PACE Select Advisors Trust. Annual Report July 31, 2017

PACE Select Advisors Trust Annual Report July 31, 2017

Table of contents Page Introduction 3 Portfolio Advisor s and Subadvisors commentaries and Portfolios of investments PACE Government Money Market Investments 5 PACE Mortgage-Backed Securities Fixed Income Investments 9 PACE Intermediate Fixed Income Investments 29 PACE Strategic Fixed Income Investments 56 PACE Municipal Fixed Income Investments 89 PACE Global Fixed Income Investments (formerly, PACE International Fixed Income Investments) 100 PACE High Yield Investments 117 PACE Large Co Value Equity Investments 141 PACE Large Co Growth Equity Investments 156 PACE Small/Medium Co Value Equity Investments 165 PACE Small/Medium Co Growth Equity Investments 176 PACE International Equity Investments 187 PACE International Emerging Markets Equity Investments 203 PACE Global Real Estate Securities Investments 214 PACE Alternative Strategies Investments 222 Understanding your Portfolio s expenses 262 Statement of assets and liabilities 268 Statement of operations 276 Statement of changes in net assets 280 Statement of cash flows 286 Financial highlights 289 Notes to financial statements 318 Report of independent registered public accounting firm 369 Tax information 370 General information 371 Board approvals of investment management and administration agreement and subadvisory agreements 372 Supplemental information, trustees and officers 387 1

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Introduction September 18, 2017 Dear PACE Shareholder, We are pleased to provide you with the annual report for the PACE portfolios (the Portfolios ), comprising the PACE Select Advisors Trust. This report includes summaries of the performance of each Portfolio, as well as commentaries from the investment advisor and subadvisors regarding the events that affected Portfolio performance during the 12 months ended July 31, 2017 (the reporting period ). Please note that the opinions of the subadvisors do not necessarily represent those of UBS Asset Management (Americas) Inc. The global economic expansion continues The US economy continued to expand, albeit at a relatively modest pace, during the reporting period. Looking back, the US Commerce Department reported that gross domestic product ( GDP ) grew at a revised 2.2% seasonally adjusted annualized rate during the second quarter of 2016, prior to the beginning of the reporting period. GDP growth then improved to a revised 2.8% rate during the third quarter of 2016 the strongest reading since the first quarter of 2015. GDP growth then moderated to a revised 1.8% rate during the fourth quarter of 2016 and 1.2% during the first quarter of 2017, respectively. Finally, second quarter 2017 GDP grew at a 2.6% rate based on the US Commerce Department s initial estimate. Prior to the beginning of the reporting period, after taking its first step toward normalizing monetary policy in late 2015, the US Federal Reserve Board (the Fed ) kept the federal funds rate unchanged until December 2016, when it increased rates by 0.25% to a range between 0.50% and 0.75%. After keeping rates unchanged at its first meeting in 2017, the Fed again raised rates 0.25% to a range between 0.75% and 1.00% at its meeting in March 2017, and then to a range between 1.00% and 1.25% at its meeting in June 2017. In its statement following its June meeting, the Fed indicated that it may begin reducing its balance sheet later in the year, saying, The Committee currently expects to begin implementing a balance sheet normalization program this year, provided that the economy evolves broadly as anticipated. From a global perspective, the International Monetary Fund s ( IMF ) July 2017 World Economic Outlook Update stated, The pickup in global growth anticipated in the April World Economic Outlook remains on track, with global output projected to grow by 3.5 percent in 2017 and 3.6 percent in 2018. The unchanged global growth projections mask somewhat different contributions at the country level. U.S. growth projections are lower than in April, primarily reflecting the assumption that fiscal policy will be less expansionary going forward than previously anticipated. Growth has been revised up for Japan and especially the euro area, where positive surprises to activity in late 2016 and early 2017 point to solid momentum. From a regional perspective, the IMF estimates 2017 growth in the eurozone will be 1.9%, versus 1.6% in 2016. Japan s economy is expected to expand 1.3% in 2017, compared to 1.0% in 2016. Elsewhere, the IMF projects that overall growth in emerging markets countries will accelerate to 4.6% in 2017, versus 4.3% in 2016. Global equities generate very strong results While there were periods of volatility, the global equity market generated very strong results during the reporting period as a whole. After a strong start, equites experienced a setback in October 2016 given uncertainties surrounding the US elections. However, US equities rallied sharply following the elections given expectations for improving growth under the Trump administration. International equities largely followed the same pattern, as they rallied amid signs of improving growth and continued monetary policy accommodation. All told, the US stock market, as measured by the S&P 500 Index, 1 gained 16.04% for the 12 months ended July 31, 2017. International developed 1 The S&P 500 Index is an unmanaged, weighted index composed of 500 widely held common stocks varying in composition and is not available for direct investment. Investors should note that indices do not reflect the deduction of fees and expenses. 3

equities, as measured by the MSCI EAFE Index (net), 2 rose 17.77% during the reporting period, while emerging markets equities, as measured by the MSCI Emerging Markets Index (net), 3 gained 24.84%. The fixed income market generates mixed results The global fixed income market posted mixed results during the reporting period. In the US, Treasury yields moved sharply higher after the November elections as investors anticipated an uptick in growth and inflation. Additionally, Fed rate hikes pressured the shorter end of the yield curve. However, after peaking in mid-march 2017, yields moved lower amid skepticism about the Trump administration s growth initiatives. For the fiscal year as a whole, the yield on the US 10-year Treasury rose from 1.46% to 2.30% (bond yields and prices move in the opposite direction). The overall US bond market, as measured by the Bloomberg Barclays US Aggregate Bond Index, 4 declined 0.51% for the 12 months ended July 31, 2017. Returns of riskier fixed income securities were much higher. High yield bonds, as measured by the BofA Merrill Lynch US High Yield Cash Pay Constrained Index 5 gained 11.23% during the reporting period. Elsewhere, emerging markets debt, as measured by the J.P. Morgan Emerging Markets Bond Index Global (EMBI Global), 6 rose 4.59%. Sincerely, Mark E. Carver President, PACE Select Advisors Trust Managing Director, UBS Asset Management (Americas) Inc. This report is intended to assist investors in understanding how the Portfolios performed during the 12-month period ended July 31, 2017. The views expressed in the Advisor s and Subadvisors comments sections are as of the end of the reporting period, reflect performance results gross of fees and expenses, and are those of the investment advisor (with respect to PACE Government Money Market Investments only) and subadvisors. Subadvisors comments on Portfolios that have more than one subadvisor are reflective of their portion of the Portfolio only. The views and opinions in this report were current as of September 18, 2017. They are not guarantees of future performance or investment results and should not be taken as investment advice. Investment decisions reflect a variety of factors, and the investment advisor and subadvisors reserve the right to change their views about individual securities, sectors and markets at any time. As a result, the views expressed should not be relied upon as a forecast of a Portfolio s future investment intent. 2 The MSCI EAFE Index (net) is an index of stocks designed to measure the investment returns of developed economies outside of North America. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The index is constructed and managed with a view to being fully investable from the perspective of international institutional investors. Investors should note that indices do not reflect the deduction of fees and expenses. 3 The MSCI Emerging Markets Index (net) is a market capitalization-weighted index composed of different emerging market countries in Europe, Latin America, and the Pacific Basin. Net total return indices reinvest dividends after the deduction of withholding taxes, using a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. The index is constructed and managed with a view to being fully investable from the perspective of international institutional investors. Investors should note that indices do not reflect the deduction of fees and expenses. 4 The Bloomberg Barclays US Aggregate Bond Index is an unmanaged broad based index designed to measure the US dollar-denominated, investment-grade, taxable bond market. The index includes bonds from the Treasury, government-related, corporate, mortgage-backed, assetbacked and commercial mortgage-backed sectors. Investors should note that indices do not reflect the deduction of fees and expenses. 5 The BofA Merrill Lynch US High Yield Cash Pay Constrained Index is an unmanaged index of publicly placed, non-convertible, coupon-bearing US dollar denominated, below investment grade corporate debt with a term to maturity of at least one year. The index is market capitalization weighted, so that larger bond issuers have a greater effect on the index s return. However, the representation of any single bond issuer is restricted to a maximum of 2% of the total index. Investors should note that indices do not reflect the deduction of fees and expenses. 6 The J.P. Morgan Emerging Markets Bond Index Global (EMBI Global) is an unmanaged index which is designed to track total returns for US dollar denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans and Eurobonds. Investors should note that indices do not reflect the deduction of fees and expenses. 4

