535  

 

51


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

COMMONWEALTH BK OF AUSTRALIA

     6,113           311,689  

COMPASS GROUP PLC

     2,890           60,779  

COMPUTERSHARE LTD

     62,800           760,368  

CONCORDIA FINANCIAL GROUP LTD

     9,900           38,117  

COVESTRO AG

     36,312                        1,796,481  

CREDICORP LTD (USA)

     269           59,629  

CREDIT AGRICOLE SA

     165,314           1,786,122  

CREDIT SAISON CO LTD

     1,400           16,490  

CREDIT SUISSE GROUP AG

     215,786           2,371,033  

CROWN RESORTS LTD

     68,900           575,562  

CTBC FINL HLDG CO LTD

     3,239,990           2,138,468  

CTBC FINL HLDG CO LTD PREF

     44,677           92,259  

D&L INDUSTRIES INC

     10,248,388           2,143,377  

DAI NIPPON PRINTING CO LTD

     58,500           1,225,989  

DAI-ICHI LIFE HOLDINGS INC

     97,400           1,526,693  

DAIMLER AG (GERW)

     85,806           4,513,514  

DAIWA SECURITIES GROUP INC

     34,700           176,215  

DALI FOODS GROUP CO LTD

     2,443,568           1,806,814  

DANSKE BK AS

     85,791           1,696,994  

DASSAULT AVIATION SA

     1,079           1,495,880  

DB INSURANCE CO LTD

     462           29,201  

DBS GROUP HOLDINGS LTD

     131,700           2,289,132  

DERWENT LONDON PLC

     7,670           278,914  

DEUTSCHE BANK AG (GERW)

     14,747           117,717  

DEUTSCHE TELEKOM AG (REGD)

     523,331           8,886,168  

DIRECT LINE INSURANCE GRP PLC

     11,127           45,200  

DMG MORI CO LTD

     14,500           164,176  

DNB ASA

     147,040           2,349,341  

DRAX GROUP PLC

     192,800           881,725  

DUNI AB

     99,300           1,099,107  

EIFFAGE SA (FORM FOUGEROLLE)

     15,951           1,333,407  

ELEMENT FLEET MANAGEMENT CORP

     3,714           18,799  

EMPIRE CO LTD NON-VTG CL A

     66,900           1,412,780  

ENEL (ENTE NAZ ENERG ELET) SPA

     2,280,566           13,179,763  

ENGIE SA

     24,220           347,570  

ENI SPA

     434,994           6,851,926  

EQUINOR ASA

     97,910           2,080,722  

ERICSSON (LM) TELE CO CL B

     252,929           2,223,665  

ERSTE GROUP BANK AG

     2,256           75,089  

EURAZEO SE

     248           17,560  

EVRAZ PLC

     119,931           734,512  

EXOR NV

     15,898           860,847  

FEDERAL BANK LTD

     2,241,608           3,004,599  

FIAT CHRYSLER AUTOMOBILES (IT)

     81,890           1,189,895  

 

52


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

FIRST FINANCIAL HOLDING CO

     75,733           49,491  

FUBON FINANCIAL HOLDING CO LTD

     50,431           77,529  

FUJI MEDIA HOLDINGS INC

     79,000           1,090,525  

FUJIFILM HOLDINGS CORP

     117,900           4,593,157  

FUJITSU LTD

     78,100                        4,878,890  

FUKUOKA FINANCIAL GROUP INC

     1,300           26,533  

FUYAO GLASS IND GROUP CO LTD A

     868,339           2,875,738  

GBL (GROUPE BRUXELLES LAMB) SA

     351           30,596  

GENOMMA LAB INTERNACIONAL SA

     1,642,334           975,284  

GF SECURITIES CO LTD H

     12,740           17,278  

GJENSIDIGE FORSIKRING ASA

     1,811           28,317  

GLAXOSMITHKLINE PLC

     272,037           5,170,562  

GRANITE REAL ESTATE INC

     18,800           732,748  

GREAT WEST LIFECO INC

     2,323           47,951  

GREENCORE GROUP PLC (UK)

