Form 5500 Annual Return/Report of Employee …...SEARS HOLDINGS CORPORATION 20-1920798 930699254...

Form 5500

Department of the Treasury Internal Revenue Service

Department of Labor Employee Benefits Security

Administration

Pension Benefit Guaranty Corporation

Annual Return/Report of Employee Benefit Plan This form is required to be filed for employee benefit plans under sections 104

and 4065 of the Employee Retirement Income Security Act of 1974 (ERISA) and sections 6057(b) and 6058(a) of the Internal Revenue Code (the Code).

Complete all entries in accordance with the instructions to the Form 5500.

OMB Nos. 1210-0110 1210-0089

2016

This Form is Open to Public Inspection

Part I Annual Report Identification Information For calendar plan year 2016 or fiscal plan year beginning and ending

A This return/report is for: X a multiemployer plan X a multiple-employer plan (Filers checking this box must attach a list of

participating employer information in accordance with the form instructions.)

X a single-employer plan X a DFE (specify) _C_

B This return/report is: X the first return/report X the final return/report

X an amended return/report X a short plan year return/report (less than 12 months)

C If the plan is a collectively-bargained plan, check here. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . X

D Check box if filing under: X Form 5558 X automatic extension X the DFVC program

X special extension (enter description) ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE

Part II Basic Plan Information—enter all requested information

1a Name of plan

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI


1b Three-digit plan

number (PN) 001

1c Effective date of plan

YYYY-MM-DD

2a Plan sponsor’s name (employer, if for a single-employer plan)

Mailing address (include room, apt., suite no. and street, or P.O. Box) City or town, state or province, country, and ZIP or foreign postal code (if foreign, see instructions)

2b Employer Identification

Number (EIN)

012345678


D/B/A ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI

ABCDEFGHI

c/o ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI

123456789 ABCDEFGHI ABCDEFGHI ABCDE


CITYEFGHI ABCDEFGHI AB, ST 012345678901

UK

2c Plan Sponsor’s telephone

number

0123456789

2d Business code (see

instructions)

012345

Caution: A penalty for the late or incomplete filing of this return/report will be assessed unless reasonable cause is established.

Under penalties of perjury and other penalties set forth in the instructions, I declare that I have examined this return/report, including accompanying schedules, statements and attachments, as well as the electronic version of this return/report, and to the best of my knowledge and belief, it is true, correct, and complete.

SIGN HERE

YYYY-MM-DD ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE

Signature of plan administrator Date Enter name of individual signing as plan administrator

SIGN HERE


Signature of employer/plan sponsor Date Enter name of individual signing as employer or plan sponsor

SIGN HERE


Signature of DFE Date Enter name of individual signing as DFE

Preparer’s name (including firm name, if applicable) and address (include room or suite number) ABCDEFGHI Preparer’s telephone number

For Paperwork Reduction Act Notice, see the Instructions for Form 5500. Form 5500 (2016) v. 160205

SEARS HOLDINGS PENSION PLAN

01/01/2016

3333 BEVERLY ROADDEPARTMENT 707BEN, A4-184AHOFFMAN ESTATES, IL 60179

SEARS HOLDINGS CORPORATION

X

X

Filed with authorized/valid electronic signature.

X

01/01/1944

847-286-2500

11/30/2016

20-1920798

09/14/2017

001

452900

STEPHEN SITLEY

Form 5500 (2016)

3a Plan administrator’s name and address X Same as Plan Sponsor


c/o ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI



CITYEFGHI ABCDEFGHI AB, ST 012345678901

UK

3b Administrator’s EIN

012345678

3c Administrator’s telephone

number

0123456789

4 If the name and/or EIN of the plan sponsor has changed since the last return/report filed for this plan, enter the name,

EIN and the plan number from the last return/report: 4b EIN

012345678

a Sponsor’s name


4c PN

012

5 Total number of participants at the beginning of the plan year 5 123456789012

6 Number of participants as of the end of the plan year unless otherwise stated (welfare plans complete only lines 6a(1),

6a(2), 6b, 6c, and 6d).

a(1) Total number of active participants at the beginning of the plan year................................................................................ 6a(1)

a(2) Total number of active participants at the end of the plan year ....................................................................................... 6a(2)

b Retired or separated participants receiving benefits ............................................................................................................. 6b 123456789012

c Other retired or separated participants entitled to future benefits ......................................................................................... 6c 123456789012

d Subtotal. Add lines 6a(2), 6b, and 6c. .................................................................................................................................. 6d 123456789012

e Deceased participants whose beneficiaries are receiving or are entitled to receive benefits. ............................................... 6e 123456789012

f Total. Add lines 6d and 6e. ................................................................................................................................................. 6f 123456789012

g Number of participants with account balances as of the end of the plan year (only defined contribution plans

complete this item) .............................................................................................................................................................. 6g 123456789012 h Number of participants that terminated employment during the plan year with accrued benefits that were

less than 100% vested ........................................................................................................................................................ 6h 123456789012

7 Enter the total number of employers obligated to contribute to the plan (only multiemployer plans complete this item) ........ 7

8a If the plan provides pension benefits, enter the applicable pension feature codes from the List of Plan Characteristics Codes in the instructions:

b If the plan provides welfare benefits, enter the applicable welfare feature codes from the List of Plan Characteristics Codes in the instructions:

9a Plan funding arrangement (check all that apply) 9b Plan benefit arrangement (check all that apply)

(1) X Insurance (1) X Insurance

(2) X Code section 412(e)(3) insurance contracts (2) X Code section 412(e)(3) insurance contracts

(3) X Trust (3) X Trust

(4) X General assets of the sponsor (4) X General assets of the sponsor

10 Check all applicable boxes in 10a and 10b to indicate which schedules are attached, and, where indicated, enter the number attached. (See instructions)

a Pension Schedules b General Schedules

(1) X R (Retirement Plan Information)

(1) X H (Financial Information)

(2) X MB (Multiemployer Defined Benefit Plan and Certain Money

Purchase Plan Actuarial Information) - signed by the plan actuary

(2) X I (Financial Information – Small Plan)

(3) X ___ A (Insurance Information)

(4) X C (Service Provider Information)

(3) X SB (Single-Employer Defined Benefit Plan Actuarial

Information) - signed by the plan actuary

(5) X D (DFE/Participating Plan Information)

(6) X G (Financial Transaction Schedules)

XX

41193

X X

166443

18007

X

184450

114

X

X

25287

104325

191507

3J

20925

1A 3H1I

X

0

Form 5500 (2016)

Part III Form M-1 Compliance Information (to be completed by welfare benefit plans)

11a If the plan provides welfare benefits, was the plan subject to the Form M-1 filing requirements during the plan year? (See instructions and 29 CFR

2520.101-2.) ........................………..…. X Yes X No

If “Yes” is checked, complete lines 11b and 11c.

11b Is the plan currently in compliance with the Form M-1 filing requirements? (See instructions and 29 CFR 2520.101-2.) ……..... X Yes X No

11c Enter the Receipt Confirmation Code for the 2016 Form M-1 annual report. If the plan was not required to file the 2016 Form M-1 annual report, enter the

Receipt Confirmation Code for the most recent Form M-1 that was required to be filed under the Form M-1 filing requirements. (Failure to enter a valid Receipt Confirmation Code will subject the Form 5500 filing to rejection as incomplete.)

Receipt Confirmation Code______________________

SCHEDULE SB

(Form 5500)


Department of Labor Employee Benefits Security Administration


Single-Employer Defined Benefit Plan Actuarial Information

This schedule is required to be filed under section 104 of the Employee Retirement Income Security Act of 1974 (ERISA) and section 6059 of the

Internal Revenue Code (the Code).

File as an attachment to Form 5500 or 5500-SF.

OMB No. 1210-0110

2016


For calendar plan year 2016 or fiscal plan year beginning and ending

Round off amounts to nearest dollar.

Caution: A penalty of $1,000 will be assessed for late filing of this report unless reasonable cause is established. A Name of plan

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI


ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI

B Three-digit

plan number (PN) 001

C Plan sponsor’s name as shown on line 2a of Form 5500 or 5500-SF


ABCDEFGHI ABCDEFGHI

D Employer Identification Number (EIN)

012345678

E Type of plan: X Single X Multiple-A X Multiple-B F Prior year plan size: X 100 or fewer X 101-500 X More than 500

Part I Basic Information

3 Funding target/participant count breakdown (1) Number of participants

(2) Vested Funding Target

(3) Total Funding Target

a For retired participants and beneficiaries receiving payment ......................................

b For terminated vested participants.............................................................................

c For active participants ................................................................................................

d Total ..........................................................................................................................

4 If the plan is in at-risk status, check the box and complete lines (a) and (b)............................. X

a Funding target disregarding prescribed at-risk assumptions ............................................................................... 4a -123456789012345

b Funding target reflecting at-risk assumptions, but disregarding transition rule for plans that have been in at-risk

status for fewer than five consecutive years and disregarding loading factor ...................................................... 4b

-123456789012345

5 Effective interest rate ............................................................................................................................................. 5 123.12%

6 Target normal cost ................................................................................................................................................. 6 -123456789012345

Statement by Enrolled Actuary

To the best of my knowledge, the information supplied in this schedule and accompanying schedules, statements and attachments, if any, is complete and accurate. Each prescribed assumption was applied in accordance with applicable law and regulations. In my opinion, each other assumption is reasonable (taking into account the experience of the plan and reasonable expectations) and such other assumptions, in combination, offer my best estimate of anticipated experience under the plan.

SIGN HERE

Signature of actuary Date

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE YYYY-MM-DD

Type or print name of actuary Most recent enrollment number

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE 1234567

Firm name Telephone number (including area code)



UK

1234567890

Address of the firm

If the actuary has not fully reflected any regulation or ruling promulgated under the statute in completing this schedule, check the box and see instructions

X

For Paperwork Reduction Act Notice, see the Instructions for Form 5500 or 5500-SF.

Schedule SB (Form 5500) 2016 v. 160205

1 Enter the valuation date: Month _________ Day _________ Year _________

2 Assets:

a Market value ..................................................................................................................................................... 2a -123456789012345

b Actuarial value .................................................................................................................................................. 2b -123456789012345

01


X

312-525-2500

3355740622

X

2929050802

17-06445

001

01

930699254

01/01/2016

60073723825287

233 SOUTH WACKER DRIVE, SUITE 1800CHICAGO, IL 60606

09/13/2017

TOWERS WATSON DELAWARE INC

SEARS HOLDINGS CORPORATION 20-1920798

930699254

2929050802

50893

115327

11/30/2016

4424867023

5.97

78300000

3355740622

191507 4460487294

2016

JEFFREY A. BROWN

565116967

Schedule SB (Form 5500) 2016 Page 2 - 1- x

Part II Beginning of Year Carryover and Prefunding Balances (a) Carryover balance (b) Prefunding balance

7 Balance at beginning of prior year after applicable adjustments (line 13 from prior

year) ............................................................................................................................. -123456789012345 -123456789012345

8 Portion elected for use to offset prior year’s funding requirement (line 35 from prior

year) .......................................................................................................................... -123456789012345 -123456789012345

9 Amount remaining (line 7 minus line 8) ......................................................................... -123456789012345 -123456789012345

10 Interest on line 9 using prior year’s actual return of % .................................. -123456789012345 -123456789012345

11 Prior year’s excess contributions to be added to prefunding balance:

a Present value of excess contributions (line 38a from prior year) ................................ -123456789012345

b(1) Interest on the excess, if any, of line 38a over line 38b from prior year

Schedule SB, using prior year's effective interest rate of % ..............

b(2) Interest on line 38b from prior year Schedule SB, using prior year's actual

return .................................................................................................................. c Total available at beginning of current plan year to add to prefunding balance .................

-123456789012345

d Portion of (c) to be added to prefunding balance ....................................................... -123456789012345

-123456789012345 12 Other reductions in balances due to elections or deemed elections .............................. -123456789012345 -123456789012345

13 Balance at beginning of current year (line 9 + line 10 + line 11d – line 12) .................... -123456789012345 -123456789012345

Part III Funding Percentages

14 Funding target attainment percentage ..................................................................................................................................................................... 14 123.12%

15 Adjusted funding target attainment percentage ...................................................................................................................................... 15 123.12%

16 Prior year’s funding percentage for purposes of determining whether carryover/prefunding balances may be used to reduce current

year’s funding requirement ..................................................................................................................................................................... 16

123.12%

17 If the current value of the assets of the plan is less than 70 percent of the funding target, enter such percentage. ................................. 17 123.12%

Part IV Contributions and Liquidity Shortfalls

18 Contributions made to the plan for the plan year by employer(s) and employees:

(a) Date (MM-DD-YYYY)

(b) Amount paid by employer(s)

(c) Amount paid by employees

(a) Date (MM-DD-YYYY)

(b) Amount paid by employer(s)

(c) Amount paid by employees

YYYY-MM-DD 12345678901234

5

12345678901234

5

YYYY-MM-DD

12345678901234

5-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

123456789012345-

123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

YYYY-MM-DD 12345678901234

5

12345678901234

5

YYYY-MM-DD

12345678901234

5-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

123456789012345-

123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

YYYY-MM-DD 12345678901234

5

12345678901234

5

YYYY-MM-DD

12345678901234

5-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

123456789012345-

123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

YYYY-MM-DD 12345678901234

5

12345678901234

5

YYYY-MM-DD

12345678901234

5-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

-

12345678901234

5

123456789012345-

123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

-123456789012345

YYYY-MM-DD 12345678901234

5

12345678901234

5

Totals ► 18(b) 18(c)

Liquidity shortfall as of end of quarter of this plan year

(1) 1st (2) 2nd (3) 3rd (4) 4th

-123456789012345

-123456789012345 -123456789012345 -123456789012345

19 Discounted employer contributions – see instructions for small plan with a valuation date after the beginning of the year:

a Contributions allocated toward unpaid minimum required contributions from prior years. ................................... 19a -123456789012345

b Contributions made to avoid restrictions adjusted to valuation date .................................................................... 19b -123456789012345

c Contributions allocated toward minimum required contribution for current year adjusted to valuation date ....................... 19c -123456789012345

20 Quarterly contributions and liquidity shortfalls:

a Did the plan have a “funding shortfall” for the prior year? .......................................................................................................................... X Yes X No

b If line 20a is “Yes,” were required quarterly installments for the current year made in a timely manner?.................................................... X Yes X No

c If line 20a is “Yes,” see instructions and complete the following table as applicable:

102962

0

0

0

0

0

314122391

0

0

-4.40

1

0

0

0

X

0

68200000

6.18

0

0

23000000

44943000

0

68200000

68200000

0

56700000

0

0

0

329243000

0

0

5993

82.55

75.23

96969

08/15/2017

0

0

00

0

0

75.23

X

04/15/2016

10/14/2016

07/15/2016

0

01/13/2017

12/15/2016

Schedule SB (Form 5500) 2016 Page 3

Part V Assumptions Used to Determine Funding Target and Target Normal Cost

21 Discount rate:

a Segment rates: 1st segment:

123.12_%

2nd segment:

123.12_%

3rd segment:

123.12 % X N/A, full yield curve used

b Applicable month (enter code) ........................................................................................................................ 21b 1

22 Weighted average retirement age ......................................................................................................................... 22 12

23 Mortality table(s) (see instructions) X Prescribed - combined X Prescribed - separate X Substitute

Part VI Miscellaneous Items

24 Has a change been made in the non-prescribed actuarial assumptions for the current plan year? If “Yes,” see instructions regarding required

attachment. ................................................................................................................................................................................................... X Yes X No

25 Has a method change been made for the current plan year? If “Yes,” see instructions regarding required attachment. ................................ X Yes X No

26 Is the plan required to provide a Schedule of Active Participants? If “Yes,” see instructions regarding required attachment. ........................ X Yes X No

27 If the plan is subject to alternative funding rules, enter applicable code and see instructions regarding

attachment .......................................................................................................................................................... 27

Part VII Reconciliation of Unpaid Minimum Required Contributions For Prior Years

28 Unpaid minimum required contributions for all prior years ................................................................................... 28 -123456789012345

29 Discounted employer contributions allocated toward unpaid minimum required contributions from prior years

(line 19a) ............................................................................................................................................................. 29

-123456789012345

30 Remaining amount of unpaid minimum required contributions (line 28 minus line 29) ........................................... 30 -123456789012345

Part VIII Minimum Required Contribution For Current Year

31 Target normal cost and excess assets (see instructions):

a Target normal cost (line 6) ................................................................................................................................ 31a -123456789012345

b Excess assets, if applicable, but not greater than line 31a ................................................................................ 31b

32 Amortization installments: Outstanding Balance Installment

a Net shortfall amortization installment ............................................................................ -123456789012345 -123456789012345

b Waiver amortization installment .................................................................................... -123456789012345 -123456789012345

33 If a waiver has been approved for this plan year, enter the date of the ruling letter granting the approval

(Month _________ Day _________ Year _________ )_and the waived amount ............................................ 33

-123456789012345

34 Total funding requirement before reflecting carryover/prefunding balances (lines 31a - 31b + 32a + 32b - 33)..... 34 -123456789012345

Carryover balance Prefunding balance Total balance

35 Balances elected for use to offset funding

requirement ......................................................... -123456789012345 -123456789012345 -123456789012345

36 Additional cash requirement (line 34 minus line 35) ............................................................................................ 36 -123456789012345

37 Contributions allocated toward minimum required contribution for current year adjusted to valuation date (line

19c) ...................................................................................................................................................................... 37 -123456789012345

38 Present value of excess contributions for current year (see instructions)

-123456789012345 a Total (excess, if any, of line 37 over line 36) ................................................................................................ 38a

b Portion included in line 38a attributable to use of prefunding and funding standard carryover balances ............ 38b

39 Unpaid minimum required contribution for current year (excess, if any, of line 36 over line 37) ........................... 39 -123456789012345

40 Unpaid minimum required contributions for all years ............................................................................................. 40 -123456789012345

Part IX Pension Funding Relief Under Pension Relief Act of 2010 (See Instructions)

41 If an election was made to use PRA 2010 funding relief for this plan:

a Schedule elected ........................................................................................................................................................ 2 plus 7 years X 15 years

b Eligible plan year(s) for which the election in line 41a was made .......................................................................... X 2008 X 2009 X 2010 X 2011

42 Amount of acceleration adjustment ....................................................................................................................... 42

43 Excess installment acceleration amount to be carried over to future plan years ..................................................... 43

0

0

70478

0

6.65

0

0

0

4

0

0

0

235751913

0

0

0

78300000

X

1104746672

5.91

314051913

0

314122391

X

X

4.43

X

X

62

X

0

X

314051913

Schedule C (Form 5500) 2011 Page 1

SCHEDULE C

(Form 5500)




Service Provider Information

This schedule is required to be filed under section 104 of the Employee Retirement Income Security Act of 1974 (ERISA).

File as an attachment to Form 5500.

OMB No. 1210-0110

2016

This Form is Open to Public Inspection.


A Name of plan

ABCDEFGHI

B Three-digit


C Plan sponsor’s name as shown on line 2a of Form 5500

ABCDEFGHI


012345678

Part I Service Provider Information (see instructions) You must complete this Part, in accordance with the instructions, to report the information required for each person who received, directly or indirectly, $5,000 or more in total compensation (i.e., money or anything else of monetary value) in connection with services rendered to the plan or the person's position with the plan during the plan year. If a person received only eligible indirect compensation for which the plan received the required disclosures, you are required to answer line 1 but are not required to include that person when completing the remainder of this Part.

1 Information on Persons Receiving Only Eligible Indirect Compensation a Check "Yes" or "No" to indicate whether you are excluding a person from the remainder of this Part because they received only eligible

indirect compensation for which the plan received the required disclosures (see instructions for definitions and conditions).. . . . . . . . . . . . . . . X Yes X No

b If you answered line 1a “Yes,” enter the name and EIN or address of each person providing the required disclosures for the service providers who

received only eligible indirect compensation. Complete as many entries as needed (see instructions).

(b) Enter name and EIN or address of person who provided you disclosures on eligible indirect compensation




For Paperwork Reduction Act Notice, see the Instructions for Form 5500. Schedule C (Form 5500) 2016 v.160205


04-1867445

11/30/2016

20-1920798

STATE STREET CORPORATION

X

01/01/2016

001


Schedule C (Form 5500) 2016 Page 2- 1 x









1

Schedule C (Form 5500) 2016 Page 3 - 1 x

2. Information on Other Service Providers Receiving Direct or Indirect Compensation. Except for those persons for whom you

answered “Yes” to line 1a above, complete as many entries as needed to list each person receiving, directly or indirectly, $5,000 or more in total compensation

(i.e., money or anything else of value) in connection with services rendered to the plan or their position with the plan during the plan year. (See instructions).

(a) Enter name and EIN or address (see instructions)

(b) Service Code(s)

(c) Relationship to

employer, employee organization, or

person known to be a party-in-interest

(d) Enter direct

compensation paid by the plan. If none,

enter -0-.

(e) Did service provider

receive indirect compensation? (sources other than plan or plan

sponsor)

(f) Did indirect compensation

include eligible indirect compensation, for which the plan received the required

disclosures?

(g) Enter total indirect

compensation received by service provider excluding

eligible indirect compensation for which you answered “Yes” to element

(f). If none, enter -0-.

(h) Did the service

provider give you a formula instead of

an amount or estimated amount?

ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345

Yes X No X Yes X No X

123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345 Yes X No X Yes X No X

Yes X No X

28 51

11 15 50

49 50 62

STATE STREET RETIREE SERVICES

X

53-0181291

0

0

04-3581074

0

26-0189082

X

1

X

OAKTREE CAPITAL MANAGEMENT, L.P.

TOWERS WATSON DELAWARE INC.

X

01797480

1836757

7109682






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

28 51 68

28 51

28 51 68

CRAMER ROSENTHAL MCGLYNN, LLC

X

13-3280361

0

0

13-3977282

0

X

13-2807845

X

2

X

DONALD SMITH & CO.

SHENKMAN CAPITAL MANAGEMENT, INC.

X

0

0

1019083

1024272

1586218






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

27 31 50

28 51

28 51

TUKMAN GROSSMAN CAPITAL MANAGEMENT

04-3300754

0

0

94-2661270

0

52-1868818

X

3

X

X

TOWERS WATSON INVESTMENT SERVICES

DDJ CAPITAL MANAGEMENT, LLC

770497

900165

924267






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

28 51

28 51

28 51

LOOMIS SAYLES & COMPANY, L.P.

06-1149365

0

0

04-3200030

0

04-2955404

X

4

X

X

INCOME RESEARCH & MANAGEMENT

SASCO CAPITAL, INC.

670324

710940

751465






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

28 51

28 51

28 51

MACKAY SHIELDS LLC

13-3878346

0

0

13-5582869

0

36-6041788

X

5

X

X

BAIN CAPITAL MANAGEMENT, LLC

KINETICS ASSET MANAGEMENT, LLC

417275

501429

654230






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

28 51 68

28 51 68

28 51

SANKATY ADVISORS, LLC

98-0682628

0

0

04-3505100

0

X

X

94-1441976

X

6

X

X

DODGE & COX

INDEPENDENT FRANCHISE PARTNERS, LLP

0

191444

398342

405275 0






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

14 31 50

25 28 50 99

10 50

DELOITTE & TOUCHE LLP

04-1867445

0

EMPLOYER

13-3891517

0

X

36-1750680

X

7

X

X

SEARS, ROEBUCK AND CO.

STATE STREET BANK AND TRUST COMPANY

109102

128898

137008 0






(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012

345


123456789012345

Yes X No X


(b) Service Code(s)

(c) Relationship to



(d) Enter direct


enter -0-.



sponsor)



disclosures?





(h) Did the service



ABCDEFGHI

ABCDEFGHI

ABCD

123456789012


Yes X No X

49 50

86-1068772

0

X

8

DELOITTE TAX LLP

8150


Part I Service Provider Information (continued)

3. If you reported on line 2 receipt of indirect compensation, other than eligible indirect compensation, by a service provider, and the service provider is a fiduciary

or provides contract administrator, consulting, custodial, investment advisory, investment management, broker, or recordkeeping services, answer the following questions for (a) each source from whom the service provider received $1,000 or more in indirect compensation and (b) each source for whom the service provider gave you a formula used to determine the indirect compensation instead of an amount or estimated amount of the indirect compensation. Complete as many entries as needed to report the required information for each source.

(a) Enter service provider name as it appears on line 2 (b) Service Codes

(see instructions)

(c) Enter amount of indirect

compensation

(d) Enter name and EIN (address) of source of indirect compensation (e) Describe the indirect compensation, including any

formula used to determine the service provider’s eligibility for or the amount of the indirect compensation.


(see instructions)


compensation




(see instructions)


compensation



1


Part II Service Providers Who Fail or Refuse to Provide Information

4 Provide, to the extent possible, the following information for each service provider who failed or refused to provide the information necessary to complete

this Schedule.

(a) Enter name and EIN or address of service provider (see

instructions)

(b) Nature of

Service Code(s)

(c) Describe the information that the service provider failed or refused to

provide

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD 10 11

12 13 ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE





ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD




1234567890


instructions) (b) Nature of

Service Code(s)


provide

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD 10 11

12 13 ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE










1234567890



Service Code(s)


provide

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD 10 11 12

13 ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDE










1234567890



Service Code(s)


provide












1234567890



Service Code(s)


provide












1234567890



Service Code(s)


provide






1234567890







1


a Name: ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD b EIN: 123456789

c Position: ABCDEFGHI ABCDEFGHI ABCD

d Address: ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD




e Telephone: 1234567890

Explanation: ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI


ABCDEFGHI a Name: ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD b EIN: 123456789








































ABCDEFGHI

Part III Termination Information on Accountants and Enrolled Actuaries (see instructions)

(complete as many entries as needed)

1

SCHEDULE G

(Form 5500)

Department of Treasury Internal Revenue Service

Department of Labor

Employee Benefits Security Administration

Financial Transaction Schedules

This schedule is required to be filed under section 104 of the Employee Retirement Income Security Act of 1974 (ERISA) and section 6058(a) of the Internal Revenue

Code (the Code).


OMB No. 1210-0110

2016



A Name of plan

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI


ABCDEFGHI ABCDEFGHI

B Three-digit




ABCDEFGHI


012345678

Part I Schedule of Loans or Fixed Income Obligations in Default or Classified as Uncollectible Complete as many entries as needed to report all loans or fixed income obligations in default or classified as uncollectible. Check box (a) if obligor is known to be a party in interest. Attach Overdue Loan Explanation for each loan listed. See Instructions.

(a) (b) Identity and address of obligor (c) Detailed description of loan including dates of making and maturity, interest rate, the

type and value of collateral, any renegotiation of the loan and the terms of the renegotiation, and other material items

X








ABCDE

Amount received during reporting year Amount overdue (d) Original amount of

loan (e) Principal (f) Interest (g) Unpaid balance at end

of year (h) Principal (i) Interest

123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345



X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345



X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 For Paperwork Reduction Act Notice, see the Instructions for Form 5500. Schedule G (Form 5500) 2016

v. 160205


GS MTG SEC CORP GSAA2006-NIM2

161145

MERRILL LYNCH INVS 2005-FF6

155490

001

01/01/2016

SEARS HOLDINGS CORPORATION 20-1920798

NON-GOV'T BACKED CMO CUSIP59022MAL5 DATE ISSUED: 06/01/2005 MATURITY:05/25/2036; RATE: 4.500%

NON-GOV'T BACKED CMO CUSIP362334CJ1 DATE ISSUED: 02/06/2006 MATURITY:12/25/2035; RATE: 6.000%

TRUSTEE WELLS FARGO BANK8480 STAGECOACH CIRCLEFREDERICK, MD 21701-4747

TRUSTEE WELLS FARGO BANK8480 STAGECOACH CIRCLEFREDERICK, MD 21701-4747

2435000

11/30/2016

1225000

Schedule G (Form 5500)2016 Page 2 - 1 x

(a) (b) Identity and address of obligor (c) Detailed description of loan including dates of making and maturity, interest rate, the type and value of collateral, any renegotiation of the loan and the terms of the renegotiation, and

other material items

X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345



X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345



X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345



X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345



X








ABCDE




123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345

1

Schedule G (Form 5500) 2016 Page 3 - 1 x

Part II Schedule of Leases in Default or Classified as Uncollectible Complete as many entries as needed to report all leases in default or classified as uncollectible. Check box (a) if lessor or lessee is known to be a party in interest. Attach Overdue Lease Explanation for each lease listed. (See instructions)

(a) (b) Identity of lessor/lessee (c) Relationship to plan, employer,

employee organization, or other party-in-interest

(d) Terms and description (type of property, location and date it was purchased, terms regarding rent, taxes, insurance, repairs,

expenses, renewal options, date property was leased)

X

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD



ABCDEFGHI ABCDEFGHI ABCD

(e) Original cost (f) Current value at time of

lease (g) Gross rental receipts

during the plan year (h) Expenses paid during

the plan year (i) Net receipts (j) Amount in arrears

123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345





X

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD








123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345





X

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD








123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345





X

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD








123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345





X

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD








123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345





X

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD








123456789012345 123456789012345 123456789012345 123456789012345 123456789012345 123456789012345

1

Schedule G (Form 5500) 2016 Page 4 - 1 x

Part III Nonexempt Transactions Complete as many entries as needed to report all nonexempt transactions. Caution: If a nonexempt prohibited transaction occurred with respect to a disqualified person, file Form 5330 with the IRS to pay the excise tax on the transaction.

(a) Identity of party involved (b) Relationship to plan, employer, or other party-in-interest

(c) Description of transaction including maturity date, rate of interest, collateral, par or maturity value

(d) Purchase price

ABCDEFGHI

ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI ABCDEFGHI



ABCDEFGHI ABCD

123456789012345

(e) Selling price (f) Lease rental (g) Transaction expenses (h) Cost of asset (i) Current value of

asset (j) Net gain (or loss) on

each transaction

123456789012345 123456789012345 123456789012345 123456789012345 12345678901235 -1234567890123455



(d) Purchase price

ABCDEFGHI

ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD




ABCDEFGHI ABCD

123456789012345



each transaction

(a) Identity of party involved (b) Relationship to plan, employer,

or other party-in-interest (c) Description of transaction including maturity date,

rate of interest, collateral, par or maturity value (d) Purchase price

ABCDEFGHI

ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD




ABCDEFGHI ABCD

123456789012345



each transaction

123456789012345 123456789012345 123456789012345 123456789012345 12345678901235 -1234567890123455



(d) Purchase price

ABCDEFGHI

ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD




ABCDEFGHI ABCD

123456789012345



each transaction



(d) Purchase price

ABCDEFGHI

ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD




ABCDEFGHI ABCD

123456789012345



each transaction

123456789012345 123456789012345 123456789012345 123456789012345 12345678901235 -1234567890123455



(d) Purchase price

ABCDEFGHI

ABCDEFGHI

ABCDEFGHI ABCD

ABCDEFGHI ABCDEFGHI

ABCDEFGHI ABCD




ABCDEFGHI ABCD

123456789012345



each transaction

123456789012345 123456789012345 123456789012345 123456789012345 12345678901235 -1234567890123455

1

SCHEDULE H

(Form 5500) Department of the Treasury

Internal Revenue Service



Financial Information

This schedule is required to be filed under section 104 of the Employee Retirement Income Security Act of 1974 (ERISA), and section 6058(a) of the

Internal Revenue Code (the Code).


