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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, 2019

 

☐

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, 2019 and 2018, 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.

 

 

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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 17, 2020

 

/S/ KRISTEN ROBY DIMLOW

   
 

Kristen Roby Dimlow

   
  Member of 401(k) Administrative Committee    

Date:    June 17, 2020

 

/S/ DANIEL GOFF

   
  Daniel Goff    
  Member of 401(k) Administrative Committee    

Date:    June 17, 2020

 

/S/ GEORGE ZINN

   
  George Zinn    
  Member of 401(k) Administrative Committee    

 

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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, 2019 AND 2018;

NOTES TO FINANCIAL STATEMENTS; AND

SUPPLEMENTAL SCHEDULE OF ASSETS (HELD AT END OF YEAR) AS OF DECEMBER 31, 2019

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MICROSOFT CORPORATION

SAVINGS PLUS 401(k) PLAN

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     Page  

Report of Independent Registered Public Accounting Firm

     1  

Financial Statements:

  

Statements of Net Assets Available for Benefits as of December  31, 2019 and 2018

     2  

Statements of Changes in Net Assets Available for Benefits for the Years Ended December 31, 2019 and 2018

     3  

Notes to Financial Statements

     4  

Supplemental Schedule:

  

Supplemental Schedule of Assets (Held at End of Year) as of December  31, 2019

     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.

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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

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

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, 2019 and 2018, 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, 2019 and 2018, 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, 2019 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 17, 2020

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

 

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STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS

 

 

December 31,    2019      2018  

ASSETS

     

Cash

   $ 8,677,908      $ 9,464,025  

Investments held by trustee, at fair value

     27,373,465,379        20,227,500,071  

Receivables:

     

Participant loans

     144,559,953        135,451,909  

Other receivables

     16,109,867        18,999,301  

 

    

 

 

 

Total receivables

     160,669,820        154,451,210  

 

    

 

 

 

Total assets

     27,542,813,107        20,391,415,306  
     

LIABILITIES

     

Operating payables

     7,374,172        4,226,417  

Other payables

     6,263,552        9,441,069  

 

    

 

 

 

Total liabilities

     13,637,724        13,667,486  

 

    

 

 

 

NET ASSETS AVAILABLE FOR BENEFITS

   $  27,529,175,383      $  20,377,747,820  
  

 

 

    

 

 

 

Refer to accompanying notes.

 

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STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

 

 

 

Year Ended December 31,    2019      2018  

ADDITIONS

     

Net investment income (loss):

     

Interest and dividends

   $ 70,735,128      $ 62,411,020  

Net increase (decrease) in fair value of investments

     5,863,467,950        (909,898,266 ) 

 

    

 

 

 

Net investment income (loss)

     5,934,203,078        (847,487,246 ) 
  

 

 

    

 

 

 

Contributions:

     

Participant contributions

     1,655,399,823        1,447,279,773  

Employer contributions

     602,616,174        541,743,766  

 

    

 

 

 

Total contributions

     2,258,015,997        1,989,023,539  

 

    

 

 

 

Total additions

     8,192,219,075        1,141,536,293  

DEDUCTIONS

     

Benefits paid to participants

     1,040,791,512        821,220,448  

 

    

 

 

 

NET INCREASE IN NET ASSETS AVAILABLE FOR BENEFITS

     7,151,427,563        320,315,845  

NET ASSETS AVAILABLE FOR BENEFITS

     

Beginning of year

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

 

    

 

 

 

End of year

   $  27,529,175,383      $  20,377,747,820  
  

 

 

    

 

 

 

Refer to accompanying notes.

 

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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; Microsoft Technology Licensing; and Undead Labs (effective December 16, 2019). 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 2019 and 2018, 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 amounts earned with respect to any equity-based compensation program, award, or benefit, reimbursements or other expense allowances, fringe benefits (cash and noncash), moving expenses, deferred compensation, welfare plan benefits including health or life insurance, severance plan payments, unused accrued vacation payments, 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 make additional catch-up contributions to the Plan on a pre-tax and/or Roth basis. During 2019 and 2018, the maximum annual 401(k) pre-tax and Roth contribution limit was $19,000 and $18,500, respectively, and the maximum annual catch-up contribution to the Plan was $6,000. Additionally, participants could contribute up to $27,500 for 2019 and $27,250 for 2018 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. 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.

 

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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 Internal Revenue Service (“IRS”) contribution limit (not including catch-up contributions). Participants do not receive a match on after-tax contributions.

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 investment earnings, gains and losses, 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. Hardship withdrawals are further limited to pre-tax contributions, pre-tax catch-up contributions, after-tax contributions (including earnings thereon), and rollover contributions (excluding rollover contributions attributable to designated Roth contributions, Roth in-plan conversion amounts and earnings thereon, and acquisition rollovers). Prior to 2019, a hardship withdrawal generally resulted in a six-month suspension of contributions (other than rollover contributions) to the Plan and the sources available for a hardship withdrawal excluded earnings on pre-tax (including catch-up) and after-tax contributions.

Active participants may also generally take a withdrawal at any time from their rollover and after-tax accounts within the Plan. After reaching age 591⁄2, 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.

 

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Participants may also withdraw all, or any portion, of their pre-tax contributions during a leave of absence to perform qualified military service of at least 30 days, subject to a six-month suspension on future non-rollover contributions to the Plan. The distribution generally must be made in a single lump sum cash payment, except that distributions of investments in Microsoft Common Stock may be taken in the form of Microsoft Common Stock or cash.

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, including systemic market disruptions, 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 due to risks and uncertainties, including systemic market disruptions. 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, sold, and held during the year.

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.

 

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Other Receivables and Payables

Other receivables and payables as of December 31, 2019 and 2018 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, 2019 and 2018, 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.

 

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Financial Instruments Measured at Fair Value

 

December 31, 2019    Level 1      Level 2      Total  

 

 

Mutual funds

   $ 666,635,304      $ 0      $         666,635,304  

Microsoft Common Stock

     2,560,666,967        0        2,560,666,967  

Separately managed accounts:

        

Common stock

     3,840,829,164        0        3,840,829,164  

Mutual funds

     0        1,059,178,206        1,059,178,206  

Other

     107,307,012        20,746,596        128,053,608  

Brokerage accounts

     1,149,314,671        32,850,889        1,182,165,560  

 

    

 

 

    

 

 

 

Total

   $   8,324,753,118      $   1,112,775,691        9,437,528,809  
  

 

 

    

 

 

    

Common collective trusts measured at NAV

           17,935,936,570  
        

 

 

 

Total Investments

         $   27,373,465,379  
        

 

 

 
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  
  

 

 

 

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, 2019 and 2018. These derivative instruments are primarily 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 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.

 

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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, 2019 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, 2019 was 4.25 percent to 6.50 percent, maturing at various dates through January 2025.

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. 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 IRS 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. Fees paid for investment management services were included as a reduction of the return earned on each fund.

Transactions in Microsoft Common Stock also qualify as party-in-interest transactions. As of December 31, 2019 and 2018, the Plan held 16,237,584 shares of Microsoft Common Stock valued at $2,560,666,967 and 17,035,793 shares of Microsoft Common Stock valued at $1,730,325,484, respectively. During the years ended December 31, 2019 and 2018, the Plan recorded Microsoft Common Stock dividend income of $31,390,230 and $29,844,171, respectively.

 

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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,    2019     2018  

Net assets available for benefits per the financial statements

   $ 27,529,175,383     $ 20,377,747,820  

Less: benefits payable

     (2,778,561 )      (2,635,425 ) 

 

   

 

 

 

Net assets per the Form 5500

   $   27,526,396,822     $   20,375,112,395  
  

 

 

   

 

 

 

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

 

 

 
Year Ended December 31,    2019      2018  

Benefits paid to participants per the financial statements

   $ 1,040,791,512      $ 821,220,448  

Plus: increase in benefits payable at year end

     143,136        575,258  

 

    

 

 

 

Benefits paid to participants per the Form 5500

   $     1,040,934,648      $         821,795,706  
  

 

 

    

 

 

 

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.

NOTE 8 — SUBSEQUENT EVENTS

In March 2020, the World Health Organization declared the outbreak of COVID-19 to be a pandemic. The COVID-19 pandemic is having widespread, rapidly evolving, and unpredictable impacts on global society, economies, and financial markets. On March 27, 2020, Congress passed the Coronavirus, Aid, Relief, and Economic Security (“CARES”) Act which is intended to provide economic relief to retirement plan sponsors and participants in the midst of the global COVID-19 pandemic. Under the CARES Act, changes were made impacting certain provisions of qualified retirement plans, including participant loans and distributions. Among other things, the CARES Act provisions, which were adopted by the Plan, increased the limit on participant loans, extended repayment terms, and waived penalties for certain early withdrawals.

While the effects of COVID-19, including the applicable relief provisions of the CARES Act, are not reflected in these Plan financial statements, there is substantial uncertainty in the nature and degree of its effects over time. The extent to which the COVID-19 pandemic impacts the Plan going forward will depend on numerous evolving factors which cannot be reliably predicted, including the duration and scope of the pandemic; governmental, business, and individuals’ actions in response to the pandemic; and the impact on economic activity including the possibility of recession or further financial market instability.

 

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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, 2019

 

 

 

Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

BROKERAGE ACCOUNTS

        

BrokerageLink **

     1,182,165,560         $     1,182,165,560  

COMMON COLLECTIVE TRUSTS

        

BlackRock LifePath Index 2025

     1,240,813           14,789,625  

BlackRock LifePath Index 2030

     120,484,714           1,460,322,926  

BlackRock LifePath Index 2035

     532,478           6,553,842  

BlackRock LifePath Index 2040

     176,581,156           2,202,655,687  

BlackRock LifePath Index 2045

     509,574                        6,407,892  

BlackRock LifePath Index 2050

     145,787,910           1,838,939,533  

BlackRock LifePath Index 2055

     273,931           3,455,552  

BlackRock LifePath Index 2060

     30,405,339           383,420,441  

BlackRock LifePath Index 2065

     140,698           1,459,403  

BlackRock LifePath Index Retirement

     49,910,805           580,452,680  

BlackRock Short-term Investment Fund

     787,740,866           787,740,866  

Fidelity Contrafund Pool Class 3 *

     82,318,630           1,694,117,404  

Fidelity Growth Company Pool Class 3 *

     94,386,896           2,397,427,157  

Vanguard Russell 1000 Growth Index Trust

     5,920,947           1,212,609,906  

Vanguard Russell 1000 Value Index Trust

     7,639,700           1,271,475,201  

Vanguard Russell 2000 Growth Index Trust

     6,459,128           1,098,245,516  

Vanguard S&P 500 Index Trust

     25,148,846           2,975,862,938  

EMPLOYER STOCK

        

Microsoft Common Stock *

     16,237,584           2,560,666,967  

MUTUAL FUNDS

        

PIMCO All Asset All Authority

     3,336,772           27,628,472  

PIMCO Inflation Response Multi-Asset Response

     3,691,379           30,121,656  

Vanguard Short-Term Bond Index Fund (Signal)

     57,605,031           608,885,176  

SEPARATELY MANAGED ACCOUNTS

        

Artisan Mid Cap Account

        

Currency

        

DANISH KRONE

     1,691           254  

SWISS FRANC

     140           144  

Publicly-traded Common Stock

        

ADVANCED MICRO DEVICES INC

     932,592           42,768,669  

ADYEN BV

     14,964           12,269,922  

AGILENT TECHNOLOGIES INC

     211,258           18,022,420  

ALEXION PHARMACEUTICALS INC

     131,841           14,258,604  

APTIV PLC

     246,586           23,418,272  

ARGENX SE SPONSORED ADR

     116,373           18,680,194  

ARISTA NETWORKS INC

     101,223           20,588,758  

ASCENDIS PHARMA AS SPON ADR

     199,202           27,712,982  

 

11

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

ATLASSIAN CORP PLC CLS A

     437,922           52,699,533  

BEYOND MEAT INC

     38,724                        2,927,534  

BOSTON SCIENTIFIC CORP

     995,144           45,000,412  

BROADRIDGE FINANCIAL SOL

     125,377           15,489,075  

BURLINGTON STORES INC

     95,090           21,683,373  

CANADA GOOSE HOLDINGS INC

     299,314           10,847,139  

CATALENT INC

     220,923           12,437,965  

CENTENE CORP

     224,831           14,135,125  

CERIDIAN HCM HLDG INC

     344,120           23,358,866  

CHIPOTLE MEXICAN GRILL INC

     14,881           12,457,034  

CINTAS CORP

     54,456           14,653,020  

CMS ENERGY CORP

     114,862           7,217,928  

COGNEX CORP

     350,294           19,630,476  

CREE INC

     296,502           13,683,567  

DEXCOM INC

     159,602           34,911,341  

EDWARDS LIFESCIENCES CORP

     65,514           15,283,761  

EXACT SCIENCES CORP

     287,453           26,583,653  

FIDELITY NATL INFORM SVCS INC

     350,522           48,754,105  

FIRST REPUBLIC BANK

     119,750           14,064,638  

FIRST SOLAR INC

     283,658           15,873,502  

FORTIVE CORP

     333,155           25,449,710  

GARDNER DENVER HOLDINGS INC

     472,999           17,349,603  

GENMAB AS

     152,117           33,828,642  

GLOBAL PAYMENTS INC

     460,847           84,132,228  

GUIDEWIRE SOFTWARE INC

     394,584           43,313,486  

HASBRO INC

     173,158           18,287,216  

HUBSPOT INC

     149,272           23,659,612  

IHS MARKIT LTD

     663,745           50,013,186  

L3HARRIS TECHNOLOGIES INC

     221,263           43,781,310  

LONZA GROUP AG

     80,018           29,202,684  

LULULEMON ATHLETICA INC

     63,248           14,652,664  

MASCO CORPORATION

     318,596           15,289,422  

MOTOROLA SOLUTIONS INC

     207,189           33,386,435  

MSCI INC

     44,322           11,443,054  

NEW YORK TIMES CO CL A

     676,063           21,748,947  

OLLIES BARGAIN OUTLET HOLDINGS INC

     214,809           14,029,176  

PAGSEGURO DIGITAL LTD CL A

     516,974           17,659,832  

PROGRESSIVE CORP OHIO

     122,241           8,849,026  

ROPER TECHNOLOGIES INC

     90,284           31,981,301  

SAGE THERAPEUTICS INC

     60,484           4,366,340  

SAREPTA THERAPEUTICS INC

     68,789           8,876,533  

SKYWORKS SOLUTIONS INC

     157,828           19,078,249  

SPOTIFY TECHNOLOGY SA

     73,348           10,969,193  

TAKE-TWO INTERACTV SOFTWR INC

     117,686           14,408,297  

TRADE DESK INC

     36,348           9,442,483  

TRADEWEB MARKETS INC A

     122,750           5,689,463  

TRANSUNION

     297,959           25,508,270  

 

12

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

TRIMBLE INC

     466,441           19,445,925  

TRIP.COM GROUP LTD ADR

     290,104                        9,730,088  

VEEVA SYS INC CL A

     309,594           43,547,492  

VERISK ANALYTICS INC

     38,594           5,763,628  

WAYFAIR INC

     85,182           7,697,897  

WELLCARE HEALTH PLANS INC

     39,238           12,956,780  

WEST PHARMACEUTICAL SVCS INC

     137,546           20,677,290  

ZOOM VIDEO COMMUNICATIONS INC CL A

     324,667           22,090,343  

ZSCALER INC

     301,020           13,997,430  

ZYNGA INC

     4,984,856           30,507,319  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     36,733,195           36,733,195  
        

 

 

 

Artisan Mid Cap Account Total

           1,458,956,015  

DFA Small Mid Value Account

        

Publicly-traded Common Stock

        

1 800 FLOWERS.COM INC CL A

     20,105           291,523  

2U INC

     2,177           52,226  

AAR CORP

     16,180           729,718  

AARONS INC A

     21,090           1,204,450  

ABEONA THERAPEUTICS INC

     3,400           11,118  

ABERCROMBIE & FITCH CO CL A

     28,111           486,039  

ABM INDUSTRIES INC

     25,672           968,091  

ABRAXAS PETROLEUM CORP

     23,027           8,085  

ACACIA RESEARCH - ACACIA TECH

     16,702           44,427  

ACADIA HEALTHCARE CO INC

     36,449           1,210,836  

ACCO BRANDS CORP

     41,783           391,089  

ACHILLION PHARMACEUTICALS INC

     65,534           395,170  

ACORDA THERAPEUTICS INC

     28,403           57,942  

ACUITY BRANDS INC

     635           87,630  

ACUSHNET HOLDINGS CORP

     31,399           1,020,468  

ADAMS RESOURCES AND ENERGY INC

     330           12,563  

ADDUS HOMECARE CORP

     8,372           813,926  

ADIENT PLC

     36,085           766,806  

ADT INC

     39,567           313,766  

ADTALEM GLOBAL EDUCATION INC

     28,060           981,258  

ADTRAN INC

     37,430           370,183  

ADVANCED DISPOSAL SERVICES INC

     33,687           1,107,292  

ADVANCED ENERGY INDUSTRIES INC

     4,566           325,099  

ADVANSIX INC

     17,876           356,805  

AECOM

     78,594           3,389,759  

AEGION CORP

     17,837           399,014  

AEROCENTURY CORP

     600           2,700  

AEROVIRONMENT INC

     3,802           234,735  

AFFILIATED MANAGERS GRP INC

     280           23,727  

AGCO CORP

     23,169           1,789,805  

AGILYSYS INC

     2,359           59,942  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

AGROFRESH SOLUTIONS INC

     11,792           30,423  

AH BELO CORP CL A

     9,816           27,681  

AIR LEASE CORP CL A

     65,871                        3,130,190  

AIR TRANSPORT SERVICES GROUP

     16,784           393,753  

AKEBIA THERAPEUTICS INC

     24,384           154,107  

AKORN INC

     35,809           53,714  

ALAMO GROUP INC

     10,065           1,263,661  

ALASKA AIR GROUP INC

     21,896           1,483,454  

ALASKA COMM SYS GROUP INC

     8,586           15,197  

ALBEMARLE CORP

     2,201           160,761  

ALCOA CORP

     75,573           1,625,575  

ALICO INC

     2,202           78,898  

ALLEGHENY TECHNOLOGIES INC

     48,770           1,007,588  

ALLEGIANCE BANCSHARES INC

     7,685           288,956  

ALLEGIANT TRAVEL CO

     1,070           186,223  

ALLSCRIPTS HLTHCARE SOLS INC

     136,498           1,339,728  

ALPHA & OMEGA SEMICNDTR LTD

     10,198           138,897  

ALTRA INDUSTRIAL MOTION CORP

     7,338           265,709  

AMAG PHARMACEUTICALS INC

     10,953           133,298  

AMBAC FINANCIAL GROUP INC

     9,115           196,611  

AMC ENTERTAINMENT HLDS CL A

     17,168           124,296  

AMERCO INC

     5,725           2,151,570  

AMERESCO INC-CL A

     15,068           263,690  

AMERICAN AXLE & MFG HLDGS INC

     75,815           815,769  

AMERICAN EAGLE OUTFITTERS INC

     74,827           1,099,957  

AMERICAN EQY INVT LIFE HLD CO

     45,359           1,357,595  

AMERICAN NATIONAL INSURANCE

     9,061           1,066,298  

AMERICAN NATL BANKSHARES INC

     5,308           210,038  

AMERICAN OUTDOOR BRANDS CORP

     15,845           147,042  

AMERICAN PUBLIC EDUCATION INC

     12,805           350,729  

AMERICAN SUPERCONDUCTOR CORP

     5,470           42,940  

AMERICAN VANGUARD CORP

     16,225           315,901  

AMERICAN WOODMARK

     6,464           675,553  

AMERICAS CAR MART INC

     5,142           563,872  

AMERIS BANCORP

     27,460           1,168,148  

AMKOR TECHNOLOGY INC

     154,442           2,007,746  

AMPCO-PITTSBURG CORP

     9,934           29,901  

AMPHASTAR PHARMACEUTICALS INC

     12,832           247,529  

AMPLIFY ENERGY CORP NEW

     7,062           46,680  

AMTECH SYSTEMS INC

     11,695           83,736  

ANAPTYSBIO INC

     5,131           83,379  

ANDERSONS INC

     21,707           548,753  

ANGIODYNAMICS INC

     22,392           358,496  

ANIKA THERAPEUTICS INC

     10,235           530,685  

ANIXTER INTL INC

     16,856           1,552,438  

ANTERO RES CORP

     143,033           407,644  

APACHE CORP

     73,706           1,886,137  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

