ANNUAL STATEMENT FOR THE YEAR ENDED DECEMBER 31, 2016 OF THE CONDITIONS AND AFFAIRS OF FRANKLIN REGIONAL RETIREMENT SYSTEM

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2 ANNUAL STATEMENT FOR THE YEAR ENDED DECEMBER 31, 2016 OF THE CONDITIONS AND AFFAIRS OF FRANKLIN REGIONAL RETIREMENT SYSTEM Investment Managers Daruma Asset Management, Inc Avenue of the Americas, 21 st Floor New York, NY Polen Capital Management 1825 NW Corporate Blvd, Suite 300 Boca Raton, FL Income Research & Management 100 Federal Street, 30 th Floor Boston, MA Pension Reserve Investment Mgmt. 84 State Street, Suite 250 Boston, MA O Shaughnessy Asset Management 6 Suburban Avenue Stamford, CT Seizert Capital Partners 185 Oakland Avenue, Suite 100 Birmingham, MI Systematic Financial Management, L.P. 300 Frank W. Burr Blvd., 7 th Floor Teaneck, NJ 07666

3 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 ANNUAL STATEMENT BALANCE TESTS 1 ASSET BALANCE Assets Previous Year 118,210, Income Current Year 20,761, Disbursements Current Year (11,921,088.06) Assets Current Year 127,050, ASSET DIFFERENCE Assets Current Year 127,050, Assets Previous Year (118,210,145.54) Difference 8,840, INCOME DIFFERENCE Income Current Year 20,761, Disbursements Current Year (11,921,088.06) Difference 8,840, FUND CHANGE DIFFERENCE Total Fund Change Credits Current Year 24,386, Total Fund Change Debits Current Year (15,546,310.24) Difference 8,840, Page 1

4 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 ASSETS & LIABILITIES Cash 927, ,027, ,370, Fixed Income Securities Equities (at market value) 29,895, ,890, ,876, Pooled Domestic Equity Funds 5,972, ,310, ,690, Pooled International Equity Funds 5,677, ,587, ,382, Pooled Domestic Fixed Income Funds 15,900, ,801, ,726, Pooled Real Estate Funds 12,747, ,730, ,341, PRIT Fund 57,216, ,789, ,311, Prepaid Expenses 6, , , Accounts Receivable (A) 325, , , Interest Due and Accrued 1, Accounts Payable (A) (1,622,175.01) (1,376,958.49) (81,594.83) Total 127,050, ,210, ,142, Funds: Annuity Savings Fund 28,830, ,029, ,866, Annuity Reserve Fund 9,736, ,122, ,923, Military Service Fund Pension Fund 3,038, ,241, ,973, Pension Reserve Fund 85,444, ,816, ,378, Total Assets at Market Value 127,050, ,210, ,142, Page 2

5 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Changes in Fund Balance Balance 12/31 Interfund Balance 12/31 Prior Year Receipts Transfers Disbursements Current Year Annuity Savings Fund ,029, ,722, (2,031,013.10) (889,954.47) 28,830, Annuity Reserve Fund ,122, , ,030, (1,696,928.88) 9,736, Pension Fund ,241, ,335, ,594, (8,132,405.95) 3,038, Military Service Fund Expense Fund ,201, (1,201,798.76) - Pension Reserve Fund ,816, ,221, (1,594,149.64) 85,444, TOTAL ALL FUNDS 118,210, ,761, (11,921,088.06) 127,050, Annuity Savings - to - Annuity Reserve 2,030, For Retirements Annuity Savings - to - Pension Reserve year write-off Pension Reserve - to - Annuity Savings 8.95 Transfers and refunds from 10 Year Write Offs Pension Reserve - to - Annuity Savings 7.59 Correct prior year interest on refunded moneys Pension Reserve - to - Pension Fund 1,594, To support "Cost of Benefits" 3,625, Fund Change Credits Difference Debits on Page 1 24,386, ,840, ,546, Page 3