     1,052,300           2,390,128  

GRUMA SAB CL B

     113,488           1,286,083  

GRUPO FINANCIERO BANORTE SAB

     279,776           1,363,591  

GULF KEYSTONE PETROLEUM LTD

     158,230           365,041  

H&R REAL ESTATE INVT TR US

     33,750           510,502  

HACHIJUNI BANK LTD

     4,000           16,459  

HAIER ELECTRONICS GRP CO LTD

     1,034,383           2,544,182  

HAITONG SECURITIES CO LTD H

     27,073           25,930  

HANA FINANCIAL GROUP INC

     47,302           1,539,447  

HANG SENG BANK LTD

     5,574           125,140  

HANNOVER RUECKVERSICHERUNGS SE

     18,380           2,478,631  

HERO MOTOCORP LTD

     41,540           1,853,537  

HIROSHIMA BANK

     2,600           13,830  

HITACHI LTD

     93,500           2,504,167  

HITACHI METALS LTD

     293,000           3,074,221  

HKT TRUST AND HKT LTD(STAPLED)

     42,000           60,502  

HOCHTIEF AG

     11,104           1,497,427  

HON HAI PRECISION IND CO LTD

     1,002,753           2,319,716  

HONDA MOTOR CO LTD

     343,000           9,058,104  

HONG LEONG BANK BHD

     6,500           32,087  

HONGKONG LAND HLDGS LTD

     115,000           724,500  

HOYA CORP

     25,200           1,520,898  

HSBC HOLDINGS PLC (UK REG)

     514,803           4,244,750  

HUA NAN FINANCIAL HLDGS CO LTD

     66,569           38,064  

HUATAI SECURITIES CO LTD H

     10,617           16,813  

HYSAN DEVELOPMENT CO LTD

     53,000           252,123  

HYUNDAI FIRE & MARINE INS CO

     626           23,071  

HYUNDAI MOBIS

     10,700           1,825,217  

IBERDROLA SA

     796,083           6,401,203  

IGM FINANCIAL INC

     807           18,343  

 

53


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

IIDA GROUP HOLDINGS CO LTD

     84,600           1,467,311  

ILUKA RESOURCES LIMITED

     38,300           205,562  

IMERYS

     42,100           2,024,950  

IMPERIAL BRANDS PLC

     129,030           3,909,253  

INCHCAPE PLC

     158,364                        1,113,207  

INDUSTRIAL & COM BK OF CHINA H

     519,580           370,915  

INDUSTRIAL ALLIANCE INSURANCE

     906           28,915  

INDUSTRIAL BANK OF KOREA

     2,352           29,668  

INDUSTRIVARDEN AB SER C

     1,453           29,378  

INFOSYS LTD SPON ADR

     226,600           2,157,232  

ING GROEP NV

     252,958           2,727,269  

INPEX CORP

     404,200           3,620,301  

INTERNATIONAL CONS AIRLNS (SP)

     41,200           326,658  

INTESA SANPAOLO SPA

     99,086           220,221  

INVESTEC PLC (UK)

     4,021           22,607  

INVESTOR AB SER B

     3,301           139,892  

IPSOS SA

     31,100           731,898  

ISETAN MITSUKOSHI HOLDINGS LTD

     22,900           253,852  

ISRAEL DISCOUNT BANK LTD CL A

     377,074           1,165,751  

ISUZU MOTORS LTD

     306,900           4,335,885  

ITAU UNIBANCO HOLDING SA

     17,566           160,896  

ITAUSA (INVEST ITAU) PFD

     32,407           101,007  

JAPAN AIRLINES CO LTD

     21,500           763,254  

JAPAN POST BANK CO LTD

     3,300           36,431  

JAPAN POST HOLDINGS CO LTD

     202,200           2,333,680  

JD SPORTS FASHION PLC

     57,320           254,834  

JFE HOLDINGS INC

     32,300           517,778  

JOHN WOOD GROUP PLC

     450,024           2,903,566  

JSE LIMITED

     269,544           3,101,700  

JULIUS BAER GRUPPE AG

     1,676           59,698  

JUMBO SA

     107,102           1,560,898  

KALBE FARMA PT (DEMAT)

     18,451,114           1,950,326  

KANSAI ELECTRIC POWER CO INC

     139,100           2,094,019  

KASIKORNBANK PCL (FOR)

     3,900           22,082  

KASIKORNBANK PCL (LOC)