APERGY CORP

     14,232           480,757  

APOGEE ENTERPRISES INC

     15,464           502,580  

APPLIED GENETIC TECHNOLOGIES CORP

     2,874           12,990  

APPLIED INDUSTRIAL TECH INC

     4,900           326,781  

APPLIED OPTOELECTRONICS INC

     2,233           26,528  

AQUAVENTURE HOLDINGS LTD

     7,654           207,576  

ARAMARK

     31,632                        1,372,829  

ARAVIVE INC

     2,397           32,767  

ARC Document Solutions Inc

     26,612           36,991  

ARCBEST CORP

     11,050           304,980  

ARCH COAL INC CL A

     9,676           694,156  

ARCHROCK INC

     47,101           472,894  

ARCOSA INC

     22,777           1,014,715  

ARDELYX INC

     19,663           147,571  

ARDMORE SHIPPING CORP

     10,781           97,568  

ARENA PHARMACEUTICALS INC

     2,147           97,517  

ARGAN INC

     7,932           318,390  

ARGO GROUP INTL

     20,667           1,358,855  

ARLO TECHNOLOGIES INC

     47,925           201,764  

ARMSTRONG FLOORING INC

     11,620           49,617  

ARROW ELECTRONICS INC

     47,539           4,028,455  

ARROW FINANCIAL CORP

     6,772           255,982  

ASBURY AUTOMOTIVE GROUP INC

     1,953           218,326  

ASCENA RETAIL GROUP INC

     5,198           39,843  

ASGN INC

     7,932           562,934  

ASHLAND GLOBAL HOLDINGS INC

     14,409           1,102,721  

ASSEMBLY BIOSCIENCES INC

     1,177           24,081  

ASSERTIO THERAPEUTICS INC

     27,004           33,755  

ASSOCIATED BANC CORP

     113,260           2,496,250  

ASSURANT INC

     13,402           1,756,734  

ASSURED GUARANTY LTD

     52,711           2,583,893  

ASTEC INDUSTRIES INC

     13,364           561,288  

ASTRONICS CORP

     10,213           285,453  

ASTRONICS CORP CL B

     2,236           63,256  

ASURE SOFTWARE INC

     1,348           11,027  

AT HOME GROUP INC

     16,168           88,924  

ATHENE HOLDING LTD

     37,194           1,749,234  

ATLANTIC CAPITAL BANCSHARES INC

     7,280           133,588  

ATLANTIC UN BANKSHARES CORP

     26,804           1,006,490  

ATLAS AIR WORLD

     19,932           549,525  

ATN INTERNATIONAL INC

     5,868           325,029  

AUTONATION INC

     36,005           1,750,923  

AVANOS MEDICAL INC

     20,629           695,197  

AVAYA HOLDINGS CORP

     11,518           155,493  

AVIAT NETWORKS INC

     2,296           32,259  

AVNET INC

     66,264           2,812,244  

AVX CORP

     47,969           981,925  

 

15

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

AWARE INC MASS

     5,120           17,203  

AXCELIS TECHNOLOGIES INC

     16,091           387,713  

AXIS CAPITAL HOLDINGS LTD

     20,243                        1,203,244  

AXOS FINANCIAL INC

     12,228           370,264  

AXT INC

     24,878           108,219  

AZZ INC

     9,150           420,443  

B&G FOODS INC

     4,906           87,965  

BALLANTYNE STRONG INC

     1,527           4,947  

BANCFIRST CORP

     7,876           491,777  

BANCORP INC DEL

     44,441           576,400  

BANCORPSOUTH BANK

     17,762           557,904  

BANK MARIN BANCORP

     3,594           161,910  

BANK OZK

     39,608           1,208,242  

BANKFINANCIAL CORP

     1,100           14,388  

BANKUNITED INC

     22,667           828,706  

BANKWELL FINANCIAL GROUP INC

     709           20,448  

BANNER CORP

     20,197           1,142,948  

BAR HARBOR BANKSHARES

     5,013           127,280  

BARNES & NOBLE EDUCATION INC

     27,282           116,494  

BARNES GROUP INC

     14,879           921,903  

BASIC ENERGY SERVICES INC

     3,210           851  

BASSETT FURNITURE INDS INC

     2,530           42,200  

BAYCOM CORP

     797           18,124  

BBX CAPITAL CORP A

     22,094           105,388  

BCB BANCORP INC

     2,239           30,876  

BEACON ROOFING SUPPLY INC

     24,629           787,635  

BED BATH & BEYOND INC

     49,775           861,108  

BEL FUSE INC NV CL B

     4,882           100,081  

BELDEN INC

     12,998           714,890  

BENCHMARK ELECTRONICS INC

     17,175           590,133  

BERKSHIRE HILLS BANCORP INC

     18,627           612,456  

BERRY PETROLEUM CORP

     17,510           165,119  

BIG 5 SPORTING GOODS CORP

     13,448           40,344  

BIG LOTS INC

     11,770           338,034  

BIGLARI HLDGS INC CL A

     32           19,200  

BIGLARI HLDGS INC CL B

     716           81,925  

BJ’S RESTAURANTS INC

     4,206           159,660  

BLUCORA INC

     25,203           658,806  

BMC STK HLDGS INC

     33,431           959,135  

BOISE CASCADE CO

     14,835           541,923  

BONANZA CREEK ENERGY INC

     7,851           183,242  

BOOT BARN HOLDINGS INC

     7,611           338,918  

BORGWARNER INC

     57,446           2,492,007  

BOSTON PRIVATE FINL HLDG INC

     49,409           594,390  

BOYD GAMING CORP

     4,249           127,215  

BRADY CORPORATION CL A

     11,665           667,938  

BRIDGE BANCORP INC

     6,250           209,563  

 

16

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

BRIDGEWATER BANCSHARES INC

     1,875           25,838  

BRIGGS & STRATTON CORP

     11,655           77,622  

BRIGHTHOUSE FINANCIAL INC

     19,656           771,105  

BRIGHTVIEW HOLDINGS INC

     3,187           53,765  

BROADWIND ENERGY INC

     2,409           3,999  

BROOKDALE SENIOR LIVING INC

     73,402           533,633  

BROOKLINE BANCORP INC

     32,544           535,674  

BROOKS AUTOMATION INC

     22,232           932,855  

BRYN MAWR BANK CORP

     10,614           437,721  

BSQUARE CORP

     6,836           9,502  

BUILD A BEAR WORKSHOP INC

     9,374           30,372  

BUNGE LIMITED

     42,290                        2,433,790  

BYLINE BANCORP INC

     10,732           210,025  

C & F FINANCIAL CORP

     236           13,058  

C T S CORP

     4,030           120,940  

CABOT CORP

     6,028           286,451  

CACI INTERNATIONAL INC

     6,994           1,748,430  

CADENCE BANCORP CL A

     56,577           1,025,741  

CAI INTERNATIONAL INC

     7,664           222,103  

CALAMP CORP

     2,696           25,828  

CALERES INC

     20,269           481,389  

CALITHERA BIOSCIENCES INC

     7,881           45,001  

CALIX NETWORKS INC

     20,063           160,504  

CALLAWAY GOLF CO

     28,808           610,730  

CALLON PETROLEUM CO

     109,853           530,590  

CAL-MAINE FOODS INC

     7,223           308,783  

CAMDEN NATIONAL CORP

     7,364           339,186  

CANNAE HOLDINGS INC

     15,027           558,854  

CAPITAL CITY BANK GROUP INC

     7,893           240,737  

CAPITOL FED FINL (2ND STEP CV)

     69,424           953,192  

CAPRI HOLDINGS LTD

     19,825           756,324  

CAPSTAR FINANCIAL HOLDINGS INC

     3,506           58,375  

CARLISLE COS INC

     1,751           283,382  

CAROLINA FINANCIAL CORP

     4,432           191,595  

CARPENTER TECHNOLOGY CORP

     25,482           1,268,494  

CARRIAGE SERVICES INC

     8,718           223,181  

CARROLS RESTAURANT GROUP INC

     12,011           84,678  

CARS.COM INC

     28,640           349,981  

CASEY GENERAL STORES

     1,349           214,478  

CASS INFORMATION SYSTEMS INC

     460           26,560  

CASUAL MALE RETAIL GROUP NEW

     20,171           25,819  

CATALYST BIOSCIENCES INC

     8,662           58,988  

CATO CORP CL A

     11,900           207,060  

CAVCO INDUSTRIES INC

     2,823           551,558  

CBIZ INC

     32,659           880,487  

CBTX INC

     3,379           105,154  

CECO ENVIRONMENTAL CORP

     16,950           129,837  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

CELLDEX THERAPEUTICS INC

     4,475           9,979  

CENTENNIAL RESOURCE DEVELOPMENT INC CL A

     52,517           242,629  

CENTERSTATE BANKS CORPORATION

     28,558           713,379  

CENTRAL GARDEN & PET CO

     4,347           135,061  

CENTRAL GARDEN & PET CO CL A

     15,468           454,140  

CENTRAL PACIFIC FINANCIAL CORP

     11,684           345,613  

CENTRAL VALLEY CMNTY BANCORP

     3,234           70,081  

CENTURY ALUMINUM COMPANY

     35,943           270,112  

CENTURY BANCORP INC CL A NVTG

     842           75,746  

CENTURY CASINOS INC

     4,738           37,525  

CENTURY COMMUNITIES INC

     11,017           301,315  

CEVA INC

     1,021           27,526  

CHART INDUSTRIES INC

     20,063                        1,354,052  

CHEFS WAREHOUSE INC

     9,917           377,937  

CHESAPEAKE ENERGY CORP

     16,541           13,656  

CHICAGO BRIDGE & IRON

     0           0  

CHICAGO BRIDGE & IRON (NY REG)

     0           0  

CHICAGO RIVET & MACHINE CO

     300           7,739  

CHICOS FAS INC

     55,317           210,758  

CHIMERIX INC

     23,842           48,399  

CHUYS HOLDINGS INC

     4,237           109,823  

CIMAREX ENERGY CO

     29,497           1,548,298  

CINCINNATI BELL INC

     3,412           35,724  

CINEMARK HOLDINGS INC

     9,132           309,118  

CIRCOR INTERNATIONAL INC

     15,023           694,664  

CIRRUS LOGIC INC

     6,355           523,716  

CISION LTD

     2,687           26,789  

CIT GROUP INC

     30,448           1,389,342  

CITI TRENDS INC

     5,571           128,802  

CITIZENS & NORTHERN CORP

     1,167           32,968  

CITY HOLDING CO

     2,058           168,653  

CIVEO CORP

     42,900           55,341  

CIVISTA BANCSHARES INC

     3,905           93,720  

CLEAN ENERGY FUELS CORP

     76,434           178,856  

CLEAN HARBORS INC

     12,867           1,103,345  

CLEARFIELD INC

     900           12,546  

CLEARWATER PAPER CORP

     7,361           157,231  

CNB FINANCIAL CORP PA

     4,922           160,851  

CNX RESOURCES CORP

     112,834           998,581  

COEUR MINING INC

     71,126           574,698  

COHU INC

     17,721           404,925  

COLFAX CORP

     45,101           1,640,774  

COLUMBIA BANKING SYSTEMS INC

     20,379           829,120  

COLUMBUS MCKINNON CORP NY

     9,770           391,093  

COMMERCIAL METALS CO

     44,935           1,000,702  

COMMERCIAL VEHICLE GROUP INC

     14,651           93,034  

COMMSCOPE HLDG CO INC

     24,921           353,629  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

COMMUNITY HEALTH SYS INC NEW

     22,348           64,809  

COMMUNITY TRUST BANCORP INC

     7,596           354,277  

COMPUTER PROGRAMS & SYSTEM INC

     3,304           87,226  

COMPUTER TASK GROUP INC

     7,144           37,006  

COMSCORE INC

     16,175           79,905  

COMTECH TELECOMMUNICATIONS NEW

     11,781           418,108  

CONCERT PHARMACEUTICALS INC

     4,340           40,037  

CONDUENT INC

     57,406           355,917  

CONMED CORP

     10,915                        1,220,624  

CONNECTONE BANCORP INC

     13,987           359,746  

CONNS INC

     11,788           146,053  

CONSOL ENERGY INC—W/I

     13,297           192,939  

CONSOLIDATED COMM HLDGS INC

     23,029           89,353  

CONSOLIDATED TOMOKA LAND CO

     1,925           116,116  

CONSUMER PORTFOLIO SVCS INC

     8,447           28,466  

CONTAINER STORE GROUP INC

     11,156           47,078  

CONTANGO OIL & GAS CO

     17,582           64,526  

CONTINENTAL BUILDING PROD INC

     3,875           141,166  

COOPER STANDARD HOLDING INC

     6,673           221,277  

COOPER TIRE & RUBBER COMPANY

     23,810           684,538  

COPA HOLDINGS SA CL A

     4,077           440,642  

CORE MOLDING TECH INC

     2,250           7,313  

CORE-MARK HOLDING CO INC

     12,927           351,485  

CORNERSTONE BUILDING BRANDS INC

     15,223           129,548  

COSTAMARE INC

     28,229           269,022  

COTY INC CL A

     33,221           373,736  

COVENANT TRANSPORT GROUP CL A

     5,960           77,033  

COVETRUS INC

     25,338           334,462  

COWEN INC CL A

     12,173           191,725  

CPI AEROSTRUCTURES INC

     3,000           20,190  

CRA INTERNATIONAL INC

     4,216           229,646  

CRAFT BREW ALLIANCE INC

     12,121           199,997  

CRANE CO

     656           56,665  

CROSS COUNTRY HEALTHCARE INC

     13,126           152,524  

CSS INDUSTRIES INC

     3,889           17,150  

CSW INDUSTRIALS INC

     1,822           140,294  

CUBIC CORP

     8,311           528,330  

CULP INC

     4,391           59,805  

CUMULUS MEDIA INC

     2,757           48,440  

CUSTOMERS BANCORP INC

     11,904           283,434  

CVB FINANCIAL CORP

     9,879           213,189  

CVR ENERGY INC

     507           20,498  

CYBEROPTICS CORP

     5,523           101,513  

DAKTRONICS INC

     23,392           142,457  

DANA INC

     41,945           763,399  

DARLING INGREDIENTS INC

     67,655           1,899,752  

DASEKE INC

     1,937           6,121  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

DATA I O CORP

     1,500           6,285  

DAVITA INC

     32,623           2,447,704  

DAWSON GEOPHYSICAL CO

     12,650           30,360  

DEAN FOODS CO

     37,860           2,272  

DEL TACO RESTAURANTS INC

     15,658           123,776  

DELEK US HOLDINGS INC

     32,030           1,073,966  

DELPHI TECHNOLOGIES PLC

     2,765           35,475  

DELUXE CORP

     5,357           267,421  

DENBURY RESOURCES INC

     169,885           239,538  

DESIGNER BRANDS INC

     31,955           502,972  

DEVON ENERGY CORP

     50,855                        1,320,704  

DHI GROUP INC

     34,657           104,318  

DHT HOLDINGS INC

     46,579           385,674  

DIAMOND OFFSHORE DRILLING

     43,905           315,677  

DICKS SPORTING GOODS INC

     30,043           1,486,828  

DIGI INTERNATIONAL INC

     16,542           293,124  

DIGIRAD CORP

     460           1,187  

DILLARDS INC CL A

     12,315           904,906  

DIME COMMUNITY BANCSHARES INC

     21,613           451,496  

DINE BRANDS GLOBAL INC

     1,415           118,181  

DIODES INC

     23,825           1,343,015  

DIPLOMAT PHARMACY INC

     16,205           64,820  

DIXIE GROUP INC

     3,539           4,034  

DOMTAR CORP

     26,072           996,993  

DONEGAL GROUP INC CL A

     13,971           207,050  

DONNELLEY FINANCIAL SOLUTIONS INC

     6,427           67,291  

DORIAN LPG LTD

     18,612           288,114  

DOUGLAS DYNAMICS INC

     1,730           95,150  

DOVER MOTORSPORTS INC

     4,100           7,626  

DRIL-QUIP INC

     21,113           990,411  

DSP GROUP

     11,328           178,303  

DUCOMMUN INC

     6,929           350,122  

DXC TECHNOLOGY CO

     24,986           939,224  

DXP ENTERPRISES INC

     4,428           176,279  

DYCOM INDUSTRIES INC

     6,187           291,717  

EAGLE BANCORP INC MD

     9,937           483,236  

EAGLE BULK SHIPPING INC

     21,372           98,311  

EARTHSTONE ENERGY INC

     6,715           42,506  

EASTERN CO

     1,100           33,583  

EBIX INC

     1,022           34,145  

ECHO GLOBAL LOGISTICS INC

     14,052           290,876  

ECHOSTAR CORP CL A

     25,330           1,097,042  

EDGEWELL PERSONAL CARE CO

     18,878           584,463  

EL POLLO LOCO HLDGS INC

     9,480           143,527  

ELECTROMED INC

     1,717           14,852  

ELEMENT SOLUTIONS INC

     96,373           1,125,637  

ELF BEAUTY INC

     3,079           49,664  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

EMCOR GROUP INC

     7,023           606,085  

EMCORE CORP

     13,001           39,523  

EMERALD EXPOSITIONS EVENTS INC

     21,473                           226,540  

EMERGENT BIOSOL

     1,421           76,663  

EMPLOYERS HOLDINGS INC

     15,647           653,262  

ENANTA PHARMACEUTICALS INC

     1,922           118,741  

ENCORE CAP GROUP INC

     19,250           680,680  

ENCORE WIRE CORPORATION

     7,480           429,352  

ENDO INTERNATIONAL PLC

     10,810           50,699  

ENERGY TRANSFER LP

     10,448           134,048  

ENERPAC TOOL GROUP CORP CL A

     13,973           363,717  

ENERSYS INC

     6,022           450,626  

ENLINK MIDSTREAM LLC

     119,331           731,499  

ENNIS INC

     8,746           189,351  

ENOVA INTL INC

     13,406           322,548  

ENPRO INDUSTRIES INC

     4,861           325,104  

ENSIGN GROUP INC

     5,297           240,325  

ENSTAR GROUP LTD

     4,494           929,629  

ENTEGRA FINANCIAL CORP

     218           6,575  

ENTERCOM COMM CORP CL A

     46,865           217,454  

ENTERPRISE FINL SVCS CORP

     5,072           244,521  

ENTRAVISION COMMUN CRP CL A

     26,247           68,767  

ENZO BIOCHEM INC

     1,503           3,953  

EPLUS INC

     5,337           449,856  

EQT CORPORATION

     25,147           274,102  

EQUITRANS MIDSTREAM CORP

     2,225           29,726  

EQUITY BANCSHARES INC

     5,101           157,468  

ERA GROUP INC

     10,194           103,673  

ESCALADE

     1,300           12,779  

ESCO TECHNOLOGIES INC

     8,703           805,028  

ESPEY MFG.&ELECTRIC

     272           5,875  

ESSA BANCORP INC

     3,403           57,681  

ETHAN ALLEN INTERIORS INC

     11,916           227,119  

EVOLENT HEALTH INC A

     27,348           247,499  

EVOLUTION PETROLEUM CORP

     5,742           31,409  

EXPERI CORP

     7,103           131,406  

EXPRESS INC

     35,565           173,202  

EXTENDED STAY AMERICA INC UNIT

     12,602           187,266  

EXTERRAN CORP

     13,901           108,845  

EXTRACTION OIL & GAS INC

     33,146           70,270  

EZCORP INC CL A NON VTG

     40,315           274,948  

FABRINET

     11,175           724,587  

FARMER BROTHERS CO

     5,188           78,131  

FARMERS NATL BANC CORP

     7,317           119,413  

FARO TECHNOLOGIES INC

     6,875           346,156  

FB FINANCIAL CORP

     1,465           57,999  

FBL FINANCIAL GROUP INC CL A

     10,355           610,220  

 