6 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 RECEIPTS Annuity Savings Fund: (a) 4891-Members Deductions 3,024, ,921, ,908, (b) 4892-Transfers From Other Systems 573, , , (c) 4893-Member Make Up Payments 39, , , and Redeposits (d) 4900-Member Payments from Rollovers 33, , , (e) Investment Income Credited to 50, , , Members Accounts 2 Annuity Reserve Fund Subtotal 3,722, ,566, ,321, (a) Investment Income Credited to Annuity Reserve Fund 279, , , Pension Fund Subtotal 279, , , (a) (8)(c) Reimbursements From Other Systems 410, , , (b) 4899-Received From Commonwealth 49, , , for COLA and Survivor Benefits (c) 4894-Pension Fund Appropriation 5,875, ,645, ,418, (d) Workers' Compensation Settlements - 11, [e] Recovery of 91A Overearnings Military Service Fund Subtotal 6,335, ,129, ,884, (a) 4890-Contribution Received from Municipality (b) Investment Income Credited to Military Service Fund 5 Expense Fund Subtotal (a) 4896-Expense Fund Appropriation (b) Investment Income Credited to 1,201, ,156, ,124, Expense Fund 6 Pension Reserve Fund Subtotal 1,201, ,156, ,124, (a) 4897-Federal Grant Reimbursement (b) 4895-Pension Reserve Appropriation (c) 4822-Interest Not Refunded 7, , , (d) 4825-Miscellaneous Income 1, , (e) Excess Investment Income 9,212, (217,119.22) 7,619, Subtotal 9,221, (209,033.71) 7,638, TOTAL RECEIPTS 20,761, ,910, ,238, ,761, ,910, ,238, Page 4

7 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 DISBURSEMENTS 1 Annuity Savings Fund: (a) 5757-Refunds to Members 316, , , (b) 5756-Transfers to Other Systems 573, , ,581, Subtotal 889, , ,954, Annuity Reserve Fund: (a) 5750-Annuities Paid 1,681, ,541, ,452, (b) 5759-Option B Refunds 15, , , Subtotal 1,696, ,561, ,472, Pension Fund: (a) 5751-Pensions Paid Regular Pension Payments 6,377, ,853, ,591, Survivorship Payments 355, , , Ordinary Disability Payments 70, , , Accidental Disability Payments 491, , , Accidental Death Payments 59, , , Section 101 Benefits 12, , , (b) (8)(c) Reimbursements to 716, ,341, , Other Systems (c) 5752-COLA's Paid 49, , , (d) 5753-Chapter 389 Beneficiary Increase Paid Subtotal 8,132, ,212, ,954, Military Service Fund: (a) 4890-Return to Municipality for Members who withdrew their funds Subtotal Expense Fund: (a) 5118-Board Member Stipend 26, , , (b) 5119-Salaries 332, , , (c) 5304-Management Fees 656, , , (d) 5305-Custodial Fees 15, , , (e) 5307-Consultant Fees 32, , , (f) 5308-Legal Expenses 17, , , (g) 5309-Medical Expenses - - (h) 5310-Fiduciary Insurance 11, , , (i) 5311-Service Contracts 30, , , (j) 5312-Rent 18, , , (k) 5315-Professional Services - - (l) 5316-Actuarial Services 15, , , (m) 5317 Audit Services 17, , , (n) 5320-Education and Training 2, , (o) 5589-Administrative Expenses 17, , , Furniture and Equipment 2, , , Travel 4, , Subtotal 1,201, ,156, ,124, TOTAL DISBURSEMENTS 11,921, ,842, ,504, ,921, ,842, ,504, Page 5

