Exhibit 99.1
Validus Holdings, Ltd December 31, 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 |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
88579EAD7 |
| 3M COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 4,363,958.25 |
| 104.003 |
| 4,238,139.28 |
| 4,075,000.00 |
| 4,158,613.97 |
| 79,525.31 |
| (85,620.24 | ) | — |
| — |
| 4.65 |
| 2.459 |
| JD |
| 8,421.66 |
| 189,488.00 |
| 7/20/2009 |
| 12/15/2012 |
|
88579YAD3 |
| 3M COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 13,039,014.00 |
| 100.623 |
| 13,231,861.38 |
| 13,150,000.00 |
| 13,044,549.03 |
| 187,312.35 |
| 5,535.03 |
| — |
| — |
| 1.375 |
| 1.551 |
| MS |
| 46,207.64 |
| — |
| 9/26/2011 |
| 9/29/2016 |
|
002824AX8 |
| ABBOTT LABORATORIES CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,822,118.50 |
| 105.026 |
| 2,966,998.12 |
| 2,825,000.00 |
| 2,822,996.70 |
| 144,001.42 |
| 554.15 |
| — |
| — |
| 2.7 |
| 2.722 |
| MN |
| 7,203.75 |
| 76,275.00 |
| 5/24/2010 |
| 5/27/2015 |
|
00084DAA8 |
| ABN AMRO BANK NV CORP BND 144A |
|
|
| F |
|
|
|
|
| 2,126,805.10 |
| 96.931 |
| 2,067,539.36 |
| 2,133,000.00 |
| 2,128,581.16 |
| (61,041.80 | ) | 3,179.93 |
| — |
| — |
| 3 |
| 3.104 |
| JJ |
| 26,840.25 |
| 31,817.00 |
| 2/16/2011 |
| 1/31/2014 |
|
00084DAB6 |
| ABN AMRO BANK NV CORP BND 144A |
|
|
| F |
|
|
|
|
| 2,273,000.00 |
| 97.533 |
| 2,216,925.02 |
| 2,273,000.00 |
| 2,273,000.00 |
| (56,074.98 | ) | — |
| — |
| — |
| 2.198 |
| 2.074 |
| JAJO |
| 8,604.55 |
| 35,117.00 |
| 1/27/2011 |
| 1/30/2014 |
|
00448MAA9 |
| ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND |
|
|
| F |
|
|
|
|
| 1,337,331.00 |
| 103.73 |
| 1,387,907.35 |
| 1,338,000.00 |
| 1,337,607.38 |
| 50,299.97 |
| (2,352.02 | ) | — |
| — |
| 3.2 |
| 3.211 |
| MN |
| 6,898.13 |
| 42,816.00 |
| 10/26/2009 |
| 11/3/2014 |
|
BRSBHT2D4 |
| ACOSTA TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 3,002,500.00 |
| 97.5 |
| 2,910,375.00 |
| 2,985,000.00 |
| 3,000,668.38 |
| (90,293.38 | ) | (1,831.62 | ) | — |
| — |
| 0 |
| -0.084 |
| FMAN |
| — |
| 97,929.00 |
| 2/23/2011 |
| 3/1/2018 |
|
48238NAC6 |
| ADESA TERM LOAN |
|
|
|
|
|
|
| 3FE |
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MON |
| — |
| — |
| 00/00/0000 |
| 10/21/2013 |
|
BRSAQNGR3 |
| ADVANCE PIERRE FOODS TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,975,050.00 |
| 99.594 |
| 1,971,961.20 |
| 1,980,000.00 |
| 1,975,927.32 |
| (3,966.12 | ) | 905.99 |
| — |
| — |
| 0 |
| 0.043 |
| MJSD |
| — |
| 113,847.00 |
| 12/14/2010 |
| 9/30/2016 |
|
BRSB9FG89 |
| ADVANTAGE SALES & MARKETING IN TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 1,706,366.43 |
| 98.25 |
| 1,721,659.19 |
| 1,752,324.88 |
| 1,708,564.39 |
| 13,094.80 |
| 2,238.64 |
| — |
| — |
| 0 |
| 0.416 |
| MJSD |
| — |
| — |
| 8/15/2011 |
| 12/18/2017 |
|
BRSC10473 |
| AEROFLEX INCORPORATED TERM LOAN |
|
|
|
|
| 1 |
| 4FE |
| 4,175,605.00 |
| 94.25 |
| 3,938,707.50 |
| 4,179,000.00 |
| 4,175,947.30 |
| (237,239.80 | ) | 447.30 |
| — |
| — |
| 0 |
| 0.011 |
| FMAN |
| — |
| 86,306.00 |
| 5/19/2011 |
| 5/2/2018 |
|
00828EAF6 |
| AFRICAN DEVELOPMENT BANK CORP BND |
|
|
| F |
|
|
|
|
| 4,752,517.50 |
| 100.006 |
| 4,750,284.86 |
| 4,750,000.00 |
| 4,750,472.40 |
| (187.54 | ) | (844.59 | ) | — |
| — |
| 0.541 |
| 0.612 |
| JAJO |
| 4,921.35 |
| 19,568.00 |
| 7/24/2009 |
| 7/22/2012 |
|
00828EAJ8 |
| AFRICAN DEVELOPMENT BANK CORP BND |
|
|
| F |
|
|
|
|
| 5,979,360.00 |
| 101.214 |
| 6,072,839.34 |
| 6,000,000.00 |
| 5,992,245.36 |
| 80,593.98 |
| 6,852.90 |
| — |
| — |
| 1.625 |
| 1.743 |
| FA |
| 37,916.67 |
| 97,530.00 |
| 2/2/2010 |
| 2/11/2013 |
|
00432CAZ4 |
| AGSL_03-1 ABS 03-1-2003-1 |
|
|
|
|
| 2 |
|
|
| 360,500.00 |
| 82.976 |
| 331,903.20 |
| 400,000.00 |
| 364,155.75 |
| (32,252.55 | ) | 2,061.77 |
| — |
| — |
| 1.603 |
| 2.354 |
| MON |
| 105.81 |
| 5,719.00 |
| 3/29/2010 |
| 9/25/2026 |
|
00432CAY7 |
| AGSL_03-1 ABS_03-1 A2 |
|
|
|
|
| 2 |
|
|
| 2,464,232.08 |
| 98.39 |
| 2,444,418.84 |
| 2,484,417.97 |
| 2,468,206.71 |
| (23,787.87 | ) | 9,980.04 |
| — |
| — |
| 0.834 |
| 1.275 |
| MJSD |
| 287.69 |
| 10,790.00 |
| 3/31/2011 |
| 9/25/2014 |
|
00432CBB6 |
| AGSL_03-1 ABS_03-1-2003-1 |
|
|
|
|
|
|
|
|
| 311,937.50 |
| 82.983 |
| 290,441.20 |
| 350,000.00 |
| 312,370.24 |
| (21,929.04 | ) | (843.57 | ) | — |
| — |
| 1.629 |
| 12.292 |
| APR |
| 62.31 |
| 4,422.00 |
| 3/29/2010 |
| 12/26/2035 |
|
00432CBP5 |
| AGSL_03-1 ABS_04-1-2004-1 |
|
|
|
|
| 2 |
|
|
| 435,625.00 |
| 83.11 |
| 415,547.50 |
| 500,000.00 |
| 447,595.24 |
| (32,047.74 | ) | 6,769.80 |
| — |
| — |
| 1.631 |
| 3.398 |
| MON |
| 616.50 |
| 6,345.00 |
| 3/29/2010 |
| 9/25/2019 |
|
038461AC3 |
| AID-EGYPT GOVT BND |
|
|
| F |
|
|
| 1FE |
| 1,598,977.50 |
| 111.855 |
| 1,677,826.56 |
| 1,500,000.00 |
| 1,564,711.77 |
| 113,114.79 |
| (16,184.83 | ) | — |
| — |
| 4.45 |
| 3.205 |
| MS |
| 19,654.17 |
| 66,750.00 |
| 11/3/2009 |
| 9/15/2015 |
|
010392EY0 |
| ALABAMA POWER COMPANY SENIOR CORP BND |
|
|
|
|
|
|
| 1FE |
| 13,664,172.75 |
| 103.9 |
| 13,403,039.25 |
| 12,900,000.00 |
| 13,160,614.22 |
| 242,425.03 |
| (268,178.62 | ) | — |
| — |
| 4.85 |
| 2.686 |
| JD |
| 27,806.68 |
| 625,650.00 |
| 2/10/2010 |
| 12/15/2012 |
|
BRSCE52V7 |
| ALERE INC |
|
|
|
|
|
|
| 1Z |
| 3,523,419.37 |
| 97.719 |
| 3,460,351.94 |
| 3,541,125.00 |
| 3,524,663.84 |
| (64,311.90 | ) | 1,288.84 |
| — |
| — |
| 0 |
| 0.085 |
| JD |
| — |
| 59,794.00 |
| 6/30/2011 |
| 6/30/2017 |
|
BRS5BXCY7 |
| ALLISON TRANSMIS LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 6,319,658.73 |
| 97.264 |
| 6,210,224.72 |
| 6,384,916.03 |
| 6,331,922.18 |
| (121,697.46 | ) | 13,203.43 |
| — |
| — |
| 0 |
| 0.315 |
| MON |
| — |
| 112,202.00 |
| 6/20/2011 |
| 8/7/2014 |
|
02005HAB9 |
| ALLY AUTO RECEIVABLES TRUST AA ABS_10-1 |
|
|
|
|
| 2 |
| 1FE |
| 788,512.45 |
| 100.29 |
| 785,155.83 |
| 782,885.46 |
| 786,273.97 |
| (1,118.14 | ) | (5,236.49 | ) | — |
| — |
| 1.45 |
| 0.704 |
| MON |
| 504.53 |
| 7,568.00 |
| 5/10/2011 |
| 2/15/2013 |
|
02005VAC6 |
| ALLY AUTO RECEIVABLES TRUST ABS _11-2-A3 |
|
|
|
|
| 2 |
|
|
| 749,998.28 |
| 100.389 |
| 752,919.05 |
| 750,000.00 |
| 749,994.81 |
| 2,924.24 |
| (3.47 | ) | — |
| — |
| 1.18 |
| 1.182 |
| MON |
| 393.33 |
| 5,408.00 |
| 4/27/2011 |
| 12/15/2013 |
|
02005VAB8 |
| ALLY AUTO RECEIVABLES TRUST ABS 11-2 A2 |
|
|
|
|
| 2 |
|
|
| 4,533,520.16 |
| 99.971 |
| 4,532,241.24 |
| 4,533,570.48 |
| 4,533,523.07 |
| (1,281.83 | ) | 18.08 |
| — |
| — |
| 0.67 |
| 0.671 |
| MON |
| 1,350.00 |
| 18,562.00 |
| 4/27/2011 |
| 9/15/2012 |
|
36186CBF9 |
| ALLY FINANCIAL INC CORP BND GOVT GUAR |
|
|
|
|
|
|
| 1FE |
| 1,148,171.50 |
| 101.901 |
| 1,171,861.60 |
| 1,150,000.00 |
| 1,149,487.45 |
| 22,374.15 |
| (21,120.86 | ) | — |
| — |
| 2.2 |
| 2.247 |
| JD |
| 843.33 |
| 25,300.00 |
| 6/3/2009 |
| 12/19/2012 |
|
02005MAE2 |
| ALLYA _10-3 ABS _10-3 A4 |
|
|
|
|
| 2 |
|
|
| 799,714.32 |
| 100.896 |
| 807,171.20 |
| 800,000.00 |
| 799,827.10 |
| 7,344.10 |
| 84.20 |
| — |
| — |
| 1.55 |
| 1.566 |
| MON |
| 551.11 |
| 12,400.00 |
| 8/12/2010 |
| 7/15/2014 |
|
02005TAD9 |
| ALLYA _11-1 ABS_11-1 A4 |
|
|
|
|
| 2 |
| 1FE |
| 5,999,457.60 |
| 102.507 |
| 6,150,409.68 |
| 6,000,000.00 |
| 5,999,545.36 |
| 150,864.32 |
| 87.76 |
| — |
| — |
| 2.23 |
| 2.242 |
| MON |
| 5,946.67 |
| 113,730.00 |
| 2/4/2011 |
| 2/15/2015 |
|
02005RAB7 |
| ALLYA_10-5 ABS 10-5 A3 |
|
|
|
|
| 2 |
| 1FE |
| 4,115,600.66 |
| 100.259 |
| 4,130,670.92 |
| 4,120,000.00 |
| 4,117,865.56 |
| 12,805.36 |
| 2,144.80 |
| — |
| — |
| 1.11 |
| 1.166 |
| MON |
| 2,032.53 |
| 46,367.00 |
| 12/6/2010 |
| 9/15/2013 |
|
02005XAC2 |
| ALLYA_11-4 ABS_11-4 A3 |
|
|
|
|
| 2 |
|
|
| 7,369,541.58 |
| 99.569 |
| 7,338,219.01 |
| 7,370,000.00 |
| 7,369,592.17 |
| (31,373.16 | ) | 50.59 |
| — |
| — |
| 0.79 |
| 0.794 |
| MON |
| 2,587.69 |
| 14,717.00 |
| 9/8/2011 |
| 6/15/2014 |
|
02209SAC7 |
| ALTRIA GROUP INC. CORP BND |
|
|
|
|
|
|
| 2FE |
| 11,190,603.00 |
| 113.181 |
| 10,695,649.86 |
| 9,450,000.00 |
| 10,590,825.45 |
| 104,824.41 |
| (514,335.21 | ) | — |
| — |
| 8.5 |
| 1.855 |
| MN |
| 113,793.75 |
| 803,250.00 |
| 3/22/2011 |
| 11/10/2013 |
|
BRSB9YU33 |
| AMC ENTERTAINMENT INC. TERM LOAN |
|
|
|
|
|
|
|
|
| 572,555.95 |
| 97.65 |
| 596,374.27 |
| 610,726.34 |
| 573,647.01 |
| 22,727.26 |
| 1,192.58 |
| — |
| — |
| 0 |
| 1.25 |
| JAJO |
| — |
| 1,067.00 |
| 9/6/2011 |
| 12/15/2016 |
|
BRSCB4WP3 |
| AMC NETWORKS INC TERM LOAN |
|
|
|
|
| 1 |
| 1Z |
| 2,559,065.00 |
| 98.313 |
| 2,543,357.31 |
| 2,587,000.00 |
| 2,560,475.45 |
| (17,118.14 | ) | 1,475.45 |
| — |
| — |
| 0 |
| 0.144 |
| MJSD |
| — |
| 39,939.00 |
| 8/29/2011 |
| 12/31/2018 |
|
03064RAB3 |
| AMCAR_11-4 ABS_11-4 A2 |
|
|
|
|
| 2 |
|
|
| 3,299,798.04 |
| 99.858 |
| 3,295,297.50 |
| 3,300,000.00 |
| 3,299,821.36 |
| (4,523.86 | ) | 23.32 |
| — |
| — |
| 0.92 |
| 0.924 |
| MON |
| 1,686.67 |
| 6,831.00 |
| 9/8/2011 |
| 12/8/2014 |
|
03064TAB9 |
| AMCAR_11-5 ABS_11-5-A2 |
|
|
|
|
| 2 |
|
|
| 2,599,885.60 |
| 99.886 |
| 2,597,035.25 |
| 2,600,000.00 |
| 2,599,889.19 |
| (2,853.94 | ) | 3.59 |
| — |
| — |
| 1.19 |
| 1.194 |
| MON |
| 1,976.72 |
| 3,094.00 |
| 10/26/2011 |
| 8/8/2015 |
|
02582JCU2 |
| AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2 |
|
|
|
|
| 2 |
|
|
| 5,007,812.50 |
| 100.093 |
| 5,004,650.00 |
| 5,000,000.00 |
| 5,006,485.49 |
| (1,835.49 | ) | (1,327.01 | ) | — |
| — |
| 0.448 |
| 0.394 |
| MON |
| 1,058.49 |
| 9,831.00 |
| 7/1/2011 |
| 5/15/2014 |
|
02666QF32 |
| AMERICAN HONDA FINANCE CORP BND 144A |
|
|
|
|
|
|
| 1FE |
| 2,124,150.00 |
| 101.598 |
| 2,158,946.96 |
| 2,125,000.00 |
| 2,124,650.94 |
| 34,296.02 |
| 280.37 |
| — |
| — |
| 2.375 |
| 2.389 |
| MS |
| 14,439.67 |
| 50,469.00 |
| 3/9/2010 |
| 3/18/2013 |
|
BRSBW6C87 |
| AMERISTAR CASINOS INC. TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 1,860,162.69 |
| 99.563 |
| 1,900,343.45 |
| 1,908,684.40 |
| 1,862,518.67 |
| 37,824.78 |
| 2,629.13 |
| — |
| — |
| 0 |
| 0.382 |
| JAJO |
| — |
| 35,555.00 |
| 8/15/2011 |
| 4/16/2018 |
|
02005AAA6 |
| AMOT_10-3 ABS_10-1 A |
|
|
|
|
| 2 |
|
|
| 15,919,609.38 |
| 101.31 |
| 15,804,360.00 |
| 15,600,000.00 |
| 15,769,270.66 |
| 35,089.34 |
| (150,338.72 | ) | — |
| — |
| 2.028 |
| 0.669 |
| MON |
| 14,941.81 |
| 209,232.00 |
| 5/11/2011 |
| 10/15/2012 |
|
02582JEV8 |
| AMXCA ABS 07-8 A |
|
|
|
|
| 2 |
|
|
| 5,211,171.88 |
| 100.176 |
| 5,209,143.16 |
| 5,200,000.00 |
| 5,206,255.90 |
| 2,887.26 |
| (4,915.98 | ) | — |
| — |
| 0.578 |
| 0.428 |
| MON |
| 1,420.05 |
| 15,818.00 |
| 5/16/2011 |
| 10/15/2012 |
|
02582JFV7 |
| AMXCA ABS_09-2 A |
|
|
|
|
| 2 |
|
|
| 13,104,761.72 |
| 102.87 |
| 13,038,772.50 |
| 12,675,000.00 |
| 13,042,248.46 |
| (3,475.96 | ) | (62,513.26 | ) | — |
| — |
| 1.528 |
| 0.432 |
| MON |
| 9,147.51 |
| 79,328.00 |
| 7/18/2011 |
| 8/15/2014 |
|
034863AA8 |
| ANGLO AMERICAN CAPITAL PLC CORP BND 144A |
|
|
| F |
|
|
| 2FE |
| 5,570,775.00 |
| 114.205 |
| 5,139,235.71 |
| 4,500,000.00 |
| 5,210,541.57 |
| (71,305.86 | ) | (301,932.62 | ) | — |
| — |
| 9.375 |
| 2.197 |
| AO |
| 97,265.63 |
| 421,875.00 |
| 10/19/2010 |
| 4/8/2014 |
|
034863AC4 |
| ANGLO AMERICAN CAPITAL PLC CORP BND 144A |
|
|
| F |
|
|
| 2FE |
| 1,298,908.00 |
| 99.497 |
| 1,293,454.97 |
| 1,300,000.00 |
| 1,299,359.61 |
| (5,904.64 | ) | 357.67 |
| — |
| — |
| 2.15 |
| 2.179 |
| MS |
| 7,298.06 |
| 27,950.00 |
| 9/20/2010 |
| 9/27/2013 |
|
035229CE1 |
| ANHEUSER-BUSCH CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,198,937.20 |
| 101.332 |
| 1,129,849.99 |
| 1,115,000.00 |
| 1,129,815.82 |
| 34.17 |
| (69,121.38 | ) | — |
| — |
| 7.5 |
| 0.933 |
| MS |
| 24,622.92 |
| 83,625.00 |
| 1/13/2011 |
| 3/15/2012 |
|
03523TBC1 |
| ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND |
|
|
|
|
|
|
| 1FE |
| 22,712,734.58 |
| 100.186 |
| 22,754,245.46 |
| 22,712,000.00 |
| 22,712,717.91 |
| 41,527.55 |
| (16.67 | ) | — |
| — |
| 0.972 |
| 0.855 |
| JAJO |
| 40,481.94 |
| 139,463.00 |
| 12/9/2011 |
| 1/27/2014 |
|
03523TBG2 |
| ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,821,921.68 |
| 111.265 |
| 7,788,560.08 |
| 7,000,000.00 |
| 7,649,211.66 |
| 139,348.42 |
| (172,710.02 | ) | — |
| — |
| 5.375 |
| 2.243 |
| MN |
| 48,076.39 |
| 376,250.00 |
| 3/16/2011 |
| 11/15/2014 |
|
035229CY7 |
| ANHEUSER-BUSCH SENIOR CORP BND |
|
|
|
|
|
|
|
|
| 5,556,350.00 |
| 109.61 |
| 5,480,497.35 |
| 5,000,000.00 |
| 5,398,968.24 |
| 81,529.11 |
| (125,472.80 | ) | — |
| — |
| 5 |
| 2.267 |
| JJ |
| 115,277.78 |
| 250,000.00 |
| 9/23/2010 |
| 1/15/2015 |
|
BRS9PGR33 |
| ARAMARK CORP LOAN TERM |
|
|
|
|
| 2 |
|
|
| 3,184,500.77 |
| 97.429 |
| 3,199,593.80 |
| 3,284,026.11 |
| 3,185,530.47 |
| 14,063.33 |
| 1,395.74 |
| — |
| — |
| 0 |
| 0.651 |
| JAJO |
| — |
| 36,977.00 |
| 11/1/2011 |
| 7/26/2016 |
|
BRS9PGQM2 |
| ARAMARK CORP TERM LOAN |
|
|
|
|
| 2 |
|
|
| 216,407.28 |
|
|
| 210,421.21 |
| 215,973.89 |
| 216,390.49 |
| (5,969.28 | ) | (19.48 | ) | — |
| — |
| 0 |
| 0 |
| MON |
| — |
| 1,091.00 |
| 00/00/0000 |
| 1/26/2014 |
|
039483BA9 |
| ARCHER DANIELS MIDLAND CO CORP BND |
|
|
|
|
|
|
|
|
| 600,000.00 |
| 100.161 |
| 600,966.02 |
| 600,000.00 |
| 600,000.00 |
| 966.02 |
| — |
| — |
| — |
| 0.613 |
| 0.472 |
| FMAN |
| 500.44 |
| 2,047.00 |
| 2/9/2011 |
| 8/13/2012 |
|
03979GAL9 |
| ARDEN REALTY LP SENIOR CORP BND |
|
|
|
|
| 1 |
|
|
| 3,226,650.00 |
| 105.692 |
| 3,170,748.36 |
| 3,000,000.00 |
| 3,186,543.74 |
| (15,795.38 | ) | (40,106.26 | ) | — |
| — |
| 5.25 |
| 3.007 |
| MS |
| 52,500.00 |
| 78,750.00 |
| 4/28/2011 |
| 12/1/2014 |
|
BRS9WB7G9 |
| ARKEL_10-1 ABS_10-1 5A |
|
|
| D |
| 2 |
|
|
| 918,390.00 |
| 104.38 |
| 973,301.75 |
| 600,000.00 |
| 918,390.00 |
| 54,911.75 |
| — |
| — |
| 14,070.00 |
| 4.681 |
| 4.677 |
| FA |
| 16,249.56 |
| 45,945.00 |
| 4/30/2010 |
| 2/17/2017 |
|
046353AC2 |
| ASTRAZENECA PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 5,610,358.32 |
| 103.227 |
| 5,419,408.68 |
| 5,250,000.00 |
| 5,374,524.84 |
| 44,883.84 |
| (174,111.44 | ) | — |
| — |
| 5.4 |
| 1.984 |
| MS |
| 83,475.00 |
| 283,500.00 |
| 11/12/2010 |
| 9/15/2012 |
|
00206RAV4 |
| AT&T CO CORP BND |
|
|
|
|
|
|
|
|
| 2,990,820.00 |
| 103.371 |
| 3,101,126.85 |
| 3,000,000.00 |
| 2,993,302.94 |
| 107,823.91 |
| 897.82 |
| — |
| — |
| 2.5 |
| 2.565 |
| FA |
| 28,333.33 |
| 78,125.00 |
| 7/27/2010 |
| 8/15/2015 |
|
00206RAW2 |
| AT&T INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,694,297.50 |
| 104.216 |
| 6,904,284.96 |
| 6,625,000.00 |
| 6,686,592.09 |
| 217,692.87 |
| (7,253.07 | ) | — |
| — |
| 2.95 |
| 2.723 |
| MN |
| 24,972.57 |
| 106,405.00 |
| 5/24/2011 |
| 5/15/2016 |
|
00206RAT9 |
| AT&T INC CORP BND |
|
|
| O |
|
|
|
|
| 2,116,010.52 |
| 115.42 |
| 2,242,177.00 |
| 1,250,000.00 |
| 2,095,043.38 |
| 147,133.62 |
| (12,906.23 | ) | — |
| 19,905.73 |
| 5.875 |
| 3.935 |
| APR |
| 77,333.45 |
| 77,646.00 |
| 11/9/2011 |
| 4/28/2017 |
|
00206RAF9 |
| AT&T INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,158,679.00 |
| 104.182 |
| 4,115,182.04 |
| 3,950,000.00 |
| 4,086,934.35 |
| 28,247.69 |
| (45,178.24 | ) | — |
| — |
| 4.95 |
| 1.566 |
| JJ |
| 90,158.75 |
| 66,825.00 |
| 10/20/2011 |
| 1/15/2013 |
|
00206RAQ5 |
| AT&T INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,611,715.50 |
| 107.599 |
| 1,613,980.52 |
| 1,500,000.00 |
| 1,558,311.08 |
| 55,669.44 |
| (26,265.74 | ) | — |
| — |
| 4.85 |
| 2.946 |
| FA |
| 27,483.33 |
| 72,750.00 |
| 12/16/2009 |
| 2/15/2014 |
|
78387GAP8 |
| AT&T INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,183,016.41 |
| 110.176 |
| 3,305,276.88 |
| 3,000,000.00 |
| 3,131,280.26 |
| 173,996.62 |
| (45,553.78 | ) | — |
| — |
| 5.1 |
| 3.392 |
| MS |
| 45,050.00 |
| 153,000.00 |
