Validus 8-K Results of Operations and Financial Condition

Exhibit 99.1

Validus Holdings, Ltd September 30, 2011 GAAP fixed maturity portfolio in Schedule D format

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
BRS6U4Y32	GRAPHIC PACKAGING INTL LN1 TERM LOAN				3	4,628,524.00	94.375	4,529,103.98	4,624,460.35	4,627,871.90	(98,767.92	)	(344.85	)	—	—	0	0	J-A-J-O	—	251.00	00/00/0000	5/16/2014
BRSBH14P6	HOUGHTON INTERNATIONAL INC LN1 TERM LOAN				1Z	2,851,893.81	98.667	2,797,651.12	2,835,447.63	2,849,876.30	(52,225.18	)	(1,951.05	)	—	—	0	-0.115	J-A-J-O	—	48,581.00	9/19/2011	1/29/2016
BRSBL01Z4	PHILLIPS-VAN HEUSEN CORP TERM LOAN				1Z	2,997,421.87	99.265	2,963,060.25	2,985,000.00	2,996,685.44	(33,625.19	)	(1,211.22	)	—	—	0	-0.083	F-M-A-N	—	23,287.00	6/21/2011	5/16/2016
BRS9PGR33	ARAMARK CORP LOAN TERM				3FE	3,745,662.69	96.609	3,745,131.31	3,876,586.35	3,745,526.37	(395.06	)	(136.32	)	—	—	0	0.71	Jan-Jul	—	16,765.00	8/19/2011	7/26/2016
BRSBPKAQ6	LESLIES POOLMART INC. TERM LOAN				1Z	3,922,449.75	94.333	3,763,839.30	3,989,949.75	3,923,944.28	(160,104.98	)	1,494.53		—	—	0	0.312	F-M-A-N	—	2,616.00	8/12/2011	11/21/2016
BRSBU8QR8	TRANSTAR HOLDING COMPANY LN1 TERM LOAN				3FE	794,000.00	95.875	761,247.50	794,000.00	794,000.00	(32,752.50	)	—		—	—	0	0.352	M-J-S-D	—	82,435.00	8/12/2011	12/21/2016
BRSAZTC86	COMMUNITY HLTH SYST INC TERM LOAN			2	3FE	5,897,299.32	90.75	5,413,112.17	5,964,861.90	5,899,966.06	(486,853.89	)	2,478.53		—	—	0	0.202	F-M-A-N	—	78,665.00	6/20/2011	1/25/2017
BRSBP35C1	ATTACHMATE CORP TERM LOAN				4FE	792,000.00	96	768,000.00	800,000.00	792,557.33	(24,557.33	)	557.33		—	—	0	0.175	M-J-S-D	—	11,844.00	2/25/2011	2/3/2017
BRSBSD3G9	CAPITAL AUTOMOTIVE TERM LOAN				4FE	965,393.62	95.188	928,221.09	975,145.07	966,240.43	(38,019.34	)	1,083.97		—	—	0	0.166	M-J-S-D	—	19,245.00	3/10/2011	3/11/2017
BRS9M4ZE0	SOLUTIA INC LN1 TERM LOAN				4FE	2,873,203.12	98.1	2,801,105.35	2,855,357.14	2,871,638.71	(70,533.36	)	(2,468.43	)	—	—	0	-0.103	M-J-S-D	—	52,755.00	3/1/2011	3/17/2017
BRSC106K2	DELPHI CORP LN1 TERM LOAN			2	1FE	853,125.00	98.625	843,503.29	855,263.16	853,253.92	(9,750.63	)	490.76		—	—	0	0.042	F-M-A-N	—	9,875.00	5/13/2011	3/31/2017
BRSC103Q2	KAR HOLDINGS TERM LOAN			1	3FE	5,657,321.25	96.5	5,486,748.75	5,685,750.00	5,658,921.72	(172,172.97	)	1,671.72		—	—	0	0.083	F-M-A-N	—	71,862.00	5/16/2011	5/2/2017
BRSC4TTL9	SENSUS METERING TERM LOAN				4FE	391,059.88	95.85	376,714.46	393,025.00	391,182.02	(14,467.56	)	132.02		—	—	0	0.083	F-M-A-N	—	4,310.00	5/5/2011	5/9/2017
BRSC5RFN3	CHRYSLER GROUP LLC TERM LOAN				3FE	9,211,487.50	86.929	8,237,609.36	9,476,250.00	9,218,390.87	(980,781.51	)	7,175.85		—	—	0	0.478	F-M-A-N	—	67,807.00	8/19/2011	5/19/2017
BRSCE52V7	ALERE INC				1Z	3,532,250.00	96.563	3,427,986.50	3,550,000.00	3,532,747.37	(104,760.87	)	497.37		—	—	0	0.085	Jun-Dec	—	17,306.00	6/30/2011	6/30/2017
BRSCL92L3	OM GROUP INC. TERM LOAN				3FE	509,850.00	99.063	510,174.45	515,000.00	509,978.25	196.20		128.25		—	—	0	0.168	J-A-J-O	—	2,056.00	7/28/2011	7/5/2017
BRSCH2HF0	AUTOPARTS HOLDINGS LTD TERM LOAN				4FE	651,725.00	99.5	651,725.00	655,000.00	651,795.91	(70.91	)	70.91		—	—	0	0.084	At Mat	—	5,440.00	7/27/2011	7/14/2017
BRSBLLNC5	REGAL CINEMAS CORP			1	3FE	2,764,152.81	97	2,671,561.88	2,754,187.50	2,763,341.33	(91,779.45	)	(846.17	)	—	—	0	-0.057	Jan-Jul	—	27,457.00	2/24/2011	7/31/2017
BRSBQFU50	IMS HEALTH INCORPORATED			1	3FE	4,874,132.57	97.906	4,772,068.23	4,874,132.57	4,874,132.57	(102,064.34	)	—		—	—	0	0	Feb-Aug	—	78,013.00	3/10/2011	8/26/2017
BRSBLZKK9	NBTY INC. TERM LOAN				3FE	3,422,112.89	96.705	3,366,524.59	3,481,231.16	3,423,219.37	(56,694.78	)	1,126.41		—	—	0	0.274	J-A-J-O	—	19,647.00	8/17/2011	10/1/2017
BRS9W7N54	MCC IOWA LLC TERM LOAN				3FE	1,965,100.24	95.917	1,899,108.53	1,979,949.88	1,966,320.68	(67,212.15	)	1,333.21		—	—	0	0.112	J-A-J-O	—	41,579.00	12/17/2010	10/23/2017
BRSC3CCP6	MANITOWOC CO INC. TERM LOAN				3FE	476,406.00	96.688	462,942.14	478,800.00	476,541.08	(13,598.94	)	141.08		—	—	0	0.076	F-M-A-N	—	6,953.00	5/9/2011	11/30/2017
BRSB7CXP1	SYNIVERSE HLDGS LN1 TERM LOAN				4FE	510,939.00	98.25	507,068.25	516,100.00	511,454.78	(4,386.53	)	554.78		—	—	0	0.144	M-J-S-D	—	13,048.00	12/21/2010	12/15/2017
BRSB9FG89	ADVANTAGE SALES & MARKETING IN TERM LOAN				4FE	1,710,771.15	96.1	1,688,236.69	1,756,749.94	1,711,158.26	(22,921.57	)	407.45		—	—	0	0.414	M-J-S-D	—	—	8/15/2011	12/18/2017
BRSBK2348	GYMBOREE CORP TERM LOAN			1	4FE	3,666,537.38	88.944	3,354,556.21	3,771,537.38	3,668,436.77	(313,880.56	)	1,899.39		—	—	0	0.414	F-M-A-N	—	61,339.00	8/15/2011	2/11/2018
BRSBLUUU7	MICHAEL FOODS INC. TERM LOAN				4FE	3,304,775.00	96.5	3,163,776.63	3,278,525.00	3,302,699.56	(138,922.93	)	(2,075.44	)	—	—	0	-0.114	F-M-A-N	—	41,443.00	3/2/2011	2/14/2018
BRSBVKNS1	JARDEN CORP TERM LOAN				3FE	1,990,000.00	99.179	1,973,662.10	1,990,000.00	1,990,000.00	(16,337.90	)	—		—	—	0	0	Mar-Sep	—	15,585.00	3/30/2011	3/31/2018
BRSC106T3	HCA INC Term loan				1FE	1,992,500.00	93.763	1,875,260.00	2,000,000.00	1,993,013.45	(117,753.45	)	513.45		—	—	0	0.052	F-M-A-N	—	2,000.00	3/8/2011	5/1/2018
BRSC10473	AEROFLEX INCORPORATED TERM LOAN			1	4FE	4,186,052.50	96.188	4,029,796.26	4,189,500.00	4,186,277.70	(156,481.44	)	277.70		—	—	0	0.011	F-M-A-N	—	40,957.00	5/19/2011	5/2/2018
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE TERM LOAN			2	4FE	4,987,500.00	92.278	4,613,900.00	5,000,000.00	4,988,140.89	(374,240.89	)	640.89		—	—	0	0.035	F-M-A-N	—	69,931.00	5/10/2011	5/18/2018
BRSCE52Q8	LAWSON SOFTWARE INC.				4FE	3,062,900.00	94.5	3,061,800.00	3,240,000.00	3,066,162.33	(4,362.33	)	3,262.33		—	—	0	0.817	Jun-Dec	—	19,901.00	8/29/2011	6/29/2018
BRSCDQTK7	ASHLAND INC. TERM LOAN				1Z	1,895,250.00	99.125	1,883,375.00	1,900,000.00	1,895,320.13	(11,945.13	)	70.13		—	—	0	0.036	M-J-S-D	—	5,740.00	7/12/2011	7/2/2018
BRSC9PVC9	PENN NTL GAMING INC. TERM LOAN				1Z	1,542,259.69	98.687	1,525,824.38	1,546,125.00	1,542,371.55	(16,547.17	)	121.55		—	—	0	0.035	M-J-S-D	—	—	6/21/2011	7/16/2018
BRSCHJ8S5	CUMULUS MED INC. TERM LOAN			1	3FE	6,090,500.00	94.031	5,829,922.00	6,200,000.00	6,090,727.16	(260,805.16	)	243.04		—	—	0	0.26	At Mat	—	—	9/27/2011	7/18/2018
BRSCVQWF4	SEALED AIR CORPORATION TERM LOAN			1	1	539,000.00	99.944	549,692.00	550,000.00	539,000.00	10,692.00		—		—	—	0	0.292	M-J-S-D	—	—	9/23/2011	9/15/2018
BRSCWX1K1	AVIS BUDGET TERM LOAN			1	1	588,000.00	99.333	595,998.00	600,000.00	588,000.00	7,998.00		—		—	—	0	0.292	M-J-S-D	—	—	9/21/2011	9/20/2018
6832348E1	ONTARIO PROVINCE CORP BND		A		1FE	748,627.50	101.504	761,279.93	750,000.00	749,472.77	11,807.16		342.49		—	—	1.875	1.938	May-Nov	5,156.25	7,031.00	11/10/2009	11/19/2012
466247E74	JPMMT CMO_06-A1 2A2			2	NR*Z*	368,378.49	86.092	316,896.82	368,090.90	368,264.57	(51,367.75	)	(90.99	)	—	—	2.816938	2.792	Monthly	864.07	7,900.00	2/6/2008	2/25/2036
00084DAA8	ABN AMRO BANK NV CORP BND 144A		F		1FE	2,126,805.10	98.397	2,098,806.28	2,133,000.00	2,128,069.80	(29,263.52	)	2,668.57		—	—	3	3.104	Jan-Jul	10,842.75	31,817.00	2/16/2011	1/31/2014
00084DAB6	ABN AMRO BANK NV CORP BND 144A		F		1FE	2,273,000.00	95.272	2,165,532.63	2,273,000.00	2,273,000.00	(107,467.37	)	—		—	—	2.02285	2.074	J-A-J-O	8,174.11	23,112.00	1/27/2011	1/30/2014
00164YAD9	AMC NETWORKS INC TERM LOAN			1	1Z	—	97	—	—	—	—		—		—	—	#N/A	0.146	#N/A	—	13,784.00	8/29/2011	11/21/2018
001957BC2	AT&T CO CORP BND				1FE	445,326.80	100.875	403,500.00	400,000.00	402,749.20	750.80		(18,899.20	)	—	—	7.3	1.634	May-Nov	11,031.11	14,600.00	10/29/2009	11/15/2011
00206RAF9	AT&T INC CORP BND				1FE	1,429,901.00	104.708	1,413,563.56	1,350,000.00	1,383,974.65	29,588.91		(19,359.94	)	—	—	4.95	2.938	Jan-Jul	14,107.50	66,825.00	12/9/2009	1/15/2013
00206RAQ5	AT&T INC CORP BND				1FE	1,611,715.50	107.478	1,612,167.09	1,500,000.00	1,564,948.42	47,218.67		(19,628.40	)	—	—	4.85	2.946	Feb-Aug	9,295.83	72,750.00	12/16/2009	2/15/2014
00206RAT9	AT&T INC CORP BND		O		1FE	1,287,375.32	0	1,414,364.26	800,000.00	1,271,529.60	142,834.66		(7,784.81	)	—	44,303.14	5.875	4.657	April	31,207.08	77,646.00	3/4/2010	4/28/2017
00206RAV4	AT&T CO CORP BND				1FE	2,990,820.00	102.041	3,061,232.07	3,000,000.00	2,992,863.09	68,368.98		457.97		—	—	2.5	2.565	Feb-Aug	9,583.33	78,125.00	7/27/2010	8/15/2015
00206RAW2	AT&T INC CORP BND				1FE	6,694,297.50	103.055	6,827,420.06	6,625,000.00	6,689,844.83	137,575.23		(4,000.33	)	—	—	2.95	2.721	May-Nov	82,518.05	—	5/24/2011	5/15/2016
00209AAG1	NEW CINGULAR WIRELESS SERVICES CORP BND				1FE	12,497,027.75	104.141	11,429,526.78	10,975,000.00	11,356,667.71	72,859.07		(481,581.49	)	—	—	8.125	2.101	May-Nov	371,549.48	445,859.00	12/22/2009	5/1/2012
002824AX8	ABBOTT LABORATORIES CORP BND				1FE	2,822,118.50	105.165	2,970,913.65	2,825,000.00	2,822,856.21	148,057.44		413.66		—	—	2.7	2.722	May-Nov	26,272.50	38,138.00	5/24/2010	5/27/2015
00432CAY7	AGSL_03-1 ABS_03-1 A2			2	1FE	2,639,154.57	99.5	2,647,469.48	2,660,773.35	2,641,942.37	5,527.11		7,360.32		—	—	0.61806	1.057	M-J-S-D	228.41	7,353.00	3/31/2011	12/27/2016
00432CAZ4	AGSL_03-1 ABS 03-1-2003-1			2	1FE	360,500.00	84.874	339,497.20	400,000.00	363,670.18	(24,172.98	)	1,576.20		—	—	1.633	2.392	Monthly	53.69	3,643.00	3/29/2010	12/26/2035
00432CBB6	AGSL_03-1 ABS_03-1-2003-1				1FE	311,937.50	84.865	297,026.80	350,000.00	313,644.74	(16,617.94	)	430.93		—	—	1.604	2.164	April	342.90	3,112.00	3/29/2010	12/26/2035
00432CBP5	AGSL_03-1 ABS_04-1-2004-1			2	1FE	435,625.00	84	420,000.00	500,000.00	445,783.05	(25,783.05	)	4,957.61		—	—	1.761	3.541	Monthly	611.46	4,469.00	3/29/2010	12/27/2032
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND		F		1FE	2,198,900.00	105.64	2,324,079.82	2,200,000.00	2,199,299.86	124,779.96		(2,404.01	)	—	—	3.2	3.211	May-Nov	28,942.22	35,200.00	10/26/2009	11/3/2014
00485CAK3	ACOSTA TERM LOAN				4FE	—	95.25	—	—	—	—		—		—	—	#N/A	-0.084	#N/A	—	61,866.00	2/23/2011	2/3/2018
00828EAF6	AFRICAN DEVELOPMENT BANK CORP BND		F		??	4,752,517.50	100.094	4,754,464.72	4,750,000.00	4,750,684.74	3,779.98		(632.25	)	—	—	0.378	0.612	J-A-J-O	3,541.13	14,865.00	7/24/2009	7/22/2012
00828EAJ8	AFRICAN DEVELOPMENT BANK CORP BND		F		1FE	5,979,360.00	101.55	6,093,000.18	6,000,000.00	5,990,521.38	102,478.80		5,128.92		—	—	1.625	1.743	Feb-Aug	13,541.67	97,530.00	2/2/2010	2/11/2013
010392EY0	ALABAMA POWER COMPANY SENIOR CORP BND				1FE	13,664,172.75	104.781	13,516,724.10	12,900,000.00	13,228,429.22	288,294.88		(200,363.62	)	—	—	4.85	2.682	Jun-Dec	184,219.18	312,825.00	2/10/2010	12/15/2012
01973JAC3	ALLISON TRANSMIS LN1 TERM LOAN			2	4	—	79.036	—	—	—	—		—		—	—	#N/A	0.315	#N/A	—	65,620.00	6/20/2011	8/7/2014
02005AAA6	AMOT_10-3 ABS_10-1 A			2	1FE	15,919,609.38	101.97	15,907,320.00	15,600,000.00	15,857,912.66	49,407.34		(61,696.72	)	—	—	1.979	1.023	Monthly	13,721.06	130,753.00	5/11/2011	1/15/2015
02005HAB9	ALLY AUTO RECEIVABLES TRUST AA ABS_10-1			2	1FE	1,019,426.13	100.47	1,016,908.40	1,012,151.29	1,017,558.31	(649.91	)	(3,217.98	)	—	—	1.45	0.735	Monthly	652.28	6,115.00	5/10/2011	3/15/2013
02005MAE2	ALLYA _10-3 ABS _10-3 A4			2	1FE	799,714.32	101.445	811,562.01	800,000.00	799,806.29	11,755.72		63.39		—	—	1.55	1.566	Monthly	551.11	9,300.00	8/12/2010	8/17/2015
02005RAB7	ALLYA_10-5 ABS 10-5 A3			2	1FE	4,115,600.66	100.458	4,138,873.06	4,120,000.00	4,117,327.95	21,545.11		1,607.19		—	—	1.11	1.166	Monthly	2,032.53	34,934.00	12/6/2010	1/15/2015
02005TAD9	ALLYA _11-1 ABS_11-1 A4			2	1FE	5,999,457.60	103.273	6,196,362.30	6,000,000.00	5,999,519.83	196,842.47		62.23		—	—	2.23	2.242	Monthly	5,946.67	80,280.00	2/4/2011	3/15/2016
02005VAB8	ALLY AUTO RECEIVABLES TRUST ABS 11-2 A2			2	1FE	5,899,934.51	100.014	5,900,802.99	5,900,000.00	5,899,937.14	865.85		2.63		—	—	0.67	0.671	Monthly	1,756.89	14,275.00	4/27/2011	10/15/2013
02005VAC6	ALLY AUTO RECEIVABLES TRUST ABS _11-2-A3			2	1FE	749,998.28	100.622	754,662.44	750,000.00	749,996.67	4,665.77		(1.61	)	—	—	1.18	1.182	Monthly	393.33	3,196.00	4/27/2011	4/15/2015
02005XAC2	ALLYA_11-4 ABS_11-4 A3			2	1FE	7,369,541.58	99.994	7,369,541.58	7,370,000.00	7,369,549.78	(8.20	)	8.20		—	—	0.79	0.794	Monthly	2,749.42	—	9/8/2011	9/15/2015
02209SAC7	ALTRIA GROUP INC. CORP BND				2FE	11,190,603.00	114.349	10,805,955.17	9,450,000.00	10,742,466.09	63,489.08		(362,694.57	)	—	—	8.5	1.855	May-Nov	314,606.25	401,625.00	3/22/2011	11/10/2013
02582JCU2	AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2			2	1FE	5,007,812.50	100.105	5,005,250.00	5,000,000.00	5,007,171.26	(1,921.26	)	(641.24	)	—	—	0.399	0.345	Monthly	886.67	4,647.00	7/1/2011	5/15/2014
02582JEV8	AMXCA ABS 07-8 A			2	1FE	5,211,171.88	100.24	5,212,469.55	5,200,000.00	5,208,249.10	4,220.45		(2,922.78	)	—	—	0.529	0.379	Monthly	1,222.58	8,718.00	5/16/2011	10/15/2012
02582JFV7	AMXCA ABS_09-2 A			2	1FE	13,104,761.72	103.12	13,070,460.00	12,675,000.00	13,077,312.55	(6,852.55	)	(27,449.17	)	—	—	1.479	0.384	Monthly	8,331.70	31,584.00	7/18/2011	8/15/2014
02666QF32	AMERICAN HONDA FINANCE CORP BND 144A				1FE	2,124,150.00	101.913	2,165,655.01	2,125,000.00	2,124,579.19	41,075.82		208.62		—	—	2.375	2.389	Mar-Sep	1,822.48	50,469.00	3/9/2010	3/18/2013
03064RAB3	AMCAR_11-4 ABS_11-4 A2			2	1FE	3,299,798.04	99.945	3,298,192.26	3,300,000.00	3,299,800.61	(1,608.35	)	2.57		—	—	0.92	0.925	Monthly	927.67	—	9/8/2011	3/9/2015
03073JAL8	AMERISTAR CASINOS INC. TERM LOAN			1	3FE	—	96.49	—	—	—	—		—		—	—	#N/A	0.263	#N/A	—	27,571.00	8/15/2011	3/29/2018
034863AA8	ANGLO AMERICAN CAPITAL PLC CORP BND 144A		F		2FE	5,570,775.00	115.297	5,188,350.47	4,500,000.00	5,287,354.25	(99,003.78	)	(225,119.94	)	—	—	9.375	2.197	Apr-Oct	202,734.37	210,938.00	10/19/2010	4/8/2014
034863AC4	ANGLO AMERICAN CAPITAL PLC CORP BND 144A		F		2FE	1,298,908.00	99.029	1,287,376.49	1,300,000.00	1,299,268.12	(11,891.63	)	266.18		—	—	2.15	2.179	Mar-Sep	310.56	27,950.00	9/20/2010	9/27/2013
035229CE1	ANHEUSER-BUSCH CORP BND				1FE	1,198,937.20	102.981	1,148,234.55	1,115,000.00	1,148,235.50	(0.95	)	(50,701.70	)	—	—	7.5	0.933	Mar-Sep	3,716.67	83,625.00	1/13/2011	3/15/2012
035229CY7	ANHEUSER-BUSCH SENIOR CORP BND				1FE	5,556,350.00	99.717	5,550,941.10	5,000,000.00	5,430,538.82	120,402.28		(93,902.22	)	—	—	5	2.267	Jan-Jul	52,777.78	250,000.00	9/23/2010	1/15/2015
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND				1FE	22,250,000.00	100.753	22,417,542.06	22,250,000.00	22,250,000.00	167,542.06		—		—	—	0.8021	0.854	J-A-J-O	32,719.01	93,855.00	1/24/2011	1/27/2014
03523TBG2	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND				1FE	7,821,921.68	111.862	7,830,353.86	7,000,000.00	7,704,302.61	126,051.25		(117,619.07	)	—	—	5.375	2.243	May-Nov	142,138.89	188,125.00	3/16/2011	11/15/2014
038461AC3	AID-EGYPT GOVT BND		F		1FE	1,598,977.50	112.878	1,693,177.44	1,500,000.00	1,568,868.27	124,309.17		(12,028.33	)	—	—	4.45	3.205	Mar-Sep	2,966.67	66,750.00	11/3/2009	9/15/2015
03852CAB2	ARAMARK CORP TERM LOAN				3FE	—	96.4	—	—	—	—		—		—	—	#N/A	-0.086	#N/A	—	1,245.00	3/7/2011	1/26/2014
039483BA9	ARCHER DANIELS MIDLAND CO CORP BND				1FE	600,000.00	100.148	600,887.97	600,000.00	600,000.00	887.97		—		—	—	0.44617	0.472	F-M-A-N	364.37	1,363.00	2/9/2011	8/13/2012
03979GAL9	ARDEN REALTY LP SENIOR CORP BND			1	1FE	3,226,650.00	104.114	3,123,419.94	3,000,000.00	3,201,978.55	(78,558.61	)	(24,671.45	)	—	—	5.25	3.007	Mar-Sep	13,125.01	78,750.00	4/28/2011	12/1/2014
046353AC2	ASTRAZENECA PLC CORP BND		F		1FE	5,610,358.32	104.611	5,492,095.14	5,250,000.00	5,418,965.65	73,129.49		(129,670.63	)	—	—	5.4	1.984	Mar-Sep	12,600.00	283,500.00	11/12/2010	9/15/2012
04826NAH6	ATLANTIC BROADBAND FINANCE LLC TERM LOAN			1	4FE	—	94.75	—	—	—	—		—		—	—	#N/A	0.666	#N/A	—	14,102.00	8/22/2011	3/9/2016
048825BC6	ATLANTIC RICHFIELD COMPANY CORP BND				1FE	3,899,000.82	113.983	3,441,387.50	3,317,000.00	3,392,044.73	49,342.77		(109,322.43	)	—	—	8.5	3.887	Apr-Oct	140,972.50	140,973.00	1/30/2008	4/1/2012
049455AB4	ATLAS REINSURANCE V LTD CORP BND 144A				4FE	—	0	—	—	—	—		—		—	—	#N/A	0	#N/A	—	35,654.00	00/00/0000	2/24/2012
05252AAM3	AUSTRALIA AND NEW ZEALAND BANK CORP BND		F		1FE	3,992,895.97	104.079	4,163,148.48	4,000,000.00	3,995,176.91	167,971.57		1,023.59		—	—	3.7	3.739	Jan-Jul	32,066.67	148,000.00	2/19/2010	1/13/2015
05522NAA5	BANK OF AMERICA CORP BND 144A				1FE	5,084,782.57	102.987	5,149,350.00	5,000,000.00	5,038,217.48	111,132.52		(65,520.57	)	—	—	5.5	4.381	Jun-Dec	81,736.11	137,500.00	11/12/2010	6/14/2012
05522RAB4	BACCT ABS_06 A7 A7			2	1FE	9,961,328.13	99.636	9,963,599.40	10,000,000.00	9,964,799.17	(1,199.77	)	3,471.04		—	—	0.269	0.395	Monthly	1,195.56	5,971.00	6/17/2011	12/15/2016
05522RBD9	BACCT ABS 07-A8 A8			2	1FE	2,974,441.60	103.495	2,954,783.96	2,855,000.00	2,956,499.02	(1,715.06	)	(17,942.58	)	—	—	5.59	0.541	Monthly	7,093.09	13,300.00	8/11/2011	6/15/2012
055451AA6	BHP BILLITON FINANCE (USA) LTD CORP BND		F		1FE	4,163,085.27	105.387	4,215,468.76	4,000,000.00	4,104,871.73	110,597.03		(49,236.49	)	—	—	4.8	3.042	Apr-Oct	88,533.33	96,000.00	11/12/2010	4/15/2013
055451AG3	BHP BILLITON FINANCE (USA) LTD CORP BND		F		1FE	7,503,892.00	109.719	7,427,980.57	6,770,000.00	7,237,561.46	190,419.11		(133,840.27	)	—	—	5.5	2.627	Apr-Oct	186,175.00	186,175.00	4/16/2010	4/1/2014
05564UAF7	BMW FLOORPLAN MASTER OWNER TRU ABS 09-1A			2		3,738,156.25	100.742	3,727,453.89	3,700,000.00	3,731,647.07	(4,193.18	)	(6,509.18	)	—	—	1.379	0.947	Monthly	2,267.69	21,222.00	4/28/2011	9/15/2014
05565QBF4	BP CAPITAL MARKETS PLC CORP BND		F		1FE	10,064,169.75	107.605	9,910,404.65	9,210,000.00	9,800,272.61	110,132.04		(121,904.58	)	—	—	5.25	2.112	May-Nov	193,410.00	163,013.00	9/26/2011	11/7/2013
05565QBG2	BP CAPITAL MARKETS PLC CORP BND		F		1FE	5,024,698.50	101.015	5,076,024.11	5,025,000.00	5,024,953.80	51,070.31		106.77		—	—	3.125	3.127	Mar-Sep	9,160.16	157,031.00	3/5/2009	3/10/2012
05565QBH0	BP CAPITAL MARKETS PLC CORP BND		F		1FE	4,556,790.00	105.863	4,763,842.83	4,500,000.00	4,542,055.38	221,787.45		(8,445.12	)	—	—	3.875	3.584	Mar-Sep	10,171.88	174,375.00	5/27/2010	3/10/2015

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
05565QBL1	BP CAPITAL MARKETS PLC CORP BND		F		1FE	4,318,872.00	104.95	4,355,418.53	4,150,000.00	4,267,013.10	88,405.43		(32,240.98	)	—	—	3.625	2.499	May-Nov	59,757.12	75,219.00	10/5/2010	5/8/2014
05565QBN7	BP CAPITAL MARKETS PLC CORP BND		F		1FE	2,991,480.00	103.524	3,105,716.16	3,000,000.00	2,993,077.99	112,638.17		1,698.16		—	—	3.125	3.187	Apr-Oct	46,875.00	46,875.00	9/28/2010	10/1/2015
05565QBQ0	BP CAPITAL MARKETS PLC CORP BND		F		1FE	6,993,560.00	103.996	7,279,742.05	7,000,000.00	6,994,225.56	285,516.49		665.56		—	—	3.2	3.22	Mar-Sep	12,444.44	112,000.00	3/8/2011	3/11/2016
05565QBS6	BP CAPITAL MARKETS PLC CORP BND		F		1FE	1,490,000.00	100.157	1,492,339.27	1,490,000.00	1,490,000.00	2,339.27		—		—	—	0.93683	0.91	M-J-S-D	736.71	6,738.00	3/8/2011	3/11/2014
055669AD7	BMWLT_10-1 ABS_10-1 A4			2	1FE	1,019,897.90	100.128	1,021,308.25	1,020,000.00	1,019,951.46	1,356.79		39.14		—	—	0.96	0.967	Monthly	435.20	7,344.00	9/15/2010	1/15/2014
05745PAB9	BAKERCORP TERM LOAN			1	1Z	—	96	—	—	—	—		—		—	—	#N/A	0.072	#N/A	—	15,167.00	5/19/2011	5/17/2018
05947ULH9	BANK OF AMERICA CO CMBS 03-1			2	NR*Z*	593,251.92	99.989	615,107.29	615,175.32	612,067.13	3,040.16		12,149.20		—	—	3.878	5.146	Monthly	1,988.04	17,892.00	8/27/2008	9/11/2036
05948XYC9	BOAMS WHOLE CMO 03-J-2A1			2	NR*Z*	56,053.47	93.39	53,107.43	56,866.47	56,098.40	(2,990.97	)	130.81		—	—	3.221121	3.515	Monthly	152.64	1,374.00	11/30/2007	11/25/2033
05949CED4	BANK OF AMERICA MTG SEC CMO_05-G 2A1			2	1FE	2,574,054.43	66.75	2,104,634.67	2,610,561.48	2,575,787.51	(471,152.84	)	4,570.10		—	—	2.81714	3.079	Monthly	6,128.60	58,873.00	10/19/2006	8/25/2035
06050BAA9	BANK OF AMERICA CORP - GTD CORP BND GOVT				1FE	18,104,062.50	102.013	18,362,333.71	18,000,000.00	18,023,776.44	338,557.27		(24,865.10	)	—	—	3.125	2.934	Jun-Dec	165,625.00	281,250.00	6/10/2011	6/15/2012
06050BAG6	BANK OF AMERICA CORP - GTD CORP BND GOVT				1FE	14,921,651.85	101.052	15,157,729.35	15,000,000.00	14,985,213.99	172,515.36		(1,501.55	)	—	—	2.1	2.272	Apr-Oct	132,125.00	157,500.00	2/25/2009	4/30/2012
06051GEB1	BANK OF AMERICA CORP BND MTN				1FE	1,546,350.00	94.574	1,442,260.79	1,525,000.00	1,542,813.21	(100,552.42	)	(3,406.73	)	—	—	4.5	4.138	Apr-Oct	34,312.50	34,313.00	12/16/2010	4/1/2015
06051GED7	BANK OF AMERICA CORP BND				1FE	1,505,805.00	91.91	1,378,643.19	1,500,000.00	1,505,002.84	(126,359.65	)	(5,142.83	)	—	—	3.7	3.608	Mar-Sep	4,625.00	57,196.00	1/3/2011	9/1/2015
06051GEG0	BANK OF AMERICA CORP BND				1FE	2,279,595.50	90.64	2,062,060.34	2,275,000.00	2,279,372.71	(217,312.37	)	(308.44	)	—	—	3.625	3.578	Mar-Sep	3,207.12	41,234.00	5/24/2011	3/17/2016
06051GEK1	BANK OF AMERICA CORP BND				1FE	6,077,040.70	90.956	5,716,564.06	6,285,000.00	6,079,597.43	(363,033.37	)	2,770.06		—	—	3.75	4.515	Jan-Jul	51,720.31	—	9/21/2011	7/12/2016
06051GEL9	BANK OF AMERICA CORP BND MTN				1FE	8,000,000.00	89.004	7,120,319.84	8,000,000.00	8,000,000.00	(879,680.16	)	—		—	—	1.797508	1.798	J-A-J-O	32,355.14	—	7/7/2011	7/11/2014
06052DAC9	BAAT_09-1A ABS 09-1A A3 144A			2	1FE	781,567.15	100.455	774,710.45	771,204.09	773,601.11	1,109.34		(17,366.39	)	—	—	2.67	1.417	Monthly	915.16	15,443.00	6/1/2010	3/15/2012
06052JAC6	BAAT_10-1 ABS_10-1A A3 144A			2	1FE	4,549,574.59	100.35	4,571,927.36	4,555,981.43	4,553,725.15	18,202.21		4,432.05		—	—	1.39	1.48	Monthly	2,814.59	47,496.00	5/26/2010	3/15/2014
06052MAC9	BAAT ABS_10-2 A3			2	1FE	947,141.81	100.47	951,619.64	947,167.95	947,157.43	4,462.21		10.71		—	—	1.31	1.315	Monthly	551.46	9,306.00	6/16/2010	7/15/2014
06052MAD7	BAAT ABS 10-2 A4			2	1FE	1,199,768.04	102.07	1,224,840.00	1,200,000.00	1,199,853.54	24,986.46		52.08		—	—	1.94	1.954	Monthly	1,034.67	17,460.00	6/16/2010	6/15/2017
06366QGN1	BANK OF MONTREAL CORP BND		A		1FE	9,350,000.00	99.943	9,344,670.60	9,350,000.00	9,350,000.00	(5,329.40	)	—		—	—	0.72285	0.743	J-A-J-O	12,015.38	17,567.00	4/26/2011	4/29/2014
06406HBE8	BANK OF NEW YORK CO CORP BND				1FE	9,050,366.08	104.406	9,187,758.10	8,800,000.00	8,908,427.13	279,330.97		(70,348.27	)	—	—	4.95	3.774	May-Nov	181,500.03	217,800.00	1/25/2011	11/1/2012
06406HBQ1	BANK OF NEW YORK CO CORP BND MTN				1FE	2,996,130.00	104.479	3,134,381.10	3,000,000.00	2,997,072.74	137,308.36		552.72		—	—	2.95	2.978	Jun-Dec	25,320.84	44,250.00	6/11/2010	6/18/2015
06406HBW8	BANK OF NEW YORK MELLON/THE CORP BND				1FE	3,350,000.00	99.381	3,329,263.40	3,350,000.00	3,350,000.00	(20,736.60	)	—		—	—	0.5226	0.523	J-A-J-O	3,063.74	—	7/21/2011	7/28/2014
064149B97	BANK OF NOVA SCOTIA CORP BND		A		1FE	2,989,500.00	102.546	3,076,373.28	3,000,000.00	2,993,267.70	83,105.58		2,202.02		—	—	2.375	2.48	Jun-Dec	20,583.34	35,625.00	6/10/2010	12/17/2013
064149C39	BANK OF NOVA SCOTIA CORP BND 144A		A		1FE	607,260.00	101.022	606,132.01	600,000.00	606,260.28	(128.27	)	(999.72	)	—	—	1.45	0.87	Jan-Jul	1,570.84	4,350.00	6/13/2011	7/26/2013
06415CAA7	BANK OF NOVA SCOTIA CORP BND 144A		A		1FE	7,296,569.00	101.915	7,439,795.07	7,300,000.00	7,296,673.78	143,121.29		104.78		—	—	2.15	2.16	Feb-Aug	25,286.39	—	7/26/2011	8/3/2016
06423RBC9	BOIT ABS 03-A8			2	1FE	901,828.13	100.236	902,127.84	900,000.00	901,537.44	590.40		(290.69	)	—	—	0.479	0.393	Monthly	191.60	1,356.00	5/12/2011	9/16/2013
064244AA4	BANK OF THE WEST/SAN FRANCISCO CORP BND				1FE	29,969,700.00	100.887	30,265,963.20	30,000,000.00	29,994,925.86	271,037.34		7,630.17		—	—	2.15	2.185	Mar-Sep	7,166.67	430,000.00	3/20/2009	3/27/2012
06739FFZ9	BARCLAYS BANK PLC LOCAL BND		F		1FE	528,417.00	102.263	511,315.96	500,000.00	517,345.48	(6,029.52	)	(49,822.30	)	—	—	5.2	3.869	Jan-Jul	5,850.00	26,000.00	10/21/2009	7/10/2014
06739FGP0	BARCLAYS BANK PLC CORP BND		F		1FE	3,006,193.35	99.928	2,997,853.32	3,000,000.00	3,002,894.41	(5,041.09	)	(1,979.89	)	—	—	2.5	2.425	Jan-Jul	14,166.67	75,000.00	2/19/2010	1/23/2013
067901AF5	BARRICK GOLD CORP CORP BND		A		2FE	2,747,701.82	100.869	2,773,908.28	2,750,000.00	2,747,749.12	26,159.16		47.30		—	—	2.9	2.137	May-Nov	26,583.33	—	9/8/2011	5/30/2016
071813AZ2	BAXTER INTERNATIONAL INC CORP BND				1FE	4,010,640.00	106.716	4,268,620.60	4,000,000.00	4,005,400.04	263,220.56		(1,564.43	)	—	—	4	3.941	Mar-Sep	13,333.34	160,000.00	2/23/2009	3/1/2014
071813BB4	BAXTER INTERNATIONAL INC CORP BND				1FE	7,790,874.00	101.365	7,906,456.75	7,800,000.00	7,795,538.14	110,918.61		2,238.36		—	—	1.8	1.84	Mar-Sep	6,240.00	140,400.00	3/4/2010	3/15/2013
07384M3D2	BSARM CMO 04-9 22A1			2	1FE	1,275,709.81	82.72	1,163,743.84	1,300,417.74	1,276,666.63	(112,922.79	)	1,949.36		—	—	3.2841	3.726	Monthly	3,558.92	34,543.00	8/13/2007	11/25/2034
07384MK27	BSARM CMO 04-1 21A1			2	NR*Z*	340,969.18	86.108	298,926.38	347,152.85	341,353.29	(42,426.91	)	1,304.82		—	—	2.47307	2.818	Monthly	715.44	6,506.00	8/10/2007	4/25/2034
07385TAJ5	BEAR STEARNS CO INC CORP BND				1FE	4,785,719.90	108.693	4,673,788.55	4,300,000.00	4,654,838.28	18,950.27		(80,387.00	)	—	—	5.7	2.915	May-Nov	92,593.33	122,550.00	7/16/2010	11/15/2014
07387AAW5	BSARM CMO_05-3 2A1			2	NR*Z*	1,409,901.24	75.518	1,084,728.90	1,436,384.57	1,411,334.37	(326,605.47	)	2,735.54		—	—	2.70943	3.017	Monthly	3,243.15	29,740.00	8/10/2007	6/25/2035
07388GAA9	BSABS ABS 06-3-A1			2	NR*Z*	132,984.18	99.262	132,002.49	132,984.18	132,984.18	(981.69	)	—		—	—	0.38456	0.385	Monthly	7.10	378.00	8/8/2006	8/25/2036
073928X73	BEAR STEARNS CO INC CORP BND MTN				1FE	2,390,693.25	104.113	2,420,627.80	2,325,000.00	2,341,958.21	78,669.59		(14,153.90	)	—	—	6.95	6.064	Feb-Aug	22,891.55	161,588.00	3/23/2009	8/10/2012
079860AG7	BELLSOUTH CORPORATION CORP BND				1FE	1,257,904.09	109.673	1,260,138.96	1,149,000.00	1,238,566.25	21,572.71		(10,546.88	)	—	—	5.2	2.442	Mar-Sep	2,655.47	42,874.00	7/6/2011	9/15/2014
09657MAC2	BMWLT_10-1 ABS 10-1 A3			2	1FE	999,979.50	100.063	1,000,625.00	1,000,000.00	999,992.45	632.55		7.09		—	—	1.39	1.395	Monthly	231.67	10,425.00	4/15/2010	4/25/2014
097014AK0	BOEING CAPITAL CORPORATION CORP BND				1FE	3,023,300.00	106.718	3,201,530.91	3,000,000.00	3,015,447.45	186,083.46		(3,545.60	)	—	—	3.25	3.073	Apr-Oct	41,708.34	48,750.00	1/28/2010	10/27/2014
097014AN4	BOEING CAPITAL CORPORATION CORP BND			1	1FE	2,498,550.00	101.275	2,531,868.18	2,500,000.00	2,498,590.73	33,277.45		40.73		—	—	2.125	2.137	Feb-Aug	8,854.17	—	7/28/2011	8/15/2016
097023AT2	BOEING CO CORP BND				1FE	1,404,061.80	105.623	1,365,897.14	1,290,000.00	1,347,738.30	18,158.84		(30,969.09	)	—	—	5.125	1.807	Feb-Aug	8,447.71	66,113.00	5/12/2010	2/15/2013
097023BB0	BOEING CO CORP BND				1FE	685,866.90	101.379	699,515.50	690,000.00	688,405.53	11,109.97		1,030.38		—	—	1.875	2.082	May-Nov	4,707.82	6,469.00	11/17/2009	11/20/2012
10138MAD7	BOTTLING GROUP LLC CORP BND				1	1,530,340.01	108.841	1,632,615.00	1,500,000.00	1,521,778.88	110,836.12		(4,056.35	)	—	—	4.125	3.702	Jun-Dec	18,218.75	30,938.00	2/19/2010	6/15/2015
10138MAH8	BOTTLING GROUP LLC CORP BND				1FE	9,826,255.00	113.942	9,685,072.04	8,500,000.00	9,168,952.45	516,119.59		(191,681.26	)	—	—	6.95	3.574	Mar-Sep	26,255.56	590,750.00	2/5/2009	3/15/2014
10620NAC2	BRHEA_05-2 ABS_05—2 A10			2	1FE	4,224,000.00	96.595	4,250,184.84	4,400,000.00	4,234,381.86	15,802.98		10,381.86		—	—	0.47806	1.506	M-J-S-D	292.15	4,076.00	6/29/2011	12/26/2019
10620NAH1	BRHEA_05-3A ABS 05-3 A14			2	1FE	2,658,642.25	98.921	2,669,308.18	2,698,424.17	2,666,272.84	3,035.34		16,315.46		—	—	0.46806	0.759	M-J-S-D	175.43	7,139.00	5/26/2011	9/25/2023
10620NCG1	BRHEA_05-2 ABS 11-1 A2			2	1FE	3,748,794.81	99.046	3,763,747.92	3,800,000.00	3,751,787.67	11,960.25		2,992.86		—	—	1.11178	1.275	F-M-A-N	4,342.12	18,088.00	3/10/2011	2/25/2030
10778XAA4	BRFKREDIT AS CORP BND 144A		F		1FE	12,486,250.00	101.607	12,700,875.25	12,500,000.00	12,492,843.51	208,031.74		3,394.12		—	—	2.05	2.088	Apr-Oct	118,159.73	128,125.00	4/8/2010	4/15/2013
110122AL2	BRISTOL MYERS SQUIBB CO CORP BND				1FE	7,448,280.00	108.048	7,563,380.58	7,000,000.00	7,198,279.71	365,100.87		(75,755.57	)	—	—	5.25	3.67	Feb-Aug	46,958.34	367,500.00	3/5/2009	8/15/2013
1107098W5	BRITISH COLUMBIA PROVINCE OF CORP BND		A		1FE	10,569,800.00	106.552	10,655,200.20	10,000,000.00	10,545,837.50	109,362.70		(23,962.50	)	—	—	2.85	1.335	Jun-Dec	83,916.67	—	7/27/2011	6/15/2015
1107098Z8	BRITISH COLUMBIA PROVINCE OF CORP BND		A		1FE	6,998,670.00	103.58	7,250,600.14	7,000,000.00	6,998,763.74	251,836.40		93.74		—	—	2.1	2.104	May-Nov	54,308.33	—	5/11/2011	5/18/2016
11102AAB7	BRITISH TELECOMMUNICATIONS PLC CORP BND		F			3,195,390.00	104.634	3,139,017.78	3,000,000.00	3,130,861.61	8,156.17		(64,528.39	)	—	—	5.15	1.71	Jan-Jul	32,616.67	77,250.00	2/4/2011	1/15/2013
12543KAB0	COMMUNITY HLTH SYST INC TERM LOAN			2	3FE	—	89.841	—	—	—	—		—		—	—	#N/A	0.668	#N/A	—	1,617.00	12/14/2010	7/25/2014
12543KAD6	COMMUNITY HLTH SYST INC TERM LOAN				3FE	—	93.35	—	—	—	—		—		—	—	#N/A	0.668	#N/A	—	31,516.00	12/14/2010	7/25/2014
12622JAB7	CPG INTERNATIONAL I INC TERM LOAN				1Z	—	95	—	—	—	—		—		—	—	#N/A	0.083	#N/A	—	33,163.00	2/16/2011	2/3/2017
126408GB3	CSX CORPORATION CORP BND				2FE	1,905,408.00	102.368	1,842,615.49	1,800,000.00	1,843,616.63	(1,001.14	)	(61,791.37	)	—	—	6.3	0.961	Mar-Sep	5,040.00	113,400.00	2/2/2011	3/15/2012
126650AV2	CVS CAREMARK CORP CORP BND				2FE	5,776,192.50	109.803	5,764,644.38	5,250,000.00	5,630,826.75	133,817.63		(92,019.23	)	—	—	4.875	2.321	Mar-Sep	11,375.00	255,938.00	8/10/2010	9/15/2014
12668AZL2	CWALT CMO_05-64CB 1A			2	NR*Z*	564,471.06	92.25	530,843.77	575,440.40	563,870.06	(33,026.29	)	5,943.82		—	—	5.5	5.893	Monthly	2,637.44	23,746.00	1/2/2008	12/25/2035
126802BS5	CABMT_10-IA ABS_11-2A A2			2	1FE	3,500,000.00	99.999	3,499,965.04	3,500,000.00	3,500,000.00	(34.96	)	—		—	—	0.829	0.83	Monthly	1,289.56	6,102.00	6/22/2011	6/17/2019
12800UAK6	CAISSE CENTRALE CORP BND 144A		A		1FE	1,495,997.00	103.624	1,554,360.01	1,500,000.00	1,496,361.79	57,998.22		419.20		—	—	2.55	2.608	Mar-Sep	743.75	19,125.00	4/18/2011	3/24/2016
13134MAW3	CALPINE CORPORATION TERM LOAN			1	4FE	—	93.931	—	—	—	—		—		—	—	#N/A	0.24	#N/A	—	—	8/16/2011	3/31/2018
135087ZA5	CANADA GOVERNMENT GOVT BND		A		1FE	695,975.00	105.235	736,645.01	700,000.00	697,571.44	39,073.57		681.63		—	—	2.375	2.498	Mar-Sep	969.79	16,625.00	9/2/2009	9/10/2014
136069DF5	CANADIAN IMPERIAL BK COMRC CORP BND 144A		A		1FE	3,684,599.00	101.519	3,705,443.39	3,650,000.00	3,677,430.68	28,012.71		(7,943.94	)	—	—	2	1.431	Feb-Aug	11,558.33	56,500.00	5/13/2011	2/4/2013
136069EC1	CANADIAN IMPERIAL BK COMRC CORP BND 144A		A		1FE	9,987,600.00	99.682	9,968,199.90	10,000,000.00	9,987,723.57	(19,523.67	)	123.57		—	—	0.9	0.942	Mar-Sep	2,750.00	—	9/13/2011	9/19/2014
136375BF8	CANADIAN NATIONAL RAILWAY CORP BND		A		1FE	437,542.80	100.162	415,673.33	415,000.00	415,289.86	383.47		(5,616.46	)	—	—	6.375	4.508	Apr-Oct	12,199.27	13,228.00	8/13/2008	10/15/2011
136375BH4	CANADIAN NATIONAL RAILWAY CORP BND		A		1FE	325,323.30	105.267	326,328.19	310,000.00	316,777.59	9,550.60		(3,361.98	)	—	—	4.4	2.856	Mar-Sep	606.22	13,640.00	10/22/2009	3/15/2013
14041NBY6	COMET ABS 05-A1 A1			2	1FE	4,021,523.44	99.964	4,048,541.60	4,050,000.00	4,042,704.85	5,836.75		11,948.74		—	—	0.299	0.691	Monthly	538.20	9,139.00	5/28/2010	1/15/2015
14041NCK5	COMET ABS_05-A9 A			2	1FE	5,826,577.15	98.75	5,801,564.73	5,875,000.00	5,829,648.09	(28,083.36	)	3,070.94		—	—	0.319	0.51	Monthly	832.94	4,259.00	6/17/2011	8/15/2018
14041NDB4	COMET ABS 06-A11 A11			2	1FE	5,248,035.16	98.014	5,194,762.19	5,300,000.00	5,250,790.41	(56,028.22	)	2,755.25		—	—	0.319	0.51	Monthly	751.42	3,841.00	6/17/2011	6/17/2019
14170TAD3	CAREFUSION CORP CORP BND				2FE	1,874,628.00	102.511	1,845,199.96	1,800,000.00	1,840,784.05	4,415.91		(33,843.95	)	—	—	4.125	1.383	Feb-Aug	12,375.00	74,250.00	1/13/2011	8/1/2012
14170TAF8	CAREFUSION CORP CORP BND				2FE	6,453,470.60	109.22	6,400,297.86	5,860,000.00	6,334,259.97	66,037.89		(89,543.57	)	—	—	5.125	2.164	Feb-Aug	50,054.17	230,625.00	9/12/2011	8/1/2014
141781AP9	CARGILL INC CORP BND 144A				1FE	2,764,425.00	103.783	2,594,575.00	2,500,000.00	2,573,537.69	21,037.31		(81,511.17	)	—	—	6.375	1.91	Jun-Dec	53,125.00	79,688.00	12/21/2009	6/1/2012
149123BT7	CATERPILLAR INC CORP BND				1FE	2,160,000.00	100.036	2,160,772.09	2,160,000.00	2,160,000.00	772.09		—		—	—	0.39778	0.355	F-M-A-N	954.67	1,853.00	5/24/2011	11/21/2012
149123BU4	CATERPILLAR INC CORP BND				1FE	4,996,200.00	100.526	5,026,296.25	5,000,000.00	4,996,629.54	29,666.71		429.54		—	—	1.375	1.401	May-Nov	23,680.56	—	5/24/2011	5/27/2014
14912L3N9	CATERPILLAR FINL SERV CORP BND MTN				1FE	1,124,403.75	104.937	1,180,537.52	1,125,000.00	1,124,845.90	55,691.62		93.23		—	—	4.85	4.862	Jun-Dec	17,278.12	27,281.00	12/3/2007	12/7/2012
14912L3S8	CATERPILLAR FINL SERV CORP BND MTN				1FE	5,268,195.25	100.299	5,519,008.21	5,275,000.00	5,273,015.48	245,992.73		1,053.08		—	—	4.25	4.279	Feb-Aug	33,005.38	224,188.00	2/4/2008	2/8/2013
14912L4J7	CATERPILLAR FINL SERV CORP BND				1FE	649,226.50	101.5	659,748.66	650,000.00	649,682.67	10,065.99		192.73		—	—	1.9	1.941	Jun-Dec	3,567.78	6,175.00	12/10/2009	12/17/2012
14912L4M0	CATERPILLAR FINL SERV CORP BND				1FE	2,000,000.00	104.518	2,090,357.36	2,000,000.00	2,000,000.00	90,357.36		—		—	—	2.75	2.75	Jun-Dec	14,819.44	27,500.00	11/12/2010	6/24/2015
14912L4Q1	CATERPILLAR FINL SERV CORP BND				1FE	3,396,226.00	101.084	3,436,852.61	3,400,000.00	3,397,192.45	39,660.16		925.80		—	—	1.55	1.588	Jun-Dec	14,785.28	26,350.00	12/13/2010	12/20/2013
14912L4U2	CATER PILLAR FINANCIAL SERVICE CORP BND				1FE	4,219,068.00	100.173	4,207,266.00	4,200,000.00	4,217,574.76	(10,308.76	)	(1,493.24	)	—	—	0.53575	0.37	J-A-J-O	5,750.38	—	7/12/2011	4/1/2014
15131YAC9	CENGAGE (THOMSON LEARNING) TL TERM LOAN			2		—	77.875	—	—	—	—		—		—	—	#N/A	2.683	#N/A	—	16,444.00	6/20/2011	7/3/2014
15132EFD5	CDMC WHOLE CMO 03-8 2A3			2	1FE	250,625.11	95.527	255,112.01	256,393.98	254,762.41	349.60		5,079.29		—	—	4.87328	6.672	Monthly	1,041.23	9,381.00	4/17/2008	10/25/2033
15200DAB3	CENTERPOINT ENERGY INC. ABS_05-A A2			2	1FE	248,222.17	101.582	244,397.08	240,590.93	242,265.40	2,131.68		(3,961.72	)	—	—	4.97	3.748	Feb-Aug	1,992.89	11,957.00	2/8/2008	8/1/2012
16117LAX7	CHARTER COMMUNICATIONS HOLDING TERM LOAN			2	2FE	—	96.5	—	—	—	—		—		—	—	#N/A	0.219	#N/A	—	20,745.00	8/15/2011	9/6/2016
161571CH5	CHAIT ABS_07-A17 A			2	1FE	1,413,140.63	104.611	1,359,943.90	1,300,000.00	1,351,575.98	8,367.92		(36,812.83	)	—	—	5.12	1.277	Monthly	2,958.22	49,920.00	6/23/2010	10/15/2012
161630AG3	CHASE CMO_07-A1-2A1			2	NR*Z*	2,538,998.09	91.35	2,361,062.26	2,584,633.02	2,540,662.66	(179,600.40	)	3,734.75		—	—	2.75279	3.106	Monthly	5,929.13	54,776.00	2/22/2007	2/25/2037
161630AL2	CHASE CMO_07-A1 3A1			2	4FE	1,528,816.82	83.916	1,295,778.48	1,544,137.57	1,529,349.53	(233,571.05	)	2,614.51		—	—	2.82064	2.995	Monthly	3,629.55	33,511.00	5/17/2007	2/25/2037
161630AQ1	CHASE CMO_07-A1 5A1			2	1FE	382,535.97	83.133	329,726.64	389,287.65	383,129.37	(53,402.73	)	926.45		—	—	2.755278	3.136	Monthly	893.83	8,277.00	5/8/2007	2/25/2037
161630AU2	CHASE CMO_07-A1 7A1			2	1FE	559,365.60	90.4	528,813.10	568,402.32	559,883.12	(31,070.02	)	2,597.38		—	—	2.75396	3.098	Monthly	1,304.46	12,169.00	5/17/2007	2/25/2037
161630BD9	CHASE CMO_07-A1 11M1			2	1FE	3,741,802.51	67.281	2,636,128.44	3,706,331.72	3,739,822.59	(1,103,694.15	)	3,698.48		—	—	2.51746	2.346	Monthly	7,775.45	91,350.00	1/18/2008	2/25/2037
166751AH0	CHEVRONTEXACO CORPORATION CORP BND				1FE	8,595,814.00	107.483	8,813,626.74	8,200,000.00	8,436,851.16	376,775.58		(69,974.19	)	—	—	3.95	2.71	Mar-Sep	25,192.23	323,900.00	1/6/2010	3/3/2014
167562LV7	CHICAGO ILL MIDWAY ARPT REV MUNI BND REV				1FE	3,083,400.00	102.598	3,077,940.00	3,000,000.00	3,083,022.34	(5,082.34	)	(377.66	)	—	—	3.532	3.382	Jan-Jul	26,490.00	—	7/5/2011	1/1/2041
17275RAG7	CISCO SYSTEMS INC CORP BND				1FE	3,989,840.00	105.287	4,211,496.88	4,000,000.00	3,993,472.48	218,024.40		1,474.62		—	—	2.9	2.955	May-Nov	43,177.78	58,000.00	11/9/2009	11/17/2014
17275RAJ1	CISCO SYSTEMS INC CORP BND				1FE	509,680.00	101.454	507,270.47	500,000.00	509,511.05	(2,240.58	)	(168.95	)	—	—	1.625	0.84	Mar-Sep	383.68	—	9/12/2011	3/14/2014