8 Investment Income Investment Income Received From: (a) Cash (from Schedule 1) 83, , , (b) Short Term Investments (from Schedule 2) (c) Fixed Income Securities (from Schedules 3A and 3C) (d) Equities (from schedules 4A and 4C) 646, , , (e) Pooled Funds (from Schedule 5) 2,457, ,291, ,225, (f) Commission Recapture TOTAL INVESTMENT INCOME 3,187, ,745, ,672, Plus: 4884-Realized Gains (Profits) 3,868, ,261, ,608, Less: 4886-Unrealized Gains (Incr. in Market Value) 12,824, ,855, ,567, Interest Due and Accrued- 1, Current Year 16,695, ,117, ,175, Paid Accrued Interest on Fixed Income Securites 4885-Realized Losses (1,122,834.93) (1,307,195.54) (1,894,678.81) 4887-Unrealized Losses (Decrease in Market Value) (8,015,721.85) (11,295,965.71) (6,889,922.96) 1550-Interest Due and Accrued- Prior Year (102.16) (1.51) (32.73) NET INVESTMENT INCOME 10,744, ,259, ,063, Income Required: Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Annuity Savings Fund (From 50, , , supplementary schedule) Annuity Reserve Fund 279, , , Expense Fund 1,201, ,156, ,124, Military Service Fund TOTAL INCOME REQUIRED 1,532, ,476, ,444, Net Investment Income 10,744, ,259, ,063, Less Income Required: (1,532,157.90) (1,476,249.82) (1,444,112.86) EXCESS INCOME TO PENSION RESERVE FUND 9,212, (217,119.22) 7,619, Page 6

9 Annual Statement Franklin Regional Retirement System December 31, 2016 Annuity Reserve Interest Calculation (Interest Posted to the Anuity Reserve Fund) Option B Debit Balance Credit Balance Month Transfers Out 3294 Transfers In Balance Balance X.0025 Interest for Dis. & prior yr Retirees December 31, ,122, ,122, , January 31, , , ,223, , February 29, , , ,317, , March 31, , , ,225, , April 30, , , , ,117, , May 31, , ,980, , June 30, , , ,480, , July 31, , , ,386, , August 31, , , ,337, , September 30, , , ,481, , October 31, , , ,639, , November 30, , , ,574, , December 31, , , ,456, totals: 1,681, , ,030, , This balance should equal the balance in 3294 after final entries #3294 Balance 9,736, Page 7

10 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Schedule A Detail of Accounts Receivable and Accounts Payable Amount Original Date Accounts Receivable 4891 Member Deductions $190, /31/ Pension Fund Appropriation 134, /31/ PrePaid Employee Insurance 2, /31/ PrePaid Rent Expense 1, /31/ PrePaid Administrative Expenses 1, /31/ PrePaid Service Contracts-Admin & Equip /31/ Buyback Make-up Periodic Payments /31/ Pre-paid Education and Training /31/2016 TOTAL RECEIVABLES (Must agree with Page 2, sum of line 19 & 20) 332, Accounts Payable 5118 Board Stipends 2, /31/ Salaries 11, /31/ Management fees 60, /31/ Custodial Fees 4, /31/ Investment Consultant 8, /31/ Legal Expense 3, /31/ Accrued Liability for State Board 3(8)c 1,530, /31/ Administrative expense 1, /31/2016 TOTAL PAYABLES (Must agree with Page 2, line 22) 1,622, Page 8

11 Annual Statement of the Franklin Regional Retirement System for Year Ended December 31, 2016 MEMBERSHIP FOR CURRENT YEAR ACTIVE MEMBERS Group 1 Group 2&4 TOTAL Active Membership Dec 31st, previous year Inactive Membership Dec.31st, previous year Enrolled During Current Year Transfers Between Groups - Reinstatements of Disabled Members - SUBTOTAL 1, ,656 Deduct Death - Withdrawals Retirements SUBTOTAL TOTAL 1, ,544 Active Membership Dec 31st, current year Inactive Membership Dec.31st, current year RETIRED MEMBERS, BENEFICIARIES and SURVIVORS Retired, Beneficiary, and Survivor Membership, Dec. 31, previous year Retirements During the Year: Superannuation Ordinary disability Accidental disablity - Termination Retirement Allowance - Beneficiary of Deceased Retiree 1 1 Survivor Benefits from Active Membership - SUBTOTAL Deduct: Deaths of Retired Members (10) (10) Terminations of Survivors Benefits (1) (1) Waived Retirement Benefits - Reinstatements of disabled pensions - SUBTOTAL (11) - (11) TOTAL Retired Membership Dec. 31, current year Superannuation Ordinary Disability Accidental Disability Termination - Beneficiaries from Accidental Deaths Beneficiaries from Section Beneficiaries from Section Beneficiaries under Option (C) Option (D) Survivor Allowance Section 12B Survivor Allowance 1 1 TOTAL Total Retired, Beneficiary, and Survivor Membership, Dec. 31, current year ************************************************************************************************** TOTAL MEMBERSHIP Active, Inactive, Retired, Beneficiary and Survivor, Dec. 31, current year 1, ,125