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Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

FEDERAL AGRI MTG NON VTG CL C

     3,241           270,624  

FEDERAL SIGNAL CORP

     19,835           639,679  

FEDNAT HOLDING CO

     9,690           161,145  

FERRO CORP

     7,013           104,003  

FERROGLOBE PLC

     42,510           39,959  

FERROGLOBE REP&WARRANTY INS TR

     20,872           0  

FIESTA RESTAURANT GROUP INC

     8,557           84,629  

FINANCIAL INSTITUTIONS INC

     9,443           303,120  

FINJAN HOLDINGS INC

     4,000           8,040  

FIRST AMERICAN FINANCIAL CORP

     15,610           910,375  

FIRST BANCORP INC ME

     3,780           114,269  

FIRST BANCORP NC

     7,891           314,930  

FIRST BANCORP PUERTO RICO

     75,087           795,171  

FIRST BANCSHARES INC MISS

     2,927           103,967  

FIRST BUSEY CORP

     14,936           410,740  

FIRST BUSINESS FIN SVCS INC

     357           9,400  

FIRST COMMONWEALTH FINL CORP

     38,571           559,665  

FIRST COMMUNITY BANKSHARES INC

     8,770           272,045  

FIRST DEFIANCE FINL CORP

     9,768           307,594  

FIRST FINANCIAL BANCORP

     39,791                        1,012,283  

FIRST FINANCIAL INDIANA

     2,647           121,021  

FIRST FINANCIAL NORTWEST INC

     4,521           67,544  

FIRST FOUNDATION INC

     15,652           272,345  

FIRST HAWAIIAN INC

     12,312           355,201  

FIRST HORIZON NATIONAL CORP

     71,533           1,184,586  

FIRST INTERNET BANCORP

     3,393           80,448  

FIRST INTST BANCSYST INC CL A

     14,392           603,313  

FIRST MERCHANTS CORP

     14,988           623,351  

FIRST MID BANCSHARES INC

     4,793           168,953  

FIRST MIDWEST BANCORP INC DEL

     42,724           985,215  

FIRST NORTHWEST BANCORP

     553           10,026  

FIRST OF LONG ISLAND CORP

     7,177           179,999  

FIRST PACTRUST BANCORP INC

     20,147           346,125  

FIRST SOLAR INC

     16,996           951,096  

FIRST SOURCE CORP

     6,543           339,451  

FITBIT INC CL A

     35,823           235,357  

FIVE PRIME THERAPEUTICS INC

     10,058           46,166  

FIVE STAR SENIOR LIVING INC

     222           824  

FLAGSTAR BANCORP INC

     20,336           777,852  

FLEX LTD

     109,752           1,385,070  

FLEXIBLE SOLUTIONS INTL INC

     4,800           12,336  

FLEXSTEEL IND

     3,153           62,808  

FLOTEK INDUSTRIES INC

     27,543           55,086  

FLUENT INC

     16,333           40,833  

FLUIDIGM CORP

     3,800           13,224  

FLUOR CORP

     30,060           567,533  

FLUSHING FINANCIAL CORP

     14,849           320,813  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

FNB CORP PA

     103,018           1,308,329  

FONAR CORP

     2,259           44,480  

FOOT LOCKER INC

     38,220           1,490,198  

FORESTAR GROUP INC

     6,546           136,484  

FORMFACTOR INC

     23,258           604,010  

FORTUNE BRANDS HOME & SEC INC

     2,121           138,586  

FORUM ENERGY TECHNOLOGIES INC

     48,348           81,225  

FORWARD AIR CORP

     3,912           273,644  

FOSSIL INC

     18,053           142,258  

FOSTER L B CO CL A

     6,716           130,156  

FRANCESCA’S HOLDINGS CORP

     1,330           13,805  

FRANKLIN ELECTRIC CO. INC.

     11,668           668,810  

FRANKLIN FINANCIAL NETWORK INC

     6,398           219,643  

FRANK’S INTERNATIONAL NV

     59,184           305,981  

FREIGHTCAR AMERICA INC

     7,555           15,639  

FRESH DEL MONTE PRODUCE INC

     20,165           705,372  

FRIEDMAN INDS INC

     1,579           9,506  

FRONTIER COMMUNICATIONS CORP

     29,212           25,987  

FRP HOLDINGS INC

     3,092           154,013  

FS BANCORP INC

     627           39,996  

FTI CONSULTING INC

     14,274                        1,579,561  

FULLER H B CO

     16,316           841,416  

FULTON FINANCIAL CORP

     69,784           1,216,335  

FUTUREFUEL CORP

     16,917           209,602  

GAIN CAPITAL HOLDINGS INC

     23,065           91,107  

GAMESTOP CORP CL A

     28,227           171,620  

GANNETT CO INC

     49,036           312,850  

GAP INC

     28,606           505,754  

GASLOG LTD

     14,670           143,619  

GATES INDUSTRIAL CORP PLC

     18,703           257,353  

GATX CORP

     14,535           1,204,225  

GCI LIBERTY INC CL A

     2,113           149,706  

GCI LIBERTY INC SER A 5% PFD PERP

     670           17,688  

GCP APPLIED TECHNOLOGIES INC

     6,220           141,256  

GENCO SHIPPING & TRADING LTD

     12,846           136,425  

GENCOR INDUSTRIES INC

     2,966           34,613  

GENESCO INC

     9,138           437,893  

GENIE ENERGY LTD B

     5,823           45,012  

GENTEX CORP

     40,398           1,170,734  

GENTHERM INC

     8,717           386,948  

GENWORTH FINANCIAL INC A

     23,897           105,147  

GEOSPACE TECHNOLOGIES CORP

     7,949           133,305  

GERMAN AMERICAN BANCORP INC

     5,688           202,607  

GIBRALTAR INDUSTRIES INC

     10,725           540,969  

G-III APPAREL GROUP LTD

     18,293           612,816  

GLATFELTER

     20,475           374,693  

GLOBAL INDEMNITY LTD

     5,753           170,461  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

GLYCOMIMETICS INC

     3,119           16,500  

GMS INC

     12,002           325,014  

GOLD RESOURCE CORP

     5,579           30,908  

GOLDEN OCEAN GROUP LTD

     1,900           11,039  

GOLDFIELD CORP

     18,894           67,074  

GOODRICH PETE CORP

     886           8,895  

GOODYEAR TIRE & RUBBER CO

     79,656           1,239,049  

GORMAN-RUPP CO

     5,829           218,588  

GP STRATEGIES CORP

     6,168           81,603  

GRAHAM CORPORATION

     3,138           68,659  

GRAHAM HOLDINGS CO

     1,844                        1,178,298  

GRANITE CONSTRUCTION INC

     23,850           659,930  

GRAPHIC PACKAGING HOLDING CO

     54,563           908,474  

GRAY TELEVISION INC

     33,524           718,755  

GREAT LAKES DREDGE & DOCK CORP

     28,458           322,429  

GREAT SOUTHERN BANCORP INC

     7,626           482,878  

GREAT WESTERN BANCORP INC

     18,909           656,899  

GREEN BRICK PARTNERS INC

     14,096           161,822  

GREEN DOT CORP CLASS-A

     2,528           58,902  

GREEN PLAINS INC

     17,085           263,622  

GREENBRIER COMPANIES INC

     10,773           349,368  

GREENLIGHT CAPITAL RE LTD A

     18,586           187,904  

GREIF INC CL A

     10,414           460,299  

GREIF INC CL B

     2,264           117,207  

GRIFFON CORP

     10,897           221,536  

GROUP 1 AUTOMOTIVE INC

     7,451           745,100  

GSI TECHNOLOGY INC

     4,196           29,750  

GUARANTY BANCSHARES INC

     418           13,744  

GUESS INC

     34,245           766,403  

GULF ISLAND FABRICATION INC

     8,612           43,663  

GULFPORT ENERGY CORP

     61,032           185,537  

HABIT RESTAURANTS INC/THE A

     4,310           44,953  

HAIN CELESTIAL GROUP INC

     2,193           56,919  

HALLADOR PETROLEUM CO

     1,473           4,375  

HALLMARK FIN SERVICES INC

     3,431           60,283  

HANCOCK WHITNEY CORP

     35,283           1,548,218  

HANMI FINANCIAL CORPORATION

     14,356           287,048  

HANOVER INSURANCE GROUP INC

     6,242           853,094  

HARBORONE NORTHEAST BANCORP INC

     11,307           124,264  

HARLEY-DAVIDSON INC

     9,328           346,908  

HARMONIC INC

     61,557           480,145  

HARSCO CORP

     3,377           77,705  

HARTE-HANKS INC

     2,213           7,923  

HARVARD BIOSCIENCES INC

     12,612           38,467  

HAVERTY FURNITURE COS INC

     9,000           181,440  

HAWAIIAN HLDGS INC

     16,206           474,674  

HAWKINS INC

     3,526           161,526  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

HAYNES INTL INC

     6,822           244,091  

HCI GROUP INC

     3,879           177,076  

HEALTHSTREAM INC

     5,224           142,093  

HEARTLAND EXPRESS INC

     17,915           377,111  

HEARTLAND FINANCIAL USA INC

     9,981           496,455  

HECLA MINING CO

     259,286           878,980  

HEIDRICK & STRUGGLES INTL INC

     8,975           291,688  

HELIOS TECHNOLOGIES INC

     4,648           214,877  

HELIX ENERGY SOL GRP INC

     100,803           970,733  

HELMERICH & PAYNE INC

     35,773                        1,625,167  

HEMISPHERE MEDIA GRP INC

     2,456           36,472  

HERC HOLDINGS INC

     3,361           164,487  

HERITAGE COMMERCE CORP

     18,977           243,475  

HERITAGE CRYSTAL CLEAN INC

     3,917           122,876  

HERITAGE FINANCIAL CORP WASH

     14,586           412,784  

HERITAGE INSURANCE HOLDINGS INC

     9,254           122,616  

HERTZ GLOBAL HOLDINGS INC

     44,055           693,866  

HIBBETT SPORTS INC

     9,873           276,839  

HIGHPOINT RESOURCES CORP

     51,730           87,424  

HILL INTL INC

     5,059           15,986  

HILLENBRAND INC

     6,569           218,813  

HILLTOP HLDGS I

     35,827           893,167  

HINGHAM INSTITUTION FOR SAVING

     232           48,766  

HMS HOLDINGS CORP

     6,158           182,277  

HOLLYFRONTIER CORP

     47,725           2,420,135  

HOME BANCORP INC

     1,680           65,839  

HOME BANCSHARES INC

     9,379           184,391  

HOMESTREET INC

     12,030           409,020  

HOMETRUST BANCSHARES INC

     4,475           120,064  

HOOKER FURNITURE CORP

     4,681           120,255  

HOPE BANCORP INC

     70,553           1,048,418  

HORACE MANN EDUCATORS CORP

     16,151           705,153  

HORIZON BANCORP INC INDIANA

     14,992           284,848  

HORIZON GLOBAL CORP

     4,240           14,798  

HOSTESS BRANDS INC CL A

     36,767           534,592  

HOUGHTON MIFFLIN HARCOURT CO

     38,776           242,350  

HOUSTON WIRE & CABLE CO

     3,800           16,758  

HOWARD BANCORP INC

     1,304           22,012  

HUB GROUP INC CL A

     9,308           477,407  

HUNTSMAN CORP

     57,228           1,382,628  

HURCO INC

     2,508           96,207  

HURON CONSULTING GROUP INC

     9,878           678,816  

HUTTIG BUILDING PRODUCTS INC

     4,166           6,416  

HYSTER-YALE MATERIALS HANDLING

     3,237           190,854  

IBERIABANK CORP

     20,700           1,548,981  

ICF INTERNATIONAL INC

     8,555           783,809  

ICHOR HOLDINGS LTD

     4,063           135,176  

 

25

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

IDERA PHARMACEUTICALS INC

     6,358           11,572  

IES HOLDINGS INC

     467           11,983  

II-VI INC.

     20,861           702,390  

IMAX CORPORATION

     14,710           300,525  

INDEPENDENCE CONTRACT DRILLING

     8,282           8,256  

INDEPENDENT BANK CORP MASS

     5,903           491,425  

INDEPENDENT BANK GROUP INC

     13,620           755,093  

INFINERA CORP

     33,979           269,793  

INGLES MARKETS INC-CL A

     5,929           281,687  

INGREDION INC

     24,767                        2,302,093  

INNERWORKINGS INC

     23,848           131,402  

INNOPHOS HOLDINGS INC

     7,296           233,326  

INNOSPEC INC

     8,663           896,101  

INOVALON HOLDINGS INC CL A

     4,377           82,375  

INSIGHT ENTERPRISES INC

     1,200           84,348  

INSTEEL INDUSTRIES INC

     8,006           172,049  

INTEGER HOLDINGS CORP

     12,374           995,241  

INTERDIGITAL INC

     1,043           56,833  

INTERFACE INC

     4,101           68,036  

INTERNATIONAL BANCSHARES CORP

     32,952           1,419,243  

INTERNATIONAL GAME TECHNOLOGY PLC

     29,411           440,283  

INTERNATIONAL SEAWAYS INC

     11,067           329,354  

INTEST CORP

     7,530           44,804  

INTEVAC INC

     10,220           72,153  

INTL FCSTONE INC

     6,402           312,610  

INTREPID POTASH INC

     47,481           128,674  

INTRICON CORP

     1,396           25,128  

INVACARE CORP

     23,549           212,412  

INVESCO LTD

     116,095           2,087,388  

INVESTORS BANCORP INC

     126,242           1,504,173  

INVESTORS TITLE CO

     623           99,182  

IRIDIUM COMMUNICATIONS INC

     34,395           847,493  

IROBOT CORP

     500           25,315  

ITT INC

     16,935           1,251,666  

J ALEXANDERS HLDGS INC

     4,045           38,670  

J JILL INC

     4,293           4,851  

JABIL INC

     64,151           2,651,361  

JAGGED PEAK ENERGY INC

     23,166           196,679  

JAMES RIVER GROUP HOLDINGS LTD

     5,097           210,047  

JANUS HENDERSON GROUP PLC

     69,067           1,688,688  

JAZZ PHARMA PLC

     13,144           1,962,136  

JEFFERIES FINANCIAL GROUP INC

     37,479           800,926  

JELD-WEN HOLDING INC

     5,853           137,019  

JETBLUE AIRWAYS CORP

     150,578           2,818,820  

JOHNSON OUTDOORS INC CL A

     1,947           149,335  

JOUNCE THERAPEUTICS INC

     3,318           28,966  

K12 INC

     18,779           382,153  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

KADANT INC

     3,339           351,730  

KAMAN CORP

     10,795           711,606  

KAR AUCTION SERVICES INC

     1,397           30,441  

KB HOME

     13,583           465,489  

KBR INC

     47,060           1,435,330  

KEARNY FINANCIAL CORP

     37,935           524,641  

KELLY SERVICES INC CL A

     18,019           406,869  

KEMET CORP

     9,968           269,634  

KEMPER CORP

     6,965           539,788  

KENNAMETAL INC

     26,522           978,397  

KEWAUNEE SCIENTIFIC CORP

     482           6,483  

KIMBALL ELECTRONICS INC

     12,463           218,726  

KIMBALL INTL INC CL B

     1,756           36,297  

KINGSTONE COS INC

     1,243           9,633  

KIRBY CORP

     13,904                        1,244,825  

KIRKLANDS INC

     7,486           9,283  

KLX ENERGY SERVICES HOLDINGS INC W/I

     9,352           60,227  

KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC

     49,177           1,762,504  

KNOWLES CORP

     31,919           675,087  

KOHLS CORP

     34,855           1,775,862  

KORN FERRY

     22,802           966,805  

KOSMOS ENERGY LTD

     72,001           410,406  

KRATON CORP

     12,298           311,385  

KRONOS WORLDWIDE INC

     3,929           52,649  

KULICKE & SOFFA INDUSTRIES INC

     52,425           1,425,960  

KVH INDUSTRIES INC

     4,416           49,150  

LA Z BOY INC

     23,367           735,593  

LAKELAND BANCORP INC

     16,656           289,481  

LAKELAND INDUSTRIES INC

     3,461           37,379  

LANDEC CORP

     9,790           110,725  

LANDMARK BANCORP INC

     698           17,485  

LANDS END INC

     9,863           165,698  

LAREDO PETROLEUM INC

     72,604           208,373  

LAUREATE EDUCATION INC CL A

     15,544           273,730  

LCI INDUSTRIES

     6,364           681,775  

LCNB CORPORATION

     2,003           38,658  

LEAR CORP NEW

     9,047           1,241,248  

LEGG MASON INC

     39,757           1,427,674  

LENDINGCLUB CORP

     11,076           139,779  

LGI HOMES INC

     213           15,048  

LHC GROUP INC

     10,093           1,390,412  

LIBBEY INC.