PACE Government Money Market Investments Performance (Unaudited) The seven-day current yield for the Fund as of July 31, 2017 was 0.46% (after fee waivers/expense reimbursements). 1 For more information on the Fund s performance, refer to Yields and characteristics at a glance on page 6. Please remember that the PACE program fee is assessed outside the Portfolio at the PACE program account level. The program fee does not impact the determination of the Portfolio s net asset value per share. For a detailed commentary on the market environment in general during the period, please refer to page 3. Advisor s comments (Unaudited) In December 2016, the US Federal Reserve Board (the Fed ) modestly raised the federal funds rate from a low range between 0.25% and 0.50% to a range between 0.50% and 0.75%. The federal funds rate or the fed funds rate, is the rate US banks charge one another for funds they borrow on an overnight basis. The Fed again raised rates in March and June 2017. At the end of the reporting period the fed fund rates was in a range between 1.00% and 1.25%. (For more details on the Fed s actions, see page 3.) While the yields on a wide range of short-term investments moved higher over the period, yields still remain low by historical comparison. As a result, the Portfolio s yield remained low during the reporting period. We tactically adjusted the Portfolio s weighted average maturity ( WAM ) throughout the 12-month review period. When the reporting period began, the Portfolio had a WAM of 32 days. This was increased to 40 days at the end of the reporting period. A number of adjustments were made to the Portfolio s sector and issuer positioning during the 12-month period. We increased the Portfolio s exposure to US government and agency obligations and reduced its allocation to repurchase agreements. (Repurchase agreements are transactions in which the seller of a security agrees to buy it back at a predetermined time and price or upon demand.) PACE Select Advisors Trust PACE Government Money Market Investments Investment Advisor: UBS Asset Management (Americas) Inc. Portfolio Manager: Robert Sabatino Objective: Current income consistent with preservation of capital and liquidity Investment process: The Portfolio is a money market mutual fund and seeks to maintain a stable price of $1.00 per share, although it may be possible to lose money by investing in this Portfolio. The Portfolio invests in a diversified portfolio of high-quality money market instruments of governmental issuers. Security selection is based on the assessment of relative values and changes in market and economic conditions. 1 Class P shares held through the PACE Select Advisors Program are subject to a maximum Program fee of 2.50%, which, if included, would have reduced performance. Class P shares held through other advisory programs also may be subject to a program fee, which, if included, would have reduced performance. 5

PACE Government Money Market Investments Yields and characteristics at a glance July 31, 2017 (unaudited) Yields and characteristics Seven-day current yield after fee waivers and/or expense reimbursements 1 0.46% Seven-day effective yield after fee waivers and/or expense reimbursements 1 0.46 Seven-day current yield before fee waivers and/or expense reimbursements 1 0.15 Seven-day effective yield before fee waivers and/or expense reimbursements 1 0.15 Weighted average maturity 2 Portfolio composition 3 40 days US government and agency obligations 76.3% Repurchase agreements 24.1 Other assets less liabilities (0.4) Total 100.0% You could lose money by investing in PACE Government Money Market Investments. Although the portfolio seeks to preserve the value of your investment at $1.00 per share, the portfolio cannot guarantee it will do so. An investment in PACE Government Money Market Investments is not insured or guaranteed by the Federal Deposit Insurance Corporation ( FDIC ) or any other government agency. PACE Government Money Market Investments sponsor has no legal obligation to provide financial support to PACE Government Money Market Investments, and you should not expect that the portfolio s sponsor will provide financial support to PACE Government Money Market Investments at any time. Not FDIC insured. May lose value. No bank guarantee. 1 Yields will fluctuate and reflect fee waivers and/or expense reimbursements, if any, unless otherwise noted. Performance data quoted represents past performance. Past performance does not guarantee future results. Current performance may be higher or lower than the performance data quoted. 2 The Portfolio is actively managed and its weighted average maturity will differ over time. 3 Weightings represent percentages of the Portfolio s net assets as of the date indicated. The Portfolio is actively managed and its composition will vary over time. 6