OMB No. 1210-0110

2016



A Name of plan



ABCDEFGHI ABCDEFGHI

B Three-digit




ABCDEFGHI


012345678

Part I Asset and Liability Statement

1 Current value of plan assets and liabilities at the beginning and end of the plan year. Combine the value of plan assets held in more than one trust. Report

the value of the plan’s interest in a commingled fund containing the assets of more than one plan on a line-by-line basis unless the value is reportable on lines 1c(9) through 1c(14). Do not enter the value of that portion of an insurance contract which guarantees, during this plan year, to pay a specific dollar benefit at a future date. Round off amounts to the nearest dollar. MTIAs, CCTs, PSAs, and 103-12 IEs do not complete lines 1b(1), 1b(2), 1c(8), 1g, 1h, and 1i. CCTs, PSAs, and 103-12 IEs also do not complete lines 1d and 1e. See instructions.

Assets (a) Beginning of Year (b) End of Year

a Total noninterest-bearing cash ...................................................................... 1a -123456789012345 -123456789012345

b Receivables (less allowance for doubtful accounts):

(1) Employer contributions .......................................................................... 1b(1) -123456789012345 -123456789012345

(2) Participant contributions ........................................................................ 1b(2) -123456789012345 -123456789012345

(3) Other ..................................................................................................... 1b(3) -123456789012345 -123456789012345

c General investments:

(1) Interest-bearing cash (include money market accounts & certificates of deposit) ............................................................................................

1c(1) -123456789012345 -123456789012345

(2) U.S. Government securities .................................................................. 1c(2) -123456789012345 -123456789012345

(3) Corporate debt instruments (other than employer securities):

(A) Preferred ........................................................................................ 1c(3)(A) -123456789012345 -123456789012345

(B) All other .......................................................................................... 1c(3)(B) -123456789012345 -123456789012345

(4) Corporate stocks (other than employer securities):

(A) Preferred ........................................................................................ 1c(4)(A) -123456789012345 -123456789012345

(B) Common ......................................................................................... 1c(4)(B) -123456789012345 -123456789012345

(5) Partnership/joint venture interests ......................................................... 1c(5) -123456789012345 -123456789012345

(6) Real estate (other than employer real property) ..................................... 1c(6) -123456789012345 -123456789012345

(7) Loans (other than to participants) .......................................................... 1c(7) -123456789012345 -123456789012345

(8) Participant loans .................................................................................... 1c(8) -123456789012345 -123456789012345

(9) Value of interest in common/collective trusts ......................................... 1c(9) -123456789012345 -123456789012345

(10) Value of interest in pooled separate accounts ....................................... 1c(10) -123456789012345 -123456789012345

(11) Value of interest in master trust investment accounts ............................ 1c(11) -123456789012345 -123456789012345

(12) Value of interest in 103-12 investment entities ....................................... 1c(12) -123456789012345 -123456789012345

(13) Value of interest in registered investment companies (e.g., mutual funds) ....................................................................................

1c(13) -123456789012345 -123456789012345

(14) Value of funds held in insurance company general account (unallocated contracts) ..............................................................................................

1c(14) -123456789012345 -123456789012345

(15) Other ..................................................................................................... 1c(15) -123456789012345 -123456789012345

For Paperwork Reduction Act Notice, see the Instructions for Form 5500. Schedule H (Form 5500) 2016 v.160205


205775546

42682441

3638

971248

001

1062052425

4197827

56204385

371978

11462942

01/01/2016

657930


2022986620

20-1920798

4036999

124700000

34893172

4834800

1881126

279577194

11/30/2016

63058065

1840455938

2

102100000

1156395807

199675

2

Schedule H (Form 5500) 2016 Page 2

(5) Unrealized appreciation (depreciation) of assets: (A) Real estate ........................ 2b(5)(A) -123456789012345

(B) Other ................................................................................................ 2b(5)(B) -123456789012345 (C) Total unrealized appreciation of assets.

Add lines 2b(5)(A) and (B) ................................................................ 2b(5)(C) -123456789012345

1d Employer-related investments: (a) Beginning of Year (b) End of Year

(1) Employer securities .................................................................................. 1d(1) -123456789012345 -123456789012345

(2) Employer real property ............................................................................. 1d(2) -123456789012345 -123456789012345

1e Buildings and other property used in plan operation ....................................... 1e -123456789012345 -123456789012345

1f Total assets (add all amounts in lines 1a through 1e) ..................................... 1f -123456789012345 -123456789012345

Liabilities

1g Benefit claims payable .................................................................................... 1g -123456789012345 -123456789012345

1h Operating payables ........................................................................................ 1h -123456789012345 -123456789012345

1i Acquisition indebtedness ................................................................................ 1i -123456789012345 -123456789012345

1j Other liabilities ................................................................................................ 1j -123456789012345 -123456789012345

1k Total liabilities (add all amounts in lines 1g through1j) .................................... 1k -123456789012345 -123456789012345

Net Assets

1l Net assets (subtract line 1k from line 1f) ......................................................... 1l -123456789012345 -123456789012345

Part II Income and Expense Statement

2 Plan income, expenses, and changes in net assets for the year. Include all income and expenses of the plan, including any trust(s) or separately maintained

fund(s) and any payments/receipts to/from insurance carriers. Round off amounts to the nearest dollar. MTIAs, CCTs, PSAs, and 103-12 IEs do not complete lines 2a, 2b(1)(E), 2e, 2f, and 2g.

Income (a) Amount (b) Total

a Contributions:

(1) Received or receivable in cash from: (A) Employers ................................. 2a(1)(A) -123456789012345

(B) Participants ....................................................................................... 2a(1)(B) -123456789012345

(C) Others (including rollovers) ............................................................... 2a(1)(C) -123456789012345

(2) Noncash contributions .............................................................................. 2a(2) -123456789012345

(3) Total contributions. Add lines 2a(1)(A), (B), (C), and line 2a(2) ................. 2a(3) -123456789012345

b Earnings on investments:

(1) Interest:

(A) Interest-bearing cash (including money market accounts and certificates of deposit) .......................................................................

2b(1)(A) -123456789012345

(B) U.S. Government securities .............................................................. 2b(1)(B) -123456789012345

(C) Corporate debt instruments ............................................................... 2b(1)(C) -123456789012345

(D) Loans (other than to participants) ...................................................... 2b(1)(D) -123456789012345

(E) Participant loans ............................................................................... 2b(1)(E) -123456789012345

(F) Other ................................................................................................ 2b(1)(F) -123456789012345

(G) Total interest. Add lines 2b(1)(A) through (F) .................................... 2b(1)(G) -123456789012345

(2) Dividends: (A) Preferred stock .................................................................. 2b(2)(A) -123456789012345

(B) Common stock .................................................................................. 2b(2)(B) -123456789012345

(C) Registered investment company shares (e.g. mutual funds) ............. 2b(2)(C)

(D) Total dividends. Add lines 2b(2)(A), (B), and (C) 2b(2)(D)

-123456789012345

(3) Rents ........................................................................................................ 2b(3) -123456789012345

(4) Net gain (loss) on sale of assets: (A) Aggregate proceeds....................... 2b(4)(A) -123456789012345

(B) Aggregate carrying amount (see instructions) ................................... 2b(4)(B) -123456789012345

(C) Subtract line 2b(4)(B) from line 2b(4)(A) and enter result ................. 2b(4)(C) -123456789012345 41339341

329300000

45969435

207454333

3357569699

37391325

3394961024

22510215

45969435

329300000

117091244

37391325

1828816877

25893

21599603

198997

21400606

3624538736

558015

93997145

3578569301

207454333

1870156218

-24

Schedule H (Form 5500) 2016 Page 3

(a) Amount (b) Total

(6) Net investment gain (loss) from common/collective trusts ......................... 2b(6) -123456789012345

(7) Net investment gain (loss) from pooled separate accounts ....................... 2b(7) -123456789012345

(8) Net investment gain (loss) from master trust investment accounts ............ 2b(8) -123456789012345

(9) Net investment gain (loss) from 103-12 investment entities ...................... 2b(9) -123456789012345 (10) Net investment gain (loss) from registered investment

companies (e.g., mutual funds) ................................................................. 2b(10) -123456789012345

c Other income .................................................................................................. 2c -123456789012345

d Total income. Add all income amounts in column (b) and enter total ..................... 2d -123456789012345

Expenses

e Benefit payment and payments to provide benefits:

(1) Directly to participants or beneficiaries, including direct rollovers .............. 2e(1) -123456789012345

(2) To insurance carriers for the provision of benefits ..................................... 2e(2) -123456789012345

(3) Other ........................................................................................................ 2e(3) -123456789012345

(4) Total benefit payments. Add lines 2e(1) through (3) .................................. 2e(4)

-123456789012345

f Corrective distributions (see instructions) ....................................................... 2f -123456789012345 g Certain deemed distributions of participant loans (see instructions) ................ 2g -123456789012345

h Interest expense ............................................................................................. 2h -123456789012345

i Administrative expenses: (1) Professional fees .............................................. 2i(1) -123456789012345

(2) Contract administrator fees ....................................................................... 2i(2) -123456789012345

(3) Investment advisory and management fees .............................................. 2i(3) -123456789012345

(4) Other ........................................................................................................ 2i(4) -123456789012345

(5) Total administrative expenses. Add lines 2i(1) through (4) ........................ 2i(5) -123456789012345

j Total expenses. Add all expense amounts in column (b) and enter total ........ 2j -123456789012345

Net Income and Reconciliation

k Net income (loss). Subtract line 2j from line 2d ........................................................... 2k -123456789012345

l Transfers of assets:

(1) To this plan ............................................................................................... 2l(1) -123456789012345 (2) From this plan ........................................................................................... 2l(2) -123456789012345

Part III Accountant’s Opinion

3 Complete lines 3a through 3c if the opinion of an independent qualified public accountant is attached to this Form 5500. Complete line 3d if an opinion is not

attached.

a The attached opinion of an independent qualified public accountant for this plan is (see instructions):

(1) X Unqualified (2) X Qualified (3) X Disclaimer (4) X Adverse

b Did the accountant perform a limited scope audit pursuant to 29 CFR 2520.103-8 and/or 103-12(d)? X Yes X No

c Enter the name and EIN of the accountant (or accounting firm) below:

(1) Name: ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCD (2) EIN: 123456789

d The opinion of an independent qualified public accountant is not attached because:

(1) X This form is filed for a CCT, PSA, or MTIA. (2) X It will be attached to the next Form 5500 pursuant to 29 CFR 2520.104-50.

Part IV Compliance Questions

4 CCTs and PSAs do not complete Part IV. MTIAs, 103-12 IEs, and GIAs do not complete lines 4a, 4e, 4f, 4g, 4h, 4k, 4m, 4n, or 5.

103-12 IEs also do not complete lines 4j and 4l. MTIAs also do not complete line 4l.

During the plan year: Yes No Amount

a Was there a failure to transmit to the plan any participant contributions within the time

period described in 29 CFR 2510.3-102? Continue to answer “Yes” for any prior year failures until

fully corrected. (See instructions and DOL’s Voluntary Fiduciary Correction Program.) ....................

4a

b Were any loans by the plan or fixed income obligations due the plan in default as of the

close of the plan year or classified during the year as uncollectible? Disregard participant loans

secured by participant’s account balance. (Attach Schedule G (Form 5500) Part I if “Yes” is

checked.) ........................................................................................................................................

4b

X

68453220

13-3891517

408185148

-165220

X

X

719424358

90239608

316635

DELOITTE & TOUCHE LLP

498424756

2805057

7726590

12761974

X

1297824

408185148

220999602

Schedule H (Form 5500) 2016 Page 4- 1 x

Yes No Amount

c Were any leases to which the plan was a party in default or classified during the year as

uncollectible? (Attach Schedule G (Form 5500) Part II if “Yes” is checked.) ........................................ 4c -123456789012345d Were there any nonexempt transactions with any party-in-interest? (Do not include transactions

reported on line 4a. Attach Schedule G (Form 5500) Part III if “Yes” is

checked.) ................................................................................................................................................... 4d -123456789012345

e Was this plan covered by a fidelity bond?................................................................................................ 4e -123456789012345f Did the plan have a loss, whether or not reimbursed by the plan’s fidelity bond, that was caused by

fraud or dishonesty? ................................................................................................................................ 4f -123456789012345

g Did the plan hold any assets whose current value was neither readily determinable on an

established market nor set by an independent third party appraiser? .................................................... 4g -123456789012345

h Did the plan receive any noncash contributions whose value was neither readily

determinable on an established market nor set by an independent third party appraiser? ................... 4h -123456789012345

i Did the plan have assets held for investment? (Attach schedule(s) of assets if “Yes” is checked, and

see instructions for format requirements.) ............................................................................................... 4i

j Were any plan transactions or series of transactions in excess of 5% of the current

value of plan assets? (Attach schedule of transactions if “Yes” is checked, and

see instructions for format requirements.) ............................................................................................... 4j

k Were all the plan assets either distributed to participants or beneficiaries, transferred to another

plan, or brought under the control of the PBGC? .................................................................................... 4k

l Has the plan failed to provide any benefit when due under the plan? .................................................... 4l -123456789012345

m If this is an individual account plan, was there a blackout period? (See instructions and 29 CFR

2520.101-3.) .............................................................................................................................................. 4m

n If 4m was answered “Yes,” check the “Yes” box if you either provided the required notice or one of

the exceptions to providing the notice applied under 29 CFR 2520.101-3. ............................................ 4n

o Defined Benefit Plan or Money Purchase Pension Plan Only:

Were any distributions made during the plan year to an employee who attained age 62 and had not

separated from service? …………………………………………………………………............................. 4o

5a Has a resolution to terminate the plan been adopted during the plan year or any prior plan year?

If “Yes,” enter the amount of any plan assets that reverted to the employer this year........................... X Yes X No Amount:-

5b If, during this plan year, any assets or liabilities were transferred from this plan to another plan(s), identify the plan(s) to which assets or liabilities were

transferred. (See instructions.)

5b(1) Name of plan(s) 5b(2) EIN(s) 5b(3) PN(s)

ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI ABCDEFGHI

123456789 123


123456789 123


123456789 123


123456789 123

5c If the plan is a defined benefit plan, is it covered under the PBGC insurance program (See ERISA section 4021.)? ...... X Yes X No X Not determined

If “Yes” is checked, enter the My PAA confirmation number from the PBGC premium filing for this plan year________________________. (See instructions.)

Part V Trust Information

6a Name of trust


6b Trust’s EIN

6c Name of trustee or custodian


6d Trustee’s or custodian’s telephone number

+12345678901234567890123456

X

X

X

X

1

X

3924815

4055222

366041788

20000000

X

X

X

X

X

X

SEARS HOLDINGS PENSION TRUST

X

X

SCHEDULE R

(Form 5500)




Retirement Plan Information

This schedule is required to be filed under sections 104 and 4065 of the Employee Retirement Income Security Act of 1974 (ERISA) and section

6058(a) of the Internal Revenue Code (the Code).


OMB No. 1210-0110

2016



A Name of plan



ABCDEFGHI ABCDEFGHI

B Three-digit

plan number

(PN) 001



ABCDEFGHI


012345678

Part I Distributions

1 Total value of distributions paid in property other than in cash or the forms of property specified in the

instructions .................................................................................................................................................................................................. 1

-123456789012345

Part II Funding Information (If the plan is not subject to the minimum funding requirements of section of 412 of the Internal Revenue Code or

ERISA section 302, skip this Part.)

If you completed line 5, complete lines 3, 9, and 10 of Schedule MB and do not complete the remainder of this schedule.

If you completed line 6c, skip lines 8 and 9.

7 Will the minimum funding amount reported on line 6c be met by the funding deadline? ................................................................................. X Yes X No X N/A

8 If a change in actuarial cost method was made for this plan year pursuant to a revenue procedure or other

authority providing automatic approval for the change or a class ruling letter, does the plan sponsor or plan administrator agree with the change? ..........................................................................................................................................................

X Yes X No X N/A

Part III Amendments

9 If this is a defined benefit pension plan, were any amendments adopted during this plan

year that increased or decreased the value of benefits? If yes, check the appropriate box. If no, check the “No” box. ......................................................................................................................................................................

X Increase X Decrease X Both X No

Part IV ESOPs (see instructions). If this is not a plan described under Section 409(a) or 4975(e)(7) of the Internal Revenue Code, skip this Part.

10 Were unallocated employer securities or proceeds from the sale of unallocated securities used to repay any exempt loan? ...................... X Yes X No

11 a Does the ESOP hold any preferred stock? ................................................................................................................................. X Yes X No

b If the ESOP has an outstanding exempt loan with the employer as lender, is such loan part of a “back-to-back” loan?

(See instructions for definition of “back-to-back” loan.) ............................................................................................................... X Yes X No

12 Does the ESOP hold any stock that is not readily tradable on an established securities market? ....................................................... X Yes X No

For Paperwork Reduction Act Notice, see the Instructions for Form 5500. Schedule R (Form 5500) 2016 v. 160205

All references to distributions relate only to payments of benefits during the plan year.

2 Enter the EIN(s) of payor(s) who paid benefits on behalf of the plan to participants or beneficiaries during the year (if more than two, enter EINs of the two

payors who paid the greatest dollar amounts of benefits):

EIN(s): _______________________________ _______________________________

Profit-sharing plans, ESOPs, and stock bonus plans, skip line 3.

3 Number of participants (living or deceased) whose benefits were distributed in a single sum, during the plan

year ............................................................................................................................................................................................................. 3

12345678

4 Is the plan administrator making an election under Code section 412(d)(2) or ERISA section 302(d)(2)? ..................................................................... X Yes X No X N/A

If the plan is a defined benefit plan, go to line 8.

5 If a waiver of the minimum funding standard for a prior year is being amortized in this

plan year, see instructions and enter the date of the ruling letter granting the waiver. Date: Month _________ Day _________ Year _________

6 a Enter the minimum required contribution for this plan year (include any prior year accumulated funding

deficiency not waived) ........................................................................................................................................................................... 6a -123456789012345

b Enter the amount contributed by the employer to the plan for this plan year ........................................................................................... 6b -123456789012345

c Subtract the amount in line 6b from the amount in line 6a. Enter the result

(enter a minus sign to the left of a negative amount) .............................................................................................................................. 6c -123456789012345

SEARS HOLDINGS PENSION PLAN001

5604

04-3581074

01/01/2016


X

20-1920798

X

11/30/2016

0

X

Schedule R (Form 5500) 2016 Page 2 - 1- x

Part V Additional Information for Multiemployer Defined Benefit Pension Plans

13 Enter the following information for each employer that contributed more than 5% of total contributions to the plan during the plan year (measured in

dollars). See instructions. Complete as many entries as needed to report all applicable employers.

a Name of contributing employer

b EIN c Dollar amount contributed by employer

d Date collective bargaining agreement expires (If employer contributes under more than one collective bargaining agreement, check box X

and see instructions regarding required attachment. Otherwise, enter the applicable date.) Month _______ Day _______ Year _______

e Contribution rate information (If more than one rate applies, check this box X and see instructions regarding required attachment. Otherwise,

complete lines 13e(1) and 13e(2).) (1) Contribution rate (in dollars and cents) _____________

(2) Base unit measure: X Hourly X Weekly X Unit of production X Other (specify):







(2) Base unit measure: X Hourly X Weekly X Unit of production X Other (specify): _______________________________





























1

Schedule R (Form 5500) 2016 Page 3

14 Enter the number of participants on whose behalf no contributions were made by an employer as an employer of the participant for:

a The current year ................................................................................................................................................

123456789012345

14a

b The plan year immediately preceding the current plan year .............................................................................. 14b 123456789012345

c The second preceding plan year ...................................................................................................................... 14c 123456789012345

15 Enter the ratio of the number of participants under the plan on whose behalf no employer had an obligation to make an employer contribution during the current plan year to:

a The corresponding number for the plan year immediately preceding the current plan year ............................... 15a 123456789012345

b The corresponding number for the second preceding plan year ....................................................................... 15b 123456789012345

16 Information with respect to any employers who withdrew from the plan during the preceding plan year:

a Enter the number of employers who withdrew during the preceding plan year ............................................... 16a 123456789012345

b If line 16a is greater than 0, enter the aggregate amount of withdrawal liability assessed or estimated to be assessed against such withdrawn employers ................................................................................................... 16b 123456789012345

17 If assets and liabilities from another plan have been transferred to or merged with this plan during the plan year, check box and see instructions regarding supplemental information to be included as an attachment. ....................................................................................................................... X

Part VI Additional Information for Single-Employer and Multiemployer Defined Benefit Pension Plans 18 If any liabilities to participants or their beneficiaries under the plan as of the end of the plan year consist (in whole or in part) of liabilities to such participants

and beneficiaries under two or more pension plans as of immediately before such plan year, check box and see instructions regarding supplemental information to be included as an attachment ....................................................................................................................................................................... X

19 If the total number of participants is 1,000 or more, complete lines (a) through (c)

a Enter the percentage of plan assets held as: Stock: _____% Investment-Grade Debt: _____% High-Yield Debt: _____% Real Estate: _____% Other: _____%

b Provide the average duration of the combined investment-grade and high-yield debt: X 0-3 years X 3-6 years X 6-9 years X 9-12 years X 12-15 years X 15-18 years X 18-21 years X 21 years or more

c What duration measure was used to calculate line 19(b)? X Effective duration X Macaulay duration X Modified duration X Other (specify):

Part VII IRS Compliance Questions 20a Is the plan a 401(k) plan? If “No,” skip b ..................................................................................................... X Yes X No

20b How did the plan satisfy the nondiscrimination requirements for employee deferrals under section 401(k)(3) for the plan year? Check all that apply: ......................................................................................

X Design-based safe harbor X “Prior year”

ADP test

X “Current year” ADP test X N/A

21a What testing method was used to satisfy the coverage requirements under section 410(b) for the plan year? Check all that apply: ........................................................................................................................

X

Ratio percentage test

X Average benefit test X N/A

21b Did the plan satisfy the coverage and nondiscrimination requirements of sections 410(b) and 401(a)(4) for the plan year by combining this plan with any other plan under the permissive aggregation rules? .......

X Yes X No

22a If the plan is a master and prototype plan (M&P) or volume submitter plan that received a favorable IRS opinion letter or advisory letter, enter the date of the letter _____/_____/_____ and the serial number ______________.

22b If the plan is an individually-designed plan that received a favorable determination letter from the IRS, enter the date of the most recent determination letter _____/_____/______.

40.0 4.0

X

X

24.0 0.032.0

Sears Holdings Pension Plan Employer ID No.: 20-1920798 Plan No.: 001

Financial Statements as of and for the

Eleven Months Ended November 30, 2016 and Year Ended December 31, 2015,

Supplemental Schedules as of and for the Eleven Months Ended November 30, 2016, and

Independent Auditors’ Report


TABLE OF CONTENTS

Page

INDEPENDENT AUDITORS' REPORT 1

FINANCIAL STATEMENTS:

Statements of Net Assets Available for Benefits as of November 30, 2016

and December 31, 2015 3

Statements of Changes in Net Assets Available for Benefits for the Eleven Months ended

November 30, 2016 and Year Ended December 31, 2015 4

Statements of Accumulated Plan Benefits as of January 1, 2016 and 2015 5

Statement of Changes in Accumulated Plan Benefits for the Year Ended January 1, 2016 6

Notes to Financial Statements 7

SUPPLEMENTAL SCHEDULES AS OF AND FOR THE ELEVEN MONTHS ENDED NOVEMBER 30, 2016:

Appendix A - Form 5500, Schedule H, Part IV, Line 4i, Schedule of Assets (Held at End of

Period) 18

Appendix B - Form 5500, Schedule H, Part IV, Line 4j, Schedule of Reportable Transactions 46

Appendix C - Form 5500, Schedule G, Part I, Financial Transaction Schedule 48

NOTE: All other schedules required by Section 2520.103-10 of the Department of Labor's Rules and Regulations for

Reporting and Disclosure under the Employee Retirement Security Act of 1974 have been omitted because

they are not applicable.

INDEPENDENT AUDITORS' REPORT To the Plan Administrator of and Participants in the Sears Holdings Pension Plan We have audited the accompanying financial statements of Sears Holdings Pension Plan (the "Plan"), which comprise the statements of net assets available for benefits as of November 30, 2016 and December 31, 2015, the related statements of changes in net assets available for benefits for the eleven months ended November 30, 2016 and the year ended December 31, 2015, the statements of accumulated plan benefits as of January 1, 2016 and 2015, the related statement of changes in accumulated plan benefits for the year ended January 1, 2016, and the related notes to the financial statements. Management’s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of these financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation, and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors’ Responsibility Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the Plan’s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan's internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.

Deloitte & Touche LLP

111 S. Wacker Drive Chicago, IL 60606-4301 USA

Tel: +1 312 486 1000 Fax: +1 312 486 1486 www.deloitte.com

Opinion

In our opinion, the financial statements referred to above present fairly, in all material respects, information regarding the Plan’s net assets available for benefits as of November 30, 2016 and December 31, 2015, the changes therein for the eleven months ended November 30, 2016 and the year ended December 31, 2015, the accumulated plan benefits as of January 1, 2016 and 2015, and the changes therein for the year ended January 1, 2016 in accordance with accounting principles generally accepted in the United States of America.

Report on Supplemental Schedules

Our audits were conducted for the purpose of forming an opinion on the financial statements as a whole. The supplemental schedules listed in the Table of Contents are presented for the purpose of additional analysis and are not a required part of the financial statements but are supplementary information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. Such schedules are the responsibility of the Plan's management and were derived from and relate directly to the underlying accounting and other records used to prepare the financial statements. These schedules have been subjected to the auditing procedures applied in our audits of the financial statements and certain additional procedures, including comparing and reconciling such schedules and information directly to the underlying accounting and other records used to prepare the financial statements or to the financial statements themselves, and other additional procedures in accordance with auditing standards generally accepted in the United States of America. In our opinion, such schedules are fairly stated in all material respects in relation to the financial statements as a whole.

September 14, 2017

3


STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS

AS OF NOVEMBER 30, 2016 AND DECEMBER 31, 2015

(Thousands of dollars)

2016 2015

ASSETS:

Investments (Notes 4 and 5):

Common and preferred stocks $ 1,156,595 $ 1,062,056

Registered investment companies 11,463 4,835

Corporate bonds and notes 2,048,557 1,878,201

Asset backed debt securities 9,323 4,937

Ventures and partnerships 4,037 4,198

Collective short-term investment funds 204,875 278,731

Other 372 971

Total investments 3,435,222 3,233,929

Receivables:

Employer contribution 124,700 102,100

Unsettled investment sales 19,813 8,082

Accrued dividends and interest 33,950 31,176

Currency contract receivables 9,295 16,947

Total receivables 187,758 158,305

Cash 1,559 2,727

Total assets 3,624,539 3,394,961

LIABILITIES:

Payables:

Unsettled investment purchases 27,854 14,995

Currency contract payables 9,215 17,077

Other 8,901 5,319

Total payables 45,970 37,391

Total liabilities 45,970 37,391

NET ASSETS AVAILABLE FOR BENEFITS $ 3,578,569 $ 3,357,570

See notes to financial statements.

4


STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

FOR THE ELEVEN MONTHS ENDED NOVEMBER 30, 2016 AND YEAR ENDED DECEMBER 31, 2015


2016 2015

INVESTMENT INCOME (LOSS):

Net appreciation (depreciation) in fair value of investments (Note 5) $ 248,628 $ (321,569 )

Dividends and interest 138,549 160,045

Other 2,947 5,209

Total investment income (loss) 390,124 (156,315 )

EMPLOYER CONTRIBUTIONS 329,300 286,200

BENEFITS PAID TO PARTICIPANTS (408,185 ) (436,342 )

ADMINISTRATIVE EXPENSES (90,240 ) (80,074 )

INCREASE (DECREASE) IN NET ASSETS AVAILABLE FOR BENEFITS 220,999 (386,531 )

NET ASSETS AVAILABLE FOR BENEFITS:

Beginning of period — January 1 3,357,570 3,744,101

End of period — November 30, 2016 and December 31, 2015 $ 3,578,569 $ 3,357,570


5


STATEMENTS OF ACCUMULATED PLAN BENEFITS

AS OF JANUARY 1, 2016 AND 2015


2016 2015

ACTUARIAL PRESENT VALUE OF ACCUMULATED

PLAN BENEFITS (Note 6):

Vested benefits:

Participants receiving payments $ 2,880,765 $ 2,792,022

Participants with deferred vested rights 935,532 854,803

Active participants 590,261 656,048

Total vested benefits 4,406,558 4,302,873

Nonvested benefits 48,864 40,053

TOTAL ACTUARIAL PRESENT VALUE OF ACCUMULATED PLAN

BENEFITS $ 4,455,422

$ 4,342,926


6


STATEMENT OF CHANGES IN ACCUMULATED PLAN BENEFITS

FOR THE YEAR ENDED JANUARY 1, 2016


ACTUARIAL PRESENT VALUE OF ACCUMULATED PLAN BENEFITS AS OF JANUARY 1, 2015 $ 4,342,926

INCREASE (DECREASE) DURING THE YEAR ATTRIBUTABLE TO:

Actuarial losses 9,949

Change in actuarial assumptions (Note 6) 248,383

Increase for interest due to the decrease in the discount period 288,733

Benefits paid (436,342 )

Plan amendments 1,773

NET INCREASE 112,496

ACTUARIAL PRESENT VALUE OF ACCUMULATED PLAN BENEFITS AS OF

JANUARY 1, 2016 $ 4,455,422


7


NOTES TO FINANCIAL STATEMENTS

AS OF AND FOR THE ELEVEN MONTHS ENDED NOVEMBER 30, 2016 AND YEAR ENDED DECEMBER 31, 2015

1. DESCRIPTION OF THE PLAN

The following description of the Sears Holdings Pension Plan (the "Plan") is provided for general

information purposes only. Participants should refer to the Plan document for more complete

information.

General and History - The Plan is a noncontributory defined benefit pension plan covering certain

employees and former employees of Sears, Roebuck and Co. ("Sears"), Kmart Holding Corporation

("Kmart"), and other participating subsidiaries of Sears and Kmart (jointly, the "Employers").

In March 2005, Sears merged with Kmart and both Sears and Kmart became wholly owned subsidiaries

of Sears Holdings Corporation ("Holdings" or "Company"). Sears sponsored the Sears Pension Plan (the

"Sears Plan" or "Prior Sears Plan"), which was fully frozen effective December 31, 2005. Kmart

separately sponsored the Kmart Corporation Employee Pension Plan (the "Kmart Plan" or "Prior Kmart

Plan"), which was frozen as of January 31, 1996.

The Kmart Plan was merged with and into the Sears Plan effective as of the end of day January 30, 2008

("merger date"). Effective as of the merger date, the merged Plan was renamed as the Sears Holdings

Pension Plan (the "Plan") and Holdings accepted sponsorship of the Plan and Trust (as defined below).

The Plan document has been amended and restated from time to time. The Plan was fully amended and

restated as of January 1, 2014, and further amended thereafter.