     5,100           28,955  

KB FINANCIAL GROUP INC

     2,903           121,193  

KBC GROUPE SA

     16,600           1,078,022  

KDDI CORP

     101,900           2,439,538  

KERING

     924           435,750  

KIA MOTORS CORP

     60,100           1,818,367  

KINGFISHER PLC

     1,507,370           3,986,685  

KINNEVIK AB

     1,853           44,679  

KONE OYJ B

     47,400           2,261,408  

KONINKLIJKE AHOLD DELHAIZE NV

     292,696           7,402,993  

 

54


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

KOREA INVESTMENT HLDGS CO LTD

     412           22,009  

KPN (KON) NV

     654,198           1,918,841  

KRUNG THAI BANK (LOC)

     37,600           22,155  

KT & G CORP

     16,700           1,521,807  

KUMAGAI GUMI CO LTD

     2,000           60,216  

LANXESS AG

     40,600                        1,870,001  

LEGAL & GENERAL GROUP PLC ORD

     43,409           127,810  

LENOVO GROUP LTD

     5,858,000           3,957,451  

LEROY SEAFOOD GROUP ASA

     35,500           270,730  

LG UPLUS CORP

     107,400           1,701,869  

LIC HOUSING FINANCE (DEMAT)

     376,619           2,645,590  

LINDE PLC

     20,944           3,268,102  

LINK REAL ESTATE INVESTMENT TR

     24,000           243,050  

LLOYDS BANKING GROUP PLC

     8,887,384           5,873,495  

LOOMIS AB B

     52,500           1,694,131  

LUNDIN PETROLEUM AB

     31,224           779,988  

M DIAS BRANCO SA

     286,006           3,158,371  

MACQUARIE GROUP LTD

     2,342           179,228  

MAGNA INTL INC

     49,698           2,255,922  

MAHANAGAR GAS LTD

     173,881           2,260,428  

MAIL.RU GROUP LTD GDR REGS

     74,971           1,758,820  

MAKINO MILLING MACHINE CO LTD

     7,500           266,183  

MALAYAN BANKING (MLAY)

     28,200           64,828  

MANULIFE FINANCIAL CORP (CANA)

     58,454           829,369  

MAPFRE SA

     9,879           26,260  

MARUHA NICHIRO CORP

     20,400           687,724  

MEBUKI FINANCIAL GROUP INC

     8,800           23,444  

MEDIASET ESPANA COMUNICACIN SA

     94,615           595,144  

MEDIOBANCA SPA

     3,278           27,703  

MEGA FINANCIAL HOLDING CO LTD

     84,937           72,018  

MEGGITT PLC ORD

     41,500           249,140  

METHANEX CORP

     42,700           2,053,679  

METHANEX CORP (FIL USD ONLY)

     3,700           178,229  

MICHELIN CL B (REG)

     21,900           2,175,470  

MIRVAC GROUP STAPLED SECURITY

     313,400           494,465  

MITSUBISHI CHEMICAL HLDGS CORP

     8,100           61,531  

MITSUBISHI ELECTRIC CORP ORD

     376,600           4,179,863  

MITSUBISHI HEAVY INDS LTD

     4,800           173,248  

MITSUBISHI UFJ FINL GRP INC

     773,100           3,794,083  

MITSUBISHI UFJ LEA&FIN CO LTD

     4,500           21,678  

MITSUI & CO LTD

     113,000           1,742,863  

MIXI INC

     3,400           71,409  

MIZUHO FINANCIAL GROUP INC

     171,200           266,004  

MODERN TIMES GRP MTG AB SER B

     133           4,397  

 

55


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

MONEYSUPERMARKET.COM GROUP PLC

     221,365           777,328  

MORINAGA & CO LTD

     1,400           60,417  

MORRISON (WM) SUPERMARKETS

     20,900           56,808  

MS&AD INSURANCE GRP HLDGS INC

     29,200           834,400  

MUNICH REINSURANCE (REG)

     20,176           4,404,878  

MUTHOOT FINANCE LTD

     546,289                        4,051,820  

MYLAN NV

     115,176           3,155,822  

NANKAI ELECTRIC RAILWY CO LTD

     11,800           312,643  

NATIONAL AUSTRALIA BANK LTD

     18,819           319,052  

NATIONAL BANK OF CANADA DTC EL

     2,519           103,421  

NATIONAL GRID PLC

     222,486           2,167,123  

NATIXIS

     7,448           35,150  

NESTLE SA (REG)