| 11/12/2010 |
| 9/15/2014 |
|
BRSBPYZG1 |
| ATLANTIC BROADBAND FINANCE LLC TERM LOAN |
|
|
|
|
| 1 |
| 4FE |
| 1,619,432.41 |
| 97.771 |
| 1,634,665.04 |
| 1,671,932.41 |
| 1,622,812.51 |
| 11,852.53 |
| 3,380.10 |
| — |
| — |
| 0 |
| 0.697 |
| MJSD |
| — |
| 28,894.00 |
| 8/22/2011 |
| 3/8/2016 |
|
048825BC6 |
| ATLANTIC RICHFIELD COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 3,899,000.82 |
| 101.5 |
| 3,366,755.00 |
| 3,317,000.00 |
| 3,354,317.32 |
| 12,437.68 |
| (147,049.84 | ) | — |
| — |
| 8.5 |
| 3.887 |
| AO |
| 70,486.25 |
| 281,945.00 |
| 1/30/2008 |
| 4/1/2012 |
|
049455AB4 |
| ATLAS REINSURANCE V LTD CORP BND 144A |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 11.872 |
| 0 |
| JAJO |
| — |
| 35,654.00 |
| 00/00/0000 |
| 2/24/2012 |
|
BRSBP35C1 |
| ATTACHMATE CORP TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 782,100.00 |
| 97.55 |
| 770,645.00 |
| 790,000.00 |
| 782,996.69 |
| (12,351.69 | ) | 996.69 |
| — |
| — |
| 0 |
| 0.175 |
| MJSD |
| — |
| 24,819.00 |
| 2/25/2011 |
| 2/3/2017 |
|
05252AAM3 |
| AUSTRALIA AND NEW ZEALAND BANK CORP BND |
|
|
| F |
|
|
|
|
| 3,992,895.97 |
| 102.191 |
| 4,087,646.48 |
| 4,000,000.00 |
| 3,995,522.88 |
| 92,123.60 |
| 1,369.56 |
| — |
| — |
| 3.7 |
| 3.739 |
| JJ |
| 69,066.67 |
| 148,000.00 |
| 2/19/2010 |
| 1/13/2015 |
|
05252EAA1 |
| AUSTRALIA AND NEW ZEALAND BANK LOCAL BND |
|
|
| F |
|
|
|
|
| 4,979,650.00 |
| 98.782 |
| 4,939,099.90 |
| 5,000,000.00 |
| 4,980,062.22 |
| (40,962.32 | ) | 412.22 |
| — |
| — |
| 2.4 |
| 2.487 |
| MN |
| 12,666.67 |
| — |
| 11/15/2011 |
| 11/23/2016 |
|
BRSCH2HF0 |
| AUTOPARTS HOLDINGS LTD TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 650,095.69 |
| 99.792 |
| 652,003.51 |
| 653,362.50 |
| 650,303.30 |
| 1,700.21 |
| 215.80 |
| — |
| — |
| 0 |
| 0.083 |
| MAT |
| — |
| 12,641.00 |
| 7/27/2011 |
| 7/29/2017 |
|
BRSCWX1K1 |
| AVIS BUDGET TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 588,000.00 |
| 100.5 |
| 603,000.00 |
| 600,000.00 |
| 588,310.71 |
| 14,689.29 |
| 310.71 |
| — |
| — |
| 0 |
| 0.288 |
| MJSD |
| — |
| 417.00 |
| 9/21/2011 |
| 9/22/2018 |
|
BRSDMT7X5 |
| AZ CHEMICALS US INC TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 1,225,110.00 |
| 97 |
| 1,225,110.00 |
| 1,263,000.00 |
| 1,225,110.00 |
| — |
| — |
| — |
| — |
| 0 |
| 0.514 |
| MJSD |
| — |
| — |
| 12/19/2011 |
| 12/19/2017 |
|
BRS3BP8V0 |
| B&G FOODS INC LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 1,338.57 |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 3,892.00 |
| 00/00/0000 |
| 2/26/2013 |
|
BRSDCHKT6 |
| B&G FOODS INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| 668,250.00 |
| 100.083 |
| 675,560.25 |
| 675,000.00 |
| 668,316.13 |
| 7,244.12 |
| 66.13 |
| — |
| — |
| 0 |
| 0.143 |
| MJSD |
| — |
| — |
| 11/18/2011 |
| 11/18/2018 |
|
06052MAD7 |
| BAAT ABS 10-2 A4 |
|
|
|
|
| 2 |
|
|
| 1,199,768.04 |
| 101.39 |
| 1,216,680.00 |
| 1,200,000.00 |
| 1,199,873.49 |
| 16,806.51 |
| 72.03 |
| — |
| — |
| 1.94 |
| 1.954 |
| MON |
| 1,034.67 |
| 23,280.00 |
| 6/16/2010 |
| 4/15/2014 |
|
06052MAC9 |
| BAAT ABS_10-2 A3 |
|
|
|
|
| 2 |
| 1FE |
| 741,583.35 |
| 100.24 |
| 743,383.67 |
| 741,603.82 |
| 741,597.17 |
| 1,786.50 |
| 14.58 |
| — |
| — |
| 1.31 |
| 1.315 |
| MON |
| 431.78 |
| 9,715.00 |
| 6/16/2010 |
| 3/15/2013 |
|
06052DAC9 |
| BAAT_09-1A ABS 09-1A A3 144A |
|
|
|
|
| 2 |
| 1FE |
| 337,182.46 |
| 100.221 |
| 333,447.24 |
| 332,711.65 |
| 333,222.66 |
| 224.58 |
| (19,252.40 | ) | — |
| — |
| 2.67 |
| 1.417 |
| MON |
| 394.82 |
| 8,883.00 |
| 6/1/2010 |
| 3/15/2012 |
|
06052JAC6 |
| BAAT_10-1 ABS_10-1A A3 144A |
|
|
|
|
| 2 |
|
|
| 3,255,011.41 |
| 100.22 |
| 3,266,766.30 |
| 3,259,595.19 |
| 3,258,328.22 |
| 8,438.08 |
| 5,421.36 |
| — |
| — |
| 1.39 |
| 1.48 |
| MON |
| 2,013.71 |
| 45,308.00 |
| 5/26/2010 |
| 11/15/2012 |
|
05522RBD9 |
| BACCT ABS 07-A8 A8 |
|
|
|
|
| 2 |
| 1FE |
| 2,974,441.60 |
| 102.239 |
| 2,918,918.03 |
| 2,855,000.00 |
| 2,920,578.79 |
| (1,660.76 | ) | (53,862.81 | ) | — |
| — |
| 5.59 |
| 0.541 |
| MON |
| 7,093.09 |
| 53,198.00 |
| 8/11/2011 |
| 6/15/2012 |
|
05522RAB4 |
| BACCT ABS_06 A7 A7 |
|
|
|
|
| 2 |
| 1FE |
| 9,961,328.13 |
| 99.668 |
| 9,966,838.10 |
| 10,000,000.00 |
| 9,967,960.04 |
| (1,121.94 | ) | 6,631.91 |
| — |
| — |
| 0.318 |
| 0.444 |
| MON |
| 1,503.08 |
| 13,044.00 |
| 6/17/2011 |
| 7/15/2014 |
|
05523RAA5 |
| BAE SYSTEMS PLC CORP BND 144A |
|
|
| F |
|
|
|
|
| 7,571,528.50 |
| 100.481 |
| 7,581,259.99 |
| 7,545,000.00 |
| 7,570,919.67 |
| 10,340.32 |
| (608.83 | ) | — |
| — |
| 3.5 |
| 3.421 |
| AO |
| 58,683.33 |
| — |
| 10/31/2011 |
| 10/11/2016 |
|
BRSC4T6W0 |
| BAKERCORP TERM LOAN |
|
|
|
|
| 1 |
| 1Z |
| 1,191,015.00 |
| 98.85 |
| 1,183,234.50 |
| 1,197,000.00 |
| 1,191,510.49 |
| (8,275.99 | ) | 510.49 |
| — |
| — |
| 0 |
| 0.072 |
| FMAN |
| — |
| 15,129.00 |
| 5/19/2011 |
| 6/1/2018 |
|
N6520WTR3 |
| BANK NEDERLANDSE GEMEENTEN CORP BND |
|
|
| F |
|
|
|
|
| 10,614,199.80 |
| 107.763 |
| 10,776,300.00 |
| 10,000,000.00 |
| 10,322,227.98 |
| 454,072.02 |
| (142,519.42 | ) | — |
| — |
| 5 |
| 3.526 |
| MAY |
| 312,500.00 |
| 500,000.00 |
| 8/31/2009 |
| 5/16/2014 |
|
N6521AVK2 |
| BANK NEDERLANDSE GEMEENTEN CORP BND |
|
|
| F |
|
|
|
|
| 5,264,500.00 |
| 103.399 |
| 5,169,950.10 |
| 5,000,000.00 |
| 5,239,779.61 |
| (69,829.51 | ) | (66,597.42 | ) | — |
| — |
| 3.75 |
| 0.605 |
| JUL |
| 86,458.33 |
| — |
| 11/1/2011 |
| 7/15/2013 |
|
BRS96AL33 |
| BANK NEDERLANDSE GEMEENTEN CORP BND EMTN |
|
|
| D |
|
|
|
|
| 2,949,500.73 |
| 102.032 |
| 3,092,061.03 |
| 1,950,000.00 |
| 2,942,310.04 |
| 149,750.99 |
| (5,098.02 | ) | — |
| 97,405.47 |
| 2.625 |
| 2.447 |
| DEC |
| 4,781.72 |
| 79,960.00 |
| 4/27/2010 |
| 12/10/2013 |
|
N6521APY9 |
| BANK NEDERLANDSE GEMEENTEN CORP BND EMTN |
|
|
| F |
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| (134,513.70 | ) | — |
| — |
| 6 |
| 0 |
| MAR |
| — |
| 300,000.00 |
| 00/00/0000 |
| 3/26/2012 |
|
06051GEG0 |
| BANK OF AMERICA CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,279,595.50 |
| 91.831 |
| 2,089,162.58 |
| 2,275,000.00 |
| 2,279,142.34 |
| (189,979.76 | ) | 2,578.36 |
| — |
| — |
| 3.625 |
| 3.578 |
| MS |
| 23,824.31 |
| 41,234.00 |
| 5/24/2011 |
| 3/17/2016 |
|
05947ULH9 |
| BANK OF AMERICA CO CMBS 03-1 |
|
|
|
|
| 2 |
|
|
| 388,742.09 |
| 99.996 |
| 403,091.79 |
| 403,107.92 |
| 401,692.38 |
| 1,399.41 |
| 13,841.85 |
| — |
| — |
| 3.878 |
| 5.146 |
| MON |
| 1,302.71 |
| 15,633.00 |
| 8/27/2008 |
| 5/11/2012 |
|
06050BAA9 |
| BANK OF AMERICA CORP - GTD CORP BND GOVT |
|
|
|
|
|
|
| 1FE |
| 1,299,337.00 |
| 101.274 |
| 1,316,565.89 |
| 1,300,000.00 |
| 1,299,942.35 |
| 16,623.54 |
| (29,041.50 | ) | — |
| — |
| 3.125 |
| 3.135 |
| JD |
| 1,805.56 |
| 40,625.00 |
| 12/1/2008 |
| 6/15/2012 |
|
06050BAG6 |
| BANK OF AMERICA CORP - GTD CORP BND GOVT |
|
|
|
|
|
|
| 1FE |
| 14,921,651.85 |
| 100.592 |
| 15,088,866.60 |
| 15,000,000.00 |
| 14,991,617.68 |
| 97,248.92 |
| 4,902.14 |
| — |
| — |
| 2.1 |
| 2.272 |
| AO |
| 53,375.00 |
| 315,000.00 |
| 2/25/2009 |
| 4/30/2012 |
|
06051GED7 |
| BANK OF AMERICA CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,505,805.00 |
| 92.401 |
| 1,386,021.54 |
| 1,500,000.00 |
| 1,504,700.30 |
| (118,678.76 | ) | (5,445.37 | ) | — |
| — |
| 3.7 |
| 3.608 |
| MS |
| 18,500.00 |
| 57,196.00 |
| 1/3/2011 |
| 9/1/2015 |
|
05522NAA5 |
| BANK OF AMERICA CORP BND 144A |
|
|
|
|
|
|
| 1FE |
| 5,084,782.57 |
| 102.013 |
| 5,100,650.00 |
| 5,000,000.00 |
| 5,024,688.89 |
| 75,961.11 |
| (79,049.16 | ) | — |
| — |
| 5.5 |
| 4.381 |
| JD |
| 12,986.11 |
| 275,000.00 |
| 11/12/2010 |
| 6/14/2012 |
|
06051GEB1 |
| BANK OF AMERICA CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 1,419,600.00 |
| 95.652 |
| 1,339,125.11 |
| 1,400,000.00 |
| 1,415,249.55 |
| (76,124.44 | ) | (4,591.69 | ) | — |
| — |
| 4.5 |
| 4.138 |
| AO |
| 15,750.00 |
| 63,000.00 |
| 12/16/2010 |
| 4/1/2015 |
|
06051GEL9 |
| BANK OF AMERICA CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 8,000,000.00 |
| 89.955 |
| 7,196,400.16 |
| 8,000,000.00 |
| 8,000,000.00 |
| (803,599.84 | ) | — |
| — |
| — |
| 1.941 |
| 1.796 |
| JAJO |
| 35,371.34 |
| 36,320.00 |
| 7/7/2011 |
| 7/11/2014 |
|
05949CED4 |
| BANK OF AMERICA MTG SEC CMO_05-G 2A1 |
|
|
|
|
| 2 |
|
|
| 2,473,733.40 |
| 79.212 |
| 1,987,284.62 |
| 2,508,817.63 |
| 2,475,572.10 |
| (488,287.48 | ) | 6,098.54 |
| — |
| — |
| 2.802 |
| 3.112 |
| MON |
| 5,858.70 |
| 74,186.00 |
| 10/19/2006 |
| 8/25/2035 |
|
06366QGN1 |
| BANK OF MONTREAL CORP BND |
|
|
| A |
|
|
|
|
| 9,350,000.00 |
| 99.682 |
| 9,320,266.91 |
| 9,350,000.00 |
| 9,350,000.00 |
| (29,733.09 | ) | — |
| — |
| — |
| 0.898 |
| 0.743 |
| JAJO |
| 14,461.26 |
| 35,214.00 |
| 4/26/2011 |
| 4/29/2014 |
|
063679WH3 |
| BANK OF MONTREAL CORP BND 144A |
|
|
| A |
|
|
|
|
| 5,298,622.00 |
| 100.116 |
| 5,306,148.27 |
| 5,300,000.00 |
| 5,298,698.96 |
| 7,449.31 |
| 76.96 |
| — |
| — |
| 1.3 |
| 1.309 |
| AO |
| 11,674.72 |
| — |
| 10/26/2011 |
| 10/31/2014 |
|
06406HBE8 |
| BANK OF NEW YORK CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,050,366.08 |
| 103.677 |
| 9,123,568.88 |
| 8,800,000.00 |
| 8,883,432.63 |
| 240,136.25 |
| (95,342.77 | ) | — |
| — |
| 4.95 |
| 3.778 |
| MN |
| 72,600.00 |
| 435,600.00 |
| 1/25/2011 |
| 11/1/2012 |
|
06406HBQ1 |
| BANK OF NEW YORK CO CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 2,996,130.00 |
| 103.71 |
| 3,111,304.08 |
| 3,000,000.00 |
| 2,997,260.50 |
| 114,043.58 |
| 740.48 |
| — |
| — |
| 2.95 |
| 2.978 |
| JD |
| 3,195.84 |
| 88,500.00 |
| 6/11/2010 |
| 6/18/2015 |
|
06406HCA5 |
| BANK OF NEW YORK MELLON CORP BND MTN |
|
|
|
|
| 1 |
|
|
| 2,994,570.00 |
| 99.72 |
| 2,991,608.04 |
| 3,000,000.00 |
| 2,994,644.04 |
| (3,036.00 | ) | 74.04 |
| — |
| — |
| 2.4 |
| 2.438 |
| JJ |
| 7,600.00 |
| — |
| 11/17/2011 |
| 1/17/2017 |
|
06406HBW8 |
| BANK OF NEW YORK MELLON/THE CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,350,000.00 |
| 98.319 |
| 3,293,686.50 |
| 3,350,000.00 |
| 3,350,000.00 |
| (56,313.50 | ) | — |
| — |
| — |
| 0.695 |
| 0.523 |
| JAJO |
| 4,202.09 |
| 4,474.00 |
| 7/21/2011 |
| 7/28/2014 |
|
064149D87 |
| BANK OF NOVA SCOTIA CORP BND |
|
|
| A |
|
|
|
|
| 4,121,760.00 |
| 103.069 |
| 4,122,744.44 |
| 4,000,000.00 |
| 4,121,090.43 |
| 1,654.01 |
| (656.91 | ) | — |
| — |
| 2.9 |
| 2.149 |
| MS |
| 29,644.44 |
| — |
| 12/20/2011 |
| 3/29/2016 |
|
064149B97 |
| BANK OF NOVA SCOTIA CORP BND |
|
|
| A |
|
|
| 1FE |
| 2,989,500.00 |
| 102.277 |
| 3,068,316.18 |
| 3,000,000.00 |
| 2,994,012.24 |
| 74,303.94 |
| 2,946.56 |
| — |
| — |
| 2.375 |
| 2.48 |
| JD |
| 2,770.84 |
| 71,250.00 |
| 6/10/2010 |
| 12/17/2013 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
06415CAB5 |
| BANK OF NOVA SCOTIA CORP BND 144A |
|
|
| A |
|
|
|
|
| 6,998,950.00 |
| 99.977 |
| 6,998,389.79 |
| 7,000,000.00 |
| 6,999,002.06 |
| (612.27 | ) | 59.50 |
| — |
| — |
| 1.25 |
| 1.255 |
| MN |
| 13,125.00 |
| — |
| 10/28/2011 |
| 11/7/2014 |
|
064149C39 |
| BANK OF NOVA SCOTIA CORP BND 144A |
|
|
| A |
|
|
| 1FE |
| 202,420.00 |
| 100.671 |
| 201,341.98 |
| 200,000.00 |
| 201,801.84 |
| (459.86 | ) | (1,489.04 | ) | — |
| — |
| 1.45 |
| 0.87 |
| JJ |
| 1,248.62 |
| 1,450.00 |
| 6/13/2011 |
| 7/26/2013 |
|
064244AA4 |
| BANK OF THE WEST/SAN FRANCISCO CORP BND |
|
|
|
|
|
|
| 1FE |
| 19,979,800.00 |
| 100.435 |
| 20,086,905.00 |
| 20,000,000.00 |
| 19,998,365.63 |
| 88,539.37 |
| 9,958.19 |
| — |
| — |
| 2.15 |
| 2.185 |
| MS |
| 112,277.78 |
| 430,000.00 |
| 3/20/2009 |
| 3/27/2012 |
|
06739FGP0 |
| BARCLAYS BANK PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 3,006,193.35 |
| 99.588 |
| 2,987,627.79 |
| 3,000,000.00 |
| 3,002,349.54 |
| (14,721.75 | ) | (2,524.76 | ) | — |
| — |
| 2.5 |
| 2.425 |
| JJ |
| 32,916.67 |
| 75,000.00 |
| 2/19/2010 |
| 1/23/2013 |
|
06739FFZ9 |
| BARCLAYS BANK PLC LOCAL BND |
|
|
| F |
|
|
|
|
| 528,417.00 |
| 103.311 |
| 516,554.00 |
| 500,000.00 |
| 515,862.11 |
| 691.89 |
| (51,305.67 | ) | — |
| — |
| 5.2 |
| 3.869 |
| JJ |
| 12,350.00 |
| 26,000.00 |
| 10/21/2009 |
| 7/10/2014 |
|
067901AF5 |
| BARRICK GOLD CORP CORP BND |
|
|
| A |
|
|
| 1FE |
| 2,747,701.82 |
| 102.761 |
| 2,825,917.27 |
| 2,750,000.00 |
| 2,747,911.70 |
| 78,005.57 |
| 209.88 |
| — |
| — |
| 2.9 |
| 2.137 |
| MN |
| 6,867.36 |
| 39,653.00 |
| 9/8/2011 |
| 5/30/2016 |
|
BRS58NX61 |
| BAUSCH & LOMB INCORPORATED LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 2,387,947.24 |
| 97.472 |
| 2,330,438.32 |
| 2,390,879.77 |
| 2,388,620.56 |
| (58,182.24 | ) | 751.13 |
| — |
| — |
| 0 |
| 0.028 |
| MON |
| — |
| 13,863.00 |
| 5/26/2011 |
| 4/24/2015 |
|
BRS58NXF1 |
| BAUSCH & LOMB INCORPORATED LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 582,730.26 |
| 97.472 |
| 568,701.81 |
| 583,451.46 |
| 582,895.85 |
| (14,194.04 | ) | 175.32 |
| — |
| — |
| 0 |
| 0.028 |
| MON |
| — |
| 9,635.00 |
| 5/26/2011 |
| 4/24/2015 |
|
071813BD0 |
| BAXTER INTERNATIONAL INC CORP BND |
|
|
|
|
|
|
|
|
| 2,668,424.70 |
| 100.194 |
| 2,675,176.55 |
| 2,670,000.00 |
| 2,668,428.07 |
| 6,748.48 |
| 3.37 |
| — |
| — |
| 1.85 |
| 1.862 |
| JJ |
| 1,646.50 |
| — |
| 12/14/2011 |
| 1/15/2017 |
|
071813AZ2 |
| BAXTER INTERNATIONAL INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,010,640.00 |
| 106.165 |
| 4,246,598.80 |
| 4,000,000.00 |
| 4,004,858.02 |
| 241,740.78 |
| (2,106.45 | ) | — |
| — |
| 4 |
| 3.941 |
| MS |
| 53,333.34 |
| 160,000.00 |
| 2/23/2009 |
| 3/1/2014 |
|
071813BB4 |
| BAXTER INTERNATIONAL INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,790,874.00 |
| 101.383 |
| 7,907,842.10 |
| 7,800,000.00 |
| 7,796,305.35 |
| 111,536.75 |
| 3,005.57 |
| — |
| — |
| 1.8 |
| 1.84 |
| MS |
| 41,340.00 |
| 140,400.00 |
| 3/4/2010 |
| 3/15/2013 |
|
07385TAJ5 |
| BEAR STEARNS CO INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,785,719.90 |
| 108.489 |
| 4,665,019.73 |
| 4,300,000.00 |
| 4,627,421.56 |
| 37,598.17 |
| (107,803.72 | ) | — |
| — |
| 5.7 |
| 2.915 |
| MN |
| 31,318.33 |
| 245,100.00 |
| 7/16/2010 |
| 11/15/2014 |
|
073928X73 |
| BEAR STEARNS CO INC CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 2,390,693.25 |
| 103.623 |
| 2,409,230.02 |
| 2,325,000.00 |
| 2,337,105.72 |
| 72,124.30 |
| (19,006.39 | ) | — |
| — |
| 6.95 |
| 6.064 |
| FA |
| 63,288.43 |
| 161,588.00 |
| 3/23/2009 |
| 8/10/2012 |
|
075887BB4 |
| BECTON DICKINSON AND COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,748,762.50 |
| 100.048 |
| 3,751,817.63 |
| 3,750,000.00 |
| 3,748,797.79 |
| 3,019.84 |
| 35.29 |
| — |
| — |
| 1.75 |
| 1.757 |
| MN |
| 9,661.46 |
| — |
| 11/3/2011 |
| 11/8/2016 |
|
079860AG7 |
| BELLSOUTH CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,257,904.09 |
| 110.441 |
| 1,268,967.46 |
| 1,149,000.00 |
| 1,231,117.38 |
| 37,850.08 |
| (17,995.75 | ) | — |
| — |
| 5.2 |
| 2.444 |
| MS |
| 17,592.47 |
| 42,874.00 |
| 7/6/2011 |
| 9/15/2014 |
|
BRS4QJWV9 |
| BERRY PLASTICS HLDG CORP TERM LOAN |
|
|
|
|
| 2 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 2,920.67 |
| — |
| — |
| 0 |
| 0 |
| JAJO |
| — |
| 1,123.00 |
| 00/00/0000 |
| 4/3/2015 |
|
05541VAD8 |
| BG ENERGY CAPITAL CORP BND 144A |
|
|
| F |
|
|
|
|
| 4,292,819.00 |
| 102.183 |
| 4,393,866.64 |
| 4,300,000.00 |
| 4,293,114.91 |
| 100,751.73 |
| 295.91 |
| — |
| — |
| 2.875 |
| 2.911 |
| AO |
| 27,128.82 |
| — |
| 10/6/2011 |
| 10/15/2016 |
|
055451AJ7 |
| BHP BILLITON FINANCE (USA) LTD CORP BND |
|
|
| F |
|
|
|
|
| 2,491,125.00 |
| 100.179 |
| 2,504,481.13 |
| 2,500,000.00 |
| 2,491,453.07 |
| 13,028.06 |
| 344.07 |
| — |
| — |
| 1.125 |
| 1.246 |
| MN |
| 3,125.00 |
| — |
| 11/16/2011 |
| 11/21/2014 |
|
055451AK4 |