12 Schedule No: 1 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Cash Account Activity During Year (A) (B) (C) (D) (E) (F) (G) Income =A+B+C-D Cash Income Interest Book Value Total Reinvested/ Withdrawals Book Value Pd to System Interest Due Account Rate at at End of Deposits Redeposited During Dec 31st Not Reinvested and Accrued Description No. Year End Previous Yr This Year Into Account Year Current Yr or Redeposited on Dec. 31st 1041 UniBank - checking % 2, ,247, ,247, , Unibank - money market % 403, ,420, , ,742, , Unibank - card account % - 2, , Comerica - Systematic , ,646, ,544, , Comerica - Seizert , ,907, , ,847, , Comerica - Polen , ,705, ,612, , Comerica - O'Shaughnessy , ,381, , ,498, , PETTY CASH $ 1,027, $ 44,310, $ 83, $ 44,493, $ 927, $ - $ 1,600.41

13 Schedule No: 2 Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Short Term Securities (A) (B) (C) (D) (E) (F) (G) Amount Received Cost At Maturity Less Book Value Interest Due and Date Including Commissions and Dec. 31st Received Accrued Description Acquired Par Value Commisions Excluding Interest Current Year During Year Dec. 31st NONE The Franklin Regional Retirement System has no activity to report on Schedules 2, 3A, 3B, and 3C.

14 Schedule No. 3A Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Domestic Fixed Income Securities Owned at End of Year (A) (B) (C) (D) (E) (F) (G) Cost or Market Interest Interest Due Value at End of Received and Accrued Description CUSIP Prior Year Unrealized Gain Unrealized Loss Market Value During Year Dec. 31st NONE The Franklin Regional Retirement System has no activity to report on Schedules 2, 3A, 3B, and 3C.

15 Schedule No. 3B Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Domestic Fixed Income Securities Purchased During Year (A) (B) (C) (D) (E) (F) (G) Cost Excluding Date Comm- Paid Accrued Interest Par Acquired Name of issons Accrued But Including Description CUSIP NO Value (Trade Date) Broker Paid Interest Commissions NONE The Franklin Regional Retirement System has no activity to report on Schedules 2, 3A, 3B, and 3C.

16 Schedule No. 3C Annual Statement of the Franklin Regional Retirement System for the Year Ended December 31, 2016 Domestic Fixed Income Securities Sold During Year (A) (B) (C) (D) (E) (F) (G) (H) (I) (J) Market Value Amount Received Date Sold Previous Dec 31st on Sale Less =G- F =G- F Interest Received Par or Matured Name of Commissions or cost if purchased Commissions Excluding Realized Realized During Year Including Description CUSIP Value (Trade Date) Broker Paid Current Year Accrued Interest Gain Loss Interest Sold NONE The Franklin Regional Retirement System has no activity to report on Schedules 2, 3A, 3B, and 3C.