     10,581           15,342  

LIBERTY LATIN AMERICA LTD CL A

     16,937           326,884  

LIBERTY LATIN AMERICA LTD CL C

     38,411           747,478  

LIBERTY OILFIELD SERVICES INC CL A

     5,948           66,142  

LIBERTY TRIPADVISOR HOLDINGS INC A WI

     26,810           197,054  

LIFETIME BRANDS INC

     8,088           56,212  

 

27

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

LIGAND PHARMACEUTICALS

     2,617           272,927  

LIMELIGHT NETWORKS INC

     5,735           23,399  

LIMONEIRA CO

     3,820           73,459  

LIONS GATE ENTERMENT CORP A

     26,497           282,458  

LIONS GATE ENTERTAINMENT CORP B

     40,527           402,433  

LIQUIDITY SERVICES INC

     15,135           90,205  

LITHIA MOTORS INC CL A

     6,880           1,011,360  

LIVE OAK BANCSHARES INC

     5,998           114,022  

LIVENT CORP

     12,6 26           107,952  

LIVERAMP HOLDINGS INC

     4,812           231,313  

LOGMEIN INC

     7,041           603,695  

LONESTAR RESOURCES US INC A

     5,886           15,362  

LOUISIANA PACIFIC CORP

     48,208                        1,430,331  

LSB INDUSTRIES INC

     8,252           34,658  

LSI INDUSTRIES INC

     12,484           75,528  

LUMBER LIQUIDATORS HLDNGS INC

     3,076           30,053  

LUMINEX CORP

     9,177           212,539  

LUNA INNOVATIONS INC

     4,212           30,705  

LUTHER BURBANK CORP

     4,416           50,916  

LYDALL INC

     5,533           113,537  

LYON WILLIAM HOMES CLS A

     11,485           229,470  

M D C HOLDINGS INC

     25,452           971,248  

M/I HOMES INC

     19,890           782,672  

MACOM TECHNOLOGY SOLUTIONS HOLDINGS INC

     6,571           174,789  

MACQUARIE INFRASTRUCTURE CORP

     22,923           982,021  

MACROGENICS INC

     4,582           49,852  

MACYS INC

     113,168           1,923,856  

MAGELLAN HEALTH INC

     11,627           909,813  

MAIDEN HLDGS LTD

     42,076           31,557  

MALLINCKRODT PLC

     35,147           122,663  

MAMMOTH ENERGY SERVICES INC

     6,150           13,530  

MANITOWOC CO INC

     20,720           362,600  

MANPOWERGROUP INC

     19,222           1,866,456  

MANTECH INTL CORP CL A

     12,175           972,539  

MARCHEX INC

     12,388           46,827  

MARCUS &MILLICHAP CO INC

     4,815           179,359  

MARCUS CORP

     3,953           125,587  

MARINEMAX INC

     10,373           173,125  

MARLIN BUSINESS SERVICES CORP

     6,395           140,562  

MARRIOTT VACATIONS WORLD

     13,960           1,797,490  

MARTEN TRANSPORT LTD

     24,736           531,577  

MASONITE WORLDWIDE HOLDINGS

     7,463           538,903  

MASTEC INC

     29,366           1,884,123  

MATADOR RESOURCES COMPANY

     34,870           626,614  

MATERION CORP

     15,486           920,643  

MATRIX SERVICE CO

     9,225           211,068  

MATSON INC

     16,984           692,947  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

MATTHEWS INTL CORP CL A

     9,151           349,294  

MCDERMOTT INTL INC

     26,071           17,640  

MCEWEN MINING INC

     24,025           30,512  

MCGRATH RENTCORP

     8,838           676,461  

MEDNAX INC

     30,773           855,182  

MEDPACE HOLDINGS INC

     2,100           176,526  

MEET GROUP INC/THE

     45,933           230,124  

MERCANTILE BANK CORP

     7,211           262,985  

MERCER INTERNATIONAL INC

     24,264           298,447  

MERCHANTS BANCORP

     2,651           52,251  

MERCURY GENERAL CORP

     2,973           144,874  

MERCURY SYSTEMS INC

     10,243           707,894  

MEREDITH CORP.

     12,781           414,999  

MERIDIAN BANCORP INC

     11,494           230,914  

MERIDIAN BIOSCIENCE INC

     5,556           54,282  

MERIT MEDICAL SYSTEMS INC

     8,109           253,163  

MERITAGE HOMES CORP

     15,110           923,372  

MERRIMACK PHARMACEUTICALS INC

     9,020           28,413  

MESA AIR GROUP INC

     4,172           37,298  

META FINL GROUP INC

     11,590           423,151  

METHODE ELECTRONICS INC

     3,164           124,503  

METROPOLITAN BANK HOLDING CORP

     906           43,696  

MIDLAND STATES BANCORP INC

     8,278           239,731  

MIDWESTONE FINANCIAL GRP INC

     4,790           173,542  

MILLER INDUSTRIES INC TENN

     5,750           213,498  

MINERALS TECHNOLOGIES INC

     12,325           710,290  

MISTRAS GROUP INC

     9,077           129,529  

MITCHAM INDUSTRIES INC

     900           2,583  

MKS INSTRUMENTS INC

     3,422           376,454  

MOBILE MINI INC

     13,191           500,071  

MODINE MANUFACTURING CO

     21,330           164,241  

MOHAWK INDUSTRIES INC

     9,281                        1,265,743  

MONARCH CASINO & RESORT INC

     1,818           88,264  

MONITRONICS INTERNATIONAL INC

     763           6,486  

MONTAGE RESOURCES CORP

     5,338           42,384  

MOOG INC CL A

     9,799           836,149  

MOSAIC CO NEW

     104,205           2,254,996  

MOTORCAR PARTS OF AMERICA INC

     8,550           188,357  

MOVADO GROUP INC

     1,384           30,088  

MR COOPER GROUP INC

     23,800           297,738  

MRC GLOBAL INC

     14,632           199,580  

MSC INDUSTRIAL DIRECT CO CL A

     5,963           467,917  

MTS SYSTEMS CORP

     3,325           159,700  

MUELLER INDUSTRIES INC

     12,080           383,540  

MUELLER WATER PRODUCTS INC A

     20,365           243,973  

MURPHY OIL CORP

     83,015           2,224,802  

MURPHY USA INC

     446           52,182  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

MYLAN NV

     9,831           197,603  

MYR GROUP INC/DELAWARE

     8,332           271,540  

MYRIAD GENETICS INC

     23,015           626,698  

NABORS INDUSTRIES LTD

     125,388           361,117  

NACCO INDUSTRIES INC CL A

     1,778           83,264  

NANTKWEST INC

     5,304           20,102  

NATIONAL BK HLDGS CORP

     12,758           449,337  

NATIONAL GEN HLDGS CORP

     28,679           633,806  

NATIONAL HEALTHCARE CORP

     3,864           333,966  

NATIONAL OILWELL VARCO INC

     75,419           1,889,246  

NATIONAL PRESTO INDS

     1,358           120,034  

NATIONAL VISION HOLDINGS INC

     2,636           85,485  

NATIONAL WESTERN LIFE GROUP INC- A

     926           269,355  

NATURAL ALTERNATIVES INTL INC

     1,498           11,954  

NATURAL GAS SERVICES GROUP

     7,953           97,504  

NATURAL GROCERS VIT GROC INC

     11,302           111,551  

NATURES SUNSHINE PRODUCTS INC

     1,481           13,225  

NATUS MEDICAL INC

     5,305           175,012  

NAUTILUS INC

     6,485           11,349  

NAVIENT CORP

     116,699           1,596,442  

NBT BANCORP INC

     8,699           352,831  

NCS MULTISTAGE HOLDINGS INC

     2,283           4,794  

NEENAH INC

     2,419           170,370  

NELNET INC CL A

     22,579           1,315,001  

NEOPHOTONICS CO

     25,435           224,337  

NETGEAR INC

     24,201           593,167  

NETSCOUT SYSTEMS INC

     23,781           572,409  

NETWORK-1 TECHNOLOGIES INC

     4,399           9,590  

NEW HOME CO INC

     5,261           24,516  

NEW YORK COMMUNITY BANCORP INC

     176,265                        2,118,705  

NEWELL BRANDS INC

     97,186           1,867,915  

NEWLINK GENETICS CORP

     3,969           10,042  

NEWPARK RESOURCES INC

     70,320           440,906  

NEWS CORP NEW CL A

     125,742           1,777,992  

NEWS CORP NEW CL B

     59,763           867,161  

NEWSTAR FINANCIAL INC RT CVR

     16,905           4,082  

NEXA RESOURCES SA

     12,990           105,739  

NEXSTAR MEDIA GROUP INC A

     16,253           1,905,664  

NEXSTAR MEDIA GROUP INC A CVR

     6,927           0  

NEXTGEN HEALTHCARE INC

     6,924           111,269  

NEXTIER OILFIELD SOLUTIONS INC

     55,418           371,301  

NICOLET BANKSHARES INC

     1,709           126,210  

NIELSEN HOLDINGS PLC

     58,765           1,192,930  

NINE ENERGY SERVICE INC

     6,953           54,372  

NL INDUSTRIES

     7,483           29,259  

NN INC

     13,869           128,288  

NOBLE CORP PLC

     105,580           128,808  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

NORDIC AMERICAN TANKER LTD

     7,658           37,677  

NORTHEAST BANK

     2,122           46,663  

NORTHERN OIL AND GAS INC

     33,721           78,907  

NORTHFIELD BANCORP INC NEW

     27,408           464,840  

NORTHRIM BANCORP INC

     3,320           127,156  

NORTHWEST BANCSHARES INC

     44,326           737,141  

NORTHWEST PIPE CO

     7,987           266,047  

NOW INC

     39,037           438,776  

NU SKIN ENTERPRISES INC CL A

     7,179           294,195  

NV5 GLOBAL INC

     3,415           172,287  

NVENT ELECTRIC PLC

     18,795           480,776  

OASIS PETROLEUM INC

     112,181           365,710  

OCEANEERING INTERNATIONAL INC

     42,100           627,711  

OCEANFIRST FINANCIAL CORP

     16,274           415,638  

OCWEN FINANCIAL CORP

     40,198           55,071  

OFFICE DEPOT INC

     193,939           531,393  

OFG BANCORP

     23,444           553,513  

O-I GLASS INC

     13,910           165,946  

OIL STATES INTERNATIONAL INC

     28,277           461,198  

OIL-DRI CORP OF AMERICA

     943           34,184  

OLD NATIONAL BANCORP (IND)

     66,833                        1,222,376  

OLD REPUBLIC INTL CORP

     86,344           1,931,515  

OLD SECOND BANCORP

     6,754           90,976  

OLIN CORP

     54,442           939,125  

OLYMPIC STEEL INC

     4,828           86,518  

ON DECK CAPITAL INC

     28,058           116,160  

ON SEMICONDUCTOR CORP

     99,497           2,425,737  

ONEMAIN HOLDINGS INC

     39,209           1,652,659  

ONESPAN INC

     7,329           125,472  

ONTO INNOVATION INC

     23,699           865,961  

OPKO HEALTH INC

     5,774           8,488  

OPPENHEIMER HLDGS CL A NON-VTG

     4,922           135,257  

OPUS BANK

     12,444           321,926  

ORASURE TECHNOLOGIES INC

     13,732           110,268  

ORBCOMM INC

     24,288           102,252  

ORION GROUP HOLDINGS INC

     15,813           82,069  

ORMAT TECHNOLOGIES INC

     11,147           830,674  

ORRSTOWN FINANCIAL SERVICES

     535           12,102  

ORTHOFIX MEDICAL INC

     2,835           130,920  

OSHKOSH CORP

     14,589           1,380,849  

OSI SYSTEMS INC

     6,047           609,175  

OTONOMY INC

     22,267           85,283  

OVERSEAS SHIPHLDG GRP INC NEW

     23,381           53,776  

OWENS AND MINOR INC

     26,420           136,591  

OWENS CORNING INC

     30,074           1,958,419  

OWENS ILLINOIS INC

     0           0  

OXFORD INDUSTRIES

     2,198           165,773  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

PACIFIC DRILLING SA

     56           228  

PACIFIC ETHANOL INC

     9,413           6,118  

PACIFIC PREMIER BANCORP INC

     18,609           606,746  

PACWEST BANCORP

     58,011           2,220,081  

PAM TRANSPORTAION

     566           32,664  

PANHANDLE OIL & GAS CL A

     4,107           46,039  

PAR PACIFIC HOLDINGS INC

     7,797           181,202  

PARK AEROSPACE CORP

     9,660           157,168  

PARK NATIONAL CORP

     2,772           283,797  

PARK OHIO HLDGS CORP

     4,514           151,896  

PARKER DRILLING CO

     727           2,880  

PARSLEY ENERGY INC CL A

     103,356           1,954,462  

PARTY CITY HOLDCO INC

     24,470           57,260  

PATRICK INDUSTRIES INC

     2,813           147,486  

PATRIOT TRANSPORTATION HOLDING INC

     253           4,928  

PATTERSON COMPANIES INC

     33,866           693,576  

PATTERSON-UTI ENERGY INC

     74,468           781,914  

PBF ENERGY INC CL A

     58,302                        1,828,934  

PC CONNECTION INC

     8,287           411,532  

PCSB FINANCIAL CORP

     4,153           84,098  

PDC ENERGY INC

     22,721           594,609  

PDF SOLUTIONS INC

     9,356           158,023  

PDL BIOPHARMA INC

     79,300           257,329  

PEABODY ENERGY CORP

     46,215           421,481  

PEAPACK GLADSTONE FINL CORP

     8,556           264,380  

PENN VIRGINIA CORP

     4,612           139,974  

PENNANT GROUP INC

     3,322           109,859  

PENNEY (J.C.) CO INC

     87,903           98,451  

PENNS WOODS BANCORP INC

     496           17,638  

PENNYMAC FINANCIAL SERVICES INC

     2,765           94,121  

PENSKE AUTOMOTIVE GROUP INC

     30,146           1,513,932  

PEOPLES BANCORP INC

     9,228           319,842  

PEOPLES UNITED FINANCIAL INC

     171,925           2,905,533  

PEOPLES UTAH BANCORP

     5,299           159,606  

PERCEPTRON INC

     2,177           11,974  

PERDOCEO EDUCATION CORP

     13,510           248,449  

PERFICIENT INC

     15,338           706,622  

PERFORMANCE FOOD GROUP CO

     9,486           488,339  

PERRIGO CO PLC

     42,956           2,219,107  

PERSPECTA INC

     15,760           416,694  

PETIQ INC CL A

     3,243           81,237  

PFENEX INC

     2,500           27,450  

PGT INNOVATIONS INC

     7,220           107,650  

PHOTRONIC INC

     53,120           837,171  

PICO HOLDINGS INC

     11,406           126,835  

PIER 1 IMPORTS INC

     3,598           23,027  

PILGRIM’S PRIDE CORP NEW

     1,939           63,434  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

PINNACLE FINL PARTNERS INC

     21,979           1,406,656  

PIPER SANDLER COS

     5,780           462,053  

PLANTRONICS INC

     838           22,911  

PLAYA HOTELS & RESORTS NV

     26,808           225,187  

PLEXUS CORP

     13,968           1,074,698  

POPULAR INC

     37,194           2,185,148  

POST HOLDINGS INC

     23,795           2,596,035  

POTBELLY CORP

     9,645           40,702  

POWELL INDUSTRIES INC

     6,004           294,136  

PQ GROUP HOLDINGS INC

     17,633           302,935  

PRA GROUP INC

     15,312           555,826  

PREFERRED BANK LOS ANGELES

     3,184           191,327  

PREFORMED LINE PRODUCTS CO

     2,013           121,485  

PREMIER FINANCIAL BANCORP

     1,918           34,793  

PREMIER INC

     5,957           225,651  

PRESTIGE CONSUMER HEALTHCARE INC

     18,115           733,658  

PRICESMART INC

     8,347           592,804  

PRIMORIS SVCS CORP

     19,316           429,588  

PROASSURANCE CORPORATION

     15,233           550,521  

PROPETRO HOLDING CORP

     15,961           179,561  

PROSPERITY BANCSHARES INC

     45,496                        3,270,707  

PROTECTIVE INSURANCE CORP CL B

     4,320           69,509  

PROTHENA CORP PLC

     12,867           203,685  

PROVIDENCE SERVICE CORP

     4,493           265,896  

PROVIDENT FINANCIAL HLDGS INC

     2,348           51,421  

PROVIDENT FINANCIAL SVCS INC

     26,149           644,573  

PULTEGROUP INC

     48,128           1,867,366  

PVH CORP

     17,743           1,865,676  

PYXUS INTERNATIONAL INC

     7,039           62,929  

QCR HOLDINGS INC

     5,401           236,888  

QEP RESOURCES INC

     83,129           374,081  

QUAD/GRAPHICS INC CL A

     11,873           55,447  

QUANEX BUILDING PRODUCTS

     15,828           270,342  

QUANTA SVCS INC

     63,245           2,574,704  

QUINSTREET INC

     2,311           35,381  

QURATE RETAIL INC

     82,874           698,628  

RADIAN GROUP INC

     45,967           1,156,530  

RADIANT LOGISTICS INC

     17,470           97,308  

RAFAEL HOLDINGS INC

     5,589           99,708  

RAMBUS INC

     28,684           395,122  

RANGE RESOURCES CORP

     68,037           329,979  

RAYONIER ADVANCED MATERIALS

     16,955           65,107  

RBB BANCORP

     4,029           85,294  

RCI HOSPITALITY HOLDINGS INC

     3,608           73,964  

RE/MAX HOLDINGS INC CL A

     2,217           85,332  

READING INTL INC CL A

     7,090           79,337  

REALNETWORKS INC

     4,000           4,800  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

REALOGY HOLDINGS CORP

     34,763           336,506  

RED LION HOTEL CORP

     13,116           48,923  

RED ROBIN GOURMET BURGERS INC

     7,300           241,046  

REGAL BELOIT CORP

     17,116           1,465,301  

REGIONAL MANAGEMENT CORP

     5,394           161,982  

REGIS CORPORATION

     14,731           263,243  

RELIANCE STEEL & ALUMINUM CO

     31,526           3,775,554  

RENASANT CORP

     18,817           666,498  

RENEWABLE ENERGY GROUP INC

     25,923           698,625  

REPUBLIC BANCORP INC KY CL A

     5,500           257,400  

REPUBLIC FIRST BANCORP INC

     12,520           52,334  

RESIDEO TECHNOLOGIES INC

     27,942           333,348  

RESOLUTE FOREST PRODUCTS INC

     25,368           106,546  

RESOURCES CONNECTION INC

     22,644           369,777  

REV GROUP INC

     10,789           131,949  

REX AMERICAN RESOURCES CORP

     3,086           252,929  

REXNORD CORP NEW

     12,671           413,328  

RF INDUSTRIES LTD

     426           2,880  

RIBBON COMMUNICATIONS INC

     29,902           92,696  

RING ENERGY INC

     18,803           49,640  

RIVERVIEW BANCORP INC

     7,537           61,879  

ROCKY BRANDS INC

     3,100           91,233  

ROGERS CORP

     6,615           825,089  

RPC INC

     17,100           89,604  

RTI SURGICAL HOLDINGS INC

     31,491           86,285  

RUBICON PROJECT INC/THE

     22,587           184,310  

RUSH ENTERPRISES INC CL A

     10,246           476,439  

RYDER SYSTEM INC

     19,200                        1,042,752  

S & T BANCORP

     10,077           406,002  

SAFETY INSURANCE GROUP INC

     7,565           699,989  

SAGA COMMUNICATIONS INC CL A

     232           7,053  

SAIA INC

     9,204           857,076  

SALEM MEDIA GROUP INC CL A

     1,585           2,282  

SANDERSON FARMS INC

     9,009           1,587,566  

SANDRIDGE ENERGY INC

     7,873           33,382  

SANDY SPRING BANCORP INC

     11,940           452,287  

SANFILIPPO (JOHN B) & SON INC.