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
17275RAL6	CISCO SYSTEMS INC CORP BND				1FE	22,325,000.00	99.264	22,160,688.00	22,325,000.00	22,325,000.00	(164,312.00	)	—		—	—	0.59289	0.559	M-J-S-D	6,250.46	59,640.00	3/9/2011	3/14/2014
172967CK5	CITIGROUP INC CORP BND				1FE	3,904,747.45	103.433	4,137,319.64	4,000,000.00	3,927,256.46	210,063.18		19,036.96		—	—	5.125	5.891	May-Nov	83,138.89	102,500.00	11/12/2010	5/5/2014
172967EH0	CITIGROUP INC CORP BND				1FE	6,330,537.50	106.072	6,099,121.49	5,750,000.00	6,319,379.62	(220,258.13	)	(11,157.88	)	—	—	6	4.086	Feb-Aug	44,083.33	60,000.00	9/1/2011	8/15/2017
172967EL1	CITIBANK N.A. CORP BND				1FE	520,145.00	102.863	514,315.00	500,000.00	507,335.50	6,979.50		(5,073.56	)	—	—	5.3	3.852	Apr-Oct	12,072.22	13,250.00	10/22/2009	10/17/2012
172967EY3	CITIGROUP INC CORP BND				1FE	2,395,057.50	106.995	2,407,383.45	2,250,000.00	2,344,290.69	63,092.76		(66,303.13	)	—	—	6.375	4.791	Feb-Aug	19,523.43	143,438.00	1/6/2010	8/12/2014
172967EZ0	CITIGROUP INC CORP BND				1FE	6,105,220.50	104.183	5,886,350.63	5,650,000.00	6,020,845.32	(134,494.69	)	(126,238.60	)	—	—	5.5	3.215	Apr-Oct	143,290.28	155,375.00	1/3/2011	10/15/2014
172967FA4	CITIGROUP INC CORP BND				1FE	8,436,850.00	105.976	8,478,056.64	8,000,000.00	8,355,309.74	122,746.90		(86,736.34	)	—	—	6.01	4.532	Jun-Dec	141,568.89	240,400.00	2/16/2011	1/15/2015
172967FD8	CITIGROUP INC CORP BND				1FE	8,216,221.50	102.339	7,931,263.36	7,750,000.00	8,157,095.00	(225,831.64	)	(90,226.06	)	—	—	4.75	3.206	May-Nov	133,659.72	120,531.00	5/24/2011	5/19/2015
172967FM8	CITIGROUP INC CORP BND				1FE	3,225,000.00	98.59	3,179,527.37	3,225,000.00	3,225,000.00	(45,472.63	)	—		—	—	1.13617	1.16	F-M-A-N	4,783.75	18,335.00	2/9/2011	2/15/2013
17305EDL6	CITIBANK CREDIT CARD ISSUANCE ABS_06-A8			2	1FE	2,588,682.81	98.552	2,582,052.65	2,620,000.00	2,589,909.38	(7,856.73	)	1,226.57		—	—	0.28925	0.501	J-A-J-O	1,641.98	2,106.00	7/6/2011	12/17/2018
17305EEH4	CCCIT ABS 08-A5 A5			2	1FE	1,608,339.84	106.425	1,596,378.83	1,500,000.00	1,600,828.96	(4,450.13	)	(7,510.88	)	—	—	4.85	0.513	Apr-Oct	32,131.25	—	8/16/2011	4/22/2013
17313UAA7	CITIGROUP INC - GTD CORP BND				1FE	798,016.00	100.491	803,928.64	800,000.00	799,870.70	4,057.94		508.88		—	—	2.875	2.962	Jun-Dec	7,155.56	11,500.00	12/2/2008	12/9/2011
17313UAE9	CITIGROUP INC - GTD CORP BND GOVT GUAR				1FE	3,484,373.48	101.066	3,537,301.11	3,500,000.00	3,497,050.30	40,250.81		(59,995.68	)	—	—	2.125	2.272	Apr-Oct	31,196.18	37,188.00	2/25/2009	4/30/2012
17313YAL5	CITIGROUP FUNDING INC - GTD CORP BND				1FE	15,058,950.00	101.576	15,236,399.40	15,000,000.00	15,021,295.74	215,103.66		(14,819.88	)	—	—	1.875	1.739	Apr-Oct	124,218.75	140,625.00	3/8/2011	10/22/2012
17313YAN1	CITIGROUP FUNDING INC - GTD CORP BND				1FE	13,079,283.56	101.656	13,215,279.74	13,000,000.00	13,033,001.59	182,278.15		(21,664.33	)	—	—	1.875	1.646	May-Nov	92,083.34	121,875.00	2/19/2010	11/15/2012
17314AAF9	CITIGROUP FUNDING INC - GTD CORP BND				1FE	6,482,515.00	100.645	6,541,953.86	6,500,000.00	6,497,025.90	44,927.96		4,561.32		—	—	2	2.093	Mar-Sep	361.11	130,000.00	3/23/2009	3/30/2012
17314JAT0	CITIBANK NA CORP BND GOVT GUAR				1FE	27,378,548.24	101.737	27,316,384.50	26,850,000.00	27,225,979.07	90,405.43		(136,455.16	)	—	—	1.75	0.615	Jun-Dec	121,384.38	234,938.00	6/7/2011	12/28/2012
191216AL4	COCA-COLA COMPANY THE CORP BND				1FE	11,572,106.25	106.671	12,400,478.64	11,625,000.00	11,597,977.19	802,501.45		7,724.33		—	—	3.625	3.725	Mar-Sep	18,729.18	421,406.00	3/3/2009	3/15/2014
191216AN0	COCA-COLA COMPANY THE CORP BND				1FE	2,049,036.50	99.991	2,049,808.41	2,050,000.00	2,049,316.16	492.25		238.36		—	—	0.75	0.766	May-Nov	5,808.33	7,688.00	11/4/2010	11/15/2013
191216AP5	COCA-COLA COMPANY THE CORP BND				1FE	997,700.00	100.8	1,008,002.85	1,000,000.00	998,091.18	9,911.67		1,022.32		—	—	1.5	1.548	May-Nov	5,666.67	7,500.00	11/4/2010	11/15/2015
191216AS9	COCA-COLA COMPANY THE CORP BND 144A				1FE	9,959,118.53	100.705	9,969,792.13	9,900,000.00	9,957,802.34	11,989.79		(1,316.19	)	—	—	1.8	1.675	Mar-Sep	25,245.00	—	8/19/2011	9/1/2016
19122TAA7	COCA-COLA ENTERPRISES INC. CORP BND				2FE	5,667,849.50	99.731	5,659,711.89	5,675,000.00	5,669,935.65	(10,223.76	)	1,887.09		—	—	1.125	1.168	May-Nov	24,650.78	31,922.00	11/8/2010	11/12/2013
194262AX9	COLLE_02-2 ABS 02-2 A21 144A			2	1FE	—	0	—	—	—	—		1,892.96		—	—	#N/A	0	#N/A	—	1,330.00	00/00/0000	3/1/2042
20030NAB7	COMCAST CORPORATION CORP BND				2FE	5,868,400.00	113.397	5,669,832.25	5,000,000.00	5,672,298.34	(2,466.09	)	(146,728.46	)	—	—	6.5	2.235	Jan-Jul	68,611.12	325,000.00	9/24/2010	1/15/2015
20030NAE1	COMCAST CORPORATION CORP BND				2FE	4,178,362.50	108.698	4,076,178.94	3,750,000.00	4,039,331.62	36,847.32		(118,473.27	)	—	—	5.3	1.84	Jan-Jul	41,958.33	198,750.00	8/10/2010	1/15/2014
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA SENIOR		F		1FE	4,611,321.60	105.552	4,728,729.69	4,480,000.00	4,590,081.83	138,647.86		(20,720.47	)	—	—	2.9	2.04	Mar-Sep	5,052.44	129,920.00	2/22/2011	9/17/2014
202795HW3	COMMONWEALTH EDISON COMPANY CORP BND				2FE	2,496,375.00	100.678	2,516,944.50	2,500,000.00	2,497,211.17	19,733.33		1,040.28		—	—	1.625	1.675	Jan-Jul	8,576.39	19,974.00	1/10/2011	1/15/2014
2027A0DG1	COMMONWEALTH BANK OF AUSTRALIA CORP BND		F		1FE	7,324,340.75	101.383	7,426,278.16	7,325,000.00	7,324,765.76	101,512.40		164.48		—	—	2.75	2.753	Apr-Oct	92,885.06	100,719.00	10/8/2009	10/15/2012
2027A0EM7	COMMONWEALTH BANK OF AUSTRALIA CORP BND		F		1FE	1,991,660.00	103.133	2,062,652.90	2,000,000.00	1,994,048.87	68,604.03		1,185.57		—	—	3.5	3.592	Mar-Sep	2,333.33	70,000.00	3/15/2010	3/19/2015
2027A0FP9	COMMONWEALTH BANK OF AUSTRALIA CORP BND		F		1FE	15,429,116.00	99.41	15,333,993.12	15,425,000.00	15,428,798.44	(94,805.32	)	(317.56	)	—	—	1.08022	1.009	M-J-S-D	5,554.13	67,216.00	7/12/2011	3/17/2014
20337EAF8	COMMSCOPE INC. TERM LOAN			1	1Z	—	97.938	—	—	—	—		—		—	—	#N/A	0.071	#N/A	—	7,664.00	1/13/2011	1/6/2018
204279AA1	CIE FIN FONC CORP BND 144A		F		1FE	5,461,398.00	99.872	5,393,088.11	5,400,000.00	5,445,338.70	(52,250.59	)	(38,526.98	)	—	—	2.125	1.577	Apr-Oct	50,681.25	57,375.00	3/4/2011	4/22/2013
20825CAE4	CONOCOPHILLIPS CORP BND				1FE	1,062,372.20	104.073	1,040,734.79	1,000,000.00	1,033,858.06	6,876.73		(64,106.15	)	—	—	4.75	1.452	Apr-Oct	21,902.78	23,750.00	11/12/2010	10/15/2012
20825CAM6	CONOCOPHILLIPS CORP BND				1FE	3,862,918.25	103.014	3,778,744.33	3,575,000.00	3,743,175.39	35,568.94		(76,385.28	)	—	—	4.4	1.452	May-Nov	59,424.44	78,650.00	11/3/2010	5/15/2013
20825CAT1	CONOCOPHILLIPS CORP BND				1FE	6,767,478.00	109.741	7,188,050.85	6,550,000.00	6,697,915.86	490,134.99		(31,810.88	)	—	—	4.6	3.854	Jan-Jul	63,607.78	301,300.00	1/27/2010	1/15/2015
209111EW9	CONSOLIDATED EDISON CO OF NY CORP BND				1FE	436,497.60	110.752	443,009.12	400,000.00	421,301.90	21,707.22		(6,026.66	)	—	—	5.55	3.313	Apr-Oct	11,100.00	11,100.00	10/29/2009	4/1/2014
21685WBL0	RABOBANK NEDERLAND UTRECHT CORP BND MTN		F		1FE	3,421,596.50	99.712	3,420,127.81	3,430,000.00	3,423,152.19	(3,024.38	)	1,204.04		—	—	2.125	2.177	Apr-Oct	34,014.17	36,444.00	10/5/2010	10/13/2015
21685WCY1	RABOBANK NEDERLAND NV CORP BND		F		1FE	7,660,000.00	99.458	7,618,482.80	7,660,000.00	7,660,000.00	(41,517.20	)	—		—	—	0.4521	0.452	J-A-J-O	6,348.99	—	7/20/2011	7/25/2013
22238HGQ7	COUNTRYWIDE FINANCIAL CORP CORP BND MTn				1FE	212,574.00	100.177	200,353.89	200,000.00	203,410.51	(3,056.62	)	(3,658.04	)	—	—	5.8	3.252	Jun-Dec	3,673.33	5,800.00	10/29/2009	6/7/2012
22540VC75	WAMU 2001-ARS 1A CMBS_02-CKP1 A3			2	NR*Z*	2,596,157.53	100.908	2,524,145.85	2,501,440.28	2,520,810.95	3,334.90		(38,488.79	)	—	—	6.439	5.409	Monthly	13,422.32	120,801.00	12/18/2007	8/15/2013
22541LAB9	CREDIT SUISSE FIRST BOSTON CORP BND				1FE	5,561,372.50	100.457	5,479,952.97	5,455,000.00	5,458,347.69	21,605.28		(20,198.08	)	—	—	6.125	5.609	May-Nov	126,222.64	167,059.00	7/11/2007	11/15/2011
22546QAA5	CREDIT SUISSE GROUP CORP BND		F		1FE	2,186,460.00	105.852	2,117,047.72	2,000,000.00	2,124,851.68	(7,803.96	)	(34,355.95	)	—	—	5.5	2.972	May-Nov	45,833.33	55,000.00	5/19/2010	5/1/2014
22546QAE7	CREDIT SUISSE FIRST BOSTON CORP BND		F		1FE	1,996,820.00	99.838	1,996,750.64	2,000,000.00	1,997,729.81	(979.17	)	1,611.81		—	—	3.5	3.535	Mar-Sep	1,555.56	70,000.00	3/18/2010	3/23/2015
22546QAG2	CREDIT SUISSE NEW YORK NY CORP BND		F		1FE	5,800,000.00	98.117	5,690,785.83	5,800,000.00	5,800,000.00	(109,214.17	)	—		—	—	1.209	1.263	J-A-J-O	15,387.88	36,506.00	1/11/2011	1/14/2014
22546QAH0	CREDIT SUISSE NEW YORK NY CORP BND				1FE	1,997,580.00	97.976	1,959,526.98	2,000,000.00	1,998,142.45	(38,615.47	)	562.45		—	—	2.2	2.242	Jan-Jul	9,411.11	22,000.00	1/11/2011	1/14/2014
233851AC8	DAIMLER FINANCE NORTH AMERICA CORP BND				2FE	7,500,000.00	100.01	7,500,750.15	7,500,000.00	7,500,000.00	750.15		—		—	—	0.97278	0.919	M-J-S-D	599.66	34,016.00	3/21/2011	3/28/2014
233851AH7	DAIMLER FINANCE NORTH AMERICA CORP BND				1FE	6,954,500.00	97.339	6,813,736.72	7,000,000.00	6,954,896.22	(141,159.50	)	396.22		—	—	2.625	2.765	Mar-Sep	8,677.08	—	9/7/2011	9/15/2016
235851AJ1	DANAHER CORPORATION CORP BND				1FE	3,900,000.00	100.195	3,907,605.00	3,900,000.00	3,900,000.00	7,605.00		—		—	—	0.6025	0.496	M-J-S-D	652.71	4,831.00	6/20/2011	6/21/2013
235851AL6	DANAHER CORPORATION CORP BND				1FE	3,993,600.00	102.944	4,117,760.32	4,000,000.00	3,993,931.75	123,828.57		331.75		—	—	2.3	2.334	Jun-Dec	25,044.45	—	6/20/2011	6/23/2016
23636UAA5	DANSKE BANK A/S CORP BND GOVT GUAR 144A		F		1FE	3,245,222.50	101.134	3,286,854.39	3,250,000.00	3,248,944.05	37,910.34		2,511.62		—	—	2.5	2.554	May-Nov	31,822.92	40,625.00	6/23/2009	5/10/2012
239753BK1	TARGET CORPORATION CORP BND				1FE	580,657.40	112.803	542,134.16	530,000.00	534,771.76	7,362.40		(12,174.56	)	—	—	8.6	5.39	Jan-Jul	9,622.44	45,580.00	9/24/2008	1/15/2012
24422EQM4	JOHN DEERE CAPITAL CORPORATION CORP BND				1FE	3,933,035.75	105.172	4,128,020.36	3,925,000.00	3,927,480.24	200,540.12		(1,467.71	)	—	—	4.95	4.896	Jun-Dec	56,127.50	97,144.00	7/24/2008	12/17/2012
24422EQY8	JOHN DEERE CAPITAL CORPORATION CORP BND				1FE	1,123,807.50	105.359	1,185,285.59	1,125,000.00	1,124,161.96	61,123.63		170.62		—	—	2.95	2.973	Mar-Sep	2,028.13	33,188.00	3/3/2010	3/9/2015
24422ERD3	JOHN DEERE CAPITAL CORPORATION CORP BND				1FE	1,900,780.90	99.714	1,894,565.94	1,900,000.00	1,900,695.04	(6,129.10	)	(85.86	)	—	—	0.39925	0.328	J-A-J-O	1,643.58	698.00	7/7/2011	7/15/2013
24521QAB8	DEL MONTE FOODS CO TERM LOAN			1	3FE	—	92.75	—	—	—	—		—		—	—	#N/A	0.079	#N/A	—	85,637.00	8/29/2011	2/1/2018
24702RAP6	DELL INC CORP BND				1FE	6,668,948.00	102.325	6,702,279.83	6,550,000.00	6,661,133.37	41,146.46		(7,814.63	)	—	—	3.1	2.697	Apr-Oct	102,089.03	—	5/24/2011	4/1/2016
24736CAR5	DELTA AIR LINES INC. TERM LOAN			1	3FE	—	94.125	—	—	—	—		—		—	—	#N/A	0.222	#N/A	—	48,369.00	5/13/2011	4/20/2017
2515A0T45	DEUTSCHE BK LDN CORP BND		F		1FE	999,020.00	0	994,005.81	1,000,000.00	999,574.41	(5,568.60	)	244.25		—	—	2.375	2.409	Jan-Jul	5,277.78	23,750.00	1/5/2010	1/11/2013
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN CORP BND				2FE	3,569,208.75	102.363	3,608,309.15	3,525,000.00	3,561,838.96	46,470.19		(6,342.55	)	—	—	3.125	2.868	Feb-Aug	14,075.52	109,544.00	10/15/2010	2/15/2016
25459HAY1	DIRECTV HOLDINGS LLC/DIRECTV F SENIOR				2FE	8,223,680.00	103.943	8,315,479.12	8,000,000.00	8,216,182.78	99,296.34		(7,452.89	)	—	—	3.5	2.84	Mar-Sep	23,333.33	133,000.00	7/26/2011	3/1/2016
254683AQ8	DCENT ABS_11-2A A			2	1FE	1,400,000.00	100.049	1,400,683.48	1,400,000.00	1,400,000.00	683.48		—		—	—	0.439	0.439	Monthly	273.16	1,572.00	5/26/2011	11/16/2015
25600WAA8	DNB NOR BLGKRDIT CORP BND 144A		F		1FE	16,321,151.51	101.026	16,366,212.16	16,200,000.00	16,298,580.95	67,631.21		(18,992.87	)	—	—	2.1	1.942	Apr-Oct	157,815.00	139,650.00	7/26/2011	10/14/2015
25600WAB6	DNB NOR BLGKRDIT CORP BND 144A		F		1FE	8,389,920.00	103.952	8,731,968.25	8,400,000.00	8,390,873.93	341,094.32		1,017.53		—	—	2.9	2.926	Mar-Sep	1,353.33	121,800.00	3/22/2011	3/29/2016
256604AR0	DOLE FOOD CO INC. TERM LOAN			1	1Z	—	98.313	—	—	—	—		—		—	—	#N/A	0.108	#N/A	—	9,186.00	6/27/2011	6/27/2018
256604AS8	DOLE FOOD CO INC. TERM LOAN			1	1Z	—	98.313	—	—	—	—		—		—	—	#N/A	0.108	#N/A	—	7,349.00	6/27/2011	6/27/2018
25746UBJ7	DOMINION RESOURCES INC CORP BND				2FE	3,857,214.50	101.694	4,016,922.95	3,950,000.00	3,868,218.71	148,704.24		11,004.21		—	—	2.25	2.812	Mar-Sep	7,406.25	44,438.00	3/4/2011	9/1/2015
25746UBK4	DOMINION RESOURCES INC CORP BND				2FE	1,424,202.00	101.027	1,439,635.73	1,425,000.00	1,424,350.42	15,285.31		159.29		—	—	1.8	1.819	Mar-Sep	1,140.00	13,395.00	3/2/2011	3/15/2014
26138EAM1	DR PEPPER SNAPPLE GROUP INC CORP BND				2FE	4,919,533.25	103.68	5,106,253.15	4,925,000.00	4,920,284.80	185,968.35		849.08		—	—	2.9	2.924	Jan-Jul	30,151.94	72,999.00	1/6/2011	1/15/2016
26225KAC3	GOLDEN LIVING LN1 TERM LOAN			1	3FE	—	87.25	—	—	—	—		—		—	—	#N/A	0.204	#N/A	—	56,871.00	5/16/2011	4/26/2018
263534BU2	EI DUPONT DE NEMOURS & CO CORP BND				1FE	9,363,568.00	107.065	9,609,064.10	8,975,000.00	9,179,326.19	429,737.91		(83,500.84	)	—	—	5	3.66	Jan-Jul	94,736.11	448,750.00	12/21/2009	7/15/2013
263534CH0	EI DUPONT DE NEMOURS & CO CORP BND				1FE	10,912,882.40	100.305	10,933,245.00	10,900,000.00	10,911,544.13	21,700.87		(2,755.73	)	—	—	0.77806	0.685	M-J-S-D	1,177.90	38,606.00	6/20/2011	3/25/2014
26442EAB6	DUKE ENERGY OHIO INC CORP BND				1FE	9,123,448.75	101.507	9,262,484.82	9,125,000.00	9,124,226.54	138,258.28		331.19		—	—	2.1	2.105	Jun-Dec	56,422.92	95,813.00	12/14/2009	6/15/2013
268317AA2	ELECTRICITE DE FRANCE CORP BND 144A		F		1FE	14,880,439.77	106.895	14,537,783.92	13,600,000.00	14,359,263.42	178,520.50		(234,951.95	)	—	—	5.5	2.988	Jan-Jul	135,055.56	748,000.00	2/19/2010	1/26/2014
26882PAS1	ERAC USA FINANCE COMPANY CORP BND 144A				2FE	1,640,475.00	111.469	1,672,041.66	1,500,000.00	1,604,604.53	67,437.13		(20,205.66	)	—	—	5.6	3.512	May-Nov	35,000.00	42,000.00	5/27/2010	5/1/2015
26884TAC6	ERAC USA FINANCE COMPANY CORP BND 144A				2FE	1,247,587.50	100.834	1,260,428.71	1,250,000.00	1,248,154.61	12,274.10		1,086.14		—	—	2.25	2.317	Jan-Jul	6,250.00	13,984.00	1/4/2011	1/10/2014
273323AA3	EAST LANE RE LTD CORP BND		F		2FE	5,000,000.00	101.455	5,072,750.00	5,000,000.00	5,000,000.00	72,750.00		—		—	—	5.7525	5.912	M-J-S-D	12,783.33	153,333.00	3/1/2011	3/14/2014
273323AB1	EAST LANE RE IV LTD CORP BND 144A		F		??	2,000,000.00	101.875	2,037,500.00	2,000,000.00	2,000,000.00	37,500.00		—		—	—	6.6525	6.704	M-J-S-D	5,913.33	70,933.00	3/1/2011	3/13/2015
278642AA1	EBAY INC. CORP BND				1FE	2,993,790.00	99.739	2,992,183.47	3,000,000.00	2,995,709.54	(3,526.07	)	1,550.78		—	—	0.875	0.946	Apr-Oct	12,104.17	12,177.00	10/21/2010	10/15/2013
278642AB9	EBAY INC. CORP BND				1FE	3,586,680.00	99.709	3,589,513.27	3,600,000.00	3,589,073.17	440.10		2,133.30		—	—	1.625	1.703	Apr-Oct	26,975.00	27,138.00	10/21/2010	10/15/2015
281379AA5	EDUSA_10-1 ABS 10-1-A1 144A			2	1FE	902,196.17	99.938	901,640.33	902,196.17	902,196.17	(555.84	)	—		—	—	1.103	1.104	J-A-J-O	1,879.68	7,788.00	2/23/2010	7/25/2023
28264QR63	EKSPORTFINANS A/S CORP BND		F		1FE	2,127,609.17	105.451	2,109,019.92	2,000,000.00	2,100,022.78	8,997.14		(26,516.23	)	—	—	3	1.361	May-Nov	22,333.33	30,000.00	11/12/2010	11/17/2014
285661AD6	ELECTRONIC DATA SYSTEMS CORP BND				1FE	9,874,595.25	108.002	9,477,180.06	8,775,000.00	9,406,346.79	70,833.27		(251,777.96	)	—	—	6	1.985	Feb-Aug	87,750.00	526,500.00	4/30/2010	8/1/2013
291011AZ7	EMERSON ELECTRIC CO CORP BND				1	3,276,666.54	98.81	3,494,247.55	3,200,000.00	3,262,294.89	231,952.66		(12,166.68	)	—	—	4.125	3.535	Apr-Oct	60,866.67	66,000.00	11/12/2010	4/15/2015
29101QAD1	EMERGENCY MEDICAL SVCS CORP TERM LOAN			1	4FE	—	94.972	—	—	—	—		—		—	—	#N/A	0.057	#N/A	—	53,963.00	6/20/2011	4/27/2018
29268BAD3	ENEL FINANCE INTERNATIONAL SA CORP BND		F		1FE	3,268,698.75	96.958	3,126,896.00	3,225,000.00	3,255,017.07	(128,121.07	)	(6,949.39	)	—	—	3.875	3.547	Apr-Oct	60,401.57	62,484.00	3/30/2010	10/7/2014
29364NAQ1	ENTERGY MISSISSIPPI INC CORP BND			1	2FE	1,999,700.00	100.651	2,013,020.00	2,000,000.00	1,999,737.27	13,282.73		37.27		—	—	3.25	3.253	Jun-Dec	24,916.67	—	5/10/2011	6/1/2016
293791AN9	ENTERPRISE PROD OPER LP CORP BND				2FE	6,442,930.00	110.024	6,326,371.78	5,750,000.00	6,270,282.25	56,089.53		(122,077.27	)	—	—	5.6	2.488	Apr-Oct	148,477.77	161,000.00	10/15/2010	10/15/2014
298785EK8	EUROPEAN INVESTMENT BANK SENIOR CORP BND		F		1FE	15,069,850.00	103.396	14,992,419.42	14,500,000.00	14,947,478.85	44,940.57		(122,371.15	)	—	—	2.875	0.74	Mar-Sep	18,527.78	208,438.00	6/14/2011	3/15/2013
298785ES1	EUROPEAN INVESTMENT BANK CORP BND		F		1FE	3,887,520.00	103.717	3,902,776.92	3,900,000.00	3,899,850.27	2,926.65		3,131.06		—	—	3.25	3.36	Apr-Oct	58,797.92	63,375.00	8/26/2008	10/14/2011
298785FP6	EUROPEAN INVESTMENT BANK CORP BND		F		1FE	8,124,800.00	102.028	8,162,240.00	8,000,000.00	8,111,156.65	51,083.35		(13,643.35	)	—	—	1.5	0.962	May-Nov	56,000.00	—	6/1/2011	5/15/2014
30250GAA6	SSGN_10-S1 CMO_10-S1-1A 144A			2	1	1,266,169.80	100	1,266,169.80	1,266,169.80	1,266,169.80	—		—		—	—	0.78889	0.79	Monthly	27.74	8,263.00	3/5/2010	2/25/2048
302570BC9	FPL GROUP CAPITAL INC CORP BND				2FE	7,402,175.00	120.217	7,273,129.11	6,050,000.00	7,055,571.23	217,557.88		(163,956.01	)	—	—	7.875	3.581	Jun-Dec	140,284.38	238,219.00	2/17/2010	12/15/2015
3128JLHB8	FHLMC POOL # 1B1225			2	1	71,285.72	102.766	76,460.38	72,393.32	71,329.12	5,131.26		150.29		—	—	2.711	3.003	Monthly	163.55	1,586.00	4/2/2007	9/1/2033
3128JMXM4	FHLMC POOL # 1B2583			2	1	1,852,925.16	104.81	1,963,611.35	1,873,496.18	1,853,722.79	109,888.56		2,230.29		—	—	2.933	3.112	Monthly	4,579.13	41,536.00	9/17/2008	10/1/2034
3128JMY68	FHLMC POOL # 1B2632			2	1	135,126.36	102.067	145,330.06	136,188.64	135,157.60	10,172.46		87.01		—	—	2.707	2.816	Monthly	307.22	2,776.00	4/3/2007	11/1/2034
3128JMZG5	FHLMC POOL # 1B2642			2	1	182,943.68	102.147	193,999.52	184,381.91	182,982.69	11,016.83		203.85		—	—	2.863	2.972	Monthly	439.90	4,005.00	4/2/2007	11/1/2034
3128JNAL9	FHLMC POOL # 1B2810			2	1	197,591.25	102.443	211,638.34	199,647.62	197,660.90	13,977.44		299.66		—	—	2.653	2.816	Monthly	441.39	4,082.00	4/2/2007	2/1/2035
3128JR6Z4	FHLMC POOL # 848088			2	1	9,949,635.07	0	9,945,656.20	9,468,797.70	9,943,435.70	2,220.50		(62,967.33	)	—	—	2.494	1.426	Monthly	19,679.32	118,676.00	3/8/2011	4/1/2035