| BHP BILLITON FINANCE (USA) LTD CORP BND |
|
|
| F |
|
|
|
|
| 4,575,574.00 |
| 101.102 |
| 4,650,692.23 |
| 4,600,000.00 |
| 4,576,100.10 |
| 74,592.13 |
| 526.10 |
| — |
| — |
| 1.875 |
| 1.987 |
| MN |
| 9,583.33 |
| — |
| 11/16/2011 |
| 11/21/2016 |
|
055451AA6 |
| BHP BILLITON FINANCE (USA) LTD CORP BND |
|
|
| F |
|
|
| 1FE |
| 1,040,771.32 |
| 105.322 |
| 1,053,215.94 |
| 1,000,000.00 |
| 1,022,004.66 |
| 31,211.28 |
| (55,624.14 | ) | — |
| — |
| 4.8 |
| 3.042 |
| AO |
| 10,133.33 |
| 48,000.00 |
| 11/12/2010 |
| 4/15/2013 |
|
055451AG3 |
| BHP BILLITON FINANCE (USA) LTD CORP BND |
|
|
| F |
|
|
| 1FE |
| 7,503,892.00 |
| 109.723 |
| 7,428,215.55 |
| 6,770,000.00 |
| 7,191,758.39 |
| 236,457.16 |
| (179,643.34 | ) | — |
| — |
| 5.5 |
| 2.627 |
| AO |
| 93,087.50 |
| 372,350.00 |
| 4/16/2010 |
| 4/1/2014 |
|
BRS47V6P5 |
| BIOMET INC LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 6,202,508.53 |
| 97.35 |
| 6,061,602.47 |
| 6,226,607.57 |
| 6,204,486.60 |
| (142,884.13 | ) | 2,123.92 |
| — |
| — |
| 0 |
| 0.105 |
| MON |
| — |
| 159,955.00 |
| 8/15/2011 |
| 3/25/2015 |
|
05564UAF7 |
| BMW FLOORPLAN MASTER OWNER TRU ABS 09-1A |
|
|
|
|
| 2 |
|
|
| 3,738,156.25 |
| 100.558 |
| 3,720,645.96 |
| 3,700,000.00 |
| 3,709,065.55 |
| 11,580.41 |
| (29,090.70 | ) | — |
| — |
| 1.428 |
| 0.195 |
| MON |
| 2,495.56 |
| 34,224.00 |
| 4/28/2011 |
| 4/16/2012 |
|
09657MAC2 |
| BMWLT_10-1 ABS 10-1 A3 |
|
|
|
|
| 2 |
| 1FE |
| 781,745.40 |
| 100.453 |
| 785,303.79 |
| 781,761.43 |
| 781,756.41 |
| 3,547.38 |
| 9.62 |
| — |
| — |
| 1.39 |
| 1.395 |
| MON |
| 181.11 |
| 10,866.00 |
| 4/15/2010 |
| 4/25/2013 |
|
055669AD7 |
| BMWLT_10-1 ABS_10-1 A4 |
|
|
|
|
| 2 |
|
|
| 1,019,897.90 |
| 100.016 |
| 1,020,166.36 |
| 1,020,000.00 |
| 1,019,946.78 |
| 219.58 |
| 34.46 |
| — |
| — |
| 0.96 |
| 0.966 |
| MON |
| 435.20 |
| 9,792.00 |
| 9/15/2010 |
| 9/15/2012 |
|
05948XYC9 |
| BOAMS WHOLE CMO 03-J-2A1 |
|
|
|
|
| 2 |
|
|
| 54,032.43 |
| 89.974 |
| 49,320.19 |
| 54,816.11 |
| 54,080.13 |
| (4,759.94 | ) | 162.90 |
| — |
| — |
| 2.836 |
| 3.185 |
| MON |
| 129.54 |
| 1,714.00 |
| 11/30/2007 |
| 11/25/2033 |
|
097014AN4 |
| BOEING CAPITAL CORPORATION CORP BND |
|
|
|
|
| 1 |
|
|
| 2,498,550.00 |
| 102.152 |
| 2,553,807.25 |
| 2,500,000.00 |
| 2,498,669.68 |
| 55,137.57 |
| 119.68 |
| — |
| — |
| 2.125 |
| 2.137 |
| FA |
| 22,135.42 |
| — |
| 7/28/2011 |
| 8/15/2016 |
|
097014AK0 |
| BOEING CAPITAL CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,023,300.00 |
| 106.499 |
| 3,194,983.05 |
| 3,000,000.00 |
| 3,014,234.44 |
| 180,748.61 |
| (4,758.61 | ) | — |
| — |
| 3.25 |
| 3.073 |
| AO |
| 17,333.34 |
| 97,500.00 |
| 1/28/2010 |
| 10/27/2014 |
|
097023AT2 |
| BOEING CO CORP BND |
|
|
|
|
|
|
|
|
| 1,404,061.80 |
| 104.883 |
| 1,352,992.31 |
| 1,290,000.00 |
| 1,337,322.81 |
| 15,669.50 |
| (41,384.58 | ) | — |
| — |
| 5.125 |
| 1.807 |
| FA |
| 24,975.83 |
| 66,113.00 |
| 5/12/2010 |
| 2/15/2013 |
|
097023BB0 |
| BOEING CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 685,866.90 |
| 100.461 |
| 693,180.59 |
| 690,000.00 |
| 688,755.09 |
| 4,425.50 |
| 1,379.94 |
| — |
| — |
| 1.875 |
| 2.082 |
| MN |
| 1,473.44 |
| 12,938.00 |
| 11/17/2009 |
| 11/20/2012 |
|
06423RBC9 |
| BOIT ABS 03-A8 |
|
|
|
|
| 2 |
| 1FE |
| 901,828.13 |
| 100.207 |
| 901,858.82 |
| 900,000.00 |
| 901,340.77 |
| 518.05 |
| (487.36 | ) | — |
| — |
| 0.528 |
| 0.442 |
| MON |
| 224.53 |
| 2,472.00 |
| 5/12/2011 |
| 9/16/2013 |
|
BRS9GBGH5 |
| BORDENINC. TERM LOAN |
|
|
|
|
|
|
|
|
| 1,172,478.45 |
| 96.438 |
| 1,132,830.36 |
| 1,174,672.18 |
| 1,172,894.62 |
| (40,064.26 | ) | 443.35 |
| — |
| — |
| 0 |
| 0.045 |
| FMAN |
| — |
| 11,553.00 |
| 5/13/2011 |
| 5/5/2015 |
|
10138MAD7 |
| BOTTLING GROUP LLC CORP BND |
|
|
|
|
|
|
|
|
| 1,530,340.01 |
| 109.465 |
| 1,641,975.00 |
| 1,500,000.00 |
| 1,520,396.55 |
| 121,578.45 |
| (5,438.68 | ) | — |
| — |
| 4.125 |
| 3.702 |
| JD |
| 2,750.00 |
| 61,875.00 |
| 2/19/2010 |
| 6/15/2015 |
|
10138MAH8 |
| BOTTLING GROUP LLC CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,826,255.00 |
| 112.566 |
| 9,568,084.84 |
| 8,500,000.00 |
| 9,102,570.20 |
| 465,514.64 |
| (258,063.51 | ) | — |
| — |
| 6.95 |
| 3.574 |
| MS |
| 173,943.06 |
| 590,750.00 |
| 2/5/2009 |
| 3/15/2014 |
|
BRSD853C3 |
| BOYD GAMING CORPORATION TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 1,626,800.00 |
| 98.625 |
| 1,637,175.00 |
| 1,660,000.00 |
| 1,627,834.98 |
| 9,340.02 |
| 1,034.98 |
| — |
| — |
| 0 |
| 0.488 |
| MJSD |
| — |
| — |
| 11/2/2011 |
| 12/17/2015 |
|
G1279MKC9 |
| BP CAPITAL MARKET PLC CORP BND MTN |
|
|
| D |
|
|
|
|
| 688,967.43 |
| 106.993 |
| 706,679.03 |
| 425,000.00 |
| 688,971.28 |
| 17,707.75 |
| 3.85 |
| — |
| (29,228.06 | ) | 4.325 |
| 4.299 |
| DEC |
| 1,717.09 |
| 21,633.00 |
| 3/7/2011 |
| 12/10/2018 |
|
05565QBF4 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 6,826,299.75 |
| 107.107 |
| 6,651,328.74 |
| 6,210,000.00 |
| 6,521,626.16 |
| 129,702.58 |
| (183,308.71 | ) | — |
| — |
| 5.25 |
| 2.456 |
| MN |
| 48,903.76 |
| 326,025.00 |
| 12/16/2010 |
| 11/7/2013 |
|
05565QBN7 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 2,991,480.00 |
| 104.636 |
| 3,139,086.90 |
| 3,000,000.00 |
| 2,993,489.30 |
| 145,597.60 |
| 2,109.47 |
| — |
| — |
| 3.125 |
| 3.187 |
| AO |
| 23,437.50 |
| 93,750.00 |
| 9/28/2010 |
| 10/1/2015 |
|
05565QBQ0 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
|
|
| 6,993,560.00 |
| 105.053 |
| 7,353,707.41 |
| 7,000,000.00 |
| 6,994,533.07 |
| 359,174.34 |
| 973.07 |
| — |
| — |
| 3.2 |
| 3.22 |
| MS |
| 68,444.44 |
| 112,000.00 |
| 3/8/2011 |
| 3/11/2016 |
|
05565QBS6 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
|
|
| 1,490,000.00 |
| 99.949 |
| 1,489,240.06 |
| 1,490,000.00 |
| 1,490,000.00 |
| (759.94 | ) | — |
| — |
| — |
| 1.14 |
| 0.91 |
| MJSD |
| 943.67 |
| 10,266.00 |
| 3/8/2011 |
| 3/11/2014 |
|
05565QBX5 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
|
|
| 7,724,536.50 |
| 100.967 |
| 7,799,723.93 |
| 7,725,000.00 |
| 7,724,547.06 |
| 75,176.87 |
| 11.03 |
| — |
| — |
| 1.7 |
| 1.702 |
| JD |
| 9,119.79 |
| — |
| 12/1/2011 |
| 12/5/2014 |
|
05565QBG2 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 5,024,698.50 |
| 100.427 |
| 5,046,434.24 |
| 5,025,000.00 |
| 5,024,980.20 |
| 21,454.04 |
| 133.17 |
| — |
| — |
| 3.125 |
| 3.127 |
| MS |
| 48,417.97 |
| 157,031.00 |
| 3/5/2009 |
| 3/10/2012 |
|
05565QBH0 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 3,182,550.00 |
| 106.601 |
| 3,198,018.27 |
| 3,000,000.00 |
| 3,179,121.16 |
| 18,897.11 |
| (12,858.95 | ) | — |
| — |
| 3.875 |
| 1.935 |
| MS |
| 35,843.75 |
| — |
| 12/6/2011 |
| 3/10/2015 |
|
05565QBL1 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 4,318,872.00 |
| 105.222 |
| 4,366,704.12 |
| 4,150,000.00 |
| 4,256,019.39 |
| 110,684.73 |
| (43,234.69 | ) | — |
| — |
| 3.625 |
| 2.499 |
| MN |
| 22,147.74 |
| 150,438.00 |
| 10/5/2010 |
| 5/8/2014 |
|
05565QBT4 |
| BP CAPITAL MARKETS PLC CORP BND |
|
|
| F |
|
|
| 1FE |
| 8,773,490.00 |
| 100.724 |
| 8,813,381.94 |
| 8,750,000.00 |
| 8,772,775.60 |
| 40,606.34 |
| (714.40 | ) | — |
| — |
| 2.248 |
| 2.191 |
| MN |
| 32,783.33 |
| — |
| 11/1/2011 |
| 11/1/2016 |
|
10778XAA4 |
| BRFKREDIT AS CORP BND 144A |
|
|
| F |
|
|
|
|
| 12,486,250.00 |
| 100.579 |
| 12,572,375.25 |
| 12,500,000.00 |
| 12,493,999.61 |
| 78,375.64 |
| 4,550.22 |
| — |
| — |
| 2.05 |
| 2.088 |
| AO |
| 54,097.23 |
| 256,250.00 |
| 4/8/2010 |
| 4/15/2013 |
|
10620NCG1 |
| BRHEA_05-2 ABS 11-1 A2 |
|
|
|
|
| 2 |
| 1FE |
| 3,748,794.81 |
| 97.221 |
| 3,694,398.04 |
| 3,800,000.00 |
| 3,753,162.51 |
| (58,764.47 | ) | 4,367.70 |
| — |
| — |
| 1.306 |
| 1.471 |
| FMAN |
| 5,101.09 |
| 28,885.00 |
| 3/10/2011 |
| 8/26/2024 |
|
10620NAC2 |
| BRHEA_05-2 ABS_05—2 A10 |
|
|
|
|
| 2 |
|
|
| 4,224,000.00 |
| 96.321 |
| 4,238,105.96 |
| 4,400,000.00 |
| 4,245,196.96 |
| (7,091.00 | ) | 21,196.96 |
| — |
| — |
| 0.694 |
| 1.728 |
| MJSD |
| 423.96 |
| 9,452.00 |
| 6/29/2011 |
| 9/26/2016 |
|
10620NAH1 |
| BRHEA_05-3A ABS 05-3 A14 |
|
|
|
|
| 2 |
|
|
| 2,402,795.55 |
| 97.893 |
| 2,387,364.72 |
| 2,438,749.17 |
| 2,408,017.65 |
| (20,652.93 | ) | 17,735.27 |
| — |
| — |
| 0.684 |
| 1.048 |
| MJSD |
| 231.60 |
| 9,369.00 |
| 5/26/2011 |
| 9/25/2018 |
|
110122AL2 |
| BRISTOL MYERS SQUIBB CO CORP BND | �� |
|
|
|
|
|
| 1FE |
| 7,448,280.00 |
| 107.163 |
| 7,501,403.22 |
| 7,000,000.00 |
| 7,172,569.29 |
| 328,833.93 |
| (101,465.99 | ) | — |
| — |
| 5.25 |
| 3.67 |
| FA |
| 138,833.34 |
| 367,500.00 |
| 3/5/2009 |
| 8/15/2013 |
|
1107098Z8 |
| BRITISH COLUMBIA PROVINCE OF CORP BND |
|
|
| A |
|
|
|
|
| 6,998,670.00 |
| 104.317 |
| 7,302,190.07 |
| 7,000,000.00 |
| 6,998,827.80 |
| 303,362.27 |
| 157.80 |
| — |
| — |
| 2.1 |
| 2.104 |
| MN |
| 17,558.33 |
| 73,500.00 |
| 5/11/2011 |
| 5/18/2016 |
|
1107098W5 |
| BRITISH COLUMBIA PROVINCE OF CORP BND |
|
|
| A |
|
|
| 1FE |
| 10,569,800.00 |
| 106.51 |
| 10,651,001.00 |
| 10,000,000.00 |
| 10,509,658.67 |
| 141,342.33 |
| (60,141.33 | ) | — |
| — |
| 2.85 |
| 1.335 |
| JD |
| 12,666.67 |
| 142,500.00 |
| 7/27/2011 |
| 6/15/2015 |
|
07388GAA9 |
| BSABS ABS 06-3-A1 |
|
|
|
|
| 2 |
|
|
| 27,653.82 |
| 99.729 |
| 27,578.77 |
| 27,653.82 |
| 27,653.82 |
| (75.05 | ) | — |
| — |
| — |
| 0.444 |
| 0.444 |
| MON |
| 1.70 |
| 107.00 |
| 8/8/2006 |
| 2/25/2012 |
|
07384MK27 |
| BSARM CMO 04-1 21A1 |
|
|
|
|
| 2 |
|
|
| 325,734.43 |
| 85.149 |
| 282,389.68 |
| 331,641.81 |
| 326,133.27 |
| (43,743.59 | ) | 1,595.84 |
| — |
| — |
| 2.447 |
| 2.855 |
| MON |
| 676.30 |
| 8,247.00 |
| 8/10/2007 |
| 3/25/2034 |
|
07384M3D2 |
| BSARM CMO 04-9 22A1 |
|
|
|
|
| 2 |
|
|
| 1,216,777.36 |
| 89.01 |
| 1,104,030.09 |
| 1,240,343.88 |
| 1,217,640.71 |
| (113,610.62 | ) | 2,997.30 |
| — |
| — |
| 3.207 |
| 3.715 |
| MON |
| 3,315.09 |
| 42,895.00 |
| 8/13/2007 |
| 11/25/2034 |
|
07387AAW5 |
| BSARM CMO_05-3 2A1 |
|
|
|
|
| 2 |
|
|
| 1,372,149.07 |
| 70.405 |
| 984,207.88 |
| 1,397,923.27 |
| 1,373,670.13 |
| (389,462.25 | ) | 3,532.60 |
| — |
| — |
| 2.692 |
| 3.041 |
| MON |
| 3,136.37 |
| 38,349.00 |
| 8/10/2007 |
| 5/25/2035 |
|
BRS9YCJN7 |
| BUFFETS INC TERM LOAN |
|
|
|
|
|
|
|
|
| 1,903,475.13 |
| 47.1 |
| 940,443.06 |
| 1,996,694.40 |
| 1,922,585.84 |
| (982,142.78 | ) | 20,891.44 |
| — |
| — |
| 0 |
| 1.13 |
| JAJO |
| — |
| 96,354.00 |
| 11/30/2011 |
| 4/22/2015 |
|
BRSBL1YL7 |
| BURGER KING CORP TERM LOAN |
|
|
|
|
|
|
|
|
| 6,235,949.24 |
| 98 |
| 6,106,330.26 |
| 6,230,949.24 |
| 6,235,244.61 |
| (128,914.35 | ) | (704.63 | ) | — |
| — |
| 0 |
| -0.014 |
| FMAN |
| — |
| 9,231.00 |
| 5/16/2011 |
| 10/19/2016 |
|
BRSBRMC88 |
| BWAY CORPORATION TERM LOAN |
|
|
|
|
|
|
|
|
| 245,270.83 |
| 98.375 |
| 243,963.79 |
| 247,993.69 |
| 245,373.52 |
| (1,409.73 | ) | 102.69 |
| — |
| — |
| 0 |
| 0.165 |
| MJSD |
| — |
| 4,234.00 |
| 9/1/2011 |
| 2/1/2018 |
|
BRSBN8RA2 |
| BWAY HOLDING |
|
|
|
|
|
|
|
|
| 2,724,077.66 |
| 98.375 |
| 2,714,110.43 |
| 2,758,943.26 |
| 2,724,524.20 |
| (10,413.77 | ) | 446.54 |
| — |
| — |
| 0 |
| 0.198 |
| FA |
| — |
| 79,386.00 |
| 8/26/2011 |
| 2/9/2018 |
|
BRSBR3DP1 |
| BWAY HOLDING TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| (88.47 | ) | — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 683.00 |
| 00/00/0000 |
| 2/9/2018 |
|
BRS8ABJG2 |
| CABLEVISION SYSTEMS CORPORATIO TERM LOAN |
|
|
|
|
|
|
|
|
| 7,916,034.86 |
| 98.313 |
| 7,798,074.54 |
| 7,931,885.44 |
| 7,916,108.18 |
| (118,033.64 | ) | 73.32 |
| — |
| — |
| 0 |
| 0.046 |
| FMAN |
| — |
| 12,656.00 |
| 12/2/2011 |
| 3/29/2016 |
|
BRS9U2FN7 |
| CABLEVISION SYSTEMS CORPORATIO TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,387,936.70 |
| 97.172 |
| 1,450,199.84 |
| 1,492,405.06 |
| 1,395,704.30 |
| 54,495.54 |
| 8,299.24 |
| — |
| — |
| 0 |
| 1.563 |
| FMAN |
| — |
| 10,318.00 |
| 8/11/2011 |
| 3/29/2016 |
|
BRSA43XR2 |
| CABLEVISION SYSTEMS CORPORATIO TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| (831.69 | ) | — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 24,212.00 |
| 00/00/0000 |
| 3/29/2016 |
|
126802BS5 |
| CABMT_10-IA ABS_11-2A A2 |
|
|
|
|
| 2 |
| 1FE |
| 3,500,000.00 |
| 100.622 |
| 3,521,770.07 |
| 3,500,000.00 |
| 3,500,000.00 |
| 21,770.07 |
| — |
| — |
| — |
| 0.878 |
| 0.871 |
| MON |
| 1,451.63 |
| 13,532.00 |
| 6/22/2011 |
| 6/15/2019 |
|
12800UAK6 |
| CAISSE CENTRALE CORP BND 144A |
|
|
| A |
|
|
| 1FE |
| 397,592.00 |
| 102.838 |
| 411,351.96 |
| 400,000.00 |
| 397,918.02 |
| 13,433.94 |
| 570.24 |
| — |
| — |
| 2.55 |
| 2.681 |
| MS |
| 2,748.33 |
| 5,100.00 |
| 4/18/2011 |
| 3/24/2016 |
|
F1270CBD9 |
| CAISSE D’AMORT DETTE SOCIALE CORP BND |
|
|
| D |
|
|
|
|
| 489,070.03 |
| 97.688 |
| 481,261.80 |
| 317,000.00 |
| 489,444.12 |
| (8,182.32 | ) | 1,354.66 |
| — |
| 2,103.33 |
| 2.25 |
| 2.297 |
| DEC |
| 757.14 |
| 13,691.00 |
| 9/9/2010 |
| 12/7/2015 |
|
BRSCAHX41 |
| CALPINE CORPORATION TERM LOAN |
|
|
|
|
|
|
|
|
| 4,048,903.75 |
| 97.833 |
| 3,991,097.24 |
| 4,079,500.00 |
| 4,051,051.44 |
| (59,954.20 | ) | 2,301.44 |
| — |
| — |
| 0 |
| 0.11 |
| MJSD |
| — |
| — |
| 6/10/2011 |
| 4/1/2018 |
|
BRSBQ1JW5 |
| CALPINE CORPORATION TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 3,907,487.46 |
| 97.833 |
| 3,886,403.66 |
| 3,972,487.46 |
| 3,910,879.73 |
| (24,476.07 | ) | 3,392.27 |
| — |
| — |
| 0 |
| 0.241 |
| MJSD |
| — |
| — |
| 8/16/2011 |
| 4/1/2018 |
|
135087ZA5 |
| CANADA GOVERNMENT GOVT BND |
|
|
| A |
|
|
| 1FE |
| 695,975.00 |
| 105.151 |
| 736,057.01 |
| 700,000.00 |
| 697,773.51 |
| 38,283.50 |
| 883.70 |
| — |
| — |
| 2.375 |
| 2.498 |
| MS |
| 5,126.04 |
| 16,625.00 |
| 9/2/2009 |
| 9/10/2014 |
|
136069DF5 |
| CANADIAN IMPERIAL BK COMRC CORP BND 144A |
|
|
| A |
|
|
|
|
| 3,684,599.00 |
| 101.093 |
| 3,689,894.58 |
| 3,650,000.00 |
| 3,672,342.99 |
| 17,551.59 |
| (13,031.63 | ) | — |
| — |
| 2 |
| 1.432 |
| FA |
| 29,808.33 |
| 56,500.00 |
| 5/13/2011 |
| 2/4/2013 |
|
136069DM0 |
| CANADIAN IMPERIAL BK COMRC CORP BND 144A |
|
|
| A |
|
|
|
|
| 1,144,473.00 |
| 103.528 |
| 1,138,808.00 |
| 1,100,000.00 |
| 1,142,797.24 |
| (3,989.24 | ) | (1,675.76 | ) | — |
| — |
| 2.6 |
| 1.457 |
| JJ |
| 14,220.56 |
| — |
| 11/7/2011 |
| 7/2/2015 |
|
136069EC1 |
| CANADIAN IMPERIAL BK COMRC CORP BND 144A |
|
|
| A |
|
|
|
|
| 9,987,600.00 |
| 99.05 |
| 9,905,000.30 |
| 10,000,000.00 |
| 9,988,757.04 |
| (83,756.74 | ) | 1,157.04 |
| — |
| — |
| 0.9 |
| 0.942 |
| MS |
| 25,250.00 |
| — |
| 9/13/2011 |
| 9/19/2014 |
|
136069EH0 |
| CANADIAN IMPERIAL BK COMRC CORP BND 144A |
|
|
| A |
|
|
| 1FE |
| 3,000,000.00 |
| 100.263 |
| 3,007,890.00 |
| 3,000,000.00 |
| 3,000,000.00 |
| 7,890.00 |
| — |
| — |
| — |
| 1.5 |
| 1.5 |
| JD |
| 2,375.00 |
| — |
| 12/5/2011 |
| 12/12/2014 |
|
136375BH4 |
| CANADIAN NATIONAL RAILWAY CORP BND |
|
|
| A |
|
|
|
|
| 325,323.30 |
| 104.067 |
| 322,608.08 |
| 310,000.00 |
| 315,618.24 |
| 6,989.84 |
| (4,521.33 | ) | — |
| — |
| 4.4 |
| 2.856 |
| MS |
| 4,016.22 |
| 13,640.00 |
| 10/22/2009 |
| 3/15/2013 |
|
136375BU5 |
| CANADIAN NATIONAL RAILWAY CORP BND |
|
|
| A |
| 1 |
| 1FE |
| 3,721,350.00 |
| 98.865 |
| 3,707,455.73 |
| 3,750,000.00 |
| 3,722,041.46 |
| (14,585.73 | ) | 691.46 |
| — |
| — |
| 1.45 |
| 1.607 |
| JD |
| 6,947.91 |
| — |
| 11/7/2011 |
| 12/15/2016 |
|
BRSBSD3G9 |
| CAPITAL AUTOMOTIVE TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 936,777.98 |
| 97.75 |
| 924,949.97 |
| 946,240.38 |
| 937,997.81 |
| (13,047.84 | ) | 1,746.04 |
| — |
| — |
| 0 |
| 0.166 |
| MJSD |
| — |
| 26,871.00 |
| 3/10/2011 |
| 3/11/2017 |
|
14068PAB0 |
| CAPSUGEL HEALTHCARE LTD TERM LOAN |
|
|
|
|
| 1 |
| 4FE |
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MAT |
| — |