Pursuant to a plan amendment adopted on November 30, 2016, the plan year of the Plan was changed

from a calendar year plan year to a plan year commencing December 1, 2016. Pursuant to a Plan

amendment effective on December 1, 2016, the Plan was renamed Sears Holdings Pension Plan 1 ("Plan

1") and a new plan, Sears Holdings Pension Plan 2 ("Plan 2"), was spun off from the Plan.

In May 2017, Holdings purchased a group annuity contract from Metropolitan Life Insurance Company

("MLIC") under which MLIC will pay the future pension benefit payments to approximately 51,000

retirees from Plan 2. The overall impact on the Plan was a $522 million reduction in the projected

benefit obligation and fair value of assets. In addition, in August 2017, Holdings reached a second

agreement with MLIC to annuitize an additional $518 million in pension liability for approximately

20,000 retirees from Plan 2.

Administration - The Sears Holdings Corporation Administrative Committee is the Plan administrator.

The members of this committee are employees of Sears Holdings Management Corporation, an indirect

wholly owned subsidiary of Holdings. ING Institutional Plan Services (ING) served as the Plan's

recordkeeper until July 2, 2014, when Towers Watson Delaware Inc. ("Towers Watson") became the

Plan's recordkeeper. Towers Watson also serves as the enrolled actuary for the Plan. State Street Bank

and Trust Company (the "Trustee") serves as the trustee and custodian of the Plan's trust ("Trust").

The Sears Holdings Corporation Investment Committee (the "Investment Committee"), consisting of

employees of Sears Holdings Management Corporation appointed by the chief executive officer of

Holdings, manages and controls the assets of the Plan. The Investment Committee is the fiduciary, with

8

authority for the acquisition, retention, management, and disposition of Plan assets and the appointment,

retention, and termination of investment managers. Towers Watson Investment Services, Inc., has been

appointed to serve as the investment advisor.

ERISA - The Plan is subject to the provisions of the Employee Retirement Income Security Act of 1974

(ERISA), as amended.

Pension Benefits: General - The merger of the Prior Kmart Plan with and into the Prior Sears Plan

(collectively, the "Prior Plans") did not affect pension benefits or rights provided by either plan prior to

the merger, including benefit payment amounts, eligibility for payment, or payment options.

Prior to the dates the Prior Plans were frozen, eligible employees earned benefits under their respective

plan according to defined formulas. As the Prior Plan formulas changed over the years, the Prior Plans

provided for "grandfathering" or retention of benefits earned under prior formulas and, for certain past

periods, growth of benefits. Also retained were certain early retirement and optional form features

applicable under previous Prior Plan provisions.

Pension Benefits: Prior Sears Plan - The Prior Sears Plan was frozen in two phases. Effective

January 1, 2005, only those participants who were age 40 and over who chose in 2004 to remain in the

Sears Plan continued to accrue a future benefit under the Sears Plan. Participants who were age 40 and

over and who chose an enhanced employer match in the Sears Holdings Savings Plan (formerly, the

Sears 401(k) Savings Plan) and participants under age 40 retained frozen accrued benefits in the Sears

Plan as of December 31, 2004, but did not accrue future benefits under the Sears Plan. No new

participants were permitted in the Sears Plan on and after January 2, 2005. On December 31, 2005, the

Sears Plan was frozen and future accruals under the Sears Plan ended for all participants.

Through December 31, 2004, generally all employees of Sears and its subsidiaries who had attained

age 21 and who had completed a year of eligibility service, as defined by the Sears Plan, were entitled to

participate in the Sears Plan. Hourly associates of certain designated business groups of Sears were not

eligible to participate. As noted above, on and after January 2, 2005, no new participants were permitted

in the Sears Plan.

Through December 31, 1999, benefits were determined under a final pay formula. Generally, the final

pay formula benefit is calculated as a percentage of final average earnings multiplied by years of

credited service, with certain adjustments, as provided in the Sears Plan. Certain benefit accruals,

through December 31, 1988, reflect integration with social security benefits.

Beginning January 1, 2000, benefits became based on a career average formula calculated each year

based on each year's eligible compensation. This amendment protected the accrued benefits earned

through December 31, 1999 (including early retirement and optional form features applicable), under

prior applicable formulas.

Accrued benefits are 100% vested after the earlier of (a) five years of vesting service, or (b) attainment

of age 65 (normal retirement age) or, if Sears Plan participation began prior to January 1, 1989,

attainment of age 63.

The normal form of payment under the Sears Plan is a qualified joint and survivor annuity for married

participants and a single life annuity for unmarried participants. Participants instead may elect to receive

their pension benefits from among a selection of optional forms of payment, including various joint and

survivor annuities; a single life annuity (with or without a 10-year certain feature); and, if a participant

meets certain criteria, a lump-sum payment option. (See below section "Pension Benefits: Payment

Restrictions under the Pension Protection Act.") Married participants must obtain spousal consent to

elect most optional forms of payment. In addition to normal retirement benefits, the Sears Plan provides

9

for reduced early retirement benefits, a qualified preretirement survivor annuity, and special death

benefits.

Pension Benefits: Prior Kmart Plan - Effective January 31, 1996, the Prior Kmart Plan was frozen by

Kmart, and participants ceased accruing additional benefits under the Kmart Plan. No new participants

were permitted in the Kmart Plan on and after January 31, 1996. Benefits paid to retirees are based upon

their age at retirement and their years of credited service and earnings as of January 31, 1996. Vested

benefits are also based on years of credited service and earnings as of January 31, 1996, and will be paid

out at the time participants become eligible according to Kmart Plan provisions.

Participants continue to earn service crediting, after the freeze, solely for purposes of determining

eligibility to receive an unreduced early retirement pension and eligibility for death benefits.

The pension benefit is the greater of the following:

• For service prior to February 1, 1975, benefits are based on the greater of (i) a percentage of earnings

for the year ended January 31, 1975, times credited service, plus a percentage of participant

contributions or (ii) the accrued benefit under prior provisions of the Kmart Plan. For service after

January 31, 1975, benefits are based on a career average formula calculated each year based on the

participant's fiscal year earnings for each year of credited service prior to January 31, 1996.

• If greater, benefits are based on a final pay formula. Generally, the formula is calculated as a

percentage of final average earnings multiplied by years of credited service after age 21 and prior to

January 31, 1996, up to a maximum of 35 years, plus a percentage of participant contributions,

reduced by a percentage of the participant's social security benefits for each year of service prior to

January 31, 1996 (up to a maximum of 30 years). Certain benefit accruals include integration with

social security benefits.

Accrued benefits are 100% vested after the earlier of (a) five years of vesting service, or (b) attainment

of age 65 with five years of participation in the Kmart Plan (normal retirement age). Certain age and

service rules allow for a death benefit to a designated beneficiary.

The normal form of payment under the Kmart Plan is a qualified joint and survivor annuity for married

participants and a single life annuity for unmarried participants. Participants instead may elect to receive

their pension benefits from among a selection of optional forms of payment, including various joint and

survivor annuities, a single life annuity (with or without a 10-year certain feature), and an annuity with a

social security leveling option. In addition to normal retirement benefits, the Kmart Plan provides for

reduced (and in some circumstances unreduced) early retirement benefits and for death benefits.

On August 11, 2015, the Administrative Committee amended the Plan to allow certain Kmart legacy

participants to receive their benefit in a lump sum form of payment effective December 28, 2015. To be

eligible for a lump sum payment, the participant must 1) be actively employed on the effective date, 2)

be retirement eligible (at least age 55 and vested) as of the date the participant retires or terminates

employment, and 3) elects a retirement date after December 28, 2015.

Prior Kmart Plan - Death Benefit: Effective with respect to deaths occurring on or after December 1,

2012, the limited death benefit payable to certain eligible Kmart legacy participants as a result of death

occurring after termination of employment was discontinued for any Kmart legacy participant who (a)

was not employed by Holdings (including any subsidiary or affiliate) as of January 1, 2012, and (b) had

not begun receiving his or her pension benefit as of September 17, 2012.

Pension Benefits: Payment Restrictions under the Pension Protection Act - The Pension Protection

Act of 2006 (PPA) put rules in place that restrict a defined benefit plan's ability to make accelerated

10

distributions to a participant or beneficiary whose benefits commence during a plan year when a plan's

funded status is less than 80%. For the Plan, certain lump-sum distributions available to participants of

the Prior Sears Plan and certain distributions under an optional form of payment with Social Security

leveling available to participants of the Prior Kmart Plan are considered accelerated distributions. (As

previously noted, effective December 28, 2015, lump sum distributions were made available to certain

participants of the Prior Kmart Plan.) A plan with a funded status below 60% is prohibited from paying

benefits that are considered to be accelerated distributions. A plan with a funded status of at least 60%

but less than 80% must generally limit accelerated distributions to no more than 50% of the accelerated

distribution otherwise payable with the remaining portion of the benefit payable in a form that is not

considered accelerated.

On September 30, 2015, the Plan's enrolled actuary certified that the funded status as of January 1, 2015

was more than 80%. As a result, restrictions on accelerated distributions for the Plan continued not to be

in effect through March 31, 2016 (previous restrictions were lifted as of October 1, 2014).

As of April 1, 2016, the Plan's deemed funded status was determined to be less than 80%, but at least

60%. Thus, as required by PPA, the partial restriction provisions on lump-sum payments became

effective on April 1, 2016. On September 30, 2016, the Plan's enrolled actuary certified that the January

1, 2016 funded status was, in fact, less than 80%, but at least 60%, resulting in the continuance of

restrictions on accelerated distributions.

On March 2, 2017, the Plan's enrolled actuary certified that, for Plan 1, the December 1, 2016 funded

status was still less than 80%, but at least 60%. Therefore, restrictions on accelerated distributions for

Plan 1 are continued through at least February 28, 2018. Additionally, the Plan's enrolled actuary

certified on March 2, 2017 that the December 1, 2016 funded status for Plan 2 was at least 80%.

Therefore, restrictions on accelerated distributions for Plan 2 were lifted effective April 1, 2017.

Note that all funded statuses documented above are based on the provisions of PPA as amended by the

Highway and Transportation Funding Act legislation enacted in 2014 and by the Budget Bipartisan Act

legislation enacted in 2015, current Internal Revenue Service (IRS) and Department of Labor (DOL)

regulations, and Holdings funding method elections and contributions at time of noted certification.

Small Pension Cash-Out Threshold - Under Plan procedures, in the normal course, small pension cash-

outs are made as soon as it is practicable following a participant terminating his or her employment, if

the lump-sum present value of the participant's accrued benefit is equal to or less than the small pension

cash-out threshold of $5,000.

2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

The following are the significant accounting policies followed by the Plan:

Basis of Accounting - The Plan's financial statements are prepared in accordance with accounting

principles generally accepted in the United States of America (GAAP).

Use of Estimates - The preparation of financial statements in conformity with accounting principles

generally accepted in the United States of America requires management to make estimates and

assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual

results could differ from those estimates. The Plan owns various investments. Investment securities and

alternative investments, 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 investments, it is reasonably

possible that changes in the values of these instruments will occur in the near term and that such changes

could materially affect the amounts reported in the financial statements.

11

Investments - Security transactions are recorded in the financial statements on a trade-date basis.

Future Commitments - As of November 30, 2016 and December 31, 2015, the Plan had no future

commitments for additional contributions to limited partnership investments.

Administrative Expenses - The Plan's administrative expenses are paid by either the Plan or Holdings,

as provided by the Plan document. Only reasonable administrative fees associated with fiduciary

functions are payable by the Plan.

Benefit Payments - Benefit payments to participants are recorded upon distribution. No payments were

made in 2017 or 2016 that had been approved and processed as of November 30, 2016 and December

31, 2015, respectively.

Adoption of New Accounting Standards Updates

In July 2015, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update

(ASU) No. 2015-12, Plan Accounting: Defined Benefit Pension Plans (Topic 960), Defined Contribution

Pension Plans (Topic 962), Health and Welfare Benefit Plans (Topic 965): (Part I) Fully Benefit-

Responsive Investment Contracts, (Part II) Plan Investment Disclosures, (Part III) Measurement Date

Practical Expedient. Part II eliminates the requirements to disclose individual investments that represent

five percent or more of net assets available for benefits and the net appreciation or depreciation in fair

value of investments by general type. Part II also simplifies the level of disaggregation of investments

that are measured using fair value. Plans will continue to disaggregate investments that are measured

using fair value by general type; however, plans are no longer required to also disaggregate investments

by nature, characteristics and risks. Further, the disclosure of information about fair value measurements

shall be provided by general type of plan asset. The ASU was effective for fiscal years beginning after

December 15, 2015, with early adoption permitted. Part II is to be applied retrospectively. Management

elected to early adopt Part II in 2015. The adoption of Part II only impacted footnote disclosures. Parts I

and III are not applicable to the Plan.

In June 2015, the FASB issued ASU No. 2015-10, Technical Corrections and Improvements. This ASU

changes the FASB definition of "readily determinable fair value" to include "the fair value of an equity

security that is an investment in a mutual fund or in a structure similar to a mutual fund (that is, a limited

partnership or a venture capital entity) is readily determinable if the fair value per share (unit) is

determined and published and is the basis for current transactions." The ASU was effective for fiscal

years beginning after December 15, 2015. The adoption in 2016 did not have a material impact on the

Plan's financial statements.

In May 2015, the FASB issued ASU No. 2015-07, Fair Value Measurement (Topic 820) Disclosures for

Investments in Certain Entities that Calculate Net Asset Value per Share (or its Equivalent). Topic 820,

Fair Value Measurement, permits a reporting entity, as a practical expedient, to measure the fair value of

certain investments using the net asset value per share of the investment. This ASU removes the

requirement to categorize within the fair value hierarchy all investments for which fair value is measured

using the net asset value per share practical expedient. The ASU also removes the requirement to make

certain disclosures for all investments that are eligible to be measured at fair value using the net asset

value per share practical expedient. Rather, those disclosures are limited to investments for which the

entity has elected to measure the fair value using that practical expedient. The ASU is effective for fiscal

years beginning after December 15, 2016, with early adoption permitted, and is to be applied

retrospectively. Management elected to early adopt the ASU in 2016. While this update affected

disclosure requirements, it did not have a material impact on the Plan's financial statements.

Subsequent Events - Subsequent events were evaluated through September 14, 2017, the date the

financial statements were available to be issued.

12

3. FUNDING POLICY

Contributions to provide benefits under the Plan are made solely by Holdings. The funding policy of the

Plan is to make contributions to the Plan in an amount at least sufficient to meet the minimum funding

standard requirements of ERISA, which were further modified by the PPA for Plan years beginning

January 1, 2008, and later, and the Pension Relief Act of 2010. Contributions for the 2016 and 2015 Plan

years met the applicable minimum funding standard requirements of ERISA as modified by the PPA.

4. FAIR VALUE MEASUREMENTS

We determine fair value of the Plan's investments based on a fair value hierarchy that prioritizes the

inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to

unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and

the lowest priority to unobservable inputs (Level 3 measurements). Assets and liabilities are classified in

their entirety based on the lowest level of input that is significant to the fair value measurement. The

three levels of the fair value hierarchy and the Plan's methodology for determining the fair value of the

investments in the Plan are described as follows:

Level 1 - Unadjusted quoted prices in active markets that are accessible at the measurement date for

identical, unrestricted assets or liabilities. An active market for the asset or liability is the one in which

transactions for the asset or liability occur with sufficient frequency and volume to provide ongoing

price information.

Equity securities, which include common and preferred stocks and registered investment companies

(mutual funds), are actively traded and valued at the closing price reported in the active market in which

the security is traded. Ventures and partnerships classified as Level 1 consist of cash balances.

Level 2 - Inputs other than quoted market prices included in Level 1 that are observable, either directly

or indirectly, for the asset or liability. Level 2 inputs include, but are not limited to, quoted prices for

similar assets or liabilities in an active market; quoted prices for identical or similar assets in markets

that are not active; and inputs other than quoted market prices that are observable for the asset or

liability, such as interest rate curves and yield curves observable at commonly quoted intervals,

volatilities, credit risk, and default rates.

Fixed income securities are valued by the Trustee on the basis of valuations furnished by independent

pricing services. These pricing vendors determine valuations using proprietary models established for

this purpose and into which they integrate dealer quotes when available, credit information, observed

market movements, and sector news. Collective short-term investment funds are stated at net asset value

as determined by the investment manager of the fund. The investment manager values the underlying

investments of the fund at amortized cost, which approximates fair value, and has assigned a Level 2 to

the valuation of those investments. Credit default swaps are valued using forward curves and credit risk

spreads observable at commonly quoted intervals.

Level 3 - Prices or valuations that require inputs that are both significant to the fair value measurement

and are unobservable.

Investments and derivative instruments classified within Level 3 have significant unobservable inputs, as

they trade infrequently or not at all. Valuation of the Plan's nonpublic limited partnerships requires

significant judgment by the general partners due to the absence of quoted market value, inherent lack of

13

liquidity, and the long-term nature of the assets, and may result in fair value measurements that are not

indicative of ultimate realizable value.

A summary of the Plan's investment assets at fair value on a recurring basis, set forth by level within the

fair value hierarchy, as of November 30, 2016 and December 31, 2015, is as follows:

Investment Assets at Fair Value as of November 30, 2016

(thousands of dollars) Level 1 Level 2 Level 3 Total

Equity securities:

U.S. companies $ 966,234 $ 423 $ 1,178 $ 967,835

International companies 188,599 — 161 188,760

U.S. registered investment companies 11,463 — — 11,463

Fixed income securities:

Corporate bonds and notes — 2,048,557 — 2,048,557

Asset backed debt securities — 1,088 8,235 9,323

Ventures and partnerships 112 — 3,925 4,037

Other — 372 — 372

Total investment assets at fair value $ 1,166,408 $ 2,050,440 $ 13,499 $ 3,230,347

Investments measured at NAV:

Collective short-term investment funds 204,875

Total investment assets at fair value $ 3,435,222

Investment Assets at Fair Value as of December 31, 2015

(thousands of dollars) Level 1 Level 2 Level 3 Total

Equity securities:

U.S. companies $ 917,119 $ — $ 11 $ 917,130

International companies 144,727 — 199 144,926

U.S. registered investment companies 4,835 — — 4,835

Fixed income securities:

Corporate bonds and notes — 1,878,201 — 1,878,201

Asset backed debt securities — 2,152 2,785 4,937

Ventures and partnerships 133 — 4,065 4,198

Other — 971 — 971

Total investment assets at fair value $ 1,066,814 $ 1,881,324 $ 7,060 $ 2,955,198

Investments measured at NAV:

Collective short-term investment funds 278,731

Total investment assets at fair value $ 3,233,929

Transfers between Levels - The availability of observable market data is monitored to assess the

appropriate classification of financial instruments within the fair value hierarchy. Changes in economic

conditions or model-based valuation techniques may require the transfer of financial instruments from

one fair value level to another. The Plan's policy is to recognize transfers between levels at the end of the

reporting period.

For the year ended December 31, 2015, partnerships in liquidation were transferred from Level 3 to

Level 1 as their assets were converted into cash. There were no assets transferred out of Level 3 during

the eleven months ended November 30, 2016.

14

A reconciliation of the beginning and ending balances of the fair value measurements using significant

unobservable inputs (Level 3) for the eleven months ended November 30, 2016 and year ended

December 31, 2015, is as follows:

Changes in Fair Value of Level 3 Investment Assets

(thousands of dollars) Equity

Securities

Fixed Income

Securities

Ventures and

Partnerships Other Total

Balance, December 31, 2014 $ 11 $ 6,505 $ 4,568 $ 40 $ 11,124

Plan year 2015 changes:

Realized gains (losses) — 8 (4,375 ) — (4,367 )

Unrealized gains (losses) (466 ) (627 ) 4,029 (6 ) 2,930

Purchases 665 — — — 665

Sales — (3,101 ) (104 ) (34 ) (3,239 )

Transfers out — — (53 ) — (53 )

Balance, December 31, 2015 210 2,785 4,065 — 7,060

Plan year 2016 changes:

Unrealized gains (losses) (241 ) 587 (82 ) — 264

Purchases 1,370 4,863 — — 6,233

Sales — — (58 ) — (58 )

Balance, November 30, 2016 $ 1,339 $ 8,235 $ 3,925 $ — $ 13,499

5. INVESTMENTS

The Plan's investment at fair value that exceeds 5% of net assets available for benefits as of November

30, 2016 and December 31, 2015 is the State Street Bank and Trust Company Government Short-Term

Investment Fund of $204.9 million and $278.7 million, respectively.

On or about August 12, 2015, the Plan tendered $109.75 million in par value of Sears Holdings

Corporation ("Holdings") 6 5/8% senior secured notes due 2018 ("Notes") pursuant to a tender offer

Holdings made to all holders of the Notes, including the Plan, to purchase Notes ("Tender Offer"). The

Plan received $105.36 million in principal related to this Tender Offer.

The net appreciation (depreciation) in value (including gains and losses on investments bought and sold,

as well as held during the year) of the Plan's investments for the eleven months ended November 30,

2016 and year ended December 31, 2015, is as follows:

Net Change in Value

(thousands of dollars) 2016 2015

Net appreciation (depreciation) in fair value of investments $ 248,628 $ (321,569 )

The investments whose net appreciation (depreciation) in fair value was determined based on quoted

market prices include common and preferred stock, registered investment companies, and other. The

investments whose net appreciation (depreciation) in fair value was estimated include fixed income

securities and ventures and partnerships.

6. ACTUARIAL PRESENT VALUE OF ACCUMULATED PLAN BENEFITS

Accumulated plan benefits are those future periodic payments that are attributable, under the Plan's

provisions, to employee credited service through the dates on which the Prior Plans were fully frozen

(see Note 1). Accumulated plan benefits include those benefits expected to be paid to retired or

15

terminated vested participants or their beneficiaries, beneficiaries of certain participants who have died

with vested benefits, and present active participants or their beneficiaries. The accumulated plan benefits

for active employees reflect benefits earned ending on the date as of which the benefit information is

presented (the valuation date). Benefits payable under all circumstances (retirement, death, and

termination of employment) are included to the extent they are deemed attributable to employee service

as of the valuation date.

The actuarial present value of accumulated plan benefits is determined by the Plan's enrolled actuaries,

Towers Watson Delaware, Inc., and is the amount that results from applying actuarial assumptions to

adjust the accumulated plan benefits to reflect the time value of money (through discounts for interest)

and the probability of payment (by means of decrements, such as for death, withdrawal, or retirement)

between the valuation date and the expected date of payment.

The significant actuarial assumptions used in the valuations as of January 1, 2016 and 2015, were as

follows:

• The discount rate used to determine the present value of plan benefits was 6.5% at January 1, 2016

and 7.0% at January 1, 2015.

• Retirements are projected to occur at varying rates for ages 55 through 75 for the valuations as of

January 1, 2016 and 2015.

• Gender-distinct mortality tables were used.

• 90% of those eligible elect lump sums.

• The lump-sum interest rates were 4.5% at January 1, 2016 and 7.0% at January 1, 2015.

The actuarial present value of accumulated plan benefits at January 1, 2016 increased by approximately

$248.4 million due to assumption changes. This increase was mainly due to the decrease in the discount

rate assumption and lump-sum interest rate assumption.

The foregoing actuarial assumptions are based on the presumption that the Plan will continue. If the Plan

were to terminate, different actuarial assumptions and other factors might be applied in determining the

actuarial present value of accumulated plan benefits.

The effects of Plan amendments on accumulated plan benefits are first recognized with the Plan year

subsequent to the adoption of such amendments. The actuarial present value of accumulated plan

benefits at January 1, 2016 increased by about $1.8 million due to plan changes, as a lump sum provision

for legacy Kmart participants was adopted during 2015.There were no changes in the Plan during 2014

that required consideration in the January 1, 2015 actuarial valuations.

7. PRIORITIES UPON TERMINATION OF THE PLAN

The Plan can be terminated by the Company in certain limited situations. If the Plan is terminated, the

net assets of the Plan will be distributed to the participants in an order of priority determined in

accordance with ERISA and its applicable regulations, and with the Plan document.

Certain benefits under the Plan are insured by the Pension Benefit Guaranty Corporation (PBGC) if the

Plan terminates. Generally, the PBGC guarantees most vested, normal-age retirement benefits, early

retirement benefits and survivor's pensions. However, the PBGC does not guarantee all types of

benefits under the Plan, and the amount of benefit protection is subject to certain limitations. Vested

benefits under the Plan are guaranteed at the level in effect on the date of the Plan's termination, subject

16

to a statutory ceiling on the amount of an individual's monthly benefit.

Whether all participants receive their full benefits should the Plan be terminated at some future time will

depend on the sufficiency, at that time, of the Plan's net assets to provide these benefits, the priority of

those benefits to be paid, and the level and type of benefits guaranteed by the PBGC at that time. Some

benefits may be fully or partially provided for by the existing assets and the PBGC guaranty, while other

benefits may not be provided for at all.

8. INCOME TAXES

In the Plan's latest determination letter, dated September 2, 2014, the Internal Revenue Service ("IRS")

stated that the Plan, as then designed, was in compliance with the applicable requirements of the Internal

Revenue Code. This letter incorporates amendments to the Plan made prior to its release. The Plan has

been amended subsequent to receipt of the IRS determination letter.

GAAP requires Plan management to evaluate tax positions taken by the Plan and recognize a tax liability

(or asset) if the Plan has taken an uncertain position that more than likely would not be sustained upon

examination by the IRS. The Plan is subject to routine audits by taxing jurisdictions. In January 2016,

the IRS notified the Plan of their intention to perform an examination of the Plan for the year ended

December 31, 2014. That examination is underway and the IRS has not communicated any findings or

conclusions.

During 2014, the Plan Administrator determined that certain operational qualification failures had

occurred. On January 29, 2015, an application under the Voluntary Compliance Program of Revenue

Procedure 2013-12 ("VCP") was submitted to the IRS with respect to these failures proposing

corrections that Plan management believes are consistent with the VCP. The IRS issued a Compliance

Statement dated November 20, 2015 and the corrections, as approved by the IRS, have been completed.

Subsequent to November 30, 2016, in conjunction with the amendment to spin off a new plan and

change the plan year from a calendar year end to a November 30th year end, the Plan Sponsor requested

that the IRS approve the foregoing change in plan year and to approve a change in actuarial funding

method in connection with the spin-off and change in plan year. The Plan Sponsor has received IRS

approval of the change in plan year and the request for approval to the change in actuarial funding

method remains pending with the IRS.

The Company and Plan administrator believe that the Plan has been and continues to be maintained and

operated in accordance with Section 401(a) of the Internal Revenue Code to the extent applicable to

defined benefit retirement plans, and that the Trust has been and continues to be maintained and operated

in accordance with Section 501(a) of the Internal Revenue Code.

On July 14, 2015, the Company received notice from the U.S. Department of Labor, Employee Benefits

Administration, Chicago Regional Office ("EBSA-Chicago") that EBSA-Chicago opened an

investigation to determine whether any violations of ERISA occurred with respect to the Plan covering

the period from January 1, 2012 through the present. Plan management believes the investigation is

routine in nature and was not opened because of any specific issue. The investigation is underway and

EBSA-Chicago has not communicated any findings or conclusions.

9. RELATED-PARTY TRANSACTIONS

Certain investments of the Plan are shares of funds managed by or securities in related parties. These

investments include short-term investment funds managed by State Street Bank and Trust Company

("State Street"), trustee for the Trust of the Plan. These transactions are exempt from the party-in-interest

transaction rules under ERISA. Fees for investment management services for the State Street short-term

17

investment fund were offset against investment income. No fees were paid to Holdings for investment

management services for the eleven months ended November 30, 2016 and year ended December 31,

2015.

On April 8, 2016, Holdings obtained a $750.0 million Senior Secured Term Loan under the Amended

Domestic Credit Agreement with a syndicate of lenders, including $100.0 million ($97.0 million, net of

original issue discount) from the Plan. This purchase by the Plan was exempt from ERISA's prohibited

transaction rules under ERISA 408(e).

In March 2017, Holdings closed its previously-announced sale of the Craftsman brand to Stanley Black

& Decker. Holdings received an initial upfront payment of $525 million, subject to closing costs and an

adjustment for working capital changes, at closing. A portion of these proceeds were used to reduce the

outstanding borrowings under the Senior Secured Term Loan, of which $24 million was repaid to the

Plan.

10. DERIVATIVES

Foreign Currency Exchange Contracts - The Plan enters into forward contracts to purchase and sell

foreign currencies in the normal course of its investing activities to manage the currency exposure

associated with foreign equity and fixed income instruments. The terms of these contracts generally do

not exceed one year. The credit risk associated with these contracts is minimal, as they are entered into

with a limited number of highly rated counterparties.

At November 30, 2016 and December 31, 2015, the Plan held forward contracts whose fair value is

reported as an asset or liability in the statement of net assets available for benefits. The fair values

associated with foreign currency contracts are estimated by valuing the net position of the contracts

using applicable spot rates and forward rates as of the reporting date. In the financial statements, forward

contracts to purchase foreign currency are shown as currency contract receivables and forward contracts

to sell foreign currency are shown as currency contract payables.

Credit Default Swaps - The Plan enters into credit default swaps to hedge its exposure to certain fixed

income investments, as well as to synthetically replicate the returns of certain fixed income investments.

A credit default swap is a contract in which the buyer of the swap promises to make fee payments to the

seller of the swap. The buyer receives, in exchange, protection from a negative credit event by the issuer

of the debt security referenced in the contract through the life of the contract. If a negative credit event

occurs, the seller of protection must deliver the value agreed upon within the contract to the buyer. Swap

contracts are entered into directly between the parties and consequently involve counterparty risk. The

investment manager's policy is to execute swaps only with top-tier, well-established counterparties

authorized by the investment manager after due diligence reviews, which are updated quarterly.

At November 30, 2016 and December 31, 2015, the Plan held credit default swaps with a total fair value

of $0.2 million and $1.0 million, respectively, based on the mark-to-market value of the various

underlying credit indices and corporate entities. The Plan held credit default swaps with notional

amounts of $3.1 million and $10.3 million at November 30, 2016 and December 31, 2015, respectively,

comprised of various corporate bonds for which protection was purchased and with potential income in

the event of default.

At November 30, 2016, cash with a value of $0.6 million was on deposit with counterparties as

performance security on credit default swaps. At December 31, 2015, cash on deposit with

counterparties as performance security on credit default swaps was de minimis.