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
3128JRJS6	FHLMC POOL # 847473			2	1	2,265,054.16	104.06	2,387,553.31	2,274,293.49	2,265,155.89	122,397.42		1,390.11		—	—	2.459	2.493	Monthly	4,660.41	43,901.00	9/26/2007	12/1/2035
3128JRKQ8	FHLMC POOL # 847503			2	1	1,136,196.09	102.602	1,200,290.10	1,163,371.75	1,137,367.57	62,922.53		2,730.02		—	—	2.557	3.02	Monthly	2,478.95	23,616.00	5/31/2006	12/1/2035
3128JRP26	FHLMC POOL # 847641			2	1	583,452.00	103.178	616,400.61	588,157.26	583,620.13	32,780.48		976.71		—	—	2.522	2.641	Monthly	1,236.11	11,227.00	11/13/2006	12/1/2033
3128JRPZ3	FHLMC POOL # 847640			2	1	406,780.24	103.204	430,977.23	409,009.34	406,830.17	24,147.06		296.38		—	—	2.528	2.589	Monthly	861.65	10,751.00	11/13/2006	5/1/2036
3128KW5Q2	FHLMC GOLD POOL # A66255			2	1	2,240,270.07	104.722	2,450,525.19	2,214,834.09	2,239,375.37	211,149.82		(3,620.68	)	—	—	6	5.609	Monthly	11,074.17	99,667.00	11/2/2007	9/1/2037
3128KWBZ5	FHLMC GOLD POOL # A65456			2	1	24,917.87	105.253	26,772.87	23,981.11	24,891.81	1,881.06		(211.27	)	—	—	6	4.883	Monthly	119.91	1,079.00	2/4/2009	9/1/2037
3128KWFX6	FHLMC GOLD POOL # A65582			2	1	56,397.26	105.253	60,595.69	54,277.04	56,338.84	4,256.85		(320.36	)	—	—	6	4.86	Monthly	271.39	2,443.00	2/4/2009	9/1/2037
3128KWFY4	FHLMC GOLD POOL # A65583			2	1	79,941.04	105.253	85,892.21	76,935.75	79,858.68	6,033.53		(524.18	)	—	—	6	4.839	Monthly	384.68	3,462.00	2/4/2009	9/1/2037
3128KWNV1	FHLMC GOLD POOL # A65804			2	1	3,130,387.19	104.94	3,446,426.31	3,094,844.85	3,129,133.59	317,292.72		(6,369.04	)	—	—	6	5.615	Monthly	15,474.22	139,268.00	11/2/2007	9/1/2037
3128KWNX7	FHLMC GOLD POOL # A65806			2	1	2,707,947.70	104.94	2,981,337.97	2,677,201.72	2,706,880.56	274,457.41		(9,440.58	)	—	—	6	5.591	Monthly	13,386.01	120,474.00	11/2/2007	9/1/2037
3128KWT29	FHLMC GOLD POOL # A65969			2	1	50,710.53	105.253	54,485.65	48,804.13	50,658.20	3,827.45		(137.02	)	—	—	6	4.819	Monthly	244.02	2,196.00	2/4/2009	9/1/2037
3128KWTK9	FHLMC GOLD POOL # A65954			2	1	76,527.73	105.253	82,224.78	73,650.74	76,449.34	5,775.44		(281.87	)	—	—	6	4.797	Monthly	368.25	3,314.00	2/4/2009	9/1/2037
3128KWTP8	FHLMC GOLD POOL # A65958			2	1	66,316.66	105.253	71,253.58	63,823.57	66,248.41	5,005.17		(294.45	)	—	—	6	4.826	Monthly	319.12	2,872.00	2/4/2009	9/1/2037
3128KWTZ6	FHLMC GOLD POOL # A65968			2	1	50,651.58	105.253	54,422.32	48,747.40	50,599.02	3,823.30		(289.26	)	—	—	6	4.846	Monthly	243.74	2,194.00	2/4/2009	9/1/2037
3128KYXE4	FHLMC GOLD POOL # A67877			2	1	33,359.17	105.253	35,842.59	32,105.08	33,323.63	2,518.96		(131.34	)	—	—	6	4.886	Monthly	160.53	1,445.00	2/4/2009	4/1/2037
3128M4HY2	FHLMC GOLD POOL # G02647			2	1	2,359,723.00	103.318	2,592,624.26	2,392,242.56	2,360,617.94	232,006.32		8,440.72		—	—	5.5	6.108	Monthly	10,964.45	98,680.00	4/9/2007	2/1/2037
3128M4ZG1	FHLMC GOLD POOL # G03143			2	1	6,019.00	105.253	6,467.06	5,792.70	6,012.69	454.37		(28.91	)	—	—	6	4.838	Monthly	28.96	261.00	2/4/2009	7/1/2037
3128M5HK9	FHLMC GOLD POOL # G03534			2	1	12,184,282.49	106.822	13,371,678.94	11,856,379.46	12,173,932.28	1,197,746.66		(49,908.87	)	—	—	6.5	5.518	Monthly	64,222.07	577,998.00	11/6/2007	10/1/2037
3128M6UB2	FHLMC GOLD POOL # G04778			2	1	154,223.58	105.253	165,704.65	148,425.70	154,069.68	11,634.97		(832.65	)	—	—	6	4.838	Monthly	742.13	6,679.00	2/4/2009	7/1/2038
3128M7AZ9	FHLMC GOLD POOL # G05124			2	1	418,449.94	105.253	449,601.17	402,718.75	418,042.04	31,559.13		(2,428.76	)	—	—	6	4.834	Monthly	2,013.59	18,122.00	2/4/2009	12/1/2038
3128MBBR7	FHLMC GOLD POOL # G12548			2	1	1,718,181.19	104.5	1,851,222.51	1,714,430.88	1,717,336.66	133,885.85		(1,243.35	)	—	—	5.5	5.363	Monthly	7,857.81	70,720.00	3/30/2007	1/1/2022
3128MCLV5	FHLMC GOLD POOL # G13740			2	1	1,201,705.50	0	1,205,563.44	1,120,471.32	1,197,919.29	7,644.15		(26,023.99	)	—	—	5	2.323	Monthly	4,668.63	42,018.00	9/23/2010	9/1/2021
3128MTB72	FHLMC GOLD POOL # H00962			2	1	221,363.43	105.947	240,511.15	217,106.12	221,217.06	19,294.09		(2,437.58	)	—	—	6.5	5.539	Monthly	1,175.99	10,584.00	10/31/2007	7/1/2037
3128MTEE4	FHLMC GOLD POOL # H01033			2	1	7,308,523.06	105.947	7,940,703.00	7,167,963.75	7,303,596.65	637,106.35		(30,140.85	)	—	—	6.5	5.485	Monthly	38,826.47	349,438.00	10/31/2007	7/1/2037
3128MTF29	FHLMC GOLD POOL # H01085			2	1	3,570,105.84	105.947	3,878,916.45	3,501,444.71	3,567,775.24	311,141.21		(24,266.45	)	—	—	6.5	5.579	Monthly	18,966.16	170,695.00	10/31/2007	7/1/2037
3128NCB37	FHLMC POOL # 1G0058			2	1	275,540.61	104.77	289,362.09	276,187.93	275,531.12	13,830.97		248.10		—	—	2.607	2.603	Monthly	600.02	5,520.00	9/17/2008	1/1/2035
3128NCD68	FHLMC POOL # 1G0125			2	1	2,379,303.86	102.031	2,565,364.96	2,430,185.87	2,382,229.57	183,135.39		12,336.26		—	—	2.506	2.86	Monthly	5,075.04	46,895.00	12/13/2005	3/1/2035
3128NCMS0	FHLMC POOL # 1G0369			2	1	437,735.09	104.772	456,341.43	435,557.34	437,599.78	18,741.65		(757.27	)	—	—	2.745	2.592	Monthly	996.34	8,967.00	8/27/2008	10/1/2035
3128PV4J6	FHLMC GOLD POOL # J16225			2	1	3,396,968.32	0	3,431,327.53	3,215,589.00	3,394,786.16	36,541.37		(3,415.13	)	—	—	4	2.615	Monthly	10,718.63	10,719.00	8/2/2011	8/1/2026
3128PVWH9	FHLMC GOLD POOL # J16048			2	1	9,510,963.71	0	9,607,163.96	9,003,130.86	9,504,817.45	102,346.51		(9,558.10	)	—	—	4	2.608	Monthly	30,010.45	30,010.00	8/2/2011	7/1/2026
3128QJ3B0	FHLMC POOL # 1G1694			2	1	2,443,807.50	105.5	2,616,960.17	2,480,530.97	2,444,306.09	172,654.08		8,000.85		—	—	5.247	5.569	Monthly	10,846.12	97,725.00	8/10/2007	4/1/2037
3128QJLG9	FHLMC POOL # 1G1227			2	1	428,460.89	104.309	432,259.11	420,059.70	428,141.38	4,117.73		(3,288.57	)	—	—	5.945	5.319	Monthly	2,081.05	18,902.00	1/4/2008	10/1/2036
3128QJRN8	FHLMC POOL # 1G1393			2	1	1,216,704.19	105.41	1,260,047.75	1,206,711.12	1,215,953.77	44,093.98		(4,128.43	)	—	—	5.93	5.487	Monthly	5,963.16	53,709.00	3/30/2007	12/1/2036
3128QPU59	FHLMC POOL # 1B7453			2	1	167,607.08	106.25	175,127.24	164,825.64	167,502.22	7,625.02		(963.22	)	—	—	6.087	5.412	Monthly	836.08	7,492.00	12/13/2007	8/1/2037
3128X2TM7	FHLMC AGENCY BND				1	8,382,000.00	110.266	8,269,949.33	7,500,000.00	8,002,454.80	267,494.53		(175,407.10	)	—	—	5	2.039	Jan-Jul	63,541.67	375,000.00	11/30/2009	1/30/2014
312929CM2	FHLMC GOLD POOL # A82776			2	1	15,844.73	105.253	17,024.29	15,249.07	15,829.30	1,194.99		(94.67	)	—	—	6	4.815	Monthly	76.25	686.00	2/4/2009	1/1/2039
31292KJH1	FHLMC GOLD POOL # C02964			2	1	3,153.19	105.253	3,387.92	3,034.64	3,149.88	238.04		(17.78	)	—	—	6	4.848	Monthly	15.17	137.00	2/4/2009	7/1/2037
312930LH1	FHLMC GOLD POOL # A83928			2	1	53,054.55	105.253	57,004.16	51,060.02	53,002.77	4,001.39		(302.76	)	—	—	6	4.686	Monthly	255.30	2,298.00	2/4/2009	1/1/2039
312930LQ1	FHLMC GOLD POOL # A83935			2	1	65,750.14	105.253	70,644.86	63,278.33	65,686.84	4,958.02		(294.95	)	—	—	6	4.788	Monthly	316.39	2,848.00	2/4/2009	1/1/2039
312930RC6	FHLMC GOLD POOL # A84083			2	1	40,108.55	104.47	43,094.40	38,600.71	40,067.45	3,026.95		(209.73	)	—	—	6	5.092	Monthly	193.00	1,737.00	2/4/2009	1/1/2039
312930RV4	FHLMC GOLD POOL # A84100			2	1	20,657.66	105.253	22,195.52	19,881.07	20,637.56	1,557.96		(67.97	)	—	—	6	4.84	Monthly	99.41	895.00	2/4/2009	1/1/2039
312930TB6	FHLMC GOLD POOL # A84146			2	1	21,070.09	104.47	22,638.64	20,277.98	21,049.40	1,589.24		(69.86	)	—	—	6	4.97	Monthly	101.39	913.00	2/4/2009	1/1/2039
31295NXK9	FHLMC POOL # 789682			2	1	47,718.26	102.028	50,455.13	47,993.86	47,727.22	2,727.91		11.32		—	—	2.392	2.467	Monthly	95.67	922.00	8/10/2006	9/1/2032
31331GVD8	FEDERAL FARM CRDEIT BANK AGENCY BND				1	3,381,186.00	102.701	3,481,548.31	3,390,000.00	3,386,477.28	95,071.03		1,688.01		—	—	2.2	2.27	Apr-Oct	35,839.83	37,290.00	5/4/2009	4/8/2013
31331JG49	FEDERAL FARM CRDEIT BANK AGENCY BND				1	6,492,395.00	100.06	6,503,880.50	6,500,000.00	6,495,759.98	8,120.52		2,444.56		—	—	0.269	0.347	Monthly	777.11	13,179.00	9/17/2010	1/15/2013
31331KEF3	FEDERAL FARM CRDEIT BANK AGENCY BND				1	1,999,640.00	100	1,999,992.58	2,000,000.00	1,999,700.92	291.66		60.92		—	—	0.19994	0.177	Monthly	155.50	1,127.00	6/7/2011	4/17/2013
31331KHC7	FEDERAL FARM CRDEIT BANK AGENCY BND				1	1,998,404.00	99.982	1,999,630.28	2,000,000.00	1,998,704.34	925.94		300.34		—	—	0.18878	0.196	Monthly	20.98	1,267.00	4/28/2011	7/29/2013
31331KHV5	FEDERAL FARM CRDEIT BANK AGENCY BND				1	998,457.50	99.862	998,622.48	1,000,000.00	998,514.17	108.31		56.67		—	—	0.3005	0.289	Monthly	91.82	464.00	7/28/2011	4/20/2016
31331KKH2	FEDERAL FARM CRDEIT BANK AGENCY BND				1	2,499,022.50	100.018	2,500,450.30	2,500,000.00	2,499,197.78	1,252.52		175.28		—	—	0.20456	0.194	Monthly	99.44	1,581.00	5/5/2011	7/24/2013
313372RK2	FHLB AGENCY BND				1	9,032,850.00	100.94	9,084,600.18	9,000,000.00	9,025,128.89	59,471.29		(7,721.11	)	—	—	1	0.811	Mar-Sep	1,000.00	55,000.00	4/12/2011	3/27/2013
313372VR2	FHLB AGENCY BND				1	10,820,375.00	101.314	10,840,606.77	10,700,000.00	10,812,103.25	28,503.52		(8,271.75	)	—	—	1.2	0.729	Jun-Dec	32,456.66	—	7/29/2011	12/30/2013
313373JR4	FHLB AGENCY BND				1	4,079,320.87	102.082	4,093,488.24	4,010,000.00	4,074,500.44	18,987.80		(4,820.43	)	—	—	1.375	0.762	May-Nov	18,838.64	—	7/18/2011	5/28/2014
3133TJP56	FHLMC CMO AGENCY CMO_2130 QS			2	1FE	2,029,136.24	108.342	2,167,925.60	2,000,997.21	2,026,298.10	141,627.50		(9,176.73	)	—	—	6	5.551	Monthly	10,004.99	90,045.00	2/6/2007	6/15/2026
3133XSP93	FHLB AGENCY BND				1	3,612,678.30	105.582	3,658,416.33	3,465,000.00	3,546,789.43	111,626.90		(27,033.95	)	—	—	3.125	2.022	Jun-Dec	32,484.38	54,141.00	11/25/2009	12/13/2013
3133XUE41	FHLB AGENCY BND				1	12,098,988.00	101.33	12,159,540.84	12,000,000.00	12,034,828.45	124,712.39		(28,975.91	)	—	—	1.75	1.421	Feb-Aug	22,750.00	210,000.00	1/28/2010	8/22/2012
3133XWE70	FHLB AGENCY BND				1	5,742,755.00	104.945	6,034,337.90	5,750,000.00	5,745,535.18	288,802.72		1,368.29		—	—	2.5	2.53	Jun-Dec	43,125.00	71,875.00	12/21/2009	6/13/2014
3133XX7F8	FHLB AGENCY BND				1	9,981,800.00	101.802	10,180,200.20	10,000,000.00	9,991,191.79	189,008.41		4,384.47		—	—	1.625	1.686	Mar-Sep	4,965.28	162,500.00	2/18/2010	3/20/2013
3133XXYX9	FHLB AGENCY BND				1	13,788,682.41	0	13,761,967.77	13,425,000.00	13,727,533.64	34,434.13		(44,380.99	)	—	—	1.875	0.557	Jun-Dec	69,921.88	42,188.00	8/10/2011	6/21/2013
31342A6F1	FHLMC POOL # 780870			2	1	447,215.70	100.79	473,288.91	454,164.42	447,511.79	25,777.12		1,085.93		—	—	2.413	2.698	Monthly	913.25	8,733.00	4/2/2007	9/1/2033
31342AZE2	FHLMC POOL # 780741			2	1	666,158.68	0	679,576.68	645,678.56	665,536.41	14,040.27		(1,915.27	)	—	—	2.464	1.685	Monthly	1,325.79	12,786.00	11/16/2009	7/1/2033
31349SJK0	FHLMC POOL # 781166			2	1	997,429.45	102.249	1,063,497.99	1,013,945.68	998,282.72	65,215.27		2,474.27		—	—	2.48	2.775	Monthly	2,095.49	19,030.00	1/9/2006	1/1/2034
31349UCW6	FHLMC POOL # 782785			2	1	195,954.46	101.962	204,881.17	197,494.94	196,000.99	8,880.18		299.99		—	—	2.348	2.469	Monthly	386.43	3,505.00	4/2/2007	10/1/2034
31349UEJ3	FHLMC POOL # 782837			2	1	383,221.26	101.33	405,590.32	386,233.88	383,315.25	22,275.07		353.51		—	—	2.499	2.611	Monthly	804.33	7,242.00	4/2/2007	11/1/2034
31349UJL3	FHLMC GOLD POOL # 782967			2	1	118,665.00	104.64	126,042.01	120,452.99	118,731.59	7,310.42		318.78		—	—	2.5	2.755	Monthly	250.94	2,279.00	9/30/2008	1/1/2035
31349ULB2	FHLMC POOL # 783022			2	1	378,379.70	100.44	400,972.59	381,758.26	378,492.51	22,480.08		552.73		—	—	2.494	2.626	Monthly	793.42	7,246.00	4/2/2007	2/1/2035
3134G2MJ8	FHLMC AGENCY BND				1	14,685,125.07	99.982	14,697,406.20	14,700,000.00	14,687,277.81	10,128.39		2,152.74		—	—	0.17994	0.185	Monthly	881.71	5,413.00	6/9/2011	6/17/2013
3134G2U42	FHLMC AGENCY BND				1	4,042,252.35	99.732	4,039,146.08	4,050,000.00	4,042,283.61	(3,137.53	)	31.26		—	—	0.375	0.469	Apr-Oct	168.75	—	9/27/2011	10/15/2013
3134G2WG3	FHLMC AGENCY BND				1	2,106,127.80	100.128	2,102,687.96	2,100,000.00	2,105,929.75	(3,241.79	)	(198.05	)	—	—	0.75	0.654	Mar-Sep	393.75	2,056.00	8/24/2011	9/22/2014
313551AN3	FEDERAL MOGUL TL B TERM LOAN			2	4FE	—	91.896	—	—	—	—		—		—	—	#N/A	1.369	#N/A	—	20,069.00	8/23/2011	12/29/2014
313551AP8	FEDERAL MOGUL CORP TERM LOAN			2	4FE	—	91.896	—	—	—	—		—		—	—	#N/A	1.062	#N/A	—	10,839.00	8/23/2011	12/28/2015
31359MA45	FNMA AGENCY BND				1	10,962,357.43	114.581	11,458,100.10	10,000,000.00	10,676,296.81	781,803.29		(142,111.71	)	—	—	5	2.972	Apr-Oct	230,555.56	250,000.00	2/19/2010	4/15/2015
31359MRK1	FNMA AGENCY BND				1	3,126,550.66	106.071	3,182,129.97	3,000,000.00	3,064,317.10	117,812.87		(42,358.18	)	—	—	4.625	3.225	May-Nov	57,812.50	69,375.00	2/19/2010	5/1/2013
31359MZC0	FNMA AGENCY BND				1	5,904,904.90	113.258	6,002,674.16	5,300,000.00	5,772,062.61	230,611.55		(83,117.22	)	—	—	4.375	2.065	Apr-Oct	106,920.14	115,938.00	7/16/2010	10/15/2015
3135G0CL5	FNMA AGENCY BND				1	26,585,636.00	99.99	26,597,252.22	26,600,000.00	26,586,645.77	10,606.45		1,009.77		—	—	0.20006	0.231	F-M-A-N	6,651.99	—	8/12/2011	5/17/2013
3136FREN9	FNMA AGENCY BND			1	1	5,046,093.75	100.921	5,046,044.45	5,000,000.00	5,034,414.60	11,629.85		(11,679.15	)	—	—	2	0.703	Apr-Oct	46,666.67	—	7/25/2011	4/13/2012
3136FRX73	FNMA AGENCY BND			1		6,999,930.00	99.543	6,967,975.00	7,000,000.00	6,999,931.04	(31,956.04	)	1.04		—	—	1	1	Mar-Sep	4,277.78	—	8/31/2011	9/9/2015
31371NAC9	FNMA POOL # 256603			2	1	1,010,169.70	108.466	1,094,667.84	1,009,223.55	1,009,799.94	84,867.90		(320.62	)	—	—	5.5	5.347	Monthly	4,625.61	41,630.00	7/17/2008	2/1/2022
31371NE35	FNMA POOL # 256754			2	1	398,969.11	0	408,252.06	376,385.95	397,585.27	10,666.79		(7,559.86	)	—	—	5.5	2.644	Monthly	1,725.10	15,526.00	9/29/2009	6/1/2022
31379T6G4	FNMA POOL # 429371			2	1	13,946.59	103.159	15,125.51	14,060.82	13,982.72	1,142.79		58.92		—	—	5	5.258	Monthly	58.59	527.00	12/14/2007	2/1/2014
3137A7SR2	FHLMC CMO_3824 FA			2	1	5,124,622.26	99.81	5,114,895.73	5,124,622.26	5,124,622.26	(9,726.53	)	—		—	—	0.379	0.379	Monthly	863.21	9,227.00	2/28/2011	3/15/2026
3137EABX6	FHLMC AGENCY BND				1	5,007,563.09	104.527	5,226,349.65	5,000,000.00	5,004,539.88	221,809.77		(2,912.82	)	—	—	2.5	2.459	Jan-Jul	29,166.67	125,000.00	2/19/2010	1/7/2014
3137EACC1	FHLMC AGENCY BND				1	9,100,620.00	101.066	9,095,970.42	9,000,000.00	9,030,144.13	65,826.29		(31,737.16	)	—	—	1.75	1.271	Jun-Dec	46,375.01	78,750.00	1/28/2010	6/15/2012
3137EACS6	FHLMC AGENCY BND				1	8,042,960.00	100.571	8,045,679.92	8,000,000.00	8,036,021.97	9,657.95		(6,938.03	)	—	—	0.75	0.447	Mar-Sep	500.00	30,000.00	6/14/2011	3/28/2013
3137EACV9	FHLMC AGENCY BND				1	5,068,250.00	101.007	5,050,350.55	5,000,000.00	5,065,201.55	(14,851.00	)	(3,048.45	)	—	—	1	0.547	Feb-Aug	4,722.22	7,222.00	8/9/2011	8/27/2014
31385W2S7	FNMA POOL # 555285			2	1	4,676,075.15	105.288	4,695,349.95	4,243,743.77	4,667,095.51	28,254.44		(96,081.21	)	—	—	6	2.639	Monthly	21,218.71	169,750.00	1/5/2011	3/1/2033
31385XEW3	FNMA POOL # 555549			2	1	295,636.08	104.727	321,611.01	298,057.80	295,932.64	25,678.37		725.62		—	—	5	5.235	Monthly	1,241.91	11,177.00	12/14/2007	6/1/2018
31385XK48	FNMA POOL # 555715			2	1	117,742.53	102.13	124,631.74	118,793.84	117,787.35	6,844.39		100.70		—	—	2.446	2.625	Monthly	242.14	2,273.00	4/2/2007	7/1/2033
3138A9YZ1	FNMA POOL # AH7927			2	1	5,638,555.10	0	5,693,382.24	5,447,057.00	5,635,510.58	57,871.66		(4,059.27	)	—	—	3.5	2.239	Monthly	15,887.25	15,887.00	8/3/2011	8/1/2026
3138ATD31	FNMA POOL# AJ1921			2	1	800,332.03	0	798,987.86	750,000.00	800,018.16	(1,030.30	)	(313.87	)	—	—	4.5	2.46	Monthly	2,812.50	—	9/20/2011	9/1/2041
31393RDQ0	FHLMC CMO_2613 BV			2	1	4,457,354.97	105.19	4,473,742.34	4,253,011.07	4,420,958.87	52,783.47		(85,065.84	)	—	—	5	0.933	Monthly	17,720.88	106,325.00	2/24/2011	6/15/2014
31394BPP3	FNMA AGENCY CMO_04-88 HA			2	1	43,409.67	108	45,338.12	41,979.74	42,804.03	2,534.09		(611.43	)	—	—	6.5	5.194	Monthly	227.39	2,047.00	1/14/2008	12/25/2015
31394CGZ9	FANNIE MAE FNR_05-13 CMO_05-13 PC			2	1	496,716.23	103.5	492,110.13	475,468.72	486,907.18	5,202.95		(13,139.67	)	—	—	5	0.287	Monthly	1,981.12	13,868.00	2/4/2011	12/25/2012
31394CVB5	FNMA_05-15 CMO_05-15 EA			2	1	750,179.93	100.625	761,473.03	756,743.38	753,627.52	7,845.51		5,812.95		—	—	5	5.313	Monthly	3,153.10	28,378.00	5/24/2007	10/25/2028
31394DA42	FNMA CMO_05-48 AR			2	1	223,629.95	110.599	245,567.17	222,034.09	223,134.91	22,432.26		(371.05	)	—	—	5.5	5.252	Monthly	1,017.66	9,159.00	12/20/2007	11/25/2019
31394FQ81	FNW_05-W3 AGENCY CMO 05-87			2		5,960,894.53	104.5	5,825,875.00	5,575,000.00	5,951,795.92	(125,920.92	)	(9,098.61	)	—	—	5	4.188	Monthly	23,229.17	116,146.00	4/8/2011	7/25/2030
31394MXF2	FHLMC CMO_2720 JC			2	1	793,548.64	107.32	784,241.22	730,749.82	786,547.73	(2,306.51	)	(8,655.22	)	—	—	5	1.778	Monthly	3,044.79	9,134.00	6/6/2011	11/15/2018
31395VGR4	FHR AGENCY CMO_2989 WD			2	1	502,968.75	102.49	512,451.04	500,000.00	499,451.48	12,999.56		(548.26	)	—	—	5.5	5.295	Monthly	2,291.67	20,625.00	10/8/2008	5/15/2012
31396CLF5	FHLMC AGENCY CMO_3054 DW			2	1	139,077.13	106.725	148,988.77	139,600.63	139,146.10	9,842.67		92.32		—	—	5.5	5.656	Monthly	639.84	5,758.00	6/17/2008	5/15/2034

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE							INTEREST					DATES
							8	9														20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13				15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS		FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
31396L5J5	FNMA CMO_06-129 FA			2	1	2,159,583.16	99.253	2,144,795.90	2,160,933.75	2,159,693.23	(14,897.33	)	784.06		—		—	0.43456	0.469	Monthly	156.51	4,407.00	3/23/2011	1/25/2037
31396UWM8	FHLMC AGENCY CMO 3184 FA			2	1	2,305,024.87	99.844	2,303,948.97	2,307,548.75	2,305,638.10	(1,689.13	)	579.54		—		—	0.379	0.443	Monthly	388.69	6,519.00	4/23/2010	2/15/2033
31397B7F2	FHLMC_3221 CMO_3211 QD			2	1	1,310,489.70	103.699	1,356,810.34	1,307,769.01	1,307,188.09	49,622.25		153.62		—		—	5.5	5.362	Monthly	5,993.94	53,945.00	4/19/2007	9/15/2013
31397G7M6	FHRR CMO_R011 AB			2	1	2,709,860.13	104.229	2,800,824.63	2,687,186.99	2,695,500.03	105,324.60		(4,352.91	)	—		—	5.5	4.834	Monthly	12,316.27	110,846.00	9/4/2008	7/15/2013
31397JAB0	FHLMC_3346A AGNECY CMO_3335-AF			2	1	992,232.29	99.107	983,298.51	992,154.78	992,230.43	(8,931.92	)	(6.02	)	—		—	0.379	0.376	Monthly	167.13	574.00	7/22/2011	9/15/2018
31397JAJ3	FHLMC_3346A AGENCY CMO 3335			2		391,269.41	99.906	390,872.06	391,238.85	391,268.66	(396.60	)	(2.76	)	—		—	0.379	0.376	Monthly	65.90	226.00	7/22/2011	7/15/2018
31397MTX5	FNR CMO_08-81 KA			2	1	3,947,113.94	106.433	4,192,816.21	3,939,391.83	3,944,045.43	248,770.78		(5,046.75	)	—		—	5	4.715	Monthly	16,414.12	146,235.00	1/7/2011	10/25/2022
31397Y5H0	FHLMC CMO_3484 DA			2	1	3,351,587.19	105	3,382,797.51	3,221,711.92	3,306,330.01	76,467.50		(58,926.62	)	—		—	5	2.432	Monthly	13,423.80	120,814.00	6/1/2009	9/15/2014
31398A2W1	FNMA AGENCY BND				1	1,953,022.50	101.842	1,985,918.90	1,950,000.00	1,950,000.00	35,918.90		(1,088.10	)	—		—	1.35	0.968	Feb-Aug	2,705.63	26,325.00	9/24/2010	2/24/2014
31398A4M1	FNMA AGENCY BND				1	8,783,730.00	102.423	9,218,070.36	9,000,000.00	8,805,903.63	412,166.73		24,970.07		—		—	1.625	2.182	Apr-Oct	62,968.75	73,125.00	4/4/2011	10/26/2015
31398AD33	FNMA AGENCY BND				1	—	0	—	—	—	—		(7,619.70	)	—		—	#N/A	0	#N/A	—	139,942.00	00/00/0000	1/25/2013
31398AE24	FNMA AGENCY BND				1	2,995,680.00	101.878	3,056,339.94	3,000,000.00	2,998,025.01	58,314.93		1,044.61		—		—	1.75	1.798	Feb-Aug	5,687.50	52,500.00	1/14/2010	2/22/2013
31398AHZ8	FNMA AGENCY BND				1	8,242,536.00	104.961	8,396,879.92	8,000,000.00	8,059,725.31	337,154.61		(140,371.45	)	—		—	4.75	4.069	May-Nov	139,333.34	190,000.00	11/30/2007	11/19/2012
31398AJ94	FNMA AGENCY BND				1	4,991,950.00	102.189	5,109,450.15	5,000,000.00	4,995,825.90	113,624.25		1,908.91		—		—	1.75	1.803	May-Nov	35,000.00	43,750.00	3/11/2010	5/7/2013
31398AT44	FNMA AGENCY BND				1	37,769,600.00	101.924	37,711,881.48	37,000,000.00	37,666,127.44	45,754.04		(114,348.92	)	—		—	1.5	0.457	Jun-Dec	146,458.33	277,500.00	6/23/2011	6/26/2013
31398AU34	FNMA AGENCY BND				1	6,730,020.00	105.534	7,123,544.80	6,750,000.00	6,734,789.14	388,755.66		2,823.74		—		—	2.375	2.437	Jan-Jul	28,054.69	160,313.00	6/10/2010	7/28/2015
31398EXU3	FHLMC AGENCY CMO 3566-DE			2	1	3,808,936.26	101.625	3,720,835.30	3,661,338.55	3,784,388.87	(63,553.57	)	(49,465.44	)	—		—	4	1.053	Monthly	12,204.46	61,022.00	4/6/2011	7/15/2014
31398T6X4	FNMA CMO 10-113 FA			2	1	5,037,853.14	99.869	5,043,088.41	5,049,688.35	5,038,055.76	5,032.65		759.07		—		—	0.63456	0.72	Monthly	534.06	5,073.00	8/10/2011	10/25/2040
31398TX22	FNMA_10-87 AGENCY CMO_10-103 MA			2	1	6,716,504.10	104.458	6,671,905.71	6,387,165.86	6,657,638.18	14,267.53		(84,938.57	)	—		—	4	1.61	Monthly	21,290.55	—	9/7/2011	1/25/2016
31400EGH7	FNMA POOL # 685200			2	1	267,680.73	104.727	291,199.48	269,873.46	267,956.27	23,243.21		614.62		—		—	5	5.241	Monthly	1,124.47	10,120.00	12/14/2007	3/1/2018
31400GJN6	FNMA POOL # 687069			2	1	280,791.18	101.55	305,498.77	281,362.70	280,442.93	25,055.84		928.01		—		—	5.5	5.501	Monthly	1,289.58	11,606.00	4/21/2006	1/1/2013
31400PG58	FNMA POOL # 693320			2	1	76,473.43	101.606	80,429.44	77,145.44	76,508.09	3,921.35		71.23		—		—	2.403	2.582	Monthly	154.48	1,391.00	8/10/2006	1/1/2033
31400QJ87	FNMA POOL # 694287			2	1	12,858.49	102.192	13,644.64	12,973.29	12,863.73	780.91		14.30		—		—	2.352	2.527	Monthly	25.43	233.00	4/2/2007	3/1/2033
31400SA33	FNMA POOL # 695826			2	1	161,167.88	104.727	175,328.26	162,488.08	161,327.62	14,000.64		663.63		—		—	5	5.245	Monthly	677.04	6,093.00	12/14/2007	4/1/2018
31401A3C9	FNMA POOL # 702895			2	1	290,566.63	104.727	316,096.17	292,946.84	290,887.98	25,208.19		882.64		—		—	5	5.223	Monthly	1,220.61	10,986.00	12/14/2007	4/1/2018
31401DVW8	FNMA POOL # 705429			2	1	191,225.21	102.235	202,175.00	193,454.46	191,342.74	10,832.26		567.11		—		—	2.46	2.707	Monthly	396.58	3,632.00	8/10/2006	4/1/2033
31402DQB9	FNMA POOL # 725950			2	1	434,592.17	108.094	474,062.10	438,566.68	434,949.89	39,112.21		1,162.08		—		—	5	5.273	Monthly	1,827.36	16,446.00	7/17/2008	11/1/2019
31402HD32	FNMA POOL # 729222			2	1	2,075,167.29	102.319	2,189,660.85	2,098,107.07	2,076,368.88	113,291.97		3,293.59		—		—	2.352	2.552	Monthly	4,112.29	41,609.00	9/17/2008	7/1/2035
31402RB81	FNMA POOL # 735463			2	1	125,498.93	102.966	132,905.13	126,536.97	125,555.62	7,349.51		88.64		—		—	2.414	2.555	Monthly	254.55	2,339.00	9/28/2006	3/1/2035
31402RF87	FNMA POOL # 735591			2	1	11,710,602.24	107.705	12,153,371.48	11,283,981.76	11,699,674.04	453,697.44		(91,892.79	)	—		—	5	3.524	Monthly	47,016.60	423,149.00	4/30/2010	6/1/2035
31402YSV7	FNMA POOL # 742232			2	1	12,991.62	104.272	13,966.53	13,193.47	13,000.22	966.31		7.70		—		—	2.625	2.97	Monthly	28.86	276.00	4/2/2007	9/1/2033
31403C2L4	FNMA POOL # 745179			2	1	1,018,936.30	104.727	1,108,461.22	1,027,282.97	1,019,818.01	88,643.21		2,605.95		—		—	5	5.232	Monthly	4,280.35	38,523.00	12/14/2007	4/1/2019
31403DCE7	FNMA POOL # 745369			2	1	689,042.49	104.52	750,911.31	694,686.79	689,635.48	61,275.83		1,358.94		—		—	5	5.211	Monthly	2,894.53	26,051.00	12/14/2007	12/1/2019
31403DCZ0	FNMA POOL # 745388			2	1	1,821,352.99	104.727	1,981,379.15	1,836,272.68	1,823,018.43	158,360.72		4,525.22		—		—	5	5.237	Monthly	7,651.13	68,860.00	12/14/2007	11/1/2018
31403H3P3	FNMA POOL # 749706			2	1	873,313.23	102.509	931,215.19	884,297.88	873,856.22	57,358.97		383.36		—		—	2.617	2.88	Monthly	1,928.51	18,660.00	5/15/2006	11/1/2033
31403KDB6	FNMA POOL # 750798			2	1	5,439.02	102.387	5,659.81	5,523.53	5,442.73	217.08		2.78		—		—	2.324	2.662	Monthly	10.70	96.00	4/2/2007	12/1/2033
31403VBR9	FNMA POOL # 758848			2	1	324,935.54	104.727	353,484.75	327,597.27	325,201.18	28,283.57		788.07		—		—	5	5.253	Monthly	1,364.99	12,285.00	12/14/2007	1/1/2019
31404CLB4	FNMA POOL # 764522			2	1	37,071.40	105.12	39,758.41	37,821.93	37,103.60	2,654.81		322.32		—		—	2.522	2.945	Monthly	79.49	742.00	9/30/2008	6/1/2034
31404LRF9	FNMA POOL # 771886			2	1	104,776.76	102.15	111,856.40	106,528.69	104,860.26	6,996.14		129.73		—		—	2.468	2.863	Monthly	219.09	1,989.00	8/10/2006	2/1/2034
31404NBP0	FNMA POOL # 773246			2	1	141,996.98	101.878	152,007.36	143,185.42	142,046.46	9,960.90		164.26		—		—	2.378	2.529	Monthly	283.75	2,590.00	4/2/2007	2/1/2035
31404VGA0	FNMA POOL # 779693			2	1	696,559.29	101.97	738,160.33	703,151.33	696,926.87	41,233.46		1,463.25		—		—	2.395	2.562	Monthly	1,403.37	13,527.00	2/24/2006	7/1/2034
31405AQ71	FNMA POOL # 783578			2	1	639,063.01	102.231	675,349.66	654,374.34	640,003.00	35,346.66		3,357.88		—		—	2.46	2.899	Monthly	1,341.47	12,133.00	2/28/2006	12/1/2034
31405PAG5	FNMA POOL # 794807			2	1	182,908.27	101.253	187,523.82	182,410.31	182,873.37	4,650.45		(124.63	)	—		—	2.22	2.138	Monthly	337.46	3,520.00	6/30/2007	10/1/2034
31405UMM8	FNMA POOL # 799664			2	1	66,229.44	101.933	70,746.06	66,750.10	66,251.16	4,494.90		54.33		—		—	2.507	2.647	Monthly	139.45	1,316.00	4/2/2007	10/1/2034
31405UR84	FNMA POOL # 799811			2	1	214,560.09	101.424	222,900.74	213,999.43	214,516.21	8,384.53		(4.51	)	—		—	2.222	2.149	Monthly	396.26	3,566.00	6/30/2007	11/1/2034
31405UTZ2	FNMA POOL # 799868			2	1	17,094.41	101.862	18,089.52	17,228.79	17,099.71	989.81		27.14		—		—	2.531	2.676	Monthly	36.34	332.00	4/2/2007	11/1/2034
31406BB90	FNMA POOL # 804764			2	1	221,862.24	101.971	237,262.38	223,606.36	221,932.82	15,329.56		186.10		—		—	2.366	2.509	Monthly	440.88	3,970.00	4/2/2007	1/1/2035
31406BEZ9	FNMA POOL # 804852			2	1	196,054.72	101.739	209,367.13	197,595.98	196,117.56	13,249.57		183.94		—		—	2.349	2.493	Monthly	386.79	3,494.00	4/2/2007	12/1/2034
31406BJF8	FNMA POOL # 804962			2	1	213,491.06	102.229	226,439.16	215,169.36	213,559.64	12,879.52		284.37		—		—	2.354	2.497	Monthly	422.09	3,822.00	4/2/2007	1/1/2035
31406BQQ6	FNMA POOL # 805163			2	1	276,370.72	103.027	295,283.11	278,683.81	276,467.82	18,815.29		257.86		—		—	2.334	2.486	Monthly	542.04	4,934.00	4/2/2007	1/1/2035
31406DG67	FNMA POOL # 806721			2	1	464,457.73	102.997	495,637.54	468,108.97	464,595.37	31,042.17		439.83		—		—	2.609	2.758	Monthly	1,017.75	9,443.00	4/2/2007	11/1/2034
31406GLK3	FNMA POOL # 809530			2	1	78,392.38	102.041	83,471.04	78,947.54	78,420.67	5,050.37		54.11		—		—	2.343	2.467	Monthly	154.15	1,409.00	9/28/2006	2/1/2035
31406MYP5	FNMA POOL # 814418			2	1	202,818.15	102.148	212,147.13	204,629.12	202,885.03	9,262.10		349.77		—		—	2.145	2.33	Monthly	365.77	3,365.00	4/2/2007	3/1/2035
31406PKU2	FNMA POOL # 815807			2	1	327,255.62	102.224	348,862.02	330,378.62	327,431.49	21,430.53		93.79		—		—	2.256	2.426	Monthly	621.11	5,703.00	9/28/2006	2/1/2035
31406TLC3	FNMA POOL # 819423			2	1	429,862.84	104.136	459,561.39	433,701.11	430,022.49	29,538.90		469.64		—		—	2.685	2.843	Monthly	970.41	8,865.00	4/2/2007	4/1/2035
31406TTE1	FNMA POOL # 819649			2	1	3,087,502.71	0	3,145,723.10	2,984,896.86	3,084,838.63	60,884.47		(8,906.20	)	—		—	2.265	1.47	Monthly	5,633.99	51,813.00	12/4/2009	3/1/2035
31406VHE9	FNMA POOL # 821129			2	1	233,071.14	102.212	249,058.77	235,152.22	233,162.06	15,896.71		265.26		—		—	2.432	2.587	Monthly	476.58	4,379.00	4/2/2007	5/1/2035
31407D5R2	FNMA POOL # 828056			2	1	1,114,897.66	105.25	1,153,770.26	1,096,218.77	1,114,044.39	39,725.87		(1,850.67	)	—		—	2.5	2.14	Monthly	2,283.79	21,838.00	2/20/2009	6/1/2035
31407E6W8	FNMA POOL # 828985			2	1	565,787.16	101.73	609,984.22	585,265.53	566,868.11	43,116.11		3,628.48		—		—	2.288	2.962	Monthly	1,115.91	10,796.00	3/16/2006	8/1/2035
31407GC22	FNMA POOL # 829989			2	1	1,628,813.11	102.4	1,738,406.02	1,644,292.58	1,629,497.92	108,908.10		1,099.59		—		—	2.524	2.714	Monthly	3,458.50	31,876.00	1/20/2006	4/1/2035
31408C6D3	FNMA POOL # 847868			2	1	1,578,890.58	101.963	1,684,145.74	1,595,846.45	1,579,675.11	104,470.63		1,796.77		—		—	2.273	2.478	Monthly	3,022.80	29,632.00	5/12/2006	11/1/2035
31409UBQ7	FNMA POOL # 878547			2	1	1,165,246.07	102.763	1,236,856.18	1,174,652.46	1,165,571.97	71,284.21		423.05		—		—	2.487	2.659	Monthly	2,434.47	22,320.00	5/4/2006	3/1/2036
31410FU60	FNMA POOL # 888105			2	1	818,420.57	107.902	890,327.95	825,124.71	819,008.64	71,319.31		2,141.81		—		—	5	5.221	Monthly	3,438.03	30,942.00	12/14/2007	8/1/2020
31410GC35	FNMA POOL # 888490			2	1	292,192.28	101.718	308,242.78	292,854.20	292,202.48	16,040.30		59.44		—		—	2.184	2.213	Monthly	532.99	4,902.00	6/18/2007	5/1/2035
31410GC50	FNMA POOL # 888492			2	1	164,025.74	102.692	171,125.59	163,714.09	163,995.83	7,129.76		(41.56	)	—		—	2.465	2.394	Monthly	336.30	3,075.00	6/18/2007	5/1/2033
31410GD83	FNMA POOL # 888527			2	1	38,458.21	102.929	41,512.79	39,182.62	38,491.60	3,021.19		89.59		—		—	2.51	2.895	Monthly	81.96	766.00	6/18/2007	4/1/2034
31410GDC4	FNMA POOL # 888499			2	1	1,252,116.48	101.573	1,320,722.10	1,259,151.54	1,252,372.94	68,349.16		1,017.91		—		—	2.44	2.543	Monthly	2,560.27	24,254.00	6/18/2007	8/1/2033
31410GDF7	FNMA POOL # 888502			2	1	149,301.13	102.689	158,348.82	151,241.78	149,402.54	8,946.28		231.63		—		—	1.83	2.082	Monthly	230.64	2,186.00	6/18/2007	6/1/2033
31410GDL4	FNMA POOL # 888507			2	1	661,730.90	101.908	721,367.79	673,314.51	662,245.34	59,122.45		2,147.29		—		—	2.444	2.789	Monthly	1,371.32	12,391.00	6/18/2007	2/1/2035
31410GDM2	FNMA POOL # 888508			2	1	704,697.70	101.875	755,688.91	714,550.12	705,137.02	50,551.89		987.89		—		—	2.429	2.713	Monthly	1,446.37	13,279.00	6/18/2007	3/1/2034
31410GDQ3	FNMA POOL # 888511			2	1	98,636.76	101.764	104,439.05	99,532.69	98,674.22	5,764.83		87.59		—		—	2.43	2.609	Monthly	201.55	1,815.00	6/18/2007	12/1/2033
31410GDS9	FNMA POOL # 888513			2	1	164,645.41	102.089	173,832.59	165,507.56	164,673.57	9,159.02		125.33		—		—	2.538	2.633	Monthly	350.05	3,166.00	6/18/2007	2/1/2034
31410GDX8	FNMA POOL # 888518			2	1	143,130.75	102.692	150,974.07	143,590.64	143,140.97	7,833.10		67.44		—		—	2.437	2.485	Monthly	291.61	2,681.00	6/18/2007	4/1/2035
31410GDY6	FNMA POOL # 888519			2	1	75,074.39	101.983	80,211.48	76,363.56	75,132.89	5,078.59		241.26		—		—	2.356	2.691	Monthly	149.93	1,352.00	6/18/2007	1/1/2035
31410GDZ3	FNMA POOL # 888520			2	1	926,834.73	102.108	974,403.96	932,742.10	927,079.59	47,324.37		1,224.58		—		—	2.324	2.44	Monthly	1,806.41	17,695.00	6/18/2007	7/1/2033
31410GFD0	FNMA POOL # 888564			2	1	13,183,729.67	104.202	13,818,009.55	12,791,975.43	13,148,285.15	669,724.40		(121,892.08	)	—		—	5	3.596	Monthly	53,299.90	479,699.00	2/26/2009	10/1/2021
31410GPR8	FNMA POOL # 888832			2	1	6,345,752.32	106.7	6,811,616.00	6,102,601.76	6,337,982.53	473,633.47		(51,447.41	)	—		—	6.5	4.831	Monthly	33,055.76	297,502.00	1/25/2008	11/1/2037
31411DA33	FNMA POOL # 904626			2	1	1,457,243.50	103.88	1,506,604.63	1,450,331.76	1,456,825.70	49,778.93		(1,947.68	)	—	��	—	5.515	5.351	Monthly	6,665.48	59,972.00	12/13/2006	12/1/2036
31411GUY6	FNMA POOL # 907899			2	1	2,177,398.77	105.479	2,277,826.65	2,159,515.29	2,176,509.27	101,317.38		(4,097.26	)	—		—	5.693	5.44	Monthly	10,245.10	93,507.00	12/14/2006	1/1/2037
31411KCZ4	FNMA POOL # 910088			2	1	5,652,833.38	104.822	6,212,085.61	5,600,330.28	5,651,686.71	560,398.90		(8,317.64	)	—		—	6	5.535	Monthly	28,001.65	252,015.00	3/29/2007	3/1/2037
31411LEA5	FNMA POOL # 911029			2	1	462,785.18	0	473,552.96	436,589.79	461,034.84	12,518.12		(3,767.36	)	—		—	5.5	2.966	Monthly	2,001.04	18,009.00	9/29/2009	7/1/2022
31412LMG2	FNMA POOL # 928359			2	1	499,322.02	0	510,939.91	471,058.50	497,663.36	13,276.55		(10,377.78	)	—		—	5.5	2.419	Monthly	2,159.02	19,431.00	9/29/2009	5/1/2022
31412LQN3	FNMA POOL # 928461			2		607,009.44	108.466	621,132.95	572,650.42	604,827.73	16,305.22		(16,320.39	)	—		—	5.5	2.766	Monthly	2,624.65	23,622.00	9/29/2009	6/1/2022
31412LVF4	FNMA POOL # 928614			2	1	3,934,311.05	0	4,015,788.88	3,702,336.52	3,922,495.58	93,293.30		(89,894.34	)	—		—	5.5	2.474	Monthly	16,969.04	152,721.00	10/21/2009	8/1/2022
31412SRH0	FNMA POOL # 933488			2	1	1,624,440.21	0	1,662,656.13	1,547,546.50	1,620,061.04	42,595.09		(25,001.62	)	—		—	5	2.709	Monthly	6,448.11	58,033.00	9/29/2009	3/1/2023
31414ARA2	FNMA POOL # 960481			2	1	2,152,710.02	0	2,207,896.41	2,050,810.37	2,146,938.08	60,958.33		(29,849.52	)	—		—	5	2.581	Monthly	8,545.04	76,905.00	9/29/2009	12/1/2022
31414CRJ9	FNMA POOL # 962289			2		2,876,602.62	107.438	2,944,276.39	2,740,437.14	2,868,990.03	75,286.36		(36,930.53	)	—		—	5	2.652	Monthly	11,418.49	102,766.00	9/29/2009	3/1/2023
31414GD22	FNMA POOL # 965521			2	1	320,886.72	0	328,352.91	302,723.33	319,787.52	8,565.39		(8,633.30	)	—		—	5.5	2.858	Monthly	1,387.48	12,487.00	9/29/2009	12/1/2022
31414NB45	FNMA POOL # 970859			2	1	3,059,654.85	0	3,126,980.41	2,910,492.13	3,053,216.82	73,763.59		(48,625.31	)	—		—	5	2.613	Monthly	12,127.05	109,143.00	10/21/2009	12/1/2023
31414RB79	FNMA POOL # 973562			2	1	2,789,161.43	0	2,853,851.83	2,631,284.35	2,780,022.92	73,828.91		(86,695.06	)	—		—	5.5	2.834	Monthly	12,060.05	108,540.00	9/29/2009	3/1/2023
31415MDG7	FNMA POOL # 984003			2	1	5,008,570.52	103.51	5,667,834.79	5,159,319.37	5,011,856.56	655,978.23		40,111.35		—		—	5.5	6.48	Monthly	23,646.88	212,822.00	7/25/2008	6/1/2038
31415MFS9	FNMA POOL # 984077			2	1	2,140,149.08	0	2,190,497.37	2,038,844.03	2,134,289.75	56,207.62		(48,664.10	)	—		—	5	2.854	Monthly	8,495.18	76,457.00	9/29/2009	6/1/2023
31416B4M7	FNMA POOL # 995528			2	1	4,407,039.65	103.842	4,576,485.64	4,241,999.36	4,395,011.67	181,473.97		(51,941.75	)	—		—	5	3.122	Monthly	17,675.00	159,075.00	3/20/2009	12/1/2021
31416B4N5	FNMA POOL # 995529			2	1	7,257,829.44	108.466	7,582,051.46	6,990,234.51	7,239,434.49	342,616.97		(91,306.92	)	—		—	5.5	3.539	Monthly	32,038.58	288,347.00	2/27/2009	11/1/2022
31416B4P0	FNMA POOL # 995530			2	1	3,648,245.77	104.595	3,794,694.74	3,498,467.63	3,637,057.43	157,637.31		(51,990.53	)	—		—	5.5	3.486	Monthly	16,034.64	144,312.00	3/20/2009	12/1/2021
31416B7J1	FNMA POOL # 995597			2	1	416,306.94	0	425,993.31	392,742.41	415,167.78	10,825.53		(8,204.11	)	—		—	5.5	2.65	Monthly	1,800.07	16,201.00	9/29/2009	3/1/2024
31416BLV8	FNMA POOL # 995040			2	1	2,014,591.89	0	2,058,921.57	1,916,377.54	2,009,961.80	48,959.77		(49,878.35	)	—		—	5	2.635	Monthly	7,984.91	71,864.00	10/21/2009	6/1/2023
31416BSE9	FNMA POOL # 995217			2	1	3,344,786.74	0	3,419,674.80	3,152,752.12	3,335,794.43	83,880.37		(66,004.39	)	—		—	5.5	2.596	Monthly	14,450.11	130,051.00	10/21/2009	12/1/2023