| 3,665.00 |
| 00/00/0000 |
| 8/1/2018 |
|
14170TAD3 |
| CAREFUSION CORP CORP BND |
|
|
|
|
|
|
|
|
| 1,874,628.00 |
| 101.515 |
| 1,827,268.34 |
| 1,800,000.00 |
| 1,828,612.55 |
| (1,344.21 | ) | (46,015.45 | ) | — |
| — |
| 4.125 |
| 1.383 |
| FA |
| 30,937.51 |
| 74,250.00 |
| 1/13/2011 |
| 8/1/2012 |
|
14170TAF8 |
| CAREFUSION CORP CORP BND |
|
|
|
|
|
|
|
|
| 6,453,470.60 |
| 108.271 |
| 6,344,672.34 |
| 5,860,000.00 |
| 6,293,598.83 |
| 51,073.51 |
| (130,204.71 | ) | — |
| — |
| 5.125 |
| 2.164 |
| FA |
| 125,135.42 |
| 230,625.00 |
| 9/12/2011 |
| 8/1/2014 |
|
141781AP9 |
| CARGILL INC CORP BND 144A |
|
|
|
|
|
|
|
|
| 2,764,425.00 |
| 102.317 |
| 2,557,925.00 |
| 2,500,000.00 |
| 2,545,918.97 |
| 12,006.03 |
| (109,129.89 | ) | — |
| — |
| 6.375 |
| 1.91 |
| JD |
| 13,281.26 |
| 159,375.00 |
| 12/21/2009 |
| 6/1/2012 |
|
BRS5B8108 |
| CATALINA MARKETING CORPORATION LN1 TERM |
|
|
|
|
| 2 |
|
|
| 1,311,422.80 |
| 95.25 |
| 1,253,832.09 |
| 1,316,359.15 |
| 1,312,745.02 |
| (58,912.93 | ) | 1,365.89 |
| — |
| — |
| 0 |
| 0.099 |
| JAJO |
| — |
| 29,890.00 |
| 12/20/2010 |
| 10/1/2014 |
|
14912L4J7 |
| CATERPILLAR FINL SERV CORP BND |
|
|
|
|
|
|
|
|
| 649,226.50 |
| 101.325 |
| 658,609.70 |
| 650,000.00 |
| 649,747.89 |
| 8,861.81 |
| 257.95 |
| — |
| — |
| 1.9 |
| 1.941 |
| JD |
| 480.28 |
| 12,350.00 |
| 12/10/2009 |
| 12/17/2012 |
|
14912L4M0 |
| CATERPILLAR FINL SERV CORP BND |
|
|
|
|
|
|
|
|
| 2,000,000.00 |
| 104.607 |
| 2,092,145.38 |
| 2,000,000.00 |
| 2,000,000.00 |
| 92,145.38 |
| — |
| — |
| — |
| 2.75 |
| 2.75 |
| JD |
| 1,069.44 |
| 55,000.00 |
| 11/12/2010 |
| 6/24/2015 |
|
14912L4Q1 |
| CATERPILLAR FINL SERV CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,396,226.00 |
| 101.273 |
| 3,443,273.02 |
| 3,400,000.00 |
| 3,397,505.23 |
| 45,767.79 |
| 1,238.58 |
| — |
| — |
| 1.55 |
| 1.588 |
| JD |
| 1,610.27 |
| 52,700.00 |
| 12/13/2010 |
| 12/20/2013 |
|
14912L4U2 |
| CATERPILLAR FINL SERV CORP BND GMTN |
|
|
|
|
|
|
| 1FE |
| 4,219,068.00 |
| 99.867 |
| 4,194,414.00 |
| 4,200,000.00 |
| 4,215,816.32 |
| (21,402.32 | ) | (3,251.68 | ) | — |
| — |
| 0.662 |
| 0.37 |
| JAJO |
| 6,952.16 |
| 5,875.00 |
| 7/12/2011 |
| 4/1/2014 |
|
14912L3N9 |
| CATERPILLAR FINL SERV CORP BND MTN |
|
|
|
|
|
|
|
|
| 1,124,403.75 |
| 104.029 |
| 1,170,329.50 |
| 1,125,000.00 |
| 1,124,877.86 |
| 45,451.64 |
| 125.19 |
| — |
| — |
| 4.85 |
| 4.862 |
| JD |
| 3,637.50 |
| 54,563.00 |
| 12/3/2007 |
| 12/7/2012 |
|
14912L3S8 |
| CATERPILLAR FINL SERV CORP BND MTN |
|
|
|
|
|
|
|
|
| 5,268,195.25 |
| 104.009 |
| 5,486,488.57 |
| 5,275,000.00 |
| 5,273,373.55 |
| 213,115.02 |
| 1,411.15 |
| — |
| — |
| 4.25 |
| 4.279 |
| FA |
| 89,052.25 |
| 224,188.00 |
| 2/4/2008 |
| 2/8/2013 |
|
14912L4Y4 |
| CATERPILLAR FINL SERV CORP BND MTN |
|
|
|
|
|
|
|
|
| 4,989,810.90 |
| 100.474 |
| 5,023,724.00 |
| 5,000,000.00 |
| 4,989,857.20 |
| 33,866.80 |
| 157.20 |
| — |
| — |
| 1.125 |
| 1.195 |
| JD |
| 2,500.00 |
| — |
| 12/27/2011 |
| 12/15/2014 |
|
149123BT7 |
| CATERPILLAR INC CORP BND |
|
|
|
|
|
|
|
|
| 2,160,000.00 |
| 100.209 |
| 2,164,516.48 |
| 2,160,000.00 |
| 2,160,000.00 |
| 4,516.48 |
| — |
| — |
| — |
| 0.579 |
| 0.355 |
| FMAN |
| 1,425.42 |
| 4,025.00 |
| 5/24/2011 |
| 11/21/2012 |
|
BRSB8N999 |
| CCC INFORMATION SERVICES GROUP TERM LOAN |
|
|
|
|
|
|
|
|
| 265,033.83 |
| 99.75 |
| 266,631.75 |
| 267,300.00 |
| 265,168.85 |
| 1,462.90 |
| 146.47 |
| — |
| — |
| 0 |
| 0.199 |
| MJSD |
| — |
| 3,757.00 |
| 10/1/2011 |
| 12/17/2015 |
|
17305EEH4 |
| CCCIT ABS 08-A5 A5 |
|
|
|
|
| 2 |
|
|
| 1,608,339.84 |
| 105.159 |
| 1,577,379.23 |
| 1,500,000.00 |
| 1,584,700.42 |
| (7,321.19 | ) | (23,639.42 | ) | — |
| — |
| 4.85 |
| 0.513 |
| AO |
| 13,943.75 |
| 36,375.00 |
| 8/16/2011 |
| 4/22/2013 |
|
17305ECH6 |
| CCCIT ABS_04-A8 A8 |
|
|
|
|
| 2 |
| 1FE |
| 2,116,867.19 |
| 111.138 |
| 2,111,625.78 |
| 1,900,000.00 |
| 2,114,862.51 |
| (3,236.73 | ) | (2,004.68 | ) | — |
| — |
| 4.9 |
| 0.99 |
| JD |
| 5,430.83 |
| — |
| 12/14/2011 |
| 12/10/2014 |
|
BRSBQ9RY5 |
| CCM MERGER TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 7 |
| 0 |
| MJSD |
| — |
| 2,707.00 |
| 00/00/0000 |
| 3/1/2017 |
|
15132EFD5 |
| CDMC WHOLE CMO 03-8 2A3 |
|
|
|
|
| 2 |
|
|
| 168,971.11 |
| 99.557 |
| 172,094.71 |
| 172,860.48 |
| 171,844.88 |
| 249.83 |
| 5,695.26 |
| — |
| — |
| 4.874 |
| 6.793 |
| MON |
| 702.13 |
| 8,432.00 |
| 4/17/2008 |
| 3/1/2012 |
|
92344SAN0 |
| CELLCO PARTNERSHIP/VERIZON WIR CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,351,706.21 |
| 100.343 |
| 2,307,899.49 |
| 2,300,000.00 |
| 2,302,034.08 |
| 5,865.41 |
| (18,802.17 | ) | — |
| — |
| 5.25 |
| 4.178 |
| FA |
| 50,312.51 |
| 120,750.00 |
| 11/10/2009 |
| 2/1/2012 |
|
92344SAJ9 |
| CELLCO PARTNERSHIP/VERIZON WIR CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,369,194.90 |
| 111.106 |
| 6,143,067.35 |
| 5,529,000.00 |
| 5,978,230.70 |
| 164,836.65 |
| (230,830.51 | ) | — |
| — |
| 7.375 |
| 2.877 |
| MN |
| 52,103.14 |
| 407,764.00 |
| 4/20/2010 |
| 11/15/2013 |
|
92344SAP5 |
| CELLCO PARTNERSHIP/VERIZON WIR CORP BND |
|
|
|
|
|
|
| 1FE |
| 17,512,357.92 |
| 108.573 |
| 18,593,102.47 |
| 17,125,000.00 |
| 17,378,802.29 |
| 1,214,300.18 |
| (234,466.35 | ) | — |
| — |
| 5.55 |
| 4.773 |
| FA |
| 396,015.65 |
| 950,438.00 |
| 10/6/2010 |
| 2/1/2014 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
BRS47V568 |
| CENGAGE (THOMSON LEARNING) TL TERM LOAN |
|
|
|
|
| 2 |
|
|
| 3,643,315.33 |
| 84.944 |
| 3,366,996.77 |
| 3,963,784.11 |
| 3,702,019.98 |
| (335,023.21 | ) | 60,140.01 |
| — |
| — |
| 0 |
| 2.692 |
| MN |
| — |
| 33,158.00 |
| 6/20/2011 |
| 7/3/2014 |
|
15200DAB3 |
| CENTERPOINT ENERGY INC. ABS_05-A A2 |
|
|
|
|
| 2 |
|
|
| 248,222.17 |
| 100.775 |
| 242,454.48 |
| 240,590.93 |
| 241,553.92 |
| 900.56 |
| (4,673.20 | ) | — |
| — |
| 4.97 |
| 3.748 |
| FA |
| 4,982.24 |
| 11,957.00 |
| 2/8/2008 |
| 8/1/2012 |
|
BRSB98L97 |
| CENVEO CORP TERM LOAN |
|
|
|
|
|
|
|
|
| 464,655.19 |
| 98.4 |
| 461,185.26 |
| 468,684.21 |
| 464,785.60 |
| (3,600.34 | ) | 367.38 |
| — |
| — |
| 0 |
| 0.166 |
| MJSD |
| — |
| — |
| 11/1/2011 |
| 12/21/2016 |
|
BRS3NTN59 |
| CEQUEL COMMUNICATIONS LLC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 3,933,883.58 |
| 98.639 |
| 3,904,593.52 |
| 3,958,468.27 |
| 3,941,855.44 |
| (37,261.92 | ) | 8,335.37 |
| — |
| — |
| 0 |
| 0.225 |
| MON |
| — |
| 62,440.00 |
| 5/26/2011 |
| 11/5/2013 |
|
161571CH5 |
| CHAIT ABS_07-A17 A |
|
|
|
|
| 2 |
| 1FE |
| 1,413,140.63 |
| 103.43 |
| 1,344,590.00 |
| 1,300,000.00 |
| 1,339,226.73 |
| 5,363.27 |
| (49,162.08 | ) | — |
| — |
| 5.12 |
| 1.277 |
| MON |
| 2,958.22 |
| 66,560.00 |
| 6/23/2010 |
| 10/15/2012 |
|
BRS3D3LA8 |
| CHARTER COMMUNICATIONS HOLDING LN1 TERM |
|
|
|
|
| 2 |
|
|
| 135,883.83 |
| 99 |
| 134,524.99 |
| 135,883.83 |
| 135,883.83 |
| (1,358.84 | ) | — |
| — |
| — |
| 0 |
| 0 |
| MON |
| — |
| 1,424.00 |
| 3/8/2011 |
| 3/6/2014 |
|
BRS9NN9D8 |
| CHARTER COMMUNICATIONS HOLDING TERM LOAN |
|
|
|
|
| 2 |
|
|
| 5,943,601.27 |
| 97.609 |
| 5,869,355.51 |
| 6,013,129.43 |
| 5,949,679.82 |
| (80,324.31 | ) | 6,782.81 |
| — |
| — |
| 0 |
| 0.219 |
| MJSD |
| — |
| 20,640.00 |
| 8/15/2011 |
| 9/6/2016 |
|
161630BD9 |
| CHASE CMO_07-A1 11M1 |
|
|
|
|
| 2 |
|
|
| 3,586,687.67 |
| 68.063 |
| 2,418,047.80 |
| 3,552,687.31 |
| 3,584,163.89 |
| (1,166,116.09 | ) | 1,684.19 |
| — |
| — |
| 2.498 |
| 2.299 |
| MON |
| 7,396.04 |
| 109,800.00 |
| 1/18/2008 |
| 2/25/2037 |
|
161630AL2 |
| CHASE CMO_07-A1 3A1 |
|
|
|
|
| 2 |
|
|
| 1,472,860.38 |
| 85.204 |
| 1,267,512.06 |
| 1,487,620.37 |
| 1,473,443.35 |
| (205,931.29 | ) | 3,225.53 |
| — |
| — |
| 2.738 |
| 2.948 |
| MON |
| 3,394.64 |
| 42,511.00 |
| 5/17/2007 |
| 6/25/2036 |
|
161630AQ1 |
| CHASE CMO_07-A1 5A1 |
|
|
|
|
| 2 |
|
|
| 359,812.12 |
| 86.06 |
| 315,119.65 |
| 366,162.73 |
| 360,408.40 |
| (45,288.75 | ) | 1,330.40 |
| — |
| — |
| 2.751 |
| 3.22 |
| MON |
| 839.47 |
| 10,306.00 |
| 5/8/2007 |
| 5/25/2032 |
|
161630AU2 |
| CHASE CMO_07-A1 7A1 |
|
|
|
|
| 2 |
|
|
| 515,784.11 |
| 94.259 |
| 494,027.22 |
| 524,116.76 |
| 516,335.17 |
| (22,307.95 | ) | 3,334.99 |
| — |
| — |
| 2.748 |
| 3.195 |
| MON |
| 1,200.24 |
| 14,822.00 |
| 5/17/2007 |
| 6/25/2026 |
|
161630AG3 |
| CHASE CMO_07-A1-2A1 |
|
|
|
|
| 2 |
|
|
| 2,479,865.38 |
| 93.622 |
| 2,363,428.86 |
| 2,524,437.48 |
| 2,481,610.95 |
| (118,182.09 | ) | 4,878.58 |
| — |
| — |
| 2.757 |
| 3.196 |
| MON |
| 5,798.91 |
| 70,892.00 |
| 2/22/2007 |
| 6/25/2031 |
|
166751AH0 |
| CHEVRONTEXACO CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 8,595,814.00 |
| 106.967 |
| 8,771,295.48 |
| 8,200,000.00 |
| 8,412,826.52 |
| 358,468.96 |
| (93,998.83 | ) | — |
| — |
| 3.95 |
| 2.71 |
| MS |
| 106,167.23 |
| 323,900.00 |
| 1/6/2010 |
| 3/3/2014 |
|
BRSC8XG48 |
| CHG HEALTHCARE TERM LOAN |
|
|
|
|
|
|
| 3Z |
| 929,802.69 |
| 98.813 |
| 919,826.14 |
| 930,875.63 |
| 929,838.99 |
| (10,012.85 | ) | 36.30 |
| — |
| — |
| 0 |
| 0.023 |
| JAJO |
| — |
| — |
| 11/1/2011 |
| 10/7/2016 |
|
167562LV7 |
| CHICAGO ILL MIDWAY ARPT REV MUNI BND REV |
|
|
|
|
|
|
| 1FE |
| 3,083,400.00 |
| 102.437 |
| 3,073,110.00 |
| 3,000,000.00 |
| 3,082,613.57 |
| (9,503.57 | ) | (786.43 | ) | — |
| — |
| 3.532 |
| 3.382 |
| JJ |
| 52,980.00 |
| — |
| 7/5/2011 |
| 1/1/2041 |
|
BRSC5RFN3 |
| CHRYSLER GROUP LLC TERM LOAN |
|
|
|
|
|
|
| 3FE |
| 9,187,975.00 |
| 94.425 |
| 8,925,523.13 |
| 9,452,500.00 |
| 9,205,866.42 |
| (280,343.29 | ) | 18,401.40 |
| — |
| — |
| 0 |
| 0.48 |
| FMAN |
| — |
| 202,652.00 |
| 8/19/2011 |
| 5/19/2017 |
|
204279AA1 |
| CIE FIN FONC CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 1,719,329.00 |
| 98.967 |
| 1,682,439.05 |
| 1,700,000.00 |
| 1,711,990.38 |
| (29,551.33 | ) | (43,592.49 | ) | — |
| — |
| 2.125 |
| 1.577 |
| AO |
| 6,923.96 |
| 36,125.00 |
| 3/4/2011 |
| 4/22/2013 |
|
BRS9LY573 |
| CINEMARK USA INC. TERM LOAN |
|
|
|
|
| 2 |
|
|
| 950,152.28 |
| 99.231 |
| 987,272.90 |
| 994,923.86 |
| 952,979.47 |
| 34,293.43 |
| 3,055.61 |
| — |
| — |
| 0 |
| 0.982 |
| JAJO |
| — |
| 6,612.00 |
| 8/26/2011 |
| 4/30/2016 |
|
17275RAG7 |
| CISCO SYSTEMS INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,989,840.00 |
| 105.488 |
| 4,219,509.60 |
| 4,000,000.00 |
| 3,993,975.28 |
| 225,534.32 |
| 1,977.42 |
| — |
| — |
| 2.9 |
| 2.955 |
| MN |
| 14,177.78 |
| 116,000.00 |
| 11/9/2009 |
| 11/17/2014 |
|
17275RAJ1 |
| CISCO SYSTEMS INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 509,680.00 |
| 101.661 |
| 508,307.27 |
| 500,000.00 |
| 508,539.60 |
| (232.33 | ) | (1,140.40 | ) | — |
| — |
| 1.625 |
| 0.84 |
| MS |
| 2,414.93 |
| — |
| 9/12/2011 |
| 3/14/2014 |
|
17275RAL6 |
| CISCO SYSTEMS INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 22,325,000.00 |
| 99.924 |
| 22,308,033.89 |
| 22,325,000.00 |
| 22,325,000.00 |
| (16,966.11 | ) | — |
| — |
| — |
| 0.794 |
| 0.559 |
| MJSD |
| 8,857.44 |
| 93,098.00 |
| 3/9/2011 |
| 3/14/2014 |
|
17305EDL6 |
| CITIBANK CREDIT CARD ISSUANCE ABS_06-A8 |
|
|
|
|
| 2 |
|
|
| 2,588,682.81 |
| 98.626 |
| 2,584,012.78 |
| 2,620,000.00 |
| 2,591,220.42 |
| (7,207.64 | ) | 2,537.61 |
| — |
| — |
| 0.443 |
| 0.652 |
| JAJO |
| 2,450.61 |
| 4,085.00 |
| 7/6/2011 |
| 12/15/2016 |
|
172967EL1 |
| CITIBANK N.A. CORP BND |
|
|
|
|
|
|
|
|
| 520,145.00 |
| 101.62 |
| 508,097.52 |
| 500,000.00 |
| 505,589.37 |
| 2,508.15 |
| (6,819.69 | ) | — |
| — |
| 5.3 |
| 3.852 |
| AO |
| 5,447.22 |
| 26,500.00 |
| 10/22/2009 |
| 10/17/2012 |
|
17314JAT0 |
| CITIBANK NA CORP BND GOVT GUAR |
|
|
|
|
|
|
| 1FE |
| 25,229,009.24 |
| 101.515 |
| 25,124,960.52 |
| 24,750,000.00 |
| 25,028,127.66 |
| 96,832.86 |
| (211,802.62 | ) | — |
| — |
| 1.75 |
| 0.608 |
| JD |
| 3,609.38 |
| 433,125.00 |
| 6/7/2011 |
| 12/28/2012 |
|
17314AAF9 |
| CITIGROUP FUNDING INC - GTD CORP BND |
|
|
|
|
|
|
|
|
| 6,482,515.00 |
| 100.312 |
| 6,520,251.99 |
| 6,500,000.00 |
| 6,498,537.60 |
| 21,714.39 |
| 6,073.02 |
| — |
| — |
| 2 |
| 2.093 |
| MS |
| 32,861.11 |
| 130,000.00 |
| 3/23/2009 |
| 3/30/2012 |
|
17313YAL5 |
| CITIGROUP FUNDING INC - GTD CORP BND |
|
|
|
|
|
|
| 1FE |
| 15,058,950.00 |
| 101.298 |
| 15,194,676.45 |
| 15,000,000.00 |
| 15,016,261.49 |
| 178,414.96 |
| (19,854.13 | ) | — |
| — |
| 1.875 |
| 1.739 |
| AO |
| 53,906.25 |
| 281,250.00 |
| 3/8/2011 |
| 10/22/2012 |
|
17313YAN1 |
| CITIGROUP FUNDING INC - GTD CORP BND |
|
|
|
|
|
|
| 1FE |
| 13,079,283.56 |
| 101.367 |
| 13,177,769.02 |
| 13,000,000.00 |
| 13,025,658.60 |
| 152,110.42 |
| (29,007.32 | ) | — |
| — |
| 1.875 |
| 1.646 |
| MN |
| 31,145.84 |
| 243,750.00 |
| 2/19/2010 |
| 11/15/2012 |
|
172967EZ0 |
| CITIGROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,105,220.50 |
| 102.555 |
| 5,794,373.89 |
| 5,650,000.00 |
| 5,991,424.64 |
| (197,050.75 | ) | (155,659.28 | ) | — |
| — |
| 5.5 |
| 3.215 |
| AO |
| 65,602.78 |
| 310,750.00 |
| 1/3/2011 |
| 10/15/2014 |
|
17313UAE9 |
| CITIGROUP INC - GTD CORP BND GOVT GUAR |
|
|
|
|
|
|
|
|
| 3,484,373.48 |
| 100.6 |
| 3,521,014.74 |
| 3,500,000.00 |
| 3,498,327.79 |
| 22,686.95 |
| (58,718.19 | ) | — |
| — |
| 2.125 |
| 2.272 |
| AO |
| 12,602.43 |
| 74,375.00 |
| 2/25/2009 |
| 4/30/2012 |
|
172967CK5 |
| CITIGROUP INC CORP BND |
|
|
|
|
|
|
|
|
| 3,904,747.45 |
| 101.344 |
| 4,053,753.04 |
| 4,000,000.00 |
| 3,933,856.78 |
| 119,896.26 |
| 25,637.28 |
| — |
| — |
| 5.125 |
| 5.891 |
| MN |
| 31,888.89 |
| 205,000.00 |
| 11/12/2010 |
| 5/5/2014 |
|
172967FM8 |
| CITIGROUP INC CORP BND |
|
|
|
|
|
|
|
|
| 3,225,000.00 |
| 98.136 |
| 3,164,886.07 |
| 3,225,000.00 |
| 3,225,000.00 |
| (60,113.93 | ) | — |
| — |
| — |
| 1.307 |
| 1.16 |
| FMAN |
| 5,503.95 |
| 27,699.00 |
| 2/9/2011 |
| 2/15/2013 |
|
172967EH0 |
| CITIGROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,816,798.96 |
| 105.145 |
| 2,683,299.53 |
| 2,552,000.00 |
| 2,798,989.65 |
| (115,690.12 | ) | (22,184.18 | ) | — |
| — |
| 6 |
| 4.057 |
| FA |
| 57,845.33 |
| 60,000.00 |
| 9/1/2011 |
| 8/15/2017 |
|
172967FA4 |
| CITIGROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,153,500.00 |
| 103.988 |
| 5,199,424.75 |
| 5,000,000.00 |
| 5,105,743.26 |
| 93,681.49 |
| (103,052.83 | ) | — |
| — |
| 6.01 |
| 5.249 |
| JD |
| 13,355.56 |
| 300,500.00 |
| 6/9/2010 |
| 1/15/2015 |
|
172967FD8 |
| CITIGROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 8,216,221.50 |
| 100.805 |
| 7,812,386.97 |
| 7,750,000.00 |
| 8,130,423.42 |
| (318,036.45 | ) | (116,897.64 | ) | — |
| — |
| 4.75 |
| 3.206 |
| MN |
| 42,947.92 |
| 304,594.00 |
| 5/24/2011 |
| 5/19/2015 |
|
BRS3YPRC6 |
| CLAIRES STORES INC. CLAIRES STORES TERM |
|
|
|
|
| 2 |
|
|
| 1,805,000.00 |
| 86.389 |
| 1,727,780.00 |
| 2,000,000.00 |
| 1,835,432.70 |
| (107,652.70 | ) | 30,432.70 |
| — |
| — |
| 0 |
| 3.597 |
| MN |
| — |
| 26,584.00 |
| 6/20/2011 |
| 5/29/2014 |
|
191216AL4 |
| COCA-COLA COMPANY THE CORP BND |
|
|
|
|
|
|
| 1FE |
| 11,572,106.25 |
| 106.363 |
| 12,364,718.17 |
| 11,625,000.00 |
| 11,600,654.61 |
| 764,063.56 |
| 10,401.75 |
| — |
| — |
| 3.625 |
| 3.725 |
| MS |
| 124,080.74 |
| 421,406.00 |
| 3/3/2009 |
| 3/15/2014 |
|
191216AN0 |
| COCA-COLA COMPANY THE CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,049,036.50 |
| 100.006 |
| 2,050,129.03 |
| 2,050,000.00 |
| 2,049,396.60 |
| 732.43 |
| 318.80 |
| — |
| — |
| 0.75 |
| 0.766 |
| MN |
| 1,964.58 |
| 15,375.00 |
| 11/4/2010 |
| 11/15/2013 |
|
191216AP5 |
| COCA-COLA COMPANY THE CORP BND |
|
|
|
|
|
|
| 1FE |
| 997,700.00 |
| 101.362 |
| 1,013,618.85 |
| 1,000,000.00 |
| 998,204.17 |
| 15,414.68 |
| 1,135.31 |
| — |
| — |
| 1.5 |
| 1.548 |
| MN |
| 1,916.67 |
| 15,000.00 |
| 11/4/2010 |
| 11/15/2015 |
|
191216AU4 |