* * * * * *

18

APPENDIX A

Schedule of Assets (Held at End of Period)

SEARS HOLDINGS PENSION PLAN APPENDIX A

(EIN: 20-1920798/PN: 001)

SCHEDULE OF ASSETS (HELD AT END OF PERIOD)

FORM 5500 SCHEDULE H, Part IV, Line 4I

NOVEMBER 30, 2016

Current

Holding Description Shares Cost Value

COMMON AND PREFERRED STOCK:

A P MOLLER MAERSK B UNSP ADR DEPOSITORY RECEIPTS 231,500 1,549,795$ 1,537,160$

ABBOTT LABORATORIES COMMON STOCK 152,370 6,527,531 5,800,726

ACCENTURE PLC CL A COMMON STOCK 100,626 11,576,015 12,017,763

ADIENT PLC COMMON STOCK 4,367 205,235 233,880

ADIENT PLC COMMON STOCK 1 38 43

ADIENT PLC COMMON STOCK 0 19 21

ADVANTAGE OIL + GAS LTD COMMON STOCK 396,700 1,444,066 2,876,075

AEGON N.V. NY REG SHR DEPOSITORY RECEIPTS 245,947 1,722,185 1,254,330

AERCAP HOLDINGS NV COMMON STOCK 330,050 7,876,958 14,142,643

AFFILIATED MANAGERS GROUP COMMON STOCK 21,500 3,487,991 3,184,150

AIR FRANCE KLM ADR DEPOSITORY RECEIPTS 703,300 6,047,485 3,769,688

AIRCASTLE LTD COMMON STOCK 66,000 1,035,778 1,417,680

ALAMOS GOLD INC CLASS A COMMON STOCK 261,624 2,203,295 1,671,777

ALLEGHENY TECHNOLOGIES INC COMMON STOCK 257,680 6,382,315 4,519,707

ALLEGION PLC COMMON STOCK 53,790 3,259,025 3,599,089

ALLIANCE ONE INTERNATIONAL COMMON STOCK 45,487 1,352,710 673,208

ALNYLAM PHARMACEUTICALS INC COMMON STOCK 24,800 1,020,528 1,087,976

ALPHA NAT RES HLDGS INC PREFERRED STOCK 7,987 3,195 43,929

ALPHABET INC CL A COMMON STOCK 1,400 508,892 1,086,232

ALPHABET INC CL A COMMON STOCK 975 285,746 756,483

ALPHABET INC CL C COMMON STOCK 6,517 3,028,646 4,940,147

ALPHABET INC CL C COMMON STOCK 977 283,784 740,605

ALTRIA GROUP INC COMMON STOCK 129,022 8,436,150 8,248,376

AMERICAN EXPRESS CO COMMON STOCK 58,200 3,936,238 4,192,728

AMERICAN NATIONAL INSURANCE COMMON STOCK 80,731 6,376,375 9,728,086

AMERICAN WATER WORKS CO INC COMMON STOCK 56,300 1,986,247 4,080,061

AMPHENOL CORP CL A COMMON STOCK 68,500 3,558,155 4,675,810

ANADARKO PETROLEUM CORP COMMON STOCK 50,800 2,555,735 3,512,820

ANHEUSER BUSCH INBEV SA/NV COMMON STOCK 51,247 6,509,310 5,329,729

ANR INC PREFERRED STOCK 7,987 11,981 155,747

ANTHEM INC COMMON STOCK 12,000 1,559,779 1,710,360

APACHE CORP COMMON STOCK 68,300 4,610,069 4,504,385

APPLE INC COMMON STOCK 96,949 10,428,804 10,714,803

ARAMARK COMMON STOCK 122,320 3,587,872 4,209,031

ARCONIC INC COMMON STOCK 304,873 6,058,129 5,877,951

ARDMORE SHIPPING CORP COMMON STOCK 352,726 3,821,386 2,398,537

ASPEN INSURANCE HOLDINGS LTD COMMON STOCK 56,000 2,650,738 2,853,200

ASTRAZENECA PLC SPONS ADR DEPOSITORY RECEIPTS 61,600 1,952,298 1,610,224

ATLAS IRON LIMITED COMMON STOCK 21,779,107 - -

ATLAS IRON LTD COMMON STOCK 19,787,372 550,678 263,158

AURICO METALS INC COMMON STOCK 1,324,691 792,234 940,531

AUTONATION INC COMMON STOCK 104,880 3,609,231 4,683,941

AVANGRID INC COMMON STOCK 84,550 3,331,664 3,058,174

AXCELIS TECHNOLOGIES INC COMMON STOCK 336,987 6,290,652 4,599,873

BAKER HUGHES INC COMMON STOCK 73,000 3,414,205 4,696,090

BAKER HUGHES INC COMMON STOCK 91,010 4,187,906 5,854,673

BALL CORP COMMON STOCK 86,940 3,293,961 6,525,716

BANK OF AMERICA CORP COMMON STOCK 515,800 6,219,737 10,893,696

*Sponsored by a party-in-interest 19


(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


BANK OF NEW YORK MELLON CORP COMMON STOCK 126,400 3,424,729 5,993,888

BB+T CORP COMMON STOCK 58,800 1,476,559 2,660,700

BERKSHIRE HATHAWAY INC CL A COMMON STOCK 15 1,268,086 3,555,000

BERKSHIRE HATHAWAY INC CL B COMMON STOCK 11,455 707,517 1,803,475

BIG LOTS INC COMMON STOCK 94,160 2,523,180 4,765,438

BLOOMIN BRANDS INC COMMON STOCK 208,350 4,546,263 3,875,310

BOSSIER CASINO VENTURE HOL COMMON STOCK 118,720 237,440 873,779

BRISTOL MYERS SQUIBB CO COMMON STOCK 8,300 458,314 468,452

BROOKFIELD ASSET MANAGE CL A COMMON STOCK 143,596 2,475,199 4,781,747

BROOKFIELD BUSINESS PT UNIT LMTD PARTNRSHIP UNTS 2,871 81,048 75,766

CAPITAL ONE FINANCIAL CORP COMMON STOCK 113,500 4,962,844 9,538,540

CARLISLE COS INC COMMON STOCK 32,690 2,809,566 3,666,837

CBOE HOLDINGS INC COMMON STOCK 64,393 1,700,595 4,436,678

CELANESE CORP SERIES A COMMON STOCK 37,700 1,657,704 2,990,364

CELESTICA INC COMMON STOCK 242,594 2,384,749 2,945,091

CHARTER COMMUNICATIONS INC A COMMON STOCK 28,298 3,198,185 7,790,722

CIA LORENZ PREFERRED STOCK 8,000,000 125,537 -

CIGNA CORP COMMON STOCK 34,200 3,151,365 4,608,108

CISCO SYSTEMS INC COMMON STOCK 144,000 3,871,479 4,294,080

CLOUD PEAK ENERGY INC COMMON STOCK 110,000 1,596,496 631,400

COACH INC COMMON STOCK 34,800 1,822,715 1,266,372

COEUR MINING INC COMMON STOCK 572,122 3,637,239 5,520,977

COLFAX CORP COMMON STOCK 43,500 1,309,038 1,636,035

COM 144A COMMON STOCK 9,586,714 2,689,255 -

COMCAST CORP CLASS A COMMON STOCK 94,380 1,721,768 6,560,354

CONAGRA BRANDS INC COMMON STOCK 93,600 2,770,369 3,434,184

CONAGRA BRANDS INC COMMON STOCK 233,180 6,131,060 8,555,374

CONCHO RESOURCES INC COMMON STOCK 13,700 1,354,869 1,959,374

CONTINENTAL RESOURCES INC/OK COMMON STOCK 109,500 4,635,591 6,352,095

CONTINENTAL RESOURCES INC/OK COMMON STOCK 39,470 1,244,716 2,289,655

CONTURA ENERGY INC COMMON STOCK 13,421 38,701 926,049

CORNING INC COMMON STOCK 95,900 1,417,985 2,304,477

CR BARD INC COMMON STOCK 29,250 5,107,671 6,158,588

CROWN HOLDINGS INC COMMON STOCK 144,050 3,661,395 7,834,880

CSRA INC COMMON STOCK 216,030 6,635,585 6,915,120

DANAHER CORP COMMON STOCK 17,700 1,095,615 1,383,609

DELL TECHNOLOGIES INC CL V COMMON STOCK 23,306 1,086,677 1,248,269

DENTSPLY SIRONA INC COMMON STOCK 92,560 5,731,118 5,385,141

DENTSPLY SIRONA INC COMMON STOCK 82,111 4,990,707 4,777,218

DEVON ENERGY CORP COMMON STOCK 140,500 6,814,344 6,790,365

DISCOVERY COMMUNICATIONS A COMMON STOCK 45,700 1,725,468 1,238,013

DISH NETWORK CORP A COMMON STOCK 31,900 1,072,919 1,832,655

DISH NETWORK CORP A COMMON STOCK 36,150 917,973 2,076,818

DOMINION ENERGY INC COMMON STOCK 112,190 5,316,009 8,222,405

DOW CHEMICAL CO/THE COMMON STOCK 122,050 3,610,671 6,800,626

DREAM UNLIMITED CL A SUB VOT COMMON STOCK 292,300 3,187,039 1,379,656

DUN + BRADSTREET CORP COMMON STOCK 47,410 5,113,596 5,770,745

DUNDEE CORP CL A COMMON STOCK 250,400 6,801,404 1,081,377

EBAY INC COMMON STOCK 255,232 7,940,764 7,098,002

ECHOSTAR CORP A COMMON STOCK 21,715 566,213 1,107,465



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


EDUCATION MGMT CORP NEW PREFERRED STOCK 3,638 507,272 -

EDUCATION MGMT CORP WTS WARRANTS 3,878,277 - -

EMERSON ELECTRIC CO COMMON STOCK 105,480 4,918,766 5,953,291

ENDURANCE SPECIALTY HOLDINGS COMMON STOCK 89,138 3,182,878 8,218,524

ENERGEN CORP COMMON STOCK 108,000 5,997,986 6,703,560

ENERGY + EXPLORATION COMMON STOCK 194 193,884 44,981

ENERGY + EXPLORATION PARTNER COMMON STOCK 353,953 1,175,963 194,674

EQUINIX INC REAL ESTATE INV TRST 11,838 2,748,872 4,010,241

EQUITICORP HLDGS COM NON-SECY ASSET-STOCK 9,000 1,621 -

EQUITY COMMONWEALTH REAL ESTATE INV TRST 188,130 5,226,698 5,470,820

EQUITY LIFESTYLE PROPERTIES REAL ESTATE INV TRST 9,890 328,979 686,663

EURONAV NV COMMON STOCK 178,384 2,068,095 1,266,526

EXPRESS SCRIPTS HOLDING CO COMMON STOCK 49,400 3,836,904 3,748,472

FEDEX CORP COMMON STOCK 28,200 1,969,856 5,405,094

FIRST HORIZON NATIONAL CORP COMMON STOCK 15,227 - -

FLY LEASING LTD ADR DEPOSITORY RECEIPTS 382,789 4,553,422 5,290,144

FMC CORP COMMON STOCK 104,590 4,147,608 5,869,591

FORESIGHT ENERGY LP WTS WARRANTS 7,650 77 54,009

FOREST CITY REALTY TRUST A REAL ESTATE INV TRST 76,600 1,431,815 1,416,334

FRANCO NEVADA CORP COMMON STOCK 47,608 2,636,143 2,757,455

GLAXOSMITHKLINE PLC COMMON STOCK 410,405 8,938,623 7,668,328

GOLDMAN SACHS GROUP INC COMMON STOCK 35,200 4,375,182 7,719,008

GRANITE REAL ESTATE INVESTME REAL ESTATE INV TRST 327,487 17,502,867 10,712,100

HARLEY DAVIDSON INC COMMON STOCK 22,200 1,142,538 1,351,758

HARLEY DAVIDSON INC COMMON STOCK 92,896 4,945,783 5,656,437

HARRIS CORP COMMON STOCK 47,920 3,757,703 4,962,595

HARTFORD FINANCIAL SVCS GRP COMMON STOCK 102,000 4,395,809 4,806,240

HD SUPPLY HOLDINGS INC COMMON STOCK 181,880 5,044,905 7,136,971

HERTZ GLOBAL HOLDINGS INC COMMON STOCK 119,970 7,808,297 3,020,845

HEWLETT PACKARD ENTERPRIS COMMON STOCK 327,100 4,359,388 7,784,980

HORACE MANN EDUCATORS COMMON STOCK 215,100 2,938,435 8,636,265

HOUGHTON MIFFLIN HARCOURT CO COMMON STOCK 188,620 4,184,106 2,084,251

HOWARD HUGHES CORP/THE COMMON STOCK 116,575 6,568,915 13,266,235

HP INC COMMON STOCK 285,000 3,141,110 4,389,000

HUBBELL INC COMMON STOCK 32,050 3,281,594 3,598,574

HUDBAY MINERALS INC COMMON STOCK 53,400 318,798 360,450

IAC/INTERACTIVECORP COMMON STOCK 37,540 2,470,475 2,528,694

IAMGOLD CORP COMMON STOCK 2,065,900 8,369,401 7,581,853

ICAHN ENTERPRISES LP LMTD PARTNRSHIP UNTS 82,313 3,767,044 4,758,515

IHS MARKIT LTD COMMON STOCK 138,212 4,566,050 4,967,339

INTERNATIONAL PAPER CO COMMON STOCK 123,340 4,387,286 6,009,125

JOHNSON + JOHNSON COMMON STOCK 103,407 12,260,968 11,509,199

JOHNSON CONTROLS INTERNATION COMMON STOCK 43,667 1,226,699 1,964,142



JPMORGAN CHASE + CO COMMON STOCK 68,300 3,517,817 5,475,611

JUNIPER NETWORKS INC COMMON STOCK 12,600 301,109 347,004

KB HOME COMMON STOCK 512,623 6,919,068 8,119,948

KELLY SERVICES INC A COMMON STOCK 40,500 584,226 815,670

KEYCORP COMMON STOCK 399,100 4,506,856 6,908,421



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


KIMBERLY CLARK CORP COMMON STOCK 58,857 7,557,239 6,804,458

KIMCO REALTY CORP REAL ESTATE INV TRST 132,630 3,651,027 3,387,370

KONINKLIJKE AHOLD SP ADR DEPOSITORY RECEIPTS 298,518 3,773,431 5,855,431

L BRANDS INC COMMON STOCK 41,800 1,812,754 2,935,196

LAMB WESTON HOLDINGS INC COMMON STOCK 152,496 4,180,834 5,105,566

LAS VEGAS SANDS CORP COMMON STOCK 79,975 1,988,534 5,012,033

LENNAR CORP A COMMON STOCK 18,400 422,997 782,736

LEUCADIA NATIONAL CORP COMMON STOCK 129,300 3,615,371 2,847,186

LIBERTY BROADBAND A COMMON STOCK 29,248 731,913 2,033,613

LIBERTY BROADBAND C COMMON STOCK 76,047 2,062,371 5,422,912

LIBERTY INTERACTIVE CORP Q A COMMON STOCK 73,500 607,471 1,522,185

LIBERTY MEDIA COR SIRIUSXM A COMMON STOCK 116,995 1,534,973 4,246,919

LIBERTY MEDIA COR SIRIUSXM C COMMON STOCK 233,990 3,096,852 8,367,482

LIBERTY MEDIA CORP BRAVES A COMMON STOCK 11,699 197,346 235,735

LIBERTY MEDIA CORP BRAVES C COMMON STOCK 23,399 180,132 464,938

LIBERTY MEDIA CORP LIBERTY A COMMON STOCK 29,248 375,923 915,170

LIBERTY MEDIA CORP LIBERTY C COMMON STOCK 58,497 773,379 1,822,182

M/I HOMES INC COMMON STOCK 178,512 3,499,356 4,170,040

MACY S INC COMMON STOCK 115,560 3,758,642 4,876,632

MATTEL INC COMMON STOCK 69,130 1,801,004 2,182,434

MAXIM INTEGRATED PRODUCTS COMMON STOCK 49,600 1,106,741 1,947,792

MEDTRONIC PLC COMMON STOCK 25,900 1,937,320 1,890,959

MERCK + CO. INC. COMMON STOCK 35,000 978,328 2,141,650

MERCK + CO. INC. COMMON STOCK 144,071 8,978,505 8,815,704

METLIFE INC COMMON STOCK 92,100 3,858,815 5,066,421

MFA FINANCIAL INC REAL ESTATE INV TRST 280,420 1,914,652 2,192,884

MGM RESORTS INTERNATIONAL COMMON STOCK 103,710 1,036,919 2,977,514

MICROCHIP TECHNOLOGY INC COMMON STOCK 67,375 2,704,011 4,458,878

MICRON TECHNOLOGY INC COMMON STOCK 343,200 1,213,201 6,702,696

MICROSOFT CORP COMMON STOCK 103,400 2,831,978 6,230,884

MICROSOFT CORP COMMON STOCK 215,383 12,528,829 12,978,980

MID AMERICA APARTMENT COMM REAL ESTATE INV TRST 47,750 4,306,369 4,375,333

MOHAWK INDUSTRIES INC COMMON STOCK 25,385 3,877,637 5,012,014

MOLSON COORS BREWING CO B COMMON STOCK 50,025 5,072,264 4,903,951

MONDELEZ INTERNATIONAL INC A COMMON STOCK 121,386 5,229,309 5,005,959

MONSANTO CO COMMON STOCK 74,688 7,990,869 7,671,204

NASDAQ INC COMMON STOCK 72,420 3,824,233 4,641,398

NATIONAL OILWELL VARCO INC COMMON STOCK 71,600 3,472,536 2,674,976

NESTLE SA REG COMMON STOCK 97,976 7,876,730 6,578,863

NETAPP INC COMMON STOCK 56,800 1,856,698 2,076,608

NEWS CORP CLASS A COMMON STOCK 24,175 126,475 279,463

NISOURCE INC COMMON STOCK 239,900 3,590,760 5,263,406

NORTHERN TRUST CORP COMMON STOCK 70,790 4,996,036 5,815,399

NOVARTIS AG REG COMMON STOCK 153,839 12,072,494 10,609,326

NOVARTIS AG SPONSORED ADR DEPOSITORY RECEIPTS 74,200 4,474,807 5,101,992

OAKTREE CAPITAL GROUP LLC LMTD PARTNRSHIP UNTS 15,700 681,817 650,765

OCCIDENTAL PETROLEUM CORP COMMON STOCK 94,000 8,038,616 6,707,840

ONEOK INC COMMON STOCK 151,550 3,548,686 8,324,642

ONEX CORPORATION COMMON STOCK 105,650 4,531,091 7,430,365

ORACLE CORP COMMON STOCK 279,669 11,438,034 11,239,897



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


OWENS CORNING COMMON STOCK 102,970 3,419,772 5,290,599

OWENS ILLINOIS INC COMMON STOCK 335,130 8,234,640 6,156,338

PALO ALTO NETWORKS INC COMMON STOCK 37,640 5,576,753 5,057,687

PAN AMERICAN SILVER CORP COMMON STOCK 223,400 2,115,295 3,764,290

PARKER DRILLING CO COMMON STOCK 160,000 923,721 344,000

PERRIGO CO PLC COMMON STOCK 57,670 5,135,733 4,979,228

PHILIP MORRIS INTERNATIONAL COMMON STOCK 125,914 12,340,624 11,115,688

PHOTRONICS INC COMMON STOCK 417,752 3,509,053 4,177,520

PIONEER NATURAL RESOURCES CO COMMON STOCK 28,966 3,513,420 5,533,665

PLATFORM SPECIALTY PRODUCTS COMMON STOCK 87,500 2,028,121 818,125

PRICELINE GROUP INC/THE COMMON STOCK 1,800 2,273,192 2,706,624

PRIMERO MINING CORP COMMON STOCK 1,400,000 2,515,729 1,204,000

PROCTER + GAMBLE CO/THE COMMON STOCK 77,352 6,799,241 6,378,446

PTC INC COMMON STOCK 115,895 3,112,025 5,645,245

PVH CORP COMMON STOCK 37,720 4,175,289 3,996,057

RAXCO SOFTWARE INC COM COMMON STOCK 20,514 39,748 10,257

RAYTHEON COMPANY COMMON STOCK 61,360 2,565,166 9,175,774

REPUBLIC SERVICES INC COMMON STOCK 164,342 4,067,393 9,119,338

RESOLUTE FOREST PRODUCTS COMMON STOCK 728,827 11,178,149 3,389,046

REYNOLDS AMERICAN INC COMMON STOCK 173,572 8,578,707 9,390,245

RUBY TUESDAY INC COMMON STOCK 586,130 2,660,928 1,770,113

S+P GLOBAL INC COMMON STOCK 80,024 9,690,106 9,522,056

SANMINA CORP COMMON STOCK 284,700 3,785,442 9,352,395

SANOFI ADR DEPOSITORY RECEIPTS 166,028 6,817,547 6,674,326

SCHLUMBERGER LTD COMMON STOCK 67,300 4,542,755 5,656,565

SCHWAB (CHARLES) CORP COMMON STOCK 243,700 4,409,211 9,421,442

SEALED AIR CORP COMMON STOCK 52,660 2,493,088 2,401,296

SEALED AIR CORP COMMON STOCK 105,130 2,398,528 4,793,928

SILVER WHEATON CORP COMMON STOCK 159,036 2,418,263 2,899,226

SPIRE INC COMMON STOCK 92,090 4,949,459 5,943,489

SPRINT CORP COMMON STOCK 348,526 1,732,032 2,732,444

SPX FLOW INC COMMON STOCK 87,580 3,115,117 2,744,757

STARZ A COMMON STOCK 147,595 1,835,276 4,997,567

STERIS PLC COMMON STOCK 59,620 4,361,554 3,911,668

SUNTRUST BANKS INC COMMON STOCK 104,750 3,335,026 5,441,763

SYMANTEC CORP COMMON STOCK 58,500 1,060,229 1,426,815

SYNOPSYS INC COMMON STOCK 33,900 766,868 2,050,272

TARGET CORP COMMON STOCK 26,400 1,572,556 2,039,136

TARGET CORP COMMON STOCK 113,500 7,002,282 8,766,740

TE CONNECTIVITY LTD COMMON STOCK 38,925 1,315,065 2,632,887

TEMPLAR ENERGY LLC COMMON STOCK 35,171 1,188,926 224,654

TIDEWATER INC COMMON STOCK 30,100 1,432,999 68,929

TIME WARNER INC COMMON STOCK 84,300 2,755,815 7,740,426

TIME WARNER INC COMMON STOCK 100,441 8,016,196 9,222,493

TJX COMPANIES INC COMMON STOCK 99,100 1,917,460 7,763,494

TOTAL SYSTEM SERVICES INC COMMON STOCK 84,510 4,380,419 4,159,582

TOWERGATE FINANCE A SHARES WA WARRANTS 53 - -

TOWERGATE FINANCE PLC COMMON STOCK 330 402,499 -

TOWERGATE FINANCE TOTAL B PREF COMMON STOCK 177,739 262,876 160,999

TREEHOUSE FOODS INC COMMON STOCK 56,700 3,870,755 3,930,444



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


TRI POINTE GROUP INC COMMON STOCK 283,900 4,427,463 3,298,918

TRIBUNE MEDIA CO A COMMON STOCK 14,100 997,014 506,331

TWENTY FIRST CENTURY FOX B COMMON STOCK 34,600 992,294 970,876

TWENTY FIRST CENTURY FOX A COMMON STOCK 158,300 2,458,026 4,449,813

TWENTY FIRST CENTURY FOX A COMMON STOCK 291,402 7,161,724 8,191,310

UNION PACIFIC CORP COMMON STOCK 35,200 2,682,825 3,566,816

UNITEDHEALTH GROUP INC COMMON STOCK 23,500 1,967,018 3,720,520

URBANA CORP NON VOTING A COMMON STOCK 387,421 549,983 749,141

USG CORP COMMON STOCK 185,790 5,490,349 5,321,026

VERINT SYSTEMS INC COMMON STOCK 67,050 2,370,281 2,517,728

VERSO CORP A COMMON STOCK 62,504 331,595 334,396

VIACOM INC CLASS B COMMON STOCK 26,323 1,181,828 986,586

VIASAT INC COMMON STOCK 13,880 664,535 989,366

VISA INC CLASS A SHARES COMMON STOCK 30,800 381,899 2,381,456

VMWARE INC CLASS A COMMON STOCK 28,200 1,552,651 2,288,148

VORNADO REALTY TRUST REAL ESTATE INV TRST 48,900 5,074,588 4,779,975

VULCAN MATERIALS CO COMMON STOCK 19,120 1,268,732 2,402,428

WABCO HOLDINGS INC COMMON STOCK 32,740 3,476,275 3,225,217

WAL MART STORES INC COMMON STOCK 54,800 3,537,144 3,859,564

WEATHERFORD INTERNATIONAL PL COMMON STOCK 93,200 1,256,366 476,252

WELLS FARGO + CO COMMON STOCK 165,646 8,245,810 8,765,986

WENDY S CO/THE COMMON STOCK 638,000 3,267,650 8,019,660

WEYERHAEUSER CO REAL ESTATE INV TRST 198,360 5,960,699 6,115,439

WR BERKLEY CORP COMMON STOCK 63,300 3,389,411 3,911,307

WR GRACE + CO COMMON STOCK 70,000 5,058,764 4,568,200

XYLEM INC COMMON STOCK 85,810 3,502,217 4,426,080

ZAYO GROUP HOLDINGS INC COMMON STOCK 21,100 654,625 727,950

ZIONS BANCORPORATION COMMON STOCK 108,810 3,137,291 4,329,550

ZOETIS INC COMMON STOCK 95,130 3,450,133 4,792,649

ZOETIS INC COMMON STOCK 178,050 8,986,184 8,970,159

TOTAL COMMON AND PREFERRED STOCK 955,504,546$ 1,156,595,482$

REGISTERED INVESTMENT COMPANIES:

ISHARES IBOXX HIGH YIELD COR MUTUAL FUNDS 66,977 5,793,654$ 5,736,580$

POWERSHARES SENIOR LOAN PORTFO MUTUAL FUNDS 130,321 3,007,196 3,015,628

SPDR BLOOMBERG BARCLAYS HIGH Y MUTUAL FUNDS 75,048 2,748,138 2,710,734

TOTAL REGISTERED INVESTMENT COMPANIES 11,548,988$ 11,462,942$

CORPORATE NOTES AND BONDS:

1011778 BC / NEW RED FIN YANKEE 4.625% Due 1/15/2022 1,475,000 1,476,075$ 1,498,969$

1011778 BC / NEW RED FIN YANKEE 4.625% Due 1/15/2022 1,500,000 1,533,750 1,524,375

99 CENTS ONLY STORES BANK LOAN 1.000% Due 1/11/2019 2,430,793 2,194,132 1,927,619

ABB / CON CISE OPTICAL GROUP BANK LOAN 1.000% Due 6/15/2023 1,200,000 1,188,000 1,210,500

ABC SUPPLY CO INC CORPORATE 5.625% Due 4/15/2021 1,955,000 1,964,415 2,018,538

ABC SUPPLY CO INC CORPORATE 5.750% Due 12/15/2023 60,000 60,000 61,500



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


ACADIA HEALTHCARE CO INC CORPORATE 5.125% Due 7/1/2022 3,085,000 3,121,973 2,984,738

ACADIA HEALTHCARE CO INC CORPORATE 5.625% Due 2/15/2023 660,000 652,551 650,100

ACADIA HEALTHCARE CO INC CORPORATE 6.500% Due 3/1/2024 45,000 47,025 44,775

ACC INDU BO/ACC INDU LLC YANKEE 7.750% Due 12/15/2020 570,000 454,575 446,025

ADS WASTE HLDGS INC BANK LOAN 1.000% Due 11/10/2023 969,273 966,850 970,790

ADVANCED MICRO DEVICES CORPORATE 7.000% Due 7/1/2024 4,450,000 4,386,937 4,494,500

AECOM CORPORATE 5.750% Due 10/15/2022 1,995,000 2,040,821 2,089,763

AERCAP IRELAND CAP/GLOBA YANKEE 4.250% Due 7/1/2020 1,620,000 1,620,000 1,662,525



AES CORP/VA CORPORATE 5.500% Due 3/15/2024 3,500,000 3,097,500 3,447,500

AES CORP/VA CORPORATE 5.500% Due 4/15/2025 1,000,000 875,000 972,500

AF BORROWER LLC BANK LOAN 1.000% Due 1/28/2022 3,920,300 3,841,894 3,944,821

AF BORROWER LLC BANK LOAN 1.000% Due 1/28/2023 1,500,000 1,485,000 1,501,875

AGILENT TECHNOLOGIES INC CORPORATE 6.500% Due 11/1/2017 197,000 169,913 205,534

AIR CANADA 2013 1B PTT YANKEE 5.375% Due 11/15/2022 2,270,095 2,270,095 2,326,848

AIR CANADA 2015 1B PTT FOREIGN 3.875% Due 9/15/2024 1,197,138 1,197,138 1,158,231

AIR CANADA 2015 2B PTT YANKEE 5.000% Due 6/15/2025 2,705,000 2,705,000 2,711,763

AIR LEASE CORP CORPORATE 3.875% Due 4/1/2021 3,490,000 3,537,988 3,629,600

AK STEEL CORP CORPORATE 7.500% Due 7/15/2023 1,255,000 1,255,000 1,364,813

ALBANY MOLECULAR RESH INC BANK LOAN 1.000% Due 7/16/2021 3,276,900 3,244,131 3,295,349

ALBEA BEAUTY HOLDINGS SA CORPORATE 8.375% Due 11/1/2019 2,300,000 2,332,125 2,392,000

ALBERTO CULVER CO CORPORATE 5.150% Due 6/1/2020 2,000,000 1,999,180 2,199,120

ALBERTSONS COS LLC/SAFEW CORPORATE 6.625% Due 6/15/2024 1,335,000 1,335,000 1,379,856

ALBERTSONS COS LLC/SAFEW CORPORATE 5.750% Due 3/15/2025 1,965,000 1,965,000 1,928,255

ALCOA NEDERLAND HOLDING YANKEE 7.000% Due 9/30/2026 300,000 300,000 318,000

ALCOA NEDERLAND HOLDING YANKEE 7.000% Due 9/30/2026 435,000 435,000 461,100

ALCOA NEDERLAND HOLDING YANKEE 6.750% Due 9/30/2024 2,285,000 2,338,450 2,450,663

ALERIS INTL INC CORPORATE 7.875% Due 11/1/2020 2,067,000 2,093,483 2,027,520

ALLEGION PLC CORPORATE 5.875% Due 9/15/2023 3,035,000 3,071,394 3,220,894

ALLFLEX HLDGS III INC BANK LOAN 1.000% Due 7/17/2021 1,500,000 1,485,000 1,500,623

ALLFLEX HLDGS III INC BANK LOAN 1.000% Due 7/20/2020 2,778,080 2,764,190 2,786,192

ALLY FINANCIAL INC CORPORATE 6.250% Due 12/1/2017 4,000,000 3,715,000 4,145,000


ALLY FINANCIAL INC CORPORATE 4.625% Due 5/19/2022 600,000 590,322 597,900





ALPHA NATURAL RESOURCES CORPORATE 7.500% Due 8/1/2020 2,070,000 1,974,675 134,550

ALPHA NATURAL RESOURCES CORPORATE 7.500% Due 8/1/2020 260,000 260,000 1,300

ALPHA NATURAL RESOURCES LLC BANK LOAN 1.000% Due 1/26/2018 39,034 - 38,156

ALPHA NATURAL RESOURCES LLC BANK LOAN 1.000% Due 7/26/2020 168,335 168,335 164,548

ALTA MESA HLDGS/FINANC S CORPORATE 9.625% Due 10/15/2018 1,340,000 1,373,527 1,326,600

ALTERRA FINANCE LLC CORPORATE 6.250% Due 9/30/2020 750,000 749,993 834,953

ALTICE LUXEMBOURG SA CORPORATE 7.750% Due 5/15/2022 5,000,000 5,025,313 5,237,500

ALTICE LUXEMBOURG SA CORPORATE 7.750% Due 5/15/2022 1,475,000 1,407,707 1,545,063

AMAYA HLDGS B V BANK LOAN 1.000% Due 8/1/2022 1,181,250 1,171,558 1,180,146

AMER AIRLN 13 1 B PASS T CORPORATE 5.625% Due 1/15/2021 2,926,329 2,926,329 3,036,066

AMER AIRLN 13 2 B PTT CORPORATE 5.600% Due 1/15/2022 2,365,763 2,365,763 2,442,650



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


AMERICAN AIRLINES GROUP CORPORATE 6.125% Due 6/1/2018 1,100,000 1,102,206 1,137,125

AMERICAN AXLE + MFG INC CORPORATE 6.625% Due 10/15/2022 1,600,000 1,564,000 1,608,000

AMERICAN EXPRESS CO CORPORATE 1.000% Due 5/29/2049 5,420,000 5,535,175 5,277,725

AMERICAN TIRE DISTRIBUTO CORPORATE 10.250% Due 3/1/2022 3,500,000 3,171,875 3,263,750

AMERICAN TIRE DISTRIBUTO CORPORATE 10.250% Due 3/1/2022 2,350,000 2,342,625 2,191,375

AMERIGAS FINANCE LLC/COR CORPORATE 7.000% Due 5/20/2022 5,000,000 4,920,000 5,250,000

AMERIGAS FINANCE LLC/COR CORPORATE 7.000% Due 5/20/2022 1,135,000 1,222,825 1,191,750

AMERIGAS PART/FIN CORP CORPORATE 5.625% Due 5/20/2024 3,185,000 3,203,100 3,145,188

AMERIGAS PART/FIN CORP CORPORATE 5.625% Due 5/20/2024 2,180,000 2,180,000 2,152,750

AMPLIFY SNACK BRANDS INC BANK LOAN 1.000% Due 8/24/2023 3,410,000 3,401,475 3,350,325

AMSTED INDUSTRIES CORPORATE 5.000% Due 3/15/2022 1,375,000 1,376,890 1,361,250

ANADARKO PETROLEUM CORP CORPORATE 4.850% Due 3/15/2021 4,278,000 4,567,382 4,554,829

ANADARKO PETROLEUM CORP CORPORATE 8.700% Due 3/15/2019 990,000 1,049,400 1,122,927

ANCESTRY COM OPERATIONS INC BANK LOAN 1.000% Due 10/19/2024 250,000 247,505 253,541

ANCESTRY COM OPERATIONS INC BANK LOAN 1.000% Due 10/19/2023 1,780,000 1,771,100 1,788,535

ANCESTRY COM OPERATIONS INC BANK LOAN 1.000% Due 10/19/2023 1,437,500 1,439,627 1,444,393

ANTERO RESOURCES CORP CORPORATE 5.625% Due 6/1/2023 235,000 225,013 239,406

ANTERO RESOURCES CORP CORPORATE 5.375% Due 11/1/2021 50,000 48,000 51,313

ANTERO RESOURCES CORP CORPORATE 5.125% Due 12/1/2022 1,305,000 1,237,282 1,324,575

APEX TOOL GROUP CORPORATE 7.000% Due 2/1/2021 3,080,000 3,142,366 2,772,000

ARCELORMITTAL CORPORATE 6.750% Due 2/25/2022 1,000,000 1,090,000 1,125,000

ARCONIC INC CORPORATE 6.750% Due 7/15/2018 5,925,000 6,778,084 6,302,719

ARD FINANCE SA CORPORATE 7.125% Due 9/15/2023 2,000,000 2,005,000 1,982,500

ARES CAPITAL CORP CONVERTIBLES 4.750% Due 1/15/2018 3,972,000 4,140,810 4,073,802

ARROW ELECTRONICS INC CORPORATE 5.125% Due 3/1/2021 1,000,000 1,083,640 1,066,130

ASCEND PERFORMANCE MATERIALS BANK LOAN 1.000% Due 8/12/2022 1,630,836 1,417,744 1,632,532

ASCEND PERFORMANCE MATERIALS BANK LOAN 1.000% Due 8/12/2022 5,577,156 5,493,498 5,582,956

ASHTEAD CAPITAL INC CORPORATE 6.500% Due 7/15/2022 1,217,000 1,290,227 1,273,286

ASHTEAD CAPITAL INC CORPORATE 5.625% Due 10/1/2024 1,565,000 1,656,356 1,627,600

ASSUREDPARTNERS INC BANK LOAN 1.000% Due 10/21/2022 2,382,030 2,382,030 2,398,406

ASURION LLC BANK LOAN 1.000% Due 3/3/2021 4,000,000 4,075,000 4,054,160

ASURION LLC BANK LOAN 1.000% Due 3/3/2021 3,290,000 3,282,712 3,334,547

ASURION LLC BANK LOAN 1.000% Due 8/4/2022 981,156 907,569 988,617

ATLAS AMER FIN INC BANK LOAN 1.000% Due 5/6/2021 1,050,146 513,538 551,327

AVAGO TECHNOLOGIES CAYMAN FIN BANK LOAN 1.000% Due 2/1/2023 1,147,023 1,122,648 1,159,290

AVANTOR PERFORMANCE MATLS HLD BANK LOAN 1.000% Due 6/21/2022 2,493,750 2,478,788 2,516,618

AVIATION CAPITAL GROUP CORPORATE 7.125% Due 10/15/2020 556,000 642,180 647,012

AVIATION CAPITAL GROUP CORPORATE 6.750% Due 4/6/2021 2,148,000 2,162,497 2,508,005

AWAS FINANCE LUXEMBOURG SARL BANK LOAN 1.000% Due 6/10/2018 668,332 665,915 673,348

AXALTA COATING SYSTEMS CORPORATE 4.875% Due 8/15/2024 1,725,000 1,717,945 1,716,375

B+G FOODS INC CORPORATE 4.625% Due 6/1/2021 2,280,000 2,292,063 2,325,600

BANK OF AMERICA CORP CORPORATE 1.000% Due 12/29/2049 2,350,000 2,350,000 2,449,875

BANK OF AMERICA CORP CORPORATE 5.700% Due 5/2/2017 3,550,000 3,744,809 3,610,883

BARCLAYS PLC YANKEE 5.200% Due 5/12/2026 1,500,000 1,499,880 1,498,485

BARRICK NA FINANCE LLC CORPORATE 4.400% Due 5/30/2021 2,276,000 2,333,378 2,417,362

BAYTEX ENERGY CORP YANKEE 5.125% Due 6/1/2021 1,250,000 968,750 1,078,125

BAYTEX ENERGY CORP YANKEE 5.625% Due 6/1/2024 1,200,000 891,000 1,005,000

BCD ACQUISITION INC CORPORATE 9.625% Due 9/15/2023 2,275,000 2,275,000 2,371,688

BCD ACQUISITION INC CORPORATE 9.625% Due 9/15/2023 840,000 840,000 875,700

BERRY PLASTICS CORP CORPORATE 5.500% Due 5/15/2022 3,060,000 3,067,731 3,182,400



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


BGC PARTNERS INC CORPORATE 5.125% Due 5/27/2021 2,055,000 2,043,841 2,110,259

BIOSCRIP INC BANK LOAN 1.000% Due 7/31/2020 1,504,857 1,477,666 1,388,231

BIOSCRIP INC BANK LOAN 1.000% Due 7/31/2020 899,714 883,448 829,986

BLK KNIGHT INFOSERVE CORPORATE 5.750% Due 4/15/2023 3,655,000 3,888,006 3,819,475

BLOCK FINANCIAL LLC CORPORATE 4.125% Due 10/1/2020 5,440,000 5,422,266 5,566,426

BLOUNT INTL INC BANK LOAN 1.000% Due 4/12/2023 2,314,200 2,291,058 2,348,913

BLUELINE RENTAL FINANCE CORPORATE 7.000% Due 2/1/2019 2,930,000 2,890,123 2,812,800

BOARDWALK PIPELINES LLC CORPORATE 5.750% Due 9/15/2019 1,500,000 1,476,885 1,611,375

BOMBARDIER INC YANKEE 7.500% Due 3/15/2025 3,800,000 3,799,219 3,377,820

BOMBARDIER INC YANKEE 8.750% Due 12/1/2021 1,000,000 990,010 992,500

BOMBARDIER INC YANKEE 7.500% Due 3/15/2018 5,180,000 5,584,650 5,563,320

BOSSIER CASINO VENTURE H CORPORATE 14.000% Due 2/9/2018 1,951,309 1,780,204 1,951,309

BOYD GAMING CORP CORPORATE 6.375% Due 4/1/2026 1,500,000 1,620,000 1,563,750

BRAND ENERGY + INFRASTRU CORPORATE 8.500% Due 12/1/2021 4,000,000 3,931,875 4,030,000

BUILDERS FIRSTSOURCE INC CORPORATE 5.625% Due 9/1/2024 1,100,000 1,100,000 1,105,500

BWAY HLDG CO BANK LOAN 1.000% Due 8/14/2020 1,408,042 1,367,622 1,412,822

BWAY HOLDING CO CORPORATE 9.125% Due 8/15/2021 490,000 393,225 509,600

CABLEVISION SYSTEMS CORP CORPORATE 8.000% Due 4/15/2020 1,500,000 1,515,000 1,612,500

CABLEVISION SYSTEMS CORP CORPORATE 5.875% Due 9/15/2022 3,000,000 2,615,000 2,797,500

CAELUS ENERGY ALASKA O3 LLC BANK LOAN 1.000% Due 4/15/2020 4,698,952 4,625,682 3,688,678

CALATLANTIC GROUP INC CORPORATE 5.375% Due 10/1/2022 2,300,000 2,332,625 2,346,230

CALIFORNIA RESOURCES CORPORATI BANK LOAN 1.000% Due 12/31/2021 815,000 806,850 888,859

CALPINE CORP CORPORATE 5.750% Due 1/15/2025 3,000,000 2,707,500 2,865,000



CAMELOT FINANCE SA CORPORATE 7.875% Due 10/15/2024 830,000 832,250 848,675

CANADIAN NATL RESOURCES CORPORATE 1.750% Due 1/15/2018 3,150,000 3,084,417 3,137,463

CANADIAN NATL RESOURCES YANKEE 5.900% Due 2/1/2018 4,182,000 4,364,383 4,364,921

CAPSUGEL SA CORPORATE 7.000% Due 5/15/2019 3,864,000 3,823,750 3,865,584

CARECORE NATL LLC BANK LOAN 1.000% Due 3/5/2021 1,661,963 1,647,935 1,632,879

CARLSON TRAVEL HOLDINGS CORPORATE 7.500% Due 8/15/2019 5,600,000 5,607,500 5,516,000

CARLYLE HOLDINGS FINANCE CORPORATE 3.875% Due 2/1/2023 1,743,000 1,815,335 1,756,752

CASCADES INC YANKEE 5.500% Due 7/15/2022 3,125,000 3,132,795 3,167,969

CASCADES INC YANKEE 5.750% Due 7/15/2023 15,000 15,000 15,131

CBS RADIO INC CORPORATE 7.250% Due 11/1/2024 325,000 325,000 341,452

CBS RADIO INC CORPORATE 7.250% Due 11/1/2024 170,000 170,000 178,605

CCO HLDGS LLC/CAP CORP CORPORATE 5.250% Due 9/30/2022 1,650,000 1,662,000 1,711,875


CCO HLDGS LLC/CAP CORP CORPORATE 5.875% Due 4/1/2024 750,000 750,000 794,063


CCO HLDGS LLC/CAP CORP CORPORATE 5.250% Due 3/15/2021 920,000 920,000 953,350

CDK GLOBAL INC CORPORATE 3.800% Due 10/15/2019 5,550,000 5,550,000 5,569,092

CEDAR FAIR LP/CANADA S W CORPORATE 5.375% Due 6/1/2024 2,775,000 2,916,319 2,886,000

CEMEX FINANCE LLC CORPORATE 6.000% Due 4/1/2024 1,000,000 993,750 993,850

CENGAGE LEARNING INC CORPORATE 9.500% Due 6/15/2024 4,000,000 4,016,499 3,490,000

CENTENE CORP CORPORATE 4.750% Due 5/15/2022 735,000 747,863 723,975

CENTENE CORP CORPORATE 5.625% Due 2/15/2021 1,155,000 1,155,000 1,189,650

CENTENE CORP CORPORATE 6.125% Due 2/15/2024 560,000 560,000 569,016

CENTENE CORP CORPORATE 4.750% Due 1/15/2025 1,990,000 1,990,000 1,905,425

CENTURY ALUMINUM COMPANY CORPORATE 7.500% Due 6/1/2021 3,699,000 3,673,891 3,421,575



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


CENTURYLINK INC CORPORATE 7.500% Due 4/1/2024 1,200,000 1,200,000 1,238,868


CENTURYLINK INC CORPORATE 6.450% Due 6/15/2021 940,000 904,750 969,967


CENTURYLINK INC CORPORATE 5.625% Due 4/1/2025 210,000 206,140 196,220

CEQUEL COM HLDG I/CAP CP CORPORATE 6.375% Due 9/15/2020 6,250,000 5,890,000 6,375,000

CHARTER COMM OPT LLC/CAP CORPORATE 3.579% Due 7/23/2020 7,065,000 7,072,914 7,210,680

CHC HELICOPTER SA BANK LOAN 1.000% Due 1/23/2019 200,742 160,160 179,664

CHC HELICOPTER SA CORPORATE 9.250% Due 10/15/2020 1,264,500 528,125 619,605

CHECKOUT HLDG CORP BANK LOAN 1.000% Due 4/11/2022 1,459,880 1,384,526 1,014,617

CHECKOUT HLDG CORP BANK LOAN 1.000% Due 4/4/2021 1,868,506 1,768,587 1,583,559

CHENIERE CORP CHRISTI HD CORPORATE 7.000% Due 6/30/2024 940,000 940,000 1,001,100

CHENIERE CORP CHRISTI HD CORPORATE 7.000% Due 6/30/2024 940,000 940,000 1,001,100

CHESAPEAKE ENERGY CORP BANK LOAN 1.000% Due 8/23/2021 4,500,000 4,565,663 4,826,273

CHESAPEAKE ENERGY CORP CORPORATE 4.875% Due 4/15/2022 139,000 139,000 118,498


CHESAPEAKE ENERGY CORP CORPORATE 8.000% Due 12/15/2022 1,200,000 2,005,000 1,242,000

CHESAPEAKE ENERGY CORP CORPORATE 8.000% Due 12/15/2022 7,061,000 7,164,725 7,308,135


CHOICE HOTELS INTL INC CORPORATE 5.700% Due 8/28/2020 1,500,000 1,496,145 1,642,500

CHS / COMMUNITY HEALTH SYS INC BANK LOAN 1.000% Due 1/27/2021 1,345,716 1,345,716 1,275,066

CHS/COMMUNITY HEALTH SYS CORPORATE 6.875% Due 2/1/2022 5,430,000 5,582,423 3,621,158

CHURCHILL DOWNS INC CORPORATE 5.375% Due 12/15/2021 3,200,000 3,231,388 3,312,000

CIT GROUP INC CORPORATE 5.000% Due 5/15/2017 1,635,000 1,635,000 1,653,394

CITGO PETROLEUM CORP CORPORATE 6.250% Due 8/15/2022 1,875,000 1,887,640 1,903,125

CLEAR CHANNEL WORLDWIDE CORPORATE 7.625% Due 3/15/2020 2,500,000 2,497,457 2,465,625





CLEAR CHANNEL WORLDWIDE CORPORATE 7.625% Due 3/15/2020 880,000 879,887 867,900

CLEAVER BROOKS INC CORPORATE 8.750% Due 12/15/2019 820,000 803,333 846,650

CLIFFS NATURAL RESOURCES CORPORATE 8.250% Due 3/31/2020 1,585,000 1,498,490 1,739,538

CLOUD CRANE LLC CORPORATE 10.125% Due 8/1/2024 470,000 472,050 498,200

CLUBCORP CLUB OPERATIONS CORPORATE 8.250% Due 12/15/2023 1,500,000 1,491,150 1,578,750

CNH INDUSTRIAL CAP LLC CORPORATE 3.875% Due 10/15/2021 2,000,000 1,988,820 1,960,000

CNH INDUSTRIAL CAPITAL L CORPORATE 3.875% Due 7/16/2018 2,700,000 2,690,334 2,730,375

COMMSCOPE INC CORPORATE 5.500% Due 6/15/2024 3,065,000 3,179,013 3,137,334

COMMSCOPE INC CORPORATE 5.000% Due 6/15/2021 950,000 950,000 961,875

COMMSCOPE INC CORPORATE 5.000% Due 6/15/2021 2,125,000 2,124,860 2,151,563

CONDUENT FIN / XEROX BUS CORPORATE 10.500% Due 12/15/2024 2,190,000 2,160,917 2,277,600

CONSOL ENERGY INC CORPORATE 5.875% Due 4/15/2022 5,850,000 5,572,125 5,616,000

CONSOLIDATED ENERGY FIN CORPORATE 6.750% Due 10/15/2019 3,500,000 3,401,250 3,465,000

CONSTELLATION BRANDS INC CORPORATE 7.250% Due 5/15/2017 2,000,000 2,012,500 2,050,000

CONSTELLIUM NV YANKEE 7.875% Due 4/1/2021 4,000,000 4,000,000 4,300,000

CONSTELLIUM NV YANKEE 8.000% Due 1/15/2023 1,628,000 1,652,839 1,680,910

CONTINENTAL RESOURCES CORPORATE 5.000% Due 9/15/2022 220,000 154,167 219,450

CONTINENTAL RESOURCES CORPORATE 4.500% Due 4/15/2023 210,000 146,295 204,225

CONTL AIRLINES 2010 B CORPORATE 6.000% Due 7/12/2020 355,586 355,586 364,476

CONTL AIRLINES 2012 2 B CORPORATE 5.500% Due 4/29/2022 1,781,206 1,787,808 1,861,360



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


CONTL AIRLINES 2012 B CORPORATE 6.250% Due 10/11/2021 2,855,300 2,897,884 3,033,756

CORECIVIC INC CORPORATE 4.625% Due 5/1/2023 2,800,000 2,591,513 2,723,000

CORECIVIC INC CORPORATE 5.000% Due 10/15/2022 190,000 180,238 187,625

CORECIVIC INC CORPORATE 5.000% Due 10/15/2022 902,000 901,839 890,725

COVANTA HOLDING CORP CORPORATE 7.250% Due 12/1/2020 1,565,000 1,615,153 1,609,994

COVANTA HOLDING CORP CORPORATE 5.875% Due 3/1/2024 625,000 634,375 609,375

COVANTA HOLDING CORP CORPORATE 6.375% Due 10/1/2022 665,000 668,500 660,013

CPI BUYER LLC BANK LOAN 1.000% Due 8/15/2021 2,075,737 2,044,601 2,065,359

CPM HOLDINGS INC. BANK LOAN 1.000% Due 4/10/2023 1,800,000 1,755,000 1,710,000

CPM HOLDINGS, INC. BANK LOAN 1.000% Due 4/11/2022 1,154,181 1,142,639 1,162,837

CSC HOLDINGS LLC CORPORATE 10.875% Due 10/15/2025 1,000,000 1,000,000 1,165,000



CSI COMPRESSCO LP/FINANC CORPORATE 7.250% Due 8/15/2022 4,500,000 4,432,860 4,140,000

CUMULUS MEDIA HLDGS INC BANK LOAN 1.000% Due 12/23/2020 1,342,660 951,862 822,863

D R HORTON INC CORPORATE 4.750% Due 5/15/2017 5,000,000 5,000,000 5,077,500

DAE AVIATION HLDGS INC BANK LOAN 1.000% Due 7/7/2022 3,217,500 3,206,428 3,228,359

DANA INC CORPORATE 5.375% Due 9/15/2021 1,200,000 1,209,000 1,242,000

DANA INC CORPORATE 5.500% Due 12/15/2024 1,725,000 1,552,500 1,737,938

DAVITA INC CORPORATE 5.125% Due 7/15/2024 2,590,000 2,640,819 2,557,625



DBP HOLDING CORP CORPORATE 7.750% Due 10/15/2020 2,665,000 2,478,735 1,625,650

DELL INT LLC / EMC CORP CORPORATE 7.125% Due 6/15/2024 3,000,000 3,000,000 3,277,410


DELL INT LLC / EMC CORP CORPORATE 6.020% Due 6/15/2026 960,000 1,016,697 1,009,939

DELL INT LLC / EMC CORP CORPORATE 6.020% Due 6/15/2026 656,000 723,254 690,125





DELTA AIR LINES 2010 1 A CORPORATE 6.200% Due 1/2/2020 2,402,369 2,402,369 2,540,506

DELTA AIR LINES 2012 1B CORPORATE 6.875% Due 5/7/2019 3,165,043 3,430,115 3,406,378

DELTA AIR LINES INC BANK LOAN 1.000% Due 10/18/2018 4,448,364 4,448,364 4,486,598

DENBURY RESOURCES INC CORPORATE 5.500% Due 5/1/2022 1,710,000 1,720,504 1,397,925

DENBURY RESOURCES INC CORPORATE 9.000% Due 5/15/2021 1,070,000 1,056,800 1,110,125

DEUTSCHE BANK AG YANKEE 4.250% Due 10/14/2021 1,630,000 1,629,495 1,605,159

DIGITAL REALTY TRUST LP CORPORATE 3.400% Due 10/1/2020 2,700,000 2,693,979 2,762,370

DISH DBS CORP CORPORATE 5.875% Due 11/15/2024 3,500,000 3,176,250 3,548,125


DISH DBS CORP CORPORATE 5.000% Due 3/15/2023 745,000 724,175 735,688





DOLLAR TREE INC CORPORATE 5.250% Due 3/1/2020 1,245,000 1,245,000 1,285,463

DRAWBRIDGE SPEC OPPOR FU FINANCIALS 5.000% Due 8/1/2021 5,400,000 5,321,214 5,170,500

DUN + BRADSTREET CORP CORPORATE 4.250% Due 6/15/2020 5,000,000 4,980,500 5,148,000

DYNEGY INC BANK LOAN 1.000% Due 6/27/2023 7,310,000 7,319,375 7,356,272

DYNEGY INC CORPORATE 7.625% Due 11/1/2024 500,000 490,000 460,000



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


DYNEGY INC CORPORATE 7.375% Due 11/1/2022 3,500,000 3,500,000 3,325,000

DYNEGY INC CORPORATE 8.000% Due 1/15/2025 1,000,000 1,000,000 920,000

DYNEGY INC CORPORATE 5.875% Due 6/1/2023 1,340,000 1,310,247 1,169,150

DYNEGY INC CORPORATE 6.750% Due 11/1/2019 255,000 250,538 257,550

ECOPETROL SA YANKEE 7.625% Due 7/23/2019 4,400,000 5,335,000 4,917,000

EDP FINANCE BV YANKEE 6.000% Due 2/2/2018 8,700,000 8,743,500 9,018,246

EDP FINANCE BV YANKEE 5.250% Due 1/14/2021 1,700,000 1,689,205 1,793,177

EDUCATION MANAGEMENT LLC BANK LOAN 1.000% Due 7/2/2020 510,203 816,444 27,423

ELDORADO GOLD CORP YANKEE 6.125% Due 12/15/2020 1,435,000 1,449,350 1,445,763

EMC CORP CORPORATE 2.650% Due 6/1/2020 5,830,000 5,372,122 5,590,270

EMERGENCY MED SVCS CORP BANK LOAN 1.000% Due 5/25/2018 3,739,631 3,720,933 3,741,968

EMI MUSIC PUBLISHING GRP CORPORATE 7.625% Due 6/15/2024 1,170,000 1,172,850 1,251,900

ENABLE MIDSTREAM PARTNER CORPORATE 2.400% Due 5/15/2019 7,345,000 7,168,290 7,212,643

ENDO FIN LLC/ENDO FINCO CORPORATE 7.250% Due 1/15/2022 4,250,000 4,324,375 4,064,063

ENDO FIN LLC/ENDO FINCO CORPORATE 5.375% Due 1/15/2023 250,000 218,750 218,125

ENDO FINANCE LLC CORPORATE 5.750% Due 1/15/2022 2,130,000 2,144,210 1,919,663

ENDO FINANCE LLC CORPORATE 5.750% Due 1/15/2022 875,000 888,125 788,594

ENERGIZER HOLDINGS INC CORPORATE 5.500% Due 6/15/2025 2,220,000 2,301,300 2,220,000

ENERGY EXPLORATION PARTNERS BANK LOAN 1.000% Due 11/10/2021 244,183 244,183 231,973

ENERGY + EXPLORATION PARTNERS BANK LOAN 1.000% Due 11/12/2021 676,593 676,593 642,763

ENERGY TRANSFER EQUITY CORPORATE 5.875% Due 1/15/2024 2,000,000 1,808,000 2,050,000

ENERGY TRANSFER LP CORPORATE 9.000% Due 4/15/2019 3,708,000 4,474,110 4,225,600

ENERGY TRANSFER LP CORPORATE 4.150% Due 10/1/2020 3,650,000 3,551,815 3,767,129

ENVISION HEALTHCARE CORP BANK LOAN 1.000% Due 12/1/2023 3,739,631 3,702,235 3,752,495

ENVISION HEALTHCARE CORP CORPORATE 6.250% Due 12/1/2024 806,000 808,988 834,210

ENVISION HEALTHCARE CORP CORPORATE 5.125% Due 7/1/2022 3,175,000 3,172,413 3,127,375

ENVISION HEALTHCARE CORP CORPORATE 5.625% Due 7/15/2022 3,295,000 3,349,151 3,365,019

ENVIVA PARTNERS LP/FIN C CORPORATE 8.500% Due 11/1/2021 930,000 930,000 960,225

EQUITY COMMONWEALTH CORPORATE 6.250% Due 6/15/2017 6,474,000 6,895,198 6,481,834

ERICSSON LM YANKEE 4.125% Due 5/15/2022 5,000,000 5,240,200 5,042,450

ESH HOSPITALITY INC CORPORATE 5.250% Due 5/1/2025 2,545,000 2,561,138 2,462,288

ESH HOSPITALITY INC CORPORATE 5.250% Due 5/1/2025 1,530,000 1,533,825 1,480,275

ESSAR STEEL ALGOMA INC YANKEE 9.500% Due 11/15/2019 2,930,000 2,853,275 234,400

ESSAR STEEL ALGOMA INC. BANK LOAN 1.000% Due 2/10/2017 787,086 755,603 787,086

ESSAR STELL ALGOMA, INC. BANK LOAN 1.000% Due 8/9/2019 258,277 67,699 69,735

EVERGREEN SKILLS LUX S A R L BANK LOAN 1.000% Due 4/28/2021 5,778,142 5,100,729 5,357,783

EXCELITAS TECHNOLOGIES CORP BANK LOAN 1.000% Due 10/31/2020 3,069,683 2,818,709 2,996,778

EXTRACTION OIL+GAS INC/ CORPORATE 7.875% Due 7/15/2021 2,400,000 2,400,000 2,526,000

EXTRACTION OIL+GAS INC/ CORPORATE 7.875% Due 7/15/2021 740,000 740,000 778,850

EXTREME REACH INC BANK LOAN 1.000% Due 2/7/2020 1,196,619 1,193,628 1,209,333

FAIRMOUNT MINERALS LTD BANK LOAN 1.000% Due 9/5/2019 1,847,918 1,650,457 1,776,311

FAIRPOINT COMMUNICATIONS CORPORATE 8.750% Due 8/15/2019 3,300,000 3,547,500 3,399,000