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
31416CME3	FNMA POOL # 995957			2	1	7,888,488.78	0	8,054,587.11	7,496,948.91	7,874,202.04	180,385.07		(134,533.20	)	—	—	5	2.563	Monthly	31,237.29	281,136.00	9/28/2009	6/1/2024
31416TL49	FNMA POOL # AA9346			2	1	13,292,770.13	106.954	14,065,814.17	13,151,276.88	13,288,846.15	776,968.02		(9,390.26	)	—	—	4.5	4.245	Monthly	49,317.28	443,856.00	2/2/2010	8/1/2039
31419ESP5	FNMA POOL # AE4125			2	1	7,428,163.91	104.873	7,515,337.94	7,166,151.51	7,423,338.41	91,999.53		(21,712.85	)	—	—	4	3.086	Monthly	23,887.17	214,985.00	11/5/2010	10/1/2040
31737UAE8	FINANCE FOR DANISH IND SENIOR CORP BND		F		1FE	14,740,425.00	100.004	14,700,586.53	14,700,000.00	14,726,575.89	(25,989.36	)	(13,849.11	)	—	—	0.56056	0.382	M-J-S-D	5,722.39	57,906.00	2/14/2011	12/6/2012
32007UAF6	FIRST DATA CORPORATION TERM LOAN			2	4	—	74.75	—	—	—	—		—		—	—	#N/A	2.019	#N/A	—	56,802.00	6/2/2011	9/24/2014
32007UAL3	FIRST DATA CORPORATION TERM LOAN				4FE	—	80.792	—	—	—	—		—		—	—	#N/A	2.871	#N/A	—	6,325.00	8/23/2011	9/24/2016
32051GBD6	FHASI_04-AR6 WHOLE CMO 04-AR6			2	NR*Z*	155,236.87	89.56	142,077.18	158,638.93	155,680.51	(13,603.33	)	327.46		—	—	2.69697	3.272	Monthly	356.54	3,283.00	8/10/2007	12/25/2034
32113CAV2	FIRST NATIONAL MASTER NOTE TRU ABS			2	1FE	2,220,796.88	100.593	2,213,046.04	2,200,000.00	2,214,606.68	(1,560.64	)	(6,190.20	)	—	—	1.579	0.75	Monthly	1,543.91	11,517.00	5/27/2011	7/16/2012
341081EN3	FLORIDA POWER & LIGHT CO CORP BND				1FE	2,779,404.80	105.079	2,858,156.74	2,720,000.00	2,737,954.17	120,202.57		(9,664.82	)	—	—	4.85	4.335	Feb-Aug	21,986.67	131,920.00	4/25/2008	2/1/2013
34528QAH7	FORD CREDIT FLOORPLAN MASTER O ABS_09-2			2	1FE	6,803,019.54	101.011	6,767,737.00	6,700,000.00	6,782,836.54	(15,099.54	)	(20,183.00	)	—	—	1.779	0.983	Monthly	5,297.47	45,250.00	5/27/2011	9/15/2014
34528QAJ3	FORDF ABS 10-1 A 144A			2	1FE	4,591,757.81	101.39	4,562,550.00	4,500,000.00	4,570,104.74	(7,554.74	)	(21,653.07	)	—	—	1.879	0.926	Monthly	3,758.00	42,755.00	3/10/2011	12/15/2014
34528RAE2	FORDO ABS 09-A A3B			2	1FE	920,498.82	100.416	906,449.08	902,691.81	906,882.63	(433.55	)	(35,230.05	)	—	—	2.729	0.534	Monthly	1,094.86	18,732.00	6/9/2010	2/15/2012
34529LAD6	FORDO_10-A ABS 10-A-A3			2	1FE	1,840,317.11	100.35	1,847,095.50	1,840,653.21	1,840,531.64	6,563.86		131.70		—	—	1.32	1.333	Monthly	1,079.85	18,222.00	4/21/2010	6/15/2014
34529MAD4	FORDO_10-B ABS_10-B A4			2	1FE	899,948.88	101.486	913,372.35	900,000.00	899,965.43	13,406.92		11.14		—	—	1.58	1.587	Monthly	632.00	10,665.00	7/27/2010	9/15/2015
34529PAC9	FORDO_11-A ABS _11-A A3			2	1FE	3,499,517.70	100.302	3,510,566.33	3,500,000.00	3,499,662.42	10,903.91		144.72		—	—	0.97	0.978	Monthly	1,508.89	21,407.00	1/25/2011	1/15/2015
34529QAC7	FORDL_11-A ABS_11-A A3			2	1FE	3,599,883.00	100.167	3,606,012.00	3,600,000.00	3,599,891.21	6,120.79		8.21		—	—	1.03	1.033	Monthly	1,648.00	7,210.00	6/29/2011	7/15/2014
34529RAC5	FORDO_11-B ABS_11-B A3			2	1FE	7,228,794.04	100.133	7,239,615.90	7,230,000.00	7,228,887.90	10,728.00		93.86		—	—	0.84	0.849	Monthly	2,699.20	8,266.00	7/19/2011	6/15/2015
34539KAE4	FORD MOTOR COMPANY TERM LOAN				3FE	—	98.786	—	—	—	—		—		—	—	#N/A	0	#N/A	—	—	3/16/2011	12/15/2013
35177PAS6	FRANCE TELECOM CORP BND		F		1FE	6,246,739.39	106.579	6,267,932.23	5,881,000.00	6,125,902.35	142,029.88		(63,231.90	)	—	—	4.375	2.801	Jan-Jul	59,320.50	257,294.00	4/14/2010	7/8/2014
35177PAU1	FRANCE TELECOM CORP BND		F		1FE	996,600.00	98.781	987,810.36	1,000,000.00	997,277.86	(9,467.50	)	668.92		—	—	2.125	2.197	Mar-Sep	885.42	21,250.00	9/7/2010	9/16/2015
354613AE1	FRANKLIN RESOURCES INC. CORP BND				1FE	1,974,114.25	101.366	2,001,979.65	1,975,000.00	1,974,512.41	27,467.24		217.47		—	—	2	2.015	May-Nov	14,373.61	19,750.00	5/19/2010	5/20/2013
36156HAV0	GCOE_06-1 ABS 06-1			2		1,795,000.00	90.59	1,811,800.00	2,000,000.00	1,800,188.16	11,611.84		5,188.16		—	—	0.44178	1.692	F-M-A-N	908.10	1,977.00	6/30/2011	5/25/2025
36186CBF9	ALLY FINANCIAL INC CORP BND GOVT GUAR				1FE	1,692,304.95	102.183	1,732,001.83	1,695,000.00	1,694,050.99	37,950.84		(21,307.58	)	—	—	2.2	2.247	Jun-Dec	10,461.92	18,645.00	6/3/2009	12/19/2012
36201YER3	GNMA POOL # 606844			2	1	1,447,748.30	110.39	1,525,187.61	1,381,634.91	1,446,069.30	79,118.31		(6,064.91	)	—	—	5	4.098	Monthly	5,756.81	51,811.00	4/23/2010	9/15/2033
36202E5P0	GNMA POOL # 004454			2	1	19,562.75	0	19,882.28	18,387.65	19,518.58	363.70		(206.79	)	—	—	4.5	2.33	Monthly	68.95	621.00	10/7/2010	6/20/2024
36202EVU0	GNMA POOL # 004227			2	1	38,254.08	0	38,577.81	35,956.24	38,167.45	410.36		(146.25	)	—	—	4.5	1.877	Monthly	134.84	1,214.00	10/7/2010	7/20/2023
36202FAE6	GNMA POOL # 004505			2	1	64,660.46	0	65,733.33	60,776.47	64,519.97	1,213.36		(848.81	)	—	—	4.5	2.262	Monthly	227.91	2,051.00	10/7/2010	8/20/2024
36202FBR6	GNMA POOL # 004548			2	1	39,981.37	0	40,644.76	37,579.79	39,895.97	748.79		(410.54	)	—	—	4.5	2.271	Monthly	140.92	1,268.00	10/7/2010	10/20/2024
36202FD78	GNMA POOL # 004626			2	1	1,784,855.67	0	1,814,424.58	1,677,643.74	1,781,113.13	33,311.45		(14,008.74	)	—	—	4.5	2.35	Monthly	6,291.16	56,621.00	10/7/2010	2/20/2025
36202FET9	GNMA POOL # 004646			2	1	279,718.73	0	284,352.71	262,916.71	279,139.72	5,212.99		(2,225.63	)	—	—	4.5	2.336	Monthly	985.94	8,873.00	10/7/2010	3/20/2025
36202FF43	GNMA POOL # 004687			2	1	784,116.69	0	797,106.80	737,016.71	782,521.57	14,585.23		(6,775.87	)	—	—	4.5	2.374	Monthly	2,763.81	24,874.00	10/7/2010	5/20/2025
36202FFH4	GNMA POOL # 004668			2	1	1,116,141.51	0	1,134,632.14	1,049,097.62	1,113,873.40	20,758.74		(9,083.30	)	—	—	4.5	2.332	Monthly	3,934.12	35,407.00	10/7/2010	4/20/2025
36202KME2	GNMA POOL # 008457			2	1	506,573.71	102.84	512,636.98	499,548.80	505,888.50	6,748.48		(917.80	)	—	—	2.625	2.254	Monthly	1,092.76	9,835.00	3/18/2009	7/20/2024
36204J4C7	GNMA POOL # 371719			2	1	312,437.95	106.75	332,011.26	294,059.24	309,905.06	22,106.20		(7,853.69	)	—	—	6.5	5.288	Monthly	1,592.82	14,335.00	9/11/2008	4/15/2024
36204SV60	GNMA POOL # 378737			2	1	410,644.77	107.235	437,963.55	386,489.18	407,416.93	30,546.62		(2,369.78	)	—	—	6.5	5.197	Monthly	2,093.48	18,841.00	9/11/2008	1/15/2024
36205BKY7	GNMA POOL # 385611			2	1	457,572.46	106.75	486,238.04	430,656.44	454,099.63	32,138.41		(5,919.28	)	—	—	6.5	5.196	Monthly	2,332.72	20,994.00	9/11/2008	4/15/2024
3620A2KC9	GNMA POOL # 716791			2	1	1,811,925.88	0	1,842,666.37	1,713,911.56	1,807,467.18	35,199.19		(17,983.06	)	—	—	5	2.782	Monthly	7,141.30	64,272.00	9/29/2009	4/15/2024
3620A32R4	GNMA POOL # 718184			2	1	111,642.17	0	113,456.98	104,905.28	111,421.28	2,035.70		(1,383.93	)	—	—	4.5	2.126	Monthly	393.39	3,540.00	10/7/2010	3/15/2025
3620A5FJ3	GNMA POOL # 719369			2	1	1,331,540.67	0	1,349,223.85	1,247,527.49	1,328,767.00	20,456.85		(4,724.15	)	—	—	4.5	2.109	Monthly	4,678.23	42,104.00	8/31/2010	4/15/2025
3620A6AC1	GNMA POOL # 720103			2	1	810,223.28	100.142	871,706.94	796,288.23	809,739.56	61,967.38		(955.36	)	—	—	4.5	4.245	Monthly	2,986.08	26,875.00	6/18/2009	6/15/2039
3620A6DZ7	GNMA POOL # 720220			2		1,610,751.94	107.512	1,648,801.72	1,533,593.04	1,606,210.03	42,591.69		(18,535.87	)	—	—	5	3.378	Monthly	6,389.97	57,510.00	7/29/2009	7/15/2024
3620A7R64	GNMA POOL # 721509			2	1	504,740.64	0	512,945.53	474,282.79	503,652.48	9,293.05		(2,981.12	)	—	—	4.5	2.451	Monthly	1,778.56	16,007.00	10/7/2010	2/15/2025
3620A7RQ0	GNMA POOL # 721495			2	1	638,283.93	0	648,659.64	599,767.59	636,860.80	11,798.84		(5,041.98	)	—	—	4.5	2.527	Monthly	2,249.13	20,242.00	10/7/2010	1/15/2025
3620A9MU2	GNMA POOL # 723171			2	1	64,857.70	108.128	65,897.73	60,943.95	64,718.70	1,179.03		(601.90	)	—	—	4.5	2.284	Monthly	228.54	2,057.00	10/7/2010	10/15/2024
3620A9QJ3	GNMA POOL # 723257			2	1	940,978.77	0	956,067.96	884,196.75	938,925.32	17,142.64		(10,953.23	)	—	—	4.5	2.316	Monthly	3,315.74	29,842.00	10/7/2010	9/15/2024
3620A9WS6	GNMA POOL # 723457			2	1	800,469.81	0	813,305.87	752,166.62	798,708.30	14,597.57		(9,038.42	)	—	—	4.5	2.453	Monthly	2,820.62	25,386.00	10/7/2010	12/15/2024
3620A9WW7	GNMA POOL # 723461			2	1	473,522.25	0	481,115.48	444,948.23	472,522.73	8,592.75		(3,901.32	)	—	—	4.5	2.301	Monthly	1,668.56	15,017.00	10/7/2010	12/15/2024
3620A9ZN4	GNMA POOL # 723549			2	1	1,156,678.80	0	1,175,481.37	1,086,880.67	1,154,120.30	21,361.07		(7,213.04	)	—	—	4.5	2.502	Monthly	4,075.80	36,682.00	10/7/2010	1/15/2025
3620ADCM2	GNMA POOL # 726476			2	1	11,982,688.14	0	12,299,439.78	11,374,844.85	11,950,607.23	348,832.55		(154,181.30	)	—	—	4.5	2.613	Monthly	42,655.67	383,901.00	12/8/2009	11/15/2024
3620AFY35	GNMA POOL # 728930			2	1	137,543.04	0	139,748.64	129,243.21	137,249.12	2,499.52		(1,737.88	)	—	—	4.5	2.349	Monthly	484.66	4,362.00	10/7/2010	12/15/2024
3620AKQR0	GNMA POOL # 732264			2	1	320,694.27	0	325,907.37	301,342.44	319,989.81	5,917.56		(4,841.88	)	—	—	4.5	2.573	Monthly	1,130.03	10,170.00	10/7/2010	4/15/2025
3620AKR57	GNMA POOL # 732308			2	1	94,662.67	0	96,201.48	88,950.39	94,477.68	1,723.80		(2,322.73	)	—	—	4.5	2.105	Monthly	333.56	3,002.00	10/7/2010	4/15/2025
3620AL5N0	GNMA POOL # 733553			2	1	764,711.01	0	777,141.90	718,565.63	763,163.47	13,978.43		(7,024.69	)	—	—	4.5	2.281	Monthly	2,694.62	24,252.00	10/7/2010	4/15/2025
3620AQ5X7	GNMA POOL # 737162			2	1	424,990.52	0	431,899.03	399,345.09	424,068.84	7,830.19		(3,040.21	)	—	—	4.5	2.534	Monthly	1,497.54	13,478.00	10/7/2010	4/15/2025
3620AQ6A6	GNMA POOL # 737165			2	1	1,685,464.13	0	1,712,862.46	1,583,757.22	1,681,959.78	30,902.68		(14,104.93	)	—	—	4.5	2.391	Monthly	5,939.09	53,452.00	10/7/2010	4/15/2025
3620AQG72	GNMA POOL # 736522			2	1	798,828.06	0	811,813.54	750,623.93	797,179.99	14,633.55		(17,237.60	)	—	—	4.5	2.361	Monthly	2,814.84	25,334.00	10/7/2010	4/15/2025
3620AQHC0	GNMA POOL # 736527			2	1	374,428.90	0	380,515.49	351,834.53	373,653.90	6,861.59		(7,382.97	)	—	—	4.5	2.374	Monthly	1,319.38	11,874.00	10/7/2010	4/15/2025
3620AQXC2	GNMA POOL # 736975			2	1	579,501.11	0	588,921.29	544,531.95	578,286.39	10,634.90		(5,389.16	)	—	—	4.5	2.349	Monthly	2,041.99	18,378.00	10/7/2010	2/15/2025
3620AWE48	GNMA POOL # 741855			2	1	313,470.70	0	318,566.36	294,554.75	312,791.98	5,774.38		(6,786.97	)	—	—	4.5	2.56	Monthly	1,104.58	9,941.00	10/7/2010	5/15/2025
3620AWE63	GNMA POOL # 741857			2	1	254,310.11	0	258,444.11	238,964.15	253,773.64	4,670.47		(3,179.73	)	—	—	4.5	2.477	Monthly	896.12	8,065.00	10/7/2010	5/15/2025
36210B4N2	GNMA POOL # 487829			2	1	522,859.93	102.844	546,241.73	505,178.69	521,521.40	24,720.33		(5,525.68	)	—	—	4.5	3.339	Monthly	1,894.42	17,050.00	3/26/2009	4/15/2024
36210B4Q5	GNMA POOL # 487831			2	1	162,918.86	0	165,682.91	154,105.95	162,525.94	3,156.97		(959.46	)	—	—	5	2.747	Monthly	642.11	5,779.00	9/29/2009	4/15/2024
36210B4R3	GNMA POOL # 487832			2	1	585,140.40	104.229	602,007.78	559,942.98	583,434.49	18,573.29		(4,458.50	)	—	—	5	3.323	Monthly	2,333.10	20,998.00	3/26/2009	4/15/2024
36210BZH1	GNMA POOL # 487744			2	1	778,014.32	0	791,213.84	735,928.42	776,015.17	15,198.67		(4,927.12	)	—	—	5	2.833	Monthly	3,066.37	27,597.00	9/29/2009	3/15/2024
36210BZJ7	GNMA POOL # 487745			2	1	663,083.63	0	674,333.26	627,214.77	661,410.22	12,923.04		(6,783.20	)	—	—	5	2.802	Monthly	2,613.39	23,521.00	9/29/2009	3/15/2024
36211V6Q8	GNMA POOL # 524779			2	1	354,419.46	104.229	364,908.83	339,411.12	353,279.75	11,629.08		(6,384.08	)	—	—	5	3.501	Monthly	1,414.21	12,728.00	3/26/2009	1/15/2024
36225BPY8	GNMA POOL # 781339			2	1	315,530.14	114.125	326,250.28	285,871.00	314,015.90	12,234.38		(4,517.79	)	—	—	8	5.654	Monthly	1,905.81	17,152.00	3/7/2008	9/15/2031
36225C5S1	GNMA POOL # 080856			2	1	9,534,202.02	0	9,596,887.94	9,313,017.84	9,531,247.94	65,640.00		(16,145.19	)	—	—	1.75	1.311	Monthly	13,581.48	82,459.00	3/2/2011	3/20/2034
36225C6Y7	GNMA POOL # 080886			2	1	9,815,592.41	102.62	9,827,083.84	9,576,187.72	9,812,420.34	14,663.50		(18,858.81	)	—	—	1.75	1.288	Monthly	13,965.27	87,782.00	3/2/2011	4/20/2034
36225CD29	GNMA POOL # 080120			2	1	427,776.09	101.02	433,994.92	423,409.68	427,491.93	6,502.99		(315.61	)	—	—	2.125	1.851	Monthly	749.79	7,101.00	3/18/2009	10/20/2027
36225DAS3	GNMA POOL # 080916			2	1	340,533.92	100.563	351,601.66	342,191.40	340,609.13	10,992.53		183.83		—	—	1.75	1.826	Monthly	499.03	4,741.00	4/17/2008	5/20/2034
36225DJA3	GNMA POOL # 081156			2	1	892,637.88	102.185	916,927.45	890,134.40	892,507.12	24,420.33		(244.91	)	—	—	1.75	1.686	Monthly	1,298.11	12,425.00	3/18/2009	11/20/2034
36225DJZ8	GNMA POOL # 081179			2	1	881,753.17	97.85	889,831.57	879,280.21	881,621.67	8,209.90		(300.85	)	—	—	1.75	1.688	Monthly	1,282.28	12,273.00	3/18/2009	12/20/2034
36225DLE2	GNMA POOL # 081224			2	1	560,979.12	99.1	584,903.03	563,621.10	561,059.14	23,843.89		286.57		—	—	1.75	1.829	Monthly	821.95	7,867.00	3/18/2009	1/20/2035
36225EVZ2	GNMA POOL # 082431			2	1	3,786,105.54	0	3,884,263.85	3,739,363.52	3,783,441.73	100,822.12		(3,506.02	)	—	—	3	2.909	Monthly	9,348.41	84,136.00	10/28/2009	12/20/2039
36225EWE8	GNMA POOL # 082444			2	1	808,856.16	0	833,606.94	792,025.60	808,580.01	25,026.93		(2,131.79	)	—	—	3.75	3.086	Monthly	2,475.08	22,276.00	11/3/2009	12/20/2039
362341RT8	GSAA WHOLE CMO 05-AR6 1A1			2	NR*Z*	195,330.70	92	181,490.79	197,272.60	195,517.45	(14,026.66	)	349.43		—	—	2.7556	3.025	Monthly	453.00	4,142.00	11/21/2007	9/25/2035
36241K6L7	GNMA POOL # 782675			2	1	88,474.41	0	89,893.17	83,135.56	88,277.70	1,615.47		(1,175.71	)	—	—	4.5	2.272	Monthly	311.76	2,806.00	10/7/2010	6/15/2024
36241KBP2	GNMA POOL # 781846			2	1	5,318,290.85	112.897	5,815,174.33	5,150,887.04	5,312,205.96	502,968.37		(28,255.66	)	—	—	6.5	5.782	Monthly	27,900.63	251,106.00	8/15/2008	9/15/2034
36241KEC8	GNMA POOL # 781931			2	1	3,711,928.86	107.628	4,059,358.82	3,595,088.48	3,707,840.05	351,518.77		(19,448.94	)	—	—	6.5	5.799	Monthly	19,473.39	175,261.00	8/15/2008	5/15/2035
36241KEH7	GNMA POOL # 781936			2	1	3,065,414.14	0	3,237,598.18	2,964,885.98	3,062,829.30	174,768.88		(15,334.81	)	—	—	4.5	3.949	Monthly	11,118.33	100,065.00	6/3/2010	6/15/2035
36241KGU6	GNMA POOL # 782011			2		231,875.10	110.097	249,823.63	226,911.27	231,725.79	18,097.84		(713.95	)	—	—	5	4.555	Monthly	945.46	8,509.00	7/14/2009	12/15/2035
36241KKB3	GNMA POOL # 782090			2	1	4,434,792.98	107.635	4,790,803.12	4,266,788.20	4,427,234.31	363,568.81		(32,210.36	)	—	—	6.5	5.653	Monthly	23,111.77	208,006.00	11/30/2007	5/15/2036
36241LHQ2	GNMA POOL # 782939			2	1	7,786,135.99	0	8,166,774.78	7,430,571.51	7,779,008.64	387,766.14		(55,280.33	)	—	—	5	4.139	Monthly	30,960.72	278,646.00	4/23/2010	9/15/2036
36241LN36	GNMA POOL # 783110			2		1,699,741.43	110.924	1,741,223.81	1,569,746.78	1,698,566.98	42,656.83		(26,286.79	)	—	—	5.5	3.335	Monthly	7,194.67	64,752.00	9/23/2010	4/15/2036
36290SJB8	GNMA POOL # 615958			2	1	8,757,451.64	0	9,225,883.17	8,357,530.72	8,746,469.99	479,413.18		(60,711.52	)	—	—	5	4.156	Monthly	34,823.04	313,407.00	4/23/2010	9/15/2033
36292DWW8	GNMA POOL # 646061			2	1	286,298.75	106.297	308,666.71	274,544.81	285,878.12	22,788.59		(1,568.94	)	—	—	6.5	5.118	Monthly	1,487.12	13,384.00	1/31/2008	11/15/2037
36295KAT0	GNMA POOL # 672418			2	1	182,371.95	112.429	196,620.29	174,884.69	182,104.12	14,516.17		(4,198.28	)	—	—	6.5	5.078	Monthly	947.29	8,526.00	1/31/2008	12/15/2037
36295P4L3	GNMA POOL # 676827			2	1	867,339.23	104.785	892,175.12	830,113.80	864,591.57	27,583.55		(12,373.85	)	—	—	5	3.246	Monthly	3,458.81	31,129.00	3/26/2009	5/15/2023
36295PZJ4	GNMA POOL # 676745			2	1	342,121.47	104.785	352,128.62	327,633.92	341,038.07	11,090.55		(4,129.16	)	—	—	5	3.246	Monthly	1,365.14	12,286.00	3/26/2009	3/15/2023
36295QJE1	GNMA POOL # 677161			2	1	1,627,592.38	104.785	1,666,844.46	1,550,895.74	1,622,838.27	44,006.19		(24,236.08	)	—	—	5	3.151	Monthly	6,462.07	58,159.00	4/27/2009	8/15/2023
36295TVQ4	GNMA POOL # 680223			2	1	160,346.75	106.297	172,874.30	153,763.72	160,112.31	12,761.99		(3,015.01	)	—	—	6.5	5.09	Monthly	832.89	7,496.00	1/31/2008	1/15/2038
36296A5Y6	GNMA POOL # 685863			2	1	171,601.90	0	174,297.73	161,246.82	171,138.81	3,158.92		(1,959.45	)	—	—	4.5	2.443	Monthly	604.68	5,442.00	10/7/2010	5/15/2023
36296DR67	GNMA POOL # 688209			2		158,250.88	107.476	162,031.16	150,759.98	157,868.53	4,162.63		(553.38	)	—	—	5	2.942	Monthly	628.17	5,653.00	7/29/2009	7/15/2023
36296E5H5	GNMA POOL # 689448			2	1	421,054.75	104.785	433,370.72	403,224.67	419,709.97	13,660.75		(4,458.21	)	—	—	5	3.36	Monthly	1,680.10	15,121.00	3/26/2009	7/15/2023
36296TPY3	GNMA POOL # 700739			2	1	856,657.88	105.631	880,469.98	811,337.09	853,343.81	27,126.17		(18,723.86	)	—	—	5.5	3.132	Monthly	3,718.63	33,468.00	6/3/2009	10/15/2023
36296U3C2	GNMA POOL # 701995			2	1	838,219.13	104.785	862,737.27	802,723.70	836,068.32	26,668.95		(2,089.27	)	—	—	5	2.994	Monthly	3,344.68	30,102.00	3/26/2009	1/15/2024
36296UC73	GNMA POOL # 701294			2	1	388,565.01	104.229	399,646.33	371,721.37	387,422.20	12,224.13		(1,198.48	)	—	—	5	3.246	Monthly	1,548.84	13,940.00	3/27/2009	1/15/2024

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
36296URS1	GNMA POOL # 701697			2	1	1,151,626.67	0	1,171,164.76	1,089,330.58	1,148,607.93	22,556.83		(16,572.31	)	—	—	5	2.843	Monthly	4,538.88	40,850.00	9/29/2009	2/15/2024
36296UUL2	GNMA POOL # 701787			2	1	911,474.54	104.229	945,524.58	879,456.82	909,483.70	36,040.88		(1,954.24	)	—	—	5	3.524	Monthly	3,664.40	32,980.00	6/11/2009	3/15/2024
36296UXG0	GNMA POOL # 701879			2	1	514,222.51	0	522,468.40	483,192.49	513,068.65	9,399.75		(7,961.52	)	—	—	4.5	2.269	Monthly	1,811.97	16,308.00	10/7/2010	5/15/2024
36296XHH0	GNMA POOL # 704132			2	1	205,775.95	0	209,196.80	194,644.69	205,273.79	3,923.01		(4,109.73	)	—	—	5	2.665	Monthly	811.02	7,299.00	9/29/2009	12/15/2023
36296XLY8	GNMA POOL # 704243			2	1	617,933.17	104.229	641,017.34	596,226.78	616,472.73	24,544.61		(1,468.52	)	—	—	5	3.63	Monthly	2,484.28	22,359.00	6/11/2009	1/15/2024
36296XWP5	GNMA POOL # 704554			2	1	3,433,211.54	104.229	3,563,615.36	3,314,610.64	3,425,658.41	137,956.95		(24,886.86	)	—	—	5	3.652	Monthly	13,810.88	124,298.00	6/11/2009	6/15/2024
36297A3K7	GNMA			2	1	753,514.60	104.229	775,815.55	721,606.07	751,429.09	24,386.46		(4,680.88	)	—	—	5	3.2	Monthly	3,006.69	27,060.00	3/26/2009	1/15/2024
36297AKC6	GNMA POOL # 705991			2	1	113,596.11	0	115,417.69	106,741.31	113,339.18	2,078.51		(784.91	)	—	—	4.5	2.132	Monthly	400.28	3,602.00	10/7/2010	1/15/2024
36297AKF9	GNMA POOL # 705994			2	1	848,771.68	0	863,171.64	802,858.22	846,700.78	16,470.86		(14,127.57	)	—	—	5	2.691	Monthly	3,345.24	30,107.00	9/29/2009	1/15/2024
36297CV22	GNMA POOL # 708133			2	1	79,072.38	0	80,340.36	74,300.87	78,889.05	1,451.31		(319.99	)	—	—	4.5	2.235	Monthly	278.63	2,508.00	10/7/2010	1/15/2024
36297DFF9	GNMA POOL # 708566			2	1	1,896,894.69	0	1,929,076.74	1,794,284.07	1,891,508.40	37,568.34		(15,698.58	)	—	—	5	3.021	Monthly	7,476.18	67,286.00	9/29/2009	4/15/2024
36297DP35	GNMA POOL # 708842			2	1	79,060.98	0	80,328.77	74,290.16	78,875.77	1,453.00		(1,287.96	)	—	—	4.5	2.421	Monthly	278.59	2,507.00	10/7/2010	5/15/2024
36297DTR8	GNMA POOL # 708960			2	1	1,425,879.15	104.229	1,468,079.39	1,365,498.53	1,421,696.10	46,383.29		(4,108.50	)	—	—	5	3.375	Monthly	5,689.58	51,206.00	3/26/2009	3/15/2024
36297G2R0	GNMA POOL # 711884			2	1	3,208,899.48	0	3,263,340.54	3,035,317.28	3,201,111.66	62,228.88		(19,947.08	)	—	—	5	2.758	Monthly	12,647.16	113,824.00	9/29/2009	4/15/2024
36297GCD0	GNMA POOL # 711168			2	1	1,142,753.39	0	1,161,329.60	1,073,795.58	1,140,420.21	20,909.39		(8,680.10	)	—	—	4.5	2.239	Monthly	4,026.73	36,241.00	10/7/2010	2/15/2025
36297JJ54	GNMA POOL # 713184			2	1	1,748,920.85	0	1,778,592.42	1,654,314.72	1,743,506.75	35,085.67		(7,477.23	)	—	—	5	3.154	Monthly	6,892.98	62,037.00	9/29/2009	4/15/2024
36297KZF1	GNMA POOL # 714542			2	1	546,014.85	104.229	566,241.64	526,675.97	544,530.36	21,711.28		(1,430.97	)	—	—	5	3.894	Monthly	2,194.48	19,750.00	6/11/2009	6/15/2024
36830HAC6	GE EQUIPMENT SMALL TICKET LLC ABS 11-1			2	1FE	1,699,745.68	100.708	1,712,036.00	1,700,000.00	1,699,802.05	12,233.95		56.37		—	—	1.45	1.46	Monthly	684.72	15,132.00	2/1/2011	1/21/2018
368710AG4	GENENTECH INC CORP BND				1FE	802,027.50	111.534	836,504.57	750,000.00	785,693.38	50,811.19		(6,550.48	)	—	—	4.75	3.4	Jan-Jul	7,520.83	35,625.00	10/29/2009	7/15/2015
369550AK4	GENERAL DYNAMICS CORPORATION CORP BND				1FE	803,002.50	105.708	792,812.69	750,000.00	787,221.06	5,591.63		(15,781.44	)	—	—	4.25	1.153	May-Nov	12,041.67	15,938.00	1/14/2011	5/15/2013
369550AM0	GENERAL DYNAMICS CORPORATION CORP BND				1FE	4,489,680.00	114.727	4,589,060.36	4,000,000.00	4,353,971.27	235,089.09		(64,067.97	)	—	—	5.375	2.94	Feb-Aug	27,472.22	215,000.00	2/17/2010	8/15/2015
369550AN8	GENERAL DYNAMICS CORPORATION CORP BND				1FE	7,012,114.50	109.964	6,982,717.18	6,350,000.00	7,000,109.72	(17,392.54	)	(12,004.78	)	—	—	5.25	0.813	Feb-Aug	55,562.50	—	9/12/2011	2/1/2014
369550AS7	GENERAL DYNAMICS CORPORATION CORP BND				1FE	3,025,890.00	100.327	3,009,797.97	3,000,000.00	3,025,496.16	(15,698.19	)	(393.84	)	—	—	1.375	1.111	Jan-Jul	9,052.08	—	9/7/2011	1/15/2015
36962G3T9	GE CAPITAL CORP CORP BND				1FE	104,630.90	104.814	104,814.22	100,000.00	102,161.33	2,652.89		(980.13	)	—	—	4.8	3.387	May-Nov	2,000.00	2,400.00	10/29/2009	5/1/2013
36962G4D3	GE CAPITAL CORP CORP BND MTN				1FE	261,337.50	111.72	279,300.12	250,000.00	259,575.79	19,724.33		(722.90	)	—	—	6	5.395	Feb-Aug	2,250.00	15,000.00	10/29/2009	8/7/2019
36962G4E1	GE CAPITAL CORP CORP BND					230,445.00	102.324	230,228.64	225,000.00	226,725.34	3,503.30		(1,463.11	)	—	—	3.5	2.599	Feb-Aug	1,050.00	7,875.00	10/20/2009	8/13/2012
36962G4Q4	GE CAPITAL CORP CORP BND MTN				1FE	5,015,736.32	100.231	5,011,544.05	5,000,000.00	5,010,950.11	593.94		(4,050.21	)	—	—	1.875	1.761	Mar-Sep	3,906.25	93,750.00	11/12/2010	9/16/2013
36962G4T8	GE CAPITAL CORP CORP BND				1FE	7,243,470.00	98.262	7,418,744.76	7,550,000.00	7,286,568.06	132,176.70		50,491.54		—	—	2.25	3.163	May-Nov	67,006.26	84,938.00	1/6/2011	11/9/2015
36962G5B6	GE CAPITAL CORP CORP BND MTN				1FE	5,000,000.00	97.61	4,880,500.05	5,000,000.00	5,000,000.00	(119,499.95	)	—		—	—	0.87575	0.924	J-A-J-O	10,460.35	11,675.00	4/4/2011	4/7/2014
36962G5C4	GENERAL ELECTRIC CAPITAL CORP CORP BND				1FE	1,999,620.00	99.785	1,995,702.66	2,000,000.00	1,999,652.46	(3,949.80	)	136.89		—	—	2.95	2.954	May-Nov	23,272.22	—	5/11/2011	5/9/2016
36962G5D2	GE CAPITAL CORP CORP BND				1FE	5,000,000.00	95.508	4,775,400.15	5,000,000.00	5,000,000.00	(224,599.85	)	—		—	—	1.14161	1.138	F-M-A-N	8,403.52	14,544.00	5/4/2011	5/9/2016
36962GK86	GE CAPITAL CORP CORP BND				1FE	1,589,400.00	107.189	1,607,829.78	1,500,000.00	1,562,707.51	45,122.27		(14,883.09	)	—	—	4.75	3.255	Mar-Sep	3,166.67	71,250.00	5/19/2010	9/15/2014
36962GZY3	GENERAL ELEC CAP CO CORP BND MTN				1FE	159,667.65	105.081	157,621.86	150,000.00	154,004.44	3,617.42		(2,258.74	)	—	—	5.45	3.314	Jan-Jul	1,725.84	8,175.00	10/29/2009	1/15/2013
36967HAD9	GENERAL ELECTRIC CAPITAL CORPO CORP BND				1FE	1,296,269.00	100.533	1,306,923.80	1,300,000.00	1,299,756.42	7,167.38		958.16		—	—	3	3.101	Jun-Dec	12,133.33	19,500.00	12/4/2008	12/9/2011
36967HAH0	GENERAL ELECTRIC CAPITAL CORPO CORP BND				1FE	3,255,096.00	101.363	3,294,297.50	3,250,000.00	3,251,094.53	43,202.97		(1,316.71	)	—	—	2.2	2.15	Jun-Dec	22,443.06	35,750.00	2/20/2009	6/8/2012
373334JM4	GEORGIA POWER COMPANY CORP BND				1FE	14,714,084.40	110.273	14,423,686.82	13,080,000.00	14,056,167.22	367,519.60		(338,708.97	)	—	—	6	2.311	May-Nov	327,000.00	392,400.00	4/9/2010	11/1/2013
373334JQ5	GEORGIA POWER COMPANY CORP BND			1	1FE	4,600,000.00	100.076	4,603,495.82	4,600,000.00	4,600,000.00	3,495.82		—		—	—	0.66711	0.576	M-J-S-D	1,363.87	21,213.00	3/9/2010	3/15/2013
373334JV4	GEORGIA POWER COMPANY CORP BND				1FE	3,399,082.00	105.881	3,599,937.27	3,400,000.00	3,399,156.47	200,780.80		74.47		—	—	3	3.006	Apr-Oct	45,900.00	—	4/12/2011	4/15/2016
377372AC1	GLAXOSK CAP INC CORP BND				1FE	17,941,735.50	106.506	18,026,201.94	16,925,000.00	17,401,511.90	624,690.04		(211,134.67	)	—	—	4.85	3.054	May-Nov	310,103.61	410,431.00	1/24/2011	5/15/2013
38141EA33	GOLDMAN SACHS GROUP INC CORP BND				1FE	819,037.50	106.062	795,461.77	750,000.00	791,090.84	4,370.93		(11,161.00	)	—	—	6	3.755	May-Nov	18,750.00	22,500.00	10/29/2009	5/1/2014
38141EA74	GOLDMAN SACHS GROUP INC CORP BND				1FE	1,739,374.40	98.591	1,695,758.96	1,720,000.00	1,736,444.15	(40,685.19	)	(7,984.80	)	—	—	3.7	3.431	Feb-Aug	10,606.67	64,170.00	1/5/2011	8/1/2015
38141GBU7	GOLDMAN SACHS GROUP INC CORP BND				1FE	4,113,480.00	101.376	4,055,041.28	4,000,000.00	4,008,294.26	46,747.02		(21,125.12	)	—	—	6.6	5.859	Jan-Jul	55,733.33	264,000.00	8/14/2007	1/15/2012
38141GCG7	GOLDMAN SACHS GROUP INC CORP BND				1FE	1,402,821.06	102.83	1,371,747.34	1,334,000.00	1,362,761.78	8,985.56		(22,742.50	)	—	—	5.7	3.294	Mar-Sep	6,336.50	76,038.00	5/28/2010	9/1/2012
38141GDB7	GOLDMAN SACHS GROUP INC CORP BND				1FE	53,919.00	103.121	51,560.52	50,000.00	52,229.11	(668.59	)	(1,082.34	)	—	—	5.25	2.212	Apr-Oct	1,312.50	1,313.00	7/26/2010	4/1/2013
38141GEA8	GOLDMAN SACHS GROUP INC CORP BND				1FE	12,578,850.00	103.585	12,430,217.28	12,000,000.00	12,535,916.70	(105,699.42	)	(54,613.25	)	—	—	5.125	3.665	Jan-Jul	129,833.33	256,250.00	8/16/2011	1/15/2015
38143UAB7	GOLDMAN SACHS GROUP INC CORP BND				1FE	213,708.00	103.766	207,531.05	200,000.00	208,431.74	(900.69	)	(2,635.88	)	—	—	5.15	3.223	Jan-Jul	2,174.44	10,300.00	3/18/2010	1/15/2014
38143USB8	GOLDMAN SACHS GROUP INC CORP BND				1FE	13,978,799.50	95.821	13,367,029.36	13,950,000.00	13,973,863.36	(606,834.00	)	(4,936.14	)	—	—	1.26825	1.235	F-M-A-N	26,538.15	87,621.00	7/12/2011	2/7/2014
38144LAC4	GOLDMAN SACHS GROUP INC CORP BND				1FE	5,092,400.00	103.127	5,156,327.05	5,000,000.00	5,024,385.12	131,941.93		(16,670.87	)	—	—	5.45	4.982	May-Nov	113,541.67	136,250.00	5/13/2008	11/1/2012
38146FAA9	GOLDMAN SACHS GROUP INC/THE-GT CORP BND				1FE	9,324,000.00	102.029	9,182,608.92	9,000,000.00	9,070,989.56	111,619.36		(87,763.67	)	—	—	3.25	2.116	Jun-Dec	86,125.00	146,250.00	2/20/2009	6/15/2012
38373MV23	GNR CMBS_08-45 A			2	1FE	201,977.35	100.31	199,027.22	198,412.14	198,759.92	267.30		(7,413.17	)	—	—	3.576	1.597	Monthly	591.27	5,321.00	12/15/2009	1/16/2012
38373YBQ6	GNMA CMO_02-79 LN			2	1	346,945.16	100.75	340,341.81	337,808.26	338,767.19	1,574.62		(8,794.24	)	—	—	5.5	3.266	Monthly	1,548.28	13,935.00	6/15/2009	3/20/2012
383742TU7	GNMA CMO 08-17 EH			2	1	2,840,869.19	104.46	2,824,997.83	2,704,382.38	2,824,092.50	905.33		(48,771.09	)	—	—	5.25	2.242	Monthly	11,831.67	70,990.00	3/15/2011	5/16/2015
38374C3K5	GOVERNMENT NATIONAL MORTGAGE A CMO_03-85			2	1	1,694,875.00	102.913	1,646,600.64	1,600,000.00	1,675,839.54	(29,238.90	)	(19,035.46	)	—	—	4.5	1.597	Monthly	6,000.00	30,000.00	4/26/2011	2/20/2015
38374CQ53	GNMA CMO_03-86 VJ			2	1	6,892,978.18	103.492	6,781,849.77	6,553,039.26	6,797,400.68	(15,550.91	)	(110,048.59	)	—	—	5.5	1.484	Monthly	30,034.77	120,139.00	5/13/2011	11/20/2013
38374EEE3	GNMA CMO_03-106 B			2	1	214,304.95	99.993	210,993.83	211,007.97	210,870.66	123.17		(1,695.44	)	—	—	5.5	4.244	Monthly	967.12	8,704.00	8/21/2008	1/20/2012
38374GRG9	GNMA CMO_04-38 VA			2	1	1,670,130.95	106.95	1,677,680.12	1,568,658.36	1,652,508.34	25,171.78		(34,414.73	)	—	—	5	1.314	Monthly	6,536.08	52,289.00	1/7/2011	2/20/2015
38374H7F1	GNMA AGENCY CMO 04-69-FG			2	1	3,150,294.46	100.33	3,157,730.06	3,147,343.83	3,149,431.24	8,298.82		(1,373.03	)	—	—	0.5305	0.472	Monthly	510.18	12,410.00	5/21/2010	4/20/2014
38374JUS3	GNMA CMO_04-82 MA			2	1	7,169,819.96	105.688	7,127,145.59	6,743,603.16	7,134,964.06	(7,818.47	)	(99,830.09	)	—	—	5	2.335	Monthly	28,098.34	168,590.00	3/9/2011	6/20/2017
38374VHH5	GNMA CMO_09-45 AB			2	1	754,241.36	100.476	726,612.92	723,167.75	725,727.42	885.50		(46,193.37	)	—	—	5	0.433	Monthly	3,013.20	27,119.00	1/28/2010	12/20/2011
38374VKJ7	GNMA CMO_09-45 BA			2	1	6,655,312.50	105.849	6,562,649.16	6,200,000.00	6,535,618.46	27,030.70		(119,694.04	)	—	—	5	1.449	Monthly	25,833.33	155,000.00	3/7/2011	12/20/2014
38375PXQ9	GNMA CMO 08-11 FB			2	1	1,936,960.03	99.775	1,927,782.42	1,932,129.71	1,936,918.25	(9,135.83	)	(1,014.55	)	—	—	0.8305	0.754	Monthly	490.30	11,966.00	3/8/2010	9/20/2037
38375XTH7	GNMA_08-72 CMO_08-72 V			2	1	4,940,897.33	103.207	4,810,709.35	4,661,223.90	4,823,887.92	(13,178.57	)	(70,603.76	)	—	—	6	0.127	Monthly	23,306.12	209,755.00	8/18/2010	2/20/2013
38376CUM9	GNMA CMO_09-79 PA			2	1	16,022,624.07	101.755	15,343,688.35	15,079,008.03	15,959,879.31	(616,190.96	)	(85,449.76	)	—	—	4.5	0.606	Monthly	56,546.28	56,546.00	8/2/2011	3/1/2015
38376GZ29	GNMA CMBS_11-096 AB			2	1	5,130,359.37	102.008	5,181,561.38	5,079,563.74	5,129,715.83	51,845.55		(847.91	)	—	—	2.1605	2.052	Monthly	9,145.33	18,291.00	7/7/2011	6/16/2031
38869CAG8	GRAPHIC PACKAGING INTL TERM LOAN				3FE	—	97.938	—	—	—	—		—		—	—	#N/A	-0.028	#N/A	—	36,233.00	5/13/2011	5/16/2014
389376AM6	GRAY TELEVISION INC. TERM LOAN			2	1Z	—	95.125	—	—	—	—		—		—	—	#N/A	0.48	#N/A	—	96,225.00	8/22/2011	12/31/2014
39843QAG6	GRIFOLS SA LN1 TERM LOAN		R	1		—	97.982	—	—	—	—		—		—	—	#N/A	-0.519	#N/A	—	34,913.00	9/29/2011	6/1/2017
404122AG8	HCA INC TERM LOAN			2	3FE	—	96.821	—	—	—	—		—		—	—	#N/A	0.099	#N/A	—	20,071.00	5/16/2011	11/18/2013
40414LAB5	HEALTH CARE PROPERTY INVESTORS CORP BND				2FE	6,767,745.00	98.389	6,641,258.52	6,750,000.00	6,763,867.80	(122,609.28	)	(3,877.20	)	—	—	2.7	2.609	Feb-Aug	30,375.00	94,669.00	1/20/2011	2/1/2014
40429CFV9	HSBC FINANCE CORP CORP BND				1FE	9,139,665.00	94.294	8,957,929.90	9,500,000.00	9,275,302.07	(317,372.17	)	71,614.70		—	—	0.49925	1.592	J-A-J-O	10,276.24	38,892.00	4/26/2010	1/15/2014
41283KAC1	HDMOT_10-1 ABS 10-1 A3			2	1FE	1,099,844.68	100.416	1,104,576.00	1,100,000.00	1,099,908.72	4,667.28		59.73		—	—	1.16	1.17	Monthly	567.11	9,570.00	11/17/2010	2/15/2015
41283KAD9	HDMOT_10-1 ABS_10-1 A4			2	1FE	1,497,187.50	100.622	1,509,327.60	1,500,000.00	1,497,868.79	11,458.81		681.29		—	—	1.53	1.608	Monthly	1,020.00	15,300.00	2/2/2011	9/15/2015
41283LAA3	HARLEY-DAVIDSON FINANCIAL CORP BND 144A				2FE	2,248,650.00	103.412	2,326,773.15	2,250,000.00	2,248,815.34	77,957.81		165.34		—	—	3.875	3.888	Mar-Sep	3,875.00	46,258.00	3/1/2011	3/15/2016
41283NAC5	HARLEY DAVIDSON MOTORCYCLE TRU ABS_11-1			2	1FE	7,000,000.00	99.999	6,999,930.07	7,000,000.00	7,000,000.00	(69.93	)	—		—	—	0.429	0.429	Monthly	1,334.67	2,691.00	8/4/2011	10/15/2014
415864AK3	HARSCO CORPORATION CORP BND				2FE	8,486,765.00	102.703	8,729,764.95	8,500,000.00	8,490,919.55	238,845.40		4,154.55		—	—	2.7	2.727	Apr-Oct	105,825.00	53,813.00	6/2/2011	10/15/2015
419791YG7	HAWAII ST MUNI BND GO				1FE	2,007,940.00	104.213	2,084,259.94	2,000,000.00	2,005,455.40	78,804.54		(1,157.06	)	—	—	3	2.914	Feb-Aug	10,000.00	60,000.00	2/10/2010	2/1/2015
423074AL7	HEINZ H. J. COMPANY CORP BND				2FE	4,998,350.00	100.47	5,023,511.10	5,000,000.00	4,998,366.46	25,144.64		27.55		—	—	2	2.007	Mar-Sep	5,277.78	—	9/7/2011	9/12/2016
42330QAC9	HELIX ENERGY SOLUTIONS TERM LOAN				3FE	—	96.5	—	—	—	—		—		—	—	#N/A	0.099	#N/A	—	28,329.00	2/22/2011	7/1/2013
42804VAL5	HERTZ CORPORATION THE TERM LOAN			1	3FE	—	94.775	—	—	—	—		—		—	—	#N/A	0.372	#N/A	—	11,425.00	8/17/2011	2/28/2018
428236AT0	HEWLETT-PACKARD COMPANY CORP BND				1FE	7,127,236.50	110.124	7,130,498.89	6,475,000.00	6,806,667.68	323,831.21		(96,196.44	)	—	—	6.125	3.884	Mar-Sep	33,049.49	396,594.00	10/26/2009	3/1/2014
428236AV5	HEWLETT-PACKARD COMPANY CORP BND				1FE	10,351,763.65	107.049	10,254,213.08	9,579,000.00	10,073,639.03	180,574.05		(132,424.08	)	—	—	4.75	2.73	Jun-Dec	150,403.61	227,501.00	4/9/2010	6/2/2014
428236BJ1	HEWLETT-PACKARD COMPANY CORP BND				1FE	8,105,000.00	97.167	7,875,385.35	8,105,000.00	8,105,000.00	(229,614.65	)	—		—	—	0.719	0.654	F-M-A-N	5,179.99	13,399.00	5/25/2011	5/30/2014
428236BK8	HEWLETT-PACKARD COMPANY CORP BND				1FE	2,099,391.00	99.292	2,085,136.64	2,100,000.00	2,099,457.90	(14,321.26	)	66.90		—	—	1.55	1.56	May-Nov	10,940.42	—	5/25/2011	5/30/2014
429827AB4	HEF_10-401 ABS 04-1 A2 144A			2	1FE	164,000.00	86.439	172,878.80	200,000.00	170,342.29	2,536.51		3,709.22		—	—	1.6720187	4.084	Monthly	9.37	2,233.00	9/10/2009	1/1/2044
429827AE8	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1			2	1FE	164,000.00	86.439	172,878.80	200,000.00	169,485.00	3,393.80		2,930.43		—	—	1.67604	3.833	Monthly	167.60	2,589.00	9/10/2009	1/1/2044
429827AF5	HEF_10-401 ABS 04-1 A6 144A			2	1FE	164,000.00	86.439	172,878.80	200,000.00	169,333.49	3,545.31		3,351.33		—	—	1.758	3.827	Monthly	48.83	2,211.00	9/10/2009	1/1/2044
429827AJ7	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1			2	1FE	164,224.00	86.439	172,878.80	200,000.00	169,098.40	3,780.40		2,754.14		—	—	1.67201	3.69	Monthly	265.69	2,175.00	9/10/2009	1/1/2044
429827AK4	HIGHER EDUCATION FUNDING HEF_0 ABS_04-1			2	1FE	164,196.00	86.439	172,878.80	200,000.00	168,458.37	4,420.43		2,182.85		—	—	1.67416	4.25	Monthly	275.20	2,143.00	9/10/2009	1/1/2044
429827AN8	HEF_04-1 ABS 04-1 A13 144A			2	1FE	164,000.00	86.439	172,878.80	200,000.00	168,092.00	4,786.80		2,285.89		—	—	1.67323	3.483	Monthly	183.37	2,238.00	9/10/2009	1/1/2044
429827AQ1	HEF_04-1 ABS 04-1 A15 144A				1FE	246,000.00	87.417	262,251.00	300,000.00	248,120.73	14,130.27		255.22		—	—	1.63836	2.421	Monthly	350.12	3,862.00	9/10/2009	1/1/2044
43812KAC7	HAROT_10-2 ABS 10-2 A3			2	1FE	3,721,476.68	100.459	3,739,014.04	3,721,930.38	3,721,752.53	17,261.51		166.04		—	—	1.34	1.349	Monthly	1,801.01	37,405.00	5/12/2010	5/20/2013
43813BAC6	HAROT_2010-3 ABS_10-3 A3			2	1FE	1,377,255.86	100.023	1,375,321.42	1,375,000.00	1,377,051.45	(1,730.03	)	(204.41	)	—	—	0.7	0.559	Monthly	267.36	802.00	8/18/2011	5/21/2013
43813TAD5	HAROT_11-1 ABS_11-1 A4			2	1FE	2,199,414.14	102.12	2,246,632.17	2,200,000.00	2,199,517.26	47,114.91		103.12		—	—	1.8	1.815	Monthly	1,760.00	22,110.00	2/17/2011	4/17/2017
438516AY2	HONEYWELL INTERNATIONAL INC CORP BND				1FE	526,105.00	106.91	534,549.11	500,000.00	515,863.71	18,685.40		(4,826.07	)	—	—	3.875	2.489	Feb-Aug	2,475.69	19,375.00	2/17/2010	2/15/2014
44328MAB0	HSBC BANK PLC CORP BND 144A		F		1FE	3,497,130.00	102.289	3,580,109.19	3,500,000.00	3,497,807.13	82,302.06		406.19		—	—	3.5	3.518	Jun-Dec	31,645.83	61,250.00	6/21/2010	6/28/2015
44328MAD6	HSBC BANK PLC CORP BOND 144A		F		1FE	7,042,386.00	99.218	6,994,862.73	7,050,000.00	7,045,225.49	(50,362.76	)	1,880.31		—	—	1.625	1.662	Feb-Aug	15,593.23	114,563.00	8/5/2010	8/12/2013
44920UAC2	HYUNDAI CAP SVC CORP BND 144A		F		2FE	2,982,210.00	99.228	2,976,826.71	3,000,000.00	2,984,182.92	(7,356.21	)	1,972.92		—	—	4.375	4.498	Jan-Jul	23,333.33	65,625.00	1/20/2011	7/27/2016
44923WAB7	HART ABS 10-A A2			2	1FE	672,350.76	100.02	672,526.19	672,391.71	672,388.62	137.57		111.24		—	—	0.86	0.867	Monthly	257.00	4,337.00	5/5/2010	11/15/2012