| COCA-COLA COMPANY THE CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,955,524.26 |
| 101.394 |
| 10,038,041.24 |
| 9,900,000.00 |
| 9,954,990.99 |
| 83,050.25 |
| (533.27 | ) | — |
| — |
| 1.8 |
| 1.649 |
| MS |
| 69,795.00 |
| — |
| 12/14/2011 |
| 9/1/2016 |
|
19122TAA7 |
| COCA-COLA ENTERPRISES INC. CORP BND |
|
|
|
|
|
|
|
|
| 5,667,849.50 |
| 100.144 |
| 5,683,180.91 |
| 5,675,000.00 |
| 5,670,531.74 |
| 12,649.17 |
| 2,483.18 |
| — |
| — |
| 1.125 |
| 1.168 |
| MN |
| 8,689.84 |
| 63,844.00 |
| 11/8/2010 |
| 11/12/2013 |
|
19416QDW7 |
| COLGATE PALMOLIVE CO. CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 8,442,879.75 |
| 99.966 |
| 8,472,160.80 |
| 8,475,000.00 |
| 8,444,444.69 |
| 27,716.11 |
| 1,657.27 |
| — |
| — |
| 0.6 |
| 0.727 |
| MN |
| 7,486.26 |
| — |
| 11/3/2011 |
| 11/15/2014 |
|
194262AX9 |
| COLLE_02-2 ABS 02-2 A21 144A |
|
|
|
|
| 2 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 1,892.96 |
| — |
| — |
| 1.604 |
| 0 |
| MON |
| — |
| 1,330.00 |
| 00/00/0000 |
| 3/1/2042 |
|
20030NAB7 |
| COMCAST CORPORATION CORP BND |
|
|
|
|
|
|
| 2FE |
| 5,868,400.00 |
| 112.448 |
| 5,622,416.30 |
| 5,000,000.00 |
| 5,622,974.69 |
| (558.39 | ) | (196,052.11 | ) | — |
| — |
| 6.5 |
| 2.235 |
| JJ |
| 149,861.12 |
| 325,000.00 |
| 9/24/2010 |
| 1/15/2015 |
|
20030NAE1 |
| COMCAST CORPORATION CORP BND |
|
|
|
|
|
|
| 2FE |
| 4,178,362.50 |
| 107.577 |
| 4,034,141.93 |
| 3,750,000.00 |
| 4,008,346.92 |
| 25,795.01 |
| (149,457.97 | ) | — |
| — |
| 5.3 |
| 1.84 |
| JJ |
| 91,645.83 |
| 198,750.00 |
| 8/10/2010 |
| 1/15/2014 |
|
20030NAP6 |
| COMCAST CORPORATION CORP BND |
|
|
|
|
|
|
| 2FE |
| 3,543,450.00 |
| 116.817 |
| 3,504,505.92 |
| 3,000,000.00 |
| 3,527,284.09 |
| (22,778.17 | ) | (16,165.91 | ) | — |
| — |
| 6.5 |
| 2.741 |
| JJ |
| 89,916.67 |
| — |
| 10/27/2011 |
| 1/15/2017 |
|
14041NBY6 |
| COMET ABS 05-A1 A1 |
|
|
|
|
| 2 |
|
|
| 4,021,523.44 |
| 99.986 |
| 4,049,452.85 |
| 4,050,000.00 |
| 4,046,743.73 |
| 2,709.12 |
| 15,987.62 |
| — |
| — |
| 0.348 |
| 0.741 |
| MON |
| 666.12 |
| 12,317.00 |
| 5/28/2010 |
| 3/15/2012 |
|
14041NDB4 |
| COMET ABS 06-A11 A11 |
|
|
|
|
| 2 |
| 1FE |
| 5,248,035.16 |
| 98.114 |
| 5,200,028.96 |
| 5,300,000.00 |
| 5,253,297.42 |
| (53,268.46 | ) | 5,262.26 |
| — |
| — |
| 0.368 |
| 0.559 |
| MON |
| 921.77 |
| 8,260.00 |
| 6/17/2011 |
| 8/15/2016 |
|
14041NCK5 |
| COMET ABS_05-A9 A |
|
|
|
|
| 2 |
|
|
| 5,826,577.15 |
| 98.827 |
| 5,806,078.85 |
| 5,875,000.00 |
| 5,832,443.61 |
| (26,364.76 | ) | 5,866.46 |
| — |
| — |
| 0.368 |
| 0.559 |
| MON |
| 1,021.78 |
| 9,157.00 |
| 6/17/2011 |
| 10/15/2015 |
|
2027A0EM7 |
| COMMONWEALTH BANK OF AUSTRALIA CORP BND |
|
|
| F |
|
|
|
|
| 1,991,660.00 |
| 101.706 |
| 2,034,112.86 |
| 2,000,000.00 |
| 1,994,459.68 |
| 39,653.18 |
| 1,596.38 |
| — |
| — |
| 3.5 |
| 3.592 |
| MS |
| 19,833.33 |
| 70,000.00 |
| 3/15/2010 |
| 3/19/2015 |
|
2027A0FP9 |
| COMMONWEALTH BANK OF AUSTRALIA CORP BND |
|
|
| F |
|
|
|
|
| 15,429,116.00 |
| 98.398 |
| 15,177,891.96 |
| 15,425,000.00 |
| 15,428,418.32 |
| (250,526.36 | ) | (697.68 | ) | — |
| — |
| 1.289 |
| 1.009 |
| MJSD |
| 7,180.75 |
| 109,335.00 |
| 7/12/2011 |
| 3/17/2014 |
|
2027A0FR5 |
| COMMONWEALTH BANK OF AUSTRALIA CORP BND |
|
|
| F |
|
|
|
|
| 5,031,487.20 |
| 100.824 |
| 4,960,526.04 |
| 4,920,000.00 |
| 5,027,598.64 |
| (67,072.60 | ) | (3,888.56 | ) | — |
| — |
| 3.25 |
| 2.697 |
| MS |
| 46,193.33 |
| — |
| 10/28/2011 |
| 3/17/2016 |
|
Q2694VMT4 |
| COMMONWEALTH BANK OF AUSTRALIA CORP BND |
|
|
| D |
|
|
|
|
| 679,712.30 |
| 104.272 |
| 729,219.42 |
| 450,000.00 |
| 680,880.96 |
| 48,338.46 |
| 756.96 |
| — |
| 15,091.88 |
| 3.875 |
| 3.97 |
| DEC |
| 1,336.42 |
| 26,876.00 |
| 4/7/2010 |
| 12/14/2015 |
|
2027A0DG1 |
| COMMONWEALTH BANK OF AUSTRALIA CORP BND |
|
|
| F |
|
|
| 1FE |
| 7,324,340.75 |
| 100.318 |
| 7,348,286.46 |
| 7,325,000.00 |
| 7,324,822.00 |
| 23,464.46 |
| 220.72 |
| — |
| — |
| 2.75 |
| 2.753 |
| AO |
| 42,525.68 |
| 201,438.00 |
| 10/8/2009 |
| 10/15/2012 |
|
20272BAK0 |
| COMMONWEALTH BANK OF AUSTRALIA SENIOR |
|
|
| F |
|
|
|
|
| 4,611,321.60 |
| 104.6 |
| 4,686,079.91 |
| 4,480,000.00 |
| 4,580,913.86 |
| 105,166.05 |
| (29,888.44 | ) | — |
| — |
| 2.9 |
| 2.04 |
| MS |
| 37,532.44 |
| 129,920.00 |
| 2/22/2011 |
| 9/17/2014 |
|
BRSBBJXL0 |
| COMMSCOPE INC. TERM LOAN |
|
|
|
|
| 1 |
|
|
| 286,385.87 |
| 99.05 |
| 285,090.66 |
| 287,825.00 |
| 286,578.13 |
| (1,487.47 | ) | 203.13 |
| — |
| — |
| 0 |
| 0.071 |
| JAJO |
| — |
| 11,324.00 |
| 1/13/2011 |
| 1/14/2018 |
|
BRS448NT2 |
| COMMUNITY HLTH SYST INC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,839,523.36 |
| 96.75 |
| 1,823,035.97 |
| 1,884,274.90 |
| 1,851,872.18 |
| (28,836.21 | ) | 12,692.34 |
| — |
| — |
| 0 |
| 0.668 |
| JD |
| — |
| 2,248.00 |
| 12/14/2010 |
| 7/25/2014 |
|
BRSAZTC86 |
| COMMUNITY HLTH SYST INC TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 5,882,142.40 |
| 96.511 |
| 5,742,210.63 |
| 5,949,799.12 |
| 5,887,860.38 |
| (145,649.75 | ) | 5,435.63 |
| — |
| — |
| 0 |
| 0.202 |
| FMAN |
| — |
| 136,616.00 |
| 6/20/2011 |
| 1/25/2017 |
|
BRS47WDF7 |
| COMMUNITY HLTH SYST INC TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 94,318.31 |
| 96.75 |
| 93,472.94 |
| 96,612.86 |
| 94,951.47 |
| (1,478.53 | ) | 657.67 |
| — |
| — |
| 0 |
| 0.668 |
| JD |
| — |
| 43,850.00 |
| 12/14/2010 |
| 7/25/2014 |
|
20825CAM6 |
| CONOCOPHILLIPS CORP BND |
|
|
|
|
|
|
|
|
| 5,200,870.80 |
| 105.048 |
| 5,084,337.82 |
| 4,840,000.00 |
| 5,045,986.27 |
| 38,351.55 |
| (111,526.95 | ) | — |
| — |
| 4.4 |
| 1.256 |
| MN |
| 27,211.55 |
| 185,130.00 |
| 10/14/2011 |
| 5/15/2013 |
|
20825CAE4 |
| CONOCOPHILLIPS CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,062,372.20 |
| 103.165 |
| 1,031,647.14 |
| 1,000,000.00 |
| 1,025,696.21 |
| 5,950.93 |
| (72,268.00 | ) | — |
| — |
| 4.75 |
| 1.452 |
| AO |
| 10,027.78 |
| 47,500.00 |
| 11/12/2010 |
| 10/15/2012 |
|
20825CAT1 |
| CONOCOPHILLIPS CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,767,478.00 |
| 110.624 |
| 7,245,851.04 |
| 6,550,000.00 |
| 6,687,191.62 |
| 558,659.42 |
| (42,535.12 | ) | — |
| — |
| 4.6 |
| 3.855 |
| JJ |
| 138,932.78 |
| 301,300.00 |
| 1/27/2010 |
| 1/15/2015 |
|
209111EW9 |
| CONSOLIDATED EDISON CO OF NY CORP BND |
|
|
|
|
|
|
|
|
| 436,497.60 |
| 109.598 |
| 438,393.83 |
| 400,000.00 |
| 419,229.86 |
| 19,163.97 |
| (8,098.70 | ) | — |
| — |
| 5.55 |
| 3.313 |
| AO |
| 5,550.00 |
| 22,200.00 |
| 10/29/2009 |
| 4/1/2014 |
|
F61115FA8 |
| COUNCIL OF EUROPE DEVELOPMENT CORP BND |
|
|
| F |
|
|
|
|
| 7,479,500.00 |
| 104.26 |
| 7,298,200.14 |
| 7,000,000.00 |
| 7,337,437.16 |
| (39,237.02 | ) | (230,977.70 | ) | — |
| — |
| 4.25 |
| 0.534 |
| APR |
| 205,770.83 |
| — |
| 6/8/2011 |
| 4/22/2013 |
|
22238HGQ7 |
| COUNTRYWIDE FINANCIAL CORP CORP BND MTn |
|
|
|
|
|
|
|
|
| 212,574.00 |
| 100.208 |
| 200,415.83 |
| 200,000.00 |
| 202,164.72 |
| (1,748.89 | ) | (4,903.83 | ) | — |
| — |
| 5.8 |
| 3.252 |
| JD |
| 773.33 |
| 11,600.00 |
| 10/29/2009 |
| 6/7/2012 |
|
BRSBHN254 |
| CPG INTERNATIONAL I INC TERM LOAN |
|
|
|
|
| 2 |
| 1Z |
| 1,182,060.00 |
| 93 |
| 1,104,840.00 |
| 1,188,000.00 |
| 1,182,886.17 |
| (78,046.17 | ) | 886.17 |
| — |
| — |
| 0 |
| 0.083 |
| FMAN |
| — |
| 33,080.00 |
| 2/16/2011 |
| 2/18/2017 |
|
22541LBK8 |
| CREDIT SUISSE FIRST BOSTON CORP BND |
|
|
|
|
|
|
|
|
| 4,276,160.00 |
| 104.305 |
| 4,172,182.92 |
| 4,000,000.00 |
| 4,264,985.64 |
| (92,802.72 | ) | (11,174.36 | ) | — |
| — |
| 5.125 |
| 3.174 |
| FA |
| 77,444.44 |
| — |
| 10/28/2011 |
| 8/15/2015 |
|
22546QAE7 |
| CREDIT SUISSE FIRST BOSTON CORP BND |
|
|
| F |
|
|
| 1FE |
| 1,996,820.00 |
| 98.825 |
| 1,976,506.96 |
| 2,000,000.00 |
| 1,997,886.19 |
| (21,379.23 | ) | 1,768.19 |
| — |
| — |
| 3.5 |
| 3.535 |
| MS |
| 19,055.56 |
| 70,000.00 |
| 3/18/2010 |
| 3/23/2015 |
|
22546QAA5 |
| CREDIT SUISSE GROUP CORP BND |
|
|
| F |
|
|
| 1FE |
| 2,186,460.00 |
| 103.503 |
| 2,070,065.00 |
| 2,000,000.00 |
| 2,113,082.90 |
| (43,017.90 | ) | (46,124.73 | ) | — |
| — |
| 5.5 |
| 2.972 |
| MN |
| 18,333.33 |
| 110,000.00 |
| 5/19/2010 |
| 5/1/2014 |
|
22546QAG2 |
| CREDIT SUISSE NEW YORK NY CORP BND |
|
|
| F |
|
|
|
|
| 5,800,000.00 |
| 96.784 |
| 5,613,471.83 |
| 5,800,000.00 |
| 5,800,000.00 |
| (186,528.17 | ) | — |
| — |
| — |
| 1.361 |
| 1.263 |
| JAJO |
| 17,320.34 |
| 54,426.00 |
| 1/11/2011 |
| 1/14/2014 |
|
22546QAH0 |
| CREDIT SUISSE NEW YORK NY CORP BND |
|
|
| E |
|
|
|
|
| 1,997,580.00 |
| 97.539 |
| 1,950,785.06 |
| 2,000,000.00 |
| 1,998,340.73 |
| (47,555.67 | ) | 760.73 |
| — |
| — |
| 2.2 |
| 2.242 |
| JJ |
| 20,411.11 |
| 22,000.00 |
| 1/11/2011 |
| 1/14/2014 |
|
126408GB3 |
| CSX CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 1,905,408.00 |
| 101.079 |
| 1,819,426.93 |
| 1,800,000.00 |
| 1,819,443.56 |
| (16.63 | ) | (85,964.44 | ) | — |
| — |
| 6.3 |
| 0.961 |
| MS |
| 33,390.00 |
| 113,400.00 |
| 2/2/2011 |
| 3/15/2012 |
|
BRSCHJ8S5 |
| CUMULUS MED INC. TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 6,090,500.00 |
| 97.893 |
| 6,069,366.00 |
| 6,200,000.00 |
| 6,094,500.38 |
| (25,134.38 | ) | 4,016.26 |
| — |
| — |
| 0 |
| 0.254 |
| MAT |
| — |
| 88,518.00 |
| 9/27/2011 |
| 9/16/2018 |
|
126650AV2 |
| CVS CAREMARK CORP CORP BND |
|
|
|
|
|
|
| 2FE |
| 4,146,187.50 |
| 109.439 |
| 4,103,970.34 |
| 3,750,000.00 |
| 4,015,800.04 |
| 88,170.30 |
| (118,748.60 | ) | — |
| — |
| 4.875 |
| 2.161 |
| MS |
| 53,828.13 |
| 182,813.00 |
| 8/10/2010 |
| 9/15/2014 |
|
12668AZL2 |
| CWALT CMO_05-64CB 1A |
|
|
|
|
| 2 |
|
|
| 463,047.76 |
| 89.5 |
| 422,481.30 |
| 472,046.15 |
| 462,573.21 |
| (40,091.91 | ) | 8,041.22 |
| — |
| — |
| 5.5 |
| 5.885 |
| MON |
| 2,163.54 |
| 26,038.00 |
| 1/2/2008 |
| 12/25/2035 |
|
233851AC8 |
| DAIMLER FINANCE NORTH AMERICA CORP BND |
|
|
|
|
|
|
|
|
| 7,500,000.00 |
| 96.505 |
| 7,237,874.78 |
| 7,500,000.00 |
| 7,500,000.00 |
| (262,125.22 | ) | — |
| — |
| — |
| 1.184 |
| 0.919 |
| MJSD |
| 970.29 |
| 70,901.00 |
| 3/21/2011 |
| 3/28/2014 |
|
233851AH7 |
| DAIMLER FINANCE NORTH AMERICA CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,954,500.00 |
| 99.496 |
| 6,964,724.97 |
| 7,000,000.00 |
| 6,957,058.97 |
| 7,666.00 |
| 2,925.21 |
| — |
| — |
| 2.625 |
| 2.765 |
| MS |
| 54,614.58 |
| — |
| 9/7/2011 |
| 9/15/2016 |
|
BRSC8YXG0 |
| DAIMLER INTERNATIONAL FINANCE SENIOR |
|
|
| D |
|
|
|
|
| 956,732.04 |
| 100.31 |
| 935,350.53 |
| 600,000.00 |
| 956,760.67 |
| (21,410.14 | ) | 28.63 |
| — |
| (24,533.86 | ) | 2.125 |
| 2.135 |
| DEC |
| 1,191.05 |
| 9,713.00 |
| 11/9/2011 |
| 12/10/2013 |
|
235851AJ1 |
| DANAHER CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 3,900,000.00 |
| 100.146 |
| 3,905,694.42 |
| 3,900,000.00 |
| 3,900,000.00 |
| 5,694.42 |
| — |
| — |
| — |
| 0.817 |
| 0.496 |
| MJSD |
| 973.53 |
| 10,771.00 |
| 6/20/2011 |
| 6/21/2013 |
|
235851AL6 |
| DANAHER CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,993,600.00 |
| 103.499 |
| 4,139,946.60 |
| 4,000,000.00 |
| 3,994,237.30 |
| 145,709.30 |
| 637.30 |
| — |
| — |
| 2.3 |
| 2.334 |
| JD |
| 2,044.45 |
| 46,000.00 |
| 6/20/2011 |
| 6/23/2016 |
|
23636UAA5 |
| DANSKE BANK A/S CORP BND GOVT GUAR 144A |
|
|
| F |
|
|
| 1FE |
| 3,245,222.50 |
| 100.635 |
| 3,270,651.35 |
| 3,250,000.00 |
| 3,249,379.04 |
| 21,272.31 |
| 2,946.61 |
| — |
| — |
| 2.5 |
| 2.554 |
| MN |
| 11,510.42 |
| 81,250.00 |
| 6/23/2009 |
| 5/10/2012 |
|
BRSB5HTC6 |
| DARLING INTL INC. LN1 TERM LOAN |
|
|
|
|
|
|
| 1Z |
| 35,844.84 |
| 100.083 |
| 36,029.88 |
| 36,000.00 |
| 35,849.91 |
| 179.97 |
| 160.22 |
| — |
| — |
| 0 |
| 0.084 |
| MJSD |
| — |
| 652.00 |
| 11/1/2011 |
| 12/6/2016 |
|
BRSBBCSA5 |
| DARLING INTL INC. TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 1,489.69 |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 170.00 |
| 00/00/0000 |
| 12/17/2016 |
|
254683AQ8 |
| DCENT ABS_11-2A A |
|
|
|
|
| 2 |
|
|
| 1,400,000.00 |
| 100.11 |
| 1,401,544.50 |
| 1,400,000.00 |
| 1,400,000.00 |
| 1,544.50 |
| — |
| — |
| — |
| 0.488 |
| 0.489 |
| MON |
| 322.82 |
| 3,164.00 |
| 5/26/2011 |
| 5/15/2013 |
|
BRSABN708 |
| DEAN FOODS COMPANY TERM LOAN |
|
|
|
|
|
|
|
|
| 2,920,451.52 |
| 96.375 |
| 2,859,813.13 |
| 2,967,380.68 |
| 2,928,027.45 |
| (68,214.32 | ) | 8,059.05 |
| — |
| — |
| 0 |
| 0.309 |
| MJSD |
| — |
| 42,811.00 |
| 5/16/2011 |
| 4/2/2016 |
|
BRSAD09Q7 |
| DEAN FOODS TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,890,320.48 |
| 97.214 |
| 1,844,573.32 |
| 1,897,435.88 |
| 1,892,173.55 |
| (47,600.23 | ) | 2,237.67 |
| — |
| — |
| 0 |
| 0.122 |
| JAJO |
| — |
| 29,333.00 |
| 2/1/2011 |
| 4/2/2014 |
|
BRSBGXH81 |
| DEL MONTE FOODS CO TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 5,904,165.45 |
| 94.75 |
| 5,623,972.37 |
| 5,935,590.89 |
| 5,905,740.03 |
| (281,767.66 | ) | 1,649.14 |
| — |
| — |
| 0 |
| 0.078 |
| FMAN |
| — |
| 85,323.00 |
| 8/29/2011 |
| 3/8/2018 |
|
24702RAP6 |
| DELL INC CORP BND |
|
|
|
|
|
|
|
|
| 6,668,948.00 |
| 104.92 |
| 6,872,253.38 |
| 6,550,000.00 |
| 6,655,251.35 |
| 217,002.03 |
| (13,696.65 | ) | — |
| — |
| 3.1 |
| 2.697 |
| AO |
| 50,762.50 |
| 102,089.00 |
| 5/24/2011 |
| 4/1/2016 |
|
BRSC106K2 |
| DELPHI CORP LN1 TERM LOAN |
|
|
|
|
| 2 |
| 1FE |
| 811,650.00 |
| 99.5 |
| 809,615.79 |
| 813,684.21 |
| 811,860.14 |
| (2,244.35 | ) | 675.93 |
| — |
| — |
| 0 |
| 0.042 |
| FMAN |
| — |
| 16,594.00 |
| 5/13/2011 |
| 3/31/2017 |
|
BRSBWG6S8 |
| DELTA AIR LINES INC. TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 4,417,837.50 |
| 94.25 |
| 4,220,043.75 |
| 4,477,500.00 |
| 4,424,313.52 |
| (204,269.77 | ) | 6,813.52 |
| — |
| — |
| 0 |
| 0.222 |
| JAJO |
| — |
| 111,165.00 |
| 5/13/2011 |
| 4/20/2017 |
|
2515A0T45 |
| DEUTSCHE BK LDN CORP BND |
|
|
| F |
|
|
| 1FE |
| 999,020.00 |
| 99.375 |
| 993,750.61 |
| 1,000,000.00 |
| 999,656.55 |
| (5,905.94 | ) | 326.39 |
| — |
| — |
| 2.375 |
| 2.409 |
| JJ |
| 11,215.28 |
| 23,750.00 |
| 1/5/2010 |
| 1/11/2013 |
|
F43568SJ8 |
| DEXIA MUNICIPAL AGENCY CORP BND EMTN |
|
|
| F |
|
|
|
|
| 6,205,625.04 |
| 98.437 |
| 5,906,200.80 |
| 6,000,000.00 |
| 6,055,433.82 |
| (149,233.02 | ) | (316,239.51 | ) | — |
| — |
| 5.125 |
| 2.803 |
| MAY |
| 180,229.17 |
| 307,500.00 |
| 11/12/2010 |
| 5/31/2012 |
|
BRSBNH1C6 |
| DINEEQUITY INC |
|
|
|
|
|
|
|
|
| 2,096,273.58 |
| 98.417 |
| 2,045,866.59 |
| 2,078,773.58 |
| 2,094,190.08 |
| (48,323.49 | ) | (2,083.50 | ) | — |
| — |
| 0 |
| -0.129 |
| AO |
| — |
| 55,479.00 |
| 2/23/2011 |
| 10/1/2017 |
|
25459HAV7 |
| DIRECTV HOLDINGS LL/DIR TV FIN CORP BND |
|
|
|
|
|
|
| 2FE |
| 3,569,208.75 |
| 101.883 |
| 3,591,381.50 |
| 3,525,000.00 |
| 3,559,845.01 |
| 31,536.49 |
| (8,336.50 | ) | — |
| — |
| 3.125 |
| 2.868 |
| FA |
| 41,614.58 |
| 109,544.00 |
| 10/15/2010 |
| 2/15/2016 |
|
25459HAY1 |
| DIRECTV HOLDINGS LLC/DIRECTV F SENIOR |
|
|
|
|
|
|
| 2FE |
| 2,994,330.00 |
| 102.973 |
| 3,089,197.77 |
| 3,000,000.00 |
| 2,995,169.91 |
| 94,027.86 |
| (11,109.21 | ) | — |
| — |
| 3.5 |
| 3.542 |
| MS |
| 35,000.00 |
| 49,875.00 |
| 3/7/2011 |
| 3/1/2016 |
|
25600WAA8 |
| DNB NOR BLGKRDIT CORP BND 144A |
|
|
| F |
|
|
|
|
| 10,162,969.51 |
| 99.072 |
| 10,006,271.91 |
| 10,100,000.00 |
| 10,147,460.88 |
| (141,188.97 | ) | (24,520.72 | ) | — |
| — |
| 2.1 |
| 1.97 |
| AO |
| 45,365.83 |
| 181,650.00 |
| 7/26/2011 |
| 10/14/2015 |
|
25600WAB6 |
| DNB NOR BLGKRDIT CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 8,389,920.00 |
| 101.445 |
| 8,521,379.33 |
| 8,400,000.00 |
| 8,391,100.55 |
| 130,278.78 |
| 1,244.15 |
| — |
| — |
| 2.9 |
| 2.922 |
| MS |
| 62,253.33 |
| 121,800.00 |
| 3/22/2011 |
| 3/29/2017 |
|
BRSCCYM28 |
| DOLE FOOD CO INC. TERM LOAN |
|
|
|
|
| 1 |
|
|
| 1,103,443.22 |
| 99.354 |