17 Schedule 4A Annual Statement of the Franklin Regional Retirement System through the Month of December 2016 Equities Owned at End of Month (Equities defined as stocks or options) A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD SEIZERT AGCO CORP , , , , , , AMDOCS LTD G , , , , AMERICAN CAP AGY CORP 02503X , , , AMERISOURCEBERGEN CORP 03073E105 3, , , , , ASSURED GUARANTY LTD G0585R106 11, , , , , , C H ROBINSON WORLDWIDE INC 12541W209 3, , , , , , CHICAGO BRDG & IRON-NY SHS , , , , , , CHURCH & DWIGHT INC , , , , CUMMINS INC , , , , , , DILLARDS INC , , DISCOVERY COMMUNICATIONS INC NE 25470F302 10, , , , , ENDO INTERNATIONAL PLC G , , ENSCO PLC G3157S , , EVEREST RE GROUP LTD G3223R108 1, , , , , , F5 NETWORKS INC , , , , FIFTH THIRD BANCORP COM , , , , , , HOWARD HUGHES CORP COM 44267D107 2, , , , LIBERTY BROADBAND CORP - C , , , , , LIBERTY MEDIA CORP LIBERTY MEDIA CORP BRAVES GROUP-A LIBERTY MEDIA CORP BRAVES GROUP-C LIBERTY MEDIA CORP C LIBERTY MEDIA CORP GROUP-A LIBERTY MEDIA CORP GROUP-C , , , , LIBERTY MEDIA CORP SIRIUS GROUP-C , , , , , LIBERTY MEDIA CORP SIRIUSXM GROUP , , MALLINCKRODT PLC G5785G107 2, , , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 1 of 22

18 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD MARVELL TECHNOLOGY GROUP LTD G5876H , , , MEAD JOHNSON NUTRITION CO , , , , NETAPP INC 64110D104 6, , , , , , PACKAGING CORP OF AMERICA , , , , , REDWOOD TRUST INC REIT , , , , , , REGIONS FINL CORP 7591EP100 22, , , , , , SYMANTEC CORP , , , VALMONT INDS INC , , , , , , VISTEON CORP 92839U , , , WABTEC CORP WESTERN DIGITAL CORP , , , , , , WESTERN UN CO , , , , , , ZIONS BANCORP , , , , , , POLEN TOTAL FOR: SEIZERT 5,184, , ,207, ,395, , , ABBOTT LABS , , , ACCENTURE PLC CL A G1151C101 3, , , , , , ADOBE SYS INC 00724F101 3, , , , , ALIGN TECHNOLOGY INC , , , , ALPHABET INC CL A 02079K , , , , ALPHABET INC CL C 02079K , , , , APPLE INC , , , AUTOMATIC DATA PROCESSING INC , , , , , , CELGENE CORP , , , , , DOLLAR GEN CORP NEW , , , , FACEBOOK INC 30303M102 3, , , , , FASTENAL CO , , , GARTNER INC CL A , , , , , MASTERCARD INC 57636Q104 1, , , , , , NESTLE SA SPONSORED ADR REPSTG , , , , , , NIKE INC CL B , , , , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 2 of 22

19 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD O REILLY AUTOMOTIVE INC NEW 67103H107 1, , , , , ORACLE CORPORATION 68389X105 8, , , , , , PRICELINE.COM , , , , REGENERON PHARMACEUTICALS INC 75886F107 1, , , , , STARBUCKS CORP , , , , , , TJX COMPANIES INC NEW , , , , , , VISA INC CL A 92826C839 7, , , , , , O'SHAUGHNESSY TOTAL FOR: POLEN 7,827, , ,144, , , , AEGON N V ORD AMER REG ADR , , , ALLSTATE CORP , , , , , , AMBEV S A SPONSORED ADR 02319V , , , AMERICAN AIRLS GROUP INC 02376R102 4, , , , , AMERICAN EXPRESS CO , , , , AMERICAN INTL GROUP INC , , , , , AMERIPRISE FINL INC 03076C106 2, , , , , ANTHEM INC , , APPLIED MATLS INC , , , , ARCHER DANIELS MIDLAND CO , , , , , ASHLAND INC NEW , , BED BATH & BEYOND INC , , , , , , BEST BUY , , , , , BHP BILLITON PLC ADR 05545E209 1, , , , BLOCK H & R INC , , , , , , BOEING CO , , , , , CA INC 12673P105 1, , , , CAPITAL ONE FINL CORP 14040H , , , CBS CORP NEW CL B , , , , , , CENTURYLINK INC , , , , , , CF INDS HLDGS INC , , COCA-COLA ENTERPRISES INC NEW 19122T Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 3 of 22