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST						DATES
							8	9														20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19		GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST		DURING YEAR	21 ACQUIRED	22 MATURITY
44923WAD3	HART ABS 10-A 4			2	1FE	8,149,863.90	103.634	8,446,135.14	8,150,000.00	8,149,813.19	296,321.95		(66.71	)	—	—	2.45	2.462	Monthly	8,874.44		149,756.00	5/5/2010	12/15/2016
44923YAC1	HART_10-B ABS 10-B A3			2	1FE	3,899,304.42	100.2	3,907,800.00	3,900,000.00	3,899,616.75	8,183.25		214.85		—	—	0.97	0.979	Monthly	1,681.34		28,373.00	8/19/2010	4/15/2015
44923YAD9	HART_10-B ABS_10-B A4			2	1FE	7,549,294.08	101.55	7,667,025.00	7,550,000.00	7,549,478.36	117,546.64		123.71		—	—	1.63	1.638	Monthly	5,469.56		92,299.00	8/19/2010	3/15/2017
44924EAB6	IBM INTL GROUP CAPITAL CORP BND				1FE	6,015,244.20	104.737	6,305,168.72	6,020,000.00	6,018,893.38	286,275.34		684.15		—	—	5.05	5.068	Apr-Oct	134,271.08		152,005.00	10/17/2007	10/22/2012
449786AN2	ING BANK INTERNATIONALE NEDERL CORP BND		F		1FE	2,375,000.00	98.298	2,334,577.43	2,375,000.00	2,375,000.00	(40,422.57	)	—		—	—	1.73683	1.652	M-J-S-D	2,520.82		10,023.00	6/1/2011	6/9/2014
45073CAF7	IASIS HLTHCARE CORP TERM LOAN			1	1Z	—	93.4	—	—	—	—		—		—	—	#N/A	0.2	#N/A	—		46,868.00	8/19/2011	4/29/2018
4521518T3	ILLINOIS ST MUNI BND GO				1FE	3,144,919.00	101.73	3,153,630.09	3,100,000.00	3,119,391.02	34,239.07		(11,335.37	)	—	—	3.321	2.808	Jan-Jul	25,737.75		102,951.00	1/12/2010	1/1/2013
4521518V8	ILLINOIS ST MUNI BND GO				1FE	2,300,000.00	104.006	2,392,137.75	2,300,000.00	2,300,000.00	92,137.75		—		—	—	4.421	4.421	Jan-Jul	25,420.75		101,683.00	1/8/2010	1/1/2015
458140AH3	INTEL CORPORATION CORP BND				1FE	1,797,246.00	100.714	1,812,855.65	1,800,000.00	1,797,257.93	15,597.72		11.93		—	—	1.95	1.982	Apr-Oct	1,170.00		—	9/14/2011	10/1/2016
45818WAE6	INTER-AMERICAN DEV BK CORP BND		F		1FE	5,679,368.80	101.107	5,661,992.11	5,600,000.00	5,667,437.58	(5,445.47	)	(11,931.22	)	—	—	0.74778	0.31	F-M-A-N	4,652.85		20,686.00	4/8/2011	5/20/2014
4581X0AF5	INTER-AMERICAN DEV BK CORP BND EMTN		F		1FE	7,418,582.14	105.435	7,591,320.36	7,200,000.00	7,347,136.49	244,183.87		(60,662.76	)	—	—	3.5	2.314	Jan-Jul	58,100.00		252,000.00	11/12/2010	7/8/2013
4581X0AT5	INTER-AMERICAN DEV BK CORP BND		F		1FE	16,616,493.09	104.662	16,306,340.07	15,580,000.00	15,995,010.09	311,329.98		(289,920.07	)	—	—	4.75	2.168	Apr-Oct	333,022.50		370,025.00	2/19/2010	10/19/2012
4581X0BM9	INTER-AMERICAN DEV BK CORP BND		F		1FE	998,720.00	102.172	1,021,719.97	1,000,000.00	999,256.10	22,463.87		305.74		—	—	1.625	1.667	Jan-Jul	3,430.56		16,250.00	5/26/2010	7/15/2013
459058AE3	INTL BANK FOR RECON & DEVELOP SENIOR		F		2FE	5,209,150.00	100.318	5,015,894.75	5,000,000.00	5,013,431.98	2,462.77		(81,964.49	)	—	—	3.125	0.918	May-Nov	59,027.78		78,125.00	12/10/2009	11/15/2011
459200GN5	IBM CORP CORP BND				1FE	3,209,710.75	111.279	3,227,077.06	2,900,000.00	3,049,169.45	177,907.61		(51,902.01	)	—	—	6.5	3.849	Apr-Oct	86,919.45		94,250.00	6/11/2009	10/15/2013
459200GR6	IBM CORP CORP BND				1FE	4,796,112.00	102.374	4,913,928.96	4,800,000.00	4,798,189.80	115,739.16		982.97		—	—	2.1	2.124	May-Nov	40,600.00		50,400.00	11/3/2009	5/6/2013
459200GT2	IBM CORP CORP BND				1FE	4,987,545.58	100.357	5,017,860.40	5,000,000.00	4,992,037.51	25,822.89		5,052.92		—	—	1	1.087	Feb-Aug	7,777.78		50,000.00	11/12/2010	8/5/2013
459200GW5	IBM CORP CORP BND				1FE	4,995,300.00	100.842	5,042,102.80	5,000,000.00	4,995,894.91	46,207.89		594.91		—	—	1.25	1.282	May-Nov	24,131.94		—	5/9/2011	5/12/2014
45950KAT7	INTERNATIONAL FINANCE CO CORP BND		F		1FE	4,683,362.00	102.501	4,922,545.37	4,700,000.00	4,694,352.31	228,193.06		2,497.38		—	—	3.5	3.577	May-Nov	62,144.45		82,250.00	4/21/2008	5/15/2013
45950KAZ3	INTERNATIONAL FINANCE CO CORP BND		F		1FE	9,756,880.00	106.102	10,079,690.48	9,500,000.00	9,654,249.56	425,440.92		(43,364.32	)	—	—	3	2.342	Apr-Oct	125,875.00		142,500.00	12/11/2009	4/22/2014
46262FAF9	IPAYMENT INC. TERM LOAN			1		—	97	—	—	—	—		—		—	—	#N/A	0.083	#N/A	—		18,138.00	5/3/2011	4/20/2017
46613BAB3	J CREW GROUP INC TERM LOAN				4FE	—	88.65	—	—	—	—		—		—	—	#N/A	0.514	#N/A	—		24,603.00	8/18/2011	2/1/2018
46623EJC4	JPMORGAN CHASE & CO CORP BND				1FE	1,647,101.20	99.887	1,638,146.82	1,640,000.00	1,644,978.68	(6,831.86	)	(1,831.13	)	—	—	1.11856	0.888	M-J-S-D	50.96		12,967.00	11/16/2010	9/30/2013
46623EJF7	JPMORGAN CHASE & CO CORP BND MTN				1FE	5,775,000.00	98.891	5,710,955.20	5,775,000.00	5,775,000.00	(64,044.80	)	—		—	—	1.053	1.103	J-A-J-O	11,486.48		31,777.00	1/14/2011	1/24/2014
46623EJH3	JPMORGAN CHASE & CO CORP BND MTN				1FE	7,152,775.00	98.484	7,041,606.07	7,150,000.00	7,152,466.23	(110,860.16	)	(405.11	)	—	—	1.09711	1.011	M-J-S-D	3,486.38		27,159.00	5/31/2011	5/2/2014
46625HCE8	JPMORGAN CHASE & CO CORP BND				1FE	182,024.50	105.808	185,163.33	175,000.00	179,669.24	5,494.09		(938.63	)	—	—	4.75	3.908	Mar-Sep	692.71		8,313.00	10/29/2009	3/1/2015
46625HGT1	JPMORGAN CHASE & CO CORP BND				1FE	5,222,250.00	104.338	5,216,895.30	5,000,000.00	5,051,571.77	165,323.53		(37,061.49	)	—	—	5.375	4.31	Apr-Oct	134,375.00		134,375.00	1/30/2008	10/1/2012
46625HHB9	JPMORGAN CHASE & CO CORP BND				1FE	7,647,350.00	104.978	7,873,319.40	7,500,000.00	7,581,619.82	291,699.58		(37,445.36	)	—	—	4.75	4.028	May-Nov	148,437.50		178,125.00	4/23/2010	5/1/2013
46625HHN3	JPMORGAN CHASE & CO CORP BND				1FE	3,390,096.00	106.114	3,395,632.80	3,200,000.00	3,316,293.54	79,339.26		(30,931.23	)	—	—	4.65	3.216	Jun-Dec	49,600.00		74,400.00	12/16/2009	6/1/2014
46625HHP8	JPMORGAN CHASE & CO CORP BND				1FE	8,568,850.00	102.659	8,725,975.14	8,500,000.00	8,548,607.89	177,367.25		(11,112.09	)	—	—	3.7	3.515	Jan-Jul	62,026.39		314,500.00	3/18/2010	1/20/2015
46625HHX1	JPMORGAN CHASE & CO CORP BND				1FE	9,080,410.00	99.998	8,999,863.38	9,000,000.00	9,075,177.42	(75,314.04	)	(5,232.58	)	—	—	3.45	3.245	Mar-Sep	25,875.00		161,288.00	5/16/2011	3/1/2016
46625HJC5	J.P. MORGAN CHASE SECURITIES I CORP BND				1FE	—		—	—	—	—		23.27		—	—	4.35	0	Feb-Aug	(398.76	)	—	8/3/2011	8/15/2021
47759FAB6	JO-ANN STORES TERM LOAN				4FE	—	92.458	—	—	—	—		—		—	—	#N/A	0.141	#N/A	—		63,999.00	3/15/2011	3/31/2018
477874AC5	JDOT_09 ABS 09 A3			2	1FE	231,130.09	100.378	229,325.76	228,461.72	229,065.81	259.95		(7,926.94	)	—	—	2.59	1.306	Monthly	262.98		4,438.00	5/13/2010	2/15/2012
47787AAD9	JDOT_10-A ABS 10-A-A3			2	1FE	876,952.88	100.36	880,236.93	877,079.44	877,026.85	3,210.08		58.20		—	—	1.32	1.33	Monthly	514.55		8,683.00	4/15/2010	5/15/2014
478160AP9	J & J MEDICAL CORP BND		R		1FE	1,056,318.58	103.97	1,039,701.60	1,000,000.00	1,028,170.82	11,530.78		(66,273.96	)	—	—	5.15	1.877	Feb-Aug	6,580.56		51,500.00	11/12/2010	8/15/2012
478160AW4	JOHNSON & JOHNSON CORP BND				1FE	122,861.25	106.217	132,771.34	125,000.00	123,069.40	9,701.94		776.47		—	—	2.95	3.15	Mar-Sep	307.29		3,831.00	8/12/2010	9/1/2020
478160AX2	JOHNSON & JOHNSON CORP BND				1FE	6,991,810.00	101.236	7,086,542.96	7,000,000.00	6,992,790.53	93,752.43		980.53		—	—	1.2	1.24	May-Nov	30,566.67		—	5/17/2011	5/15/2014
478366AY3	JOHNSON CONTROLS INC CORP BND				2FE	5,400,000.00	99.995	5,399,730.16	5,400,000.00	5,400,000.00	(269.84	)	—		—	—	0.67444	0.721	F-M-A-N	5,867.63		19,006.00	2/1/2011	2/4/2014
479403AB3	JOHNSTON RE LTD CORP BND 144A				3FE	5,000,000.00	102.243	5,112,150.00	5,000,000.00	5,000,000.00	112,150.00		—		—	—	6.515	0	M-J-S-D	20,811.81		247,480.00	4/30/2010	5/8/2013
479403AC1	JOHNSTON RE LTD CORP BND 144A		F		3FE	3,500,000.00	103.295	3,615,325.00	3,500,000.00	3,500,000.00	115,325.00		—		—	—	7.615	7.67	M-J-S-D	17,027.99		84,277.00	5/9/2011	5/8/2014
481247AE4	JPMORGAN CHASE & CO-GTD CORP BND GOVT				1FE	10,269,800.00	101.276	10,127,614.90	10,000,000.00	10,100,884.10	26,730.80		(103,791.79	)	—	—	2.125	0.725	Jun-Dec	58,437.50		106,250.00	7/7/2010	6/22/2012
481247AK0	JPMORGAN CHASE BANK NA - GTD CORP BND				1FE	2,523,434.50	101.336	2,558,744.33	2,525,000.00	2,524,649.55	34,094.78		366.71		—	—	2.2	2.22	Jun-Dec	16,356.39		27,775.00	2/18/2009	6/15/2012
48238NAC6	ADESA TERM LOAN				3FE	—	0	—	—	—	—		—		—	—	#N/A	0	#N/A	—		—	00/00/0000	10/21/2013
49328CAA3	KEYBANK NA - GTD CORP BND GOVT GUAR				1FE	2,088,898.00	102.03	2,040,592.90	2,000,000.00	2,026,391.05	14,201.85		(27,778.24	)	—	—	3.2	1.312	Jun-Dec	18,844.44		32,000.00	1/15/2010	6/15/2012
494550BG0	KINDER MORGAN ENERGY PARTNERS CORP BND				2FE	1,149,793.00	102.678	1,180,802.20	1,150,000.00	1,149,812.53	30,989.67		19.53		—	—	3.5	3.504	Mar-Sep	3,354.17		19,790.00	2/23/2011	3/1/2016
49925JAE7	KWKF_20-10 ABS 10-1 A			2	1FE	913,787.01	98.295	910,803.90	926,602.47	914,579.51	(3,775.61	)	1,177.76		—	—	1.26178	1.407	F-M-A-N	1,201.65		8,657.00	9/15/2010	2/25/2042
50075NAX2	KRAFT FOODS INC. CORP BND				2FE	2,609,190.00	111.686	2,512,940.42	2,250,000.00	2,496,142.70	16,797.72		(79,370.65	)	—	—	6.75	2.024	Feb-Aug	17,718.75		151,875.00	8/10/2010	2/19/2014
50075NBA1	KRAFT FOODS INC. CORP BND				2FE	3,433,860.00	112.872	3,386,148.60	3,000,000.00	3,427,462.46	(41,313.86	)	(6,397.54	)	—	—	5.375	3.402	Feb-Aug	22,843.75		80,625.00	8/4/2011	2/10/2020
50075NBB9	KRAFT FOODS INC. CORP BND				2FE	12,257,370.00	106.878	12,023,765.32	11,250,000.00	12,162,475.40	(138,710.08	)	(78,648.59	)	—	—	4.125	2.163	Feb-Aug	67,031.25		216,563.00	8/4/2011	2/9/2016
500769AX2	KREDITANSTALT FUER WIDERAUFBAU CORP BND		F		1FE	15,891,001.50	109.954	16,493,100.30	15,000,000.00	15,544,047.56	949,052.74		(126,686.79	)	—	—	4.125	2.87	Apr-Oct	285,312.50		309,375.00	8/31/2009	10/15/2014
500769DG6	KFW GROUP CORP BND GOVT GUAR		F		1FE	5,068,965.55	100.946	5,047,318.95	5,000,000.00	5,017,516.57	29,802.38		(29,738.93	)	—	—	2.25	1.597	Apr-Oct	51,562.50		56,250.00	2/19/2010	4/16/2012
500769EK6	KREDITANSTALT FUER WIDERAUFBAU CORP BND		F		1FE	10,674,685.00	102.106	10,721,130.32	10,500,000.00	10,660,103.10	61,027.22		(14,581.90	)	—	—	1.5	0.884	Apr-Oct	77,437.50		—	7/12/2011	4/4/2014
500769EM2	KREDITANSTALT FUER WIEDERAUFBA CORP BND		F		1	5,008,050.00	103.427	5,171,350.10	5,000,000.00	5,007,541.43	163,808.67		(508.57	)	—	—	2	1.966	Jun-Dec	33,333.33		—	5/27/2011	6/1/2016
500769EP5	KREDITANSTALT FUER WIDERAUFBAU CORP BND		F		1FE	14,500,000.00	99.948	14,492,459.71	14,500,000.00	14,500,000.00	(7,540.29	)	—		—	—	0.23994	0.195	Monthly	1,159.71		7,740.00	6/8/2011	6/17/2013
51218TAA5	LAKESIDE RE II LTD CORP BND 144A		F		3FE	9,750,000.00	103.807	10,121,182.50	9,750,000.00	9,750,000.00	371,182.50		—		—	—	7.75	7.895	M-J-S-D	2,098.96		573,056.00	12/18/2009	1/8/2013
515110BA1	LANDWIRTSCHAFTLICHE RENTENBANK CORP BND		F		1FE	2,844,043.50	101.252	2,885,681.97	2,850,000.00	2,848,014.65	37,667.32		1,483.70		—	—	1.875	1.947	Mar-Sep	1,039.06		53,438.00	9/15/2009	9/24/2012
515110BE3	LANDWIRTSCHAFTLICHE RENTENBANK CORP BND		F			1,396,374.00	103.514	1,449,196.11	1,400,000.00	1,396,586.56	52,609.55		212.56		—	—	2.125	2.179	Jan-Jul	6,280.56		3,719.00	5/23/2011	7/15/2016
52205VAA3	LEASEPLAN CORPORATION NV - GTD CORP BND		F		1FE	23,629,630.20	100.948	23,471,665.27	23,130,000.00	23,313,600.53	158,064.74		(244,881.01	)	—	—	3	1.665	May-Nov	277,560.00		346,950.00	10/28/2010	5/7/2012
52520MBU6	LMT WHOLE CMO 05-2			2	NR*Z*	572,657.99	99.607	570,832.72	573,087.25	570,809.57	23.15		4,586.19		—	—	5.5	5.499	Monthly	2,626.65		23,640.00	5/19/2008	12/25/2035
532457AU2	ELI LILLY AND COMPANY CORP BND				1FE	1,279,565.40	109.051	1,234,559.79	1,205,000.00	1,234,491.61	68.18		(45,073.79	)	—	—	6	0.617	Mar-Sep	3,213.33		72,300.00	1/13/2011	3/15/2012
532457BE7	ELI LILLY AND COMPANY CORP BND				1FE	2,087,017.00	107.983	2,051,681.24	1,900,000.00	2,036,698.51	14,982.73		(41,174.56	)	—	—	4.2	1.189	Mar-Sep	5,541.67		79,800.00	10/28/2010	3/6/2014
53803HAF7	LIVE NATION INC TERM LOAN				3FE	—	96.708	—	—	—	—		—		—	—	#N/A	0.48	#N/A	—		—	9/30/2011	11/7/2016
539473AD0	LLOYDS TSB BANK PLC - GTD CORP BND GOVT		F		1FE	5,105,375.00	100.461	5,023,049.55	5,000,000.00	5,022,805.15	244.40		(33,774.36	)	—	—	1.24575	0.393	J-A-J-O	15,398.85		49,418.00	11/25/2009	4/2/2012
539830AX7	LOCKHEED MARTIN CORPORATION CORP BND				2FE	7,998,000.00	99.649	7,971,958.00	8,000,000.00	7,998,033.63	(26,075.63	)	33.63		—	—	2.125	2.13	Mar-Sep	10,388.89		—	9/23/2011	9/15/2016
55263ECH6	MBNA CORPORATION CORP BND				1FE	352,687.50	96.24	332,066.61	330,000.00	336,872.33	(4,805.72	)	(3,440.03	)	—	—	6.125	4.59	Mar-Sep	1,684.38		20,213.00	1/30/2008	3/1/2013
55264TCX7	MBNAS ABS 05-A2			2	1FE	5,000,000.00	100	4,999,975.50	5,000,000.00	5,000,000.00	(24.50	)	—		—	—	0.309	0.309	Monthly	686.67		3,497.00	7/7/2011	10/15/2014
55607EAA8	MACQUARIE GROUP LTD -GTD CORP BND GOVT		F		1FE	4,678,890.29	106.859	4,808,655.05	4,500,000.00	4,605,824.37	202,830.68		(34,327.85	)	—	—	4.1	2.992	Jun-Dec	53,300.00		92,250.00	2/19/2010	12/17/2013
55607EAD2	MACQUARIE BANK LTD - GTD CORP BND GOVT		F		1FE	3,549,726.04	100.61	3,521,347.62	3,500,000.00	3,507,920.68	13,426.94		(19,550.16	)	—	—	2.6	1.843	Jan-Jul	17,947.22		91,000.00	2/19/2010	1/20/2012
57583PEM7	MASSACHUSETTS ST MUNITAX BND REV					4,625,000.00	106.41	4,921,462.69	4,625,000.00	4,625,000.00	296,462.69		—		—	—	2.983	2.983	Jun-Dec	40,622.66		65,916.00	12/15/2010	12/15/2015
580169AM2	MCDONNELL DOUGLAS CORP CORP BND				1FE	5,169,456.25	104.348	4,565,226.97	4,375,000.00	4,467,283.98	97,942.99		(133,110.17	)	—	—	9.75	5.417	Apr-Oct	213,281.25		213,281.00	5/31/2007	4/1/2012
58404JAE8	MEDASSETS INC LN1 TERM LOAN					—	97.625	—	—	—	—		—		—	—	#N/A	0.819	#N/A	—		1,784.00	8/19/2011	11/15/2016
585055AU0	MEDTRONIC INC CORP BND				1FE	6,968,430.00	103.953	7,276,719.31	7,000,000.00	6,971,662.94	305,056.37		3,232.94		—	—	2.625	2.722	Mar-Sep	8,166.67		91,875.00	3/10/2011	3/15/2016
58515UAM1	MEG ENERGY CORP TERM LOAN		A	1	1F	—	97.804	—	—	—	—		—		—	—	#N/A	-0.33	#N/A	—		119,556.00	5/19/2011	3/18/2012
587682AC9	MBART_10-A ABS 10-A-A3			2	1FE	758,859.55	100.597	763,535.71	759,005.66	758,946.51	4,589.20		51.20		—	—	1.42	1.433	Monthly	479.02		8,083.00	4/13/2010	8/15/2014
589331AK3	MERCK & CO INC CORP BND				1FE	8,701,862.50	111.849	8,947,885.76	8,000,000.00	8,485,912.33	461,973.43		(99,819.65	)	—	—	4.75	2.871	Mar-Sep	31,666.67		380,000.00	2/17/2010	3/1/2015
59018YM40	MERRILL LYNCH & CO INC CORP BND				1FE	5,069,223.87	98.969	4,948,451.60	5,000,000.00	5,032,713.10	(84,261.50	)	(17,354.65	)	—	—	5.45	4.941	Feb-Aug	42,388.89		272,500.00	2/19/2010	2/5/2013
59018YN56	MERRILL LYNCH & CO INC CORP BND MTN				1FE	3,256,943.51	99.11	3,022,844.54	3,050,000.00	3,163,777.36	(140,932.82	)	(87,719.56	)	—	—	6.15	3.675	Apr-Oct	81,282.50		93,788.00	11/12/2010	4/25/2013
59018YTZ4	MERRILL LYNCH & CO INC CORP BND				1FE	2,251,650.00	97.541	2,072,736.05	2,125,000.00	2,205,895.31	(133,159.26	)	(20,314.06	)	—	—	5.45	3.993	Jan-Jul	24,449.30		115,813.00	1/6/2010	7/15/2014
59266MAE6	METROPCS WIRELESS INC TERM LOAN			2	1Z	—	95.65	—	—	—	—		—		—	—	#N/A	0.275	#N/A	—		66,554.00	8/15/2011	3/31/2018
594088AF3	MICHAELS STORES INC. TERM LOAN					—	95.313	—	—	—	—		—		—	—	#N/A	0.073	#N/A	—		19,611.00	6/22/2011	7/31/2016
594918AF1	MICROSOFT CORPORATION CORP BND				1FE	12,542,492.50	100.435	12,529,292.57	12,475,000.00	12,534,148.65	(4,856.08	)	(7,703.24	)	—	—	0.875	0.635	Mar-Sep	1,212.86		65,406.00	7/13/2011	9/27/2013
594918AG9	MICROSOFT CORPORATION CORP BND				1FE	3,395,238.00	101.063	3,387,645.43	3,352,000.00	3,396,096.34	(8,450.91	)	3,129.05		—	—	1.625	1.283	Mar-Sep	1,226.34		16,160.00	9/29/2011	9/25/2015
59514UAD0	MICROSEMI CORPORATION TERM LOAN			1	1Z	—	99.125	—	—	—	—		—		—	—	#N/A	0.614	#N/A	—		—	8/26/2011	10/25/2017
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO CORP BND				1FE	14,515,750.75	103.482	14,589,004.81	13,255,000.00	14,157,339.41	431,665.40		(215,516.02	)	—	—	4.65	2.287	Apr-Oct	308,178.75		308,179.00	7/29/2010	10/1/2014
6174466Q7	MORGAN STANLEY CORP BND MTN				1FE	4,839,868.80	99.46	4,439,898.46	4,464,000.00	4,834,347.73	(394,449.27	)	(5,521.07	)	—	—	6.625	5.109	Apr-Oct	147,870.00		—	8/12/2011	4/1/2018
6174467N3	MORGAN STANLEY CORP BND				1FE	3,035,220.00	93.751	2,812,524.02	3,000,000.00	3,028,849.24	(216,325.22	)	(7,844.46	)	—	—	4	3.725	Jan-Jul	22,333.34		119,333.00	10/15/2010	7/24/2015
617446B99	MORGAN STANLEY CORP BND				1FE	469,255.00	0	453,275.00	500,000.00	483,023.52	(29,748.52	)	5,409.91		—	—	0.54605	2.096	J-A-J-O	621.89		2,243.00	10/22/2009	1/9/2014
617446H51	MORGAN STANLEY CORP BND				1FE	6,256,312.80	95.838	5,702,351.30	5,950,000.00	6,221,153.87	(518,802.57	)	(33,981.07	)	—	—	5.55	4.612	Apr-Oct	141,262.92		142,635.00	8/29/2011	4/27/2017
617446HC6	MORGAN STANLEY CORP BND				1FE	560,894.25	102.18	536,443.48	525,000.00	529,691.84	6,751.64		(6,795.86	)	—	—	6.6	4.77	Apr-Oct	17,325.00		17,325.00	1/25/2008	4/1/2012
617446HR3	MORGAN STANLEY CORP BND				1FE	1,205,448.75	100.327	1,128,680.77	1,125,000.00	1,179,158.33	(50,477.56	)	(43,568.20	)	—	—	5.3	1.843	Mar-Sep	4,968.75		59,625.00	1/12/2011	3/1/2013
617446V89	MORGAN STANLEY CORP BND MTN				1FE	542,275.00	103.6	516,520.00	500,000.00	514,684.57	1,835.43		(11,724.10	)	—	—	5.75	2.482	Feb-Aug	2,475.69		28,750.00	12/16/2009	8/31/2012
61746BCW4	MORGAN STANLEY & CO. CORP BND GMTN				1FE	2,978,670.00	100.901	3,027,029.82	3,000,000.00	2,998,543.10	28,486.72		3,938.89		—	—	5.625	5.809	Jan-Jul	38,437.50		168,750.00	8/14/2007	1/9/2012
61746REV9	MSAC ABS 04-H1			2	1FE	941,018.20	51.241	736,720.07	939,550.16	940,582.62	(203,862.55	)	(93.87	)	—	—	0.97456	0.962	Monthly	127.17		6,876.00	1/25/2011	1/25/2034
61746SBQ1	MORGAN STANLEY CORP BND				1FE	5,228,135.00	84.448	4,644,639.89	5,500,000.00	5,267,914.87	(623,274.98	)	39,779.87		—	—	0.72925	1.841	J-A-J-O	8,690.23		32,109.00	1/5/2011	10/15/2015
61747WAE9	MORGAN STANLEY CORP BND				1FE	7,041,242.50	93.298	6,530,859.80	7,000,000.00	7,032,678.24	(501,818.44	)	(8,564.26	)	—	—	1.853	1.703	J-A-J-O	24,500.77		66,459.00	2/11/2011	1/24/2014
61747WAK5	MORGAN STANLEY CORP BND				1FE	874,798.75	94.152	823,833.61	875,000.00	874,810.18	(50,976.57	)	11.43		—	—	2.875	2.883	Jan-Jul	4,402.34		—	7/21/2011	7/28/2014
61747YCE3	MORGAN STANLEY CORP BND MTN				1FE	7,831,200.00	99.836	7,487,706.75	7,500,000.00	7,823,214.34	(335,507.59	)	(28,434.22	)	—	—	6	4.668	Apr-Oct	189,535.00		—	9/23/2011	4/28/2015