| 1,104,599.47 |
| 1,111,781.58 |
| 1,103,909.20 |
| 690.27 |
| 901.56 |
| — |
| — |
| 0 |
| 0.108 |
| MAT |
| — |
| 38,830.00 |
| 6/27/2011 |
| 7/8/2018 |
|
BRSCCZ003 |
| DOLE FOOD CO INC. TERM LOAN |
|
|
|
|
| 1 |
|
|
| 2,049,251.69 |
| 99.354 |
| 2,051,399.02 |
| 2,064,737.22 |
| 2,050,117.08 |
| 1,281.94 |
| 1,674.32 |
| — |
| — |
| 0 |
| 0.108 |
| MAT |
| — |
| 21,658.00 |
| 6/27/2011 |
| 7/8/2018 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
BRS4QJJM4 |
| DOLLAR GENERAL CORPORATION LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 2,000,000.00 |
| 99.829 |
| 1,996,580.00 |
| 2,000,000.00 |
| 2,000,000.00 |
| (3,420.00 | ) | — |
| — |
| — |
| 0 |
| 0 |
| MON |
| — |
| 24,790.00 |
| 6/21/2011 |
| 7/7/2014 |
|
26138EAM1 |
| DR PEPPER SNAPPLE GROUP INC CORP BND |
|
|
|
|
|
|
| 2FE |
| 1,423,418.25 |
| 103.517 |
| 1,475,113.74 |
| 1,425,000.00 |
| 1,423,710.49 |
| 51,403.25 |
| 1,043.67 |
| — |
| — |
| 2.9 |
| 2.924 |
| JJ |
| 19,055.42 |
| 21,122.00 |
| 1/6/2011 |
| 1/15/2016 |
|
BRSCC0RV3 |
| DUCOMMUN INC TERM LOAN |
|
|
|
|
|
|
|
|
| 433,422.00 |
| 98 |
| 429,044.00 |
| 437,800.00 |
| 433,787.56 |
| (4,743.56 | ) | 387.56 |
| — |
| — |
| 0 |
| 0.172 |
| MJSD |
| — |
| 1,338.00 |
| 6/17/2011 |
| 4/15/2017 |
|
26442CAL8 |
| DUKE ENERGY CAROLINAS LLC CORP BND |
|
|
|
|
|
|
|
|
| 4,033,414.80 |
| 100.667 |
| 4,066,935.41 |
| 4,040,000.00 |
| 4,033,492.92 |
| 33,442.49 |
| 78.12 |
| — |
| — |
| 1.75 |
| 1.784 |
| JD |
| 4,516.94 |
| — |
| 12/5/2011 |
| 12/15/2016 |
|
26441CAG0 |
| DUKE ENERGY CORP CORP BND |
|
|
|
|
|
|
| 2FE |
| 4,999,750.00 |
| 100.279 |
| 5,013,925.55 |
| 5,000,000.00 |
| 4,999,755.19 |
| 14,170.36 |
| 5.19 |
| — |
| — |
| 2.15 |
| 2.151 |
| MN |
| 13,138.89 |
| — |
| 11/14/2011 |
| 11/15/2016 |
|
26442EAB6 |
| DUKE ENERGY OHIO INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,123,448.75 |
| 101.372 |
| 9,250,209.78 |
| 9,125,000.00 |
| 9,124,338.70 |
| 125,871.08 |
| 443.35 |
| — |
| — |
| 2.1 |
| 2.105 |
| JD |
| 8,516.67 |
| 191,625.00 |
| 12/14/2009 |
| 6/15/2013 |
|
BRSBK6YZ6 |
| DUNKIN BRANDS INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| (377.25 | ) | — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 1,272.00 |
| 00/00/0000 |
| 11/23/2017 |
|
BRSC529Z8 |
| DUNKIN BRANDS INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| 4,288,918.34 |
| 98.26 |
| 4,199,959.69 |
| 4,274,333.09 |
| 4,287,595.34 |
| (87,635.65 | ) | (1,323.00 | ) | — |
| — |
| 0 |
| -0.052 |
| FMAN |
| — |
| 105,327.00 |
| 6/1/2011 |
| 11/23/2017 |
|
BRSC4H8Q7 |
| EAGLE PARENT INC TERM LOAN |
|
|
|
|
|
|
|
|
| 3,152,160.00 |
| 93.8 |
| 2,986,592.00 |
| 3,184,000.00 |
| 3,154,960.61 |
| (168,368.61 | ) | 2,960.61 |
| — |
| — |
| 0 |
| 0.141 |
| FMAN |
| — |
| 55,241.00 |
| 5/11/2011 |
| 5/31/2018 |
|
273323AB1 |
| EAST LANE RE IV LTD CORP BND 144A |
|
|
| F |
|
|
|
|
| 2,000,000.00 |
| 103.108 |
| 2,062,160.00 |
| 2,000,000.00 |
| 2,000,000.00 |
| 62,160.00 |
| — |
| — |
| — |
| 6.65 |
| 6.704 |
| MJSD |
| 6,280.56 |
| 104,553.00 |
| 3/1/2011 |
| 3/13/2015 |
|
273323AA3 |
| EAST LANE RE LTD CORP BND |
|
|
| F |
|
|
|
|
| 5,000,000.00 |
| 102.198 |
| 5,109,900.00 |
| 5,000,000.00 |
| 5,000,000.00 |
| 109,900.00 |
| — |
| — |
| — |
| 5.75 |
| 5.912 |
| MJSD |
| 13,576.39 |
| 226,007.00 |
| 3/1/2011 |
| 3/14/2014 |
|
278642AA1 |
| EBAY INC. CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,993,790.00 |
| 100.139 |
| 3,004,166.34 |
| 3,000,000.00 |
| 2,996,234.66 |
| 7,931.68 |
| 2,075.90 |
| — |
| — |
| 0.875 |
| 0.946 |
| AO |
| 5,541.67 |
| 25,302.00 |
| 10/21/2010 |
| 10/15/2013 |
|
278642AB9 |
| EBAY INC. CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,586,680.00 |
| 100.313 |
| 3,611,276.10 |
| 3,600,000.00 |
| 3,589,732.70 |
| 21,543.40 |
| 2,792.83 |
| — |
| — |
| 1.625 |
| 1.703 |
| AO |
| 12,350.00 |
| 56,388.00 |
| 10/21/2010 |
| 10/15/2015 |
|
G3157R8G6 |
| EBRD CORP BND |
|
|
| D |
|
|
|
|
| 2,188,451.06 |
| 100.642 |
| 2,102,119.87 |
| 1,344,000.00 |
| 2,189,398.02 |
| (87,278.15 | ) | 1,016.59 |
| — |
| (103,419.74 | ) | 1.875 |
| 1.935 |
| DEC |
| 2,354.07 |
| 25,884.00 |
| 4/7/2011 |
| 12/10/2013 |
|
278865AK6 |
| ECOLAB INC. CORP BND |
|
|
|
|
|
|
| 2FE |
| 3,892,278.00 |
| 103.772 |
| 4,047,119.12 |
| 3,900,000.00 |
| 3,892,372.53 |
| 154,746.59 |
| 96.25 |
| — |
| — |
| 3 |
| 3.043 |
| JD |
| 7,475.00 |
| — |
| 12/5/2011 |
| 12/8/2016 |
|
G29330DW7 |
| EDF ENRGYNET LPN LOCAL BND |
|
|
| D |
|
|
|
|
| 911,019.43 |
| 110.521 |
| 944,680.18 |
| 550,000.00 |
| 911,679.44 |
| 33,000.74 |
| 319.24 |
| — |
| (58,623.26 | ) | 5.375 |
| 5.351 |
| NOV |
| 6,401.90 |
| 47,534.00 |
| 11/6/2009 |
| 11/11/2016 |
|
281379AA5 |
| EDUSA_10-1 ABS 10-1-A1 144A |
|
|
|
|
| 2 |
| 1FE |
| 861,453.35 |
| 98.918 |
| 852,132.42 |
| 861,453.35 |
| 861,453.35 |
| (9,320.93 | ) | — |
| — |
| — |
| 1.268 |
| 1.27 |
| JAJO |
| 2,063.81 |
| 9,865.00 |
| 2/23/2010 |
| 10/25/2019 |
|
BRSBLUG58 |
| EDWARDS LTD LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 129.48 |
| — |
| — |
| 5.5 |
| 0 |
| MON |
| — |
| 2,414.00 |
| 00/00/0000 |
| 5/31/2016 |
|
263534BU2 |
| EI DUPONT DE NEMOURS & CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,363,568.00 |
| 106.575 |
| 9,565,149.78 |
| 8,975,000.00 |
| 9,151,264.31 |
| 413,885.47 |
| (111,562.72 | ) | — |
| — |
| 5 |
| 3.665 |
| JJ |
| 206,923.61 |
| 448,750.00 |
| 12/21/2009 |
| 7/15/2013 |
|
263534CH0 |
| EI DUPONT DE NEMOURS & CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 11,977,313.20 |
| 100.579 |
| 12,029,248.63 |
| 11,960,000.00 |
| 11,974,479.32 |
| 54,769.31 |
| (4,251.34 | ) | — |
| — |
| 0.994 |
| 0.678 |
| MJSD |
| 2,167.69 |
| 62,683.00 |
| 10/20/2011 |
| 3/25/2014 |
|
28264QR63 |
| EKSPORTFINANS A/S CORP BND |
|
|
| F |
|
|
|
|
| 2,127,609.17 |
| 88.901 |
| 1,778,024.78 |
| 2,000,000.00 |
| 2,092,140.18 |
| (314,115.40 | ) | (34,398.83 | ) | — |
| — |
| 3 |
| 1.361 |
| MN |
| 7,333.33 |
| 60,000.00 |
| 11/12/2010 |
| 11/17/2014 |
|
28264QV27 |
| EKSPORTFINANS AS CORP BND |
|
|
| F |
|
|
|
|
| 1,520,000.00 |
| 82.399 |
| 1,647,987.70 |
| 2,000,000.00 |
| 1,526,389.14 |
| 121,598.56 |
| 6,389.14 |
| — |
| — |
| 2.375 |
| 9.018 |
| MN |
| 4,750.00 |
| — |
| 12/1/2011 |
| 5/25/2016 |
|
268317AA2 |
| ELECTRICITE DE FRANCE CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 9,449,250.00 |
| 106.509 |
| 9,159,793.95 |
| 8,600,000.00 |
| 9,046,810.42 |
| 112,983.53 |
| (291,836.93 | ) | — |
| — |
| 5.5 |
| 2.893 |
| JJ |
| 203,652.78 |
| 473,000.00 |
| 1/6/2010 |
| 1/26/2014 |
|
285661AD6 |
| ELECTRONIC DATA SYSTEMS CORP BND |
|
|
|
|
|
|
|
|
| 7,877,170.00 |
| 106.288 |
| 7,440,158.53 |
| 7,000,000.00 |
| 7,436,103.59 |
| 4,054.94 |
| (334,542.08 | ) | — |
| — |
| 6 |
| 1.985 |
| FA |
| 175,000.00 |
| 420,000.00 |
| 4/30/2010 |
| 8/1/2013 |
|
532457BE7 |
| ELI LILLY AND COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,087,017.00 |
| 107.308 |
| 2,038,844.44 |
| 1,900,000.00 |
| 2,022,660.67 |
| 16,183.77 |
| (55,212.40 | ) | — |
| — |
| 4.2 |
| 1.189 |
| MS |
| 25,491.67 |
| 79,800.00 |
| 10/28/2010 |
| 3/6/2014 |
|
BRSBYALT0 |
| EMERGENCY MEDICAL SVCS CORP TERM LOAN |
|
|
|
|
| 1 |
| 4FE |
| 4,745,167.50 |
| 97.167 |
| 4,629,035.88 |
| 4,764,000.00 |
| 4,746,690.47 |
| (117,654.59 | ) | 1,677.97 |
| — |
| — |
| 0 |
| 0.056 |
| JAJO |
| — |
| 90,462.00 |
| 6/20/2011 |
| 5/25/2018 |
|
291011AZ7 |
| EMERSON ELECTRIC CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,276,666.54 |
| 109.101 |
| 3,491,225.09 |
| 3,200,000.00 |
| 3,258,106.48 |
| 233,118.61 |
| (16,355.09 | ) | — |
| — |
| 4.125 |
| 3.535 |
| AO |
| 27,866.67 |
| 132,000.00 |
| 11/12/2010 |
| 4/15/2015 |
|
BRSC8PGF0 |
| ENDO PHARMACEUTICALS HLDGS INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| 1,878,214.31 |
| 99.891 |
| 1,876,167.06 |
| 1,878,214.31 |
| 1,878,214.31 |
| (2,047.25 | ) | — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 34,309.00 |
| 6/7/2011 |
| 6/7/2018 |
|
29268BAD3 |
| ENEL FINANCE INTERNATIONAL SA CORP BND |
|
|
| F |
|
|
| 1FE |
| 1,241,598.75 |
| 96.591 |
| 1,183,237.08 |
| 1,225,000.00 |
| 1,235,493.68 |
| (52,256.60 | ) | (8,743.26 | ) | — |
| — |
| 3.875 |
| 3.547 |
| AO |
| 11,076.04 |
| 47,469.00 |
| 3/30/2010 |
| 10/7/2014 |
|
BRSDALFV0 |
| ENTERCOM RADIO LLC TERM LOAN |
|
|
|
|
|
|
| 1Z |
| 1,171,100.00 |
| 99.589 |
| 1,190,088.55 |
| 1,195,000.00 |
| 1,171,388.29 |
| 18,700.26 |
| 288.29 |
| — |
| — |
| 0 |
| 0.286 |
| FMAN |
| — |
| 4,600.00 |
| 11/17/2011 |
| 11/17/2018 |
|
29364NAQ1 |
| ENTERGY MISSISSIPPI INC CORP BND |
|
|
|
|
| 1 |
|
|
| 1,999,700.00 |
| 102.111 |
| 2,042,220.00 |
| 2,000,000.00 |
| 1,999,760.20 |
| 42,459.80 |
| 60.20 |
| — |
| — |
| 3.25 |
| 3.253 |
| JD |
| 5,416.67 |
| 35,750.00 |
| 5/10/2011 |
| 6/1/2016 |
|
293791AN9 |
| ENTERPRISE PROD OPER LP CORP BND |
|
|
|
|
|
|
|
|
| 6,442,930.00 |
| 109.681 |
| 6,306,657.50 |
| 5,750,000.00 |
| 6,228,602.14 |
| 78,055.36 |
| (163,757.38 | ) | — |
| — |
| 5.6 |
| 2.489 |
| AO |
| 67,977.77 |
| 322,000.00 |
| 10/15/2010 |
| 10/15/2014 |
|
26884TAC6 |
| ERAC USA FINANCE COMPANY CORP BND 144A |
|
|
|
|
|
|
|
|
| 1,247,587.50 |
| 100.569 |
| 1,257,116.04 |
| 1,250,000.00 |
| 1,248,352.11 |
| 8,763.93 |
| 1,283.64 |
| — |
| — |
| 2.25 |
| 2.317 |
| JJ |
| 13,359.38 |
| 13,984.00 |
| 1/4/2011 |
| 1/10/2014 |
|
26882PAS1 |
| ERAC USA FINANCE COMPANY CORP BND 144A |
|
|
|
|
|
|
| 2FE |
| 1,640,475.00 |
| 110.056 |
| 1,650,839.09 |
| 1,500,000.00 |
| 1,597,662.58 |
| 53,176.51 |
| (27,147.61 | ) | — |
| — |
| 5.6 |
| 3.512 |
| MN |
| 14,000.00 |
| 84,000.00 |
| 5/27/2010 |
| 5/1/2015 |
|
BRS9ND148 |
| EUROPEAN INVESTMENT BANK CORP BND |
|
|
| D |
|
|
|
|
| 4,153,705.78 |
| 103.55 |
| 4,345,021.67 |
| 2,700,000.00 |
| 4,132,400.59 |
| 212,621.08 |
| (14,805.00 | ) | — |
| 127,599.91 |
| 3 |
| 2.571 |
| DEC |
| 8,622.07 |
| 126,963.00 |
| 7/12/2010 |
| 12/7/2015 |
|
298785EK8 |
| EUROPEAN INVESTMENT BANK SENIOR CORP BND |
|
|
| F |
|
|
|
|
| 9,877,400.00 |
| 102.134 |
| 9,702,730.29 |
| 9,500,000.00 |
| 9,748,921.16 |
| (46,190.87 | ) | (192,876.13 | ) | — |
| — |
| 2.875 |
| 0.684 |
| MS |
| 80,420.14 |
| 136,563.00 |
| 6/14/2011 |
| 3/15/2013 |
|
31394CGZ9 |
| FANNIE MAE FNR_05-13 CMO_05-13 PC |
|
|
|
|
| 2 |
|
|
| 400,390.12 |
| 101.765 |
| 390,025.73 |
| 383,263.05 |
| 389,462.46 |
| 563.27 |
| (18,378.72 | ) | — |
| — |
| 5 |
| -0.318 |
| MON |
| 1,596.93 |
| 15,969.00 |
| 2/4/2011 |
| 9/25/2012 |
|
31331GVD8 |
| FEDERAL FARM CRDEIT BANK AGENCY BND |
|
|
|
|
|
|
| 1 |
| 3,381,186.00 |
| 102.33 |
| 3,468,973.10 |
| 3,390,000.00 |
| 3,387,053.28 |
| 81,919.82 |
| 2,264.01 |
| — |
| — |
| 2.2 |
| 2.27 |
| AO |
| 17,194.83 |
| 74,580.00 |
| 5/4/2009 |
| 4/8/2013 |
|
31331KEF3 |
| FEDERAL FARM CRDEIT BANK AGENCY BND |
|
|
|
|
|
|
| 1 |
| 1,999,640.00 |
| 99.974 |
| 1,999,470.44 |
| 2,000,000.00 |
| 1,999,749.60 |
| (279.16 | ) | 109.60 |
| — |
| — |
| 0.255 |
| 0.177 |
| MON |
| 212.16 |
| 2,197.00 |
| 6/7/2011 |
| 4/17/2013 |
|
31331KHC7 |
| FEDERAL FARM CRDEIT BANK AGENCY BND |
|
|
|
|
|
|
| 1 |
| 1,998,404.00 |
| 99.968 |
| 1,999,362.74 |
| 2,000,000.00 |
| 1,998,882.53 |
| 480.21 |
| 478.53 |
| — |
| — |
| 0.244 |
| 0.196 |
| MON |
| 40.66 |
| 2,268.00 |
| 4/28/2011 |
| 7/29/2013 |
|
31331KHV5 |
| FEDERAL FARM CRDEIT BANK AGENCY BND |
|
|
|
|
|
|
| 1 |
| 998,457.50 |
| 99.87 |
| 998,698.84 |
| 1,000,000.00 |
| 998,595.83 |
| 103.01 |
| 138.33 |
| — |
| — |
| 0.355 |
| 0.289 |
| MON |
| 118.28 |
| 1,256.00 |
| 7/28/2011 |
| 4/20/2016 |
|
31331JG49 |
| FEDERAL FARM CRDEIT BANK AGENCY BND |
|
|
|
|
|
|
|
|
| 6,492,395.00 |
| 100.13 |
| 6,508,456.50 |
| 6,500,000.00 |
| 6,496,584.04 |
| 11,872.46 |
| 3,268.62 |
| — |
| — |
| 0.318 |
| 0.347 |
| MON |
| 977.00 |
| 17,787.00 |
| 9/17/2010 |
| 1/15/2013 |
|
31331KKH2 |
| FEDERAL FARM CRDEIT BANK AGENCY BND |
|
|
|
|
|
|
|
|
| 2,499,022.50 |
| 100 |
| 2,499,997.45 |
| 2,500,000.00 |
| 2,499,308.94 |
| 688.51 |
| 286.44 |
| — |
| — |
| 0.264 |
| 0.194 |
| MON |
| 146.44 |
| 2,943.00 |
| 5/5/2011 |
| 7/24/2013 |
|
BRS748CY6 |
| FEDERAL MOGUL CORP TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 2,154,718.54 |
| 92.281 |
| 2,087,074.39 |
| 2,261,651.26 |
| 2,165,527.16 |
| (78,452.77 | ) | 11,228.46 |
| — |
| — |
| 0 |
| 1.065 |
| MJSD |
| — |
| 23,227.00 |
| 8/23/2011 |
| 12/28/2015 |
|
BRS748CX8 |
| FEDERAL MOGUL TL B TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 4,223,248.27 |
| 92.281 |
| 4,090,665.79 |
| 4,432,836.43 |
| 4,250,518.62 |
| (159,852.83 | ) | 28,093.24 |
| — |
| — |
| 0 |
| 1.373 |
| MJSD |
| — |
| 44,095.00 |
| 8/23/2011 |
| 12/29/2014 |
|
32051GBD6 |
| FHASI_04-AR6 WHOLE CMO 04-AR6 |
|
|
|
|
| 2 |
|
|
| 151,848.53 |
| 89.711 |
| 139,210.08 |
| 155,176.33 |
| 152,329.21 |
| (13,119.13 | ) | 438.76 |
| — |
| — |
| 2.628 |
| 3.345 |
| MON |
| 339.79 |
| 4,232.00 |
| 8/10/2007 |
| 11/25/2020 |
|
313372RK2 |
| FHLB AGENCY BND |
|
|
|
|
|
|
| 1 |
| 9,032,850.00 |
| 100.956 |
| 9,086,040.09 |
| 9,000,000.00 |
| 9,020,880.85 |
| 65,159.24 |
| (11,969.15 | ) | — |
| — |
| 1 |
| 0.811 |
| MS |
| 23,500.00 |
| 55,000.00 |
| 4/12/2011 |
| 3/27/2013 |
|
313373JR4 |
| FHLB AGENCY BND |
|
|
|
|
|
|
| 1 |
| 4,079,320.87 |
| 102.177 |
| 4,097,297.78 |
| 4,010,000.00 |
| 4,068,470.75 |
| 28,827.03 |
| (10,850.12 | ) | — |
| — |
| 1.375 |
| 0.762 |
| MN |
| 5,054.27 |
| 27,569.00 |
| 7/18/2011 |
| 5/28/2014 |
|
3133XSP93 |
| FHLB AGENCY BND |
|
|
|
|
|
|
| 1 |
| 3,612,678.30 |
| 105.209 |
| 3,645,492.09 |
| 3,465,000.00 |
| 3,537,635.08 |
| 107,857.01 |
| (36,188.30 | ) | — |
| — |
| 3.125 |
| 2.022 |
| JD |
| 5,414.06 |
| 108,281.00 |
| 11/25/2009 |
| 12/13/2013 |
|
3133XUE41 |
| FHLB AGENCY BND |
|
|
|
|
|
|
| 1 |
| 12,098,988.00 |
| 101.001 |
| 12,120,165.84 |
| 12,000,000.00 |
| 12,025,098.28 |
| 95,067.56 |
| (38,706.08 | ) | — |
| — |
| 1.75 |
| 1.421 |
| FA |
| 75,250.00 |
| 210,000.00 |
| 1/28/2010 |
| 8/22/2012 |
|
3133XX7F8 |
| FHLB AGENCY BND |
|
|
|
|
|
|
| 1 |
| 9,981,800.00 |
| 101.711 |
| 10,171,099.90 |
| 10,000,000.00 |
| 9,992,693.51 |
| 178,406.39 |
| 5,886.19 |
| — |
| — |
| 1.625 |
| 1.686 |
| MS |
| 45,590.27 |
| 162,500.00 |
| 2/18/2010 |
| 3/20/2013 |
|
3133XXYX9 |
| FHLB AGENCY BND |
|
|
|
|
|
|
| 1 |
| 13,788,682.41 |
| 102.316 |
| 13,735,922.20 |
| 13,425,000.00 |
| 13,683,482.03 |
| 52,440.17 |
| (88,432.60 | ) | — |
| — |
| 1.875 |
| 0.557 |
| JD |
| 6,992.19 |
| 168,047.00 |
| 8/10/2011 |
| 6/21/2013 |
|
313372VR2 |
| FHLB AGENCY BND |
|
|
|
|
|
|
|
|
| 10,112,500.00 |
| 101.284 |
| 10,128,393.30 |
| 10,000,000.00 |
| 10,093,109.87 |
| 35,283.43 |
| (20,658.71 | ) | — |
| — |
| 1.2 |
| 0.729 |
| JD |
| 333.33 |
| 60,000.00 |
| 7/29/2011 |
| 12/30/2013 |
|
3133XWE70 |
| FHLB AGENCY BND |
|
|
|
|
|
|
|
|
| 5,742,755.00 |
| 104.746 |
| 6,022,895.58 |
| 5,750,000.00 |
| 5,745,937.63 |
| 276,957.95 |
| 1,770.74 |
| — |
| — |
| 2.5 |
| 2.53 |
| JD |
| 7,187.50 |
| 143,750.00 |
| 12/21/2009 |
| 6/13/2014 |
|
3137EACX5 |
| FHLMC AGENCY AGENCY BND |
|
|
|
|
|
|
| 1 |
| 7,975,120.00 |
| 100.018 |
| 8,001,439.84 |
| 8,000,000.00 |
| 7,976,654.61 |
| 24,785.23 |
| 1,534.61 |
| — |
| — |
| 0.375 |
| 0.536 |
| AO |
| 5,083.33 |
| — |
| 11/17/2011 |
| 10/30/2013 |
|
3128X2TM7 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 8,382,000.00 |
| 109.327 |
| 8,199,525.23 |
| 7,500,000.00 |
| 7,949,682.66 |
| 249,842.57 |
| (228,179.24 | ) | — |
| — |
| 5 |
| 2.039 |
| JJ |
| 157,291.67 |
| 375,000.00 |
| 11/30/2009 |
| 1/30/2014 |
|
3134G2U42 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 6,743,392.79 |
| 99.958 |
| 6,757,160.80 |
| 6,760,000.00 |
| 6,745,197.82 |
| 11,962.98 |
| 2,125.11 |
| — |
| — |
| 0.375 |
| 0.498 |
| AO |
| 5,351.67 |
| 478.00 |
| 10/18/2011 |
| 10/15/2013 |