     2,494           227,652  

SANMINA CORP

     34,522           1,182,033  

SANTANDER CONSUMER USA HLDGS INC

     92,426           2,159,996  

SAPIENS INTL CORP NV

     2,906           66,838  

SCANSOURCE INC

     7,758           286,658  

SCHNEIDER NATIONAL INC CL B

     11,292           246,391  

SCHNITZER STEEL INDS INC CL A

     20,710           448,993  

SCHOLASTIC CORP

     13,073           502,657  

SCHWEITZER-MAUDUIT INTL INC

     11,775           494,432  

SCORPIO BULKERS INC

     21,859           139,242  

SCORPIO TANKERS INC

     20,712           814,810  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

SCRIPPS (EW) CO CL A

     25,348           398,217  

SEABOARD CORP

     292           1,241,161  

SEACHANGE INTL INC

     28,136           117,890  

SEACOAST BANKING CORP FLORIDA

     10,949           334,711  

SEACOR HOLDINGS INC

     8,531           368,113  

SEACOR MARINE HOLDINGS INC

     8,174           112,719  

SECUREWORKS CORP

     1,000           16,660  

SELECT ENERGY SERVICES INC CL A

     18,865           175,067  

SELECT INTERIOR CONCEPTS INC

     2,228           20,030  

SELECT MEDICAL HLDGS CORP

     50,274           1,173,395  

SELECTIVE INSURANCE GROUP INC

     13,026           849,165  

SENECA FOODS CORP CL A

     3,741           152,595  

SENSATA TECHNOLOGIES HOLDING PLC

     2,589           139,469  

SFL CORP LTD

     35,256           512,622  

SHILOH INDUSTRIES

     13,073           46,540  

SHOE CARNIVAL

     5,961           222,226  

SHORE BANCSHARES INC

     890           15,450  

SIERRA BANCORP

     5,814           169,304  

SIGNET JEWELERS LTD

     20,505           445,779  

SILVERBOW RESOURCES INC

     2,588           25,621  

SIMMONS 1ST NATL CORP CL A

     28,973           776,187  

SIMPLY GOOD FOODS CO

     10,140           289,396  

SINCLAIR BROADCAST GROUP CL A

     12,236           407,948  

SKECHERS USA INC CL A

     2,873           124,085  

SKYLINE CHAMPION CORP

     2,282           72,339  

SKYWEST INC

     36,100                        2,333,143  

SLM CORP

     9,522           84,841  

SM ENERGY CO

     36,215           407,057  

SMART GLOBAL HOLDINGS INC

     488           18,515  

SMART SAND INC

     6,104           15,382  

SMARTFINANCIAL INC

     2,875           67,994  

SNAP-ON INCORPORATED

     3,206           543,096  

SOLARIS OILFIELD INFRASTRUCTURE INC CL A

     7,220           101,080  

SONIC AUTOMOTIVE INC CL A

     16,269           504,339  

SONOCO PRODUCTS CO

     10,896           672,501  

SOUTH STATE CORP

     11,285           978,974  

SOUTHERN FIRST BANCSHARES INC

     643           27,321  

SOUTHERN MISSOURI BANCORP INC

     489           18,758  

SOUTHERN NATL BANCORP VA INC

     7,351           120,189  

SOUTHSIDE BANCSHARES INC

     3,961           147,112  

SOUTHWESTERN ENERGY CO

     212,267           513,686  

SP PLUS CORP

     8,469           359,340  

SPARTAN MOTORS INC

     19,667           355,579  

SPARTANNASH CO

     12,845           182,913  

SPECTRUM BRANDS HOLDINGS INC

     14,360           923,204  

SPIRIT AIRLINES INC

     25,685           1,035,362  

SPIRIT OF TEXAS BANCSHARES INC

     969           22,287  

 

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Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

SPOK HOLDINGS INC

     8,824           107,918  

SPORTSMANS WHSE HLDGS INC

     7,677           61,646  

SPX FLOW INC

     9,537           466,073  

SRC ENERGY INC

     93,507           385,249  

STAMPS.COM INC

     4,051           338,340  

STANDARD MOTOR PRODUCTS INC

     7,177           381,960  

STANDEX INTL CORP

     2,665           211,468  

STATE AUTO FINANCIAL CORP

     7,784           241,460  

STEEL CONNECT INC

     9,387           13,705  

STEEL DYNAMICS INC

     40,606                        1,382,228  

STEELCASE INC CLASS A

     25,559           522,937  

STEPAN CO

     8,131           832,940  

STERLING BANCORP INC/MI

     4,338           35,138  

STERLING BANCORP/DE

     66,946           1,411,222  

STERLING CONSTRUCTION CO INC

     11,732           165,187  

STEWART INFORMATION SERVICES

     11,338           462,477  

STIFEL FINANCIAL CORP

     19,647           1,191,591  

STONERIDGE INC

     9,029           264,730  

STRATASYS LTD

     8,571           173,348  

STRATTEC SEC CORP

     2,026           44,997  

SUMMIT FINANCIAL GROUP INC

     490           13,274  

SUMMIT MATERIALS INC CL A

     37,651           899,859  

SUNCOKE ENERGY INC

     29,499           183,779  

SUNRUN INC

     5,671           78,317  

SUPER MICRO COMPUTER INC

     4,902           117,746  

SUPERIOR GROUP OF COS INC

     3,094           41,893  

SUPERIOR INDUSTRIES INTL

     11,649           42,985  

SUPERNUS PHARMACEUTICALS INC

     6,615           156,908  

SURGERY PARTNERS INC

     12,158           190,333  

SYKES ENTERPRISES INC

     18,159           671,701  

SYNAPTICS INC

     7,837           515,439  

SYNCHRONOSS TECHNOLOGIES INC

     13,591           64,557  

SYNLOGIC INC

     5,865           15,132  

SYNNEX CORP

     18,342           2,362,450  

TALOS ENERGY INC

     14,469           436,240  

TANDY LEATHER FACTORY INC

     1,300           7,423  

TAPESTRY INC

     78,621           2,120,408  

TARO PHARMACEUTICALS IND

     1,200           105,516  

TAYLOR MORRISON HOME CORP

     42,323           925,181  

TCF FINANCIAL CORP

     49,634           2,322,871  

TEAM INC

     13,123           209,574  

TECH DATA CORP

     18,350           2,635,060  

TECHNIPFMC PLC

     5,549           118,971  

TEEKAY CORP

     1,238           6,586  

TEEKAY TANKERS LTD CL A

     8,609           206,358  

TEGNA INC

     69,988           1,168,100  

TEJON RANCH CO

     13,989           223,544  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

TELEPHONE & DATA SYSTEMS INC

     43,409           1,103,891  

TENNECO INC

     11,589           151,816  

TEREX CORP

     14,597           434,699  

TERRAFORM POWER INC CL A

     25,755           396,369  

TERRITORIAL BANCORP INC

     5,399           167,045  

TESSCO TECHNOLOGIES INC

     4,066           45,621  

TETRA TECHNOLOGIES INC

     62,002           121,524  

TEXAS CAPITAL BANCSHARES INC

     16,252           922,626  

TEXTAINER GROUP HLDGS LTD

     20,868           223,496  

THERMON GROUP HOLDINGS INC

     20,800           557,440  

THIRD POINT REINSURANCE LTD

     23,269           244,790  

THOR INDUSTRIES INC

     10,031           745,203  

TIDEWATER INC

     11,756           226,656  

TILLY’S INC

     8,259           101,173  

TIMBERLAND BANCORP INC

     1,619           48,149  

TIMKEN CO

     25,531                        1,437,651  

TIMKENSTEEL CORP

     35,092           275,823  

TITAN INTERNATIONAL INC

     49,577           179,469  

TITAN MACHINERY INC

     18,134           268,021  

TIVITY HEALTH INC

     5,122           104,207  

TIVO CORP

     54,314           460,583  

TOLL BROTHERS INC

     81,577           3,223,107  

TOOTSIE ROLL INDUSTRIES INC

     931           31,784  

TOPBUILD CORP

     9,691           998,948  

TOWNE BANK

     16,629           462,619  

TOWNSQUARE MEDIA INC

     1,275           12,712  

TPI COMPOSITES INC

     1,396           25,840  

TRANSCAT INC

     656           20,900  

TRANSOCEAN LTD

     65,634           451,562  

TRAVELCENTERS OF AMERICA INC

     2,454           42,086  

TRECORA RESOURCES

     8,867           63,399  

TREDEGAR CORP

     10,255           229,199  

TREEHOUSE FOODS INC

     8,181           396,779  

TRI POINTE GROUP INC

     86,394           1,346,019  

TRIBUNE PUBLISHING CO

     10,309           135,666  

TRICO BANCSHARES

     7,386           301,423  

TRIMAS CORP

     4,047           127,116  

TRINITY INDUSTRIES INC

     66,932           1,482,544  

TRINSEO SA

     7,116           264,786  

TRIPLE-S MANAGEMENT CORP CL B

     11,877           219,606  

TRISTATE CAPITAL HOLDINGS INC

     9,517           248,584  

TRITON INTERNATIONAL LTD

     26,211           1,053,682  

TRIUMPH BANCORP INC

     7,385           280,778  

TRIUMPH GROUP INC

     2,840           71,767  

TRONOX HOLDINGS PLC

     25,061           286,197  

TRUEBLUE INC

     13,165           316,750  

TRUECAR INC

     17,416           82,726  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

TRUSTCO BANK CORP NY

     39,780           344,893  

TRUSTMARK CORP

     35,627           1,229,488  

TTM TECHNOLOGIES INC

     46,826           704,731  

TUESDAY MORNING CORP

     24,371           45,086  

TUTOR PERINI CORP

     20,867           268,350  

TWIN DISC INC

     4,160           45,843  

TWIN RIVER WORLDWIDE HOLDINGS INC

     683           17,519  

UFP TECHNOLOGIES INC

     847           42,020  

ULTRA CLEAN HOLDINGS INC

     17,389           408,120  

ULTRALIFE CORP

     1,039           7,678  

UMB FINANCIAL CORP

     1,854           127,259  

UMPQUA HOLDINGS CORP

     93,567           1,656,136  

UNIFI INC

     7,025           177,452  

UNIFIRST CORP

     2,794           564,332  

UNIT CORP

     42,145           29,316  

UNITED BANKSHARES INC. W VA.

     27,664                        1,069,490  

UNITED CMNTY FINL CORP OHIO

     26,122           304,583  

UNITED COMMUNITY BANKS GA

     11,144           344,127  

UNITED FIRE GROUP INC

     10,489           458,684  

UNITED INS HLDGS CORP

     15,039           189,642  

UNITED NATURAL FOODS INC

     19,637           172,020  

UNITED STATES CELLULAR CORP

     12,912           467,802  

UNITED STATES LIME & MIN INC

     1,194           107,818  

UNITED STATES STEEL CORP

     67,269           767,539  

UNIVAR INC

     4,042           97,978  

UNIVERSAL CORP

     11,207           639,471  

UNIVERSAL ELECTRONICS INC

     4,291           224,248  

UNIVERSAL FOREST PRODUCTS INC

     47,287           2,255,590  

UNIVERSAL INSURANCE HLDGS INC

     6,139           171,831  

UNIVERSAL STAINLESS & ALLOY

     3,380           50,362  

UNIVERSAL TECH INST INC

     5,805           44,757  

UNIVEST FINANCIAL CORP

     13,971           374,143  

UNUM GROUP

     69,696           2,032,335  

URBAN OUTFITTERS

     35,693           991,195  

US CONCRETE INC C NEW

     4,519           188,262  

US FOODS HOLDING CORP

     62,265           2,608,281  

US SILICA HOLDINGS INC

     23,397           143,892  

USA TRUCK INC

     4,072           30,336  

VAALCO ENERGY INC

     4,365           9,690  

VALARIS PLC CL A

     99,980           655,869  

VALLEY NATL BANCORP

     157,777           1,806,547  

VALMONT INDUSTRIES INC

     451           67,551  

VANDA PHARMACEUTICALS INC

     7,596           124,650  

VAREX IMAGING CORP

     6,090           181,543  

VECTRUS INC-WI

     4,208           215,702  

VEECO INSTRUMENT

     22,649           332,601  

VENATOR MATERIALS PLC

     26,113           100,013  

 

38

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

VERA BRADLEY INC

     16,309           192,446  

VERINT SYSTEMS INC

     2,633           145,763  

VERITEX HOLDINGS INC

     9,409           274,084  

VERITIV CORP

     5,602           110,191  

VERSO CORP—A

     12,873           232,100  

VIAD CORP

     8,470           571,725  

VILLAGE SUPER MKT INC CL A NEW

     4,575           106,140  

VIRTUS INVESTMENT PARTNERS

     2,212           269,245  

VISHAY INTERTECHNOLOGY INC

     96,523           2,054,975  

VISHAY PRECISION GROUP INC

     2,304           78,336  

VISTA OUTDOOR INC

     22,718           169,931  

VOXX INTERNATIONAL CORP

     12,828           56,187  

VOYA FINANCIAL INC

     38,861           2,369,744  

VSE CORP

     4,410           167,756  

WABASH NATIONAL CORP

     21,510           315,982  

WADDELL & REED FINL INC CL A

     22,510           376,367  

WALKER & DUNLOP INC

     10,999           711,415  

WARRIOR MET COAL INC

     10,681           225,690  

WASHINGTON FEDERAL INC

     28,869                        1,058,049  

WASHINGTON TR BANCORP INC

     3,372           181,380  

WATERSTONE FINANCIAL INC

     13,669           260,121  

WAYSIDE TECHNOLOGY GROUP INC

     800           12,960  

WEIS MARKETS INC

     8,627           349,307  

WERNER ENTERPRISES INC

     30,372           1,105,237  

WESBANCO INC

     25,937           980,159  

WESCO AIRCRAFT HOLDINGS INC

     35,398           390,086  

WESCO INTERNATIONAL INC

     21,373           1,269,342  

WEST BANCORPORATION INC

     3,408           87,347  

WESTERN NEW ENGLAND BANCORP INC

     17,057           164,259  

WESTLAKE CHEMICAL CORP

     20,050           1,406,508  

WESTWOOD HOLDINGS GROUP INC

     1,206           35,722  

WEYCO GROUP INC

     3,677           97,257  

WHITE MOUNTAINS INS GROUP LTD

     732           816,553  

WHITING PETROLEUM CORP

     29,600           217,264  

WILEY (JOHN) & SONS INC CL A

     13,000           630,760  

WILEY (JOHN) & SONS INC CL B

     876           42,705  

WILLDAN GROUP

     1,039           33,019  

WILLIAMS SCOTSMAN CORP A

     5,182           95,815  

WINNEBAGO INDUSTRIES INC

     12,833           679,892  

WINTRUST FINANCIAL CORP

     11,136           789,542  

WOLVERINE WORLD WIDE INC

     3,879           130,877  

WORLD ACCEPTANCE CORP

     2,566           221,702  

WORLD FUEL SERVICES CORP

     22,127           960,754  

WORTHINGTON INDUSTRIES INC

     18,843           794,798  

WPX ENERGY INC

     163,377           2,244,800  

WRIGHT MEDICAL GROUP NV

     6,232           189,951  

WSFS FINANCIAL CORP

     17,928           788,653  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

XEROX HOLDINGS CORP

     65,373           2,410,303  

XPO LOGISTICS INC

     13,526           1,078,022  

YELP INC

     7,262           252,935  

ZAGG INC

     8,671           70,322  

ZIONS BANCORP

     44,792                  2,325,601  

ZOVIO INC

     24,045           49,533  

ZUMIEZ INC

     19,821           684,617  

STIFS and Money Markets

        

SSBK STIF FUND

     1,027,415           1,027,415  
        

 

 

 

DFA Small Mid Value Account

           575,984,736  

PIMCO Total Return Account

        

Commingled Pools

        

HIGH YIELD PORTFOLIO INSTL CL

     6,231,864           47,486,803  

PIMCO ASSET BACK SECS PORT-UNL

     7,407,793           93,041,882  

PIMCO EMMERG MKTS FD INST CL

     4,544,826           45,266,463  

PIMCO INTL PORT FUND(UNLISTED)

     10,645,974           63,024,165  

PIMCO INV GRD CORP PORT(UNLST)

     28,850,642           279,562,722  

PIMCO MTG PORT INSTL CL(UNLST)

     16,717,532           184,060,031  

PIMCO MUNI SECTR PORT INSTL CL

     1,767,306           12,459,505  

PIMCO REAL RETRN BD FD INST CL

     9,784,705           79,353,955  

PIMCO SHORT TM FLT NAV PORT II

     2,503,999           25,065,029  

PIMCO US GOVT SECTOR PORT INST

     22,917,014           229,857,652  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     458,385           458,385  
        

 

 

 

PIMCO Total Return Account

           1,059,636,592  

International Growth Account

        

Currency

        

AUSTRALIAN DOLLAR CURRENCY

     40           28  

BRAZILIAN REAL

     171,125           42,540  

BRITISH POUND STERLING CURRENCY

     30           39  

CANADIAN DOLLAR

     76,971           59,275  

DANISH KRONE

     286           43  

EURO MONETARY UNIT.