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST						DATES
							8	9														20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19		GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST		DURING YEAR	21 ACQUIRED	22 MATURITY
61747YCF0	MORGAN STANLEY CORP BND				1FE	3,497,722.25	101.14	3,261,761.78	3,225,000.00	3,441,262.22	(179,500.44	)	(87,757.44	)	—	—	6	3.303	May-Nov	74,175.00		96,750.00	1/6/2011	5/13/2014
61747YCT0	MORGAN STANLEY CORP BND				1FE	2,973,096.00	91.726	2,728,857.27	2,975,000.00	2,973,419.97	(244,562.70	)	857.44		—	—	3.45	3.464	May-Nov	42,480.52		51,319.00	10/26/2010	11/2/2015
61747YDC6	MORGAN STANLEY CORP BND				1FE	18,425,000.00	94.493	17,410,334.52	18,425,000.00	18,425,000.00	(1,014,665.48	)	—		—	—	1.23285	1.253	J-A-J-O	40,382.69		58,369.00	4/26/2011	4/29/2013
61757UAH3	MORGAN STANLEY-GTD CORP BND GOVT GUAR				1FE	11,934,254.00	101.216	12,145,959.36	12,000,000.00	11,987,142.20	158,817.16		15,340.53		—	—	1.95	2.101	Jun-Dec	65,650.00		117,000.00	1/6/2010	6/20/2012
61760RAZ5	MSC_11-C3 A2 CMBS_11-C3 A2			2	1FE	7,776,766.69	101.343	7,803,414.08	7,700,000.00	7,776,766.69	26,647.39		—		—	—	3.224	3.176	Monthly	2,758.31		—	9/14/2011	7/15/2049
62888UAA8	NGN_10-R2 CMBS_10-R2 1A			2		4,735,123.64	100.031	4,736,591.53	4,735,123.64	4,735,123.64	1,467.89		—		—	—	0.59439	0.595	Monthly	1,951.42		13,821.00	6/10/2011	11/6/2017
62888VAA6	NCUA GUARANTEED NOTES NGN_10-R CMO_10-R1			2	1FE	1,540,410.10	100.156	1,542,813.14	1,540,410.10	1,540,410.10	2,403.04		—		—	—	0.67439	0.675	Monthly	721.30		2,530.00	6/10/2011	10/7/2020
62888VAB4	NCUA GUARANTEED NOTES AGENCY CMO_10-R1			2	1FE	726,572.35	101.258	735,779.09	726,637.98	726,582.96	9,196.13		35.73		—	—	1.84	1.85	Monthly	1,002.76		4,558.00	9/7/2011	10/7/2020
62888XAC8	NCUA_10-C1 CMBS_10-C1 A-PT			2	1FE	4,772,275.06	103.764	4,961,740.13	4,781,754.87	4,773,768.10	187,972.03		1,506.78		—	—	2.65	2.736	Monthly	1,407.97		48,488.00	9/7/2011	10/29/2020
62888YAA0	NGN_11-R1 CMO_11-R1 IA			2	1	4,286,679.44	100.297	4,297,644.93	4,284,918.72	4,286,546.42	11,098.51		(264.25	)	—	—	0.67439	0.664	Monthly	2,003.94		11,542.00	6/10/2011	1/8/2020
62889AAA1	NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A			2	1FE	2,655,947.34	100.203	2,661,338.91	2,655,947.34	2,655,947.34	5,391.57		—		—	—	0.57439	0.575	Monthly	942.69		7,029.00	6/10/2011	12/7/2020
62889EAA3	NGN_11-R3 NGN_11-R3 1A			2	NR*Z*	4,903,665.43	100	4,903,665.43	4,903,665.43	4,903,665.43	—		—		—	—	0.625	0.626	Monthly	1,947.43		11,329.00	6/10/2011	3/11/2020
62889FAA0	NGN_11-R4 CMO_11R4-1A			2	1FE	5,301,946.68	100	5,301,946.68	5,301,946.68	5,301,946.68	—		—		—	—	0.60439	0.605	Monthly	2,307.38		10,343.00	6/10/2011	3/6/2020
62889GAA8	NCUA GUARANTEED NOTES CMO 11-R5 1A			2	1FE	5,316,553.94	100	5,316,553.94	5,316,553.94	5,316,553.94	—		—		—	—	0.60439	0.605	Monthly	2,227.96		9,797.00	6/10/2011	4/6/2020
62889JAA2	NCUA GUARANTEED NOTES CMO_11-R6 1A			2	1FE	5,146,543.38	100	5,146,543.38	5,146,543.38	5,146,543.38	—		—		—	—	0.60439	0.605	Monthly	2,239.75		8,707.00	6/10/2011	5/7/2020
62889KAA9	NATIONAL CREDIT UNION ADMINIST AGENCY				1	3,200,000.00	99.966	3,198,912.00	3,200,000.00	3,200,000.00	(1,088.00	)	—		—	—	0.245	0.205	Monthly	413.78		1,667.00	6/8/2011	6/12/2013
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO			2	1FE	932,506.22	94.686	902,165.29	922,987.90	931,857.49	(29,692.20	)	(664.36	)	—	—	6.5	6.271	Monthly	4,999.52		44,996.00	10/3/2007	2/25/2035
6325C0AV3	NATIONAL AUSTRALIA BANK LIMITE CORP BND		F		1FE	8,188,453.32	106.321	8,505,679.92	8,000,000.00	8,144,466.79	361,213.13		(37,426.07	)	—	—	3.375	2.693	Jan-Jul	62,250.00		270,000.00	11/12/2010	7/8/2014
6325C0CA7	NATIONAL AUSTRALIA BANK LIMITE SENIOR		F		1FE	9,600,000.00	99.677	9,568,992.19	9,600,000.00	9,600,000.00	(31,007.81	)	—		—	—	0.96605	1.01	J-A-J-O	21,124.30		24,489.00	4/6/2011	4/11/2014
63307EAA5	NATIONAL BK OF CANADA CORP BND 144A		A		1FE	2,499,350.00	101.673	2,541,824.93	2,500,000.00	2,499,492.74	42,332.19		142.74		—	—	1.65	1.659	Jan-Jul	6,989.58		20,625.00	1/24/2011	1/30/2014
637432MM4	NATIONAL RURAL UTILITIES SECURED CORP				1FE	2,998,950.00	100.145	3,004,347.60	3,000,000.00	2,999,266.81	5,080.79		258.57		—	—	1.125	1.137	May-Nov	14,062.50		16,875.00	10/25/2010	11/1/2013
63946BAA8	NBC UNIVERSAL MEDIA LLC CORP BND				2FE	2,599,743.39	101.558	2,640,509.15	2,600,000.00	2,599,777.05	40,732.10		33.66		—	—	2.1	1.33	Apr-Oct	27,300.00		—	8/22/2011	4/1/2014
63946BAC4	NBC UNIVERSAL MEDIA LLC CORP BND				2	999,531.28	101.587	1,015,872.50	1,000,000.00	999,558.72	16,313.78		123.47		—	—	2.875	2.886	Apr-Oct	14,375.00		—	8/22/2011	4/1/2016
63968AQE8	NEBRASKA PUB PWR DIST MUNITAX BND REV				1FE	1,329,837.50	104.001	1,300,012.49	1,250,000.00	1,283,546.50	16,465.99		(19,766.28	)	—	—	4.135	1.95	Jan-Jul	12,921.88		51,688.00	12/17/2009	1/1/2013
64031BAA2	NLST_10-3A ABS_10-3A A			2	1FE	1,054,546.55	100.05	1,055,073.85	1,054,546.55	1,054,546.55	527.30		—		—	—	1.033	1.034	J-A-J-O	2,057.65		8,544.00	7/28/2010	7/27/2048
65475HAB7	NALT_11-A ABS_11-A A2A			2	1FE	4,674,945.77	99.949	4,672,615.61	4,675,000.00	4,674,947.42	(2,331.81	)	1.65		—	—	0.7	0.701	Monthly	1,454.44		4,636.00	7/14/2011	1/15/2014
65475NAD0	NISSAN AUTO LEASE TRUST NALT_1 ABS_11-B			2	1FE	1,199,775.12	99.98	1,199,760.00	1,200,000.00	1,199,776.07	(16.07	)	0.95		—	—	0.92	0.932	Monthly	92.00		—	9/21/2011	2/16/2015
65475VAC4	NAROT ABS 09-1 A3			2	1FE	1,542,207.50	101.656	1,515,183.59	1,490,505.59	1,511,026.99	4,156.60		(64,490.74	)	—	—	5	2.236	Monthly	3,312.23		55,894.00	5/24/2010	9/15/2012
65557CAG8	NORDEA BANK AB CORP BND 144A		F		1FE	6,975,000.00	100.47	7,007,783.12	6,975,000.00	6,975,000.00	32,783.12		—		—	—	1.149	1.203	J-A-J-O	17,586.89		41,778.00	1/11/2011	1/14/2014
65558AAA4	NORDEA EIENDOMSKREDITT CORP BND 144A		F			18,054,005.00	101.415	18,254,700.19	18,000,000.00	18,055,783.71	198,916.48		1,778.71		—	—	1.875	1.747	Apr-Oct	163,125.00		—	8/9/2011	4/7/2014
665859AJ3	NORTHERN TRUST CORPORATION CORP BND				1FE	7,654,145.00	108.121	8,109,108.90	7,500,000.00	7,570,103.23	539,005.67		(26,553.21	)	—	—	5.5	4.969	Feb-Aug	52,708.34		412,500.00	3/23/2009	8/15/2013
666807BC5	NORTHROP GRUMMAN CORP CORP BND				2FE	998,710.00	99.605	996,054.31	1,000,000.00	998,933.32	(2,879.01	)	251.87		—	—	1.85	1.877	May-Nov	6,988.89		9,610.00	11/1/2010	11/15/2015
66989HAA6	NOVARTIS CAPITAL CORP CORP BND				1FE	1,623,326.25	107.452	1,746,088.00	1,625,000.00	1,624,167.92	121,920.08		248.30		—	—	4.125	4.148	Feb-Aug	9,496.09		67,031.00	2/4/2009	2/10/2014
66989HAB4	NOVARTIS CAPITAL CORP CORP BND				1FE	6,008,362.50	102.013	6,120,807.97	6,000,000.00	6,007,267.04	113,540.93		(2,890.49	)	—	—	1.9	1.82	Apr-Oct	49,716.66		57,000.00	1/28/2011	4/24/2013
66989HAC2	NOVARTIS CAPITAL CORP CORP BND				1FE	6,966,540.00	105.554	7,388,812.13	7,000,000.00	6,976,258.01	412,554.12		6,416.39		—	—	2.9	3.001	Apr-Oct	88,530.55		101,500.00	3/9/2010	4/24/2015
67001BAK9	NOVELIS INC/GA TERM LOAN			1	1Z	—	97.125	—	—	—	—		—		—	—	#N/A	0.708	#N/A	—		6,672.00	8/19/2011	3/10/2017
674599CA1	OCCIDENTAL PETROLEUM CORP BND				1FE	6,542,205.50	101.295	6,634,822.37	6,550,000.00	6,544,234.96	90,587.41		1,917.29		—	—	1.45	1.491	Jun-Dec	28,492.50		46,696.00	12/13/2010	12/13/2013
674599CB9	OCCIDENTAL PETROLEUM CORP BND				1FE	5,942,760.00	98.985	5,939,073.48	6,000,000.00	5,943,945.79	(4,872.31	)	1,185.79		—	—	1.75	1.934	Feb-Aug	12,541.67		—	8/15/2011	2/15/2017
68268NAF0	ONEOK INC. CORP BND			1	2FE	2,673,395.00	101.618	2,718,274.25	2,675,000.00	2,673,606.49	44,667.76		211.49		—	—	3.25	3.263	Feb-Aug	14,489.58		44,676.00	1/21/2011	2/1/2016
6832348A9	ONTARIO PROVINCE CORP BND		A		1FE	13,347,291.75	108.225	13,798,687.25	12,750,000.00	13,132,859.20	665,828.05		(100,709.88	)	—	—	4.1	2.938	Jun-Dec	152,468.75		261,375.00	2/19/2010	6/16/2014
6832348F8	ONTARIO PROVINCE CORP BND		A		1FE	2,800,000.00	100.043	2,801,203.97	2,800,000.00	2,800,000.00	1,203.97		—		—	—	0.44589	0.42	F-M-A-N	1,491.25		9,235.00	11/10/2009	11/19/2012
6832348Y7	ONTARIO PROVINCE CORP BND		A		1FE	5,224,450.00	105.079	5,253,950.50	5,000,000.00	5,215,197.90	38,752.60		(9,252.10	)	—	—	2.7	1.502	Jun-Dec	39,375.00		—	7/28/2011	6/16/2015
68389XAD7	ORACLE CORPORATION CORP BND				1FE	7,549,729.50	106.407	7,794,305.86	7,325,000.00	7,492,035.21	302,270.65		(20,632.94	)	—	—	4.95	3.4	Apr-Oct	167,193.14		131,794.00	9/7/2011	4/15/2013
69349FAF8	TOMKINS PLC TERM LOAN		R	2		—	97.938	—	—	—	—		—		—	—	#N/A	0.618	#N/A	—		—	8/17/2011	9/29/2016
693506BF3	PPG INDUSTRIES INC CORP BND				2FE	3,256,223.40	98.576	3,238,217.72	3,285,000.00	3,261,005.81	(22,788.09	)	4,091.58		—	—	1.9	2.079	Jan-Jul	13,176.50		42,130.00	11/8/2010	1/15/2016
69351CAC7	PNC FUNDING CORP - GTD CORP BND GOVT				1FE	1,022,310.00	101.437	1,014,369.02	1,000,000.00	1,007,655.64	6,713.38		(20,872.48	)	—	—	2.3	1.234	Jun-Dec	6,325.00		11,500.00	5/3/2010	6/22/2012
69362BAS1	PSE&G POWER LLC CORP BND				2FE	1,099,885.31	110.851	1,108,514.40	1,000,000.00	1,083,945.05	24,569.35		(40,012.83	)	—	—	5.32	3.462	Mar-Sep	2,364.44		53,200.00	9/15/2010	9/15/2016
69362BAX0	PSE&G POWER LLC CORP BND				2FE	2,992,380.00	99.77	2,993,110.44	3,000,000.00	2,992,426.87	683.57		46.87		—	—	2.75	2.805	Mar-Sep	2,750.00		—	9/14/2011	9/15/2016
69371RJ98	PACCAR FINL CORP BND				1FE	2,371,841.25	101.427	2,408,894.20	2,375,000.00	2,373,177.64	35,716.56		1,558.72		—	—	2.05	2.096	Jun-Dec	14,065.28		24,344.00	6/9/2010	6/17/2013
69373UAA5	PACCAR INC CORP BND				1FE	1,117,070.86	112.922	1,129,215.93	1,000,000.00	1,071,651.86	57,564.07		(59,191.97	)	—	—	6.875	3.692	Feb-Aug	8,784.72		68,750.00	2/19/2010	2/15/2014
694308GD3	PACIFIC GAS AND ELECTRIC CO CORP BND				1FE	5,548,050.00	108.117	5,405,862.45	5,000,000.00	5,397,212.00	8,650.45		(119,628.47	)	—	—	4.8	1.444	Mar-Sep	20,000.00		240,000.00	10/19/2010	3/1/2014
70659PAB7	PENAR_11-1-A1 ABS_11-1 A1 144A		F	2	1FE	7,300,000.00	99.959	7,297,036.20	7,300,000.00	7,300,000.00	(2,963.80	)	—		—	—	0.87994	0.882	Monthly	2,141.18		17,736.00	6/2/2011	5/18/2015
713448BK3	PEPSICO INC CORP BND				1FE	19,458,660.00	106.864	20,838,533.24	19,500,000.00	19,479,025.68	1,359,507.56		6,090.21		—	—	3.75	3.797	Mar-Sep	60,937.51		731,250.00	2/25/2009	3/1/2014
713448BQ0	PEPSICO INC CORP BND				1FE	4,997,800.00	100.042	5,002,101.50	5,000,000.00	4,998,477.49	3,624.01		728.31		—	—	0.875	0.89	Apr-Oct	18,958.34		21,753.00	10/19/2010	10/25/2013
713448BU1	PEPSICO INC CORP BND				1FE	750,000.00	100.006	750,044.98	750,000.00	750,000.00	44.98		—		—	—	0.35478	0.347	F-M-A-N	384.35		665.00	5/3/2011	5/10/2013
71601KAE9	PETCO ANIMAL SUPPLIES INC. TERM LOAN				1Z	—	94.425	—	—	—	—		—		—	—	#N/A	0.202	#N/A	—		40,125.00	8/15/2011	11/24/2017
71645WAT8	PETROBRAS INTERNATIONAL FINANC CORP BND		F		2FE	797,304.00	99.113	792,904.36	800,000.00	797,640.66	(4,736.30	)	2,840.17		—	—	3.875	3.95	Jan-Jul	5,511.11		15,500.00	1/20/2011	1/27/2016
717081CZ4	PFIZER INC. CORP BND				1FE	2,883,727.29	101.428	2,788,249.04	2,749,000.00	2,781,630.11	6,618.93		(52,955.37	)	—	—	4.45	1.824	Mar-Sep	5,436.91		122,331.00	4/15/2010	3/15/2012
717081DA8	PFIZER INC. CORP BND				1FE	1,380,477.50	113.279	1,415,986.83	1,250,000.00	1,338,571.26	77,415.57		(17,870.25	)	—	—	5.35	3.169	Mar-Sep	2,972.22		66,875.00	2/17/2010	3/15/2015
71722TAF1	PHEAA_04-1 ABS_04-1-A2			2	1FE	452,730.00	90.102	450,508.50	500,000.00	457,890.01	(7,381.51	)	2,216.37		—	—	1.69	2.593	Monthly	601.92		4,987.00	3/9/2010	4/25/2044
71722TAG9	PHEAA_04-1 ABS_04-1-A3			2	1FE	1,177,098.00	90.111	1,171,439.10	1,300,000.00	1,197,201.48	(25,762.38	)	10,249.18		—	—	0	1.091	Monthly	—		14,139.00	3/9/2010	4/25/2044
718172AB5	PHILIP MORRIS INTERNATIONAL IN CORP BND				1FE	6,108,095.00	106.222	6,506,101.23	6,125,000.00	6,119,051.70	387,049.53		2,585.12		—	—	4.875	4.938	May-Nov	111,972.66		149,297.00	5/13/2008	5/16/2013
718172AG4	PHILIP MORRIS INTERNATIONAL IN CORP BND				1FE	7,341,675.50	113.269	7,249,212.86	6,400,000.00	6,998,323.70	250,889.16		(172,896.40	)	—	—	6.875	2.911	Mar-Sep	17,111.11		440,000.00	4/14/2010	3/17/2014
72083EAF5	ADVANCE PIERRE FOODS TERM LOAN			1		—	97.406	—	—	—	—		—		—	—	#N/A	0.043	#N/A	—		78,368.00	12/14/2010	9/29/2016
72165NAF6	PILOT TRAVEL CENTERS LLC TERM LOAN				1Z	—	98.458	—	—	—	—		—		—	—	#N/A	0.497	#N/A	—		20,081.00	8/24/2011	3/25/2018
72347NAC4	PINNACLE FOODS FINANCE TERM LOAN			2	4FE	—	94.625	—	—	—	—		—		—	—	#N/A	0.352	#N/A	—		77,841.00	3/8/2011	4/2/2014
742651DB5	PRIVATE EXPORT FUNDING CORP SECURED					1,646,955.00	115.48	1,732,200.04	1,500,000.00	1,608,398.25	123,801.79		(18,250.83	)	—	—	4.95	3.07	May-Nov	28,050.00		37,125.00	2/23/2010	11/15/2015
742718DV8	PROCTER & GAMBLE COMPANY CORP BND				1FE	4,959,800.00	100	5,000,005.35	5,000,000.00	4,960,790.02	39,215.33		990.02		—	—	1.45	1.618	Feb-Aug	9,263.89		—	8/10/2011	8/15/2016
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS CORP BND				1FE	549,021.00	103.285	568,069.49	550,000.00	549,274.31	18,795.18		142.54		—	—	2.7	2.739	May-Nov	6,187.50		7,425.00	5/17/2010	5/1/2015
74456QAY2	PUBLIC SERVICE ELECTRIC & GAS CORP BND				1FE	7,818,200.25	99.23	7,764,747.74	7,825,000.00	7,818,365.51	(53,617.77	)	165.26		—	—	0.85	0.88	Feb-Aug	8,314.06		—	9/12/2011	8/15/2014
74834LAT7	QUEST DIAGNOSTICS INC CORP BND				2FE	2,600,000.00	100.547	2,614,222.00	2,600,000.00	2,600,000.00	14,222.00		—		—	—	1.20806	1.159	M-J-S-D	610.74		14,980.00	3/21/2011	3/24/2014
74876WAJ4	QUINTILES TRANSNATIONAL CORP. TERM LOAN			1	4FE	—	93.833	—	—	—	—		—		—	—	#N/A	0.683	#N/A	—		2,316.00	8/15/2011	5/25/2018
74977RBQ6	RABOBANK NEDERLAND NV CORP BND 144A		F		1FE	5,051,420.50	106.045	5,143,179.83	4,850,000.00	4,974,975.82	168,204.01		(33,872.31	)	—	—	4.2	3.166	May-Nov	78,085.00		101,850.00	1/8/2010	5/13/2014
74977RBU7	RABOBANK NEDERLAND NV CORP BND 144A		F		1FE	8,042,868.37	101.756	8,140,501.68	8,000,000.00	8,015,371.92	125,129.76		(18,574.79	)	—	—	2.65	2.427	Feb-Aug	25,911.11		212,000.00	2/19/2010	8/17/2012
74977RCE2	RABOBANK NEDERLAND NV CORP BND 144A		F		1FE	9,993,100.00	103.636	10,363,633.69	10,000,000.00	9,995,129.70	368,503.99		984.80		—	—	3.2	3.215	Mar-Sep	17,777.78		320,000.00	3/4/2010	3/11/2015
76111XYH0	RES FUND MTG SEC I CMO_05-SA4 2A1			2	1FE	402,419.43	73.92	306,701.77	410,171.68	402,756.76	(96,054.99	)	595.28		—	—	2.93825	3.258	Monthly	1,004.32		9,629.00	8/14/2007	9/25/2035
76111XYJ6	RES FUND MTG SEC I CMO_05-SA4 2A2			2	1FE	1,214,953.03	76.58	994,259.65	1,259,018.69	1,218,875.99	(224,616.34	)	5,233.95		—	—	5.20838	6.101	Monthly	5,464.54		49,151.00	8/16/2007	9/25/2035
76173FAJ6	REYNOLDS GROUP HOLDINGS INC TERM LOAN			2	3FE	—	96.864	—	—	—	—		—		—	—	#N/A	0.117	#N/A	—		102,104.00	8/16/2011	2/9/2018
767201AF3	RIO TINTO FINANCE USA LIMITED CORP BND		F		1FE	4,576,294.00	118.181	4,372,692.74	3,700,000.00	4,352,635.71	20,057.03		(182,761.27	)	—	—	8.95	1.92	May-Nov	137,979.17		165,575.00	10/28/2010	5/1/2014
767201AJ5	RIO TINTO FINANCE USA LIMITED CORP BND		F		1FE	1,298,947.00	98.736	1,283,572.56	1,300,000.00	1,299,132.03	(15,559.47	)	229.39		—	—	1.875	1.892	May-Nov	10,088.54		12,188.00	10/28/2010	11/2/2015
767201AM8	RIO TINTO FINANCE LTD CORP BND		F		1FE	3,607,092.50	100.435	3,640,781.95	3,625,000.00	3,608,323.36	32,458.59		1,370.23		—	—	2.5	2.606	May-Nov	32,977.43		—	5/17/2011	5/20/2016
767201AP1	RIO TINTO FINANCE USA LIMITED CORP BND		F		1FE	—		—	—	—	—		104.19		—	—	2.25	0	Mar-Sep	(300.00	)	—	9/14/2011	9/20/2016
771196AQ5	ROCHE HOLDINGS INC CORP BND 144A				1FE	13,818,369.57	109.217	13,858,503.89	12,689,000.00	13,481,518.37	376,985.52		(26,998.35	)	—	—	5	2.319	Mar-Sep	52,870.83		521,950.00	5/2/2011	3/1/2014
77937NAC9	MACROVISION CORPORATION TERM LOAN				1Z	—	0	—	—	—	—		—		—	—	#N/A	0	#N/A	—		1,830.00	00/00/0000	2/1/2018
78008HX96	ROYAL BANK OF CANADA CORP BND MTN		A		1FE	2,014,326.69	102.162	2,043,239.28	2,000,000.00	2,009,730.75	33,508.53		(9,084.90	)	—	—	2.1	1.828	Jan-Jul	7,233.33		42,000.00	11/12/2010	7/29/2013
78008K5X7	ROYAL BANK OF CANADA CORP BND		A		1FE	9,777,835.00	99.594	9,735,313.70	9,775,000.00	9,777,562.08	(42,248.38	)	(272.92	)	—	—	0.54975	0.565	J-A-J-O	11,195.43		14,045.00	6/20/2011	4/17/2014
78008TLB8	ROYAL BANK OF CANADA CORP BND MTN		A		1FE	6,995,730.00	100.908	7,063,582.75	7,000,000.00	6,995,890.78	67,691.97		160.78		—	—	2.3	2.313	Jan-Jul	31,752.78		—	7/13/2011	7/20/2016
78009PCC3	ROYAL BANK OF SCOTLAND PLC THE CORP BND		F		1FE	3,867,443.75	95.224	3,689,919.03	3,875,000.00	3,868,184.83	(178,265.80	)	741.08		—	—	4.375	4.419	Mar-Sep	7,063.80		84,766.00	3/14/2011	3/16/2016
78010XAC5	ROYAL BANK OF SCOTLAND PLC THE CORP BND		F		1FE	5,251,450.00	97.441	4,872,053.90	5,000,000.00	5,230,233.83	(358,179.93	)	(21,216.17	)	—	—	4.875	3.451	Mar-Sep	10,156.26		121,875.00	5/24/2011	3/16/2015
78010XAD3	ROYAL BANK OF SCOTLAND PLC THE CORP BND		F		1FE	2,498,650.00	98.815	2,470,384.23	2,500,000.00	2,499,130.08	(28,745.85	)	328.83		—	—	3.4	3.419	Feb-Aug	8,972.22		84,764.00	8/17/2010	8/23/2013
78011CAB2	ROYAL BANK OF SCOTLAND PLC - G CORP BND		F		1FE	2,540,825.00	100.356	2,508,900.08	2,500,000.00	2,509,949.11	(1,049.03	)	(12,152.74	)	—	—	0.98061	0.514	F-M-A-N	3,404.90		18,707.00	11/2/2009	5/11/2012
78011CAC0	ROYAL BK OF STLAND GRP PLC - (CORP BND		F		1FE	22,880,250.25	101.153	22,759,536.84	22,500,000.00	22,588,366.89	171,169.95		(106,705.96	)	—	—	2.625	1.975	May-Nov	228,046.88		295,313.00	8/31/2009	5/11/2012
78011CAE6	ROYAL BANK OF SCOTLAND PLC - G CORP BND		F		1FE	1,996,200.00	100.027	2,000,530.16	2,000,000.00	1,999,898.92	631.24		1,451.12		—	—	1.45	1.548	Apr-Oct	12,969.44		14,500.00	10/23/2009	10/20/2011
78355HJL4	RYDER SYSTEM INC. CORP BND				2FE	2,163,660.00	109.228	2,184,552.46	2,000,000.00	2,116,267.25	68,285.21		(33,999.63	)	—	—	5.85	3.327	Mar-Sep	9,750.00		117,000.00	9/10/2010	3/1/2014
78355HJQ3	RYDER SYSTEM INC. CORP BND MTN				2FE	3,498,670.00	102.945	3,603,090.23	3,500,000.00	3,498,869.51	104,220.72		199.51		—	—	3.15	3.16	Mar-Sep	9,187.50		57,269.00	2/16/2011	3/2/2015
78355HJR1	RYDER SYSTEM INC. CORP BND MTN				2FE	1,871,662.50	102.061	1,913,652.71	1,875,000.00	1,871,843.58	41,809.13		181.08		—	—	3.5	3.533	Jun-Dec	23,151.04		—	5/17/2011	6/1/2017
78387GAP8	AT&T INC CORP BND				1FE	3,183,016.41	109.689	3,290,675.58	3,000,000.00	3,142,990.85	147,684.73		(33,843.19	)	—	—	5.1	3.392	Mar-Sep	6,800.00		153,000.00	11/12/2010	9/15/2014
78442GHX7	SLMA ABS 03-10A A1B 144A			2	1FE	399,906.25	99.969	399,875.00	400,000.00	399,948.18	(73.18	)	67.92		—	—	1.719	1.732	Monthly	171.91		3,553.00	9/23/2011	12/15/2016

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST						DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR		21 ACQUIRED	22 MATURITY
78442GHY5	SLMA ABS 03-10A-A1C				1FE	1,399,756.94	99.969	1,399,562.50	1,400,000.00	1,399,814.37	(251.87	)	(29.90	)	—	—	1.719	1.725	0	133.70	18,117.00		2/4/2010	12/15/2016
78442GHZ2	SLMA ABS 03-10A A1D 144A			2	1FE	2,144,750.00	99.969	2,149,328.13	2,150,000.00	2,146,975.19	2,352.94		229.89		—	—	0	0.094	Monthly	200.91	23,796.00		9/29/2011	12/15/2016
78442GJA5	SLM STUDENT LOAN TR 2003-10A 03-10A A1E			2	1FE	849,781.25	99.969	849,734.38	850,000.00	849,885.51	(151.13	)	101.65		—	—	1.672	1.687	Monthly	78.95	9,439.00		9/23/2011	12/15/2016
78442GJC1	SLMA ABS_03-10A AIG 144A			2	1FE	150,000.00	99.969	149,953.13	150,000.00	150,000.00	(46.87	)	—		—	—	1.719	1.721	Monthly	57.30	—		9/23/2011	12/15/2016
78442GJD9	SLM STUDENT LOAN TR 2003-10A ABS 03-10A			2	1FE	519,675.00	99.969	519,512.60	519,675.00	519,675.00	(162.40	)	—		—	—	1.684	1.688	Monthly	24.31	6,049.00		9/30/2011	12/15/2016
78442GMK9	SLMA ABS_04-7 A5			2	1FE	3,547,058.42	99.203	3,539,821.05	3,568,244.87	3,549,083.99	(9,262.94	)	3,393.01		—	—	0.423	0.654	J-A-J-O	2,851.03	4,003.00		5/13/2011	1/27/2020
78442GQP4	SLMA ABS_05-8 A3			2	1FE	3,741,725.00	97.556	3,716,870.22	3,810,000.00	3,746,634.18	(29,763.96	)	4,909.18		—	—	0.363	0.8	J-A-J-O	2,612.38	3,696.00		6/13/2011	10/25/2024
78444YAB1	SLMA ABS 08-5 A2			2	1FE	4,147,866.46	100.739	4,110,451.78	4,080,286.71	4,124,511.24	(14,059.46	)	(29,715.48	)	—	—	1.353	0.454	J-A-J-O	10,427.85	42,960.00		8/10/2010	1/27/2014
78444YAC9	SLMA ABS 08-5 A3			2	1FE	8,919,531.25	101.62	8,891,731.55	8,750,000.00	8,913,543.81	(21,812.26	)	(5,987.44	)	—	—	1.553	0.791	J-A-J-O	25,667.64	—		8/24/2011	10/27/2014
78444YAD7	SLMA ABS 08-5 A4			2	1FE	4,033,656.25	103.052	3,967,519.98	3,850,000.00	4,012,336.12	(44,816.14	)	(14,661.95	)	—	—	1.953	1.355	J-A-J-O	14,202.65	58,053.00		1/11/2011	7/25/2022
78445XAA4	SLMA_10-1 ABS 10-1A			2	1FE	2,869,540.65	99.22	2,847,158.23	2,869,540.65	2,869,540.65	(22,382.42	)	—		—	—	0.63456	0.635	Monthly	252.90	13,604.00		7/30/2010	3/25/2025
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2			2	1FE	11,134,510.69	98.65	11,005,529.01	11,156,136.86	11,135,080.73	(129,551.72	)	1,178.46		—	—	0.83456	0.86	Monthly	1,293.13	31,032.00		5/18/2011	11/25/2027
78446JAB2	SLMA_11-2 ABS 11-2			2		6,575,000.00	99.999	6,574,934.32	6,575,000.00	6,575,000.00	(65.68	)	—		—	—	1.43456	1.439	Monthly	1,310.03	31,758.00		5/18/2011	10/25/2034
78572MAD7	SABMILLER PLC CORP BND 144A		F		2FE	6,522,239.50	115.862	6,488,285.22	5,600,000.00	6,463,300.00	24,985.22		(58,939.50	)	—	—	6.5	2.993	Jan-Jul	91,000.00	182,000.00		5/24/2011	7/1/2016
790849AE3	ST. JUDE MEDICAL INC. CORP BND				1FE	6,365,893.24	106.197	6,367,590.77	5,996,000.00	6,284,100.37	83,490.40		(74,878.36	)	—	—	3.75	1.97	Jan-Jul	47,468.33	224,850.00		12/1/2010	7/15/2014
796269UF3	SAN ANTONIO TEX INDPT SCH DIST MUNI BND					1,000,000.00	103.762	1,037,620.01	1,000,000.00	1,000,000.00	37,620.01		—		—	—	2.235	2.235	Feb-Aug	2,855.83	14,031.00		12/15/2010	8/15/2014
80105NAC9	SANOFI AVENTIS CORP BND				1FE	18,170,920.00	99.764	18,107,166.00	18,150,000.00	18,169,219.58	(62,053.58	)	(1,700.42	)	—	—	0.67278	0.562	M-J-S-D	1,017.58	47,888.00		7/7/2011	3/28/2014
801060AA2	SANOFI AVENTIS CORP BND		F		1FE	2,996,310.00	100.226	3,006,779.94	3,000,000.00	2,996,313.33	10,466.61		3.33		—	—	1.2	1.242	Mar-Sep	100.00	—		9/27/2011	9/30/2014
80282DAB8	SDART_10-1 ABS 10-1-A2			2	1FE	447,638.23	100.24	447,644.65	446,574.13	447,255.40	389.25		(1,078.33	)	—	—	1.36	0.833	Monthly	269.93	2,024.00		5/27/2011	4/15/2012
806854AA3	SCHLUMBERGER INVESTMENT SA CORP BND 144A		F		1FE	6,089,325.00	99.531	6,071,421.13	6,100,000.00	6,089,420.33	(17,999.20	)	95.33		—	—	1.95	1.987	Mar-Sep	5,617.08	—		9/7/2011	9/14/2016
80685PAC2	SCHLUMBERGER NORGE AS CORP BND 144A		F		1FE	1,622,156.25	99.531	1,617,386.77	1,625,000.00	1,622,181.65	(4,794.88	)	25.40		—	—	1.95	1.987	Mar-Sep	1,496.35	—		9/7/2011	9/14/2016
80705TAA4	SCHOL_11-A ABS 11-A A 144A			2	1FE	2,798,997.01	96.73	2,761,980.25	2,855,350.20	2,800,023.96	(38,043.71	)	1,710.80		—	—	1.1526	1.312	J-A-J-O	5,942.22	11,197.00		3/22/2011	10/28/2043
816851AR0	SEMPRA ENERGY CORP BND				2FE	7,000,000.00	100.179	7,012,530.07	7,000,000.00	7,000,000.00	12,530.07		—		—	—	1.10711	1.069	M-J-S-D	3,444.34	35,682.00		3/17/2011	3/15/2014
81726JAC5	SENSATA TECHNOLOGIES FINANCE C TERM LOAN			1	1Z	—	97.063	—	—	—	—		—		—	—	#N/A	0.135	#N/A	—	31,853.00		8/23/2011	5/9/2018
81760GAH7	SERVICEMASTER CO LN1 TERM LOAN			2		—	93.219	—	—	—	—		—		—	—	#N/A	1.597	#N/A	—	4,294.00		8/16/2011	7/24/2014
81760GAJ3	SERVICEMASTER CO LN1 TERM LOAN			2		—	93.219	—	—	—	—		—		—	—	#N/A	1.597	#N/A	—	43,624.00		8/16/2011	7/24/2014
822582AF9	SHELL INTL FINAN CORP BND		F		1FE	11,034,168.50	107.503	11,234,092.02	10,450,000.00	10,814,215.44	419,876.58		(105,385.74	)	—	—	4	2.537	Mar-Sep	11,611.12	418,000.00		3/2/2010	3/21/2014
822582AQ5	SHELL INTL FINAN CORP BND		F		1FE	12,215,823.75	105.987	12,850,954.19	12,125,000.00	12,194,495.67	656,458.52		(13,086.54	)	—	—	3.1	2.937	Jun-Dec	97,101.04	187,938.00		7/2/2010	6/28/2015
833656AF8	SOCIETE FINANCEMENT DE L ECONO CORP BND		F		1FE	6,122,426.76	101.331	6,201,433.15	6,120,000.00	6,121,135.24	80,297.91		(3,837.82	)	—	—	2.25	2.223	Jun-Dec	42,075.00	68,850.00		2/19/2010	6/11/2012
83714RAX1	SOUTH CAROLINA STUDENT LN MUNI BND REV		R	2	1FE	4,099,915.41	98.86	4,098,645.73	4,145,909.09	4,109,449.62	(10,803.89	)	16,790.53		—	—	0.42556	1.085	M-J-S-D	1,470.28	8,099.00		3/30/2011	12/3/2018
842587AB3	SOUTHERN COMPANY CORP BND				1FE	3,225,440.00	104.914	3,241,707.07	3,200,000.00	3,201,922.82	39,784.25		(4,911.39	)	—	—	5.3	5.086	Jan-Jul	35,804.44	169,600.00		10/23/2007	1/15/2012
84650WAA4	SPAREBNK 1 BOLIG LOCAL BND 144A		F		1FE	18,153,368.00	100.123	18,122,263.18	18,100,000.00	18,142,435.66	(20,172.48	)	(9,074.29	)	—	—	1.25	1.172	Apr-Oct	98,041.67	87,702.00		7/27/2011	10/25/2014
84650WAB2	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A		F		1FE	9,295,908.00	102.246	9,508,878.19	9,300,000.00	9,296,174.10	212,704.09		266.10		—	—	2.625	2.634	May-Nov	84,087.49	—		5/23/2011	5/27/2016
85235XAA3	STADSHYPOTEK AB CORP BND 144A		F		1FE	16,656,910.97	100.786	16,629,690.50	16,500,000.00	16,615,048.13	14,642.37		(37,196.17	)	—	—	1.45	1.096	Mar-Sep	664.59	204,450.00		6/9/2011	9/30/2013
857477AC7	STATE STREET CORPORATION CORP BND				1FE	1,101,889.80	99.818	1,137,930.17	1,140,000.00	1,134,336.21	3,593.96		7,242.00		—	—	0.35285	3.897	J-A-J-O	681.59	3,319.00		4/30/2008	4/30/2012
857477AJ2	STATE STREET CORPORATION CORP BND				1FE	5,000,000.00	99.146	4,957,277.85	5,000,000.00	5,000,000.00	(42,722.15	)	—		—	—	0.68278	0.66	M-J-S-D	2,275.93	16,119.00		3/2/2011	3/7/2014
85748KAA1	STATE STREET CAPITAL TRUST III CORP BND				1FE	6,113,218.00	101.051	6,063,073.86	6,000,000.00	6,029,285.87	33,787.99		(36,954.84	)	—	—	2.15	1.301	Apr-Oct	54,108.33	64,500.00		1/27/2010	4/30/2012
85771SAB2	STATOIL ASA CORP BND		F		1FE	8,220,819.00	106.999	8,452,904.17	7,900,000.00	8,106,881.98	346,022.19		(58,151.18	)	—	—	3.875	2.799	Apr-Oct	141,157.63	153,063.00		4/6/2010	4/15/2014
85771SAC0	STATOIL ASA CORP BND		F		1FE	303,690.00	105.14	315,420.87	300,000.00	302,385.53	13,035.34		(557.84	)	—	—	2.9	2.626	Apr-Oct	4,011.67	4,350.00		12/16/2009	10/15/2014
863667AA9	STRYKER CORP CORP BND				1FE	2,497,761.30	104.96	2,623,992.55	2,500,000.00	2,498,265.28	125,727.27		415.02		—	—	3	3.022	Jan-Jul	15,833.33	75,000.00		11/12/2010	1/15/2015
86386MAD6	STUDENT LOAN CON ABS_02-1-A4 144A			2	NR*Z*	—	0	—	—	—	—		593.79		—	—	#N/A	0	#N/A	—	3,300.00		00/00/0000	3/1/2042
86386MAE4	STUDENT LOAN CON ABS 02-1-A4 144A			2	NR*Z*	—	0	—	—	—	—		(198.55	)	—	—	#N/A	0	#N/A	—	3,209.00		00/00/0000	3/1/2042
86386MAK0	STUDENT LOAN CON ABS_02-02 A9 144A			2	NR*Z*	—	0	—	—	—	—		194.27		—	—	#N/A	0	#N/A	—	(744.00	)	12/27/2010	7/1/2042
86386MAY0	STUDENT LOAN CON ABS_11-1 A			2	1FE	11,700,905.93	99.624	11,656,901.16	11,700,905.93	11,700,905.93	(44,004.77	)	—		—	—	1.43839	1.48	Monthly	2,337.56	90,669.00		3/15/2011	10/25/2027
86736GAC8	SUNGARD DATA SYSTEMS INC. TERM LOAN				3FE	—	96.25	—	—	—	—		—		—	—	#N/A	0.932	#N/A	—	—		9/30/2011	2/28/2014
86736GAF1	SUNGARD DATA SYSTEMS INC. LN1 TERM LOAN				3FE	—	97.5	—	—	—	—		—		—	—	#N/A	0.042	#N/A	—	31,431.00		6/8/2011	2/28/2014
86736GAG9	SUNGARD DATA SYSTEMS INC. TERM LOAN			2	3FE	—	96.188	—	—	—	—		—		—	—	#N/A	0.784	#N/A	—	—		8/9/2011	2/28/2016
86959LAA1	SVENSKA HANDELSBANKEN AB CORP BND 144A		F		1FE	7,060,839.00	106.218	7,329,042.14	6,900,000.00	6,994,894.28	334,147.86		(24,534.14	)	—	—	4.875	4.328	Jun-Dec	103,715.63	168,188.00		8/31/2009	6/10/2014
86959LAB9	SVENSKA HANDELSBANKEN AB CORP BND 144A		F		1FE	10,403,950.10	101.482	10,483,089.26	10,330,000.00	10,357,025.45	126,063.81		(40,469.50	)	—	—	2.875	2.595	Mar-Sep	14,024.42	296,988.00		1/5/2010	9/14/2012
87020LAB2	SPINTAB AB SWEDMORTGAGE CORP BND 144A		F		1FE	8,200,000.00	100.127	8,210,414.00	8,200,000.00	8,200,000.00	10,414.00		—		—	—	0.81278	0.758	M-J-S-D	555.40	30,485.00		3/21/2011	3/28/2014
87246AAA6	TIAA CMBS 07-C4 A1			2	NR*Z*	307,230.13	100.03	305,387.90	305,295.09	305,014.81	373.09		(7,159.24	)	—	—	5.54404	5.234	Monthly	987.34	75,271.00		12/21/2007	8/15/2039
87309LAE8	TWCC HOLDING CORP TERM LOAN			1	1Z	—	98.563	—	—	—	—		—		—	—	#N/A	0.284	#N/A	—	22,551.00		8/23/2011	2/1/2017
87938WAB9	TELEFONICA SA CORP BND		F		2FE	4,114,088.60	102.521	3,824,045.95	3,730,000.00	4,102,183.27	(278,137.32	)	(11,905.33	)	—	—	6.421	4.074	Jun-Dec	67,193.98	—		8/1/2011	6/20/2016
880591CW0	TENN VALLEY AUTH AGENCY BND				1	1,302,900.01	107.888	1,248,264.08	1,157,000.00	1,228,466.15	19,797.93		(35,913.35	)	—	—	6	1.687	Mar-Sep	3,085.33	69,420.00		3/10/2010	3/15/2013
880591DT6	TENNESSEE VALLEY AUTHORITY AGENCY BND				1	4,539,760.00	104.201	4,168,045.01	4,000,000.00	4,133,056.48	34,988.53		(153,020.00	)	—	—	6.79	1.575	May-Nov	96,568.89	135,800.00		9/25/2009	5/23/2012
88166BAA8	TEVA PHARMACEUTICAL FINANCE II CORP BND		R		1FE	2,300,000.00	100.024	2,300,551.86	2,300,000.00	2,300,000.00	551.86		—		—	—	0.75022	0.939	M-J-S-D	575.17	11,973.00		6/15/2010	12/19/2011
88166BAB6	TEVA PHARMACEUTICAL FINANCE II CORP BND		R		1FE	5,863,229.50	100.538	5,881,444.16	5,850,000.00	5,857,468.23	23,975.93		(6,807.96	)	—	—	1.5	1.317	Jun-Dec	25,837.50	43,875.00		1/31/2011	6/15/2012
88166CAA6	TEVA PHARMACEUTICAL FINANCE II CORP BND		F		1FE	8,739,585.99	104.766	9,166,984.40	8,750,000.00	8,741,849.11	425,135.29		1,692.73		—	—	3	3.027	Jun-Dec	77,291.66	131,250.00		11/12/2010	6/15/2015
88166DAB2	TEVA PHARMACEUTICAL FINANCE II CORP BND		F		1FE	2,450,000.00	99.995	2,449,883.80	2,450,000.00	2,450,000.00	(116.20	)	—		—	—	0.8525	0.809	M-J-S-D	580.17	9,745.00		3/16/2011	3/21/2014
882508AS3	TEXAS INSTRUMENTS INCORPORATED CORP BND				1FE	14,050,000.00	100.001	14,050,140.36	14,050,000.00	14,050,000.00	140.36		—		—	—	0.46617	0.439	F-M-A-N	8,550.98	14,375.00		5/16/2011	5/15/2013
883556AW2	THERMO FISHER SCIENTIFIC INC CORP BND				1FE	2,999,130.00	102.536	3,076,091.31	3,000,000.00	2,999,301.80	76,789.51		171.80		—	—	2.05	2.06	Feb-Aug	6,833.33	30,579.00		2/14/2011	2/21/2014
883556BA9	THERMO FISHER SCIENTIFIC CORP BND				1FE	648,869.00	99.999	649,996.43	650,000.00	648,895.81	1,100.62		45.64		—	—	2.25	2.287	Feb-Aug	1,828.13	—		8/9/2011	8/15/2016
88579EAD7	3M COMPANY CORP BND				1FE	4,363,958.25	104.913	4,275,223.50	4,075,000.00	4,180,297.42	94,926.08		(63,936.79	)	—	—	4.65	2.459	Jun-Dec	55,793.54	94,744.00		7/20/2009	12/15/2012
88579YAD3	3M COMPANY CORP BND				1FE	13,039,014.00	99.88	13,134,272.86	13,150,000.00	13,039,131.76	95,141.10		117.76		—	—	1.375	1.551	Mar-Sep	1,004.51	—		9/26/2011	9/29/2016
887317AJ4	TIME WARNER INC CORP BND				2FE	1,555,770.00	102.882	1,543,232.24	1,500,000.00	1,544,565.14	(1,332.90	)	(38,410.57	)	—	—	3.15	2.326	Jan-Jul	8,925.00	47,381.00		9/23/2010	7/15/2015
88732JAK4	TIME WARNER CABLE INC CORP BND				2FE	1,676,085.00	107.896	1,618,442.58	1,500,000.00	1,600,890.58	17,552.00		(42,096.63	)	—	—	6.2	2.257	Jan-Jul	23,250.00	93,000.00		5/20/2010	7/1/2013
88732JAR9	TIME WARNER CABLE INC CORP BND				2FE	4,599,160.00	113.944	4,557,767.32	4,000,000.00	4,510,335.02	47,432.30		(88,824.98	)	—	—	7.5	2.225	Apr-Oct	150,000.00	—		4/14/2011	4/1/2014
88732JAV0	TIME WARNER CABLE INC CORP BND				2FE	7,823,158.00	103.991	7,695,327.56	7,400,000.00	7,732,758.27	(37,430.71	)	(76,465.39	)	—	—	3.5	2.096	Feb-Aug	43,166.67	259,000.00		10/15/2010	2/1/2015
89114QAB4	TORONTO-DOMINION BANK CORP BND MTN		A		1FE	3,486,945.00	102.041	3,571,419.25	3,500,000.00	3,487,473.74	83,945.51		528.74		—	—	2.5	2.58	Jan-Jul	18,715.28	—		7/7/2011	7/14/2016
89114QAC2	TORONTO-DOMINION BANK CORP BND		A		1FE	2,300,000.00	100.052	2,301,196.05	2,300,000.00	2,300,000.00	1,196.05		—		—	—	0.549	0.549	J-A-J-O	2,770.93	—		7/7/2011	7/14/2014
89152UAE2	TOTAL CAPITAL S.A. CORP BND		F		1FE	2,033,440.00	102.564	2,051,285.70	2,000,000.00	2,028,112.09	23,173.61		(7,670.59	)	—	—	2.3	1.969	Mar-Sep	2,044.44	46,000.00		11/4/2010	3/15/2016
89233P4B9	TOYOTA MOTOR CREDIT CORP CORP BND MTN				1FE	1,997,706.43	104.819	2,096,381.22	2,000,000.00	1,998,156.34	98,224.88		381.23		—	—	3.2	3.227	Jun-Dec	18,488.89	32,000.00		11/12/2010	6/17/2015
89233P4H6	TOYOTA MOTOR CREDIT CORP CORP BND				1FE	999,219.60	100.96	1,009,603.65	1,000,000.00	999,471.92	10,131.73		1,002.49		—	—	1.375	1.404	Feb-Aug	1,871.53	13,750.00		11/12/2010	8/12/2013
89233P4R4	TOYOTA MOTOR CREDIT CORP CORP BND MTN				1FE	2,094,780.00	102.848	2,056,966.86	2,000,000.00	2,093,513.81	(36,546.95	)	(1,266.19	)	—	—	2.8	1.663	Jan-Jul	12,444.44	—		9/6/2011	1/11/2016
89233P5E2	TOYOTA MOTOR CREDIT CORP CORP BND MTN				1FE	8,455,885.00	99.252	8,436,425.10	8,500,000.00	8,456,254.77	(19,829.67	)	369.77		—	—	2	2.11	Mar-Sep	7,555.55	—		9/8/2011	9/15/2016
89235UAD5	TOYOTA AUTO RECEIVABLES OWNER TAOT			2	1FE	4,999,209.00	100.574	5,028,697.50	5,000,000.00	4,999,489.88	29,207.62		218.34		—	—	1.09	1.098	Monthly	2,422.22	40,875.00		9/22/2010	12/15/2014
89235YAC9	TAOT_10-B ABS_10-B A3			2	1FE	4,089,646.62	100.285	4,101,662.89	4,090,000.00	4,089,857.83	11,805.06		136.84		—	—	1.04	1.047	Monthly	1,890.49	31,902.00		7/14/2010	2/18/2014
89235YAD7	TAOT_10-B ABS_10-B A4			2	1FE	1,099,799.58	101.066	1,111,730.47	1,100,000.00	1,099,879.51	11,850.96		51.53		—	—	1.47	1.481	Monthly	718.67	12,128.00		7/14/2010	1/17/2017
89334GAG9	TRANSUNION CORP TERM LOAN			1	3FE	—	97.375	—	—	—	—		—		—	—	#N/A	0.464	#N/A	—	8,446.00		8/29/2011	2/3/2018
893526DH3	TRANSCANADA PIPELINES LIMITED CORP BND		A		1FE	7,668,401.75	105.106	8,066,863.48	7,675,000.00	7,670,055.43	396,808.05		936.03		—	—	3.4	3.419	Jun-Dec	86,983.33	130,475.00		5/27/2010	6/1/2015
89364MAQ7	TRANSDIGM GROUP INC TERM LOAN			2	1Z	—	97.578	—	—	—	—		—		—	—	#N/A	0.656	#N/A	—	—		8/29/2011	2/14/2017
902118BK3	TYCO INTERNATIONAL GROUP SA CORP BND		F		1FE	5,616,616.50	109.685	5,429,383.59	4,950,000.00	5,413,725.13	15,658.46		(159,969.29	)	—	—	6	1.498	May-Nov	112,200.00	148,500.00		10/14/2010	11/15/2013
90261XGX4	UBS AG CORP BND		F		1FE	2,898,753.00	97.397	2,824,524.17	2,900,000.00	2,899,027.20	(74,503.03	)	319.35		—	—	2.25	2.265	Jan-Jul	11,418.75	32,625.00		1/25/2011	1/28/2014
90290FAC0	USAOT_1-1 ABS 10-1 A3			2	1FE	1,633,274.87	100.37	1,637,526.95	1,631,490.44	1,632,119.21	5,407.74		(1,274.16	)	—	—	1.3	1.242	Monthly	942.64	15,907.00		4/28/2010	1/15/2013
90345AAC6	US CENTRAL CREDIT UNION - (LT) CORP BND				1FE	11,720,894.30	101.59	11,814,917.47	11,630,000.00	11,666,301.96	148,615.51		(30,225.03	)	—	—	1.9	1.599	Apr-Oct	99,436.50	110,485.00		3/4/2010	10/19/2012
90429PAC2	UCI INTERNATIONAL TL B TERM LOAN				4FE	—	99	—	—	—	—		—		—	—	#N/A	0	#N/A	—	5,362.00		1/20/2011	7/6/2017
911312AG1	UNITED PARCEL SERVICE INC CORP BND				1FE	12,184,671.00	105.193	11,991,956.85	11,400,000.00	11,722,384.82	269,572.03		(183,707.05	)	—	—	4.5	2.259	Jan-Jul	108,300.00	513,000.00		1/22/2010	1/15/2013
911312AL0	UNITED PARCEL SERVICE INC CORP BND				1FE	12,414,426.00	107.666	12,704,542.10	11,800,000.00	12,196,952.56	507,589.54		(113,864.32	)	—	—	3.875	2.479	Apr-Oct	228,625.01	228,625.00		4/20/2010	4/1/2014
91159HGS3	US BANCORP CORP BND				1FE	1,250,062.50	101.317	1,266,463.28	1,250,000.00	1,250,031.68	16,431.60		(16.93	)	—	—	2.125	2.123	Feb-Aug	3,394.10	26,563.00		12/16/2009	2/15/2013
91159HGU8	US BANCORP CORP BND MTN				1FE	549,043.00	103.957	571,761.24	550,000.00	549,328.23	22,433.01		136.73		—	—	3.15	3.188	Mar-Sep	1,299.38	17,325.00		3/1/2010	3/4/2015
91159HGW4	US BANCORP CORP BND				1FE	10,554,342.50	101.421	10,699,924.15	10,550,000.00	10,554,969.71	144,954.44		(1,505.93	)	—	—	2	1.971	Jun-Dec	62,713.88	105,500.00		2/2/2011	6/14/2013
91159HGX2	US BANCORP CORP BND				1FE	999,020.00	102.39	1,023,897.55	1,000,000.00	999,240.56	24,656.99		805.61		—	—	2.45	2.471	Jan-Jul	4,355.56	24,500.00		7/22/2010	7/27/2015
91159HGY0	US BANCORP CORP BND			1	1FE	5,442,969.50	100.231	5,462,612.94	5,450,000.00	5,445,395.41	17,217.53		1,726.33		—	—	1.375	1.419	Mar-Sep	3,746.88	74,938.00		9/8/2010	9/13/2013
91159HGZ7	US BANCORP CORP BND			1	1FE	1,997,060.00	99.735	1,994,697.42	2,000,000.00	1,997,947.58	(3,250.16	)	1,374.99		—	—	1.125	1.175	Apr-Oct	9,437.50	11,125.00		10/28/2010	10/30/2013
912828GC8	UNITED STATES TREASURY GOVT BND				1	3,286,406.25	101.102	3,033,059.91	3,000,000.00	3,019,251.41	13,808.50		(58,001.34	)	—	—	4.625	2.004	Jun-Dec	35,064.54	69,375.00		3/7/2008	12/31/2011
912828HY9	UNITED STATES TREASURY GOVT BND				1	3,456,386.72	104.531	3,658,585.21	3,500,000.00	3,485,486.05	173,099.16		7,039.40		—	—	3.125	3.397	Apr-Oct	45,771.06	54,688.00		5/30/2008	4/30/2013
912828JM3	UNITED STATES TREASURY GOVT BND				1	2,037,265.63	105.649	2,112,980.20	2,000,000.00	2,015,685.44	97,294.76		(18,046.00	)	—	—	3.125	2.718	Mar-Sep	170.76	62,500.00		10/7/2008	9/30/2013
912828JT8	UNITED STATES TREASURY GOVT BND				1	12,709,359.38	103.603	12,743,168.63	12,300,000.00	12,654,690.34	88,478.29		(75,530.22	)	—	—	2	0.656	May-Nov	82,672.13	—		5/26/2011	11/30/2013

			Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
								8	9													20
				4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP		2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
912828JZ4		UNITED STATES TREASURY GOVT BND				1	15,224,439.51	103.239	15,898,805.69	15,400,000.00	15,271,756.03	627,049.66		49,866.65		—	—	1.75	2.118	Jan-Jul	45,404.89	269,500.00	11/12/2010	1/31/2014
912828KF6		UNITED STATES TREASURY GOVT BND				1	6,158,320.31	103.592	6,215,520.18	6,000,000.00	6,113,148.87	102,371.31		(57,839.49	)	—	—	1.875	1.082	Feb-Aug	9,581.04	112,500.00	12/17/2010	2/28/2014
912828LC2		UNITED STATES TREASURY GOVT BND				1	20,597,062.50	106.188	20,919,035.22	19,700,000.00	20,410,640.83	508,394.39		(188,054.41	)	—	—	2.625	1.323	Jan-Jul	87,124.33	517,125.00	12/23/2010	7/31/2014
912828LK4		UNITED STATES TREASURY GOVT BND				1	31,588,030.19	105.607	31,998,919.49	30,300,000.00	31,273,751.94	725,167.55		(359,961.04	)	—	—	2.375	1.249	Feb-Aug	61,286.75	719,625.00	11/12/2010	8/31/2014
912828LR9		UNITED STATES TREASURY GOVT BND				1	39,634,146.60	101.221	39,982,295.40	39,500,000.00	39,570,388.35	411,907.05		(75,379.82	)	—	—	1.375	1.201	Apr-Oct	250,787.22	271,563.00	8/19/2010	10/15/2012
912828LZ1		UNITED STATES TREASURY GOVT BND				1	23,576,965.22	105.148	23,658,300.68	22,500,000.00	23,342,947.91	315,352.77		(624,209.12	)	—	—	2.125	0.921	May-Nov	160,681.34	239,063.00	1/12/2011	11/30/2014
912828MB3		UNITED STATES TREASURY GOVT BND				1	3,799,122.17	101.105	3,862,210.85	3,820,000.00	3,811,518.90	50,691.95		12,903.01		—	—	1.125	1.311	Jun-Dec	12,681.15	21,488.00	12/11/2009	12/15/2012
912828MH0		UNITED STATES TREASURY GOVT BND				1	12,914,223.24	105.698	13,740,739.74	13,000,000.00	12,941,705.22	799,034.52		17,883.41		—	—	2.25	2.391	Jan-Jul	49,279.89	292,500.00	1/29/2010	1/31/2015
912828MM9		UNITED STATES TREASURY GOVT BND				1	4,999,430.81	100.11	5,005,500.40	5,000,000.00	4,999,952.89	5,547.51		214.57		—	—	0.75	0.756	May-Nov	12,602.46	18,750.00	12/3/2009	11/30/2011
912828MN7		UNITED STATES TREASURY GOVT BND				1	15,941,238.41	101.556	16,154,512.92	15,907,000.00	15,924,644.13	229,868.79		(21,747.89	)	—	—	1.375	1.293	Feb-Aug	27,934.52	218,721.00	9/9/2010	2/15/2013
912828MT4		UNITED STATES TREASURY GOVT BND				1	10,182,846.00	101.647	10,164,701.10	10,000,000.00	10,173,115.34	(8,414.24	)	(9,730.66	)	—	—	1.375	0.184	Mar-Sep	6,043.96	68,750.00	8/31/2011	3/15/2013
912828MU1		UNITED STATES TREASURY GOVT BND				1	1,198,832.15	100.438	1,205,255.95	1,200,000.00	1,199,707.36	5,548.59		(11,472.63	)	—	—	1	1.049	Mar-Sep	33.34	12,000.00	3/30/2010	3/31/2012
912828NC0		UNITED STATES TREASURY GOVT BND				1	8,147,214.30	101.782	8,142,559.84	8,000,000.00	8,146,479.94	(3,920.10	)	(1,625.34	)	—	—	1.375	0.243	May-Nov	41,548.91	—	9/26/2011	5/15/2013
912828NF3		UNITED STATES TREASURY GOVT BND				1	9,707,493.76	105.504	9,885,724.62	9,370,000.00	9,682,311.52	203,413.10		(59,238.63	)	—	—	2.125	1.192	May-Nov	66,914.86	34,531.00	6/22/2011	5/31/2015
912828NQ9		UNITED STATES TREASURY GOVT BND				1	5,812,906.15	100.375	5,821,750.00	5,800,000.00	5,805,472.36	16,277.64		(4,916.98	)	—	—	0.625	0.511	Jan-Jul	6,107.33	36,250.00	8/13/2010	7/31/2012
912828NX4		UNITED STATES TREASURY GOVT BND				1	4,000,482.15	100.189	4,007,560.12	4,000,000.00	4,000,208.99	7,351.13		854.59		—	—	0.375	0.368	Mar-Sep	40.99	15,000.00	10/15/2010	9/30/2012
912828NY2		UNITED STATES TREASURY GOVT BND				1	10,018,392.88	100.896	10,089,600.40	10,000,000.00	10,012,046.46	77,553.94		(4,718.34	)	—	—	0.75	0.686	Mar-Sep	3,296.70	75,000.00	9/24/2010	9/15/2013
912828NZ9		UNITED STATES TREASURY GOVT BND				1	12,703,744.67	102.207	12,673,668.99	12,400,000.00	12,701,311.18	(27,642.19	)	(3,334.00	)	—	—	1.25	0.633	Mar-Sep	423.50	77,500.00	9/16/2011	9/30/2015
912828PJ3		UNITED STATES TREASURY GOVT BND				1	9,445,820.32	102.595	9,746,524.43	9,500,000.00	9,449,833.13	296,691.30		49,627.93		—	—	1.375	1.505	May-Nov	43,898.57	—	5/26/2011	11/30/2015
912828PU8		UNITED STATES TREASURY GOVT BND				1	1,793,326.34	100.385	1,806,929.91	1,800,000.00	1,795,266.28	11,663.63		15,799.33		—	—	0.5	0.625	May-Nov	3,399.46	4,500.00	11/9/2010	11/15/2013
912828QE3		UNITED STATES TREASURY GOVT BND				1	399,829.47	100.615	402,459.99	400,000.00	399,864.63	2,595.36		35.16		—	—	0.625	0.647	Apr-Oct	1,046.20	—	4/27/2011	4/30/2013
912828QL7		UNITED STATES TREASURY GOVT BND				1	3,009,140.64	100.793	3,023,790.21	3,000,000.00	3,007,219.17	16,571.04		(3,399.94	)	—	—	0.75	0.588	Mar-Sep	61.81	11,250.00	4/28/2011	3/31/2013
912828QU7		UNITED STATES TREASURY GOVT BND				1	12,947,453.12	100.599	12,926,971.37	12,850,000.00	12,942,890.02	(15,918.65	)	(4,567.14	)	—	—	0.625	0.364	Jan-Jul	17,022.75	—	8/9/2011	7/15/2014
912828QX1		UNITED STATES TREASURY GOVT BND				1	102,605,567.12	102.685	103,198,423.00	100,500,000.00	102,551,620.65	646,802.35		(55,704.73	)	—	—	1.5	1.065	Jan-Jul	253,980.97	—	8/16/2011	7/31/2016
912828RB8		UNITED STATES TREASURY GOVT BND				1	8,243,589.97	100.248	8,220,336.08	8,200,000.00	8,241,741.69	(21,405.61	)	(1,848.28	)	—	—	0.5	0.322	Feb-Aug	5,236.41	—	8/10/2011	8/15/2014
912828RD4		UNITED STATES TREASURY GOVT BND				1	14,978,370.57	99.753	14,962,949.70	15,000,000.00	14,979,084.52	(16,134.82	)	713.95		—	—	0.125	0.197	Feb-Aug	1,579.48	—	9/6/2011	8/31/2013
912828RF9		UNITED STATES TREASURY GOVT BND				1	48,775,832.90	100.24	48,616,395.15	48,500,000.00	48,774,058.44	(157,663.29	)	(2,190.04	)	—	—	1	0.882	Feb-Aug	41,557.70	—	9/30/2011	8/31/2016
912828RG7		UNITED STATES TREASURY GOVT BND				1	9,975,814.75	99.492	9,949,199.70	10,000,000.00	9,976,014.55	(26,814.85	)	199.80		—	—	0.25	0.332	Mar-Sep	1,098.90	—	9/21/2011	9/15/2014
912828RJ1		UNITED STATES TREASURY GOVT BND				1	7,207,055.28	100.141	7,210,151.93	7,200,000.00	7,207,051.51	3,100.42		(3.77	)	—	—	1	0.98	Mar-Sep	196.72	—	9/27/2011	9/30/2016
913017BF5		UNITED TECHNOLOGIES CORP CORP BND				1FE	799,383.20	103.396	796,152.12	770,000.00	775,416.95	20,735.17		(6,307.59	)	—	—	6.1	4.936	May-Nov	17,744.22	23,485.00	9/24/2008	5/15/2012
91412GFC4		UNIVERSITY CALIF REVS MUNI BND REV				1FE	1,300,000.00	100.201	1,302,612.95	1,300,000.00	1,300,000.00	2,612.95		—		—	—	0.887	0.887	Jan-Jul	2,049.96	—	7/20/2011	7/1/2013
914455KX7		UNIVERSITY MICH UNIV REVS MUNITAX BND					3,500,000.00	101.201	3,542,034.86	3,500,000.00	3,500,000.00	42,034.86		—		—	—	1.754	1.754	Apr-Oct	30,695.00	24,215.00	10/28/2010	4/1/2015
914908AN8		UNIVISION COMMUNICATIONS INC. TERM LOAN				4FE	—	83.917	—	—	—	—		—		—	—	#N/A	0.7	#N/A	—	148,106.00	8/5/2011	3/31/2017
91913YAQ3		VALERO ENERGY CORPORATION CORP BND				2FE	1,531,485.00	106.191	1,592,863.77	1,500,000.00	1,523,049.15	69,814.62		(4,782.50	)	—	—	4.5	4.003	Feb-Aug	11,250.00	67,500.00	5/20/2010	2/1/2015
92343VAZ7		VERIZON COMMUNICATIONS INC. CORP BND FRN				1FE	9,900,000.00	100.28	9,927,719.90	9,900,000.00	9,900,000.00	27,719.90		—		—	—	0.97278	0.919	M-J-S-D	802.54	44,901.00	3/23/2011	3/28/2014
92344GAW6		VERIZON COMMUNICATIONS INC. CORP BND				1FE	6,784,125.00	101.199	6,999,226.07	6,250,000.00	6,639,440.48	359,785.59		(68,010.28	)	—	—	4.9	3.21	Mar-Sep	13,611.11	306,250.00	2/17/2010	9/15/2015
92344SAJ9		CELLCO PARTNERSHIP/VERIZON WIR CORP BND				1FE	6,369,194.90	112.551	6,222,947.45	5,529,000.00	6,036,901.09	186,046.36		(172,160.12	)	—	—	7.375	2.876	May-Nov	154,044.09	203,882.00	4/20/2010	11/15/2013
92344SAN0		CELLCO PARTNERSHIP/VERIZON WIR CORP BND				1FE	7,987,672.58	101.42	8,062,885.32	7,950,000.00	7,955,941.64	106,943.68		(13,113.91	)	—	—	5.25	5.021	Feb-Aug	69,562.50	417,375.00	11/10/2009	2/1/2012
92344SAP5		CELLCO PARTNERSHIP/VERIZON WIR CORP BND				1FE	21,894,748.59	109.436	23,118,381.87	21,125,000.00	21,646,687.39	1,471,694.48		(195,737.40	)	—	—	5.55	4.4	Feb-Aug	195,406.25	1,172,438.00	11/12/2010	2/1/2014
92531SAW3		VERTAFORE INC TERM LOAN			2	1Z	—	96.063	—	—	—	—		—		—	—	#N/A	0	#N/A	—	—	7/21/2011	7/29/2016
928670AE8		VW INTL FIN N.V. CORP BND 144A		F		1FE	8,105,061.80	100.256	8,100,685.12	8,080,000.00	8,102,306.99	(1,621.87	)	(2,754.81	)	—	—	0.85575	0.784	J-A-J-O	17,670.29	11,845.00	7/12/2011	4/1/2014
92867DAD2		VALET_11-1 ABS_11-1 A4			2		2,062,187.50	102.852	2,057,037.20	2,000,000.00	2,061,619.93	(4,582.73	)	(567.57	)	—	—	1.98	1.022	Monthly	1,210.00	—	9/15/2011	9/20/2015
92869AAC8		VALET_2010-1 ABS 10-1-A3			2	1FE	611,135.45	100.313	609,639.84	607,740.65	610,306.93	(667.09	)	(1,902.47	)	—	—	1.31	0.647	Monthly	243.27	3,317.00	5/12/2011	12/20/2012
92922F3N6		WAMU_05-A12 CMO_05-AR12 1A8			2	NR*Z*	3,699,058.77	79.477	2,970,054.46	3,737,012.82	3,700,672.88	(730,618.42	)	3,437.34		—	—	2.50111	2.694	Monthly	7,788.90	75,471.00	1/10/2008	10/25/2035
92922FNJ3		WASHINGTON MUTUAL WHOLE CMO 04-AR3 A2			2	NR*Z*	678,089.47	96.776	672,353.85	694,752.68	678,828.15	(6,474.30	)	2,343.36		—	—	2.576837	3.119	Monthly	1,491.89	13,681.00	8/10/2007	6/25/2034
92922FW46		WASHINGTON MUTUAL CMO 05-AR10 1A3			2	3FE	2,939,882.81	69.225	2,076,750.00	3,000,000.00	2,961,800.81	(885,050.81	)	2,679.97		—	—	2.50811	2.691	Monthly	6,270.28	60,986.00	3/24/2006	9/25/2035
92924SAA6		WESTFIELD GROUP CORP BND 144A		R		1FE	2,960,718.75	93.983	3,156,767.01	3,025,000.00	3,009,611.04	147,155.97		10,900.14		—	—	5.4	5.929	Apr-Oct	81,675.00	81,675.00	12/24/2008	10/1/2012
92928WAF2		WMC FINANCE LTD CORP BND		F		1FE	2,162,260.00	106.112	2,122,230.52	2,000,000.00	2,081,729.10	40,501.42		(41,948.71	)	—	—	5.125	2.537	May-Nov	38,722.22	51,250.00	1/27/2010	5/15/2013
929766CT8		WACHOVIA BANK COMM MTG TR CMBS 03-C3			2	1FE	416,959.89	99.385	428,544.73	429,069.48	427,812.13	732.60		21,427.68		—	—	4.037	5.21	Monthly	1,443.46	12,991.00	8/27/2008	2/15/2035
92976WBA3		WACHOVIA CORPORATION CORP BND MTN				1FE	527,500.00	101.414	538,728.64	500,000.00	509,950.46	28,778.18		(3,842.73	)	—	—	5.7	4.556	Feb-Aug	4,750.00	28,500.00	1/31/2008	8/1/2013
92976WBJ4		WACHOVIA CORPORATION CORP BND MTN				1FE	427,674.40	106.308	425,233.31	400,000.00	412,916.26	12,317.05		(169,096.05	)	—	—	5.5	3.389	May-Nov	9,166.67	11,000.00	10/29/2009	5/1/2013
931142AS2		WAL-MART STORES INC CORP BND				1FE	6,759,610.00	110.648	6,417,590.78	5,800,000.00	6,366,538.62	51,052.16		(250,451.52	)	—	—	7.25	1.305	Jun-Dec	140,166.67	210,250.00	7/22/2010	6/1/2013
931142BT9		WAL-MART STORES INC CORP BND				1FE	2,291,772.00	106.208	2,230,360.00	2,100,000.00	2,216,229.36	14,130.64		(54,175.33	)	—	—	4.55	1.019	May-Nov	39,812.50	47,775.00	9/10/2010	5/1/2013
931142CL5		WAL-MART STORES INC CORP BND				1FE	8,537,028.01	105.655	8,452,395.60	8,000,000.00	8,333,997.17	118,398.43		(154,997.27	)	—	—	4.25	1.492	Apr-Oct	156,777.78	170,000.00	1/10/2011	4/15/2013
931142CR2		WAL-MART STORES INC CORP BND				1FE	3,024,810.00	106.079	3,182,355.18	3,000,000.00	3,018,357.84	163,997.34		(5,859.84	)	—	—	2.875	2.69	Apr-Oct	43,125.00	43,125.00	5/20/2010	4/1/2015
931142CX9		WAL-MART STORES INC CORP BND				1FE	3,655,118.25	100.988	3,711,327.19	3,675,000.00	3,658,714.43	52,612.76		3,851.56		—	—	1.5	1.613	Apr-Oct	23,887.50	27,563.00	10/18/2010	10/25/2015
931142DA8		WAL-MART STORES INC CORP BND				1FE	2,094,330.00	102.265	2,147,559.71	2,100,000.00	2,095,170.17	52,389.54		840.17		—	—	1.625	1.718	Apr-Oct	15,451.04	—	4/11/2011	4/15/2014
931422AD1		WALGREEN CO CORP BND				1FE	6,200,660.25	107.392	6,685,163.76	6,225,000.00	6,215,503.64	469,660.12		3,648.84		—	—	4.875	4.963	Feb-Aug	50,578.14	303,469.00	7/14/2008	8/1/2013
93316UAD9		WALTER ENERGY INC TERM LOAN			1	1Z	—	0	—	—	—	—		—		—	—	#N/A	0	#N/A	—	2,431.00	00/00/0000	2/4/2018
93443NAW9		WARNER CHILCOTT CORP TERM LOAN				1Z	—	97.135	—	—	—	—		—		—	—	#N/A	0.515	#N/A	—	7,443.00	8/23/2011	3/14/2018
93443NAX7		WARNER CHILCOTT CORP TERM LOAN				1Z	—	97.135	—	—	—	—		—		—	—	#N/A	0.515	#N/A	—	3,721.00	8/23/2011	3/14/2018
93443NAY5		WARNER CHILCOTT CORP TERM LOAN				1Z	—	97.135	—	—	—	—		—		—	—	#N/A	0.515	#N/A	—	5,117.00	8/23/2011	3/14/2018
93934FEN8		WMALT_05-5 CMO 05-9-2A2			2	5FE	4,692,335.60	77.5	3,968,960.55	5,121,239.42	4,719,672.34	(750,711.79	)	40,567.71		—	—	5.5	7.829	Monthly	23,472.35	211,251.00	12/17/2007	11/25/2035
949744AA4		WELLS FARGO & COMPANY - GTD CORP BND				1FE	1,298,479.00	103.122	1,306,321.35	1,300,000.00	1,299,426.51	6,894.84		947.51		—	—	3	3.658	Jun-Dec	12,133.33	19,500.00	12/3/2008	12/9/2011
949746NY3		WELLS FARGO & COMPANY CORP BND				1FE	797,552.00	103.766	830,125.55	800,000.00	799,295.30	30,830.25		379.74		—	—	4.375	4.444	Jan-Jul	5,930.56	35,000.00	1/25/2008	1/31/2013
949746QU8		WELLS FARGO & COMPANY CORP BND				1FE	1,963,144.95	103.839	2,024,867.13	1,950,000.00	1,961,767.50	63,099.63		(2,484.59	)	—	—	3.676	3.536	Mar-Sep	3,185.87	84,065.00	2/10/2011	6/15/2016
94974BET3		WELLS FARGO & COMPANY CORP BND				1FE	8,471,360.00	105.451	8,436,049.20	8,000,000.00	8,446,608.55	(10,559.35	)	(24,751.45	)	—	—	3.75	1.829	Apr-Oct	150,000.00	—	7/26/2011	10/1/2014
94974BEU0		WELLS FARGO & COMPANY CORP BND				1FE	7,199,617.50	104.305	7,353,504.69	7,050,000.00	7,196,880.93	156,623.76		(3,489.93	)	—	—	3.625	2.992	Apr-Oct	117,842.71	73,406.00	8/19/2011	4/15/2015
94975CAL1		WELLS FARGO FINANCIAL INC CORP BND				1FE	804,015.00	103.729	777,969.58	750,000.00	766,687.52	11,282.06		(14,696.92	)	—	—	5.5	2.781	Feb-Aug	6,875.00	41,250.00	10/20/2009	8/1/2012
949781AA6		WFMBS CMO 05-AR1 1A1			2	NR*Z*	2,639,503.46	89.75	2,426,852.80	2,704,014.27	2,643,926.40	(217,073.60	)	5,550.51		—	—	2.73376	3.261	Monthly	6,160.11	55,505.00	12/5/2006	2/25/2035
949781AC2		WFMBS CMO 05-AR1 2A1			2	3FE	748,138.27	92.59	710,007.67	766,829.75	749,071.21	(39,063.54	)	2,429.11		—	—	2.72653	3.341	Monthly	1,742.32	15,729.00	5/27/2008	2/25/2035
949797AA2		WFMBS WHOLE CMO 07-15 A1			2	NR*Z*	306,048.52	94.25	286,636.86	304,123.99	305,892.82	(19,255.96	)	(341.86	)	—	—	6	5.766	Monthly	1,520.62	13,686.00	1/17/2008	11/25/2037
94980RAC1		WFMBS_04-Z CMO 04-Z-2A1			2	NR*Z*	214,685.63	90.593	196,206.94	216,580.69	214,801.81	(18,594.87	)	258.90		—	—	2.73917	2.98	Monthly	494.38	4,450.00	1/14/2008	12/25/2034
94981NAH8		WFMBS_05-AR4 CMO 05-AR4 2A2			2	NR*Z*	2,060,107.47	92.442	1,959,441.41	2,119,639.53	2,065,081.89	(105,640.48	)	8,298.50		—	—	2.740861	3.502	Monthly	4,841.36	43,985.00	7/19/2006	4/25/2035
94982BAG5		WFMBS CMO 05-AR8 3A2			2	NR*Z*	788,166.71	91.441	733,194.75	801,822.76	790,148.99	(56,954.24	)	3,072.00		—	—	2.73221	3.099	Monthly	1,825.62	16,878.00	12/15/2005	6/25/2035
95081HAJ3		WESCO AIRCRAFT LN1 TERM LOAN			1	1Z	—	99.625	—	—	—	—		—		—	—	#N/A	0.041	#N/A	—	5,505.00	4/4/2011	4/7/2017
95806AAB9		WESTERN CORPORATE FEDERAL CRED CORP BND				1FE	6,457,149.50	101.47	6,544,815.58	6,450,000.00	6,452,972.79	91,842.79		(1,978.98	)	—	—	1.75	1.707	May-Nov	46,717.70	56,438.00	1/27/2010	11/2/2012
959802AN9		WESTERN UNION CORP BND				1FE	11,100,000.00	100.215	11,123,864.56	11,100,000.00	11,100,000.00	23,864.56		—		—	—	0.91278	0.89	M-J-S-D	6,754.57	48,833.00	3/2/2011	3/7/2013
961214BR3		WESTPAC BANKING CORP BND		F		1FE	9,195,216.00	100.525	9,248,332.38	9,200,000.00	9,196,484.68	51,847.70		1,170.25		—	—	1.85	1.868	Jun-Dec	52,951.11	85,100.00	12/2/2010	12/9/2013
9612E0CD7		WESTPAC BANKING CORP BND 144A		F		1FE	2,702,241.00	100.319	2,708,613.00	2,700,000.00	2,702,069.42	6,543.58		(171.58	)	—	—	1.09856	0.945	M-J-S-D	82.40	6,733.00	7/12/2011	3/31/2014
9612EAAB1		WESTPAC SECURITIES NZ LTD CORP BND GOVT		F		1FE	3,130,512.81	106.627	3,305,436.97	3,100,000.00	3,123,605.95	181,831.02		(5,903.59	)	—	—	3.45	3.166	Jan-Jul	18,716.25	106,950.00	11/12/2010	7/28/2014
9612EMAH2		WESTPAC BANKING CORP - GTD CORP BND GOVT		F		1FE	10,104,800.00	105.233	10,523,300.20	10,000,000.00	10,072,271.46	451,028.74		(17,435.00	)	—	—	2.9	2.643	Mar-Sep	16,916.67	290,000.00	4/28/2010	9/10/2014
981464BD1		WORLD FINANCIAL NETWORK CREDIT ABS_06-A			2	1FE	12,301,269.53	99.037	12,379,625.00	12,500,000.00	12,356,880.36	22,744.64		55,610.83		—	—	0.359	1.102	Monthly	1,994.44	25,501.00	2/16/2011	2/15/2017
98158KAD1		WORLD OMNI AUTO RECEIVABLES TR ABS 11-A			2	1FE	4,599,795.30	102.074	4,695,403.86	4,600,000.00	4,599,804.53	95,599.33		9.23		—	—	1.91	1.918	Monthly	3,904.89	45,150.00	3/2/2011	4/16/2016
983024AA8	��	WYETH CORP BND				1FE	1,104,250.00	106.932	1,069,320.91	1,000,000.00	1,051,022.08	18,298.83		(25,570.84	)	—	—	5.5	1.929	Mar-Sep	2,444.44	55,000.00	3/3/2010	3/15/2013
983024AE0		WYETH CORP BND				1FE	2,166,200.20	110.295	2,205,896.30	2,000,000.00	2,100,742.88	105,153.42		(64,478.64	)	—	—	5.5	3.241	Feb-Aug	18,333.33	110,000.00	2/19/2010	2/1/2014
BRS17HYX4		PENN NTL GAMING INC. TERM LOAN				3	—	95.688	—	—	—	—		2,500.00		—	—	#N/A	0	#N/A	—	—	00/00/0000	10/3/2012
BRS2VEN71		TIME WARNER TELECOM HOLDINGS I TERM LOAN				1Z	—	0	—	—	—	—		—		—	—	#N/A	0	#N/A	—	—	00/00/0000	1/7/2013
BRS2Z8AR0		GENERAC POWER SYSTEMS INC TERM LOAN				1Z	1,922,335.00	96.344	1,854,372.40	1,924,740.93	1,922,781.92	(68,409.52	)	540.99		—	—	0	0.048	F-M-A-N	—	14,037.00	3/8/2011	11/10/2013
BRS38FMB4		UNITED AIR LINES INC. TERM LOAN				1Z	2,898,562.70	94.833	2,824,139.10	2,978,013.03	2,911,728.42	(87,589.32	)	13,715.39		—	—	0	0.949	F-M-A-N	—	32,355.00	5/13/2011	2/3/2014
BRS3BP8V0		B&G FOODS INC LN1 TERM LOAN					—		—	—	—	—		1,338.57		—	—	#N/A	0	#N/A	—	3,892.00	00/00/0000	2/26/2013
BRS3BRB18		NATIONAL CINEMEDIA INC LN1 TERM LOAN					1,116,594.82	96	1,092,413.79	1,137,931.03	1,120,380.19	(27,966.40	)	10,574.16		—	—	0	0.455	F-M-A-N	—	14,721.00	12/16/2010	2/13/2015
BRS3D3LA8		CHARTER COMMUNICATIONS HOLDING LN1 TERM			2	4	136,237.69	90.063	134,236.36	136,237.69	136,237.69	(2,001.33	)	—		—	—	0	0	Monthly	—	908.00	3/8/2011	3/6/2014
BRS3NTN59		CEQUEL COMMUNICATIONS LLC TERM LOAN			2	3	3,944,169.36	91.175	3,808,992.35	3,968,857.95	3,949,907.68	(140,915.33	)	5,997.93		—	—	0	0.225	Monthly	—	40,207.00	5/26/2011	11/5/2013
BRS3SKK31		LOCAL TV ON SATELLITE LLC TERM LOAN				1Z	1,362,746.51	92.875	1,288,194.22	1,387,019.35	1,369,668.13	(81,473.91	)	11,078.18		—	—	0	0.777	F-M-A-N	—	22,112.00	2/1/2011	5/7/2013
BRS3T9YQ9		LAS VEGAS SANDS LLC LN1 TERM LOAN			2	3FE	—	70.219	—	—	—	—		1,325.42		—	—	#N/A	0	#N/A	—	9,817.00	00/00/0000	5/23/2014
BRS3V66X8		IPC SYSTEMS INC TERM LOAN				1	—	0	—	—	—	—		1,841.97		—	—	#N/A	0	#N/A	—	1,688.00	00/00/0000	6/2/2014
BRS3YPRC6		CLAIRES STORES INC. CLAIRES STORES TERM				4	1,805,000.00	84.042	1,680,840.00	2,000,000.00	1,819,069.68	(138,229.68	)	14,069.68		—	—	0	3.597	May-Nov	—	11,335.00	6/20/2011	5/29/2014