PACE Government Money Market Investments Portfolio of investments July 31, 2017 Face amount Value US government and agency obligations 76.29% Federal Farm Credit Bank 0.770%, due 10/27/17 1 $ 1,000,000 $ 998,139 1.180%, due 09/02/17 2 1,000,000 1,000,940 1.203%, due 08/26/17 2 2,000,000 2,000,000 1.214%, due 08/21/17 2 1,000,000 1,000,037 1.279%, due 08/08/17 2 2,000,000 1,999,835 1.324%, due 08/29/17 2 3,000,000 3,000,000 Federal Home Loan Bank 0.630%, due 08/03/17 1 1,000,000 999,965 0.750%, due 10/18/17 1 5,000,000 4,991,875 0.800%, due 08/09/17 2 2,000,000 2,000,101 0.910%, due 08/15/17 1 2,000,000 1,999,292 0.935%, due 08/11/17 1 2,000,000 1,999,481 0.950%, due 08/23/17 1 7,000,000 6,995,936 0.960%, due 09/05/17 1 2,000,000 1,998,133 0.970%, due 09/11/17 1 5,000,000 4,994,476 0.970%, due 11/13/17 1 1,000,000 997,198 0.975%, due 10/25/17 1 3,000,000 2,993,094 0.995%, due 11/01/17 1 5,000,000 4,987,286 1.010%, due 08/04/17 1 4,000,000 3,999,663 1.019%, due 11/03/17 1 1,000,000 997,389 1.020%, due 08/23/17 1 5,000,000 4,996,883 1.021%, due 12/07/17 1 2,000,000 1,992,889 1.025%, due 09/07/17 1 2,000,000 1,997,893 1.025%, due 09/20/17 1 2,000,000 1,997,153 1.025%, due 09/21/17 1 5,000,000 4,992,740 1.030%, due 09/18/17 1 2,000,000 1,997,253 1.040%, due 09/25/17 1 5,000,000 4,992,056 1.040%, due 09/26/17 1 5,000,000 4,991,911 1.046%, due 08/18/17 2 5,000,000 5,000,000 1.048%, due 09/15/17 1 5,000,000 4,993,450 1.050%, due 10/06/17 1 5,500,000 5,489,413 1.055%, due 10/04/17 1 2,000,000 1,996,249 1.076%, due 09/26/17 2 800,000 799,940 1.080%, due 10/16/17 1 7,000,000 6,984,040 1.080%, due 10/27/17 1 1,000,000 997,390 1.080%, due 11/27/17 1 3,000,000 2,989,380 1.083%, due 10/25/17 1 2,000,000 1,994,886 1.102%, due 08/25/17 2 1,000,000 1,000,000 1.109%, due 08/14/17 2 2,000,000 2,000,000 1.125%, due 01/19/18 1 5,000,000 4,973,281 1.129%, due 08/21/17 2 2,000,000 2,000,000 1.129%, due 12/22/17 1 2,000,000 1,991,031 1.229%, due 10/10/17 2 3,500,000 3,499,965 1.243%, due 08/28/17 2 600,000 599,974 1.277%, due 08/06/17 2 750,000 750,114 Face amount Value US government and agency obligations (concluded) Federal National Mortgage Association 1.275%, due 10/11/17 2 $ 2,000,000 $ 2,000,000 US Treasury Bill 0.892%, due 09/28/17 1 5,000,000 4,992,814 US Treasury Notes 0.750%, due 10/31/17 3,000,000 2,999,535 0.875%, due 08/15/17 5,000,000 5,000,037 1.354%, due 08/01/17 2 1,000,000 1,000,100 1.358%, due 08/01/17 2 2,300,000 2,300,223 1.374%, due 08/01/17 2 6,000,000 6,000,751 1.875%, due 08/31/17 2,000,000 2,001,929 Total US government and agency obligations (cost $152,266,120) 152,266,120 Repurchase agreements 24.07% Repurchase agreement dated 07/31/17 with Goldman Sachs & Co., 1.020% due 08/01/17, collateralized by $20,265,000 Federal Farm Credit Banks, 1.404% to 3.000% due 04/04/18 to 05/19/36, $1,475,000 Federal Home Loan Bank obligations, zero coupon due 09/22/17, $787,000 US Treasury Bond, 8.125% due 08/15/19 and $52,994,893 US Treasury Bonds STRIPs, zero coupon due 11/15/19 to 08/15/46; (value $48,960,000); proceeds: $48,001,360 48,000,000 48,000,000 Repurchase agreement dated 07/31/17 with State Street Bank and Trust Co., 0.050% due 08/01/17, collateralized by $34,126 US Treasury Note, 2.000% due 08/31/21; (value $34,784); proceeds: $34,000 34,000 34,000 Total repurchase agreements (cost $48,034,000) 48,034,000 Total investments (cost $200,300,120 which approximates cost for federal income tax purposes) 100.36% 200,300,120 Liabilities in excess of other assets (0.36)% (714,761) Net assets 100.00% $199,585,359 For a listing of defined portfolio acronyms that are used throughout the Portfolio of investments as well as the tables that follow, please refer to page 260. 7

PACE Government Money Market Investments Portfolio of investments July 31, 2017 Fair valuation summary The following is a summary of the fair valuations according to the inputs used as of July 31, 2017 in valuing the Portfolio s investments. In the event a Portfolio holds investments for which fair value is measured using the NAV per share practical expedient (or its equivalent), a separate column will be added to the fair value hierarchy table; this is intended to permit reconciliation to the amounts presented in the Portfolio of investments: Assets Unadjusted quoted prices in active markets for Other significant Unobservable identical investments observable inputs inputs Description (Level 1) (Level 2) (Level 3) Total US government and agency obligations $ $ 152,266,120 $ $ 152,266,120 Repurchase agreements 48,034,000 48,034,000 Total $ $200,300,120 $ $200,300,120 At July 31, 2017, there were no transfers between Level 1 and Level 2 Portfolio footnotes 1 Rate shown is the discount rate at the date of purchase unless otherwise noted. 2 Variable or floating rate security. The interest rate shown is the current rate at the period end and changes periodically. See accompanying notes to financial statements. 8

PACE Mortgage-Backed Securities Fixed Income Investments Performance (Unaudited) For the 12 months ended July 31, 2017, the Portfolio s Class P shares gained 0.55% before the deduction of the maximum PACE Select program fee. 1 In comparison, the Bloomberg Barclays US Mortgage-Backed Securities Index (the benchmark ) returned 0.19%, and the Lipper US Mortgage Funds category posted a median return of 0.40%. (Returns for all share classes over various time periods are shown in the Performance at a glance table on page 11. Please note that the returns shown do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.) For a detailed commentary on the market environment in general during the reporting period, please refer to page 3. Advisor s comments (Unaudited) 2 We performed in line with the benchmark during the reporting period. Overall, US interest rate strategies were negative for performance. A modest overweight to US Treasuries detracted from results as yields generally rose. Additionally, yield curve positioning, with a focus on the short end of the curve, was negative for performance as short rates underperformed the intermediate and long portions of the curve. Relative value positioning within agency mortgage-backed securities ( MBS ) contributed to returns. A modest overweight to Ginnie Mae ( GNMA ) mortgages detracted from returns as the segment underperformed the broader mortgage market. However, a focus on 4-4.5% coupons within GNMA was positive for returns, as these coupons outperformed the broader mortgage market. An overweight to Freddie Mac securities contributed to results, as this segment outperformed the broader mortgage market. Holdings of interest-only and floating rate agency collateralized-mortgages, which benefit from increasing short-term interest rates, were additive for performance. Finally, exposure to mortgage credit, especially non-agency and commercial mortgages, added to returns. Overall, derivative usage was positive for results during the reporting period, as the Portfolio was short long-end US swap rates, which underperformed Treasury rates. The Portfolio used interest rate swaps to adjust interest rate and yield curve exposures, as well as to substitute for physical securities. The Portfolio benefited from the income generated from selling mortgage pool options as a way to manage interest rate and volatility risk within the sector. Additionally, options on swaps were primarily used to manage interest rate exposure and volatility. They contributed to performance through income generation. Total return swaps were used to replicate broad exposure to interest-only agency mortgages while limiting the idiosyncratic risk of owning individual bonds. 1 Class P shares held through the PACE Select Advisors Program are subject to a maximum Program fee of 2.50%, which, if included, would have reduced performance. Class P shares held through other advisory programs also may be subject to a program fee, which, if included, would have reduced performance. 2 All Sub-Advisors discuss performance on a gross-of-fees basis meaning that no fees or expenses are reflected in their sleeves /sleeve s performance. Alternately, Portfolio performance is shown net of fees, which does factor in fees and expenses associated with the Portfolio. PACE Select Advisors Trust PACE Mortgage-Backed Securities Fixed Income Investments Investment Manager: UBS Asset Management (Americas) Inc. ( UBS AM ) Investment Subadvisor: Pacific Investment Management Company LLC ( PIMCO ) Portfolio Management Team: UBS AM: Mabel Lung, CFA, Gina Toth, CFA, Fred Lee, CFA, Diana To and Anthony Karaminas, CFA PIMCO: Daniel Hyman and Michael Cudzil Objective: Current income Investment process: The Portfolio invests primarily in government fixed income securities which include US bonds, including those backed by mortgages, and related repurchase agreements. Mortgage-backed securities include to be announced or TBA securities, which usually are traded on a forward commitment basis with an approximate principal amount and no defined maturity date; issued or guaranteed by US government agencies and instrumentalities. The Portfolio also invests, to a lesser extent, in investment grade bonds of private issuers, including those backed by mortgages or other assets. The Portfolio may invest in bonds of varying maturities, but normally limits its duration (continued on next page) 9