FBM FINANCE INC CORPORATE 8.250% Due 8/15/2021 2,265,000 2,312,163 2,344,275

FBM FINANCE INC CORPORATE 8.250% Due 8/15/2021 940,000 956,050 972,900

FIDELITY NATL FINANCIAL CORPORATE 6.600% Due 5/15/2017 2,400,000 2,429,433 2,447,544

FIELDWOOD ENERGY LLC BANK LOAN 1.000% Due 9/30/2020 955,000 930,252 547,931

FIELDWOOD ENERGY LLC BANK LOAN 1.000% Due 9/30/2020 1,385,000 1,347,911 1,101,075

FIRST DATA CORP BANK LOAN 1.000% Due 7/10/2022 1,875,893 2,110,294 1,998,239

FIRST DATA CORPORATION BANK LOAN 1.000% Due 7/10/2022 1,556,745 1,745,354 1,658,751

FIRST DATA CORPORATION CORPORATE 5.750% Due 1/15/2024 1,695,000 1,695,000 1,716,188



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current





FIRST HORIZON NATIONAL CORPORATE 3.500% Due 12/15/2020 3,415,000 3,406,736 3,439,725

FIRST QUALITY FINANCE CO CORPORATE 4.625% Due 5/15/2021 2,810,000 2,683,280 2,764,338

FIRST QUANTUM MINERALS L YANKEE 7.250% Due 5/15/2022 2,300,000 2,323,473 2,231,000

FLEXI VAN LEASNG CORPORATE 7.875% Due 8/15/2018 2,350,000 2,265,367 2,150,250

FORESIGHT ENERGY/FINANCE CONVERTIBLES 15.000% Due 10/3/2017 1,775,000 1,735,784 1,757,250

FORESIGHT ENERGY/FINANCE CORPORATE 1.000% Due 8/15/2021 4,942,000 4,845,425 4,806,095

FORUM ENERGY TECHNOLOGIE CORPORATE 6.250% Due 10/1/2021 1,110,000 1,012,463 1,090,575

FPC HLDGS INC BANK LOAN 1.000% Due 5/19/2020 1,600,000 1,568,000 1,336,000

FREEPORT MCMORAN INC CORPORATE 4.000% Due 11/14/2021 1,110,000 1,012,809 1,087,800

FREEPORT MCMORAN INC CORPORATE 3.550% Due 3/1/2022 5,845,000 5,425,855 5,532,293

FREEPORT MCMORAN OIL+GAS CORPORATE 6.125% Due 6/15/2019 5,526,000 5,969,186 5,677,965

FRESENIUS MED CARE II CORPORATE 5.875% Due 1/31/2022 70,000 72,100 77,350

FRESENIUS MED CARE US CORPORATE 6.875% Due 7/15/2017 2,760,000 2,882,500 2,829,000

FRONTIER COMMUNICATIONS CORPORATE 7.125% Due 1/15/2023 2,000,000 1,966,250 1,735,000





GARDA WORLD SECURITY COR YANKEE 7.250% Due 11/15/2021 4,250,000 4,260,625 3,931,250

GARDNER DENVER INC BANK LOAN 1.000% Due 7/30/2020 997,429 950,051 973,242

GARDNER DENVER INC CORPORATE 6.875% Due 8/15/2021 3,800,000 3,529,250 3,743,000

GATES GLOBAL LLC CORPORATE 6.000% Due 7/15/2022 1,515,000 1,450,613 1,446,825

GATES GLOBAL LLC CORPORATE 6.000% Due 7/15/2022 719,000 693,835 686,645

GCI INC CORPORATE 6.875% Due 4/15/2025 5,000,000 4,946,700 4,987,500

GENERAL ELECTRIC CO CORPORATE 1.000% Due 12/29/2049 5,802,000 5,136,569 5,947,050

GENERAL MOTORS CO CORPORATE 3.500% Due 10/2/2018 2,000,000 2,000,000 2,035,600

GENERAL MOTORS FINL CO CORPORATE 4.200% Due 3/1/2021 5,000,000 5,242,731 5,139,800

GENESIS ENERGY LP/GENESI CORPORATE 5.625% Due 6/15/2024 3,000,000 2,717,230 2,925,000

GENESIS ENERGY LP/GENESI CORPORATE 6.000% Due 5/15/2023 500,000 455,000 500,000

GENESYS TELECOMMUNICATIONS LAB BANK LOAN 1.000% Due 12/1/2023 586,213 577,420 590,610

GENESYS/GREENEDEN LUX/US CORPORATE 10.000% Due 11/30/2024 800,000 800,000 838,000

GEO GROUP INC/THE CORPORATE 5.125% Due 4/1/2023 2,510,000 2,422,675 2,371,950

GEO GROUP INC/THE CORPORATE 6.000% Due 4/15/2026 445,000 391,238 427,200



GFI GROUP INC CORPORATE 1.000% Due 7/19/2018 4,510,000 4,013,900 4,825,700

GFL ENVIRONMENTAL INC FOREIGN 9.875% Due 2/1/2021 2,900,000 3,010,500 3,146,500

GIBSON ENERGY INC YANKEE 6.750% Due 7/15/2021 2,780,000 2,737,633 2,884,250

GLENCORE FINANCE CANADA YANKEE 1.000% Due 10/25/2017 1,135,000 936,375 1,137,293

GLENCORE FINANCE CANADA YANKEE 3.600% Due 1/15/2017 6,465,000 6,490,180 6,473,211

GLOBAL PART/GLP FINANCE CORPORATE 7.000% Due 6/15/2023 3,500,000 3,500,000 3,342,500

GLP CAPITAL LP / FIN II CORPORATE 4.375% Due 4/15/2021 575,000 575,000 592,969

GLP CAPITAL LP / FIN II CORPORATE 5.375% Due 4/15/2026 1,450,000 1,450,000 1,482,625

GLP CAPITAL LP / FIN II CORPORATE 5.375% Due 4/15/2026 3,000,000 3,211,875 3,067,500

GOL LUXCO S A BANK LOAN 1.000% Due 8/31/2020 2,374,000 2,350,260 2,430,383

GOLDMAN SACHS GROUP INC CORPORATE 1.000% Due 12/29/2049 3,000,000 3,000,000 2,896,500

GOODYEAR TIRE + RUBBER CORPORATE 5.000% Due 5/31/2026 1,000,000 1,000,000 992,500



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


GOVERNMENT PROPERTIES IN CORPORATE 3.750% Due 8/15/2019 5,093,000 5,052,511 5,150,653

GRANITE ACQUISITION INC. BANK LOAN 1.000% Due 12/19/2022 3,000,000 2,970,000 2,843,580

GREATBATCH INC. BANK LOAN 1.000% Due 10/27/2022 1,241,247 1,234,422 1,237,678

GRIFOLS WORLDWIDE OP LTD YANKEE 5.250% Due 4/1/2022 5,325,000 5,471,438 5,484,750

GROUP 1 AUTOMOTIVE INC CORPORATE 5.250% Due 12/15/2023 1,525,000 1,425,525 1,490,688

GULFPORT ENERGY CORP CORPORATE 6.625% Due 5/1/2023 1,685,000 1,701,234 1,760,825

GULFPORT ENERGY CORP CORPORATE 6.000% Due 10/15/2024 505,000 505,000 513,838

H+E EQUIPMENT SERVICES CORPORATE 7.000% Due 9/1/2022 5,750,000 5,738,750 6,051,875

HANESBRANDS INC CORPORATE 4.625% Due 5/15/2024 1,235,000 1,235,000 1,231,913



HANGER INC. BANK LOAN 1.000% Due 8/1/2019 1,310,000 1,283,800 1,310,000

HARTFORD FINL SVCS GRP CORPORATE 5.500% Due 3/30/2020 970,000 956,711 1,062,587

HAWAIIAN AIRLINES 13 1B CORPORATE 4.950% Due 7/15/2023 3,273,172 3,273,172 3,240,441

HCA HEALTHCARE INC CORPORATE 6.250% Due 2/15/2021 4,840,000 5,167,448 5,079,580

HCA INC CORPORATE 5.875% Due 5/1/2023 550,000 584,375 565,125

HCA INC CORPORATE 7.500% Due 2/15/2022 1,650,000 1,817,063 1,835,625



HCA INC. BANK LOAN 1.000% Due 2/15/2024 378,304 378,304 381,298

HD SUPPLY INC CORPORATE 5.750% Due 4/15/2024 4,020,000 4,185,956 4,110,450

HEALTHSOUTH CORP CORPORATE 5.750% Due 11/1/2024 560,000 576,887 561,400

HEALTHSOUTH CORP CORPORATE 5.125% Due 3/15/2023 1,720,000 1,718,713 1,694,200

HEARTLAND DENTAL CARE LLC BANK LOAN 1.000% Due 12/21/2018 1,019,953 1,014,840 1,021,233

HERC RENTALS INC CORPORATE 7.750% Due 6/1/2024 4,000,000 3,982,000 4,110,000

HERC RENTALS INC CORPORATE 7.500% Due 6/1/2022 1,521,000 1,514,026 1,568,531

HEXION INC CORPORATE 8.875% Due 2/1/2018 1,625,000 1,696,094 1,572,188

HIGGINBOTHAM INS AGY INC BANK LOAN 1.000% Due 11/25/2021 2,243,050 2,220,620 2,243,050

HIGHLAND ACQUISITIONS HOLDINGS BANK LOAN 1.000% Due 11/17/2023 3,490,000 3,280,600 3,315,500

HILTON DOMESTIC OPERATIN CORPORATE 4.250% Due 9/1/2024 1,450,000 1,450,000 1,421,000

HORNBECK OFFSHORE SERV CORPORATE 5.875% Due 4/1/2020 1,500,000 1,413,750 915,000

HORNBECK OFFSHORE SERV CORPORATE 5.000% Due 3/1/2021 2,000,000 1,740,000 1,075,000

HORNBECK OFFSHORE SERV CORPORATE 5.000% Due 3/1/2021 365,000 361,168 196,188

HOSPITALITY PROP TRUST CORPORATE 5.000% Due 8/15/2022 4,500,000 4,887,765 4,749,300

HP ENTERPRISE CO CORPORATE 4.400% Due 10/15/2022 3,000,000 3,209,520 3,198,030

HP ENTERPRISE CO CORPORATE 3.600% Due 10/15/2020 6,590,000 6,588,155 6,779,463

HRG GROUP INC CORPORATE 7.750% Due 1/15/2022 7,630,000 7,604,226 7,916,125

HUB INTERNATIONAL LTD CORPORATE 7.875% Due 10/1/2021 2,860,000 2,988,423 2,920,775

HUB INTL LTD BANK LOAN 1.000% Due 10/2/2020 5,416,667 5,409,896 5,429,829

HUDBAY MINERALS INC YANKEE 9.500% Due 10/1/2020 1,830,000 1,861,734 1,926,075

HUGHES SATELITE SYSTEMS CORPORATE 6.500% Due 6/15/2019 1,418,000 1,499,141 1,528,320

HUGHES SATELLITE SYSTEMS CORPORATE 7.625% Due 6/15/2021 6,000,000 6,480,000 6,450,000

HUGHES SATELLITE SYSTEMS CORPORATE 6.625% Due 8/1/2026 1,300,000 1,274,125 1,251,250

HUGHES SATELLITE SYSTEMS CORPORATE 5.250% Due 8/1/2026 435,000 435,000 411,619

HUNTINGTON INGALLS INDUS CORPORATE 5.000% Due 12/15/2021 1,820,000 1,858,025 1,892,800

HUNTSMAN INTERNATIONAL L CORPORATE 4.875% Due 11/15/2020 1,200,000 1,176,000 1,233,000

ICAHN ENTERPRISES/FIN CORPORATE 6.000% Due 8/1/2020 2,025,000 2,076,519 2,015,948

ICAHN ENTERPRISES/FIN CORPORATE 4.875% Due 3/15/2019 6,205,000 6,244,938 6,251,538

INEOS GROUP HOLDINGS SA CORPORATE 5.875% Due 2/15/2019 765,000 765,000 776,475

INFOR (US) INC. BANK LOAN 1.000% Due 6/3/2020 4,942,686 4,893,259 4,942,192



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


INFOR SOFTWARE PARENT CORPORATE 7.125% Due 5/1/2021 2,100,000 2,105,250 2,105,250

INFOR US INC CORPORATE 6.500% Due 5/15/2022 475,000 461,938 488,063

INGLES MARKETS INC CORPORATE 5.750% Due 6/15/2023 2,915,000 2,927,042 2,981,520

INTELSAT JACKSON HLDG CORPORATE 9.500% Due 9/30/2022 760,000 827,073 837,900

INTELSAT JACKSON HLDG CORPORATE 8.000% Due 2/15/2024 1,275,000 1,281,900 1,284,563

INTELSAT JACKSON HLDG CORPORATE 8.000% Due 2/15/2024 109,000 109,000 109,818

INTELSAT JACKSON HLDGS S A BANK LOAN 1.000% Due 6/30/2019 2,515,625 2,336,469 2,432,811

INTERNATIONAL GAME TECH CORPORATE 6.250% Due 2/15/2022 1,200,000 1,146,000 1,275,000

INTERNATIONAL WIRE GROUP CORPORATE 10.750% Due 8/1/2021 860,000 828,060 803,025

INTL LEASE FINANCE CORP CORPORATE 5.875% Due 4/1/2019 2,515,000 2,722,488 2,678,475

INTREPID AVIATION GRP HL CORPORATE 6.875% Due 2/15/2019 2,335,000 2,308,838 2,104,419

INTREPID AVIATION GRP HL CORPORATE 6.875% Due 2/15/2019 2,177,000 2,159,438 1,962,021

INVENTIV GRP HLDGS INC CORPORATE 7.500% Due 10/1/2024 350,000 350,000 354,375

INVISTA FINANCE LLC CORPORATE 4.250% Due 10/15/2019 5,405,000 5,350,950 5,404,514

IPALCO ENTERPRISES INC CORPORATE 3.450% Due 7/15/2020 5,410,000 5,406,159 5,477,625

IRON MOUNTAIN INC CORPORATE 6.000% Due 10/1/2020 475,000 499,938 499,938

IRON MOUNTAIN INC CORPORATE 4.375% Due 6/1/2021 925,000 925,000 945,813

IRON MOUNTAIN INC CORPORATE 6.000% Due 10/1/2020 2,450,000 2,471,025 2,578,625

ISLE OF CAPRI CASINOS CORPORATE 5.875% Due 3/15/2021 1,365,000 1,398,406 1,420,460

JABIL INC CORPORATE 4.700% Due 9/15/2022 2,210,000 2,173,447 2,274,090

JABIL INC CORPORATE 5.625% Due 12/15/2020 5,746,000 6,243,885 6,105,125

JBS USA LUX/JBS USA FIN CORPORATE 7.250% Due 6/1/2021 870,000 894,838 896,100

JBS USA LUX/JBS USA FIN CORPORATE 7.250% Due 6/1/2021 1,895,000 1,894,302 1,951,850

JEFFERIES GROUP LLC CONVERTIBLES 3.875% Due 11/1/2029 3,630,000 3,315,450 3,666,300

JEFFERIES GROUP LLC CORPORATE 5.125% Due 1/20/2023 1,100,000 1,081,674 1,136,872

JELD WEN INC BANK LOAN 1.000% Due 7/1/2022 1,367,366 1,363,947 1,381,326

JONES ENERGY HLDGS/FIN CORPORATE 6.750% Due 4/1/2022 1,815,000 1,863,388 1,642,575

JOSEPH T RYERSON + SON I CORPORATE 11.000% Due 5/15/2022 1,140,000 1,140,000 1,242,600

JPMORGAN CHASE + CO CORPORATE 1.000% Due 12/29/2049 5,000,000 5,000,000 5,050,000

JUNIPER NETWORKS INC CORPORATE 3.125% Due 2/26/2019 3,700,000 3,697,151 3,769,338

JUPITER RESOURCES INC YANKEE 8.500% Due 10/1/2022 3,725,000 3,568,736 3,073,125

K HOVNANIAN ENTERPRISES CORPORATE 7.250% Due 10/15/2020 2,305,000 2,334,381 2,132,125

KB HOME CORPORATE 7.250% Due 6/15/2018 660,000 716,925 697,950

KB HOME CORPORATE 7.500% Due 9/15/2022 650,000 685,685 692,250

KENAN ADVANTAGE GROUP CORPORATE 7.875% Due 7/31/2023 2,200,000 2,177,500 2,112,000

KENNEDY WILSON INC CORPORATE 5.875% Due 4/1/2024 1,705,000 1,711,450 1,717,788

KFC HLD/PIZZA HUT/TACO CORPORATE 5.000% Due 6/1/2024 1,715,000 1,720,700 1,732,150

KFC HLD/PIZZA HUT/TACO CORPORATE 5.000% Due 6/1/2024 1,050,000 1,050,000 1,060,500

KIK CUSTOM PRODUCTS INC. BANK LOAN 1.000% Due 8/26/2022 1,491,222 1,460,175 1,495,889

KIK CUSTOM PRODUCTS INC. BANK LOAN 1.000% Due 8/26/2022 2,315,008 2,269,353 2,322,254

KINDER MORGAN ENER PART CORPORATE 3.500% Due 3/1/2021 5,145,000 5,093,036 5,197,170

KINDER MORGAN FIN CO LLC CORPORATE 6.000% Due 1/15/2018 1,500,000 1,499,895 1,561,140

KINDER MORGAN INC/DELAWA CORPORATE 7.250% Due 6/1/2018 5,005,000 5,155,150 5,359,754

KINDRED HEALTHCARE INC. BANK LOAN 1.000% Due 4/9/2021 3,725,480 3,703,910 3,702,196

KLA TENCOR CORP CORPORATE 4.125% Due 11/1/2021 4,020,000 4,019,317 4,191,654

KLX INC CORPORATE 5.875% Due 12/1/2022 2,400,000 2,418,000 2,454,000

KRATON POLYMERS LLC BANK LOAN 1.000% Due 1/6/2022 8,700,000 8,616,250 8,766,599

KRATON POLYMERS LLC/CAP CORPORATE 10.500% Due 4/15/2023 4,000,000 4,273,075 4,430,000

KRATOS DEFENSE + SEC CORPORATE 7.000% Due 5/15/2019 2,526,000 2,499,881 2,456,535

KRONOS ACQUISITION HOLDI YANKEE 9.000% Due 8/15/2023 2,000,000 2,060,000 1,980,000



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


KRONOS ACQUISITION HOLDI YANKEE 9.000% Due 8/15/2023 1,424,000 1,432,147 1,409,760

LADDER CAP FIN LLLP/CORP CORPORATE 7.375% Due 10/1/2017 6,495,000 6,511,238 6,495,000

LAMAR MEDIA CORP CORPORATE 5.875% Due 2/1/2022 1,425,000 1,440,680 1,467,750

LAMB WESTON HLD CORPORATE 4.875% Due 11/1/2026 1,103,000 1,090,813 1,097,485

LAMB WESTON HLD CORPORATE 4.625% Due 11/1/2024 1,103,000 1,091,750 1,098,180

LAREDO PETROLEUM INC CORPORATE 5.625% Due 1/15/2022 1,680,000 1,686,814 1,675,800

LENNAR CORP CORPORATE 4.500% Due 6/15/2019 3,460,000 3,524,875 3,563,800

LEVEL 3 FINANCING INC BANK LOAN 1.000% Due 1/15/2020 2,630,000 2,623,425 2,653,999

LEVEL 3 FINANCING INC CORPORATE 5.125% Due 5/1/2023 2,255,000 2,259,163 2,252,181



LEVEL 3 FINANCING INC CORPORATE 5.375% Due 1/15/2024 375,000 375,000 376,875

LEVI STRAUSS + CO CORPORATE 6.875% Due 5/1/2022 750,000 732,188 787,500

LIFEPOINT HEALTH INC CORPORATE 5.875% Due 12/1/2023 2,725,000 2,725,000 2,714,781

LIFEPOINT HEALTH INC CORPORATE 5.375% Due 5/1/2024 1,395,000 1,395,713 1,338,335

LINCOLN FINANCE LTD YANKEE 7.375% Due 4/15/2021 2,000,000 2,000,000 2,140,000

LINCOLN NATIONAL CORP CORPORATE 7.000% Due 3/15/2018 2,410,000 2,112,080 2,566,337

LINCOLN NATIONAL CORP CORPORATE 8.750% Due 7/1/2019 390,000 386,229 450,735

LINN ENERGY LLC/FIN CORP CORPORATE 12.000% Due 12/15/2020 2,373,000 4,344,434 1,601,775

MACDERMID INC BANK LOAN 1.000% Due 6/7/2020 1,089,680 1,069,631 1,092,404

MACDERMID INC BANK LOAN 1.000% Due 6/7/2023 796,226 779,833 804,686

MACDERMID INC BANK LOAN 1.000% Due 6/7/2023 3,061,707 3,046,399 3,094,238

MALLINCKRODT FIN/SB CORPORATE 5.625% Due 10/15/2023 4,000,000 3,635,000 3,620,000

MALLINCKRODT FIN/SB CORPORATE 5.625% Due 10/15/2023 780,000 761,075 705,900

MALLINCKRODT FIN/SB CORPORATE 5.750% Due 8/1/2022 1,260,000 1,285,115 1,174,950



MALLINCKRODT INTL FIN CORPORATE 4.750% Due 4/15/2023 1,220,000 1,064,450 1,030,900

MARATHON OIL CORP CORPORATE 2.700% Due 6/1/2020 5,450,000 5,303,533 5,319,691

MARATHON OIL CORP CORPORATE 5.900% Due 3/15/2018 1,240,000 1,134,600 1,292,353

MASCO CORP CORPORATE 7.125% Due 3/15/2020 1,310,000 1,301,813 1,480,300

MASCO CORP CORPORATE 3.500% Due 4/1/2021 4,350,000 4,335,036 4,373,925

MASONITE INTERNATIONAL C CORPORATE 5.625% Due 3/15/2023 2,375,000 2,391,563 2,416,563

MATCH GROUP INC BANK LOAN 1.000% Due 11/16/2022 1,131,250 1,128,852 1,136,199

MATCH GROUP INC CORPORATE 6.375% Due 6/1/2024 815,000 835,488 860,844

MAUSER US CORPORATE LLC BANK LOAN 1.000% Due 7/31/2022 1,250,000 1,237,500 1,246,875

MAXEDA DIY BV BANK LOAN 1.000% Due 6/28/2019 633,777 571,832 621,608

MAXEDA DIY BV BANK LOAN 1.000% Due 6/28/2019 398,023 359,443 390,381

MDC PARTNERS INC YANKEE 6.500% Due 5/1/2024 3,000,000 2,816,250 2,576,250

MEDIACOM LLC/CAPTL CORP CORPORATE 7.250% Due 2/15/2022 2,250,000 2,252,813 2,328,750

MEDNAX INC CORPORATE 5.250% Due 12/1/2023 1,590,000 1,657,575 1,613,850

MEG ENERGY CORP YANKEE 6.375% Due 1/30/2023 420,000 353,675 370,650

MEG ENERGY CORP YANKEE 7.000% Due 3/31/2024 1,240,000 1,060,225 1,081,900

MERCER INTL INC CORPORATE 7.750% Due 12/1/2022 760,000 760,000 796,100

MERCER INTL INC CORPORATE 7.000% Due 12/1/2019 1,150,000 1,151,750 1,184,500

MERITAGE HOMES CORP CORPORATE 7.150% Due 4/15/2020 1,551,000 1,620,795 1,682,835

METHANOL HOLDINGS TRINIDAD LTD BANK LOAN 1.000% Due 6/30/2022 7,208,750 7,136,663 7,082,597

MGM GROWTH/MGM FINANCE CORPORATE 4.500% Due 9/1/2026 1,500,000 1,500,000 1,436,250

MGM RESORTS INTL CORPORATE 6.750% Due 10/1/2020 2,250,000 2,417,625 2,463,750

MICRON TECHNOLOGY INC CORPORATE 5.875% Due 2/15/2022 6,000,000 6,202,583 6,210,000



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


MIDAS INT HOLDCO II/FIN CORPORATE 7.875% Due 10/1/2022 3,750,000 3,735,875 3,768,750

MILACRON LLC/MCRON FIN CORPORATE 7.750% Due 2/15/2021 2,615,000 2,696,780 2,660,763

MORGAN STANLEY CORPORATE 4.875% Due 11/1/2022 4,640,000 5,021,083 4,993,336

MPG HOLDCO I INC CORPORATE 7.375% Due 10/15/2022 1,350,000 1,447,875 1,383,750

MPH ACQUISITION HLDGS LLC BANK LOAN 1.000% Due 6/7/2023 1,913,545 1,903,977 1,938,488

MPH ACQUISITION HLDGS LLC BANK LOAN 1.000% Due 6/7/2023 2,294,623 2,283,150 2,324,534

MPH ACQUISITION HOLDINGS CORPORATE 7.125% Due 6/1/2024 4,000,000 4,000,000 4,205,000

MPH ACQUISITION HOLDINGS CORPORATE 7.125% Due 6/1/2024 1,565,000 1,603,194 1,645,206

MPH ACQUISITION HOLDINGS CORPORATE 7.125% Due 6/1/2024 770,000 770,000 809,463

MPT OPER PARTNERSP/FINL CORPORATE 5.250% Due 8/1/2026 1,275,000 1,275,000 1,195,313

MPT OPER PARTNERSP/FINL CORPORATE 6.375% Due 3/1/2024 1,000,000 1,060,000 1,025,000

MUELLER WATER PRODUCTS INC. BANK LOAN 1.000% Due 11/26/2021 933,375 928,708 942,709

MURPHY OIL USA INC CORPORATE 6.000% Due 8/15/2023 2,200,000 2,293,500 2,293,500

MURRAY ENERGY CORP CORPORATE 11.250% Due 4/15/2021 1,521,000 242,099 1,079,910

MURRAY ENERGY CORPORATION BANK LOAN 1.000% Due 4/16/2020 2,109,190 2,048,494 1,923,318

MURRAY ENERGY CORPORATION BANK LOAN 1.000% Due 4/16/2020 3,881,954 2,764,529 3,539,857

NATHAN S FAMOUS INC CORPORATE 10.000% Due 3/15/2020 1,490,000 1,568,225 1,624,100

NATIONAL VISION INC. BANK LOAN 1.000% Due 3/11/2022 280,000 262,850 268,800

NATIONSTAR MORT/CAP CORP CORPORATE 7.875% Due 10/1/2020 1,000,000 1,015,833 1,022,500

NATIONSTAR MORT/CAP CORP CORPORATE 6.500% Due 7/1/2021 4,000,000 3,842,727 4,010,000

NATURAL RESRCE PART LP CORPORATE 9.125% Due 10/1/2018 2,025,000 2,026,896 1,964,250

NATURE S BOUNTY CO/THE CORPORATE 7.625% Due 5/15/2021 2,000,000 2,000,000 1,972,500

NAVIENT CORP CORPORATE 7.250% Due 9/25/2023 2,450,000 2,449,927 2,480,625

NAVIENT CORP CORPORATE 4.875% Due 6/17/2019 560,000 538,800 575,400



NAVISTAR INC BANK LOAN 1.000% Due 8/7/2020 1,485,000 1,462,725 1,499,159

NAVISTAR INTL CORP CORPORATE 8.250% Due 11/1/2021 4,250,000 4,184,688 4,239,375

NCL CORP LTD CORPORATE 5.250% Due 11/15/2019 360,000 360,000 365,400

NCR CORP CORPORATE 5.875% Due 12/15/2021 2,230,000 2,302,475 2,327,563



NEIMAN MARCUS GROUP LTD CORPORATE 8.750% Due 10/15/2021 2,360,000 2,331,586 1,781,800

NGL ENRGY PART LP/FIN CO CORPORATE 7.500% Due 11/1/2023 1,100,000 1,100,000 1,097,250

NIELSEN FINANCE LLC/CO CORPORATE 5.000% Due 4/15/2022 3,125,000 3,171,785 3,187,500

NOBLE HOLDING INTL LTD CORPORATE 5.750% Due 3/16/2018 3,801,000 3,805,453 3,767,741

NORTH ATLANTIC TRADING CO INC BANK LOAN 1.000% Due 1/13/2020 1,711,871 1,694,753 1,701,172

NOVELIS CORP CORPORATE 6.250% Due 8/15/2024 4,505,000 4,694,788 4,662,675

NOVELIS CORP CORPORATE 6.250% Due 8/15/2024 225,000 225,000 232,875

NOVELIS CORP CORPORATE 5.875% Due 9/30/2026 1,045,000 1,047,544 1,043,694

NRG ENERGY INC CORPORATE 7.250% Due 5/15/2026 3,500,000 3,490,688 3,421,250

NRG ENERGY INC CORPORATE 7.875% Due 5/15/2021 334,000 314,795 346,525



NRG ENERGY INC CORPORATE 6.250% Due 7/15/2022 2,725,000 2,737,275 2,731,813

NRG YIELD OPERATING LLC CORPORATE 5.375% Due 8/15/2024 2,495,000 2,219,925 2,476,288

NUMERICABLE GROUP SA BANK LOAN 1.000% Due 1/14/2025 763,920 840,580 815,845

NUMERICABLE U S LLC BANK LOAN 1.000% Due 1/14/2025 1,161,567 1,158,663 1,160,481

NV ENERGY INC CORPORATE 6.250% Due 11/15/2020 650,000 650,000 738,283

NXP BV/NXP FUNDING LLC YANKEE 5.750% Due 3/15/2023 1,600,000 1,644,000 1,692,000



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current




OASIS PETROLEUM INC CORPORATE 6.500% Due 11/1/2021 1,590,000 1,622,714 1,605,900

OPAL ACQUISITION INC BANK LOAN 1.000% Due 11/27/2020 5,062,739 4,929,142 4,521,659

OPAL ACQUISITION INC BANK LOAN 1.000% Due 11/27/2020 1,077,883 1,020,624 962,684

OPAL ACQUISITION INC CORPORATE 8.875% Due 12/15/2021 4,020,000 3,311,300 3,145,650

OPEN TEXT CORP YANKEE 5.625% Due 1/15/2023 2,285,000 2,291,618 2,324,988

OPTIMA SPECIALTY STEEL CORPORATE 12.500% Due 12/15/2016 4,130,000 4,264,525 3,799,600

OPTIMA SPECIALTY STEEL CORPORATE 12.000% Due 12/30/2016 2,690,000 2,690,000 2,441,175

OPTIMAS OE SOLUTION HLDG CORPORATE 8.625% Due 6/1/2021 1,050,000 1,048,600 808,500

ORBITAL ATK INC CORPORATE 5.500% Due 10/1/2023 1,100,000 1,124,750 1,135,750

OWENS BROCKWAY CORPORATE 5.000% Due 1/15/2022 265,000 264,006 270,300

OWENS BROCKWAY CORPORATE 5.875% Due 8/15/2023 2,875,000 2,802,500 3,004,375

OWENS ILLINOIS INC CORPORATE 7.800% Due 5/15/2018 2,000,000 2,155,000 2,140,000

PACKAGING COORDINATORS MIDCO BANK LOAN 1.000% Due 6/30/2023 2,224,425 2,202,181 2,227,206

PARQ HOLDINGS LIMITED PARTNERS BANK LOAN 1.000% Due 11/17/2020 2,859,031 2,812,349 2,787,556

PARTY CITY HOLDINGS INC CORPORATE 6.125% Due 8/15/2023 2,500,000 2,595,506 2,593,750

PATTERSON MEDICAL HOLDINGS INC BANK LOAN 1.000% Due 8/28/2022 3,890,775 3,849,717 3,856,731

PAW LUXCO II SARL BANK LOAN 1.000% Due 7/30/2018 1,523,708 1,923,835 815,101

PENNANTPARK INVESTMENT C CORPORATE 4.500% Due 10/1/2019 6,660,000 6,643,777 6,627,832

PENNSYLVANIA ELECTRIC CO CORPORATE 5.200% Due 4/1/2020 6,300,000 6,770,610 6,695,010

PERFORMANCE FOOD GROUP I CORPORATE 5.500% Due 6/1/2024 335,000 343,375 335,838

PETROBRAS GLOBAL FINANCE CORPORATE 5.750% Due 1/20/2020 5,000,000 5,348,950 5,012,500

PETROBRAS GLOBAL FINANCE YANKEE 8.375% Due 5/23/2021 5,400,000 5,346,108 5,791,500

PETSMART INC CORPORATE 7.125% Due 3/15/2023 1,775,000 1,762,091 1,817,156

PETSMART INC CORPORATE 7.125% Due 3/15/2023 495,000 516,463 506,756

PFIZER INC CORPORATE 5.200% Due 8/12/2020 2,000,000 2,270,816 2,209,000

PFS HLDG CORP BANK LOAN 1.000% Due 1/31/2021 1,573,750 1,487,194 1,510,800

PHI INC CORPORATE 5.250% Due 3/15/2019 1,765,000 1,772,864 1,654,688

PHI INC CORPORATE 5.250% Due 3/15/2019 730,000 730,515 684,375

PILGRIM S PRIDE CORP CORPORATE 5.750% Due 3/15/2025 1,070,000 1,070,788 1,067,325