20 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD COCA-COLA EUROPEAN PARTNERS G , , , CORNING INCORPORATED , , , , , , CUMMINS INC , , , , DARDEN RESTAURANTS INC , , DISCOVER FINL SVCS , , , , DOVER CORP , , , , , EMERSON ELECTRIC ELEC CO , , , , , , EXPRESS SCRIPTS HLDG CO 30219G108 1, , , , , FEDEX CORP 31428X , , FLUOR CORP , , , GENERAL DYNAMICS CORP , , , GENERAL ELECTRIC CO , , , , GENERAL MTRS CO 37045V100 5, , , , , GILEAD SCIENCES INC , , , , , HARTFORD FINL SVCS GROUP INC , , , , , , HESS CORP COM 42809H , , , IBM CORP , , , ILLINOIS TOOL WORKS INC WKS INC , , , , , , INGERSOLL-RAND PLC G , , JUNIPER NETWORKS INC 48203R104 5, , , , , , KOHLS CORP , , , , , , KONINKLIJKE AHOLD NV SPON ADR , , , KONINKLIJKE AHOLD NV SPON ADR L OREAL CO UNSPONSORED ADR , , , LINCOLN NATL CORP IND , , , , LYONDELLBASELL INDUSTRIES NV N , , , , , MACYS INC 55616P104 3, , , , , , MAGNA INTL INC CL A , , MARATHON PETE CORP 56585A , , MARRIOTT INTL INC NEW CL A , , , , , , MCDONALDS CORP , , , MICHAEL KORS HOLDINGS LTD G , , , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 4 of 22

21 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD MOBILE TELESYSTEMS SPON ADR , , MONSANTO CO 61166W , , MOSAIC CO NEW 61945C103 1, , , , , , MOTOROLA SOLUTIONS INC , , , , , , MSCI INC CL A 55354G , , , NATIONAL OILWELL VARCO INC , , , , , NAVIENT CORP 63938C , , NETAPP INC 64110D104 1, , , , , , NORTHROP GRUMMAN CORP , , , , , NTT DOCOMO INC ADR 62942M201 4, , , , , , PARKER HANNIFIN CORP , , , , , PENTAIR PLC G7S00T , , , PHILLIPS , , , QUALCOMM INC , , , SANDISK CORP 80004C , , SCRIPPS NETWORKS INTERACTIVE CL , , SEAGATE TECHNOLOGY G7945M107 4, , , , , , SIRIUS XM HLDGS INC 82968B103 13, , , , , SPIRIT AEROSYSTEMS HLDGS INC , , TARGET CORP 87612E106 2, , , , , TE CONNECTIVITY LTD H , , , , , TIME WARNER INC , , TRAVELERS COS INC 89417E109 2, , , , , , TWENTY-FIRST CENTY FOX INC 90130A101 3, , , , , TYCO INTERNATIONAL PLC G , , UNITED CONTL HLDGS INC , , , , UNITED TECHNOLOGIES CORP , , , , VALERO ENERGY CORP NEW 91913Y100 4, , , , , , VIACOM INC CL B 92553P , , , VOYA FINL INC , , WHOLE FOODS MKT INC , , , WYNDHAM WORLDWIDE CORP COM 98310W , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 5 of 22

22 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD XEROX CORP , , XL GROUP PLC G , , YUM CHINA HLDGS INC 98850P , , YUM! BRANDS INC , , , , SYSTEMATIC TOTAL FOR: O'SHAUGHNESSY 6,525, ,031, ,306, , , , AARON'S INC , , , , ABERCROMBIE & FITCH CO CL A , , , , , ABM INDS INC , , , ACACIA RESH CORP AR ACACIA , , , , ACCO BRANDS CORP 00081T108 1, , , , , ACETO CORPORATION , , , ADDUS HOMECARE CORP , , , AECOM TECHNOLOGY CORP DELAWAR 00766T , , , AEGEAN MARINE PETROLEUM NETWO Y0017S102 1, , , , , AEGION CORP 00770F , , , AFFYMETRIX INC 00826T , , AG MTG INVT TR INC , , , AGCO CORP , , AGREE REALTY CORP , , ALAMO GROUP INC ALERE INC 01449J , , ALLETE INC , , , ALLIED WORLD ASSURANCE CO H ALLSCRIPTS HEALTHCARE SOLUTIONS 01988P108 1, , , , , ALMOST FAMILY INC , , ALON USA ENERGY INC , , ALPHA & OMEGA SEMICONDUCTOR CO G6331P104 1, , , , ALTRA HLDGS INC 02208R AMAG PHARMACEUTICALS INC 00163U , , , , AMEDISYS INC , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 6 of 22