PACE Mortgage-Backed Securities Fixed Income Investments Investment process (concluded) to within +/- 50% of the effective duration of the Portfolio s benchmark index. (Duration is a measure of a portfolio s sensitivity to interest rate changes.) The Portfolio may engage in short selling with respect to securities issued by the US Treasury and certain TBA securities coupon trades. PIMCO establishes duration targets based on its expectations for changes in interest rates, and then positions the Portfolio to take advantage of yield curve shifts. PIMCO decides to buy and sell specific bonds based on an analysis of their values relative to other similar securities. Special considerations The Portfolio may be appropriate for long-term investors seeking current income who are able to withstand short-term fluctuations in the fixed income markets in return for potentially higher returns over the long term. The yield and value of the Portfolio change every day and can be affected by changes in interest rates, general market conditions, and other political, social and economic developments, as well as specific matters relating to the issuers in which the Portfolio invests. It is important to note that an investment in the Portfolio is only one component of a balanced investment plan. 10

PACE Mortgage-Backed Securities Fixed Income Investments Performance at a glance (unaudited) Average annual total returns for periods ended 07/31/17 1 year 5 years 10 years Before deducting maximum sales charge Class A 1 0.30% 1.64% 4.04% Class C 2 (0.21) 1.15 3.52 Class Y 3 0.63 1.92 4.31 Class P 4 0.55 1.92 4.31 After deducting maximum sales charge Class A 1 (3.45) 0.88 3.64 Class C 2 (0.94) 1.15 3.52 Bloomberg Barclays US Mortgage-Backed Securities Index 5 0.19 1.93 4.28 Lipper US Mortgage Funds median 0.40 1.92 3.89 Most recent calendar quarter-end returns (unaudited) Average annual total returns for periods ended 06/30/17 1 year 5 years 10 years Before deducting maximum sales charge Class A 1 (0.11)% 1.71% 4.06% Class C 2 (0.53) 1.22 3.54 Class Y 3 0.22 1.98 4.33 Class P 4 0.22 1.97 4.32 After deducting maximum sales charge Class A 1 (3.83) 0.94 3.66 Class C 2 (1.26) 1.22 3.54 The annualized gross and net expense ratios, respectively, for each class of shares as in the November 28, 2016 prospectuses, were as follows: Class A 1.07% and 0.97%; Class C 1.60% and 1.47%; Class Y 0.89% and 0.72%; and Class P 0.91% and 0.72% Net expenses reflect fee waivers and/or expense reimbursements, if any, pursuant to an agreement that is in effect to cap the expenses. The Portfolio and UBS Asset Management (Americas) Inc. ( UBS AM ) have entered into a written fee waiver/expense reimbursement agreement pursuant to which UBS AM is contractually obligated to: (1) waive its management fees through November 30, 2017 to the extent necessary to reflect the lower subadvisory fee paid by UBS AM to Pacific Investment Management Company LLC, the Portfolio s investment advisor; and (2) waive its management fees and/or reimburse expenses so that the Portfolio s ordinary total operating expenses of each class through November 30, 2017 (excluding dividend expense, borrowing costs, and interest expense relating to short sales, and expenses attributable to investment in other investment companies, interest, taxes, brokerage commissions and extraordinary expenses) would not exceed Class A 0.97%; Class C 1.47%; Class Y 0.72%; and Class P 0.72%. The Portfolio has agreed to repay UBS AM for any waived fees/reimbursed expenses (pursuant to item (2)) to the extent that it can do so over the following three fiscal years without causing the Portfolio s expenses in any of those three years to exceed these expense caps and that UBS AM has not waived the right to do so. The fee waiver/expense reimbursement agreement may be terminated by the Portfolio s board at any time and also will terminate automatically upon the expiration or termination of the Portfolio s advisory contract with UBS AM. Upon termination of the agreement, however, UBS AM s three year recoupment rights will survive. 1 Maximum sales charge for Class A shares is 3.75%. Class A shares bear ongoing 12b-1 service fees of 0.25% annually. 2 Maximum contingent deferred sales charge for Class C shares is 0.75% imposed on redemptions and is reduced to 0% after one year. Class C shares bear ongoing 12b-1 service and distribution fees of 0.25% and 0.50% annually, respectively. 3 The Portfolio offers Class Y shares to a limited group of eligible investors, including certain qualifying retirement plans. Class Y shares do not bear initial or contingent deferred sales charges or ongoing 12b-1 service and distribution fees. 4 Class P shares do not bear initial or contingent deferred sales charges or ongoing 12b-1 service and distribution fees, but Class P shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. 5 The Bloomberg Barclays US Mortgage-Backed Securities Index is an unmanaged index which primarily covers the mortgage-backed passthrough securities issued by Ginnie Mae (formally known as the Government National Mortgage Association or GNMA), Freddie Mac (formally known as Federal Home Loan Mortgage Corporation or FHLMC), and Fannie Mae (formally known as Federal National Mortgage Association or FNMA). Investors should note that indices do not reflect the deduction of fees and expenses. Prior to August 3, 2015, a 1% redemption fee was imposed on sales or exchanges of any class of shares of the Portfolio made during the specified holding period. Past performance does not predict future performance, and the performance information provided does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The return and principal value of an investment will fluctuate, so that an investor s shares, when redeemed, may be worth more or less than their original cost. Performance results assume reinvestment of all dividends and capital gain distributions at net asset value on the ex-dividend dates. Current performance may be higher or lower than the performance data quoted. For month-end performance figures, please visit www.ubs.com/us-mutualfundperformance. Lipper peer group data calculated by Lipper Inc.; used with permission. The Lipper median is the return of the fund that places in the middle of a Lipper peer group. 11