     22,410           1,819,430  

NEW CHINA LIFE INSURANCE CO H

     6,635           26,352  

NEWS CORP NEW CL A

     136,200           1,545,870  

NEWS CORP NEW CL B

     21,485           248,152  

NEXON CO LTD

     209,000           2,694,375  

NEXT PLC

     39,300           1,999,163  

NIEN MADE ENTERPRISE CO LTD

     293,000           2,259,369  

NIKON CORP

     5,000           74,586  

NIPPON CARBON CO LTD

     5,100           187,286  

NIPPON EXPRESS CO LTD

     1,800           100,506  

NIPPON SHEET GLASS CO LTD

     92,600           706,296  

NIPPON TELEGRAPH & TELEPHONE

     49,000           2,003,722  

NN GROUP NV

     8,273           329,862  

NOKIAN TYRES OYJ

     74,683           2,294,935  

NOMURA HOLDINGS INC

     174,900           671,483  

NORDEA BANK ABP

     21,579           181,583  

NOVARTIS AG (REG)

     103,758           8,871,525  

NOVO-NORDISK AS CL B

     11,720           535,777  

OJI HOLDINGS CORP

     30,100           155,162  

OKI ELECTRIC INDUSTRY CO LTD

     14,300           169,479  

OLD MUTUAL LTD

     55,910           83,463  

ONO PHARMACEUTICAL CO LTD

     19,800           405,556  

OPEN TEXT CORPORATION

     28,100           915,946  

ORIX CORP

     156,600           2,293,885  

ORKLA ASA

     21,900           172,333  

OTP BANK (REG)

     106,239           4,280,638  

OVERSEA-CHINESE BKG CORP LTD

     22,600           186,710  

PAGEGROUP PLC

     14,000           80,443  

PEOPLES INSURANCE GRP OF CH H

     65,030           26,160  

PERSIMMON PLC ORD

     41,740           1,026,795  

PEUGEOT SA

     115,493           2,467,220  

PICC PROPERTY & CASUALTY CO H

     53,749           54,981  

 

56


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

POPULAR INC

     45,300           2,139,066  

POSCO

     9,997           2,180,987  

POSTE ITALIANE SPA

     4,656           37,257  

POWER CORP OF CANADA SUB VTG

     2,739           49,215  

POWER FINANCIAL CORP

     2,000           37,841  

POWSZECHNY ZALKAD UBEZPIEC SA

     311,548                        3,654,644  

PUBLIC BANK BHD (LOC) (MLAY)

     8,600           51,527  

PUBLICIS GROUPE SA

     108,784           6,241,935  

QANTAS AIRWAYS LTD

     346,500           1,413,092  

QBE INSURANCE GROUP LTD

     440,804           3,135,851  

QUALITAS CONTROLADO SAB DE CV

     761,700           1,603,497  

QUILTER PLC

     12,366           18,649  

RAIFFEISEN BANK INTERNTNL AG

     1,249           31,769  

REDROW PLC

     117,839           738,071  

REPSOL SA

     86,541           1,396,093  

REPSOL SA RT

     52,274           23,957  

RESONA HOLDINGS INC

     16,700           80,556  

REXEL SA

     357,601           3,810,409  

RHI MAGNESITA NV

     23,512           1,186,748  

ROCHE HLDGS AG (GENUSSCHEINE)

     25,434           6,298,337  

ROGERS COMM INC CL B NON VTG

     20,200           1,035,154  

ROYAL BANK OF CANADA

     51,876           3,550,610  

ROYAL BANK OF SCOTLAND GRP PLC

     1,007,342           2,782,337  

ROYAL DUTCH SHELL PLC CL A(NL)

     289,363           8,505,599  

ROYAL DUTCH SHELL PLC CL A(UK)