PINNACLE FOODS FINANCE L CORPORATE 4.875% Due 5/1/2021 2,410,000 2,415,835 2,464,225

PLAINS ALL AMER PIPELINE CORPORATE 5.000% Due 2/1/2021 6,965,000 7,103,046 7,454,082

PLANTRONICS INC CORPORATE 5.500% Due 5/31/2023 2,280,000 2,280,475 2,285,700

PLATFORM SPECIALTY PROD CORPORATE 6.500% Due 2/1/2022 2,850,000 2,741,625 2,807,250

PLATFORM SPECIALTY PROD CORPORATE 6.500% Due 2/1/2022 2,785,000 2,698,250 2,743,225

PLATFORM SPECIALTY PROD CORPORATE 6.500% Due 2/1/2022 870,000 847,613 856,950

PLATFORM SPECIALTY PROD CORPORATE 10.375% Due 5/1/2021 446,000 446,000 487,255

POLYCONCEPT INVESTMENTS BV BANK LOAN 1.000% Due 8/10/2023 2,090,000 2,069,100 2,113,513

POST HOLDINGS INC CORPORATE 6.750% Due 12/1/2021 4,000,000 3,933,750 4,266,000



POST HOLDINGS INC CORPORATE 5.000% Due 8/15/2026 420,000 420,000 397,425


PQ CORP CORPORATE 6.750% Due 11/15/2022 1,515,000 1,546,950 1,602,113

PQ CORP CORPORATE 6.750% Due 11/15/2022 1,035,000 1,102,275 1,094,513

PRECISION DRILLING CORP YANKEE 6.625% Due 11/15/2020 1,445,000 1,483,096 1,452,225

PRECISION DRILLING CORP YANKEE 7.750% Due 12/15/2023 830,000 830,000 842,450

PRECYSE ACQUISITION CORP BANK LOAN 1.000% Due 10/20/2022 3,389,950 3,374,968 3,420,680

PRESTIGE BRANDS INC CORPORATE 5.375% Due 12/15/2021 2,560,000 2,568,844 2,630,400



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


PROLOGIS INTL FUND II CORPORATE 4.875% Due 2/15/2020 3,000,000 2,977,440 3,139,890

PROSPECT CAPITAL CORP CONVERTIBLES 5.750% Due 3/15/2018 5,431,000 5,573,564 5,580,353

PTC INC CORPORATE 6.000% Due 5/15/2024 1,385,000 1,412,688 1,457,713

PUBLIC SERVICE CO OF NEW CORPORATE 7.950% Due 5/15/2018 725,000 764,725 785,791

QORVO INC CORPORATE 6.750% Due 12/1/2023 1,400,000 1,419,950 1,511,118

QUINTILES IMS INC CORPORATE 5.000% Due 10/15/2026 866,000 877,261 855,175

QVC INC CORPORATE 5.125% Due 7/2/2022 1,100,000 1,106,842 1,124,508

RACKSPACE HOSTIN CORPORATE 8.625% Due 11/15/2024 475,000 475,000 475,000

RACKSPACE HOSTIN CORPORATE 8.625% Due 11/15/2024 698,000 703,604 698,000

RACKSPACE HOSTING INC BANK LOAN 1.000% Due 11/3/2023 1,169,736 1,168,309 1,181,433

RANGE RESOURCES CORP CORPORATE 5.000% Due 8/15/2022 185,000 164,650 178,063

RANGE RESOURCES CORP CORPORATE 5.000% Due 3/15/2023 3,350,000 2,917,650 3,216,000



RAYONIER AM PROD INC CORPORATE 5.500% Due 6/1/2024 4,385,000 3,951,774 4,045,163

REAL ALLOY HOLDING INC CORPORATE 10.000% Due 1/15/2019 2,930,000 2,667,947 2,944,650

REGENCY ENERGY PART/FINA CORPORATE 5.000% Due 10/1/2022 595,000 589,990 629,486

REGENCY ENERGY PART/FINA CORPORATE 5.875% Due 3/1/2022 1,440,000 1,417,291 1,592,078

REGIONALCARE HOSPITAL PR CORPORATE 8.250% Due 5/1/2023 1,850,000 1,803,063 1,843,063

REGIONALCARE HOSPITAL PR CORPORATE 8.250% Due 5/1/2023 4,160,000 4,294,450 4,144,400

RENT A CENTER INC CORPORATE 4.750% Due 5/1/2021 2,960,000 2,828,400 2,412,400

RENT A CENTER INC CORPORATE 6.625% Due 11/15/2020 25,000 22,531 23,125

REYNOLDS GRP ISS/REYNOLD CORPORATE 8.250% Due 2/15/2021 1,231,117 1,227,410 1,271,128


REYNOLDS GRP ISS/REYNOLD CORPORATE 8.250% Due 2/15/2021 310,380 338,110 320,467





RHP HOTEL PPTY/RHP FINAN CORPORATE 5.000% Due 4/15/2023 1,855,000 1,880,288 1,878,188

RIALTO HLDS LLC/CORP CORPORATE 7.000% Due 12/1/2018 5,175,000 5,199,713 5,239,688

RICE ENERGY INC CORPORATE 7.250% Due 5/1/2023 670,000 664,861 703,500

RITE AID CORP CORPORATE 6.125% Due 4/1/2023 2,555,000 2,592,645 2,731,040

ROCKIES EXPRESS PIPELINE CORPORATE 6.850% Due 7/15/2018 3,325,000 3,487,094 3,491,250

ROYAL BK SCOTLND GRP PLC YANKEE 6.400% Due 10/21/2019 1,765,000 1,771,821 1,923,726

ROYAL BK SCOTLND GRP PLC YANKEE 3.875% Due 9/12/2023 5,000,000 4,998,500 4,726,600

RP CROWN PARENT LLC BANK LOAN 1.000% Due 10/12/2023 1,437,500 1,437,694 1,448,504

RP CROWN PARENT LLC CORPORATE 7.375% Due 10/15/2024 3,875,000 3,875,000 3,976,719

RR DONNELLEY + SONS CO CORPORATE 7.000% Due 2/15/2022 257,000 253,145 248,005

SABINE PASS LIQUEFACTION CORPORATE 5.625% Due 2/1/2021 480,000 480,334 508,800


SABINE PASS LIQUEFACTION CORPORATE 5.875% Due 6/30/2026 1,170,000 1,170,000 1,235,813


SANCHEZ ENERGY CORP CORPORATE 6.125% Due 1/15/2023 1,750,000 1,322,500 1,531,250

SANTANDER ISSUANCES YANKEE 5.179% Due 11/19/2025 1,600,000 1,555,648 1,578,688

SBA COMMUNICATIONS CORP CORPORATE 4.875% Due 7/15/2022 1,340,000 1,327,906 1,341,112



SCIENTIFIC GAMES INTERNA CORPORATE 7.000% Due 1/1/2022 1,795,000 1,830,731 1,893,725

SCIENTIFIC GAMES INTERNA CORPORATE 7.000% Due 1/1/2022 7,000,000 7,280,000 7,385,000



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


SCIENTIFIC GAMES INTL INC BANK LOAN 1.000% Due 10/18/2020 2,351,637 2,325,115 2,379,140

SCOTTRADE FINANC SERVICE CORPORATE 6.125% Due 7/11/2021 6,400,000 6,713,423 7,260,672

SCOTTS MIRACLE GRO CO CORPORATE 6.000% Due 10/15/2023 1,955,000 1,999,684 2,067,413

* SEARS ROEBUCK ACCEP CORP BANK LOAN 1.000% Due 7/20/2020 100,000,000 97,000,000 100,417,000

SEMGROUP CORP CORPORATE 7.500% Due 6/15/2021 3,500,000 3,520,000 3,570,000

SEMGROUP/ROSE ROCK FIN CORPORATE 5.625% Due 11/15/2023 1,000,000 875,000 950,000

SENSATA TECHNOLOGIES BV YANKEE 5.625% Due 11/1/2024 1,560,000 1,618,500 1,626,300

SEQUA CORP BANK LOAN 1.000% Due 6/19/2017 2,357,274 1,826,415 2,201,105

SEQUA CORP CORPORATE 7.000% Due 12/15/2017 2,090,000 2,088,927 1,118,150

SERVICEMASTER COMPANY LL CORPORATE 5.125% Due 11/15/2024 715,000 715,000 716,788

SESI LLC CORPORATE 7.125% Due 12/15/2021 4,600,000 4,600,875 4,496,500

SESI LLC CORPORATE 7.125% Due 12/15/2021 490,000 463,325 478,975

SFR GROUP SA YANKEE 6.000% Due 5/15/2022 965,000 980,284 972,238

SHEA HOMES LP/FNDG CP CORPORATE 5.875% Due 4/1/2023 1,500,000 1,518,750 1,458,750

SHEA HOMES LP/FNDG CP CORPORATE 6.125% Due 4/1/2025 410,000 420,504 397,700

SILVER II US HLDGS LLC BANK LOAN 1.000% Due 12/13/2019 1,000,000 930,000 898,000

SIMMONS FOODS INC CORPORATE 7.875% Due 10/1/2021 870,000 808,088 880,875

SIRIUS INTERNATIONAL GRP YANKEE 6.375% Due 3/20/2017 6,300,000 6,356,815 6,380,073

SIX FLAGS ENTERTAINMENT CORPORATE 5.250% Due 1/15/2021 425,000 426,521 438,069

SIX FLAGS ENTERTAINMENT CORPORATE 4.875% Due 7/31/2024 1,670,000 1,673,150 1,619,900

SIX FLAGS ENTERTAINMENT CORPORATE 4.875% Due 7/31/2024 1,500,000 1,530,000 1,455,000

SM ENERGY CO CORPORATE 6.500% Due 1/1/2023 2,500,000 2,337,500 2,512,500

SM ENERGY CO CORPORATE 6.500% Due 1/1/2023 705,000 739,369 708,525

SM ENERGY CO CORPORATE 6.500% Due 11/15/2021 1,500,000 1,571,250 1,518,750

SMITHFIELD FOODS INC CORPORATE 6.625% Due 8/15/2022 1,485,000 1,525,838 1,564,819

SMITHFIELD FOODS INC CORPORATE 7.750% Due 7/1/2017 1,415,000 1,497,401 1,458,158

SOLENIS INTL L P BANK LOAN 1.000% Due 7/31/2022 5,125,000 5,099,375 5,003,281

SOPHIA L.P. BANK LOAN 1.000% Due 9/30/2022 4,246,591 4,246,347 4,262,515

SOPHIA LP/FIN INC CORPORATE 9.000% Due 9/30/2023 411,000 411,099 432,578

SOUTHWESTERN ENERGY CO CORPORATE 4.100% Due 3/15/2022 1,520,000 1,180,313 1,398,400

SOUTHWESTERN ENERGY CO CORPORATE 6.700% Due 1/23/2025 325,000 311,852 321,750

SPECTRUM BRANDS INC CORPORATE 6.625% Due 11/15/2022 1,500,000 1,586,250 1,590,000

SPIRIT AIR 2015 1 PTT B CORPORATE 4.450% Due 10/1/2025 6,623,974 6,583,545 6,739,894

SPRINGLEAF FINANCE CORP CORPORATE 7.750% Due 10/1/2021 988,000 988,000 995,410

SPRINGLEAF FINANCE CORP CORPORATE 6.000% Due 6/1/2020 1,700,000 1,763,250 1,666,000

SPRINGLEAF FINANCE CORP CORPORATE 5.250% Due 12/15/2019 600,000 600,000 590,250

SPRINT CAPITAL CORP CORPORATE 6.900% Due 5/1/2019 1,670,000 1,799,425 1,740,975

SPRINT COMMUNICATIONS CORPORATE 6.000% Due 11/15/2022 4,115,000 3,984,052 3,969,123

SPRINT COMMUNICATIONS CORPORATE 6.000% Due 11/15/2022 645,000 666,325 622,135



SPRINT CORP CORPORATE 7.875% Due 9/15/2023 1,150,000 1,150,000 1,187,375





SPRINT SPECTRUM / SPEC I CORPORATE 3.360% Due 3/20/2023 5,757,000 5,798,971 5,771,393

STANDARD INDUSTRIES INC CORPORATE 5.375% Due 11/15/2024 820,000 838,086 834,350

STANDARD INDUSTRIES INC CORPORATE 6.000% Due 10/15/2025 2,850,000 2,850,000 2,964,000

STANDARDAERO AVIATION CORPORATE 10.000% Due 7/15/2023 750,000 718,125 792,188



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


STARWOOD HOTELS + RESORT CORPORATE 6.750% Due 5/15/2018 1,645,000 1,775,580 1,757,173

STARWOOD HOTELS + RESORT CORPORATE 7.150% Due 12/1/2019 5,000,000 5,822,800 5,655,950

STATION CASINOS LLC CORPORATE 7.500% Due 3/1/2021 3,250,000 3,250,000 3,404,375

STERIGENICS NORDION HOLD CORPORATE 6.500% Due 5/15/2023 2,500,000 2,396,875 2,512,500

STERIGENICS NORDION TOPC CORPORATE 8.125% Due 11/1/2021 1,225,000 1,225,000 1,203,563

STG FAIRWAY ACQUISITION INC BANK LOAN 1.000% Due 6/30/2022 1,371,070 1,350,504 1,345,363

SUBURBAN PROPANE PARTNRS CORPORATE 5.500% Due 6/1/2024 465,000 464,713 466,163

SUBURBAN PROPANE PARTNRS CORPORATE 7.375% Due 8/1/2021 1,170,000 1,260,866 1,210,950



SUBURBAN PROPANE PARTNRS CORPORATE 5.500% Due 6/1/2024 396,000 398,300 396,990

SUMMIT MATERIALS LLC/FIN CORPORATE 6.125% Due 7/15/2023 3,380,000 3,383,891 3,430,700

SUMMIT MID HLDS LLC / FI CORPORATE 7.500% Due 7/1/2021 2,400,000 2,410,625 2,514,000

SUMMIT MID HLDS LLC / FI CORPORATE 5.500% Due 8/15/2022 140,000 107,750 136,850

SUNCOKE ENERGY INC CORPORATE 7.625% Due 8/1/2019 232,000 233,627 214,600

SUNCOKE ENRGY PART LP/FI CORPORATE 7.375% Due 2/1/2020 2,525,000 2,599,453 2,499,750

SUNOCO LP/FINANCE CORP CORPORATE 5.500% Due 8/1/2020 700,000 700,075 703,500

SUPERVALU INC BANK LOAN 1.000% Due 3/21/2019 4,976,828 4,958,165 5,001,115

SW AIRLINES 07 1 TRUST CORPORATE 6.650% Due 8/1/2022 3,857,536 4,301,152 4,192,138

T MOBILE USA INC CORPORATE 6.836% Due 4/28/2023 4,000,000 3,920,000 4,245,000



T MOBILE USA INC CORPORATE 5.250% Due 9/1/2018 815,000 815,000 827,983







TALEN ENERGY SUPPLY LLC CORPORATE 6.500% Due 6/1/2025 4,500,000 3,808,125 3,555,000

TALOS PRODUCTION LLC/FIN CORPORATE 9.750% Due 2/15/2018 3,550,000 3,679,750 1,668,500

TARGA RESOURCES PARTNERS CORPORATE 6.750% Due 3/15/2024 2,745,000 2,813,145 2,909,700

TARGA RESOURCES PARTNERS CORPORATE 5.125% Due 2/1/2025 725,000 725,000 715,488

TECK RESOURCES LIMITED YANKEE 4.750% Due 1/15/2022 4,660,000 3,996,906 4,718,250

TECK RESOURCES LIMITED YANKEE 8.500% Due 6/1/2024 940,000 955,538 1,097,450

TECK RESOURCES LIMITED YANKEE 4.500% Due 1/15/2021 1,075,000 1,017,193 1,095,156

TEINE ENERGY LTD YANKEE 6.875% Due 9/30/2022 710,000 602,925 724,200

TELESAT CANADA BANK LOAN 1.000% Due 11/17/2023 913,794 904,656 916,650

TELESAT CANADA/TELESAT L YANKEE 8.875% Due 11/15/2024 1,000,000 1,000,000 1,021,250

TELESAT CANADA/TELESAT L YANKEE 8.875% Due 11/15/2024 763,000 763,000 779,214

TEMPLAR ENERGY LLC BANK LOAN 1.000% Due 11/23/2018 106,576 82,597 86,327

TEMPUR SEALY INTL INC CORPORATE 5.625% Due 10/15/2023 900,000 903,750 918,000

TEMPUR SEALY INTL INC CORPORATE 5.500% Due 6/15/2026 2,100,000 2,100,000 2,089,500

TENET HEALTHCARE CORP CORPORATE 8.000% Due 8/1/2020 600,000 606,000 574,878



TENET HEALTHCARE CORP CORPORATE 4.375% Due 10/1/2021 3,260,000 3,242,300 3,105,150






(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current



TEREX CORP CORPORATE 6.000% Due 5/15/2021 5,000,000 4,775,000 5,062,500

TEREX CORP CORPORATE 6.000% Due 5/15/2021 1,800,000 1,840,500 1,822,500

TERRAFORM POWER OPERATIN CORPORATE 1.000% Due 2/1/2023 2,820,000 2,818,400 2,884,296

TESORO CORP CORPORATE 4.250% Due 10/1/2017 6,300,000 6,408,271 6,402,375

TESORO LOGISTICS LP/CORP CORPORATE 5.500% Due 10/15/2019 120,000 121,213 127,350

TESORO LOGISTICS LP/CORP CORPORATE 6.375% Due 5/1/2024 300,000 300,000 323,250

TESORO LOGISTICS LP/CORP CORPORATE 5.500% Due 10/15/2019 1,475,000 1,475,000 1,565,344




TEXTRON INC CORPORATE 5.600% Due 12/1/2017 4,265,000 3,416,800 4,429,458

TIERPOINT LLC BANK LOAN 1.000% Due 11/10/2021 4,450,725 4,406,218 4,434,035

TIERPOINT LLC BANK LOAN 1.000% Due 11/10/2022 2,930,000 2,901,388 2,856,750

TMS INTERNATIONAL CORP CORPORATE 7.625% Due 10/15/2021 2,565,000 2,634,495 2,096,888

TPC GROUP INC CORPORATE 8.750% Due 12/15/2020 3,570,000 3,857,175 2,891,700

TRANSOCEAN INC CORPORATE 6.000% Due 3/15/2018 5,030,000 5,421,083 5,061,438

TRANSOCEAN INC CORPORATE 6.800% Due 12/15/2016 8,725,000 8,778,713 8,736,779

TRI POINTE GROUP / HOMES CORPORATE 5.875% Due 6/15/2024 2,300,000 2,280,863 2,331,625

TRIUMPH GROUP INC CORPORATE 5.250% Due 6/1/2022 1,720,000 1,730,453 1,556,600

TRONOX FINANCE LLC CORPORATE 7.500% Due 3/15/2022 4,000,000 4,013,000 3,650,000

TRONOX FINANCE LLC CORPORATE 7.500% Due 3/15/2022 1,040,000 1,040,000 949,000



TXU US HLDGS CO BANK LOAN 1.000% Due 10/10/2017 828,855 634,002 244,512

U S SEC ASSOCS HLDGS INC BANK LOAN 1.000% Due 7/14/2023 1,500,000 1,485,000 1,504,688

U.S. RENAL CARE INC. BANK LOAN 1.000% Due 12/31/2022 5,196,910 5,103,690 4,885,095

U.S. RENAL CARE INC. BANK LOAN 1.000% Due 12/31/2022 1,736,875 1,725,089 1,632,663

UFC HLDGS LLC BANK LOAN 1.000% Due 8/18/2023 1,595,586 1,592,608 1,608,406

UNISYS CORP CORPORATE 6.250% Due 8/15/2017 1,495,000 1,508,275 1,509,950

UNITED AIR 2014 2 B PTT CORPORATE 4.625% Due 3/3/2024 1,537,186 1,537,186 1,569,851

UNITED RENTALS NORTH AM CORPORATE 5.500% Due 7/15/2025 1,000,000 895,000 1,007,500

UNITED RENTALS NORTH AM CORPORATE 6.125% Due 6/15/2023 2,415,000 2,521,414 2,547,825

UNITED RENTALS NORTH AM CORPORATE 5.875% Due 9/15/2026 1,180,000 1,239,294 1,203,600

UNITED STATES STEEL CORP CORPORATE 8.375% Due 7/1/2021 665,000 687,000 734,825

UNITI GROUP/CSL CAPITAL CORPORATE 8.250% Due 10/15/2023 4,350,000 4,363,115 4,567,500

UNITYMEDIA HESSEN / NRW YANKEE 5.000% Due 1/15/2025 2,750,000 2,773,750 2,701,875

UNIVERSAL HEALTH SVCS CORPORATE 5.000% Due 6/1/2026 1,290,000 1,290,000 1,277,100



UNIVISION COMMUNICATIONS CORPORATE 5.125% Due 2/15/2025 1,876,000 1,878,045 1,777,510

UNIVISION COMMUNICATIONS CORPORATE 6.750% Due 9/15/2022 327,000 330,118 338,854

UNIVISION COMMUNICATIONS CORPORATE 5.125% Due 5/15/2023 3,085,000 3,116,931 2,973,169

UNIVISION COMMUNICATIONS CORPORATE 5.125% Due 5/15/2023 254,000 250,938 244,793

UNIVISION COMMUNICATIONS INC BANK LOAN 1.000% Due 3/1/2020 744,042 731,022 744,972

US AIRWAYS 2010 1B PTT CORPORATE 8.500% Due 10/22/2018 336,622 336,622 344,196

US AIRWAYS 2011 1B PTT CORPORATE 9.750% Due 4/22/2020 466,049 466,049 520,810

US AIRWAYS 2012 1B PTT CORPORATE 8.000% Due 4/1/2021 1,759,781 1,759,781 1,931,360

US AIRWAYS 2013 1B PTT CORPORATE 5.375% Due 5/15/2023 1,421,311 1,440,931 1,471,057

US FOODS INC CORPORATE 5.875% Due 6/15/2024 2,020,000 2,044,463 2,070,500



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


USG CORP CORPORATE 5.500% Due 3/1/2025 1,910,000 1,922,733 1,960,329

USG CORP CORPORATE 7.875% Due 3/30/2020 2,000,000 1,988,810 2,078,760

UTEX INDS INC BANK LOAN 1.000% Due 5/22/2021 791,775 787,816 675,649

UTEX INDS INC BANK LOAN 1.000% Due 5/22/2022 780,000 775,638 415,997

VALE OVERSEAS LIMITED CORPORATE 6.250% Due 8/10/2026 570,000 609,900 593,513

VALE OVERSEAS LIMITED CORPORATE 5.875% Due 6/10/2021 6,365,000 6,416,310 6,670,520

VALE SA FOREIGN 1.000% Due 12/29/2049 8,700 - -

VALEANT PHARMACEUTICALS CORPORATE 7.250% Due 7/15/2022 160,000 139,800 131,200



VALEANT PHARMACEUTICALS YANKEE 5.375% Due 3/15/2020 3,925,000 3,573,034 3,297,000


VALEANT PHARMACEUTICALS YANKEE 5.625% Due 12/1/2021 485,000 477,756 373,450

VALEANT PHARMACEUTICALS YANKEE 5.875% Due 5/15/2023 1,135,000 1,045,175 845,575



VALEANT PHARMACEUTICALS INT. BANK LOAN 1.000% Due 4/1/2022 1,428,991 1,340,594 1,419,166

VALEANT PHARMACEUTICALS INTL I BANK LOAN 1.000% Due 10/20/2018 425,652 425,120 423,923

VEREIT OPERATING PARTNER CORPORATE 3.000% Due 2/6/2019 5,730,000 5,671,222 5,717,394

VERISURE HOLDING AB BANK LOAN 1.000% Due 10/10/2022 1,079,030 1,206,844 1,163,470

VERITAS BERMUDA LTD BANK LOAN 1.000% Due 1/27/2023 1,880,550 1,619,805 1,696,726

VERITAS US INC/BERMUDA L CORPORATE 7.500% Due 2/1/2023 590,000 551,650 536,900

VERIZON COMMUNICATIONS CORPORATE 4.500% Due 9/15/2020 13,000,000 12,983,100 13,915,980

VIASAT INC CORPORATE 6.875% Due 6/15/2020 1,600,000 1,702,400 1,646,672

VIKING CRUISES LTD CORPORATE 8.500% Due 10/15/2022 4,000,000 3,520,000 4,080,000

VIRGIN AUST 2013 1A TRST YANKEE 5.000% Due 4/23/2025 4,144,748 4,291,095 4,294,995

VIRGIN MEDIA FINANCE PLC YANKEE 5.750% Due 1/15/2025 1,880,000 1,894,250 1,861,200

VIRGIN MEDIA SECURED FIN YANKEE 5.250% Due 1/15/2026 505,000 511,313 488,588

VIRGIN MEDIA SECURED FIN YANKEE 5.500% Due 8/15/2026 500,000 500,000 490,000

VISTAJET MALTA FIN / VIS YANKEE 7.750% Due 6/1/2020 1,995,000 1,832,023 1,216,950

VIZIENT INC BANK LOAN 1.000% Due 2/13/2023 2,639,559 2,560,372 2,667,055

WALTER INVESTMENT MGMT CORPORATE 7.875% Due 12/15/2021 1,200,000 1,202,807 915,000

WATCO COS LLC/FINANCE CO CORPORATE 6.375% Due 4/1/2023 2,135,000 2,140,575 2,188,375

WEATHERFORD BERMUDA CORPORATE 8.250% Due 6/15/2023 2,950,000 2,950,000 2,876,250

WEATHERFORD BERMUDA CORPORATE 7.750% Due 6/15/2021 1,675,000 1,675,000 1,637,313

WEATHERFORD BERMUDA CORPORATE 8.250% Due 6/15/2023 115,000 115,000 112,125

WEATHERFORD BERMUDA YANKEE 4.500% Due 4/15/2022 110,000 94,325 95,357

WEST CORP CORPORATE 5.375% Due 7/15/2022 4,250,000 3,638,125 4,080,000

WESTERN DIGITAL CORP BANK LOAN 1.000% Due 4/29/2023 4,274,288 4,274,288 4,330,388

WESTERN DIGITAL CORP CORPORATE 7.375% Due 4/1/2023 4,230,000 4,230,000 4,568,400

WESTERN GAS PARTNERS CORPORATE 5.375% Due 6/1/2021 4,810,000 5,244,623 5,135,493

WESTERN REFINING INC CORPORATE 6.250% Due 4/1/2021 3,074,000 3,143,165 3,199,112

WHITING PETROLEUM CORP CORPORATE 5.000% Due 3/15/2019 1,675,000 1,533,844 1,654,063

WILLIAM MORRIS ENDEAVOR ENT BANK LOAN 1.000% Due 5/6/2022 6,000,000 5,975,000 6,052,500



WIND ACQUISITION FIN SA CORPORATE 7.375% Due 4/23/2021 3,000,000 3,008,813 3,060,000

WINDSTREAM CORP BANK LOAN 1.000% Due 3/29/2021 3,531,150 3,531,150 3,549,689

WINDSTREAM SERVICES LLC CORPORATE 7.750% Due 10/15/2020 4,930,000 4,215,150 5,016,275

WMG ACQUISITION CORP CORPORATE 6.750% Due 4/15/2022 4,000,000 3,862,198 4,190,000



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


WMG ACQUISITION CORP CORPORATE 5.625% Due 4/15/2022 2,784,000 2,785,494 2,867,520

WMG ACQUISITION CORP CORPORATE 5.000% Due 8/1/2023 350,000 350,000 350,000

WPX ENERGY INC CORPORATE 7.500% Due 8/1/2020 2,750,000 2,663,125 2,901,250

WPX ENERGY INC CORPORATE 8.250% Due 8/1/2023 1,000,000 1,009,168 1,102,500

WPX ENERGY INC CORPORATE 6.000% Due 1/15/2022 500,000 460,000 512,345

WYNN LAS VEGAS LLC/CORP CORPORATE 5.375% Due 3/15/2022 1,350,000 1,292,625 1,370,250

XERIUM TECHNOLOGIES INC CORPORATE 9.500% Due 8/15/2021 1,030,000 1,014,962 1,006,825

XEROX CORPORATION CORPORATE 5.625% Due 12/15/2019 1,200,000 1,196,700 1,289,352

XPO LOGISTICS INC CORPORATE 6.500% Due 6/15/2022 1,800,000 1,800,356 1,865,250

XPO LOGISTICS INC CORPORATE 6.125% Due 9/1/2023 307,000 307,000 313,908

XPO LOGISTICS INC FOREIGN 5.750% Due 6/15/2021 814,000 918,354 903,501

ZAYO GROUP LLC BANK LOAN 1.000% Due 5/6/2021 6,124,708 6,117,053 6,154,903

ZAYO GROUP LLC/ZAYO CAP CORPORATE 6.375% Due 5/15/2025 5,000,000 4,737,500 5,200,000

ZEBRA TECHNOLOGIES CORP CORPORATE 7.250% Due 10/15/2022 2,240,000 2,434,450 2,422,202

ZF NA CAPITAL CORPORATE 4.500% Due 4/29/2022 630,000 624,366 650,475

ZF NA CAPITAL CORPORATE 4.500% Due 4/29/2022 6,650,000 6,615,500 6,866,125

TOTAL CORPORATE NOTES AND BONDS 2,045,029,680$ 2,048,557,210$

ASSET BACKED DEBT SECURITIES:

ALM LOAN FUNDING ASSET BACKED 1.000% Due 10/15/2027 300,000 287,700$ 294,524$

BABSON CLO LTD ASSET BACKED 1.000% Due 1/15/2026 900,000 820,890 770,828



BENEFIT STREET PARTNERS CLO LT ASSET BACKED 1.000% Due 7/20/2028 700,000 602,000 665,284

CENT CLO LP ASSET BACKED 1.000% Due 11/7/2026 700,000 647,430 613,967

CIFC FUNDING LTD ASSET BACKED 1.000% Due 10/17/2026 300,000 278,284 284,794

CONTL AIRLINES 2003 ERJ1 ASSET BACKED 7.875% Due 1/2/2020 817,179 811,561 844,146

GALAXY CLO LTD ASSET BACKED 1.000% Due 7/16/2028 700,000 645,680 683,631

GSAA HOME EQUITY NIM TRUST CMO 6.000% Due 12/25/2035 161,086 161,145 -

HOME EQUITY MORTGAGE TRUST CMO 1.000% Due 1/25/2037 1 - -

KKR FINANCIAL CLO LTD ASSET BACKED 1.000% Due 10/18/2028 700,000 678,350 658,860

KKR FINANCIAL CLO LTD ASSET BACKED 1.000% Due 10/18/2028 700,000 632,700 644,560

LIMEROCK CLO ASSET BACKED 1.000% Due 10/20/2026 1,100,000 976,250 905,383

MERRILL LYNCH MORTGAGE INVESTO CMO 4.500% Due 5/25/2036 156,571 155,490 2

NORTHWEST AIR 2001 1 B ASSET BACKED 7.691% Due 10/1/2018 238,399 246,743 242,834

OCP CLO LTD ASSET BACKED 1.000% Due 10/20/2026 1,000,000 916,000 890,472

SACO I TRUST ASSET BACKED 1.000% Due 4/25/2035 5 - -

SACO I TRUST ASSET BACKED 1.000% Due 3/25/2036 5 - -

VENTURE CDO LTD ASSET BACKED 1.000% Due 4/15/2026 500,000 456,250 473,693

TOTAL ASSET BACKED DEBT SECURITIES 9,599,152$ 9,322,583$

VENTURES AND PARTNERSHIPS:

AEW PARTNERS III LP LMTD PARTNRSHIP UNTS 7,868,499 7,868,499$ 2,041,317$

AEW PARTNERS IV LMTD PARTNRSHIP UNTS 562,739 562,739 58,010



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current


ALTA V LMTD PARTNRSHIP UNTS 369,443 369,443 1,462

BAY PARTNERS X LP LMTD PARTNRSHIP UNTS 64,826 64,826 1,187,748

CATTERTON PARTNERS IV LMTD PARTNRSHIP UNTS 1,177,323 1,177,323 16,839

KING STREET CAPITAL LTD LMTD PARTNRSHIP UNTS 1 1 35,717

MS LEVERAGED EQUITY FUND II LP LMTD PARTNRSHIP UNTS 176,843 176,843 52,712

OZ OVERSEAS FUND 1 LMTD PARTNRSHIP UNTS 1 1 159,476

PERRY PARTNERS INTERNATIONAL LMTD PARTNRSHIP UNTS 1 1 307,635

PROSPECT PARTNERS LMTD PARTNRSHIP UNTS 1,274,760 1,274,760 68,905

SOFTBANK TECHNOLOGY VENTURES V LMTD PARTNRSHIP UNTS 4,414,439 4,414,439 107,178

TOTAL VENTURES AND PARTNERSHIPS 15,908,875$ 4,036,999$

COLLECTIVE SHORT-TERM INVESTMENT FUND:

STATE STREET BANK AND TRUST

* GOVERNMENT STIF 8 STIF-TYPE INSTRUMENT 204,874,641$ 204,874,641$

TOTAL COLLECTIVE SHORT-TERM INVESTMENT FUND 204,874,641$ 204,874,641$

SWAPS, OPTIONS, AND OTHER:

99OPT33419 USD PUT JPY CALL CASH EQUIVALENT 12/7/2016 6,564,959 15,081$ -$

BDX032989 CDS EUR P F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 (2,966,000) (3,321,032) (3,146,332)

BDX032989 CDS EUR R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 2,966,000 3,327,176 3,146,332

BDX032994 CDS EUR P F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 (10,800,000) (12,092,765) (11,456,637)

BDX032994 CDS EUR R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 10,800,000 12,110,670 11,573,406

CDS032841 CDS USD P F 5.00000 CREDIT DEFAULT SWAPS 12/20/2021 (395,000) (395,000) (462,104)

CDS032841 CDS USD R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 395,000 335,054 395,000













CDS032884 CDS USD P F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 (1,368,000) (1,368,000) (1,386,939)

CDS032884 CDS USD R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 1,368,000 1,339,822 1,368,000



CDS032895 CDS EUR P F 5.00000 CREDIT DEFAULT SWAPS 12/20/2021 (1,254,000) (1,404,104) (1,403,791)

CDS032895 CDS EUR R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 1,254,000 1,335,772 1,330,243





(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current












CDS032985 CDS EUR P F 5.00000 CREDIT DEFAULT SWAPS 12/20/2021 (375,000) (419,888) (419,794)

CDS032985 CDS EUR R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 375,000 400,676 397,800













CDX033012 CDS USD P F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 (3,000,000) (3,000,000) (3,000,000)

CDX033012 CDS USD R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 3,000,000 3,007,130 3,012,515

CDX033452 CDS USD P F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 (2,581,000) (2,581,000) (2,581,000)

CDX033452 CDS USD R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 2,581,000 2,594,427 2,591,767

CDX033453 CDS USD P F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 (994,000) (994,000) (994,000)

CDX033453 CDS USD R V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 994,000 999,405 998,147

ISHARES RUSSELL 2000 ETF OPTIONS 6/16/2017 7,400 35,873 15,022

ISHARES RUSSELL 2000 ETF OPTIONS 6/16/2017 7,600 36,073 18,734

SDX032967 CDS USD P V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 (2,300,000) (2,300,000) (2,300,000)

SDX032967 CDS USD R F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 2,300,000 2,322,648 2,329,874

SDX032969 CDS EUR P V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 (475,000) (533,805) (542,800)

SDX032969 CDS EUR R F 5.00000 CREDIT DEFAULT SWAPS 12/20/2021 475,000 574,703 542,800



SDX032990 CDS EUR P V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 (2,966,000) (3,321,032) (3,146,332)

SDX032990 CDS EUR R F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 2,966,000 3,362,713 3,178,387



SDX032998 CDS EUR P V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 (10,800,000) (12,092,765) (11,456,637)

SDX032998 CDS EUR R F 1.00000 CREDIT DEFAULT SWAPS 12/20/2021 10,800,000 12,250,220 11,456,637





SDX033019 CDS USD P V 03MEVENT CREDIT DEFAULT SWAPS 12/20/2021 (299,000) (299,000) (299,000)

SDX033019 CDS USD R F 5.00000 CREDIT DEFAULT SWAPS 12/20/2021 299,000 311,259 313,374



(EIN: 20-1920798/PN: 001)



NOVEMBER 30, 2016

Current
















SPDR S+P RETAIL ETF OPTIONS 3/17/2017 28,300 36,765 30,847

SPDR S+P RETAIL ETF OPTIONS 1/20/2017 51,000 37,113 25,245

SPDR S+P500 ETF TRUST OPTIONS 3/17/2017 3,500 29,085 3,010


SPDR S+P500 ETF TRUST OPTIONS 12/16/2016 5,800 27,781 232

SPDR S+P500 ETF TRUST OPTIONS 12/16/2016 10,600 55,973 424



TOTAL SWAPS, OPTIONS AND OTHER 917,757$ 371,978$

TOTAL INVESTMENTS 3,243,383,640$ 3,435,221,835$


46

APPENDIX B

Schedule of Reportable Transactions

47

SEARS HOLDINGS PENSION PLAN APPENDIX B

(EIN: 20-1920798/PN: 001)

SCHEDULE OF REPORTABLE TRANSACTIONS FORM 5500 SCHEDULE H, Part IV, LINE 4j FOR THE ELEVEN MONTHS ENDED NOVEMBER 30, 2016

The following series of transactions by the Sears Holdings Pension Plan in 2016 involved an amount exceeding 5% of the current value of the Plan's assets at December 31, 2015.

Dollar Value (in 000s)

Purchase

Price Sale Price Cost of Asset

Current Value on

Transaction Date

Net Gain/(Loss)

Expenses Incurred

STATE STREET BANK AND TRUST GOVERNMENT

STIF 8 $ 1,509,429

$ 1,583,286

$ 1,583,286

$ 3,092,715

$ —

$ —

48

APPENDIX C

Financial Transaction Schedule

49

SEARS HOLDINGS PENSION PLAN APPENDIX C

(EIN: 20-1920798/PN: 001)

FINANCIAL TRANSACTION SCHEDULE — FIXED INCOME OBLIGATIONS IN DEFAULT FORM 5500 SCHEDULE G, Part I NOVEMBER 30, 2016

The following fixed income obligations are in default or classified as uncollectible as of November 30, 2016

Identity and address of obligor Detailed Description

CMO Merrill Lynch Mtg Invs 2005-FF6 CL N1 Non-Government Backed CMO CUSIP 59022MAL5

Trustee: Wells Fargo Bank N.A. Date Issued: 06/01/2005 Maturity: 05/25/2036

Securities Administration Services Rate: 4.500%

8480 Stagecoach Circle

Frederick, MD 21701-4747

Original amount of obligation

Amount received during reporting year Unpaid Balance at End of Year

Amount Overdue

Principal Interest Principal Interest

$ 1,225,000 $ — $ — $ 155,490 $ — $ —

No further principal and interest payments are expected.

Identity and address of obligor Detailed Description

GS Mtg Sec Corp GSAA 2006-NIM2 Non-Government Backed CMO CUSIP 362334CJ1

Trustee: Wells Fargo Bank N.A. Date Issued: 02/06/2006 Maturity: 12/25/2035

Securities Administration Services Rate: 6.000%

8480 Stagecoach Circle

Frederick, MD 21701-4747

Original amount of obligation

Amount received during reporting year Unpaid Balance at End of Year

Amount Overdue

Principal Interest Principal Interest

$ 2,435,000 $ — $ — $ 161,145 $ — $ —

No further principal and interest payments are expected.

SCHEDULE SB ATTACHMENTS

Plan Name:EIN / PN: Plan Sponsor:VRS:Valuation Date:

Sears Holdings Pension Plan20-1920798 / 001 Sears Holdings Corporation 2016 SHC Funding Merged Upd Assets_SBJanuary 1, 2016

Schedule SB, Part VStatement of Actuarial Assumptions and Methods

http://nat ct.i nternal.towerswat son.c om/cli ents/ 602

Economic Assumptions

Interest rate basis

Applicable month September

Interest rate basis 3-Segment Rates

Interest rates

ReflectingCorridors

Not ReflectingCorridors

First segment rate 4.43% 1.34%

Second segment rate 5.91% 4.03%

Third segment rate 6.65% 5.06%

Effective interest rate 5.97%

Annual rates of increase

Compensation: N/A

Future Social Security wage bases N/A

Statutory limits on compensation N/A

Plan related expenses $79,200,000. This assumptiondoes not include any provision forplan-paid investment expenses.

The rates not reflecting HATFA corridors are to be used for purposes of determining the deductible limit; forsimplicity, the corridors have been reflected in Section 2.5: Calculation of estimated maximum deductiblecontribution, which produces a smaller deductible limit than the actual deductible limit.




Demographic AssumptionsInclusion date The valuation date coincident with or next following the date on which

the employee becomes a participant.

New or rehiredemployees

It was assumed there will be no new or rehired employees.

Mortality

Healthy Separate rates for non-annuitants (based on RP-2000 “Employees”table without collar or amount adjustments, projected to 2030 usingScale AA) and annuitants (based on RP-2000 “Healthy Annuitants”table without collar or amount adjustments), projected to 2022 usingScale AA.

For lump sums, the applicable mortality table under Code Section417(e) as prescribed by Revenue Ruling 2007-67.

Disabled

Separate rates for non-annuitants (based on RP-2000 “Employees”table without collar or amount adjustments, projected to 2030 usingScale AA) and annuitants (based on RP-2000 “Healthy Annuitants”table without collar or amount adjustments), projected to 2022 usingScale AA.




Representative Termination Rates (not due to disability, retirement or mortality)

Former Sears Pension Plan Participants:

The rates by age at which participants are assumed to leave the company are shown below:

Age Salaried Full-Time

Hourly Part-Time

20 23.9 21.6 40.0 25 23.9 21.6 40.0 30 17.4 15.7 29.1 35 12.5 11.3 21.0 40 11.9 10.8 19.9 45 10.6 9.6 17.7 50 9.6 8.7 16.0 55 5.0 4.5 8.3 60 5.0 4.5 8.3 65 0.0 0.0 0.0

Former Kmart Corporation Employee Pension Plan Participants:

The rates by age at which participants are assumed to leave the company are shown below:

Under $20,000 Salary:

Age Rate Per 100 Participants 30 15.7 35 11.3 40 10.8 45 9.6 50 8.7

Over $20,000 Salary:

Age Rate Per 100 Participants 30 12.1 35 8.7 40 8.3 45 7.3 50 6.7

Sample Annual Separation Rates Per 100 Participants Separation After 5 Years of Employment




Retirement


The rates by age at which participants retire are shown below.

Age Percentage retiring during the year

55-61 8% 62 25%

63-64 20% 65 35%

66-74 25% 75 100%

Deferred vested participants are assumed to commence at the later of age 60 or termination ofemployment.


The rates by age at which participants retire are shown below.

Age Percentage retiring during the year55 10%

56-61 8% 62 20% 63 14% 64 17% 65 37% 66 22% 67 15% 68 14% 69 12% 70 100%

Prior to age 65, retirement rates increase to 20% per year upon attainment of 90 points.

Deferred vested participants are assumed to commence at the later of age 62 or termination ofemployment.




Benefit commencementdate:

Preretirement deathbenefit

The later of the death of the active participant or the date the participantwould have attained age 55 (for Sears) or age 62 (for Kmart).

Deferred vestedbenefit

Sears: The later of age 60 or termination of employment.

Kmart: The later of age 62 or termination of employment

Retirement benefit Upon termination of employment

Form of Payment


For participants that are not eligible to take a lump sum, 70% are assumed to elect a single lifeannuity and 30% are assumed to elect a 50% joint & survivor annuity. For participants that areeligible to elect a lump sum, 90% are assumed to elect a lump sum, and of the other 10%, 7% areassumed to elect a single life annuity and 3% are assumed to elect a 50% joint & survivor annuity.


70% are assumed to elect a single life annuity and 30% are assumed to elect a 50% joint & survivorannuity.

Percent married 80% of eligible participants are assumed to be married

Spouse age Male spouses are assumed to be 2 years older than female spouses forSears participants and 3 years older for Kmart participants

Covered pay Not applicable.

Loads Liability for benefits associated with VCP corrections are approximatedby a $5,000,000 load on the liability for in-pay benefits.




At-risk assumptions For at-risk calculations, all participants eligible to elect benefits duringthe current and subsequent ten plan years are assumed to commencebenefits at the earliest possible date under the plan, but not before theend of the current plan year, except in accordance with the regularvaluation assumptions. In addition, all participants (not just thoseeligible to begin benefits within the next 11 years) are assumed to electthe most valuable form of benefit under the plan.

Timing of benefitpayments

Annuity payments are payable monthly at the beginning of the monthand lump sum payments are payable on date of decrement.




MethodsValuation date First day of plan year

Funding target Present value of accrued benefits as required byregulations under IRC §430.

Target normal cost Present value of benefits expected to accrue during theplan year plus plan-related expenses expected to be paidfrom plan assets during the plan year as required byregulations under IRC §430.

Actuarial value of assets The actuarial value of assets is equal to the market valueof assets as of the valuation date plus the discountedpresent value of contributions made for the 2015 plan yearafter the valuation date, discounted using the effectiveinterest rate for the 2015 plan year.

Benefits not valued All benefits described in the Plan Provisions section of thisreport were value. Willis Towers Watson has reviewed the plan provisions with Sears Holdings Corporation and, based on that review, is not aware of any significant benefits required to be valued that were not.

SEARS HOLDINGS PENSION PLAN APPENDIX B

(EIN: 20-1920798/PN: 001)

SCHEDULE OF REPORTABLE TRANSACTIONS

FORM 5500 SCHEDULE H, Part IV, Line 4j

FOR THE YEAR ENDED NOVEMBER 30, 2016

The following series of transactions by the Sears Holdings Pension Plan in 2016 involved an amount exceeding 5% of the current value of the Plan's assets at

December 31, 2015.

Dollar Value (in 000s)

Current Value

Purchase Sale Cost of on Transaction Net Gain/ Expenses

Price Price Asset Date (Loss) Incurred

STATE STREET BANK AND TRUST GOVERNMENT STIF 8 1,509,429$ 1,583,286$ 1,583,286$ 3,092,715$ -$ -$

B1




Schedule SB, Line 22Description of Weighted Average Retirement Age

as of January 1, 2016

The average retirement age for Line 22 is a weighted average at retirement for each of the legacy plans: SearsPension Plan and Kmart Corporation Employee Pension Plan. The average age at retirement for each legacyplan was calculated by determining the average age at retirement for those current active participants expected to reach retirement, based on all current decrements assumed. See Appendix A for retirement rates.

Plan Name: EIN / PN: Plan Sponsor: VRS: Valuation Date:

Sears Holdings Pension Plan 20-1920798 / 001 Sears Holdings Corporation 2016 SHC Funding Merged Upd Assets_SB January 1, 2016


Schedule SB – Statement by Enrolled Actuary

Plan Sponsor Sears Holdings Corporation

EIN/PN 20-1920798/001

Plan Name Sears Holdings Pension Plan

Valuation Date January 1, 2016

Enrolled Actuary Jeffrey A. Brown

Enrollment Number 17-06445

The actuarial assumptions that are not mandated by IRC § 430 and regulations, represent the enrolled actuary's best estimate of anticipated experience under the plan.

The actuarial valuation, on which the information in this Schedule SB is based, has been prepared in reliance upon the employee and financial data furnished by the plan administrator and the trustee. The enrolled actuary has not made a rigorous check of the accuracy of this information but has accepted it after reviewing it and concluding it is reasonable in relation to similar information furnished in previous years. The amounts of contributions and dates paid shown in Item 18 of Schedule SB were listed in reliance on information provided by the plan administrator and/or trustee.




Schedule SB, Part V Summary of Plan Provisions

Former Sears Pension Plan ParticipantsCovered employees Except for anyone whose place of employment with an employer is

outside the United States and who is not a citizen or resident of theUnited States, a regular or part-time employee of an employer will become a participant in the Plan as of the date he has bothattained age 21 and (a) completed one year of continuous service,in the case of regular employees, or (b) completed a 12-monthperiod of 1,000 hours of service, measured by anniversary dates ofhire.

On and after January 2, 2005 no individual shall become aparticipant in the plan.

DefinitionsService Continuous service, to determine eligibility for benefits, is

measured by the time elapsed between the employee’s date ofhire and the date of his severance from service; except that, in thecase of a part-time regular employee, continuous service will notinclude any period of part-time employment with the employersprior to January 2, 1971.

Credited Service under the plan was frozen for all participantsunder age 40 as of December 31, 2004 and was frozen for allremaining participants as of December 31, 2005.

Pensionable pay Annual compensation.

Average earnings The average monthly compensation of the 5 consecutive completecalendar years within the last 10 consecutive complete calendaryears of continuous service (prior to the plan freeze) which yieldthe highest average, excluding any year the employee was on aspecified leave of absence for more than 120 days.

Covered compensation The average of the Social Security taxable wage based for the 35-year period ending with and including the calendar year in whichthe participant attains (or will attain) Social Security retirementage.

Normal retirement date (NRD) Normal Retirement Date: The first day of the month following theparticipant’s 65th birthday.




Monthly pension benefit Normal Form of Benefit: Benefits were frozen as of December 31, 2005. The frozen benefits were determined basedon the following provisions. The monthly pension on a single-lifebasis is equal to the sum of the Monthly Final Average Pay Benefitand the Monthly Career Pay Benefit.

Monthly Final Average Pay Benefit – the sum of:

1. 1/12th of .2% of the participant’s past service compensationmultiplied by his credited past service (for service and payprior to 1978).

2. A percentage of the participant’s final average monthlycompensation on December 31, 1988 reduced by the samepercentage of his monthly estimated projected primary SocialSecurity benefit (based on the law in effect on December 31,1988) to a maximum percentage of 50%, times a ratio of finalaverage monthly compensation at retirement or December31, 1999, if earlier, divided by final average monthlycompensation on December 31, 1988 (Note: the ratio is notpermitted to be less than one).

Such percentage is the sum of:

i. 1.5% multiplied by his period of credited futureservice as of December 31, 1988, earned beforeage 50 and completion of 15 years of continuousservice, and

ii. 2% multiplied by his period of credited futureservice as of December 31, 1988, earned after age50 and completion of 15 years of continuousservice.

3. .85% of the participant’s Final Average MonthlyCompensation at retirement or December 31, 1999, if earlier,multiplied by his period of credited future service earned afterDecember 31, 1988, but before January 1, 2000. Forindividuals who were both employed and participating as ofDecember 31, 1988, the percentage used in the calculationwill be 1% instead of .85% for the number of years of creditedservice after 1988 that equals the number of such yearsbefore 1989.




4. .65% of the participant’s Final Average MonthlyCompensation in excess of monthly Covered Compensationmultiplied by his period of credited future service earned afterDecember 31, 1988 but before January 1, 2000. The serviceused in this calculation is limited to 35 years less the numberof years of credited service earned before January 1, 1989.

Monthly Career Pay Benefit – the sum of:

5. .85% of the participant’s compensation for each plan yearcommencing on and after January 1, 2000 (prior to the planfreeze), divided by 12.

6. .65% of the participant’s compensation for each plan yearcommencing on and after January 1, 2000 (prior to the planfreeze), in excess of Covered Compensation for that year,divided by 12. No accruals under this benefit shall be earnedfor more than 35 years less the number of years of creditedservice earned before January 1, 2000.

But not less than:

7. $7 per month multiplied by his period of credited futureservice after December 31, 1993 and before January 1, 2000.

Monthly preretirement deathbenefit

Participants in Active Service Pre-55: The spouse will receive apension computed in accordance with foregoing formula for normalretirement, based on the participant’s continuous service, creditedservice and compensation at date of death, reduced for earlycommencement and optional form.

Participants in Active Service Post-55: The spouse will receive a50% Joint and Survivor annuity payable immediately reduced forearly commencement and optional form.




Eligibility for BenefitsNormal retirement Retirement on NRD

Early retirement Retirement on or after both attaining age 55 and completing ten ormore continuous years of vesting service, but prior to NRD

Postponed retirement Retirement after NRD

Vested termination Termination for reasons other than death or retirement aftercompleting five years of vesting service

Preretirement death benefit Death while eligible for normal, early, postponed, or deferredvested retirement benefits, with a surviving spouse

Benefits Paid Upon the Following EventsNormal retirement Monthly pension benefit determined as of NRD

Early retirement If the participant elects early payment, the amount is reduced foreach month that the pension commencement date precedes age 65. The benefit earned under 1. and 2. above, is reduced by .4167% for each month that the pension commencement dateprecedes age 63. The benefit earned under 3. and 5. above, isreduced by .4167% for each month that the pensioncommencement date precedes age 65 (age 63 if age 55 with 20years of continuous service before the earlier of termination andDecember 31, 1999). The benefit earned under 4. and 6. above isreduced by .6667% for each month that the pensioncommencement date precedes age 65 (up to 36 months) and isadditionally reduced by .3333% for each month that the pensioncommencement date precedes age 62.

Postponed retirement Monthly pension benefit determined as of actual retirement date,including actuarial increases as applicable

Vested termination The monthly amount of the single-life pension payable at age 65 isequal to the amount determined under the formula for normalretirement. If payment commences prior to age 65 the amount isreduced by actuarial equivalence.




Preretirement death The spouse will receive a monthly benefit calculated in accordancewith the formula for normal retirement, based on the participant’scontinuous service, credited past service, credited future serviceand compensation at date of severance of employment, reduced toits actuarial equivalent assuming the participant had survived to thedate monthly retirement becomes payable and had chosen the50% option described below.

Other Plan ProvisionsForms of payment Optional Forms of Retirement Income in Lieu of Normal Form

A participant may elect to receive a pension under one of theoptions described below, actuarially equivalent to the pension he isotherwise entitled to receive:

A. Option A: A reduced pension payable during the life of the

participant, and after his death, 100% or 50% of suchreduced pension (as selected by the participant) will continueduring the lifetime of the person designated by him.

B. Option B: Same as Option A above except that, if the

designated contingent annuitant or estate predeceases theretired participant, his pension will be increased to the single-life pension otherwise payable.

C. Option C: A reduced pension payable during the life of the

participant with a guarantee that if he dies before 120payments have been made, his contingent annuitant orestate will receive the balance of the 120 payments.

D. Option D: A reduced pension payable during the life of the

participant with the further provision that after his death,100% of such reduced pension will continue for the life of hisdesignated annuitant if such person survives him, with aguarantee that if the participant and his designated annuitantdie before 120 payments have been made, the participant’sestate will receive the balance of the 120 payments.

Actuarial equivalence is determined using an 8% interest rate andthe 1984 unisex pension table. Adjustments may vary for certainlegacy participants.




Lump-Sum Payments

An actuarially equivalent lump sum amount will be payable in lieuof a monthly pension if either:

A. The lump sum amount is not in excess of $5,000; or

B. The participant (or in the event of death, his surviving spouse

or beneficiary) elects to receive such lump sum amount, andthe participant meets one of the following eligibilityrequirements:

1. Attainment of age 55 and completion of 20 or more

years of continuous service, or 2. Attainment of age 60 prior to January 1, 1990, or 3. Attainment of age 60 and completion of 10 or more

years of continuous service, or 4. The monthly pension payable to the participant at his

normal retirement date is less than $150. Actuarial equivalence is determined using 417(e)(3) segment rates and mortality.

Pension Increases None

Plan participants’contributions

None




Former Kmart Corporation Employee Pension Plan ParticipantsCovered employees Employees who have attained age 21 and completed one year of

service. There will be no new participants after January 31, 1996.

DefinitionsService Years and months of service as a covered employee. Service was

frozen for benefit determination as of January 31, 1996.

Pensionable pay Annual compensation.

Normal retirement date (NRD) First of month coinciding with or next following the attainment ofage 65 with five years of participation.

Monthly pension benefit The plan was frozen to future benefit accruals after January 31,1996.

Benefit: The greater of:

A) For service prior to February 1, 1975, 3/4 of 1% of 1974 fiscal

year's earnings for each year of service plus 20% of employee'scontribution, if any, or the accrued pension under the prior plan.For service after February 1, 1975, 1¼% of each year'searnings for each year of service.

B) 1.50% of highest average compensation in any five consecutive

fiscal years preceding retirement, for each year of service priorto normal retirement date and subsequent to age 21 subject to amaximum of 35 years, plus 20% of employee's contributions, ifany, less 2% of estimated Social Security benefit for each yearof service prior to normal retirement, subject to a maximum of 30years.

C) Minimum benefit of $25 per month provided.

Monthly postretirement deathbenefit

On death of any employee prior to termination of active service onor after January 1, 1973 (i) sum of age and service was at least 90or (ii) was at least age 60 and had completed 15 years of service.

Disability retirement benefit Eligibility: Age 50, 10 years of service. Eligibility after January 31,1996 was discontinued as a result of the plan freeze.

Preretirement death benefit Upon becoming vested, an employee who dies will be deemed tohave terminated on his date of death and to have elected a 50%survivor option with benefits commencing on the date theparticipant would have received early retirement benefits. Aterminated vested member may reject this benefit; otherwise anysubsequent benefit will be reduced to provide the cost for thisbenefit.




Eligibility for BenefitsNormal retirement Retirement on NRD

Early retirement Retirement before NRD and on or after both attaining age 55 andcompleting five years of service

Postponed retirement Retirement after NRD

Vested termination Termination for reasons other than death or retirement aftercompleting five years of service

Benefits Paid Upon the Following EventsNormal retirement Monthly pension benefit determined as of NRD

Early retirement Benefit: If sum of age and service is at least 90, accrued normalpension is paid without actuarial reduction (the estimated SocialSecurity benefit used in connection with (ii) above is reduced by5/9% for each month by which age at early retirement is less than65). With less than 90 points, the accrued normal benefit isreduced by 1/2% for each of the first 60 months by which date ofearly retirement precedes Normal Retirement Date, plus 1/3% foreach of the next 60 months and 1/4% for each month in excess of120, but not to exceed 2/3 of 1% for each month by which the sumof age and service is less than 90 for the final pay formula

Postponed retirement Monthly pension benefit determined as of actual retirement date,including actuarial increases as applicable

Vested termination With 5 or more years of service, the accrued normal pension ispayable (based on service earnings to date of termination) as adeferred benefit commencing at age 65; or at any age after 55,subject to reduction as for early retirement




Postretirement death Death benefit payable to designated beneficiary as follows(minimum benefit is $1,500):

Date of death Benefit as percent of compensation* for last full

calendar year of employmentDuring first year following retirement 50% During second year following 40% retirementDuring third year following retirement 30% During fourth year following 20% retirementAfter fourth year following retirement 10%

Disability Monthly Benefit: 1 1/4% of highest average compensation in any5 consecutive fiscal years preceding retirement for each year ofservice plus 20% of employee's contribution. However, in no eventis the disability pension payable after Normal Retirement Dategreater than the pension that would have been payable to theemployee if he had continued in service to normal retirementwithout change in rate of compensation.

Other Plan ProvisionsForms of payment Optional Forms of Retirement Income in Lieu of Normal Form

A participant may elect to receive a pension under one of theoptions described below, actuarially equivalent to the pension he isotherwise entitled to receive:

A. Option A: A reduced pension payable during the life of the

participant, and after his death, 100%, 75% or 50% of suchreduced pension (as selected by the participant) will continueduring the lifetime of the person designated by him. Tocalculate the reduced pension, the following actuarialadjustments will be used:

a. 100% J&S:

i. For terminations after 12/19/1990, 82% +/- 0.5% for

each full year of age difference. Maximumdifference 15 years for spouses younger thanparticipants.

ii. For terminations prior to 12/19/1990, 73% +/- 1% for

each full year of age difference. Maximumdifference 10 years for spouses younger thanparticipants.




b. 75% J&S

i. For terminations on or after 12/19/1990, 86% +/-0.5% for each full year of age difference. Maximumdifference 15 years for spouses younger thanparticipants.

ii. For terminations prior to 12/19/1990, 80% +/- 1% foreach full year of age difference. Maximumdifference 10 years for spouses younger thanparticipants.

c. 50% J&S:

i. For terminations on or after 12/19/1990, 90% +/-0.5% for each full year of age difference. Maximumdifference 15 years for spouses younger thanparticipants

ii. For terminations prior to 12/19/1990, 86% +/- 1% foreach full year of age difference. Maximumdifference 10 years for spouses younger thanparticipants

B. Option B: A reduced pension payable during the life of theparticipant with the guarantee that if he dies before 120payments have been made, his contingent annuitant or estatewill receive the balance of the 120 payments. To calculate thereduced pension, the actuarial adjustments listed in the tablein the plan document will be used. This option is onlyavailable to participants who terminated employment after12/19/1990.

C. Option C: A “Social Security Leveling Option” providing anadjusted pension benefit so that the monthly payment from thePlan, together with the monthly payment of the early EstimatedSocial Security Benefit will provide, as nearly as possible, alevel payment to the Participant before and after age sixty-two(62). This option shall be available only to a Participant whoretires on an Early Retirement Date before attaining age sixty-two (62). Additionally, this option can be combined with theoptional forms described in Sections A. and B. above.Effective February 1, 2004, the minimum monthly pensionpayable to a Retired Participant under this subsection shall be $12.50. Prior to February 1, 2004, the minimum monthlypension payable to a Retired Participant under this subsectionwas $25.00. To calculate the adjusted pension, the 417(e)(3)segment rates and mortality table will be used.




Other optional forms of payment are also available to certainlegacy Kmart participants.

Lump Sum Payments

An actuarially equivalent lump sum amount will be payable in lieuof a monthly pension if either:

A. The lump sum amount is not in excess of $5,000; or

B. The participant terminates employment on or after December 28, 2015, elects to receive such lump sum amount and has attained his or her Early Retirement or Normal Retirement Age; or

C. The surviving spouse or beneficiary of a participant who died on or after October 1, 2015 or the surviving spouse or beneficiary of a participant who died prior to October 1, 2015 but whose benefit had not yet commenced as of October 1, 2015 elects, prior to what would have been the participant’s Normal Retirement Date, to receive such lump sum amount.

Actuarial equivalence is determined using 417(e)(3) segment rates and mortality.

The plan will be subject to PPA benefit restrictions on payment of full lump sums beginning April 1, 2016.

Pensions increases None.

Plan participants’contributions

None.

Plan Name

Plan Sponsor EIN

ERISA Plan No.

Plan Year End

Form/Schedule Line Item Description

5500 Schedule H Line 4i Schedule of Assets (Held at End of Year)

Form 5500 Schedule H, Part III, which consists of the entire Audit report issued by the Plan's

Independent Qualified Public Accountant (IQPA).

Sears Holdings Pension Plan

20-1920798

001

11/30/2016

The required attachment noted below is included within the Accountant's Opinion attachment to the




Schedule SB, Line 25Change in Method

Change in methods since prior valuation include: The Sears Holdings Pension Plan split into two separate plans on November 30, 2016. The plan year changed from beginning January 1 to December 1 as of November 30, 2016 The Target Normal Cost for the shortened plan year was determined by subtracting the expected

administrative expenses for December 2016 from the full year target normal cost. Because of the timing of PBGC premium payments, this amount will not be equal to eleven-twelfths of the full year Target Normal Cost.

The Net Shortfall Amortization Installment for the shortened plan year is equal to eleven-twelfths of the full plan year amount.

An application to IRS for approval of change in method is pending approval. The change in plan year has already been approved by the IRS in January 2017.




Schedule SB, Line 24Change in Non-Prescribed Actuarial Assumptions

as of January 1, 2016

The form of payment assumption for legacy Kmart participants was updated to reflect the implementation of a lump sum provision adopted in 2015.

Form 5500 Annual Return/Report of Employee …...SEARS HOLDINGS CORPORATION 20-1920798 930699254...

Documents

Transcript of Form 5500 Annual Return/Report of Employee …...SEARS HOLDINGS CORPORATION 20-1920798 930699254...