     -540,027           -605,748  

HONG KONG DOLLAR

     4,728           607  

HUF

     767,977           2,603  

INDIAN RUPEE

     623,661           8,740  

INDONESIAN RUPIAH CURRENCY

     0           0  

PHILIPPINE PESO

     168,443           3,324  

SINGAPORE DOLLAR CURRENCY

     0           0  

SOUTH KOREAN WON

     69,374,157           60,031  

SWEDISH KRONA CURRENCY

     1,158           124  

SWISS FRANC

     232           239  

TAIWAN DOLLAR

     23           1  

UNITED ARAB EMIRATES DIRHAM

     507,756           138,234  

 

40

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

Publicly-traded Common Stock

        

A2 MILK CO LTD

     383,221           3,874,925  

ABBOTT LABORATORIES

     86,186           7,486,116  

ACCENTURE PLC CL A

     21,399           4,505,987  

ADIDAS AG

     14,578           4,738,851  

ADYEN BV

     5,104           4,185,090  

AIA GROUP LTD

     585,097           6,142,081  

AIA GROUP LTD

     258,400           2,712,565  

AIA GROUP LTD

     502,000           5,269,766  

AIER EYE HOSPITAL GROUP CO LTD

     47,330           268,896  

AIER EYE HOSPITAL GROUP CO LTD WT 11/18/19

     208,100                      1,182,279  

AIR LIQUIDE SA

     87,793           12,427,849  

AIRBUS SE

     41,537           6,079,331  

AIRPORTS OF THAILAND PCL-NVDR

     752,200           1,867,297  

AIRTAC INTERNATIONAL GROUP

     102,000           1,590,660  

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

     47,639           830,536  

ALCON INC

     55,282           3,130,248  

ALGONQUIN PWR & UTIL CORP

     280,623           3,969,847  

ALIBABA GROUP HOLDING LTD SPON ADR

     69,860           14,817,306  

ALIBABA GROUP HOLDING LTD SPON ADR

     67,633           14,344,959  

ALIBABA GROUP HOLDING LTD SPON ADR

     44,989           9,542,167  

ALPHABET INC CL A

     3,703           4,959,761  

ALPHABET INC CL C

     3,166           4,233,005  

AMOREPACIFIC NEW

     3,226           558,305  

ANHUI CONCH CEMENT CO LTD H

     120,500           878,354  

ANHUI CONCH CEMENT CO LTD WT 04/12/21

     197,900           1,557,461  

ANTA SPORTS PRODUCTS LTD

     243,000           2,175,128  

ARISTOCRAT LEISURE LTD

     169,648           4,008,430  

ASCENDAS REAL ESTA INVT TR

     717,927           1,585,370  

ASIAN PAINTS LTD (DEMAT)

     93,450           2,337,658  

ASML HOLDING NV

     18,798           5,560,303  

ASML HOLDING NV

     18,269           5,403,829  

ASSA ABLOY AB SER B

     194,880           4,556,601  

ASTRAZENECA PLC

     132,476           13,348,589  

ASTRAZENECA PLC

     74,493           7,506,088  

ATLAS COPCO AB SER A

     91,126           3,634,786  

AYALA LAND INC

     925,400           830,815  

B3 SA BRASIL BOLSA BALCAO

     155,300           1,658,896  

BAIDU INC SPON ADR

     16,329           2,063,986  

BANCO BRADES SA PFD SPON ADR

     381,710           3,416,305  

BANCO DO BRASIL SA

     159,700           2,096,938  

BANK FOR FOREIGN TRADE JSC

     100,050           389,450  

BANK FOR FOREIGN TRADE JSC WT 10/18/21

     4,890           19,035  

BANK RAKYAT INDONESIA TBK PT

     11,415,600           3,618,126  

BEIERSDORF AG

     25,308           3,027,578  

BHP GROUP PLC

     184,046           4,331,613  

BIDVEST GROUP LTD

     80,951           1,183,517  
         

 

    

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

BIM BIRLESIK MAGAZALAR AS

     90,166           707,202  

BP PLC

     869,898           5,434,091  

BRF SA

     105,800           925,786  

BUNZL PLC

     165,013           4,513,599  

CANADIAN NATL RAILWAY CO

     47,467           4,293,981  

CANADIAN NATL RAILWAY CO

     95,366           8,625,855  

CAPGEMINI SA (FF40)

     33,483           4,090,053  

CELLNEX TELECOM SAU

     257,226           11,070,912  

CELLNEX TELECOM SAU

     260,931           11,230,373  

CENTRE TESTING INTL GRP CO LTD A (MACQ BK)(CWT) 11

     1,079,900                      2,312,347  

CENTRE TESTING INTL GRP CO LTD WT 11/23/21

     53,500           114,557  

CHINA CONSTRUCTION BANK CORP H

     3,476,691           3,002,725  

CHINA CONSTRUCTION BANK CORP H

     3,310,000           2,858,758  

CHINA INTERNATIONAL(HSBC) WT 06/28/21

     81,000           1,034,718  

CHINA MERCHANTS BANK CO LTD H

     346,500           1,780,902  

CHINA OVERSEAS LAND & INV LTD

     776,000           3,022,420  

CHRISTIAN HANSEN HOLDING SA

     61,560           4,892,014  

CIE FINANCIERE RICHEMONT SA A

     73,648           5,788,042  

CLICKS GROUP LTD

     115,968           2,124,534  

CNOOC LTD

     946,000           1,573,369  

COLOPLAST AS CL B

     21,930           2,720,408  

COMMERCIAL INTL BK EGY GDR EC

     141,296           720,610  

COMMERCIAL INTL BK EGYPT SAE

     83,135           429,919  

COMMONWEALTH BK OF AUSTRALIA

     160,461           8,997,020  

COPA HOLDINGS SA CL A

     11,077           1,197,202  

CP ALL PCL NVDR

     339,900           821,056  

CREDICORP LTD

     6,047           1,288,797  

CREDIT AGRICOLE SA

     455,154           6,598,810  

CSL LIMITED

     35,623           6,893,570  

CTBC FINL HLDG CO LTD

     928,000           694,899  

CTBC FINL HLDG CO LTD (JPM)(CWT) 02/25/21

     393,000           294,282  

DAVIDE CAMPARI SPA MILANO

     424,218           3,873,381  

DEUTSCHE BOERSE AG

     77,436           12,173,424  

DIAGEO PLC

     105,583           4,476,067  

DIAGEO PLC

     147,072           6,234,944  

DIAGEO PLC

     296,868           12,585,369  

DOLLARAMA INC

     102,317           3,516,544  

DSV PANALPINA A/S

     41,420           4,773,790  

EISAI CO LTD

     28,000           2,114,141  

ENEL (ENTE NAZ ENERG ELET) SPA

     391,226           3,103,464  

ESSILORLUXOTTICA

     45,645           6,952,960  

EURONEXT NV

     31,915           2,600,801  

FANUC CORPORATION

     30,300           5,669,311  

FERRARI NV

     25,200           4,180,666  

FEVERTREE DRINKS PLC

     129,460           3,589,133  

FILA HOLDINGS CORP

     10,624           487,238  

FIRSTRAND LIMITED

     289,162           1,296,542  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

FMTC INR UNREALIZED GAIN/LOSS

     1           0  

FOMENTO ECONO MEX(FEMSA)SP ADR

     9,020           852,480  

FORTIS INC

     91,006           3,776,060  

FUCHS PETROLU SE (GERW) PFD

     84,845           4,202,735  

GALP ENERGIA SGPS SA

     248,457           4,152,544  

GAZPROM PJSC SPON ADR

     149,300           1,228,440  

GEBERIT AG (REG)

     15,899           8,923,679  

GENMAB AS

     14,263           3,171,887  

GIANT MANUFACTURING CO LTD

     134,000           954,135  

GLOBANT SA

     9,400           996,870  

GMO PAYMENT GATEWAY INC

     46,500                      3,201,141  

GRUPO AERO CENTRO NORTE CL B

     117,800           883,648  

GRUPO FINANCIERO BANORTE SAB

     293,800           1,641,675  

HDFC BANK LTD (DEMAT)

     195,168           3,479,409  

HDFC BANK LTD SPON ADR

     195,525           12,390,419  

HDFC BANK LTD SPON ADR

     64,366           4,078,873  

HDFC BANK LTD SPON ADR

     143,704           9,106,522  

HEINEKEN NV

     55,247           5,882,246  

HERMES INTERNATIONAL SA

     3,123           2,333,745  

HINDUSTAN UNILEVER LTD

     16,859           454,346  

HOUSING DEV FN CORP LTD(DEMAT)

     51,099           1,727,684  

HOWDEN JOINERY GROUP PLC

     776,718           6,919,982  

IBERDROLA SA

     303,566           3,125,882  

ICICI BANK LTD (DEMAT)

     403,068           3,044,122  

ICICI BANK LTD SPONS ADR

     21,500           324,435  

IHS MARKIT LTD

     157,660           11,879,681  

INDITEX SA

     90,293           3,185,308  

INFINEON TECHNOLOGIES AG

     204,367           4,655,833  

INFOSYS LTD SPON ADR

     309,100           3,189,912  

INTERCONTINENTAL HOTELS GP PLC

     185,298           12,782,814  

INTERTEK GROUP PLC

     151,451           11,739,814  

INTERXION HOLDING NV

     58,820           4,929,704  

ITAU UNIBANCO HLDG SA SPON ADR

     193,400           1,769,610  

JD.COM INC SPON ADR

     78,300           2,758,509  

JULIUS BAER GRUPPE AG

     79,697           4,111,667  

KBC GROUPE SA

     61,733           4,643,630  

KEYENCE CORP

     55,400           19,624,923  

KWEICHOW A MMA(HSBC)(ELN)12/24

     15,000           2,548,397  

LARGAN PRECISION CO LTD

     18,400           3,075,483  

LARSEN & TOUBRO LTD

     69,558           1,265,506  

LG HOUSEHOLD & HEALTHCARE LTD

     1,285           1,402,154  

LI NING CO LTD

     320,000           958,895  

LLOYDS BANKING GROUP PLC

     5,713,267           4,729,871  

LOCALIZA RENT A CAR SA

     101,745           1,199,128  

LOJAS RENNER SA

     57,300           800,380  

LONDON STOCK EXCHANGE GRP PLC

     85,110           8,737,095  

LONDON STOCK EXCHANGE GRP PLC

     37,420           3,841,406  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

LONDON STOCK EXCHANGE GRP PLC

     103,532           10,628,233  

L’OREAL SA (PRIME FIDE 2020)

     10,600           3,138,965  

L’OREAL SA (TEMP)

     23,304           6,900,986  

L’OREAL SA ORD

     27,500           8,143,542  

L’OREAL SA ORD

     21,507           6,368,842  

L’OREAL SA ORD

     10,217           3,025,548  

LUKOIL PJSC SPONS ADR

     32,560                      3,229,301  

LVMH MOET HENNESSY LOUIS VUITTON SE

     24,013           11,156,635  

MACQUARIE GROUP LTD

     34,962           3,382,092  

MAGAZINE LUIZA SA

     139,900           1,658,893  

MASTERCARD INC CL A

     35,586           10,625,624  

MEDIA TEK INC

     294,740           4,369,766  

MEITUAN DIANPING CL B

     134,500           1,758,858  

MERCADOLIBRE INC

     2,055           1,175,337  

METROPOLITAN BANK & TRUST CO

     1,140,622           1,492,171  

MMC NORILSK NICKEL PJSC SPON ADR

     59,651           1,822,338  

MONCLER SPA

     80,523           3,619,229  

MURATA MFG CO LTD

     35,596           2,210,028  

NARI TECHNOLOGY CO WT 11/23/21

     286,500           871,447  

NASPERS LTD N SHS

     3,502           572,779  

NATIONAL BANK OF GREECE SA

     319,359           1,081,839  

NAVER CORP

     16,798           2,710,902  

NESTLE SA (REG)

     107,606           11,650,090  

NESTLE SA (REG)

     141,893           15,362,212  

NETEASE INC ADR

     5,333           1,635,311  

NIDEC CORP

     22,900           3,162,436  

NINTENDO CO LTD

     6,655           2,693,114  

NOTRE DAME INTERMEDICA PARTICIPACOES SA

     168,700           2,862,201  

NOVARTIS AG (REG)

     118,882           11,288,754  

NOVARTIS AG (REG)

     76,395           7,254,289  

NOVO-NORDISK AS CL B

     83,348           4,837,471  

NOVO-NORDISK AS CL B

     170,589           9,900,889  

NVIDIA CORP

     23,442           5,515,903  

OTP BANK (REG)

     35,999           1,882,569  

PAGSEGURO DIGITAL LTD CL A

     120,424           4,113,684  

PARTNERS GROUP HOLDING AG

     4,210           3,860,254  

PERNOD-RICARD

     16,023           2,864,896  

PETROLEO BRASILEIRO SPONS ADR

     166,800           2,658,792  

PING AN INSURANCE CO LTD H

     470,500           5,561,009  

PING AN INSURANCE CO LTD H

     399,500           4,721,834  

PRESIDENT CHAIN STORE CORP

     56,000           569,098  

PRESIDENT CHAIN(HSBC)(CWT)9/24

     40,000           406,499  

PRUDENTIAL PLC

     167,213           3,209,395  

PRUDENTIAL PLC

     150,242           2,883,663  

RATIONAL AG

     4,558           3,665,812  

REALTEK SEMICONDUCTOR CORP

     258,000           2,026,810  

RELIANCE INDS GDR

     11,297           480,687  

 

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Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

RELIANCE INDUSTRIES LTD(DEMAT)DEMATERIALIZED SHS

     167,047           3,544,496  

RIO TINTO PLC

     88,932           5,304,504  

ROCHE HOLDINGS AG (GENUSSCHEINE)

     39,432           12,793,602  

ROTORK PLC

     1,707,065           7,574,947  

RUMO SA

     208,600           1,353,434  

SAFRAN SA

     53,561           8,269,926  

SAFRAN SA

     39,984           6,173,610  

SAMSUNG ELECTRONICS CO LTD

     223,413                      10,787,482  

SAMSUNG ELECTRONICS CO LTD

     104,407           5,041,285  

SANDS CHINA LTD

     838,800           4,483,403  

SAP SE

     77,078           10,402,674  

SAP SE SPON ADR

     96,110           12,877,779  

SBERBANK OF RUSSIA

     82,400           338,210  

SBERBANK OF RUSSIA

     218,600           897,240  

SBERBANK SPONSORED ADR

     104,210           1,713,212  

SCHINDLER HOLDING AG PART CERT

     47,538           12,093,259  

SHANGHAI INTL AIRPORT CO LTD CWT 02/23/21

     89,500           1,012,197  

SHIMANO INC

     44,500           7,277,760  

SHIN-ETSU CHEMICAL CO LTD

     32,583           3,616,502  

SHINHAN FINANCIAL GROUP CO LTD

     46,337           1,738,179  

SIKA AG

     27,086           5,089,470  

SK HYNIX INC

     51,058           4,157,487  

SM INVESTMENTS CORP

     57,520           1,183,768  

SMITH & NEPHEW PLC

     195,341           4,741,570  

SOFTBANK GROUP CORP

     88,780           3,886,040  

SONY CORP

     46,100           3,140,087  

SPIRAX-SARCO ENGINEERING PLC

     81,359           9,580,587  

SPOTIFY TECHNOLOGY SA

     28,154           4,210,431  

SSANGYONG CEMENT IND CO LTD

     117,645           577,210  

SUNNY OPTICAL TEC(GROUP)CO LTD

     109,500           1,895,660  

SUNNY OPTICAL TEC(GROUP)CO LTD

     199,432           3,452,559  

SVENSKA HANDELSBANKEN SER A

     312,447           3,365,868  

SVENSKA HANDELSBANKEN SER A

     549,575           5,920,355  

TAIWAN SEMIC MFG CO LTD SP ADR

     190,100           11,044,810  

TAIWAN SEMIC MFG CO LTD SP ADR

     235,880           13,704,628  

TAIWAN SEMICONDUCT MFG CO LTD

     487,000           5,388,681  

TAL ED GROUP ADR

     29,600           1,426,720  

TECHTRONIC INDUSTRIES CO LTD

     369,719           3,015,238  

TELEKOMUNIKASI INDO B (DEMAT) DEMATERIALIZED SHRS

     2,165,205           619,187  

TEMENOS AG

     26,073           4,127,282  

TENCENT HOLDINGS LTD

     235,300           11,341,796  

TENCENT HOLDINGS LTD

     158,900           7,659,207  

TOKIO MARINE HOLDINGS INC

     127,002           7,152,227  

TOTAL SA

     67,720           3,737,307  

TOTVS SA

     67,200           1,078,321  

TRELLEBORG AB SER B

     198,736           3,576,308  

TRIP.COM GROUP LTD ADR

     92,642           3,107,213  

 

45

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units     

Cost **

     Current Value  

TURK TELEKOMUNIKASYON AS

     769,186           952,917  

UBS GROUP AG

     373,883           4,722,794  

UNICHARM CORP

     166,800           5,679,996  

UNILEVER NV (REGD)

     49,171           2,825,596  

UNILEVER NV (REGD)

     214,563           12,329,796  

VISA INC CL A

     50,235           9,439,157  

VOLKSWAG PFD PERP

     29,927           5,916,221  

VOLKSWAG PFD PERP

     18,394           3,636,281  

WAL MART DE MEXICO SAB DE CV V

     571,300                        1,636,171  

WIN SEMICONDUCTORS CORP

     155,000           1,523,367  

WIWYNN CORP

     64,000           1,358,561  

WUXI BIOLOGICS (CAYMAN) INC

     118,000           1,493,872  

X5 RETAIL GROUP NV GDR REGS

     30,852           1,064,394  

YANDEX NV CL A

     24,800           1,078,552  

YANDEX NV CL A

     89,447           3,890,050  

YDUQS PART

     50,600           597,484  

YUM CHINA HOLDINGS INC

     18,600           892,986  

ZALANDO SE

     43,600           2,209,578  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     44,228,279           44,228,279  
        

 

 

 

International Growth Account

           1,137,940,825  
        

International Value Account

        

Currency

        

AUSTRALIAN DOLLAR CURRENCY

     621,057           435,827  

BRAZILIAN REAL

     374,920           93,201  

BRITISH POUND STERLING CURRENCY

     492,532           652,408  

CANADIAN DOLLAR

     570,517           439,349  

CHILEAN PESO

     12,402,780           16,494  

DANISH KRONE

     112,107           16,828  

EURO MONETARY UNIT.

     526,687           590,785  

HONG KONG DOLLAR

     1,804,160           218,611  

HUF

     567,085           1,922  

INDONESIAN RUPIAH CURRENCY

     0           0  

ISRAELI SHEKEL

     19,297           5,588  

JAPANESE YEN

     28,728,680           264,403  

MALAYSIAN RINGGIT

     91,033           22,255  

MEXICAN PESO CURRENCY

     375,482           19,859  

NEW ZEALAND DOLLAR CURRENCY

     -178,199           -119,964  

NORWEGIAN KRONA

     125,559           14,302  

PHILIPPINE PESO

     38,584           761  

POLAND ZLOTY NEW

     31,628           8,337  

SINGAPORE DOLLAR CURRENCY

     55,332           41,140  

SOUTH AFRICAN RAND CURRENCY

     3,010           215  

SOUTH KOREAN WON

     365,750,141           316,491  

SWEDISH KRONA CURRENCY

     738,710           78,869  

SWISS FRANC

     -26,123           -26,992  

 

46

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

TAIWAN DOLLAR

     11,618,212           388,387  

THAILAND BAHT CURRENCY

     281,190           9,401  

TURKISH LIRA (NEW)

     35,450           5,959  

UNITED ARAB EMIRATES DIRHAM

     94           26  

Publicly-traded Common Stock

        

3I GROUP PLC

     7,350           106,899  

3I GROUP PLC

     156,773                        2,280,123  

A P MOLLER - MAERSK A/S B

     3,413           4,922,372  

ABB LTD

     65,773           1,588,257  

ABB LTD

     247,333           5,972,486  

ABN AMRO BANK NV-GDR

     3,180           57,857  

ACE HARDWARE INDONESIA TBK PT

     9,961,900           1,072,792  

ACS ACTIVIDADES CONST Y SRV SA

     1,790           71,580  

ADASTRIA CO LTD

     7,500           171,805  

ADIDAS AG

     424           137,829  

ADMIRAL GROUP PLC

     1,703           52,086  

ADVANTECH CO LTD

     64,000           646,119  

ADVANTEST CORP

     11,900           674,649  

AEGON NV

     13,536           61,751  

AEGON NV

     14,100           64,324  

AEM HOLDINGS LTD

     129,000           193,747  

AEON FINANCIAL SERVICE CO LTD

     1,100           17,484  

AERCAP HOLDINGS NV

     26,200           1,610,514  

AGC INC

     1,600           57,871  

AGEAS

     1,009           59,623  

AGRICULTURAL BANK OF CHINA H

     197,082           86,751  

AIR CANADA VTG

     27,400           1,023,583  

AIR FRANCE KLM (REGD)

     12,220           136,030  

AJINOMOTO CO INC

     76,700           1,281,216  

AKR CORPORINDO TBK PT

     8,265,546           2,351,803  

ALLIANZ SE (REGD)

     3,195           782,709  

ALLIANZ SE (REGD)

     21,560           5,281,753  

ALLIANZ SE (REGD)

     8,967           2,196,729  

ALPHA BANK SA

     1,240,010           2,674,738  

ALSTRIA OFFICE REIT-AG

     15,924           299,188  

AMANO CORP

     1,900           58,318  

AMP LTD (POST RECON)

     22,278           29,938  

AMS AG

     14,562           590,876  

AMUNDI SA

     42,260           3,313,473  

ANDRITZ AG

     41,900           1,804,770  

ANHEUSER-BUSCH INBEV SA/NV

     3,537           288,474  

ANSELL LTD

     37,000           753,757  

ANTOFAGASTA PLC

     12,990           157,750  

AOZORA BANK LTD

     900           23,946  

AREZZO INDUSTRIA E COMERCIO SA

     215,578           3,429,784  

ARGENX SE

     357           57,504  

ASAHI GROUP HOLDINGS LTD

     45,100           2,068,320  

 

47

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

ASHTEAD GROUP PLC

     30,040           960,554  

ASM INTERNATIONAL NV (NETH)