     32,050           942,635  

ROYAL MAIL PLC

     91,303           316,656  

SAINSBURY (J) PLC

     753,161           2,543,944  

SAIPEM SPA

     503,887           1,884,978  

SAMPO OYJ SER A

     3,238           142,499  

SAMSUNG ELECTRONICS CO LTD

     61,048           2,121,092  

SAMSUNG LIFE INSURANCE CO LTD

     561           41,099  

SAMSUNG SECURITIES CO LTD

     717           20,277  

SANDFIRE RESOURCES NL

     26,500           124,684  

SANLAM LTD

     407,784           2,261,766  

SANOFI

     77,120           6,685,336  

SASOL LTD

     74,500           2,200,695  

SAWAI PHARMACEUTICAL CO LTD

     1,200           57,260  

SBI HOLDINGS INC

     1,800           35,456  

SCENTRE GROUP STAPLED UNIT

     1           3  

SCHNEIDER ELECTRIC SE

     53,584           3,666,442  

SCHRODERS PLC (NEW) ORD

     1,028           32,010  

SCOR SE

     16,609           749,773  

SECURITAS AB SER B

     25,180           404,138  

SECURITY BANK CORP

     325,119           959,875  

 

57


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

SEGRO PLC

     14,700           110,284  

SEVEN & I HOLDINGS CO LTD

     25,600           1,117,146  

SEVENTY SEVENTH BANK

     6,200           107,873  

SHIN KONG FINCL HLDNGS CO LTD

     82,795           24,266  

SHINHAN FINANCIAL GROUP CO LTD

     49,526                        1,760,782  

SHINSEI BANK LTD

     1,500           17,914  

SHIONOGI & CO LTD

     33,200           1,899,523  

SHIZUOKA BANK LTD

     3,900           30,636  

SHOWA CORP

     19,000           224,488  

SHOWA DENKO KK

     39,100           1,166,525  

SIAM COMMERCIAL BANK PCL (FOR)

     568,400           2,328,722  

SIAM COMMERCIAL BANK PCL (LOC)

     13,800           56,538  

SIEMENS AG (REGD)

     20,050           2,237,041  

SILTRONIC AG

     847           70,067  

SINGAPORE TELECOM LTD (SING)

     1,399,800           3,009,218  

SINOPAC HOLDINGS

     100,173           33,713  

SK HYNIX INC

     36,477           1,981,307  

SKANDINAVISKA ENSKI BK SER A

     11,091           107,745  

SOCIETE GENERALE SA CL A

     62,454           1,990,707  

SOJITZ CORPORATION

     186,300           649,301  

SOLVAY CL A

     20,600           2,060,966  

SOMPO HOLDINGS INC

     2,500           85,124  

SONY CORP

     59,700           2,900,983  

SONY FINANCIAL HOLDINGS INC

     1,600           29,999  

SOUTH32

     478,500           1,129,055  

SPAREBANK 1 SR BK CAP CERTS

     187,000           1,929,151  

SSAB AB—CL B

     225,533           634,132  

SSE PLC

     269,220           3,711,144  

SSP GROUP LTD

     38,900           320,993  

ST GOBAIN CIE DE

     138,837           4,639,349  

STANDARD CHARTERED PLC (UK)

     657,739           5,108,092  

STANDARD LIFE ABERDEEN PLC

     17,396           56,929  

SUMITOMO HEAVY INDUSTRIES LTD

     11,900           355,572  

SUMITOMO MITSUI CONSTR CO LTD

     34,600           210,874  

SUMITOMO MITSUI FINL GROUP INC

     74,800           2,487,533  

SUMITOMO MITSUI TR HLDGS INC

     2,400           88,069  

SUN LIFE FINANCIAL INC

     4,437           147,196  

SUNCORP GROUP LTD

     9,693           86,228  

SVENSKA HANDELSBANKEN SER A

     225,468           2,500,692  

SWEDBANK AB A

     6,542           145,965  

SWIRE PACIFIC LTD CL A

     205,000           2,165,060  

SWISS LIFE HLDGS AG (NEW)

     246           94,756  

SWISS RE LTD

     31,330           2,872,581  

T&D HOLDINGS INC

     4,200           49,011  

 

58


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

TAIHEIYO CEMENT CORP

     1,900           58,852  

TAISHIN FINANCIAL HLDGS CO LTD

     86,624           36,937  

TAIWAN SEMICONDUCT MFG CO LTD

     706,000           5,201,862  

TAKASHIMAYA CO LTD

     4,100           52,520  

TAKEDA PHARMACEUTICAL CO LTD

     167,700                        5,668,797  

TAYLOR WIMPEY PLC

     1,337,532           2,322,815  

TECK RESOURCES LTD-CLS B (US)