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE							INTEREST					DATES
							8	9														20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
BRS42NQM3	POLYPORE INC LN1 TERM LOAN					1,964,004.00	96.5	1,909,585.77	1,978,845.36	1,966,882.78	(57,297.01	)	2,997.76		—	—		0	0.217	J-A-J-O	—	25,323.00	12/17/2010	7/3/2014
BRS47V6P5	BIOMET INC LN1 TERM LOAN				3	6,218,725.35	93.239	5,949,887.37	6,242,865.03	6,219,045.07	(269,157.70	)	424.93		—	—		0	0.105	Monthly	—	107,511.00	8/15/2011	3/25/2015
BRS4BYYF5	MILLENNIUM INORGANIC CHEMICALS TERM LOAN				4FE	1,767,757.55	96.2	1,704,844.88	1,772,188.02	1,768,500.34	(63,655.46	)	2,854.34		—	—		0	0.078	F-M-A-N	—	12,586.00	3/8/2011	5/15/2014
BRS4QJJM4	DOLLAR GENERAL CORPORATION LN1 TERM LOAN				3	2,000,000.00	94.875	1,980,200.00	2,000,000.00	2,000,000.00	(19,800.00	)	—		—	—		0	0	Monthly	—	9,337.00	6/21/2011	7/7/2014
BRS4QJKV2	FREESCALE SEMICONDUCTOR INC. TERM LOAN					4,894,780.36	91.333	4,537,003.48	4,967,540.19	4,897,939.34	(360,935.86	)	3,524.15		—	—		0	0.267	Monthly	—	51,273.00	8/5/2011	12/1/2016
BRS4QJTT8	SORENSON COMMUNICATIONS INC LN1 TERM				4	2,178,580.82	90.875	2,076,721.80	2,255,639.09	2,196,337.33	(119,615.53	)	25,698.24		—	—		0	1.405	Monthly	—	44,586.00	3/8/2011	8/16/2013
BRS4QJUM1	TEAM HLTH INC. LN1 TERM LOAN					—		—	—	—	—		4,796.22		—	—		#N/A	0	#N/A	—	—	00/00/0000	11/23/2012
BRS4QJWV9	BERRY PLASTICS HLDG CORP LN1 TERM LOAN			2		876,455.61	90.778	905,409.81	997,389.03	876,455.61	28,954.20		—		—	—		0	3.681	J-A-J-O	—	—	8/12/2011	4/3/2015
BRS58NX61	BAUSCH & LOMB INCORPORATED LN1 TERM LOAN				3	2,394,150.14	91.411	2,305,728.34	2,397,106.02	2,394,655.80	(88,927.46	)	560.12		—	—		0	0.028	Monthly	—	10,799.00	5/26/2011	4/24/2015
BRS58NXF1	BAUSCH & LOMB INCORPORATED LN1 TERM LOAN				3	583,505.62	91.411	561,958.90	584,229.74	583,629.49	(21,670.59	)	130.68		—	—		0	0.028	Monthly	—	6,196.00	5/26/2011	4/24/2015
BRS5B8108	CATALINA MARKETING CORPORATION LN1 TERM			2	3	1,315,046.42	92	1,241,628.22	1,319,996.41	1,316,040.71	(74,412.49	)	1,024.32		—	—		0	0.099	J-A-J-O	—	23,270.00	12/20/2010	10/1/2014
BRS5BXBC6	AEROFLEX INCORPORATED LN1 TERM LOAN					—		—	—	—	—		5,000.00		—	—		#N/A	0	#N/A	—	—	00/00/0000	8/15/2014
BRS5LGXZ7	TELESAT CANADA TERM LOAN					6,965,859.64	96.854	6,766,228.65	6,986,008.48	6,967,201.40	(200,972.75	)	1,239.17		—	—		0	0.086	Monthly	—	64,942.00	6/7/2011	10/31/2014
BRS5TSFC4	ROYALTY PHARMA FINANCE TRUST TERM LOAN				1Z	6,848,336.25	99.333	6,836,842.06	6,882,750.00	6,850,399.93	(13,557.87	)	2,149.93		—	—		0	0.301	M-J-S-D	—	—	8/1/2011	4/16/2013
BRS6WDST0	NETWORK RAIL INFRASTRUCTURE FI CORP BND		D		1FE	6,545,424.63	105.161	5,227,844.85	3,300,000.00	6,577,225.96	(1,349,381.11	)	7,629.42		—	(1,439,972.47	)	4.875	4.978	March	142,423.78	261,663.00	4/22/2008	3/7/2012
BRS7R1MF6	TPF GENERATION HOLDINGS LLC TERM LOAN				1Z	553,701.89	94.822	525,685.54	554,394.88	553,824.30	(28,138.76	)	122.41		—	—		0	0.047	J-A-J-O	—	2,294.00	3/8/2011	12/15/2013
BRS8FY3M1	TELESAT CANADA TERM LOAN					598,362.45	96.854	581,214.21	600,093.14	598,477.69	(17,263.48	)	106.47		—	—		0	0.086	Monthly	—	5,579.00	6/7/2011	10/31/2014
BRS8PB696	TPF GENERATION HOLDINGS LLC TERM LOAN				1Z	947,690.25	94.822	899,738.77	948,876.33	947,899.52	(48,160.75	)	517.94		—	—		0	0.046	M-J-S-D	—	5,281.00	3/8/2011	12/15/2013
BRS8R3U20	HUNTSMAN INTL LLC TERM LOAN				1Z	5,947,500.00	93.281	5,596,860.00	6,000,000.00	5,951,603.43	(354,743.43	)	4,103.43		—	—		0	0.168	F-M-A-N	—	62,622.00	5/13/2011	6/30/2016
BRS8WUHY9	SILVMA ABS_09-1 A3		D	1	NR*F*	833,161.50	105.675	839,564.94	510,000.00	833,161.50	6,403.44		—		—	(38,683.50	)	5.063	5.06	Apr-Oct	17,914.15	21,594.00	10/27/2009	1/21/2055
BRS92C2N0	KREDITANSTALT FUER WIEDERAUFBA CORP BND		F		1FE	1,998,240.00	100.039	2,000,785.42	2,000,000.00	1,999,836.28	949.14		2,117.62		—	—		0.875	0.93	November	14,972.22	—	5/3/2010	11/23/2011
BRS96AL33	BANK NEDERLANDSE GEMEENTEN CORP BND EMTN		D		1FE	3,403,270.07	102.925	3,607,577.62	2,250,000.00	3,396,269.39	211,308.23		(3,826.57	)	—	120,787.35		2.625	2.447	December	74,362.28	—	4/27/2010	12/10/2013
BRS9GBGH5	BORDENINC. TERM LOAN				3Z	1,175,578.28	93.667	1,103,190.99	1,177,779.78	1,175,861.65	(72,670.66	)	302.78		—	—		0	0.045	F-M-A-N	—	11,591.00	5/13/2011	5/5/2015
BRS9GBTB4	HEXION SPECIALTY CHEMICALS TL TERM LOAN				3Z	2,780,571.56	93.667	2,609,355.57	2,785,778.95	2,781,241.86	(171,886.29	)	724.11		—	—		0	0.045	F-M-A-N	—	27,540.00	5/13/2011	5/5/2015
BRS9LY573	CINEMARK USA INC. TERM LOAN					952,576.14	97.75	975,019.04	997,461.93	953,017.88	22,001.16		555.95		—	—		0	0.982	J-A-J-O	—	—	8/26/2011	4/30/2016
BRS9ND148	EUROPEAN INVESTMENT BANK CORP BND		D		1FE	4,153,705.78	0	4,411,489.44	2,700,000.00	4,136,149.73	275,339.71		(11,055.86	)	—	137,867.08		3	2.571	December	103,019.67	—	7/12/2010	12/7/2015
BRS9SHAY8	HCA INC LN1 TERM LOAN				??	1,995,000.00	93.925	1,878,500.00	2,000,000.00	1,995,593.91	(117,093.91	)	593.91		—	—		0	0.04	F-M-A-N	—	85,645.00	12/16/2010	3/31/2017
BRS9U2FN7	CABLEVISION SYSTEMS CORPORATIO TERM LOAN				1Z	1,391,468.35	96.75	1,447,575.95	1,496,202.53	1,393,699.35	53,876.60		2,496.82		—	—		0	1.563	F-M-A-N	—	2,618.00	8/11/2011	3/29/2016
BRS9WB7G9	ARKEL_10-1 ABS_10-1 5A		D	2	1FE	918,390.00	104.19	973,843.28	600,000.00	918,390.00	55,453.28		—		—	16,290.00		4.681	4.677	Feb-Aug	5,350.16	45,945.00	4/30/2010	2/17/2017
BRS9YCJN7	BUFFETS INC TERM LOAN				4FE	1,899,729.95	56.2	1,120,037.46	1,992,949.22	1,913,455.52	(793,418.06	)	15,506.30		—	—		0	1.13	J-A-J-O	—	79,501.00	9/30/2011	4/22/2015
BRS9YEPB2	UPC FINANCING PARTNERSHIP TERM LOAN				1Z	1,992,500.00	95.25	1,905,000.00	2,000,000.00	1,992,864.82	(87,864.82	)	364.82		—	—		0	0.056	J-A-J-O	—	17,826.00	5/27/2011	12/31/2017
BRSA43XR2	CABLEVISION SYSTEMS CORPORATIO TERM LOAN				1Z	6,960,406.03	97.563	6,783,447.38	6,952,924.92	6,959,702.59	(176,255.21	)	(703.44	)	—	—		0	-0.021	F-M-A-N	—	54,254.00	6/3/2011	3/29/2016
BRSA440T2	NUANCE COMMUNICATIONS INC LN1 TERM LOAN				??	976,158.14	97.675	966,755.34	989,767.43	980,152.93	(13,397.59	)	4,099.96		—	—		0	0.645	M-J-S-D	—	13,574.00	12/15/2010	3/29/2013
BRSABN708	DEAN FOODS COMPANY TERM LOAN				1Z	2,927,851.14	94.611	2,814,594.09	2,974,912.10	2,933,132.43	(118,538.34	)	5,632.61		—	—		0	0.309	M-J-S-D	—	37,563.00	5/16/2011	4/2/2016
BRSAD09Q7	DEAN FOODS TERM LOAN				1	1,915,865.36	96.583	1,857,365.37	1,923,076.91	1,917,147.47	(59,782.10	)	1,570.56		—	—		0	0.122	J-A-J-O	—	24,451.00	2/1/2011	4/2/2014
BRSAG8QE5	VNU GROUP B.V. CORP BND				1Z	1,984,949.62	95.875	1,907,840.06	1,989,924.44	1,985,235.01	(77,394.95	)	310.57		—	—		0	0.051	J-A-J-O	—	15,235.00	6/9/2011	5/1/2016
BRSAHW6G8	LAS VEGAS SANDS LLC TERM LOAN				1Z	943,762.14	92.903	890,345.64	958,360.47	944,799.19	(54,453.55	)	1,058.03		—	—		0	0.272	F-M-A-N	—	13,605.00	5/16/2011	11/23/2016
BRSAHW876	LAS VEGAS SANDS LLC TERM LOAN				1Z	4,920,187.44	92.903	4,644,152.05	4,998,925.81	4,925,987.79	(281,835.74	)	5,911.27		—	—		0	0.283	F-M-A-N	—	26,265.00	5/16/2011	11/6/2016
BRSAZLZQ8	GREEN MOUNTAIN COFFEE ROASTERS TERM				1	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	—	00/00/0000	11/9/2016
BRSB2TL72	CHG HEALTHCARE SERVICES TL-B TERM LOAN				1Z	998,750.00	98	980,000.00	1,000,000.00	998,827.52	(18,827.52	)	77.52		—	—		0	0.023	J-A-J-O	—	12,528.00	5/23/2011	10/1/2016
BRSB5UM91	TW TELECOM INC TERM LOAN				4FE	989,610.40	96.958	959,506.45	989,610.40	989,610.40	(30,103.95	)	—		—	—		0	0	F-M-A-N	—	20,764.00	1/18/2011	12/29/2016
BRSB9FFC1	BIG WEST OIL LLC TERM LOAN				1Z	754,105.24	99.25	752,210.51	757,894.72	754,650.78	(2,440.27	)	2,743.59		—	—		0	0.094	M-J-S-D	—	30,833.00	12/17/2010	3/31/2016
BRSB9YU33	AMC ENTERTAINMENT INC. TERM LOAN				1Z	574,078.69	94.9	581,120.73	612,350.61	574,078.69	7,042.04		—		—	—		0	1.249	J-A-J-O	—	—	9/6/2011	12/15/2016
BRSBAXKS9	REMY INTERNATIONAL INC TERM LOAN			1	1Z	1,145,832.89	96.125	1,130,370.35	1,175,937.94	1,146,050.68	(15,680.33	)	306.65		—	—		0	0.487	M-J-S-D	—	—	9/29/2011	12/16/2016
BRSBBCR99	SHELL: CCC INFORMATION SYSTEMS TERM LOAN				1Z	265,963.50	98.2	263,814.30	268,650.00	266,372.38	(2,558.08	)	422.38		—	—		0	0.204	Monthly	—	3,571.00	12/14/2010	11/11/2015
BRSBBCS15	CENVEO CORP TERM LOAN				1Z	491,287.50	97.459	483,637.81	496,250.00	491,913.86	(8,276.05	)	654.75		—	—		0	0.166	M-J-S-D	—	15,077.00	12/14/2010	12/21/2016
BRSBBCSA5	DARLING INTL INC. TERM LOAN				1Z	71,640.00	99.5	71,640.00	72,000.00	71,684.57	(44.57	)	1,484.57		—	—		0	0.083	M-J-S-D	—	3,468.00	12/15/2010	12/17/2016
BRSBBCT22	INTELSAT JACKSON HLDGS SA TERM LOAN				1Z	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	—	00/00/0000	12/23/2015
BRSBBCU87	REMY INTERNATIONAL INC TERM LOAN				1Z	—	0	—	—	—	—		309.84		—	—		#N/A	0	#N/A	—	—	00/00/0000	12/28/2016
BRSBBCUC8	SWIFT TRANSP CO TERM LOAN				1Z	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	—	00/00/0000	12/21/2016
BRSBBCUF1	SYNIVERSE HLDGS TERM LOAN				1Z	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	—	00/00/0000	1/17/2018
BRSBBCVB9	TRANSTAR HOLDING COMPANY TERM LOAN				1Z	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	—	00/00/0000	12/21/2016
BRSBDPXK6	JPMORGAN CHASE & CO CORP BND EMTN		O		1FE	1,195,342.58	100.79	1,177,574.95	750,000.00	1,195,713.70	(18,138.75	)	371.12		—	(30,553.84	)	4.25	4.308	Jan-Jul	9,175.36	25,951.00	1/18/2011	1/25/2017
BRSBHYHD7	SAVERS INC TERM LOAN				1Z	308,450.00	98.167	302,796.11	308,450.00	308,450.00	(5,653.89	)	—		—	—		0	0	F-M-A-N	—	4,188.00	3/3/2011	3/4/2017
BRSBK6YZ6	DUNKIN BRANDS INC TERM LOAN			1	1Z	—	0	—	—	—	—		(377.25	)	—	—		#N/A	0	#N/A	—	1,272.00	00/00/0000	11/23/2017
BRSBK9U01	MOMENTIVE PERFORMANCE MATERIAL TERM LOAN				1Z	5,938,149.79	92.4	5,505,474.86	5,958,306.13	5,940,028.36	(434,553.50	)	1,722.23		—	—		0	0.084	M-J-S-D	—	95,597.00	5/13/2011	5/4/2015
BRSBL1YL7	BURGER KING CORP TERM LOAN				1Z	6,463,712.40	96.338	6,222,194.35	6,458,712.40	6,463,231.79	(241,037.44	)	(480.61	)	—	—		0	-0.014	F-M-A-N	—	9,882.00	5/16/2011	10/19/2016
BRSBLSR28	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND		O		1	1,294,592.35	104.078	1,297,065.28	800,000.00	1,294,637.99	2,427.29		45.64		—	(50,360.57	)	4	3.99	December	29,773.19	—	2/18/2011	12/7/2017
BRSBLUG58	EDWARDS LTD LN1 TERM LOAN					—		—	—	—	—		129.48		—	—		#N/A	0	#N/A	—	2,414.00	00/00/0000	5/31/2016
BRSBN8RA2	BWAY HOLDING				1Z	2,937,200.96	95.35	2,833,865.46	2,972,066.56	2,936,306.66	(102,441.20	)	(894.30	)	—	—		0	0.183	Feb-Aug	—	35,479.00	8/26/2011	2/9/2018
BRSBNH1C6	DINEEQUITY INC				1Z	2,253,133.42	96.614	2,159,934.87	2,235,633.42	2,251,726.61	(91,791.74	)	(1,406.81	)	—	—		0	-0.12	Apr-Oct	—	50,866.00	2/23/2011	10/1/2017
BRSBQ9RY5	CCM MERGER TERM LOAN				1Z	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	2,707.00	00/00/0000	3/1/2017
BRSBR3DP1	BWAY HOLDING TERM LOAN				1Z	—	0	—	—	—	—		(88.47	)	—	—		#N/A	0	#N/A	—	683.00	00/00/0000	2/9/2018
BRSBRMC88	BWAY CORPORATION TERM LOAN				3	254,576.05	95.35	245,334.51	257,298.91	254,575.91	(9,241.40	)	(0.14	)	—	—		0	0.158	M-J-S-D	—	—	9/1/2011	2/1/2018
BRSBS9GD1	NTELOS INC TERM LOAN				3	2,930,034.82	96.875	2,898,864.23	2,992,375.98	2,930,034.82	(31,170.59	)	—		—	—		0	0.555	F-M-A-N	—	—	9/12/2011	8/7/2015
BRSBT4DY8	SERENA SOFTWARE TERM LOAN				1Z	2,983,750.00	91.25	2,737,500.00	3,000,000.00	2,984,847.41	(247,347.41	)	1,097.41		—	—		0	0.112	M-J-S-D	—	34,399.00	6/2/2011	3/10/2016
BRSBTKQC6	ISLE OF CAPRI CASINOS INC. TERM LOAN				1Z	—	0	—	—	—	—		—		—	—		#N/A	0	#N/A	—	6,432.00	00/00/0000	3/1/2017
BRSBUTEL8	ROCK-TENN CO TERM LOAN				1Z	1,097,250.00	99.111	1,087,495.45	1,097,250.00	1,097,250.00	(9,754.55	)	—		—	—		0	0	Mar-Sep	—	6,081.00	3/28/2011	1/24/2017
BRSBUXKB4	WESTERN REFINING INC TERM LOAN				1Z	861,918.75	99.071	862,536.89	870,625.00	862,629.62	(92.73	)	754.62		—	—		0	0.167	M-J-S-D	—	27,534.00	3/25/2011	3/15/2017
BRSBUXKY4	KINDRED HEALTHCARE INC. TERM LOAN				1Z	3,525,713.75	92.464	3,274,265.82	3,541,125.00	3,526,417.09	(252,151.27	)	792.09		—	—		0	0.063	M-J-S-D	—	7,192.00	5/19/2011	3/30/2018
BRSBXUEK4	HUBBARD RADIO TERM LOAN			1	1Z	1,575,282.87	96	1,563,288.00	1,628,425.00	1,575,499.57	(12,211.57	)	224.57		—	—		0	0.601	J-A-J-O	—	10,906.00	9/30/2011	4/12/2017
BRSBXV0N1	REYNOLDS GROUP HOLDINGS INC TERM LOAN				1Z	1,836,148.12	98.175	1,811,696.91	1,845,375.00	1,836,710.82	(25,013.91	)	585.82		—	—		0	0.071	J-A-J-O	—	31,698.00	4/8/2011	4/21/2018
BRSBZBVS8	RANPAK CORP TERM LOAN				1Z	2,945,051.19	95	2,787,988.57	2,934,724.81	2,944,473.87	(156,485.30	)	749.06		—	—		0	-0.059	J-A-J-O	—	16,457.00	5/19/2011	4/17/2017
BRSC0XRZ5	NORTEK INC TERM LOAN				1Z	2,190,517.53	93	2,040,408.35	2,193,987.47	2,190,670.87	(150,262.52	)	183.40		—	—		0	0.027	J-A-J-O	—	14,335.00	7/8/2011	4/26/2017
BRSC4H8Q7	EAGLE PARENT INC TERM LOAN				1Z	3,160,080.00	93.167	2,973,890.64	3,192,000.00	3,161,749.46	(187,858.82	)	1,749.46		—	—		0	0.141	F-M-A-N	—	55,380.00	5/11/2011	5/31/2018
BRSC51AB1	STAR WEST GENERATION LLC TERM LOAN				1Z	3,035,923.08	94.167	2,868,471.70	3,046,153.85	3,036,421.17	(167,949.47	)	3,267.32		—	—		0	0.048	F-M-A-N	—	46,949.00	5/18/2011	5/17/2018
BRSC529Z8	DUNKIN BRANDS INC TERM LOAN			1	1Z	4,333,880.25	96.635	4,173,950.72	4,319,295.00	4,333,125.92	(159,175.20	)	(754.33	)	—	—		0	-0.051	F-M-A-N	—	61,484.00	6/1/2011	11/23/2017
BRSC71P72	XERIUM TECHNOLOGIES INC TERM LOAN				1Z	714,482.01	96.5	692,939.84	718,072.37	714,675.67	(21,735.83	)	353.30		—	—		0	0.083	M-J-S-D	—	—	5/25/2011	5/9/2017
BRSC8PGF0	ENDO PHARMACEUTICALS HLDGS INC TERM LOAN			1	1Z	2,413,928.60	99.464	2,400,989.94	2,413,928.60	2,413,928.60	(12,938.66	)	—		—	—		0	0	M-J-S-D	—	15,556.00	6/7/2011	6/7/2018
BRSC9TBB5	NRG ENERGY INC TERM LOAN				1Z	4,778,030.62	97.583	4,769,613.08	4,887,750.00	4,779,559.05	(9,945.97	)	1,559.05		—	—		0	0.333	M-J-S-D	—	5,742.00	8/23/2011	5/5/2018
BRSCAHX41	CALPINE CORPORATION TERM LOAN				1Z	4,059,076.87	93.931	3,841,543.07	4,089,750.00	4,060,084.84	(218,541.77	)	1,084.84		—	—		0	0.11	M-J-S-D	—	—	6/10/2011	4/1/2018
BRSCAXFG9	US SILICA CO TERM LOAN				1Z	493,771.85	99	490,059.28	495,009.37	493,828.09	(3,768.81	)	59.34		—	—		0	0.041	M-J-S-D	—	488.00	6/8/2011	6/8/2017
BRSCB27N0	WARNACO GROUP INC. THE TERM LOAN				1Z	2,133,901.87	97.5	2,091,009.38	2,144,625.00	2,134,296.99	(43,287.61	)	421.99		—	—		0	0.071	M-J-S-D	—	5,968.00	6/16/2011	6/17/2018
BRSCC0RV3	DUCOMMUN INC TERM LOAN				1Z	434,511.00	96.75	424,635.75	438,900.00	434,686.96	(10,051.21	)	186.96		—	—		0	0.172	M-J-S-D	—	1,341.00	6/17/2011	4/15/2017
BRSCC2H73	TRIMAS CORP TERM LOAN				1Z	913,111.50	95.667	877,936.06	917,700.00	913,316.10	(35,380.04	)	216.10		—	—		0	0.081	M-J-S-D	—	6,536.00	6/17/2011	7/15/2017
BRSCD57K7	HUSKY INTERNATIONAL LTD TERM LOAN		F		1F	4,937,625.00	97.031	4,839,421.13	4,987,500.00	4,939,207.79	(99,786.66	)	1,707.79		—	—		0	0.142	M-J-S-D	—	15,309.00	6/24/2011	6/24/2018
BRSCDKB78	SBA SENIOR FINANCE II LLC TERM LOAN				1Z	2,686,516.87	97.625	2,629,285.31	2,693,250.00	2,686,730.91	(57,445.60	)	230.91		—	—		0	0.035	Jun-Dec	—	—	6/27/2011	6/30/2018
BRSCDUPD8	TEAM HLTH INC. TERM LOAN				1Z	3,870,798.76	95.5	3,715,188.76	3,890,250.01	3,871,401.81	(156,213.05	)	651.80		—	—		0	0.071	M-J-S-D	—	—	6/28/2011	6/29/2018
BRSCEALQ6	MERCURY PAYMENT SYSTEMS TERM LOAN				1Z	3,258,832.50	99	3,258,832.50	3,291,750.00	3,260,134.98	(1,302.48	)	1,384.98		—	—		0	0.169	J-A-J-O	—	—	6/29/2011	6/15/2017
BRSCESKE5	TEREX CORPORATION TERM LOAN			1	1Z	—	0	—	—	—	—		6.70		—	—		#N/A	0		—	222.00	00/00/0000	7/6/2017
BRSCFRW37	PRO MACH INC TL B TERM LOAN				1Z	859,146.75	96.25	835,281.56	867,825.00	859,443.88	(24,162.32	)	318.88		—	—		0	0.166	J-A-J-O	—	—	7/6/2011	7/6/2017
BRSCG0YH2	NORIT HOLDING BVTERM TL TERM LOAN					1,305,125.00	97.75	1,295,187.50	1,325,000.00	1,305,802.59	(10,615.09	)	677.59		—	—		0	0.249	M-J-S-D	—	20,147.00	7/6/2011	7/10/2017
BRSCHUN87	SUNCOKE ENERGY INC TERM LOAN			1	1Z	1,419,292.87	98.5	1,405,028.63	1,426,425.00	1,419,455.02	(14,426.39	)	180.02		—	—		0	0.071	M-J-S-D	—	4,913.00	7/21/2011	7/21/2018
BRSCPUN39	SNL FINANCIAL LC TERM LOAN				1Z	2,910,000.00	98.25	2,947,500.00	3,000,000.00	2,911,393.45	36,106.55		1,393.45		—	—		0	0.431	M-J-S-D	—	21,958.00	8/11/2011	8/10/2018
BRSCQ2G46	IMMUCOR INC. TERM LOAN			1	1Z	2,880,000.00	98.375	2,951,250.00	3,000,000.00	2,881,413.45	69,836.55		1,413.45		—	—		0	0.59	M-J-S-D	—	—	8/17/2011	7/2/2018
BRSCTV4V2	LENDER PROCESS TERM LOANS				1Z	1,473,806.25	97	1,451,362.50	1,496,250.00	1,474,069.51	(22,707.01	)	319.51		—	—		0	0.214	F-M-A-N	—	—	8/12/2011	8/14/2018
D4085CCP2	KREDITANSTALT FUER WIEDERAUFBA CORP BND		D		1FE	3,688,345.49	103.747	3,555,584.25	2,200,000.00	3,669,083.76	(113,499.51	)	(7,931.08	)	—	(221,842.32	)	3	2.668	September	6,180.12	104,907.00	11/11/2009	9/9/2013
D4901WZJ9	LANDWIRTSCHAFTLICHE RENTENBANK CORP BND		F		1FE	16,986,810.74	104.821	17,085,822.84	16,300,000.00	16,666,341.22	419,481.62		(207,749.91	)	—	—		4.375	2.562	January	507,111.11	713,125.00	7/31/2010	1/15/2013

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE							INTEREST					DATES
							8	9														20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
F1270CBD9	CAISSE D’AMORT DETTE SOCIALE CORP BND		D		1FE	2,159,930.71	101.079	2,204,454.53	1,400,000.00	2,161,214.43	43,240.10		1,026.91		—	14,455.11		2.25	2.296	December	51,087.30	—	9/9/2010	12/7/2015
F43568SJ8	DEXIA MUNICIPAL AGENCY CORP BND EMTN		F		1FE	6,205,625.04	101.185	6,071,125.08	6,000,000.00	6,089,208.07	(18,082.99	)	(282,465.26	)	—	—		5.125	2.803	May	103,354.17	307,500.00	11/12/2010	5/31/2012
F61115FA8	COUNCIL OF EUROPE DEVELOPMENT CORP BND		F		1FE	12,822,000.00	105.564	12,667,679.40	12,000,000.00	12,689,381.23	(21,701.83	)	(132,618.77	)	—	—		4.25	0.534	April	225,250.00	—	6/8/2011	4/22/2013
G1279MKC9	BP CAPITAL MARKET PLC CORP BND MTN		D		1FE	688,967.43	102.07	675,769.28	425,000.00	688,967.43	(13,198.15	)	—		—	(27,657.18	)	4.325	4.299	December	16,082.29	—	3/7/2011	12/10/2018
G29330DW7	EDF ENRGYNET LPN LOCAL BND		D		1FE	911,019.43	108.982	933,744.23	550,000.00	911,597.27	22,146.96		237.07		—	(56,587.20	)	5.375	5.351	November	40,879.44	—	11/6/2009	11/11/2016
G3157R8G6	EBRD CORP BND		D		1FE	2,361,052.11	101.629	2,295,605.97	1,450,000.00	2,361,686.02	(66,080.05	)	633.91		—	(106,200.94	)	1.875	1.933	December	19,727.40	—	4/7/2011	12/10/2013
G4364MKY1	HBOS TREASURY SERVICES PLC (LO CORP BND		F		1FE	5,059,594.40	96.51	5,101,804.70	5,000,000.00	5,027,431.31	74,373.39		(27,353.74	)	—	—		5.5	4.632	June	80,972.22	275,000.00	11/12/2010	6/15/2012
G4637EBQ7	HSBC BANK PLC LOCAL BND MTN		D	1	1FE	1,359,673.17	0	1,092,327.96	700,000.00	1,363,758.54	(271,430.58	)	1,158.99		—	(278,990.71	)	5.75	5.776	June	16,446.29	64,269.00	1/14/2008	6/27/2017
G47188AX8	LLOYDS TSB BANK PLC - GTD CORP BND GOVT		D		1FE	2,216,050.77	100.34	2,032,028.56	1,300,000.00	2,145,060.15	(113,031.59	)	(24,135.20	)	—	(115,989.68	)	4	2.441	November	70,574.74	—	6/30/2009	11/17/2011
G4718BAV5	LLOYDS TSB BANK PLC - GTD CORP BND GOVT		D		1FE	1,867,254.05	100.809	1,884,483.09	1,200,000.00	1,835,991.93	48,491.16		(14,858.00	)	—	42,691.88		2.75	1.634	March	27,951.01	53,011.00	2/26/2010	3/16/2012
G63983GA5	NATIONWIDE BUILDING SOCIETY -G LOCAL BND		D		1FE	2,421,014.08	0	2,423,433.85	1,550,000.00	2,349,925.66	73,508.19		(42,572.74	)	—	72,864.10		3.75	1.284	November	77,895.34	—	6/28/2010	11/21/2011
G6459BCU3	NETWORK RAIL INFRASTRUCTURE FI CORP BND		F		1FE	7,227,959.79	104.936	7,345,519.23	7,000,000.00	7,119,644.13	225,875.10		(50,762.55	)	—	—		3.5	2.451	June	70,777.77	245,000.00	2/19/2010	6/17/2013
G7014VBF9	PERMM 2010-1 ABS_10-1 3A		D	2	1FE	2,003,000.00	104.69	2,038,574.28	1,250,000.00	2,003,000.00	35,574.28		—		—	(55,750.00	)	4.805	4.798	Jan-Jul	19,831.79	96,099.00	1/29/2010	1/17/2017
G768FHAB7	ROYAL BANK OF SCOTLAND PLC - G LOCAL BND		D		1FE	2,217,335.31	100.355	2,032,328.30	1,300,000.00	2,144,877.98	(112,549.68	)	(24,650.56	)	—	(115,979.83	)	4.125	2.53	November	73,235.14	—	6/30/2009	11/14/2011
G92435BV0	UNITED KINGDOM GILT IBND GOVT 8 MO		D		1FE	1,221,873.19	342.369	1,319,222.93	250,000.00	1,261,175.64	58,047.29		25,513.57		—	(20,272.80	)	2.5	-0.106	Jan-Jul	5,016.55	27,593.00	8/5/2010	7/26/2016
G92435NC9	UNITED KINGDOM GILT GOVT BND		D		1FE	18,025,412.49	105.59	17,402,841.19	10,580,000.00	17,537,191.37	(134,350.18	)	(470,840.44	)	—	(313,630.96	)	4.5	1.32	Mar-Sep	48,901.23	647,978.00	4/8/2011	3/7/2013
G924504Y1	UNITED KINGDOM GILT GOVT BND		D		1FE	8,120,290.02	96.1	8,411,621.51	5,200,000.00	8,119,034.20	292,587.31		(1,255.82	)	—	(3,302.39	)	2.25	2.17	Mar-Sep	12,017.32	95,159.00	7/29/2011	3/7/2014
G92450H50	UNITED KINGDOM GILT GOVT BND		D		1FE	4,342,883.88	103.17	3,375,082.75	2,100,000.00	4,194,042.97	(818,960.22	)	(61,341.55	)	—	(898,300.79	)	5.25	4.131	Jun-Dec	54,433.61	89,683.00	3/3/2008	6/7/2012
G92450NU8	UNITED KINGDOM GILT GOVT BND		D		1FE	15,606,989.31	112.11	15,368,756.30	8,800,000.00	15,273,557.56	95,198.74		(188,578.24	)	—	(493,720.50	)	5	2.23	Mar-Sep	45,193.32	560,469.00	5/26/2011	9/7/2014
G92450UG1	UNITED KINGDOM GILT GOVT BND		D		1FE	4,225,449.02	109.5	4,583,748.61	2,450,000.00	4,198,226.06	385,522.55		(27,125.58	)	—	(21,049.45	)	4.75	3.449	Mar-Sep	11,953.12	189,979.00	12/31/2010	3/7/2020
G92450YY8	UNITED KINGDOM GILT GOVT BND		D		1FE	8,371,287.01	105.59	8,372,026.13	4,775,000.00	8,339,461.08	32,565.05		(32,421.95	)	—	(206,534.72	)	4	2.003	Mar-Sep	19,618.01	155,345.00	7/12/2011	9/7/2016
G92451CZ7	UNITED KINGDOM GILT GOVT BND		D		1FE	10,549,837.81	103.19	10,850,583.29	6,750,000.00	10,585,523.01	265,060.28		39,997.26		—	(359,131.76	)	2	2.679	Jan-Jul	40,574.76	107,386.00	4/1/2011	1/22/2016
G9544BAV4	WEST BROMWICH BUILDING SOCIETY LOCAL BND		D		2FE	2,743,325.17	100.512	2,818,408.49	1,800,000.00	2,719,902.98	98,505.51		(14,011.90	)	—	94,113.67		2	1.29	April	27,502.63	58,109.00	6/29/2010	4/5/2012
L32484PW8	EUROPEAN INVESTMENT BANK CORP BND		D		1FE	1,980,724.79	107.382	1,489,125.29	950,000.00	1,919,136.29	(430,011.00	)	(13,902.67	)	—	(436,590.48	)	5.5	4.437	December	66,454.03	—	3/10/2008	12/7/2011
L4700FBT4	PBI PFANDBRIEFBANK INTL CORP BND		F		1FE	687,852.90	100.02	700,140.10	700,000.00	699,974.88	165.22		2,286.12		—	—		5	5.388	October	34,708.33	—	6/30/2007	10/4/2011
L5137LAC9	INTELSAT JACKSON TERM LOAN		F		4FE	—	95.25	—	—	—	—		—		—	—		#N/A	0.306		—	25,561.00	8/17/2011	3/7/2018
L8882WAD4	STYRON CORP TERM LOAN			1	1Z	—	0	—	—	—	—		—		—	—		#N/A	0		—	250.00	00/00/0000	7/27/2017
N6520WTR3	BANK NEDERLANDSE GEMEENTEN CORP BND		F		1FE	10,614,199.80	109.8	10,980,000.30	10,000,000.00	10,354,894.01	625,106.29		(109,853.39	)	—	—		5	3.526	May	187,500.00	500,000.00	8/31/2009	5/16/2014
N6521AVK2	BANK NEDERLANDSE GEMEENTEN CORP BND		F		1FE	5,478,026.68	105.385	5,585,405.11	5,300,000.00	5,384,515.74	200,889.37		(34,116.59	)	—	—		3.75	2.802	July	41,958.33	198,750.00	8/31/2009	7/15/2013
N7277KAG6	RABOBANK NEDERLAND NV CORP BND MTN		D		1FE	813,092.49	105.341	820,497.70	500,000.00	814,281.22	6,216.48		441.34		—	(37,830.66	)	4	4.047	September	1,787.64	31,790.00	9/3/2009	9/10/2015
Q2694VMT4	COMMONWEALTH BANK OF AUSTRALIA CORP BND		D		1FE	679,712.30	102.447	718,163.29	450,000.00	680,689.13	37,474.16		565.13		—	16,744.13		3.875	3.97	December	21,656.89	—	4/7/2010	12/14/2015
U75000AU0	ROCHE HOLDINGS INC SENIOR CORP BND		O		1FE	742,348.77	104.722	912,016.33	525,000.00	744,341.52	167,674.81		653.33		—	70,139.02		5.5	5.634	March	25,931.95	47,006.00	2/25/2009	3/4/2015
W5818PAC4	NORDEA BANK AB CORP BND MTN		D		1FE	1,375,264.68	102.254	1,433,627.42	900,000.00	1,376,900.33	56,727.09		977.61		—	18,996.67		3.875	3.951	December	43,164.92	—	4/13/2010	12/15/2015
BRS1D0A10	SUNGARD DATA SYSTEMS INC.					2,004,900.53		1,974,260.76	2,051,180.01	2,004,952.43	(30,691.67	)	51.90		—	—		0		Monthly	—			2/28/2014
BRS29NQV0	HELIX ENERGY SOLUTIONS					1,506,139.00		1,457,115.00	1,509,963.73	1,507,309.91	(50,194.91	)	2,895.77		—	—		0		J-A-J-O	—			7/1/2013
BRS2ZVNV6	HCA INC					1,995,000.00		1,936,420.00	2,000,000.00	1,995,704.87	(59,284.87	)	704.87		—	—		0		Monthly	—			11/18/2013
BRS382CP3	ARAMARK CORP					123,722.18		118,970.76	123,413.65	123,663.72	(4,692.96	)	(58.46	)	—	—		0		Monthly	—			1/26/2014
BRS3D32G6	GRAY TELEVISION INC.					5,553,211.19		5,376,764.22	5,652,314.56	5,562,762.46	(185,998.24	)	10,140.90		—	—		0		M-J-S-D	—			12/31/2014
BRS3K93X7	FORD MOTOR COMPANY					0.01		0.01	0.01	0.01	—		—		—	—		0		M-J-S-D	—			12/15/2013
BRS448NT2	COMMUNITY HLTH SYST INC					1,843,053.56		1,762,346.23	1,887,890.98	1,852,267.14	(89,920.91	)	9,471.22		—	—		0		Jun-Dec	—			7/25/2014
BRS47V568	CENGAGE (THOMSON LEARNING) TL					3,653,185.98		3,094,856.40	3,974,133.42	3,686,781.81	(591,925.41	)	34,552.53		—	—		0		May-Nov	—			7/3/2014
BRS47WDF7	COMMUNITY HLTH SYST INC					94,561.58		90,420.72	96,862.05	95,034.30	(4,613.58	)	491.31		—	—		0		Jun-Dec	—			7/25/2014
BRS4QJRM5	PINNACLE FOODS FINANCE					4,933,343.26		4,721,201.66	4,989,380.88	4,945,592.95	(224,391.29	)	12,462.07		—	—		0		Apr-Oct	—			4/2/2014
BRS59XBE5	FIRST DATA CORPORATION					3,610,894.82		3,359,855.83	3,875,802.68	3,647,313.81	(287,457.98	)	45,169.47		—	—		0		Monthly	—			9/24/2014
BRS5BXCY7	ALLISON TRANSMIS					6,338,537.58		6,025,766.19	6,403,985.58	6,345,735.78	(319,969.59	)	7,947.48		—	—		0		Monthly	—			8/7/2014
BRS5LH024	SERVICEMASTER CO					3,426,625.04		3,362,565.95	3,607,168.01	3,447,505.04	(84,939.09	)	21,752.43		—	—		0		Monthly	—			7/24/2014
BRS6WT6X0	SERVICEMASTER CO					341,240.67		334,861.35	359,220.06	343,320.01	(8,458.66	)	2,166.22		—	—		0		Monthly	—			7/24/2014
BRS748CX8	FEDERAL MOGUL TL B					4,234,474.65		4,084,207.69	4,444,380.27	4,246,939.06	(162,731.37	)	12,969.84		—	—		0		M-J-S-D	—			12/29/2014
BRS748CY6	FEDERAL MOGUL CORP					2,160,446.29		2,083,779.46	2,267,540.98	2,165,400.17	(81,620.71	)	5,211.75		—	—		0		M-J-S-D	—			12/28/2015
BRS7AQH73	SUNGARD DATA SYSTEMS INC.					3,246,250.00		3,168,750.00	3,250,000.00	3,246,652.51	(77,902.51	)	402.51		—	—		0		Monthly	—			2/28/2014
BRS8CFLV5	SUNGARD DATA SYSTEMS INC.					675,500.00		673,316.00	700,000.00	675,925.73	(2,609.73	)	7,989.73		—	—		0		M-J-S-D	—			2/28/2016
BRS8ZGYZ5	MICHAELS STORES, INC.					3,985,000.00		3,812,520.00	4,000,000.00	3,985,703.40	(173,183.40	)	703.40		—	—		0		F-M-A-N	—			7/31/2016
BRS9NN9D8	CHARTER COMMUNICATIONS HOLDING					5,958,729.97		5,817,472.63	6,028,469.05	5,961,510.13	(144,037.50	)	3,273.50		—	—		0		M-J-S-D	—			9/6/2016
BRS9XUH75	LIVE NATION INC					976,250.00		967,080.00	1,000,000.00	976,250.00	(9,170.00	)	—		—	—		0		F-M-A-N	—			11/7/2016
BRSAQNGR3	ADVANCE PIERRE FOODS					1,975,050.00		1,928,638.80	1,980,000.00	1,975,711.78	(47,072.98	)	690.45		—	—		0		M-J-S-D	—			9/29/2016
BRSAR9KL1	GRIFOLS SA					4,016,181.25		3,909,481.80	3,990,000.00	4,009,637.43	(100,155.63	)	(6,646.95	)	—	—		0		J-A-J-O	—			6/1/2017
BRSAWQ120	UNIVISION COMMUNICATIONS INC.					6,677,498.03		5,844,686.21	6,964,841.70	6,696,097.82	(851,411.61	)	20,006.12		—	—		0		M-J-S-D	—			3/31/2017
BRSAZMN71	MEDASSETS INC					954,887.48		973,586.32	997,271.52	955,734.69	17,851.63		963.17		—	—		0		F-M-A-N	—			11/15/2016
BRSB5PYE8	INTELSAT JACKSON					3,563,062.50		3,464,718.75	3,637,500.00	3,565,097.01	(100,378.26	)	2,061.30		—	—		0		M-J-S-D	—			3/7/2018
BRSB98M47	SWIFT TRANSPORTATION CO LLC					3,516,228.95		3,483,377.16	3,602,251.46	3,520,304.39	(36,927.23	)	8,552.93		—	—		0		M-J-S-D	—			12/21/2016
BRSBBJXL0	COMMSCOPE INC.					287,107.25		282,600.10	288,550.00	287,248.47	(4,648.37	)	148.47		—	—		0		J-A-J-O	—			1/6/2018
BRSBBKBD9	UCI INTERNATIONAL TL B					168,725.00		167,037.75	168,725.00	168,725.00	(1,687.25	)	—		—	—		0		J-A-J-O	—			7/6/2017
BRSBGXH81	DEL MONTE FOODS CO					5,919,041.71		5,519,092.86	5,950,504.43	5,919,450.40	(400,357.54	)	445.97		—	—		0		F-M-A-N	—			2/1/2018
BRSBH1CU6	J CREW GROUP INC					1,271,074.15		1,166,574.04	1,315,932.36	1,271,419.00	(104,844.96	)	344.85		—	—		0		F-M-A-N	—			2/1/2018
BRSBH1FB5	TWCC HOLDING CORP					3,828,106.52		3,832,110.92	3,887,981.20	3,828,331.54	3,779.38		225.02		—	—		0		F-M-A-N	—			2/1/2017
BRSBH8VK2	VERTAFORE INC					1,994,977.90		1,916,435.62	1,994,977.90	1,994,977.90	(78,542.28	)	—		—	—		0		J-A-J-O	—			7/29/2016
BRSBHN254	CPG INTERNATIONAL I INC					1,185,045.00		1,131,450.00	1,191,000.00	1,185,627.09	(54,177.09	)	627.09		—	—		0		F-M-A-N	—			2/3/2017
BRSBHPM99	TRANSUNION CORP					2,892,534.34		2,903,025.63	2,981,284.34	2,893,369.02	9,656.61		834.68		—	—		0		F-M-A-N	—			2/3/2018
BRSBHT2D4	ACOSTA					3,010,000.00		2,850,356.25	2,992,500.00	3,008,799.91	(158,443.66	)	(1,200.09	)	—	—		0		F-M-A-N	—			2/3/2018
BRSBJK2P4	REYNOLDS GROUP HOLDINGS INC					6,291,912.47		6,141,801.13	6,340,643.72	6,291,399.83	(149,598.70	)	(512.64	)	—	—		0		F-M-A-N	—			2/9/2018
BRSBK9AU7	TRANSDIGM GROUP INC					2,970,656.66		3,004,713.10	3,079,293.60	2,971,410.81	33,302.29		754.15		—	—		0		F-M-A-N	—			2/14/2017
BRSBMD3R1	PETCO ANIMAL SUPPLIES, INC.					4,935,000.00		4,721,250.00	5,000,000.00	4,935,976.24	(214,726.24	)	976.24		—	—		0		F-M-A-N	—			11/24/2017
BRSBN61P1	TOMKINS PLC					3,559,902.19		3,596,615.04	3,672,338.66	3,560,925.88	35,689.16		1,335.88		—	—		0		F-M-A-N	—			9/29/2016
BRSBNUWH2	HERTZ CORPORATION THE					2,769,270.00		2,690,536.36	2,838,867.17	2,770,090.36	(79,554.00	)	848.19		—	—		0		F-M-A-N	—			2/28/2018
BRSBNVLG4	MICROSEMI CORPORATION					960,081.66		988,759.42	997,487.44	960,572.18	28,187.24		584.74		—	—		0		F-M-A-N	—			10/25/2017
BRSBPYZG1	ATLANTIC BROADBAND FINANCE LLC					1,693,034.09		1,653,893.55	1,745,534.09	1,693,534.16	(39,640.61	)	500.07		—	—		0		M-J-S-D	—			3/9/2016
BRSBPZM15	NOVELIS INC/GA					2,517,749.87		2,544,917.69	2,620,249.87	2,519,334.25	25,583.44		1,584.38		—	—		0		M-J-S-D	—			3/10/2017
BRSBQ1JW5	CALPINE CORPORATION					3,917,493.73		3,740,796.19	3,982,493.73	3,918,484.45	(177,688.26	)	990.72		—	—		0		M-J-S-D	—			3/31/2018
BRSBR4P35	JO-ANN STORES					2,666,317.50		2,490,125.09	2,693,250.00	2,668,322.58	(178,197.49	)	2,072.58		—	—		0		J-A-J-O	—			3/31/2018
BRSBRMCQ8	WARNER CHILCOTT CORP					1,146,628.57		1,152,076.61	1,186,057.14	1,146,628.57	5,448.04		—		—	—		0		M-J-S-D	—			3/14/2018
BRSBRMD53	WARNER CHILCOTT CORP					572,504.41		575,203.64	592,169.29	572,504.41	2,699.23		—		—	—		0		M-J-S-D	—			3/14/2018
BRSBRMD95	WARNER CHILCOTT CORP					787,193.55		790,904.99	814,232.76	787,193.55	3,711.44		—		—	—		0		M-J-S-D	—			3/14/2018
BRSBRMFR3	METROPCS WIRELESS INC					5,122,405.99		4,993,055.92	5,220,131.65	5,124,643.54	(131,587.62	)	2,386.89		—	—		0		M-J-S-D	—			3/31/2018
BRSBRN2H7	MEG ENERGY CORP					7,018,750.00		6,846,280.00	7,000,000.00	7,011,940.28	(165,660.28	)	(7,809.72	)	—	—		0		M-J-S-D	—			3/14/2018
BRSBT2DD8	FIRST DATA CORPORATION					1,726,250.00		1,615,840.00	2,000,000.00	1,730,586.21	(115,046.21	)	4,336.21		—	—		0		M-J-S-D	—			9/24/2016
BRSBTMS22	WESCO AIRCRAFT					271,890.00		271,549.29	272,571.43	271,942.95	(393.66	)	121.52		—	—		0		M-J-S-D	—			4/7/2017
BRSBU37B5	PILOT TRAVEL CENTERS LLC					2,592,843.75		2,639,905.13	2,681,250.00	2,594,256.37	45,648.76		1,756.37		—	—		0		M-J-S-D	—			3/25/2018
BRSBW6C87	AMERISTAR CASINOS, INC.					2,862,458.44		2,811,228.59	2,913,492.17	2,863,159.84	(51,931.25	)	730.17		—	—		0		J-A-J-O	—			3/29/2018
BRSBWG6S8	DELTA AIR LINES INC.					4,428,918.75		4,225,035.94	4,488,750.00	4,432,895.34	(207,859.40	)	4,145.34		—	—		0		J-A-J-O	—			4/20/2017
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP					4,757,107.50		4,535,862.72	4,776,000.00	4,757,962.46	(222,099.74	)	949.96		—	—		0		J-A-J-O	—			4/27/2018
BRSBZZDX4	GOLDEN LIVING					4,080,483.36		3,611,606.55	4,139,377.13	4,083,401.65	(471,795.10	)	3,024.52		—	—		0		J-A-J-O	—			4/26/2018
BRSBZZFY0	IASIS HLTHCARE CORP					3,357,229.02		3,179,473.18	3,404,146.87	3,358,451.90	(178,978.72	)	1,301.90		—	—		0		J-A-J-O	—			4/29/2018
BRSC095F6	IPAYMENT INC.					956,526.68		932,493.34	961,333.34	956,844.61	(24,351.27	)	511.27		—	—		0		J-A-J-O	—			4/20/2017
BRSC2UZX5	SENSATA TECHNOLOGIES FINANCE C					4,546,000.00		4,453,735.76	4,588,500.00	4,546,059.43	(92,323.67	)	59.43		—	—		0		F-M-A-N	—			5/9/2018
BRSC4T6W0	BAKERCORP					1,194,000.00		1,152,000.00	1,200,000.00	1,194,284.40	(42,284.40	)	284.40		—	—		0		F-M-A-N	—			5/17/2018
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP.					2,901,951.25		2,854,751.73	3,042,375.00	2,904,587.06	(49,835.33	)	2,712.06		—	—		0		F-M-A-N	—			5/25/2018
BRSCB4WP3	AMC NETWORKS INC					2,565,532.50		2,515,695.00	2,593,500.00	2,566,007.59	(50,312.59	)	507.59		—	—		0		M-J-S-D	—			11/21/2018
BRSCCYM28	DOLE FOOD CO INC.					2,148,340.69		2,128,058.62	2,164,575.00	2,148,661.58	(20,602.96	)	361.58		—	—		0		At Mat	—			6/27/2018

		Codes					FAIR VALUE				CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST					DATES
							8	9													20
			4	5	6	7	RATE USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
BRSCCZ003	DOLE FOOD CO INC.					3,989,775.56		3,952,108.87	4,019,925.00	3,990,371.49	(38,262.62	)	671.49		—	—	0		At Mat	—			6/27/2018
N6521APY9	BANK NEDERLANDSE GEMEENTEN CORP BND EMTN					5,210,713.68		5,129,902.80	5,000,000.00	5,101,902.52	28,000.28		(114,939.20	)	—	—			March	154,166.67			3/26/2012
24422EQD4	JOHN DEERE CAPITAL CORPORATION CORP BND					1,040,273.75		1,001,696.35	1,000,000.00	1,001,896.60	(200.25	)	(83,101.02	)	—	—			Apr-Oct	24,600.00			10/17/2011
BRS35M6E4	TPF GENERATION HOLDINGS LLC TERM LOAN					173,574.26		163,301.45	173,791.50	173,725.78	(10,424.33	)	151.52		—	—			M-J-S-D	—			12/15/2011
52517PA35	LEHMAN BROS HOLDINGS INC					1,575,000.00		2,081,250.00	9,000,000.00	1,575,000.00	506,250.00		—		—	—			Jan-Jul	—			7/26/2010
TOTAL								4,777,686,331.39	4,645,047,118.26	4,744,881,574.69	32,804,456.70

Validus Holdings, Ltd September 30, 2011 GAAP short-term investments portfolio in Schedule D format

							CHANGE IN BOOK/ADJUSTED CARRYING VALUE								INTEREST
						7						11				15		17
			4	5	6	GAAP			9			TOTAL	12	13	14	NON-ADMITTED	16	EFFECTIVE	18	19	20
1	2	3	DATE	NAME OF	MATURITY	BOOK	8		CURRENT YEAR		10	FX CHG	PAR	ACTUAL	ACCRUED	ACCRUED	INTEREST	RATE	HOW	GROSS REC’D	PAID FOR
DESCRIPTION	*	CUSIP	ACQUIRED	VENDOR	DATE	VALUE	UGL		AMORTIZATION		IMPAIRMENTS	IN B/A. C.V.	VALUE	COST	INTEREST	INTEREST	RATE	OF INTEREST	PAID	DURING YEAR	ACCRUED INT
FHLB AGENCY CASH		313384SX8	9/19/2011		2/10/2012	1,399,614.99	—		79.56		—	—	1,400,000.00	1,399,582.92	—		0.075	0.076	At Mat	—	—
FHLMC DN		313396TB9	9/28/2011		2/14/2012	19,396,335.55	—		53.88		—	—	19,400,000.00	19,396,281.67	—		0.05	0.051	At Mat	—	—
FNMA DN		313588TK1	9/29/2011		2/22/2012	9,996,613.75	—		5.00		—	—	10,000,000.00	9,996,002.49	—		0.05	0.051	At Mat	—	—
FNMA DN		313588TK1	9/19/2011		2/22/2012	3,798,783.97	—		93.00		—	—	3,800,000.00	3,798,691.11	—		0.08	0.081	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		91279##$2	9/28/2011		12/29/2011	2,999,907.29	—		2.08		—	—	3,000,000.00	2,999,905.21	—		0.012	0.013	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		9127952Y6	6/17/2011		1/12/2012	1,898,612.35	(46.48	)	26,376.37		—	—	1,900,000.00	1,895,545.29	—		0.264	0.268	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		9127953C3	6/10/2011		2/9/2012	15,785,699.55	—		28,276.44		—	—	15,800,000.00	15,761,718.57	—		0.249	0.252	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		9127953G4	3/23/2011		3/8/2012	26,973,017.14	—		34,022.31		—	—	27,000,000.00	26,940,674.99	—		0	0.226	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		9127953R0	5/11/2011		11/3/2011	10,599,407.14	—		2,550.00		—	—	10,600,000.00	10,596,856.80	—		0.061	0.062	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		9127953R0	5/11/2011		11/3/2011	1,199,932.88	—		289.00		—	—	1,200,000.00	1,199,644.17	—		0.061	0.062	At Mat	—	—
UNITED STATES TREASURY TBILL CASH		9127953R0	5/11/2011		11/3/2011	1,799,899.33	—		433.00		—	—	1,800,000.00	1,799,466.25	—		0.061	0.062	At Mat	—	—
UNITED STATES TREASURY GOVT BND		912828G$8	8/12/2011		5/31/2012	4,122,307.34	(1,387.22	)	(27,542.23	)	—	—	4,000,000.00	4,145,950.90	63,852.46		4.75	0.141	May-Nov	—	39,454.00
ING BANK NV - (LT) GTD CORP BND GOVT		45324QA$2	2/16/2011		2/9/2012	11,585,416.38	(9,482.68	)	(229,673.63	)	—	—	11,500,000.00	11,729,655.00	43,604.17		2.625	0.533	Feb-Aug	150,938.00	12,578.00
FHLB		313384PQ6	VARIOUS		11/23/2011	2,699,880.75	—		24.75		—	—	2,700,000.00	2,699,856.00	—		0		At Mat
WELLS FARGO & COMPANY		949746NA5	VARIOUS		10/28/2015	3,820,182.05	(64,142.01	)	31,747.61		—	—	4,000,000.00	3,782,660.47	3,268.78		0.4526		J-A-J-O
CITI-INSTITUTION LIQ FUND USD		B0A0ATCJ9	VARIOUS			5,890,991.36	—		—		—	—	5,890,991.36	5,890,991.36	—		0.00112		At Mat
CITIFUNDS INST CASH RESERVE		BRS668GM8	VARIOUS			7,602,734.13	—		—		—	—	7,602,734.13	7,602,734.13	—		0.00112		At Mat
DREYFUS UNIVERSAL USD LIQ FD		DRFUNI$20	VARIOUS			8,817,759.66	—		—		—	—	8,817,759.66	8,817,759.66	—		0.0514		At Mat
BONY CASH RESERVE		S875996$0	VARIOUS			154,387,276.34	—		—		—	—	154,387,276.34	154,387,276.34	—		0.0001		At Mat
DREYFUS UNIVERSAL LIQ		S99992125	VARIOUS			42,540,485.31	—		—		—	—	42,540,485.31	42,540,485.31	—		0		At Mat
BLACKROCK INTL $ RESERVE		S99993578	VARIOUS			35,490,660.00	—		—		—	—	35,490,660.00	35,490,660.00	—		0.0502		At Mat
GOLDMAN SACHS		S999936$0	VARIOUS			174,721,965.86	—		—		—	—	174,721,965.86	174,721,965.86	—		0.00059		At Mat
						547,527,483.12	(75,058.39	)	(133,262.86	)	—	—	547,551,872.66	547,594,364.50	110,725.41

Validus Holdings, Ltd September 30, 2011 GAAP other investments portfolio in Schedule D format

		3	4	5	6	7				11	12	13	14
1	2	FOREIGN	DATE	ACTUAL	GAAP FAIR	GAAP	8	9	10	CAP	FX	INVESTMENT	ADDITIONAL
DESCRIPTION	*	CODE	ACQUIRED	COST	MARKET VALUE	BOOK VALUE	UGL	AMORTIZATION	IMPAIRMENTS	INTEREST	UGL	INCOME	INCOME
AIG SELECT HEDGE LTD CI-1-B			9/4/2009	7,911,598.42	8,767,401.99	7,911,598.42	855,803.57	—	—	—	—	—	—
AIG SELECT HEDGE LTD SHARE			9/4/2009	17.30	17.36	17.30	0.06	—	—	—	—	—	—
GUARDIAN GROWTH EQUITY			9/4/2009	6,486,947.12	7,116,678.23	6,486,947.12	629,731.11	—	—	—	—	—	—
MFS MERIDIAN MID CAP GROWTH FUND			9/4/2009	17,203.14	21,251.80	17,203.14	4,048.66	—	—	—	—	—	—
				14,415,765.98	15,905,349.38	14,415,765.98	1,489,583.40