|
3134G2UA8 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 16,738,282.00 |
| 101.048 |
| 16,773,966.18 |
| 16,600,000.00 |
| 16,731,946.56 |
| 42,019.62 |
| (6,335.44 | ) | — |
| — |
| 1 |
| 0.695 |
| FA |
| 71,472.21 |
| — |
| 12/21/2011 |
| 8/20/2014 |
|
3134G2WG3 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 1,704,960.60 |
| 100.373 |
| 1,706,341.15 |
| 1,700,000.00 |
| 1,704,395.85 |
| 1,945.30 |
| (643.59 | ) | — |
| — |
| 0.75 |
| 0.654 |
| MS |
| 3,506.25 |
| 1,665.00 |
| 8/24/2011 |
| 9/22/2014 |
|
3137EABX6 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 5,007,563.09 |
| 104.125 |
| 5,206,250.00 |
| 5,000,000.00 |
| 5,004,052.46 |
| 202,197.54 |
| (3,400.24 | ) | — |
| — |
| 2.5 |
| 2.459 |
| JJ |
| 60,416.67 |
| 125,000.00 |
| 2/19/2010 |
| 1/7/2014 |
|
3137EACC1 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 9,100,620.00 |
| 100.729 |
| 9,065,628.27 |
| 9,000,000.00 |
| 9,019,430.72 |
| 46,197.55 |
| (42,450.57 | ) | — |
| — |
| 1.75 |
| 1.271 |
| JD |
| 7,000.00 |
| 157,500.00 |
| 1/28/2010 |
| 6/15/2012 |
|
3137EACH0 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 8,563,258.24 |
| 106.789 |
| 8,543,120.08 |
| 8,000,000.00 |
| 8,535,889.24 |
| 7,230.84 |
| (27,369.00 | ) | — |
| — |
| 2.875 |
| 0.691 |
| FA |
| 90,722.22 |
| — |
| 11/2/2011 |
| 2/9/2015 |
|
3137EACY3 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
| 1 |
| 10,000,600.00 |
| 100.479 |
| 10,047,899.60 |
| 10,000,000.00 |
| 10,000,583.38 |
| 47,316.22 |
| 42.70 |
| — |
| — |
| 0.75 |
| 0.748 |
| MN |
| 7,500.00 |
| — |
| 11/28/2011 |
| 11/25/2014 |
|
3134G2MJ8 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
|
|
| 14,685,125.07 |
| 99.985 |
| 14,697,774.58 |
| 14,700,000.00 |
| 14,689,145.79 |
| 8,628.79 |
| 4,020.72 |
| — |
| — |
| 0.235 |
| 0.185 |
| MON |
| 1,245.35 |
| 12,536.00 |
| 6/9/2011 |
| 6/17/2013 |
|
3137EACV9 |
| FHLMC AGENCY BND |
|
|
|
|
|
|
|
|
| 5,068,250.00 |
| 101.154 |
| 5,057,699.60 |
| 5,000,000.00 |
| 5,059,629.67 |
| (1,930.07 | ) | (8,620.33 | ) | — |
| — |
| 1 |
| 0.547 |
| FA |
| 17,222.22 |
| 7,222.00 |
| 8/9/2011 |
| 8/27/2014 |
|
31396UWM8 |
| FHLMC AGENCY CMO 3184 FA |
|
|
|
|
| 2 |
|
|
| 2,168,349.62 |
| 99.688 |
| 2,163,951.19 |
| 2,170,723.85 |
| 2,169,065.51 |
| (5,114.32 | ) | 831.85 |
| — |
| — |
| 0.428 |
| 0.495 |
| MON |
| 413.21 |
| 8,249.00 |
| 4/23/2010 |
| 10/15/2014 |
|
31398EXU3 |
| FHLMC AGENCY CMO 3566-DE |
|
|
|
|
| 2 |
|
|
| 3,082,251.16 |
| 101.492 |
| 3,007,023.51 |
| 2,962,812.77 |
| 3,041,930.16 |
| (34,906.65 | ) | (93,398.37 | ) | — |
| — |
| 4 |
| -0.186 |
| MON |
| 9,876.04 |
| 79,008.00 |
| 4/6/2011 |
| 7/15/2013 |
|
31396CLF5 |
| FHLMC AGENCY CMO_3054 DW |
|
|
|
|
| 2 |
|
|
| 126,791.09 |
| 105.807 |
| 134,658.82 |
| 127,268.35 |
| 126,864.94 |
| 7,793.88 |
| 143.44 |
| — |
| — |
| 5.5 |
| 5.661 |
| MON |
| 583.31 |
| 7,000.00 |
| 6/17/2008 |
| 1/15/2015 |
|
3133TJP56 |
| FHLMC CMO AGENCY CMO_2130 QS |
|
|
|
|
| 2 |
|
|
| 1,962,984.64 |
| 110.341 |
| 2,135,935.38 |
| 1,935,762.97 |
| 1,960,043.99 |
| 175,891.39 |
| (10,196.60 | ) | — |
| — |
| 6 |
| 5.564 |
| MON |
| 9,678.81 |
| 116,146.00 |
| 2/6/2007 |
| 7/15/2026 |
|
31393RDQ0 |
| FHLMC CMO_2613 BV |
|
|
|
|
| 2 |
|
|
| 3,765,319.21 |
| 104.56 |
| 3,756,528.31 |
| 3,592,701.14 |
| 3,719,642.53 |
| 36,885.78 |
| (126,072.25 | ) | — |
| — |
| 5 |
| 0.532 |
| MON |
| 14,969.59 |
| 134,726.00 |
| 2/24/2011 |
| 2/15/2014 |
|
31397Y5H0 |
| FHLMC CMO_3484 DA |
|
|
|
|
| 2 |
| 1 |
| 2,987,499.10 |
| 104.434 |
| 2,999,053.34 |
| 2,871,732.38 |
| 2,940,515.57 |
| 58,537.77 |
| (74,761.52 | ) | — |
| — |
| 5 |
| 2.34 |
| MON |
| 11,965.54 |
| 143,587.00 |
| 6/1/2009 |
| 7/15/2014 |
|
3137A7SR2 |
| FHLMC CMO_3824 FA |
|
|
|
|
| 2 |
|
|
| 4,583,559.96 |
| 99.698 |
| 4,569,711.60 |
| 4,583,559.96 |
| 4,583,559.96 |
| (13,848.36 | ) | — |
| — |
| — |
| 0.428 |
| 0.428 |
| MON |
| 872.51 |
| 12,722.00 |
| 2/28/2011 |
| 12/15/2017 |
|
31349UJL3 |
| FHLMC GOLD POOL # 782967 |
|
|
|
|
| 2 |
| 1 |
| 116,166.44 |
| 105.37 |
| 124,248.91 |
| 117,916.78 |
| 116,234.34 |
| 8,014.57 |
| 357.74 |
| — |
| — |
| 2.497 |
| 2.761 |
| MON |
| 245.37 |
| 2,968.00 |
| 9/30/2008 |
| 1/1/2035 |
|
3128KWBZ5 |
| FHLMC GOLD POOL # A65456 |
|
|
|
|
| 2 |
| 1 |
| 22,308.78 |
| 111.322 |
| 23,900.90 |
| 21,470.11 |
| 22,284.31 |
| 1,616.59 |
| (307.77 | ) | — |
| — |
| 6 |
| 4.833 |
| MON |
| 107.35 |
| 1,288.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KWFX6 |
| FHLMC GOLD POOL # A65582 |
|
|
|
|
| 2 |
| 1 |
| 52,257.66 |
| 111.322 |
| 55,987.12 |
| 50,293.07 |
| 52,200.80 |
| 3,786.32 |
| (474.43 | ) | — |
| — |
| 6 |
| 4.823 |
| MON |
| 251.47 |
| 3,018.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KWFY4 |
| FHLMC GOLD POOL # A65583 |
|
|
|
|
| 2 |
| 1 |
| 75,351.88 |
| 111.322 |
| 80,729.54 |
| 72,519.12 |
| 75,270.25 |
| 5,459.29 |
| (695.98 | ) | — |
| — |
| 6 |
| 4.814 |
| MON |
| 362.60 |
| 4,351.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KWNV1 |
| FHLMC GOLD POOL # A65804 |
|
|
|
|
| 2 |
|
|
| 3,016,003.63 |
| 110.853 |
| 3,305,369.88 |
| 2,981,760.00 |
| 3,014,756.68 |
| 290,613.20 |
| (7,661.10 | ) | — |
| — |
| 6 |
| 5.594 |
| MON |
| 14,908.80 |
| 178,906.00 |
| 11/2/2007 |
| 9/1/2037 |
|
3128KWNX7 |
| FHLMC GOLD POOL # A65806 |
|
|
|
|
| 2 |
|
|
| 2,500,666.95 |
| 110.853 |
| 2,740,589.94 |
| 2,472,274.44 |
| 2,499,648.04 |
| 240,941.90 |
| (11,745.82 | ) | — |
| — |
| 6 |
| 5.567 |
| MON |
| 12,361.37 |
| 148,336.00 |
| 11/2/2007 |
| 9/1/2037 |
|
3128KWTK9 |
| FHLMC GOLD POOL # A65954 |
|
|
|
|
| 2 |
| 1 |
| 72,845.39 |
| 111.322 |
| 78,044.14 |
| 70,106.83 |
| 72,767.13 |
| 5,277.01 |
| (420.17 | ) | — |
| — |
| 6 |
| 4.741 |
| MON |
| 350.53 |
| 4,206.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KWTP8 |
| FHLMC GOLD POOL # A65958 |
|
|
|
|
| 2 |
| 1 |
| 65,031.53 |
| 111.322 |
| 69,672.65 |
| 62,586.75 |
| 64,961.40 |
| 4,711.25 |
| (344.64 | ) | — |
| — |
| 6 |
| 4.758 |
| MON |
| 312.93 |
| 3,755.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KWTZ6 |
| FHLMC GOLD POOL # A65968 |
|
|
|
|
| 2 |
| 1 |
| 48,229.42 |
| 111.322 |
| 51,671.43 |
| 46,416.30 |
| 48,177.03 |
| 3,494.40 |
| (380.15 | ) | — |
| — |
| 6 |
| 4.772 |
| MON |
| 232.08 |
| 2,785.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KWT29 |
| FHLMC GOLD POOL # A65969 |
|
|
|
|
| 2 |
| 1 |
| 48,965.68 |
| 111.322 |
| 52,460.23 |
| 47,124.88 |
| 48,912.71 |
| 3,547.52 |
| (203.26 | ) | — |
| — |
| 6 |
| 4.754 |
| MON |
| 235.62 |
| 2,828.00 |
| 2/4/2009 |
| 9/1/2037 |
|
3128KW5Q2 |
| FHLMC GOLD POOL # A66255 |
|
|
|
|
| 2 |
|
|
| 2,038,980.56 |
| 110.665 |
| 2,230,828.01 |
| 2,015,830.02 |
| 2,038,139.27 |
| 192,688.74 |
| (5,852.71 | ) | — |
| — |
| 6 |
| 5.588 |
| MON |
| 10,079.15 |
| 120,950.00 |
| 11/2/2007 |
| 9/1/2037 |
|
3128KYXE4 |
| FHLMC GOLD POOL # A67877 |
|
|
|
|
| 2 |
| 1 |
| 32,245.60 |
| 111.322 |
| 34,546.88 |
| 31,033.37 |
| 32,209.64 |
| 2,337.24 |
| (173.62 | ) | — |
| — |
| 6 |
| 4.826 |
| MON |
| 155.17 |
| 1,862.00 |
| 2/4/2009 |
| 4/1/2037 |
|
312929CM2 |
| FHLMC GOLD POOL # A82776 |
|
|
|
|
| 2 |
| 1 |
| 15,755.63 |
| 111.322 |
| 16,880.07 |
| 15,163.32 |
| 15,739.50 |
| 1,140.57 |
| (98.72 | ) | — |
| — |
| 6 |
| 4.711 |
| MON |
| 75.82 |
| 910.00 |
| 2/4/2009 |
| 1/1/2039 |
|
312930LH1 |
| FHLMC GOLD POOL # A83928 |
|
|
|
|
| 2 |
| 1 |
| 43,205.95 |
| 111.322 |
| 46,289.44 |
| 41,581.67 |
| 43,162.11 |
| 3,127.33 |
| (665.07 | ) | — |
| — |
| 6 |
| 4.73 |
| MON |
| 207.91 |
| 2,495.00 |
| 2/4/2009 |
| 1/1/2039 |
|
312930LQ1 |
| FHLMC GOLD POOL # A83935 |
|
|
|
|
| 2 |
| 1 |
| 64,223.34 |
| 111.322 |
| 68,806.77 |
| 61,808.93 |
| 64,158.54 |
| 4,648.23 |
| (353.85 | ) | — |
| — |
| 6 |
| 4.762 |
| MON |
| 309.04 |
| 3,709.00 |
| 2/4/2009 |
| 1/1/2039 |
|
312930RC6 |
| FHLMC GOLD POOL # A84083 |
|
|
|
|
| 2 |
| 1 |
| 39,625.52 |
| 111.322 |
| 42,453.48 |
| 38,135.84 |
| 39,582.55 |
| 2,870.93 |
| (229.76 | ) | — |
| — |
| 6 |
| 5.074 |
| MON |
| 190.68 |
| 2,288.00 |
| 2/4/2009 |
| 1/1/2039 |
|
312930RV4 |
| FHLMC GOLD POOL # A84100 |
|
|
|
|
| 2 |
| 1 |
| 19,008.24 |
| 111.322 |
| 20,364.82 |
| 18,293.66 |
| 18,988.84 |
| 1,375.98 |
| (129.28 | ) | — |
| — |
| 6 |
| 4.766 |
| MON |
| 91.47 |
| 1,098.00 |
| 2/4/2009 |
| 1/1/2039 |
|
312930TB6 |
| FHLMC GOLD POOL # A84146 |
|
|
|
|
| 2 |
| 1 |
| 19,054.43 |
| 111.322 |
| 20,414.29 |
| 18,338.10 |
| 19,034.98 |
| 1,379.31 |
| (144.40 | ) | — |
| — |
| 6 |
| 4.682 |
| MON |
| 91.69 |
| 1,100.00 |
| 2/4/2009 |
| 1/1/2039 |
|
31292KJH1 |
| FHLMC GOLD POOL # C02964 |
|
|
|
|
| 2 |
| 1 |
| 2,973.26 |
| 111.322 |
| 3,185.44 |
| 2,861.47 |
| 2,970.00 |
| 215.44 |
| (24.49 | ) | — |
| — |
| 6 |
| 4.75 |
| MON |
| 14.31 |
| 172.00 |
| 2/4/2009 |
| 7/1/2037 |
|
3128M4HY2 |
| FHLMC GOLD POOL # G02647 |
|
|
|
|
| 2 |
|
|
| 2,179,421.59 |
| 108.566 |
| 2,398,709.71 |
| 2,209,456.40 |
| 2,180,272.64 |
| 218,437.07 |
| 10,881.58 |
| — |
| — |
| 5.5 |
| 6.117 |
| MON |
| 10,126.68 |
| 121,520.00 |
| 4/9/2007 |
| 2/1/2037 |
|
3128M4ZG1 |
| FHLMC GOLD POOL # G03143 |
|
|
|
|
| 2 |
| 1 |
| 5,769.68 |
| 111.322 |
| 6,181.42 |
| 5,552.75 |
| 5,763.35 |
| 418.07 |
| (38.30 | ) | — |
| — |
| 6 |
| 4.758 |
| MON |
| 27.76 |
| 333.00 |
| 2/4/2009 |
| 7/1/2037 |
|
3128M5HK9 |
| FHLMC GOLD POOL # G03534 |
|
|
|
|
| 2 |
|
|
| 11,564,208.18 |
| 111.912 |
| 12,593,458.72 |
| 11,252,992.57 |
| 11,554,031.19 |
| 1,039,427.53 |
| (66,423.07 | ) | — |
| — |
| 6.5 |
| 5.489 |
| MON |
| 60,953.70 |
| 731,445.00 |
| 11/6/2007 |
| 10/1/2037 |
|
3128M6UB2 |
| FHLMC GOLD POOL # G04778 |
|
|
|
|
| 2 |
| 1 |
| 147,372.87 |
| 111.322 |
| 157,890.44 |
| 141,832.54 |
| 147,218.70 |
| 10,671.74 |
| (1,090.47 | ) | — |
| — |
| 6 |
| 4.767 |
| MON |
| 709.16 |
| 8,510.00 |
| 2/4/2009 |
| 7/1/2038 |
|
3128M7AZ9 |
| FHLMC GOLD POOL # G05124 |
|
|
|
|
| 2 |
| 1 |
| 399,599.52 |
| 111.322 |
| 428,117.77 |
| 384,576.99 |
| 399,190.94 |
| 28,926.83 |
| (3,138.10 | ) | — |
| — |
| 6 |
| 4.775 |
| MON |
| 1,922.88 |
| 23,075.00 |
| 2/4/2009 |
| 12/1/2038 |
|
3128MBBR7 |
| FHLMC GOLD POOL # G12548 |
|
|
|
|
| 2 |
|
|
| 1,567,506.24 |
| 107.784 |
| 1,685,828.58 |
| 1,564,084.80 |
| 1,566,712.51 |
| 119,116.07 |
| (1,521.42 | ) | — |
| — |
| 5.5 |
| 5.356 |
| MON |
| 7,168.72 |
| 86,025.00 |
| 3/30/2007 |
| 1/1/2022 |
|
3128MCLV5 |
| FHLMC GOLD POOL # G13740 |
|
|
|
|
| 2 |
|
|
| 1,099,833.34 |
| 107.291 |
| 1,100,255.58 |
| 1,025,485.62 |
| 1,095,686.00 |
| 4,569.58 |
| (33,271.58 | ) | — |
| — |
| 5 |
| 2.211 |
| MON |
| 4,272.86 |
| 51,274.00 |
| 9/23/2010 |
| 9/1/2021 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
3128MCRQ0 |
| FHLMC GOLD POOL # G13895 |
|
|
|
|
| 2 |
| 1 |
| 6,073,307.94 |
| 107.291 |
| 6,052,712.70 |
| 5,641,389.09 |
| 6,064,205.36 |
| (11,492.66 | ) | (24,083.40 | ) | — |
| — |
| 5 |
| 1.954 |
| MON |
| 23,505.79 |
| 23,506.00 |
| 11/10/2011 |
| 11/1/2019 |
|
3128MTB72 |
| FHLMC GOLD POOL # H00962 |
|
|
|
|
| 2 |
|
|
| 220,989.23 |
| 109.912 |
| 238,222.48 |
| 216,739.11 |
| 220,837.69 |
| 17,384.79 |
| (2,449.94 | ) | — |
| — |
| 6.5 |
| 5.503 |
| MON |
| 1,174.00 |
| 14,088.00 |
| 10/31/2007 |
| 7/1/2037 |
|
3128MTEE4 |
| FHLMC GOLD POOL # H01033 |
|
|
|
|
| 2 |
|
|
| 6,305,343.20 |
| 109.912 |
| 6,797,048.35 |
| 6,184,077.29 |
| 6,301,024.83 |
| 496,023.52 |
| (48,826.21 | ) | — |
| — |
| 6.5 |
| 5.507 |
| MON |
| 33,497.09 |
| 401,965.00 |
| 10/31/2007 |
| 7/1/2037 |
|
3128MTF29 |
| FHLMC GOLD POOL # H01085 |
|
|
|
|
| 2 |
|
|
| 2,917,802.08 |
| 109.912 |
| 3,145,339.02 |
| 2,861,686.22 |
| 2,915,844.14 |
| 229,494.88 |
| (36,439.06 | ) | — |
| — |
| 6.5 |
| 5.576 |
| MON |
| 15,500.80 |
| 186,010.00 |
| 10/31/2007 |
| 7/1/2037 |
|
3128PVWH9 |
| FHLMC GOLD POOL # J16048 |
|
|
|
|
| 2 |
|
|
| 9,340,351.34 |
| 106.657 |
| 9,430,186.88 |
| 8,841,628.25 |
| 9,330,134.30 |
| 100,052.58 |
| (22,738.64 | ) | — |
| — |
| 4 |
| 2.52 |
| MON |
| 29,472.09 |
| 117,888.00 |
| 8/2/2011 |
| 7/1/2026 |
|
3128PV4J6 |
| FHLMC GOLD POOL # J16225 |
|
|
|
|
| 2 |
|
|
| 3,294,692.04 |
| 106.657 |
| 3,326,380.40 |
| 3,118,773.71 |
| 3,291,114.94 |
| 35,265.46 |
| (10,271.06 | ) | — |
| — |
| 4 |
| 2.513 |
| MON |
| 10,395.91 |
| 41,584.00 |
| 8/2/2011 |
| 8/1/2026 |
|
3128JLHB8 |
| FHLMC POOL # 1B1225 |
|
|
|
|
| 2 |
| 1 |
| 70,665.48 |
| 105.516 |
| 75,721.86 |
| 71,763.45 |
| 70,710.67 |
| 5,011.19 |
| 161.71 |
| — |
| — |
| 2.5 |
| 2.804 |
| MON |
| 149.51 |
| 2,033.00 |
| 4/2/2007 |
| 9/1/2033 |
|
3128JMW45 |
| FHLMC POOL # 1B2566 |
|
|
|
|
| 2 |
| 1 |
| 102,736.79 |
| 106.305 |
| 110,073.24 |
| 103,544.44 |
| 102,759.85 |
| 7,313.39 |
| 83.62 |
| — |
| — |
| 2.651 |
| 2.769 |
| MON |
| 228.75 |
| 3,026.00 |
| 4/2/2007 |
| 11/1/2034 |
|
3128JMXM4 |
| FHLMC POOL # 1B2583 |
|
|
|
|
| 2 |
| 1 |
| 1,761,796.45 |
| 104.92 |
| 1,868,998.47 |
| 1,781,355.77 |
| 1,762,563.44 |
| 106,435.03 |
| 3,211.35 |
| — |
| — |
| 2.65 |
| 2.849 |
| MON |
| 3,933.83 |
| 51,931.00 |
| 9/17/2008 |
| 10/1/2034 |
|
3128JMY68 |
| FHLMC POOL # 1B2632 |
|
|
|
|
| 2 |
| 1 |
| 133,824.99 |
| 107.435 |
| 144,904.57 |
| 134,877.04 |
| 133,853.80 |
| 11,050.77 |
| 94.81 |
| — |
| — |
| 2.744 |
| 2.862 |
| MON |
| 308.42 |
| 3,656.00 |
| 4/3/2007 |
| 11/1/2034 |
|
3128JMZG5 |
| FHLMC POOL # 1B2642 |
|
|
|
|
| 2 |
| 1 |
| 181,454.82 |
| 106.279 |
| 194,363.77 |
| 182,881.34 |
| 181,494.07 |
| 12,869.70 |
| 215.80 |
| — |
| — |
| 2.657 |
| 2.778 |
| MON |
| 404.93 |
| 5,245.00 |
| 4/2/2007 |
| 11/1/2034 |
|
3128JNAL9 |
| FHLMC POOL # 1B2810 |
|
|
|
|
| 2 |
| 1 |
| 195,694.71 |
| 106.203 |
| 209,996.88 |
| 197,731.34 |
| 195,760.23 |
| 14,236.65 |
| 315.27 |
| — |
| — |
| 2.652 |
| 2.829 |
| MON |
| 436.99 |
| 5,354.00 |
| 4/2/2007 |
| 2/1/2035 |
|
3128QPU59 |
| FHLMC POOL # 1B7453 |
|
|
|
|
| 2 |
|
|
| 150,424.89 |
| 106.25 |
| 157,174.14 |
| 147,928.59 |
| 150,324.51 |
| 6,849.63 |
| (1,243.88 | ) | — |
| — |
| 6.105 |
| 5.449 |
| MON |
| 752.59 |
| 8,978.00 |
| 12/13/2007 |
| 8/1/2037 |
|
3128NCB37 |
| FHLMC POOL # 1G0058 |
|
|
|
|
| 2 |
| 1 |
| 267,875.42 |
| 104.59 |
| 280,829.10 |
| 268,504.73 |
| 267,866.61 |
| 12,962.49 |
| 266.79 |
| — |
| — |
| 2.592 |
| 2.586 |
| MON |
| 579.97 |
| 7,108.00 |
| 9/17/2008 |
| 1/1/2035 |
|
3128NCD68 |
| FHLMC POOL # 1G0125 |
|
|
|
|
| 2 |
|
|
| 2,227,062.46 |
| 106.219 |
| 2,416,145.96 |
| 2,274,688.75 |
| 2,229,663.74 |
| 186,482.22 |
| 15,267.55 |
| — |
| — |
| 2.488 |
| 2.872 |
| MON |
| 4,716.19 |
| 58,054.00 |
| 12/13/2005 |
| 3/1/2035 |
|
3128NCMS0 |
| FHLMC POOL # 1G0369 |
|
|
|
|
| 2 |
| 1 |
| 434,764.83 |
| 104.688 |
| 452,883.32 |
| 432,601.86 |
| 434,639.93 |
| 18,243.39 |
| (761.64 | ) | — |
| — |
| 2.48 |
| 2.314 |
| MON |
| 894.04 |
| 11,763.00 |
| 8/27/2008 |
| 10/1/2035 |
|
3128QJLG9 |
| FHLMC POOL # 1G1227 |
|
|
|
|
| 2 |
|
|
| 362,921.30 |
| 103.208 |
| 367,219.10 |
| 355,805.20 |
| 362,680.17 |
| 4,538.93 |
| (4,495.28 | ) | — |
| — |
| 2.646 |
| 2.001 |
| MON |
| 784.55 |
| 19,394.00 |
| 1/4/2008 |
| 10/1/2036 |
|
3128QJRN8 |
| FHLMC POOL # 1G1393 |
|
|
|
|
| 2 |
| 1 |
| 1,099,756.95 |
| 104.08 |
| 1,135,225.95 |
| 1,090,724.39 |
| 1,099,064.50 |
| 36,161.45 |
| (5,030.97 | ) | — |
| — |
| 5.436 |
| 4.886 |
| MON |
| 4,940.98 |
| 64,674.00 |
| 3/30/2007 |
| 12/1/2036 |
|
3128QJ3B0 |
| FHLMC POOL # 1G1694 |
|
|
|
|
| 2 |
|
|
| 2,090,126.97 |
| 105.5 |
| 2,238,220.30 |
| 2,121,535.63 |
| 2,090,544.04 |
| 147,676.26 |
| 13,234.14 |
| — |
| — |
| 5.202 |
| 5.555 |
| MON |
| 9,196.86 |
| 111,356.00 |
| 8/10/2007 |
| 4/1/2037 |
|
31342AZE2 |
| FHLMC POOL # 780741 |
|
|
|
|
| 2 |
| 1 |
| 653,916.34 |
| 105.063 |
| 665,899.35 |
| 633,812.59 |
| 653,243.24 |
| 12,656.11 |
| (2,342.47 | ) | — |
| — |
| 2.464 |
| 1.671 |
| MON |
| 1,301.43 |
| 16,455.00 |
| 11/16/2009 |