PACE Mortgage-Backed Securities Fixed Income Investments Illustration of an assumed investment of $10,000 in Class P shares of the Portfolio (unaudited) The following graph depicts the performance of PACE Mortgage-Backed Securities Fixed Income Investments Class P shares versus the Bloomberg Barclays US Mortgage-Backed Securities Index over the 10 years ended July 31, 2017. Class P shares held through advisory programs may be subject to a program fee, which, if included, would have reduced performance. The performance of the other classes will vary based upon the different class specific expenses and sales charges. The performance provided does not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. Past performance is no guarantee of future results. Share price and returns will vary with market conditions; investors may realize a gain or loss upon redemption. It is important to note that PACE Mortgage-Backed Securities Fixed Income Investments is a professionally managed portfolio while the Index is not available for investment and is unmanaged. The comparison is shown for illustration purposes only. PACE Mortgage-Backed Securities Fixed Income Investments $20,000 15,000 $15,248 $15,211 PACE Mortgage-Backed Securities Fixed Income Investments Bloomberg Barclays US Mortgage-Backed Securities Index 10,000 5,000 July 07 July 08 July 09 July 10 July 11 July 12 July 13 July 14 July 15 July 16 Year July 17 12

PACE Mortgage-Backed Securities Fixed Income Investments Portfolio statistics July 31, 2017 (unaudited) Characteristics Weighted average duration 3.47 yrs. Weighted average maturity 4.82 yrs. Average coupon 2.79% Percentage of Top ten holdings (long holdings) 1 net assets FNMA TBA, 3.500% 17.8% FNMA TBA, 3.000% 9.5 FHLMC TBA, 3.500% 7.9 GNMA II TBA, 3.500% 7.8 FHLMC TBA, 3.000% 7.8 GNMA II TBA, 4.000% 5.6 FHLMC TBA, 4.500% 3.6 FHLMC, 4.000% due 06/01/47 3.2 FNMA TBA, 4.500% 3.0 GNMA II, 3.000% due 07/20/46 2.7 Total 68.9% Percentage of Asset allocation 1 net assets US government agency mortgage pass-through certificates 127.6% Collateralized mortgage obligations 17.9 Asset-backed securities 14.7 US government obligations 4.1 Stripped mortgage-backed securities 1.3 Options, swaptions, and swaps 0.1 Commercial mortgage-backed security 0.0* Investments sold short (7.9) Cash equivalents and other assets less liabilities (57.8) Total 100.0% * Amount represents less than 0.05%. 1 The Portfolio is actively managed and its composition will vary over time. 13

PACE Mortgage-Backed Securities Fixed Income Investments Portfolio of investments July 31, 2017 Face amount Value US government obligations 4.09% US Treasury Notes 1.750%, due 06/30/22 $ 3,375,000 $ 3,362,080 2.250%, due 11/15/25 2,700,000 2,706,855 2.250%, due 02/15/27 9,675,000 9,647,794 2.375%, due 05/15/27 2,500,000 2,518,653 Total US government obligations (cost $18,295,417) 18,235,382 Government national mortgage association certificates 33.20% GNMA 3.000%, due 11/15/42 124,328 126,530 3.000%, due 02/15/43 1 644,571 656,026 3.000%, due 05/15/43 1 1,784,997 1,812,938 3.000%, due 06/15/43 1 560,060 569,229 3.000%, due 07/15/43 161,376 164,086 3.000%, due 01/15/45 444,770 452,603 3.000%, due 02/15/45 51,858 52,709 3.000%, due 07/15/45 1 704,604 716,166 3.000%, due 08/15/45 51,622 52,384 3.000%, due 10/15/45 1 1,134,957 1,153,351 3.000%, due 12/15/45 1 869,115 881,938 3.500%, due 11/15/42 891,177 928,213 3.500%, due 03/15/45 1 1,217,672 1,266,567 3.500%, due 04/15/45 1 890,591 926,814 3.500%, due 09/15/45 1 1,011,055 1,050,587 4.000%, due 12/15/41 1,652,884 1,746,546 4.000%, due 01/15/47 234,258 249,036 4.000%, due 02/15/47 1,142,291 1,214,313 4.000%, due 04/15/47 1,136,428 1,208,218 4.500%, due 09/15/39 906,169 989,106 4.500%, due 06/15/40 418,758 450,403 5.000%, due 12/15/34 200,120 218,850 5.000%, due 04/15/38 169,957 187,197 5.000%, due 05/15/38 5,247 5,779 5.000%, due 08/15/39 236,434 258,147 5.000%, due 09/15/39 506,568 557,374 5.000%, due 10/15/39 4,996 5,501 5.000%, due 12/15/39 14,034 15,419 5.000%, due 05/15/40 380,055 417,361 5.000%, due 09/15/40 8,878 9,701 5.000%, due 05/15/41 100,457 109,617 5.500%, due 08/15/35 32,633 36,710 5.500%, due 02/15/38 3,417 3,828 5.500%, due 04/15/38 295,282 329,675 5.500%, due 05/15/38 306,322 341,588 5.500%, due 06/15/38 163,791 182,503 5.500%, due 10/15/38 811,051 908,966 5.500%, due 11/15/38 45,894 51,137 5.500%, due 12/15/38 9,507 10,666 5.500%, due 03/15/39 71,037 79,061 5.500%, due 05/15/39 76,924 85,711 5.500%, due 09/15/39 390,537 435,120 5.500%, due 01/15/40 6,533 7,280 5.500%, due 03/15/40 462,602 518,500 5.500%, due 05/15/40 391 391 6.500%, due 02/15/29 838 924 Face amount Value Government national mortgage association certificates (continued) 6.500%, due 01/15/36 $ 11,460 $ 12,550 6.500%, due 09/15/36 198,215 225,466 6.500%, due 02/15/37 13,763 15,560 6.500%, due 04/15/37 10,208 11,375 6.500%, due 01/15/38 11,475 12,921 6.500%, due 06/15/38 32,894 36,362 6.500%, due 07/15/38 21,971 24,628 6.500%, due 11/15/38 7,440 8,943 7.500%, due 08/15/21 1,272 1,284 8.000%, due 02/15/23 383 410 8.250%, due 04/15/19 11,113 11,188 10.500%, due 02/15/19 7,364 7,397 10.500%, due 06/15/19 9,534 9,576 10.500%, due 07/15/19 5,404 5,429 10.500%, due 07/15/20 1,353 1,359 10.500%, due 08/15/20 8,351 8,390 GNMA I 3.000%, due 12/15/45 78,939 80,238 GNMA II 3.000%, due 07/20/46 11,999,991 12,184,501 3.000%, due 10/20/46 7,516,215 7,631,783 3.000%, due 11/20/46 4,386,084 4,453,524 3.000%, due 07/20/47 200,000 203,075 3.500%, due 04/20/45 15,707 16,363 3.500%, due 11/20/45 893,995 932,426 3.500%, due 05/20/46 2,260,851 2,378,408 3.750%, due 05/20/30 791,675 831,392 4.000%, due 12/20/40 917,534 949,692 4.000%, due 07/20/41 51,892 54,703 4.500%, due 09/20/41 394,882 408,378 4.500%, due 07/20/44 145,945 150,935 4.500%, due 10/20/44 760,966 787,077 4.500%, due 02/20/45 605,333 625,672 4.500%, due 08/20/45 411,138 437,202 4.500%, due 02/20/46 353,806 365,906 4.500%, due 04/20/46 56,371 58,301 5.000%, due 12/20/33 295,570 328,991 5.000%, due 01/20/34 158,432 174,500 5.000%, due 02/20/38 188,786 207,876 5.000%, due 04/20/38 234,969 259,052 5.000%, due 08/20/41 29,204 32,116 5.000%, due 12/20/42 42,528 46,360 5.000%, due 08/20/43 3,502,911 3,803,146 6.000%, due 10/20/38 7,214 7,758 6.500%, due 09/20/32 6,286 6,785 6.500%, due 11/20/38 11,406 11,950 6.500%, due 12/20/38 33,454 35,928 7.000%, due 03/20/28 47,854 48,703 9.000%, due 04/20/25 6,929 7,758 9.000%, due 12/20/26 3,099 3,246 9.000%, due 01/20/27 9,675 9,872 9.000%, due 09/20/30 1,098 1,102 9.000%, due 10/20/30 3,582 3,718 9.000%, due 11/20/30 4,746 4,811 14