     11,889           1,335,590  

ASR NEDERLAND NV

     20,873           781,066  

ASSICURAZIONI GENERALI SPA

     9,053           186,797  

ASSOCIATED BRITISH FOODS PLC

     9,619           331,020  

ASTELLAS PHARMA INC

     12,700           218,573  

ATLANTICA YIELD PLC

     7,200           190,008  

AURIZON HOLDINGS LTD

     110,900           407,020  

AUSTAL LTD

     121,100           324,631  

AUSTEVOLL SEAFOOD ASA

     60,103           616,481  

AUSTRALIA & NZ BANKING GRP

     20,639           356,727  

AUTOHOME INC ADR CL A

     20,200           1,616,202  

AVAST PLC

     104,370           625,989  

AVI LTD

     409,313           2,600,070  

AVIVA PLC

     29,273           162,351  

AVIVA PLC

     375,499                        2,082,555  

AVIVA PLC

     238,984           1,325,429  

AXA SA

     13,683           385,394  

B2GOLD CORPORATION

     296,400           1,189,206  

B2W CIA DIGITAL

     302,249           4,723,040  

BABCOCK INTL GROUP PLC

     427,523           3,564,273  

BAE SYSTEMS PLC

     62,100           464,591  

BAJAJ AUTO LTD

     51,751           2,309,956  

BALOISE HOLDINGS AG

     393           71,063  

BANCO BILBAO VIZ ARGENTARIA SA

     47,003           262,720  

BANCO BILBAO VIZ ARGENTARIA SA

     193,800           1,083,232  

BANCO COMERCIAL PORTUGUE (REG)

     236,900           53,890  

BANCO DE SABADELL SA

     41,389           48,283  

BANCO DE SABADELL SA

     167,422           195,309  

BANCO DO BRASIL SA

     4,528           59,455  

BANCO SANTANDER MEXICO SA INSTITUCION DE BANCA MUL

     16,428           22,443  

BANCO SANTANDER SA

     113,460           474,710  

BANCO SANTANDER SA

     1,362,805           5,701,896  

BANCOLOMBIA SA

     209,200           2,800,169  

BANGKOK LIFE ASSURAN LTD NVDR

     2,731,100           1,890,129  

BANK HAPOALIM LTD (REG)

     8,467           70,246  

BANK LEUMI LE-ISRAEL BM

     4,877           35,505  

BANK LEUMI LE-ISRAEL BM

     86,025           626,261  

BANK OF CHINA HONG KONG LTD

     26,874           93,290  

BANK OF CHINA LTD H

     564,039           241,039  

BANK OF COMMUNICATIONS H

     70,339           50,008  

BANK OF IRELAND GROUP PLC

     5,075           27,791  

BANK OF KYOTO

     500           21,628  

BANK OF MONTREAL

     4,610           357,283  

BANK OF NOVA SCOTIA

     8,434           476,404  

BANK OF QUEENSLAND LTD

     3,453           17,568  

 

48

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

BANK POLSKA KASA OPIEKI

     1,313           34,764  

BANKIA SA

     8,601           18,355  

BANKIA SA

     539,178           1,150,624  

BANKINTER SA

     5,483           40,174  

BARCLAYS PLC ORD

     61,902           147,297  

BARCLAYS PLC ORD

     938,285           2,232,660  

BARCO NV

     1,490           366,022  

BARRATT DEVELOPMENTS PLC

     55,604           549,894  

BASF SE

     46,529           3,515,103  

BASF SE

     31,200           2,357,051  

BAWAG GROUP AG

     3,030           137,989  

BB SEGURIDADE PARTICIPACOES SA

     5,688           53,307  

BB SEGURIDADE PARTICIPACOES SA

     182,000           1,705,670  

BDO UNIBANK INC

     16,550           51,596  

BEACH ENERGY LTD

     611,200                        1,076,563  

BELLWAY PLC

     10,390           523,942  

BELLWAY PLC

     66,326           3,344,656  

BENDIGO AND ADELAIDE BANK LTD

     4,131           28,352  

BENESSE HOLDINGS INC

     5,700           150,769  

BHP GROUP PLC ADR (UK)

     52,500           2,468,025  

BIM BIRLESIK MAGAZALAR AS

     165,730           1,299,876  

BK BRASIL OPERACAO E ASSESSORIA A RESTAURANTES SA

     620,500           2,742,558  

BLUESCOPE STEEL LTD

     33,100           349,813  

BNK FINANCIAL GROUP INC

     2,681           17,771  

BNP PARIBAS

     7,858           465,660  

BOLSA MEXICANA DE VALORES SA

     1,090,200           2,383,650  

BOOHOO GROUP PLC

     304,169           1,200,246  

BORALEX CL A

     8,300           156,342  

BOUYGUES ORD

     38,876           1,651,841  

BP PLC

     872,857           5,452,575  

BRADESCO SA

     9,264           78,461  

BRADESCO SA PREF (BANCO BRAESCO)

     28,754           258,541  

BRITISH AMERICAN TOBACCO PLC

     19,909           852,194  

BRP INC

     11,700           533,035  

BURSA MALAYSIA BHD

     1,299,900           1,935,311  

BW LPG LTD

     30,295           254,836  

CAIXABANK SA

     10,273           32,242  

CANADIAN IMP BK OF COMMERCE

     3,063           254,890  

CANADIAN NATL RESOURCES LTD

     4,200           135,844  

CAPCOM CO LTD

     28,600           797,552  

CAPITAL POWER CORP

     15,900           421,086  

CARLSBERG AS CL B

     2,528           377,121  

CATCHER TECHNOLOGY CO LTD

     259,000           1,965,401  

CATHAY FINANCIAL HLDG CO LTD

     61,049           86,837  

CENTAMIN PLC

     469,427           789,690  

CENTERRA GOLD INC

     66,800           531,396  

 

49

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

CENTURY PACIFIC FOOD INC

     8,103,145           2,427,106  

CERVECERIAS UNIDAS SA CIA

     254,416           2,493,578  

CGG

     198,702           645,249  

CHANG HWA COMMERCIAL BANK

     49,274           37,391  

CHARTER HALL GROUP STAPLED

     59,100           459,526  

CHIBA BANK LTD

     5,300           30,877  

CHINA CINDA ASSET MANAGEMENT CO LTD CL H

     80,956           18,389  

CHINA CITIC BANK CORP LTD H

     72,993           43,745  

CHINA CONSTRUCTION BANK CORP H

     590,582           510,070  

CHINA DEV FIN HOLDINGS CORP

     118,116           38,419  

CHINA EVERBRIGHT LTD

     9,290           17,358  

CHINA GALAXY SEC CO LTD H

     47,500           27,980  

CHINA HONGXING SPORTS LTD

     3,613,000           152,316  

CHINA HUARONG ASSET MANAGEMENT CO LTD

     90,000           14,206  

CHINA LIFE INS CO LTD H

     53,749           149,335  

CHINA MENGNIU DAIRY CO LTD

     912,977                        3,690,666  

CHINA MERCHANTS BANK CO LTD H

     28,865           148,357  

CHINA MINSHENG BANK CORP H

     55,740           42,132  

CHINA MOBILE LIMITED

     597,000           5,018,223  

CHINA OVERSEAS PROPERTY HOLDINGS LTD

     2,255,000           1,418,002  

CHINA PACIFIC INS(GRP) CO LTD H

     19,907           78,429  

CHINA RESOURCES POWER HLDS LTD

     2,342,000           3,288,051  

CHINA TAIPING INSU HLDS CO LTD

     13,802           34,220  

CHUGOKU BANK LTD

     2,500           25,655  

CI FINANCIAL CORP

     2,181           36,463  

CIMB GROUP HOLDINGS BERHAD

     37,397           47,083  

CINEWORLD GROUP PLC

     764,600           2,219,021  

CITIC SECURITIES CO LTD H

     18,911           43,150  

CK ASSET HOLDINGS LTD

     26,000           187,685  

CK HUTCHISON HOLDINGS LTD

     720,000           6,865,239  

CK HUTCHISON HOLDINGS LTD

     39,500           376,635  

CLICKS GROUP LTD

     202,126           3,702,949  

CNP ASSURANCES

     1,515           30,130  

CNP ASSURANCES

     39,864           792,805  

COLES GROUP LTD

     68,544           713,815  

COMMERZBANK AG

     248,900           1,540,297  

COMMONWEALTH BK OF AUSTRALIA

     6,113           342,755  

CONCORDIA FINANCIAL GROUP LTD

     9,900           41,184  

CONTINENTAL AG

     41,701           5,391,403  

COVESTRO AG

     30,797           1,431,890  

COVESTRO AG

     15,360           714,155  

CREDICORP LTD

     269           57,332  

CREDIT AGRICOLE SA

     8,296           120,275  

CREDIT SAISON CO LTD

     1,400           24,494  

CREDIT SUISSE GROUP AG

     17,280           233,989  

CREDIT SUISSE GROUP AG

     124,452           1,685,207  

CREDIT SUISSE GROUP AG

     122,560           1,659,588  

 

50

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

CRESCENT POINT ENERGY CORP

     65,300           291,161  

CSL LIMITED

     7,100           1,373,954  

CTBC FINL HLDG CO LTD

     90,909           68,074  

CTBC FINL HLDG CO LTD

     2,947,081           2,206,813  

D&L INDUSTRIES INC

     9,593,788           1,798,362  

DAI NIPPON PRINTING CO LTD

     65,000           1,770,742  

DAICEL CORP

     134,000           1,293,691  

DAI-ICHI LIFE HOLDINGS INC

     7,800           130,401  

DAI-ICHI LIFE HOLDINGS INC

     89,600           1,497,938  

DAIMLER AG

     97,277           5,387,038  

DAIWA HOUSE INDUSTRY CO LTD

     2,000           62,399  

DAIWA SECURITIES GROUP INC

     11,900           60,565  

DAIWABO HOLDINGS CO LTD

     2,800           173,430  

DALI FOODS GROUP CO LTD

     2,287,068           1,693,516  

DANSKE BK AS

     5,376           86,993  

DANSKE BK AS

     80,415                        1,301,251  

DART GROUP PLC

     7,045           158,081  

DASSAULT AVIATION SA

     717           940,983  

DB INSURANCE CO LTD

     462           20,908  

DBS GROUP HOLDINGS LTD

     115,600           2,224,416  

DEUTSCHE BANK AG

     14,747           114,419  

DEUTSCHE BOERSE AG

     4,349           683,690  

DEUTSCHE POST AG

     10,090           384,924  

DEUTSCHE TELEKOM AG (REGD)

     163,469           2,671,601  

DEUTSCHE TELEKOM AG (REGD)

     82,570           1,349,455  

DEUTSCHE TELEKOM AG (REGD)

     132,800           2,170,373  

DIALOG SEMICONDUCTOR PLC (GER)

     11,540           583,923  

D’IETEREN SA

     10,327           725,146  

DIRECT LINE INSURANCE GRP PLC

     11,127           46,059  

DNB ASA

     7,140           133,377  

DNB ASA

     139,900           2,613,375  

DRAX GROUP PLC

     157,800           656,329  

DUFRY GROUP

     580           57,545  

DUNI AB

     63,600           877,302  

EIFFAGE SA (FORM FOUGEROLLE)

     5,381           615,659  

ELECTRIC POWER DEVELOP CO LTD

     10,100           246,051  

ELEMENT FLEET MANAGEMENT CORP

     3,714           31,719  

EMPIRE CO LTD NON-VTG CL A

     3,400           79,754  

ENEL (ENTE NAZ ENERG ELET) SPA

     532,022           4,220,351  

ENEL (ENTE NAZ ENERG ELET) SPA

     673,725           5,344,433  

ENEL (ENTE NAZ ENERG ELET) SPA

     12,500           99,158  

ENI SPA

     360,697           5,602,006  

ERICSSON (LM) TELE CO CL B

     153,023           1,332,489  

ERSTE GROUP BANK AG

     2,256           84,925  

ERSTE GROUP BANK AG

     15,790           594,403  

ESSITY AB B

     73,258           2,360,499  

EURAZEO SE

     260           17,790  

 

51

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

EURONAV NV

     6,300           77,592  

EXOR NV

     868           67,259  

FEDERAL BANK LTD

     2,364,578           2,914,507  

FERGUSON PLC

     7,740           702,290  

FIAT CHRYSLER AUTOMOBILES NV

     76,600           1,133,658  

FIRST FINANCIAL HOLDING CO

     76,490           60,601  

FRESENIUS MED CARE AG & CO AKT

     1,550           114,680  

FUBON FINANCIAL HOLDING CO LTD

     50,431           78,224  

FUJIFILM HOLDINGS CORP

     123,000           5,920,482  

FUJITSU LTD

     34,600           3,270,370  

FUKUOKA FINANCIAL GROUP INC

     1,300           25,185  

FUKUOKA FINANCIAL GROUP INC

     43,800           848,548  

FUYAO GLASS INDUSTRY GROUP CO LTD A

     812,839           2,800,438  

GBL (GROUPE BRUXELLES LAMB) SA

     351           36,994  

GENOMMA LAB INTERNACIONAL SA

     1,537,434           1,521,375  

GF SECURITIES CO LTD H

     12,740           15,516  

GJENSIDIGE FORSIKRING ASA

     1,811           38,007  

GLAXOSMITHKLINE PLC

     259,766                        6,121,291  

GLAXOSMITHKLINE PLC

     7,510           176,970  

GN STORE NORDIC LTD

     910           42,796  

GOODMAN GROUP STAPLED UNIT

     194,300           1,823,000  

GREAT WEST LIFECO INC

     2,323           59,499  

GREENCORE GROUP PLC

     712,300           2,527,670  

GREGGS PLC

     4,585           139,564  

GRUPO FINANCIERO BANORTE SAB

     18,376           102,680  

GRUPO FINANCIERO BANORTE SAB

     349,300           1,951,794  

GULF KEYSTONE PETROLEUM LTD

     92,956           261,650  

HACHIJUNI BANK LTD

     4,000           17,597  

HAIER ELECTRONICS GRP CO LTD

     752,383           2,351,106  

HAITONG SECURITIES CO LTD H

     27,073           31,999  

HANA FINANCIAL GROUP INC

     2,232           71,269  

HANG SENG BANK LTD

     5,574           115,167  

HANNOVER RUECKVERSICHERUNGS SE(REGD)

     480           92,769  

HANNOVER RUECKVERSICHERUNGS SE(REGD)

     15,000           2,899,034  

HAZAMA ANDO CORP

     49,600           434,579  

HEIDELBERGCEMENT AG

     2,780           202,566  

HERO MOTOCORP LTD

     72,164           2,470,749  

HIROSHIMA BANK

     2,600           12,826  

HITACHI LTD

     20,000           851,502  

HITACHI METALS LTD

     376,000           5,581,777  

HOCHTIEF AG

     5,948           758,592  

HOME CAPITAL GROUP INC

     2,700           68,532  

HON HAI PRECISION IND CO LTD

     869,753           2,640,020  

HONDA MOTOR CO LTD

     156,100           4,452,201  

HONDA MOTOR CO LTD

     229,700           6,551,381  

HONG LEONG BANK BHD

     6,500           27,491  

HONGKONG LAND HLDGS LTD

     315,800           1,815,850  

 

52

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

HOSIDEN CORP

     17,000           216,852  

HOYA CORP

     8,200           788,643  

HSBC HOLDINGS PLC

     141,404           1,108,651  

HSBC HOLDINGS PLC

     354,653           2,780,589  

HUA NAN FINANCIAL HLDGS CO LTD

     70,197           51,626  

HUATAI SECURITIES CO LTD H

     10,617           18,775  

HYUNDAI FIRE & MARINE INS CO

     626           14,599  

HYUNDAI MOBIS

     8,100           1,794,330  

IA FINANCIAL CORP INC

     906           49,767  

IA FINANCIAL CORP INC

     9,000           494,374  

IBERDROLA SA

     91,600           943,224  

IGM FINANCIAL INC

     807           23,168  

IGO LTD

     164,233           719,163  

IIDA GROUP HOLDINGS CO LTD

     84,600           1,494,155  

IMERYS

     45,500           1,923,087  

INCHCAPE PLC

     165,269                        1,545,542  

INDUSTRIAL & COM BK OF CHINA H

     519,580           400,072  

INDUSTRIAL BANK OF KOREA

     2,352           24,016  

INDUSTRIVARDEN AB SER C

     1,453           35,044  

INFINEON TECHNOLOGIES AG

     19,080           434,675  

INFOSYS LTD SPON ADR

     202,300           2,087,736  

ING GROEP NV

     27,289           327,160  

ING GROEP NV

     225,669           2,705,485  

INGENICO GROUP

     7,220           783,952  

INPEX CORP

     404,200           4,227,816  

INTERMEDIATE CAPITAL GROUP PLC

     16,710           356,358  

INTESA SANPAOLO SPA

     99,086           261,023  

INVESTEC PLC

     4,021           23,600  

INVESTOR AB SER B

     3,301           180,163  

INVINCIBLE INVESTMENT CORP

     1,464           834,031  

IPSOS SA

     31,100           1,009,917  

IREN SPA

     53,100           164,511  

ISRAEL DISCOUNT BANK LTD CL A

     221,574           1,027,249  

ISUZU MOTORS LTD

     187,500           2,241,613  

ISUZU MOTORS LTD

     166,300           1,988,162  

ITAU UNIBANCO HOLDING SA

     17,566           162,005  

ITAUSA (INVEST ITAU) PFD

     32,407           113,509  

JAPAN PETROLEUM EXPLRN CO LTD

     6,300           171,336  

JAPAN POST BANK CO LTD

     3,300           31,890  

JAPAN POST HOLDINGS CO LTD

     11,500           108,591  

JAPAN POST HOLDINGS CO LTD

     129,500           1,222,834  

JAZZ PHARMA PLC

     9,500           1,418,160  

JERONIMO MARTINS & FILHO SGPS

     3,560           58,561  

JOHN WOOD GROUP PLC

     646,601           3,413,103  

JSE LIMITED

     275,088           2,347,460  

JULIUS BAER GRUPPE AG

     1,676           86,467  

JUMBO SA

     100,263           2,086,226  

 

53

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

JXTG HOLDINGS INC

     651,800           2,986,804  

KALBE FARMA PT (DEMAT)

     19,409,014           2,264,909  

KANSAI ELECTRIC POWER CO INC

     139,100           1,618,811  

KASIKORNBANK PCL (FOR)

     3,900           19,624  

KASIKORNBANK PCL (LOC)

     5,100           25,747  

KB FINANCIAL GROUP INC

     2,903           119,698  

KBC GROUPE SA

     1,825           137,279  

KBC GROUPE SA

     14,775           1,111,393  

KBC GROUPE SA

     5,490           412,964  

KDDI CORP

     34,100           1,020,913  

KDDI CORP

     82,500           2,469,951  

KERRY PROPERTIES LTD

     44,000           139,753  

KIA MOTORS CORP

     43,700           1,675,184  

KINGFISHER PLC

     1,608,019                        4,622,061  

KINNEVIK AB

     1,853           45,304  

KIRKLAND LAKE GOLD LTD

     3,300           145,431  

KONE OYJ B

     43,000           2,811,025  

KONINKLIJKE AHOLD DELHAIZE NV

     25,752           644,014  

KONINKLIJKE AHOLD DELHAIZE NV

     36,260           906,801  

KOREA INVESTMENT HLDGS CO LTD

     412           25,812  

KPN (KON) NV

     594,130           1,753,392  

KRUNG THAI BANK (LOC)