     12,600           271,404  

TELECOM ITALIA SPA

     1,573,598           871,366  

TELECOM ITALIA SPA RISP

     120,900           57,763  

TELEFONICA SA

     589,762           4,959,108  

TELENOR AS

     11,083           214,700  

TELIA CO AB (SWEDEN)

     1,416,196           6,707,914  

TELSTRA CORP LTD

     409,800           822,632  

TESCO PLC

     3,669,693           8,891,720  

TEVA PHARMACEUTICAL IND ADR

     131,500           2,027,730  

TFI INTERNATIONAL INC

     35,700           923,096  

TIGER BRANDS LTD

     83,068           1,580,702  

TOFAS TURK OTOMOBIL FABRIKASI

     312,836           998,947  

TOKIO MARINE HOLDINGS INC

     138,400           6,611,582  

TOKYO ELECTRIC POWER CO HOLDIN

     150,600           897,238  

TORONTO-DOMINION BANK

     70,585           3,508,569  

TOTAL SA (FRAN)

     27,931           1,477,850  

TOTAL SA (SCRIP) RT

     34,953           25,630  

TOWA PHARMACEUTICAL CO LTD

     1,500           104,968  

TOYO SEIKAN GROUP HOLDINGS LTD

     21,500           494,713  

TOYOTA MOTOR CORP

     13,800           806,558  

TRAVELSKY TECHNOLOGY LTD H

     1,341,000           3,433,631  

TRAVIS PERKINS PLC

     276,862           3,775,905  

TRYG AS

     1,118           28,119  

TUI AG (GB)

     43,490           623,891  

TURKIYE GARANTI BANKASI AS

     18,794           28,266  

TURKIYE HALK BANKASI

     9,912           13,147  

TURKIYE IS BANKASI AS C

     22,512           19,269  

UBS GROUP AG

     199,037           2,477,584  

UCB SA

     26,128           2,134,448  

UNICREDIT SPA

     118,014           1,337,813  

UNIPOLSAI SPA

     10,132           22,945  

UNITED OVERSEAS BANK (LOC)

     434,303           7,829,212  

V TECHNOLOGY CO LTD

     700           79,449  

VALLOUREC SA

     166,958           310,945  

VALMET CORP

     12,698           261,150  

VINCI SA

     29,700           2,450,752  

VODAFONE GROUP PLC

     1,447,405           2,820,795  

VOLKSWAGEN AG

     3,777           601,955  

 

59


Table of Contents
Identity of Issue, Borrower, Lessor, or Similar Party    Shares or Units      Cost **      Current Value  

VOLKSWAGEN AG PFD

     21,790           3,468,262  

WESTPAC BANKING CORP

     23,525           414,909  

WESTPORTS HOLDINGS BHD

     3,976,044                        3,482,947  

WH GROUP LTD

     3,083,500           2,374,498  

WHEELOCK & CO LTD

     76,000           434,327  

WHITEHAVEN COAL LTD

     252,900           769,522  

WILLIAM HILL PLC

     142,806           282,132  

WILLIS TOWERS WATSON PLC

     11,437           1,736,823  

WILMAR INTERNATIONAL LTD

     1,199,400           2,745,609  

WOLTERS KLUWER NV

     3,577           211,721  

WOORI BANK

     3,063           42,899  

WPP PLC NEW (UK)

     467,359           5,043,161  

X5 RETAIL GROUP NV GDR REGS

     102,324           2,535,589  

YAMAGUCHI FINANCIAL GROUP INC

     1,900           18,288  

YANDEX NV CL A

     94,254           2,577,847  

YARA INTERNATIONAL ASA

     56,100           2,163,806  

YUANTA FINL HLDG CO LTD

     88,255           44,553  

ZHEJIANG SUPOR COOKWARE CO LTD

     172,510           1,316,679  

ZURICH INSURANCE GROUP AG

     16,625           4,957,562  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     19,759,136           19,759,136  

SSBK STIF FUND

     1,260,778           7,517,720  
        

 

 

 

International Value Account

           729,210,131  

Investments held by trustee

           20,227,500,071  
        

 

 

 

Participant Loans* Interest 3.25%-9.00%, maturing through March 2044

           135,451,909  
     

 

 

 

Total Investments

         $   20,362,951,980  
        

 

 

 

 

*

Party-in-interest

 

**

Information not presented because investments are participant directed

 

60