PACE Mortgage-Backed Securities Fixed Income Investments Portfolio of investments July 31, 2017 Face amount Value Government national mortgage association certificates (concluded) GNMA II ARM 2.125%, due 09/20/21 2 $ 47,912 $ 49,105 2.125%, due 06/20/22 2 38,639 39,366 2.125%, due 04/20/24 2 56,858 57,208 2.125%, due 05/20/25 2 5,635 5,783 2.125%, due 08/20/25 2 14,422 14,869 2.125%, due 09/20/25 2 20,145 20,764 2.125%, due 04/20/26 2 98,048 100,387 2.125%, due 06/20/26 2 42,245 43,376 2.125%, due 08/20/26 2 22,368 23,100 2.125%, due 09/20/26 2 3,600 3,719 2.125%, due 04/20/27 2 25,816 26,597 2.125%, due 07/20/27 2 8,292 8,577 2.125%, due 08/20/27 2 25,530 26,142 2.125%, due 04/20/30 2 16,935 17,506 2.125%, due 05/20/30 2 393,638 406,831 2.125%, due 07/20/30 2 62,796 65,143 2.125%, due 08/20/30 2 86,270 89,541 2.375%, due 01/20/23 2 30,425 31,113 2.375%, due 03/20/23 2 14,339 14,676 2.375%, due 01/20/24 2 45,187 46,093 2.375%, due 01/20/25 2 4,904 5,044 2.375%, due 02/20/25 2 9,138 9,388 2.375%, due 03/20/26 2 11,815 12,186 2.375%, due 01/20/27 2 74,518 74,760 2.375%, due 02/20/27 2 7,819 8,024 2.375%, due 01/20/28 2 11,185 11,576 2.375%, due 02/20/28 2 7,367 7,496 2.500%, due 04/20/18 2 516 515 2.500%, due 11/20/21 2 9,176 9,288 2.500%, due 03/20/25 2 15,904 16,390 2.500%, due 07/20/30 2 27,687 28,588 2.500%, due 08/20/30 2 1,912 1,956 2.500%, due 10/20/30 2 12,964 13,390 3.000%, due 04/20/18 2 425 426 3.000%, due 05/20/25 2 34,838 36,129 3.000%, due 06/20/25 2 14,849 15,219 3.500%, due 03/20/25 2 7,492 7,450 4.000%, due 01/20/18 2 3,712 3,720 4.000%, due 05/20/18 2 311 312 4.000%, due 06/20/19 2 5,758 5,761 GNMA TBA 4.000% 3,000,000 3,153,691 4.500% 4,500,000 4,820,274 GNMA II TBA 2.500% 1,000,000 979,941 3.000% 6,800,000 6,898,547 3.500% 33,500,000 34,753,808 4.000% 23,700,000 24,926,660 4.500% 11,000,000 11,668,164 Total government national mortgage association certificates (cost $147,753,341) 147,939,454 Face amount Value Federal home loan mortgage corporation certificates 31.27% FHLMC 2.500%, due 01/01/31 $ 424,886 $ 429,156 3.000%, due 04/01/43 356,674 359,026 3.000%, due 05/01/43 293,516 295,450 3.000%, due 12/01/44 289,769 290,843 3.000%, due 04/01/45 1,841,849 1,849,793 3.000%, due 08/01/46 501,689 500,413 3.500%, due 09/01/32 639,657 671,451 4.000%, due 01/01/37 1 398,430 421,717 4.000%, due 07/01/43 1 290,746 308,686 4.000%, due 08/01/44 3,994,856 4,265,991 4.000%, due 06/01/47 13,379,619 14,099,953 4.500%, due 10/01/33 52,045 54,477 4.500%, due 09/01/34 1,230,675 1,277,198 4.500%, due 01/01/36 30,340 32,172 4.500%, due 05/01/37 9,419 9,980 4.500%, due 05/01/38 78,274 81,528 5.000%, due 10/01/25 64,787 70,508 5.000%, due 11/01/27 8,696 9,464 5.000%, due 07/01/33 10,836 11,184 5.000%, due 09/01/33 259,578 288,189 5.000%, due 01/01/34 37,494 41,089 5.000%, due 06/01/34 12,486 13,691 5.000%, due 04/01/35 48,470 52,750 5.000%, due 05/01/35 130,587 143,242 5.000%, due 07/01/35 1,125,392 1,237,747 5.000%, due 08/01/35 38,346 42,043 5.000%, due 10/01/35 31,806 34,851 5.000%, due 12/01/35 3,347 3,660 5.000%, due 02/01/37 74,671 81,936 5.000%, due 05/01/37 12,270 12,537 5.000%, due 06/01/37 62,778 68,854 5.000%, due 07/01/38 323,184 354,989 5.000%, due 11/01/38 293,987 322,914 5.000%, due 06/01/39 73,166 80,464 5.000%, due 08/01/39 28,004 30,762 5.000%, due 03/01/40 9,143 10,059 5.000%, due 07/01/40 407,696 447,798 5.000%, due 08/01/40 70,762 77,526 5.000%, due 09/01/40 191,723 210,200 5.000%, due 11/01/40 289,514 317,347 5.000%, due 02/01/41 600,374 657,344 5.000%, due 03/01/41 44,698 49,178 5.000%, due 04/01/41 1,263,375 1,379,971 5.000%, due 05/01/41 249,954 273,753 5.000%, due 06/01/41 79,373 86,837 5.000%, due 07/01/41 55,285 60,571 5.000%, due 08/01/44 105,530 116,224 5.500%, due 06/01/28 1,663 1,832 5.500%, due 02/01/32 2,345 2,621 5.500%, due 12/01/32 3,995 4,464 5.500%, due 02/01/33 48,831 53,841 5.500%, due 05/01/33 1,081 1,207 5.500%, due 06/01/33 247,653 276,857 5.500%, due 12/01/33 70,584 79,061 5.500%, due 12/01/34 55,529 62,208 15