     37,600           20,617  

KT & G CORP

     16,700           1,355,491  

KYOCERA CORP

     94,900           6,533,082  

LAFARGEHOLCIM LTD (REG)

     46,730           2,592,892  

LANXESS AG

     38,900           2,610,194  

LEGAL & GENERAL GROUP PLC ORD

     43,409           174,224  

LENOVO GROUP LTD

     3,596,000           2,413,547  

LG UPLUS CORP

     107,400           1,319,684  

LIC HOUSING FINANCE (DEMAT) DEMATERIALIZED SHS

     383,119           2,331,037  

LINDE PLC

     11,644           2,479,008  

LLOYDS BANKING GROUP PLC

     504,993           418,071  

LLOYDS BANKING GROUP PLC

     8,611,451           7,129,205  

LOOMIS AB B

     47,400           1,962,528  

LUFTHANSA AG (REGD)

     24,990           459,993  

LUNDIN PETROLEUM AB

     11,385           386,901  

M DIAS BRANCO SA

     267,806           2,539,786  

MACQUARIE GROUP LTD

     2,342           226,556  

MAGNA INTL INC

     15,882           870,816  

MAGNA INTL INC

     43,041           2,359,955  

MAHANAGAR GAS LTD

     162,776           2,429,949  

MAIL.RU GROUP LTD GDR REGS

     90,149           2,010,323  

MALAYAN BANKING

     28,200           59,564  

MANULIFE FINANCIAL CORP

     14,054           285,290  

MANULIFE FINANCIAL CORP

     86,700           1,759,972  

MAPFRE SA

     9,879           26,152  

MARUBENI CORP

     7,500           55,952  

 

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Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

MCUBS MIDCITY INVESTMENT CORP

     193           209,599  

MEBUKI FINANCIAL GROUP INC

     8,800           22,677  

MEDIOBANCA SPA

     3,278           36,085  

MEGA FINANCIAL HOLDING CO LTD

     84,937           86,885  

MEGGITT PLC ORD

     23,800           207,059  

MELCO INTL DEVELOPMENT LTD

     202,000           567,714  

MERCK KGAA

     504           59,558  

MERIDIAN ENERGY LTD

     65,418           220,197  

MERLIN PROPERTIES SOCIMI SA

     35,906           515,127  

METHANEX CORP

     55,800           2,154,996  

MICHELIN CL B (REG)

     12,480           1,527,271  

MICHELIN CL B (REG)

     18,500           2,263,983  

MILLICOM INTL CELL SA SDR

     254           12,165  

MITSUBISHI ELECTRIC CORP ORD

     437,500                        6,033,719  

MITSUBISHI UFJ FINL GRP INC

     84,400           460,780  

MITSUBISHI UFJ FINL GRP INC

     333,900           1,822,921  

MITSUBISHI UFJ LEA&FIN CO LTD

     4,500           29,239  

MITSUBISHI UFJ LEA&FIN CO LTD

     20,400           132,552  

MITSUI & CO LTD

     97,300           1,742,633  

MIZUHO FINANCIAL GROUP INC

     171,200           265,178  

MIZUHO FINANCIAL GROUP INC

     1,498,400           2,320,931  

MODERN TIMES GRP MTG AB SER B

     133           1,585  

MONDI PLC

     120,700           2,833,859  

MR PRICE GROUP LIMITED

     114,463           1,491,468  

MS&AD INSURANCE GRP HLDGS INC

     3,500           116,318  

MS&AD INSURANCE GRP HLDGS INC

     25,700           854,104  

MUNICH REINSURANCE (REG)

     1,108           326,868  

MUNICH REINSURANCE (REG)

     8,700           2,566,562  

MUTHOOT FINANCE LTD

     439,067           4,685,412  

MYLAN NV

     115,176           2,315,038  

NATIONAL AUSTRALIA BANK LTD

     18,819           325,270  

NATIONAL BANK OF CANADA DTC ELIGIBLE

     2,519           139,825  

NATIONAL GRID PLC

     95,294           1,191,956  

NATIXIS

     7,448           33,067  

NEC CORP

     11,600           482,555  

NESTLE SA (REG)

     24,702           2,674,391  

NEW CHINA LIFE INSURANCE CO H

     6,635           28,525  

NEXANS SA

     5,851           285,428  

NEXT PLC

     30,900           2,872,477  

NH FOODS LTD

     5,100           211,688  

NIEN MADE ENTERPRISE CO LTD

     274,000           2,537,207  

NINTENDO CO LTD

     2,500           1,011,688  

NIPPON TELEGRAPH & TELEPHONE

     169,800           4,308,486  

NIPPON TELEGRAPH & TELEPHONE

     47,200           1,197,648  

NISSIN FOOD HOLDINGS CO LTD

     3,800           283,981  

NITTO DENKO CORP (NITTO ELECTRIC)

     7,500           426,580  

NN GROUP NV

     2,353           89,263  

 

55

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

NN GROUP NV

     16,090           610,389  

NOMURA HOLDINGS INC

     13,800           71,556  

NOMURA HOLDINGS INC

     94,800           491,559  

NORDEA BANK ABP

     323           2,623  

NORDEA BANK ABP

     21,579           174,266  

NORDIC ENTMT GROUP AB CL B

     133           4,300  

NOVARTIS AG (REG)

     19,924           1,891,936  

NOVARTIS AG (REG)

     52,445           4,980,053  

NOVARTIS AG (REG)

     39,230           3,725,188  

NOVARTIS AG (REG)

     25,400                        2,411,924  

NXP SEMICONDUCTORS NV

     6,000           763,560  

OBAYASHI CORP

     42,500           476,025  

OLD MUTUAL LTD

     55,910           78,132  

OPEN TEXT CORPORATION

     8,267           364,282  

OPTORUN CO LTD

     9,000           249,735  

ORIX CORP

     9,600           160,007  

ORIX CORP

     109,400           1,823,417  

OTP BANK (REG)

     1,023           53,498  

OTP BANK (REG)

     88,570           4,631,772  

OTSUKA HOLDINGS CO LTD

     2,200           98,869  

OVERSEA-CHINESE BKG CORP LTD

     23,191           189,328  

PAREX RESOURCES INC

     47,100           875,950  

PEOPLES INSURANCE CO GRP OF CHINA LTD H

     65,030           27,039  

PEUGEOT SA

     87,713           2,095,657  

PICC PROPERTY & CASUALTY CO H

     53,749           64,769  

POPULAR INC

     45,300           2,661,375  

POSCO

     11,149           2,281,626  

POSTE ITALIANE SPA

     4,656           52,853  

POWER CORP OF CANADA SUB VTG

     2,739           70,555  

POWER FINANCIAL CORP

     2,000           53,814  

POWSZECHNY ZALKAD UBEZPIEC SA

     2,069           21,830  

PUBLIC BANK BHD (LOC) (MLAY)

     8,600           40,871  

PUBLICIS GROUPE SA

     67,484           3,055,123  

PUBLICIS GROUPE SA

     39,404           1,783,890  

PUMA SE

     3,650           279,839  

QANTAS AIRWAYS LTD

     237,400           1,184,494  

QBE INSURANCE GROUP LTD

     10,489           94,805  

QBE INSURANCE GROUP LTD

     361,775           3,269,918  

QUALITAS CONTROLADO SAB DE CV

     713,000           2,994,166  

QUILTER PLC

     12,366           26,380  

RAIFFEISEN BANK INTERNTNL AG

     1,249           31,368  

RAIFFEISEN BANK INTERNTNL AG

     4,360           109,501  

REDROW PLC

     95,627           943,673  

REGIS RESOURCES LTD

     143,200           436,129  

RELX PLC

     38,730           977,555  

RESONA HOLDINGS INC

     16,700           73,621  

RESONA HOLDINGS INC

     287,400           1,266,988  

 

56

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

REXEL SA

     357,601           4,751,279  

RHI MAGNESITA NV

     22,013           1,122,016  

RITCHIE BROS AUCTIONEERS

     1,300           55,835  

ROCHE HOLDINGS AG (GENUSSCHEINE)

     13,675           4,436,815  

ROCHE HOLDINGS AG (GENUSSCHEINE)

     13,239           4,295,356  

ROHTO PHARMACEUTICAL

     5,000           152,777  

ROUND ONE CORP

     6,400           62,318  

ROYAL BANK OF CANADA

     10,176           805,193  

ROYAL BANK OF SCOTLAND GRP PLC

     26,778           85,235  

ROYAL BANK OF SCOTLAND GRP PLC

     980,564                        3,121,149  

ROYAL DUTCH SHELL PLC CL A

     25,366           744,474  

ROYAL DUTCH SHELL PLC CL A

     209,825           6,158,213  

ROYAL DUTCH SHELL PLC CL A

     51,140           1,513,990  

ROYAL DUTCH SHELL PLC CL B

     17,194           510,050  

SAFRAN SA

     7,106           1,097,181  

SAINSBURY (J) PLC

     1,221,975           3,721,226  

SAMPO OYJ SER A

     3,238           141,324  

SAMSUNG ELECTRONICS CO LTD

     54,639           2,638,240  

SAMSUNG LIFE INSURANCE CO LTD

     561           36,166  

SAMSUNG SECURITIES CO LTD

     717           23,949  

SANDFIRE RESOURCES LTD

     26,500           111,206  

SANLAM LTD

     381,739           2,155,901  

SANOFI

     15,399           1,548,011  

SANOFI

     58,735           5,904,439  

SANTOS LTD

     193,800           1,112,473  

SANWA HOLDINGS CORP

     9,500           107,455  

SAP SE

     3,371           454,960  

SARACEN MINERAL HOLDINGS LTD

     81,000           188,146  

SASOL LTD

     74,500           1,614,255  

SBI HOLDINGS INC

     1,800           38,351  

SCHNEIDER ELECTRIC SE

     45,850           4,705,840  

SCHNEIDER ELECTRIC SE

     12,490           1,281,918  

SCHRODERS PLC (NEW) ORD

     1,028           45,399  

SCOR SE

     1,376           57,756  

SCOR SE

     15,233           639,390  

SEKISUI HOUSE LTD

     83,300           1,788,970  

SHIMIZU CORP

     18,700           192,068  

SHIN KONG FINCL HLDNGS CO LTD

     82,795           28,646  

SHINHAN FINANCIAL GROUP CO LTD

     3,126           117,262  

SHINHAN FINANCIAL GROUP CO LTD

     36,700           1,376,679  

SHINHAN FINANCIAL GROUP CO LTD

     46,400           1,740,542  

SHINSEI BANK LTD

     1,500           23,124  

SHIONOGI & CO LTD

     7,200           448,414  

SHIZUOKA BANK LTD

     3,900           29,361  

SIAM COMMERCIAL BANK PCL (FOR)

     515,900           2,104,306  

SIAM COMMERCIAL BANK PCL (LOC)

     13,800           56,289  

SIEMENS AG (REGD)

     15,631           2,043,330  

 

57

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

SIG COMBIBLOC GROUP AG

     22,107           353,146  

SIGNATURE AVIATION PLC

     365,294           1,534,831  

SIGNIFY NV

     26,430           825,952  

SILTRONIC AG

     1,184           119,156  

SINGAPORE TELECOM LTD (SING)

     1,340,000           3,357,597  

SINOPAC HOLDINGS

     100,173           43,533  

SK HYNIX INC

     15,850           1,290,614  

SKANDINAVISKA ENSKI BK SER A

     11,091           104,298  

SKF AB SER B

     147,600           2,984,667  

SMITH & NEPHEW PLC

     12,000           291,280  

SOCIETE GENERALE SA CL A

     5,439           189,220  

SOLVAY CL A

     18,700                        2,166,799  

SOMPO HOLDINGS INC

     2,500           98,937  

SOMPO HOLDINGS INC

     4,200           166,214  

SONY CORP

     43,500           2,962,988  

SONY FINANCIAL HOLDINGS INC

     1,600           38,699  

SOUTH32

     180,800           342,566  

SPAREBANK 1 SR BK CAP CERTS

     187,000           2,130,010  

SPAREBANKEN VEST AS

     54,701           395,025  

SSE PLC

     419,013           7,984,029  

ST GOBAIN CIE DE

     151,437           6,200,141  

STANDARD CHARTERED PLC

     372,779           3,517,711  

STANDARD CHARTERED PLC

     254,660           2,403,086  

STANDARD LIFE ABERDEEN PLC

     17,396           75,603  

STMICROELECTRONICS NV

     59,290           1,594,139  

SUGI HOLDINGS CO LTD

     5,000           265,059  

SUMITOMO METAL MINING CO LTD

     5,900           192,440  

SUMITOMO MITSUI FINL GROUP INC

     9,400           349,337  

SUMITOMO MITSUI FINL GROUP INC

     63,500           2,359,882  

SUMITOMO MITSUI FINL GROUP INC

     31,600           1,174,367  

SUMITOMO MITSUI TR HLDGS INC

     2,400           95,797  

SUMITOMO MITSUI TR HLDGS INC

     19,200           766,374  

SUMITOMO MITSUI TR HLDGS INC

     63,500           2,534,623  

SUN LIFE FINANCIAL INC

     4,437           202,314  

SUNCOR ENERGY INC

     4,400           144,210  

SUNCORP GROUP LTD

     9,411           85,590  

SUNDRUG CO LTD

     26,900           979,150  

SUNTORY BEVERAGE & FOOD LTD

     7,400           309,539  

SUSHIRO GLOBAL HOLDINGS LTD

     6,900           595,030  

SVENSKA HANDELSBANKEN SER A

     11,068           119,231  

SVENSKA HANDELSBANKEN SER A

     214,400           2,309,647  

SWEDBANK AB A

     6,542           97,400  

SWISS LIFE HLDGS AG (NEW)

     246           123,483  

SWISS RE LTD

     2,325           261,136  

SWISS RE LTD

     7,370           827,773  

T&D HOLDINGS INC

     4,200           53,923  

TAISHIN FINANCIAL HLDGS CO LTD

     88,425           42,862  

 

58

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **                        Current Value  

TAIWAN SEMICONDUCT MFG CO LTD

     609,000           6,738,617  

TAKEDA PHARMACEUTICAL CO LTD

     186,900           7,451,574  

TAMA HOME CO LTD

     19,600           297,459  

TATE & LYLE PLC

     5,800           58,404  

TAYLOR WIMPEY PLC

     1,273,575           3,262,614  

TECHNIPFMC PLC

     167,701           3,595,509  

TELECOM ITALIA SPA

     1,573,598           982,104  

TELEFONICA SA

     167,000           1,166,466  

TELIA CO AB

     1,349,788                        5,800,442  

TESCO PLC

     981,304           3,317,180  

TESCO PLC

     2,005,780           6,780,297  

TESCO PLC

     80,900           273,473  

TIGER BRANDS LTD

     61,504           925,283  

TOFAS TURK OTOMOBIL FABRIKASI

     292,854           1,322,249  

TOKIO MARINE HOLDINGS INC

     4,800           270,316  

TOKIO MARINE HOLDINGS INC

     116,200           6,543,903  

TOKYO ELECTRON LTD

     1,400           308,269  

TOKYO STEEL MFG CO LTD

     11,000           79,978  

TOMY COMPANY LTD

     62,700           817,688  

TOREX GOLD RESOURCES INC

     13,800           218,071  

TORONTO-DOMINION BANK

     12,885           722,663  

TORONTO-DOMINION BANK

     39,889           2,237,200  

TOYO SUISAN KAISHA LTD

     2,100           89,485  

TOYOTA MOTOR CORP

     13,800           979,736  

TRANSALTA RENEWABLES INC

     31,400           375,286  

TRAVELSKY TECHNOLOGY LTD H

     1,255,000           3,063,293  

TRAVIS PERKINS PLC

     157,622           3,344,753  

TRYG AS

     1,118           33,145  

TURKIYE GARANTI BANKASI AS

     18,794           35,193  

TURKIYE HALK BANKASI

     9,912           9,847  

TURKIYE IS BANKASI AS C

     22,512           24,257  

UBS GROUP AG

     25,758           325,368  

UBS GROUP AG

     251,771           3,180,306  

UCB SA

     2,103           167,249  

UNICREDIT SPA

     14,222           207,706  

UNICREDIT SPA

     90,752           1,325,391  

UNILEVER NV (REGD)

     12,480           717,159  

UNIPOLSAI SPA

     10,132           29,436  

UNITED OVERSEAS BANK (LOC)

     9,400           184,582  

UNITED OVERSEAS BANK (LOC)

     310,827           6,103,529  

UNITED OVERSEAS BANK (LOC)

     134,576           2,642,591  

VALMET CORP

     11,080           265,471  

VINCI SA

     20,900           2,320,909  

VISTRY GROUP PLC

     39,740           714,846  

VIVENDI

     18,730           542,464  

VODAFONE GROUP PLC

     1,811,900           3,522,303  

VODAFONE GROUP PLC

     416,700           810,058  

 

59

Table of Contents
Identity of Issue, borrower, lessor, or similar party    Shares or Units      Cost **      Current Value  

VOLKSWAG PFD PERP

     19,064           3,768,732  

VOLKSWAGEN AG

     3,777           734,002  

WEST JAPAN RAILWAY CO

     5,300           460,515  

WESTERN AREAS LTD

     177,700           377,844  

WESTPAC BANKING CORP

     23,525           400,005  

WESTPORTS HOLDINGS BHD

     3,722,044           3,830,780  

WH GROUP LTD

     3,666,500           3,787,755  

WH GROUP LTD

     275,500           284,611  

WHEATON PRECIOUS METALS CORP

     30,200           898,450  

WHEELOCK & CO LTD

     73,000           486,679  

WHITEHAVEN COAL LTD

     269,800           499,837  

WILLIS TOWERS WATSON PLC

     3,895           786,556  

WILMAR INTERNATIONAL LTD

     1,199,400                        3,674,135  

WIRECARD AG

     737           88,869  

WIZZ AIR HOLDINGS PLC

     1,140           58,816  

WOLTERS KLUWER NV

     26,800           1,954,603  

WOORI FINANCIAL GROUP INC

     3,063           30,746  

WPP PLC NEW (UK)

     118,604           1,675,502  

WPP PLC NEW (UK)

     340,740           4,813,586  

X5 RETAIL GROUP NV GDR REGS

     95,790           3,304,755  

YAMAGUCHI FINANCIAL GROUP INC

     1,900           13,010  

YANDEX NV CL A

     54,254           2,359,506  

YANGZIJIANG SHIPBLDG HLDGS LTD

     150,000           124,912  

YARA INTERNATIONAL ASA

     52,600           2,188,047  

YUANTA FINL HLDG CO LTD

     88,255           59,596  

Z HOLDINGS CORP

     78,300           332,210  

ZHEJIANG SUPOR COOKWARE CO LTD A

     167,086           1,842,380  

ZURICH INSURANCE GROUP AG

     1,071           439,444  

ZURICH INSURANCE GROUP AG

     6,569           2,695,340  

STIFS and Money Markets

        

SSBK GOVT STIF FUND

     17,199,154           17,199,154  

SSBK STIF FUND

     1,740,120           7,660,563  
        

 

 

 

International Value Account

           795,542,811  

Investments held by trustee

           27,373,465,379  
        

 

 

 

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

 

        144,559,953  
     

 

 

 

Total Investments

         $   27,518,025,332  
        

 

 

 

 

*

Party-in-interest

 

**

Information not presented because investments are participant directed

 

60

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