23 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD AMERICAN AXLE & MFG HLDGS INC AMERICAN EAGLE OUTFITTERS 02553E106 1, , , , AMERICAN EQUITY INVT LIFE HLDG AMERICAN PUB ED INC 02913V , , , AMSURG CORP 03232P , , ANALOGIC CORP COM PAR $ , , , ANGIODYNAMICS INC 03475V101 1, , , , , ANIKA THERAPEUTICS INC , , ANIXTER INTERNATIONAL INC , , , ANWORTH MTG ASSET CORP REIT , , , , , APOLLO GROUP INC CL A , , APPLIED INDUSTRIAL TECH INC 03820C , , , , APTEVO THERAPEUTICS INC 03835L ARCBEST CORP 03937C , , , , ARCOS DORADOS HOLDINGS INC A G0457F107 3, , , , ARGO GROUP INTL HOLDINGS LTD G0464B , , ARMOUR RESIDENTIAL REIT INC , , , , , ASHFORD HOSPITALITY TRUST , , , ASPEN INSURANCE HOLDINGS LTD G , , , , ASSURANT INC 04621X , , ASSURED GUARANTY LTD G0585R , , ATLANTIC TELE-NETWORK INC , , ATLAS AIR INC , , AVERY DENNISON CORP , , AVISTA CORP 05379B , , , AVON PRODS INC , , AVX CORP NEW , , , , , BANC CALIF INC 05990K BANK OF THE OZARKS INC , , , BANKRATE INC DEL 06647F102 2, , , , BANKUNITED INC COM 06652K BANNER CORPORATION 06652V , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 7 of 22

24 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD BARNES & NOBLE INC , , , , BBCN BANCORP INC , , BENCHMARK ELECTRONICS INC 08160H , , , BIG 5 SPORTING GOODS CORP 08915P101 1, , , , BIG LOTS INC , , , BILL BARRETT CORP 06846N104 3, , , BIO RAD LABORATORIES INC CL A , , BIOTELEMETRY INC , , , , BLACKSTONE MTG TR INC 09257W , , , BLUCORA INC , , , , BLUE NILE INC 09578R , , BOB EVANS FARMS , , BRADY CORPORATION CL A , , , BRIGGS & STRATTON CORP , , BRINKER INTL INC , , , BRINK'S CO , , BROCADE COMMUNICATIONS SYS INC , , BROOKLINE BANCORP INC 11373M , , BRUKER BIOSCIENCES CORP , , , , , BRUNSWICK CORP , , , BRYN MAWR BK CORP BUILD-A-BEAR WORKSHOP INC , , CABOT CORP , , , CABOT MICROELECTRONICS CORP 12709P , , CACI INTL INC CL A , , CALERES INC , , , , CAMBREX CORP , , , , CAPELLA ED CO , , , , CAPSTEAD MORTGAGE CORP 14067E506 2, , , , CARDINAL FINANCIAL CORP 14149F , , CARDTRONICS PLC-A G1991C , , , CARE CAP PPTYS INC , , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 8 of 22