PACE Mortgage-Backed Securities Fixed Income Investments Portfolio of investments July 31, 2017 Face amount Value Federal home loan mortgage corporation certificates (concluded) 5.500%, due 06/01/35 1 $ 930,530 $ 1,043,151 5.500%, due 07/01/35 6,628 7,338 5.500%, due 10/01/35 1 216,235 239,982 5.500%, due 12/01/35 143,101 159,470 5.500%, due 06/01/36 1 531,428 596,122 5.500%, due 07/01/36 23,225 24,366 5.500%, due 12/01/36 1 794,990 885,367 5.500%, due 03/01/37 97,983 109,101 5.500%, due 07/01/37 65,033 69,047 5.500%, due 10/01/37 4,842 5,388 5.500%, due 04/01/38 175,084 195,892 5.500%, due 05/01/38 16,349 18,063 5.500%, due 12/01/38 3,621 4,039 5.500%, due 01/01/39 74,013 82,463 5.500%, due 09/01/39 223,031 250,215 5.500%, due 02/01/40 10,948 12,170 5.500%, due 03/01/40 9,378 10,395 5.500%, due 05/01/40 141,702 157,977 5.500%, due 02/01/41 71,528 78,864 5.500%, due 03/01/41 150,728 168,049 6.000%, due 11/01/37 1,341,167 1,517,689 7.000%, due 08/01/25 232 259 9.000%, due 04/01/25 25,884 25,979 11.000%, due 06/01/19 115 115 11.000%, due 09/01/20 90 91 11.500%, due 06/01/19 6,035 6,055 FHLMC ARM 2.762%, due 01/01/28 2 13,646 14,030 2.804%, due 04/01/29 2 69,957 71,355 2.863%, due 11/01/27 2 64,884 65,939 2.874%, due 09/01/34 2 1,400,696 1,476,789 2.939%, due 10/01/23 2 25,847 26,457 2.962%, due 07/01/24 2 82,235 83,430 2.966%, due 09/01/37 2 929,615 978,683 3.036%, due 11/01/29 2 222,308 230,713 3.041%, due 12/01/29 2 32,829 34,076 3.044%, due 06/01/28 2 177,143 185,031 3.064%, due 10/01/27 2 144,121 152,100 3.093%, due 11/01/36 2 399,070 417,545 3.125%, due 01/01/30 2 26,872 27,009 3.139%, due 01/01/29 2 136,710 144,156 3.164%, due 07/01/28 2 84,922 88,361 3.175%, due 10/01/27 2 153,961 161,542 3.191%, due 11/01/25 2 117,750 124,253 3.401%, due 11/01/41 2 3,222,294 3,375,774 3.430%, due 10/01/39 2 2,644,875 2,792,490 FHLMC TBA 2.500% 5,500,000 5,545,473 3.000% 34,500,000 34,611,750 3.500% 34,000,000 34,966,876 4.500% 15,000,000 16,070,053 Total federal home loan mortgage corporation certificates (cost $138,731,803) 139,329,139 Face amount Value Federal housing administration certificates 0.03% FHA GMAC 7.400%, due 02/01/21 3,4 $ 9,624 $ 9,618 FHA Reilly 6.896%, due 07/01/20 3,4 102,417 102,355 Total federal housing administration certificates (cost $112,179) 111,973 Federal national mortgage association certificates 63.09% FNMA 2.000%, due 05/01/28 244,613 241,799 2.348%, due 09/01/19 702,986 705,290 2.500%, due 06/01/28 300,074 304,395 2.500%, due 07/01/28 2,308,284 2,341,642 2.500%, due 08/01/28 719,766 730,176 2.500%, due 09/01/30 48,542 49,110 2.500%, due 11/01/30 75,467 76,183 2.500%, due 10/01/46 180,550 174,670 2.500%, due 11/01/46 493,208 477,144 2.500%, due 01/01/47 1,294,424 1,252,263 2.677%, due 02/01/42 2 807,083 837,004 2.830%, due 09/01/41 2 866,595 908,955 2.944%, due 10/01/37 2 3,710,453 3,906,661 2.994%, due 05/01/35 2 253,902 267,580 3.000%, due 02/01/21 2,835,424 2,918,302 3.000%, due 10/01/22 152,983 157,455 3.000%, due 08/01/23 134,482 138,527 3.000%, due 04/01/24 112,439 115,843 3.000%, due 07/01/24 1,126,026 1,160,273 3.000%, due 05/01/28 296,756 306,062 3.000%, due 02/01/30 551,171 567,282 3.000%, due 04/01/30 146,458 150,739 3.000%, due 05/01/30 139,993 144,085 3.000%, due 08/01/30 256,816 264,323 3.000%, due 10/01/30 44,670 45,976 3.000%, due 11/01/30 340,189 350,191 3.000%, due 12/01/30 1 384,671 395,965 3.000%, due 04/01/31 1 3,201,787 3,302,067 3.000%, due 10/01/42 686,241 691,171 3.000%, due 01/01/43 2,641,694 2,660,651 3.000%, due 04/01/43 1,008,686 1,015,869 3.000%, due 05/01/43 1,074,330 1,081,970 3.000%, due 06/01/43 149,787 150,851 3.000%, due 09/01/43 1,307,188 1,317,779 3.000%, due 12/01/46 2,922,465 2,939,821 3.045%, due 01/01/36 2 733,160 771,108 3.315%, due 05/01/38 2 2,325,242 2,454,057 3.440%, due 02/01/32 2,500,000 2,583,897 3.500%, due 11/01/25 592,891 618,959 3.500%, due 08/01/29 102,916 107,615 3.500%, due 12/01/41 1,373,434 1,427,687 3.500%, due 03/01/42 584,486 605,087 3.500%, due 04/01/42 75,635 77,997 3.500%, due 12/01/42 2,267,639 2,348,199 3.500%, due 03/01/43 1,220,737 1,263,782 3.500%, due 05/01/43 4,938,498 5,130,965 16

PACE Mortgage-Backed Securities Fixed Income Investments Portfolio of investments July 31, 2017 Face amount Value Federal national mortgage association certificates (continued) 3.500%, due 07/01/43 $ 425,929 $ 441,161 3.500%, due 06/01/45 5,730,273 5,904,396 3.500%, due 08/01/45 121,006 124,675 3.600%, due 08/01/23 805,907 858,166 4.000%, due 07/01/25 18,930 19,949 4.000%, due 08/01/25 52,425 55,247 4.000%, due 09/01/25 46,663 49,178 4.000%, due 10/01/25 24,011 25,076 4.000%, due 11/01/25 166,063 175,002 4.000%, due 01/01/26 395,852 414,945 4.000%, due 02/01/26 1,045,809 1,097,918 4.000%, due 03/01/26 995,025 1,048,346 4.000%, due 04/01/26 2,247,628 2,368,103 4.000%, due 08/01/32 10,975 11,664 4.000%, due 06/01/33 190,303 201,876 4.000%, due 07/01/33 676,256 718,816 4.000%, due 07/01/34 1,219,655 1,296,756 4.000%, due 05/01/39 173,961 184,941 4.000%, due 09/01/39 405,239 432,800 4.000%, due 09/01/40 1 4,053,972 4,288,453 4.000%, due 12/01/40 1 5,291,635 5,643,773 4.000%, due 04/01/41 1 1,173,153 1,248,786 4.000%, due 11/01/41 1 940,779 1,005,228 4.000%, due 12/01/41 1 1,198,191 1,279,892 4.000%, due 07/01/42 1 5,511,486 5,885,643 4.000%, due 09/01/42 1 7,237,167 7,720,792 4.000%, due 10/01/42 1 5,411,904 5,774,223 4.000%, due 12/01/44 68,006 71,669 4.000%, due 06/01/45 46,471 48,961 4.000%, due 08/01/45 3,151,507 3,319,802 4.000%, due 10/01/45 2,084,598 2,195,304 4.000%, due 12/01/45 459,312 483,729 4.000%, due 02/01/46 368,097 387,746 4.000%, due 05/01/46 887,654 935,124 4.000%, due 07/01/46 2,739,389 2,885,824 4.500%, due 05/01/19 1,590 1,627 4.500%, due 09/01/19 41,425 42,378 4.500%, due 08/01/20 16,392 16,769 4.500%, due 01/01/21 104,471 106,876 4.500%, due 05/01/21 81,231 83,101 4.500%, due 03/01/23 7,835 8,304 4.500%, due 06/01/35 17,239 17,941 4.500%, due 04/01/38 160,982 167,068 4.500%, due 01/01/39 2,029 2,181 4.500%, due 03/01/39 14,166 15,386 4.500%, due 06/01/39 90,672 98,548 4.500%, due 07/01/39 3,011 3,232 4.500%, due 08/01/39 148,406 161,208 4.500%, due 10/01/39 6,583 7,154 4.500%, due 12/01/39 529,201 576,823 4.500%, due 01/01/40 4,819 5,268 4.500%, due 02/01/40 5,370 5,855 4.500%, due 03/01/40 98,365 106,920 4.500%, due 08/01/40 89,973 97,774 4.500%, due 11/01/40 509,183 555,354 4.500%, due 07/01/41 604,341 656,540 4.500%, due 08/01/41 1,064,934 1,161,175 Face amount Value Federal national mortgage association certificates (continued) 4.500%, due 09/01/41 $ 36,332 $ 39,236 4.500%, due 01/01/42 2,887,137 3,138,750 4.500%, due 08/01/42 4,790 5,207 4.500%, due 09/01/43 414,021 452,667 4.500%, due 11/01/43 96,011 104,609 4.500%, due 07/01/44 425,972 463,866 4.500%, due 12/01/44 2,768 3,000 5.000%, due 12/01/17 34,398 35,181 5.000%, due 03/01/23 3,420 3,567 5.000%, due 05/01/23 86,435 90,746 5.000%, due 09/01/23 370,492 404,908 5.000%, due 07/01/24 536,144 585,948 5.000%, due 03/01/25 24,020 26,251 5.000%, due 07/01/27 543,739 594,248 5.000%, due 03/01/33 45,417 47,451 5.000%, due 05/01/37 14,115 14,730 5.000%, due 09/01/37 48,524 52,435 5.000%, due 06/01/38 104,693 113,188 5.500%, due 06/01/23 594,244 656,875 5.500%, due 10/01/24 8,877 9,812 5.500%, due 11/01/25 11,807 13,055 5.500%, due 07/01/27 135,527 149,838 5.500%, due 11/01/32 102,855 114,847 5.500%, due 12/01/33 1,407 1,572 5.500%, due 04/01/34 37,326 41,407 5.500%, due 01/01/35 128,407 141,941 5.500%, due 04/01/36 88,157 97,518 5.500%, due 05/01/37 262,485 293,714 5.500%, due 07/01/37 137,485 153,679 5.500%, due 06/01/38 230,213 256,047 5.500%, due 06/01/39 1,259,095 1,407,211 5.500%, due 11/01/39 475,991 531,839 5.500%, due 07/01/40 645,138 717,368 5.500%, due 02/01/42 377,064 421,003 6.000%, due 12/01/18 1,217 1,368 6.000%, due 07/01/19 1,036 1,165 6.000%, due 11/01/21 48,407 50,600 6.000%, due 01/01/23 150,042 157,113 6.000%, due 03/01/23 196,750 209,967 6.000%, due 09/01/25 997,748 1,121,986 6.000%, due 11/01/26 29,361 33,017 6.000%, due 02/01/32 77,778 87,499 6.000%, due 12/01/32 17,137 19,577 6.000%, due 02/01/33 30,109 34,123 6.000%, due 09/01/34 154,946 176,912 6.000%, due 04/01/35 342 385 6.000%, due 05/01/35 72,223 81,459 6.000%, due 06/01/35 22,863 26,112 6.000%, due 07/01/35 52,274 59,115 6.000%, due 09/01/35 2,028 2,316 6.000%, due 01/01/36 43,504 49,404 6.000%, due 06/01/36 350 394 6.000%, due 09/01/36 50,536 57,211 6.000%, due 10/01/36 17,324 19,546 6.000%, due 12/01/36 201,018 228,318 6.000%, due 03/01/37 22,709 25,822 17