25 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD CARPENTER TECHNOLOGY CORP CASH AMER INTL INC 14754D , , CATHAY BANCORP INC , , CATO CORP NEW CL A CBL & ASSOC PPTYS INC , , , , CECO ENVIRONMENTAL CORP , , , CELADON GROUP INC CELESTICA INC 15101Q108 1, , , , , CENTRAL GARDEN & PET CO , , , CENTRAL GARDEN & PET CO , , , , CENTRAL PACIFIC FINANCIAL CO , , CHARLES RIVER LABORATORIES , , , , CHATHAM LODGING TR 16208T102 1, , , CHECKPOINT SYS INC , , CHEESECAKE FACTORY INC , , , , CHEMED CORP 16359R , , , , CHESAPEAKE LODGING TR , , , CHICAGO BRDG & IRON-NY SHS , , , CHICOS FAS INC , , , , CHILDRENS PLACE RETAIL STS INC , , , , CIENA CORP , , CIRRUS LOGIC INC CITI TRENDS INC 17306X , , , , CLOUD PEAK ENERGY INC 18911Q , , COGENT COMMUNICATIONS GROUP 19239V , , , COHERENT INC , , COHU INC , , COLUMBIA BANKING SYSTEM INC , , , COMFORT SYSTEM USA INC , , COMMERCIAL METAL CO , , , , , COMMUNITY HEALTH SYS INC NEW , , , , COMPASS DIVERSIFIED TR 20451Q , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 9 of 22

26 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD COMPUTER PROGRAMS & SYS INC , , COMTECH TELECOMMUNICATIONS , , CONMED CORP , , CONSOL ENERGY INC 20854P109 1, , , CONSOLIDATED COMMUNICATIONS , , CONVERGYS CORP , , , COOPER STD HLDGS INC 21676P , , , COOPER TIRE & RUBBER CORPORATE OFFICE PPTYS TR 22002T , , CORRECTIONS CORP OF AMERICA 22025Y , , COSAN LTD CL A G , , , , COUSINS PROPERTIES INC , , COWEN GROUP INC NEW CL A , , CRAY INC CROSS COUNTRY HEALTHCARE INC , , , , , CSG SYSTEMS INTL INC , , , CTS CORP , , CULP INC , , CURTISS WRIGHT CORP CUSTOMERS BANCORP INC 23204G CVB FINANCIAL CORP CVR ENERGY INC 12662P DANA HOLDING CORP , , , , DARLING INTL INC DEAN FOODS CO , , DENBURY RESOURCES INC COM NEW , , , , , DEVRY INC DEL , , , , DHI GROUP INC 23331S100 2, , , , , DHT MARITIME INC Y2065G , , , DIAMOND OFFSHORE DRILLING INC 25271C102 1, , , , DIAMONDROCK HOSPITALITY CO , , , , DIGI INTL INC , , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 10 of 22

27 A B C D E F G H I SECURITY NAME CUSIP SHARES Share Price Market Value End of Prior Year Net Buy/Sell Book Value Current Market Value Unrealized Gain Unrealized Loss DIVIDENDS RECD DILLARDS INC , , , DOMTAR CORP , , , , DSW INC COMMON STOCK CL A 23334L102 1, , , , , DTS INC 23335C , , DUCOMMUN INC , , , , DUPONT FABROS TECHNOLOGY INC 26613Q , , DXP ENTERPRISES INC DYNEX CAP INC 26817Q506 2, , , , , EAGLE BANCORP INC MD , , EARTHLINK HLDGS CORP 27033X ELLIS PERRY INTL INC , , , EMCOR GROUP INC 29084Q , , , , EMERGENT BIOSOLUTIONS INC 29089Q , , , EMPLOYERS HLDGS INC , , , ENDURANCE SPECIALITY HOLDINGS G ENNIS INC , , , , , , ENSCO PLC G3157S106 2, , , , ENTEGRIS INC 29362U104 1, , , ENTERPRISE FINL SVCS CORP , , , EPR PPTYS 26884U , , ESSENDANT INC , , , , , ETHAN ALLEN INTERIORS INC , , , EXPRESS INC 30219E103 1, , , , , EXTREME NETWORKS INC 30226D106 4, , , , EZCORP INC CL A NON VTG , , , FAIRPOINT COMMUNICATIONS INC FARO TECHNOLOGIES INC FEDERAL SIGNAL CORP , , FINISH LINE INC CL A , , , FIRST AMERN FINL CORP 31847R , , , FIRST BANCORP , , FIRST BUSEY CORP , , , Thursday, March 23, 2017 Franklin Regional Retirement Schedule 4A through the Month of December 2016 Page 11 of 22