| 7/1/2033 |
|
31342A6F1 |
| FHLMC POOL # 780870 |
|
|
|
|
| 2 |
| 1 |
| 431,205.82 |
| 105.056 |
| 460,045.97 |
| 437,905.78 |
| 431,505.69 |
| 28,540.28 |
| 1,338.47 |
| — |
| — |
| 2.366 |
| 2.656 |
| MON |
| 863.40 |
| 11,028.00 |
| 4/2/2007 |
| 9/1/2033 |
|
31349SJK0 |
| FHLMC POOL # 781166 |
|
|
|
|
| 2 |
|
|
| 934,101.63 |
| 104.497 |
| 992,267.98 |
| 949,569.23 |
| 934,920.60 |
| 57,347.38 |
| 3,488.60 |
| — |
| — |
| 2.48 |
| 2.781 |
| MON |
| 1,962.44 |
| 23,709.00 |
| 1/9/2006 |
| 1/1/2034 |
|
31349UCW6 |
| FHLMC POOL # 782785 |
|
|
|
|
| 2 |
| 1 |
| 187,974.33 |
| 104.677 |
| 198,313.53 |
| 189,452.08 |
| 188,020.51 |
| 10,293.02 |
| 362.37 |
| — |
| — |
| 2.232 |
| 2.36 |
| MON |
| 352.38 |
| 4,449.00 |
| 4/2/2007 |
| 10/1/2034 |
|
31349UEJ3 |
| FHLMC POOL # 782837 |
|
|
|
|
| 2 |
| 1 |
| 375,805.24 |
| 105.337 |
| 398,972.79 |
| 378,759.56 |
| 375,901.96 |
| 23,070.83 |
| 414.54 |
| — |
| — |
| 2.375 |
| 2.492 |
| MON |
| 749.63 |
| 9,457.00 |
| 4/2/2007 |
| 11/1/2034 |
|
31349ULB2 |
| FHLMC POOL # 783022 |
|
|
|
|
| 2 |
| 1 |
| 369,831.95 |
| 105.334 |
| 393,038.04 |
| 373,134.18 |
| 369,943.73 |
| 23,094.31 |
| 628.03 |
| — |
| — |
| 2.49 |
| 2.627 |
| MON |
| 774.25 |
| 9,408.00 |
| 4/2/2007 |
| 2/1/2035 |
|
31295NXK9 |
| FHLMC POOL # 789682 |
|
|
|
|
| 2 |
|
|
| 41,783.26 |
| 103.049 |
| 43,305.90 |
| 42,024.58 |
| 41,791.51 |
| 1,514.39 |
| 44.89 |
| — |
| — |
| 2.352 |
| 2.429 |
| MON |
| 82.37 |
| 1,056.00 |
| 8/10/2006 |
| 9/1/2032 |
|
3128JRJS6 |
| FHLMC POOL # 847473 |
|
|
|
|
| 2 |
|
|
| 2,200,269.18 |
| 104.7 |
| 2,313,078.72 |
| 2,209,244.24 |
| 2,200,376.98 |
| 112,701.74 |
| 1,660.45 |
| — |
| — |
| 2.389 |
| 2.425 |
| MON |
| 4,398.24 |
| 56,150.00 |
| 9/26/2007 |
| 12/1/2035 |
|
3128JRKQ8 |
| FHLMC POOL # 847503 |
|
|
|
|
| 2 |
| 1 |
| 1,105,029.39 |
| 103.013 |
| 1,165,547.82 |
| 1,131,459.60 |
| 1,106,128.49 |
| 59,419.33 |
| 3,403.09 |
| — |
| — |
| 2.533 |
| 3.033 |
| MON |
| 2,388.32 |
| 30,158.00 |
| 5/31/2006 |
| 12/1/2035 |
|
3128JRPZ3 |
| FHLMC POOL # 847640 |
|
|
|
|
| 2 |
|
|
| 399,928.14 |
| 106.401 |
| 427,860.38 |
| 402,119.69 |
| 399,973.77 |
| 27,886.61 |
| 329.63 |
| — |
| — |
| 2.528 |
| 2.595 |
| MON |
| 847.13 |
| 13,111.00 |
| 11/13/2006 |
| 5/1/2036 |
|
3128JRP26 |
| FHLMC POOL # 847641 |
|
|
|
|
| 2 |
|
|
| 574,351.24 |
| 105.596 |
| 611,381.84 |
| 578,983.11 |
| 574,511.94 |
| 36,869.90 |
| 1,042.67 |
| — |
| — |
| 2.529 |
| 2.656 |
| MON |
| 1,220.21 |
| 14,686.00 |
| 11/13/2006 |
| 12/1/2033 |
|
3128JR6Z4 |
| FHLMC POOL # 848088 |
|
|
|
|
| 2 |
| 1 |
| 9,644,228.16 |
| 105.346 |
| 9,668,816.44 |
| 9,178,150.23 |
| 9,636,744.80 |
| 32,071.64 |
| (79,010.76 | ) | — |
| — |
| 2.479 |
| 1.371 |
| MON |
| 18,960.53 |
| 172,205.00 |
| 3/8/2011 |
| 4/1/2035 |
|
31397B7F2 |
| FHLMC 3221 CMO 3211 QD |
|
|
|
|
| 2 |
| 1 |
| 1,156,714.04 |
| 103.062 |
| 1,189,653.05 |
| 1,154,312.61 |
| 1,153,542.08 |
| 36,110.97 |
| (35.99 | ) | — |
| — |
| 5.5 |
| 5.357 |
| MON |
| 5,290.60 |
| 63,487.00 |
| 4/19/2007 |
| 8/15/2013 |
|
31397JAJ3 |
| FHLMC 3346A AGENCY CMO 3335 |
|
|
|
|
| 2 |
| 1 |
| 353,344.42 |
| 99.813 |
| 352,654.35 |
| 353,316.82 |
| 353,343.12 |
| (688.77 | ) | (6.27 | ) | — |
| — |
| 0.428 |
| 0.425 |
| MON |
| 67.26 |
| 549.00 |
| 7/22/2011 |
| 7/15/2018 |
|
31397JAB0 |
| FHLMC 3346A AGNECY CMO 3335-AF |
|
|
|
|
| 2 |
|
|
| 915,894.74 |
| 99.244 |
| 908,900.67 |
| 915,823.20 |
| 915,891.55 |
| (6,990.88 | ) | (13.32 | ) | — |
| — |
| 0.428 |
| 0.425 |
| MON |
| 174.33 |
| 1,423.00 |
| 7/22/2011 |
| 9/15/2018 |
|
31395VGR4 |
| FHR AGENCY CMO 2989 WD |
|
|
|
|
| 2 |
|
|
| 386,142.89 |
| 101.73 |
| 390,503.07 |
| 383,863.70 |
| 383,241.61 |
| 7,261.46 |
| (621.83 | ) | — |
| — |
| 5.5 |
| 5.292 |
| MON |
| 1,759.38 |
| 21,113.00 |
| 10/8/2008 |
| 5/15/2012 |
|
31397G7M6 |
| FHRR CMO R011 AB |
|
|
|
|
| 2 |
| 1 |
| 2,339,848.75 |
| 104.408 |
| 2,422,549.95 |
| 2,320,271.46 |
| 2,326,578.45 |
| 95,971.50 |
| (6,358.96 | ) | — |
| — |
| 5.5 |
| 4.826 |
| MON |
| 10,634.58 |
| 127,615.00 |
| 9/4/2008 |
| 8/15/2013 |
|
BRSDJHFH1 |
| FIDELITY NATIONAL INFORMATION TERM LOAN |
|
|
|
|
|
|
| 1Z |
| 533,418.61 |
| 99.765 |
| 537,540.48 |
| 538,806.68 |
| 533,418.61 |
| 4,121.87 |
| — |
| — |
| — |
| 0 |
| 0.224 |
| JAJO |
| — |
| — |
| 12/9/2011 |
| 7/8/2016 |
|
31737UAE8 |
| FINANCE FOR DANISH IND SENIOR CORP BND |
|
|
| F |
|
|
|
|
| 14,740,425.00 |
| 99.963 |
| 14,694,560.56 |
| 14,700,000.00 |
| 14,720,946.53 |
| (26,385.97 | ) | (19,478.47 | ) | — |
| — |
| 0.758 |
| 0.382 |
| MJSD |
| 8,050.94 |
| 78,780.00 |
| 2/14/2011 |
| 12/6/2012 |
|
BRS59XBE5 |
| FIRST DATA CORPORATION TERM LOAN |
|
|
|
|
| 2 |
|
|
| 3,610,894.82 |
| 90.563 |
| 3,510,043.18 |
| 3,875,802.68 |
| 3,666,084.22 |
| (156,041.04 | ) | 63,939.88 |
| — |
| — |
| 0 |
| 2.019 |
| MON |
| — |
| 86,800.00 |
| 6/2/2011 |
| 9/24/2014 |
|
BRSBT2DD8 |
| FIRST DATA CORPORATION TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 2,513,750.00 |
| 83.472 |
| 2,504,160.00 |
| 3,000,000.00 |
| 2,531,703.83 |
| (27,543.83 | ) | 17,953.83 |
| — |
| — |
| 0 |
| 2.684 |
| MJSD |
| — |
| 34,878.00 |
| 10/4/2011 |
| 3/26/2018 |
|
32113CAV2 |
| FIRST NATIONAL MASTER NOTE TRU ABS |
|
|
|
|
| 2 |
| 1FE |
| 2,220,796.88 |
| 100.407 |
| 2,208,953.96 |
| 2,200,000.00 |
| 2,209,967.69 |
| (1,013.73 | ) | (10,829.19 | ) | — |
| — |
| 1.628 |
| 0.8 |
| MON |
| 1,691.62 |
| 20,360.00 |
| 5/27/2011 |
| 7/16/2012 |
|
BRSDH9178 |
| FLEETPRIDE TERM LOAN |
|
|
|
|
|
|
|
|
| 833,000.00 |
| 99.063 |
| 842,035.50 |
| 850,000.00 |
| 833,154.03 |
| 8,881.47 |
| 154.03 |
| — |
| — |
| 0 |
| 0.333 |
| FMAN |
| — |
| — |
| 11/30/2011 |
| 12/6/2017 |
|
341081EN3 |
| FLORIDA POWER & LIGHT CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,779,404.80 |
| 104.363 |
| 2,838,674.82 |
| 2,720,000.00 |
| 2,734,670.64 |
| 104,004.18 |
| (12,948.35 | ) | — |
| — |
| 4.85 |
| 4.335 |
| FA |
| 54,966.67 |
| 131,920.00 |
| 4/25/2008 |
| 2/1/2013 |
|
31359MA45 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 10,962,357.43 |
| 113.901 |
| 11,379,469.78 |
| 10,000,000.00 |
| 10,631,424.59 |
| 748,045.19 |
| (187,983.93 | ) | — |
| — |
| 5 |
| 2.972 |
| AO |
| 105,555.56 |
| 500,000.00 |
| 2/19/2010 |
| 4/15/2015 |
|
31359MRK1 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 3,126,550.66 |
| 105.193 |
| 3,155,789.79 |
| 3,000,000.00 |
| 3,054,293.33 |
| 101,496.46 |
| (52,381.95 | ) | — |
| — |
| 4.625 |
| 3.225 |
| MN |
| 23,125.00 |
| 138,750.00 |
| 2/19/2010 |
| 5/1/2013 |
|
31359MZC0 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 5,904,904.90 |
| 113.103 |
| 5,994,458.84 |
| 5,300,000.00 |
| 5,743,755.71 |
| 250,703.13 |
| (111,424.12 | ) | — |
| — |
| 4.375 |
| 2.065 |
| AO |
| 48,951.39 |
| 231,875.00 |
| 7/16/2010 |
| 10/15/2015 |
|
3135G0CL5 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 14,292,278.00 |
| 99.986 |
| 14,297,934.51 |
| 14,300,000.00 |
| 14,293,929.03 |
| 4,005.48 |
| 2,470.74 |
| — |
| — |
| 0.376 |
| 0.406 |
| FMAN |
| 6,713.14 |
| — |
| 12/14/2011 |
| 5/17/2013 |
|
31398A4M1 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 8,783,730.00 |
| 102.84 |
| 9,255,599.64 |
| 9,000,000.00 |
| 8,817,421.11 |
| 438,178.53 |
| 36,487.55 |
| — |
| — |
| 1.625 |
| 2.182 |
| AO |
| 26,406.25 |
| 146,250.00 |
| 4/4/2011 |
| 10/26/2015 |
|
31398AT44 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 37,769,600.00 |
| 101.796 |
| 37,664,519.26 |
| 37,000,000.00 |
| 37,569,983.65 |
| 94,535.61 |
| (210,492.71 | ) | — |
| — |
| 1.5 |
| 0.457 |
| JD |
| 7,708.33 |
| 555,000.00 |
| 6/23/2011 |
| 6/26/2013 |
|
31398AU34 |
| FNMA AGENCY BND |
|
|
|
|
|
|
| 1 |
| 6,730,020.00 |
| 105.584 |
| 7,126,920.00 |
| 6,750,000.00 |
| 6,735,740.25 |
| 391,179.75 |
| 3,774.85 |
| — |
| — |
| 2.375 |
| 2.437 |
| JJ |
| 68,132.81 |
| 160,313.00 |
| 6/10/2010 |
| 7/28/2015 |
|
3135G0EE9 |
| FNMA AGENCY BND |
|
|
|
|
| 1 |
|
|
| 7,997,600.00 |
| 100 |
| 8,000,000.00 |
| 8,000,000.00 |
| 7,997,825.19 |
| 2,174.81 |
| 225.19 |
| — |
| — |
| 0.6 |
| 0.615 |
| AO |
| 8,933.33 |
| — |
| 10/5/2011 |
| 10/24/2013 |
|
3135G0EL3 |
| FNMA AGENCY BND |
|
|
|
|
| 1 |
|
|
| 6,399,360.00 |
| 100.175 |
| 6,411,200.00 |
| 6,400,000.00 |
| 6,399,418.43 |
| 11,781.57 |
| 58.43 |
| — |
| — |
| 0.6 |
| 0.605 |
| AO |
| 7,040.00 |
| — |
| 10/25/2011 |
| 10/25/2013 |
|
3136FREN9 |
| FNMA AGENCY BND |
|
|
|
|
| 1 |
|
|
| 5,046,093.75 |
| 100.493 |
| 5,024,651.40 |
| 5,000,000.00 |
| 5,018,192.62 |
| 6,458.78 |
| (27,901.13 | ) | — |
| — |
| 2 |
| 0.703 |
| AO |
| 21,666.67 |
| 50,000.00 |
| 7/25/2011 |
| 4/13/2012 |
|
3136FRX73 |
| FNMA AGENCY BND |
|
|
|
|
| 1 |
|
|
| 6,999,930.00 |
| 99.869 |
| 6,990,858.00 |
| 7,000,000.00 |
| 6,999,935.39 |
| (9,077.39 | ) | 5.39 |
| — |
| — |
| 1 |
| 1 |
| MS |
| 21,777.78 |
| — |
| 8/31/2011 |
| 9/9/2015 |
|
31398A2W1 |
| FNMA AGENCY BND |
|
|
|
|
|
|
|
|
| 1,953,022.50 |
| 101.825 |
| 1,985,587.44 |
| 1,950,000.00 |
| 1,950,000.00 |
| 35,587.44 |
| (1,088.10 | ) | — |
| — |
| 1.35 |
| 0.968 |
| FA |
| 9,286.88 |
| 26,325.00 |
| 9/24/2010 |
| 2/24/2014 |
|
31398AD33 |
| FNMA AGENCY BND |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| (7,619.70 | ) | — |
| — |
| 2.125 |
| 0 |
| JJ |
| — |
| 139,942.00 |
| 00/00/0000 |
| 1/25/2013 |
|
31398AE24 |
| FNMA AGENCY BND |
|
|
|
|
|
|
|
|
| 2,995,680.00 |
| 101.713 |
| 3,051,390.15 |
| 3,000,000.00 |
| 2,998,376.48 |
| 53,013.67 |
| 1,396.08 |
| — |
| — |
| 1.75 |
| 1.798 |
| FA |
| 18,812.50 |
| 52,500.00 |
| 1/14/2010 |
| 2/22/2013 |
|
31398AHZ8 |
| FNMA AGENCY BND |
|
|
|
|
|
|
|
|
| 8,242,536.00 |
| 103.962 |
| 8,316,932.72 |
| 8,000,000.00 |
| 8,046,707.11 |
| 270,225.61 |
| (153,389.65 | ) | — |
| — |
| 4.75 |
| 4.069 |
| MN |
| 44,333.34 |
| 380,000.00 |
| 11/30/2007 |
| 11/19/2012 |
|
31398AJ94 |
| FNMA AGENCY BND |
|
|
|
|
|
|
|
|
| 4,991,950.00 |
| 102.025 |
| 5,101,249.70 |
| 5,000,000.00 |
| 4,996,474.69 |
| 104,775.01 |
| 2,557.70 |
| — |
| — |
| 1.75 |
| 1.803 |
| MN |
| 13,125.01 |
| 87,500.00 |
| 3/11/2010 |
| 5/7/2013 |
|
31394BPP3 |
| FNMA AGENCY CMO 04-88 HA |
|
|
|
|
| 2 |
|
|
| 37,813.28 |
| 107.457 |
| 39,294.43 |
| 36,567.70 |
| 37,244.05 |
| 2,050.38 |
| (759.37 | ) | — |
| — |
| 6.5 |
| 5.194 |
| MON |
| 198.08 |
| 2,377.00 |
| 1/14/2008 |
| 12/25/2015 |
|
31398T6X4 |
| FNMA CMO 10-113 FA |
|
|
|
|
| 2 |
|
|
| 4,541,086.86 |
| 99.766 |
| 4,541,112.58 |
| 4,551,755.04 |
| 4,541,664.35 |
| (551.77 | ) | 2,300.97 |
| — |
| — |
| 0.694 |
| 0.774 |
| MON |
| 526.18 |
| 11,919.00 |
| 8/10/2011 |
| 5/25/2033 |
|
31394DA42 |
| FNMA CMO 05-48 AR |
|
|
|
|
| 2 |
|
|
| 208,144.06 |
| 109.476 |
| 226,242.08 |
| 206,658.71 |
| 207,647.15 |
| 18,594.93 |
| (483.43 | ) | — |
| — |
| 5.5 |
| 5.252 |
| MON |
| 947.19 |
| 11,366.00 |
| 12/20/2007 |
| 11/25/2019 |
|
31396L5J5 |
| FNMA CMO 06-129 FA |
|
|
|
|
| 2 |
|
|
| 1,796,842.17 |
| 99.342 |
| 1,786,137.08 |
| 1,797,965.90 |
| 1,796,989.18 |
| (10,852.10 | ) | 1,047.86 |
| — |
| — |
| 0.494 |
| 0.526 |
| MON |
| 147.91 |
| 5,670.00 |
| 3/23/2011 |
| 12/25/2015 |
|
31371NAC9 |
| FNMA POOL # 256603 |
|
|
|
|
| 2 |
| 1 |
| 935,873.66 |
| 108.493 |
| 1,014,409.07 |
| 934,997.09 |
| 935,513.48 |
| 78,895.59 |
| (380.62 | ) | — |
| — |
| 5.5 |
| 5.34 |
| MON |
| 4,285.40 |
| 51,425.00 |
| 7/17/2008 |
| 2/1/2022 |
|
31371NE35 |
| FNMA POOL # 256754 |
|
|
|
|
| 2 |
|
|
| 366,069.13 |
| 108.493 |
| 374,679.65 |
| 345,348.24 |
| 364,696.38 |
| 9,983.27 |
| (9,411.04 | ) | — |
| — |
| 5.5 |
| 2.53 |
| MON |
| 1,582.85 |
| 18,994.00 |
| 9/29/2009 |
| 6/1/2022 |
|
31385W2S7 |
| FNMA POOL # 555285 |
|
|
|
|
| 2 |
| 1 |
| 4,144,186.53 |
| 111.359 |
| 4,188,256.84 |
| 3,761,031.46 |
| 4,135,373.87 |
| 52,882.97 |
| (125,713.69 | ) | — |
| — |
| 6 |
| 2.611 |
| MON |
| 18,805.16 |
| 207,788.00 |
| 1/5/2011 |
| 3/1/2033 |
|
31385XEW3 |
| FNMA POOL # 555549 |
|
|
|
|
| 2 |
|
|
| 271,278.67 |
| 107.976 |
| 295,314.56 |
| 273,500.85 |
| 271,567.52 |
| 23,747.04 |
| 917.45 |
| — |
| — |
| 5 |
| 5.24 |
| MON |
| 1,139.59 |
| 13,675.00 |
| 12/14/2007 |
| 6/1/2018 |
|
31385XK48 |
| FNMA POOL # 555715 |
|
|
|
|
| 2 |
| 1 |
| 114,986.11 |
| 105.21 |
| 122,057.48 |
| 116,012.81 |
| 115,032.22 |
| 7,025.26 |
| 126.60 |
| — |
| — |
| 2.431 |
| 2.611 |
| MON |
| 235.12 |
| 2,928.00 |
| 4/2/2007 |
| 7/1/2033 |
|
31400EGH7 |
| FNMA POOL # 685200 |
|
|
|
|
| 2 |
|
|
| 244,820.99 |
| 107.976 |
| 266,512.70 |
| 246,826.46 |
| 245,089.25 |
| 21,423.45 |
| 794.60 |
| — |
| — |
| 5 |
| 5.245 |
| MON |
| 1,028.44 |
| 12,341.00 |
| 12/14/2007 |
| 3/1/2018 |
|
31400GJN6 |
| FNMA POOL # 687069 |
|
|
|
|
| 2 |
|
|
| 202,615.79 |
| 108.596 |
| 220,480.94 |
| 203,028.20 |
| 202,350.07 |
| 18,130.87 |
| 1,169.65 |
| — |
| — |
| 5.5 |
| 5.502 |
| MON |
| 930.55 |
| 11,166.00 |
| 4/21/2006 |
| 1/1/2013 |
|
31400PG58 |
| FNMA POOL # 693320 |
|
|
|
|
| 2 |
|
|
| 75,451.53 |
| 104.94 |
| 79,874.37 |
| 76,114.56 |
| 75,485.94 |
| 4,388.43 |
| 79.96 |
| — |
| — |
| 2.395 |
| 2.582 |
| MON |
| 151.91 |
| 1,829.00 |
| 8/10/2006 |
| 1/1/2033 |
|
31400QJ87 |
| FNMA POOL # 694287 |
|
|
|
|
| 2 |
| 1 |
| 12,187.05 |
| 105.352 |
| 12,953.98 |
| 12,295.86 |
| 12,192.05 |
| 761.93 |
| 20.05 |
| — |
| — |
| 2.353 |
| 2.536 |
| MON |
| 24.11 |
| 293.00 |
| 4/2/2007 |
| 3/1/2033 |
|
31400SA33 |
| FNMA POOL # 695826 |
|
|
|
|
| 2 |
|
|
| 141,240.39 |
| 107.976 |
| 153,754.60 |
| 142,397.36 |
| 141,391.83 |
| 12,362.77 |
| 818.56 |
| — |
| — |
| 5 |
| 5.245 |
| MON |
| 593.32 |
| 7,120.00 |
| 12/14/2007 |
| 4/1/2018 |
|
31401A3C9 |
| FNMA POOL # 702895 |
|
|
|
|
| 2 |
|
|
| 268,562.42 |
| 107.976 |
| 292,357.68 |
| 270,762.38 |
| 268,887.11 |
| 23,470.57 |
| 1,066.23 |
| — |
| — |
| 5 |
| 5.221 |
| MON |
| 1,128.18 |
| 13,538.00 |
| 12/14/2007 |
| 4/1/2018 |
|
31401DVW8 |
| FNMA POOL # 705429 |
|
|
|
|
| 2 |
|
|
| 189,515.34 |
| 104.456 |
| 200,268.14 |
| 191,724.66 |
| 189,635.10 |
| 10,633.04 |
| 589.27 |
| — |
| — |
| 2.453 |
| 2.705 |
| MON |
| 391.92 |
| 4,777.00 |
| 8/10/2006 |
| 4/1/2033 |
|
31402DQB9 |
| FNMA POOL # 725950 |
|
|
|
|
| 2 |
| 1 |
| 395,923.93 |
| 108.183 |
| 432,238.26 |
| 399,544.80 |
| 396,269.56 |
| 35,968.70 |
| 1,503.63 |
| — |
| — |
| 5 |
| 5.279 |
| MON |
| 1,664.77 |
| 19,977.00 |
| 7/17/2008 |
| 11/1/2019 |
|
31402HD32 |
| FNMA POOL # 729222 |
|
|
|
|
| 2 |
| 1 |
| 2,059,041.75 |
| 105.32 |
| 2,192,563.41 |
| 2,081,803.27 |
| 2,060,234.50 |
| 132,328.91 |
| 3,463.01 |
| — |
| — |
| 2.352 |
| 2.56 |
| MON |
| 4,080.34 |
| 53,527.00 |
| 9/17/2008 |
| 7/1/2035 |
|
31402RB81 |
| FNMA POOL # 735463 |
|
|
|
|
| 2 |
| 1 |
| 115,935.12 |
| 104.363 |
| 121,994.41 |
| 116,894.05 |
| 115,986.04 |
| 6,008.37 |
| 161.98 |
| — |
| — |
| 2.412 |
| 2.565 |
| MON |
| 234.96 |
| 2,866.00 |
| 9/28/2006 |
| 3/1/2035 |
|
31402RF87 |
| FNMA POOL # 735591 |
|
|
|
|
| 2 |
| 1 |
| 10,752,749.31 |
| 108.049 |
| 11,195,019.98 |
| 10,361,023.68 |
| 10,741,726.89 |
| 453,293.09 |
| (126,881.86 | ) | — |
| — |
| 5 |
| 3.357 |
| MON |
| 43,170.92 |
| 518,051.00 |
| 4/30/2010 |
| 6/1/2035 |
|
31402YSV7 |
| FNMA POOL # 742232 |
|
|
|
|
| 2 |
| 1 |
| 12,868.02 |
| 106.218 |
| 13,880.58 |
| 13,067.95 |
| 12,876.43 |
| 1,004.15 |
| 9.43 |
| — |
| — |
| 2.625 |
| 2.992 |
| MON |
| 28.59 |
| 359.00 |
| 4/2/2007 |
| 9/1/2033 |
|
31403C2L4 |
| FNMA POOL # 745179 |
|
|
|
|
| 2 |
|
|
| 932,629.00 |
| 107.976 |
| 1,015,262.05 |
| 940,268.68 |
| 933,485.19 |
| 81,776.86 |
| 3,287.42 |
| — |
| — |
| 5 |
| 5.235 |
| MON |
| 3,917.78 |
| 47,014.00 |
| 12/14/2007 |
| 4/1/2019 |
|
31403DCE7 |
| FNMA POOL # 745369 |
|
|
|
|
| 2 |
|
|
| 639,798.66 |
| 108.183 |
| 697,821.08 |
| 645,039.57 |
| 640,375.06 |
| 57,446.02 |
| 1,745.74 |
| — |
| — |
| 5 |
| 5.216 |
| MON |
| 2,687.66 |
| 32,252.00 |
| 12/14/2007 |
| 12/1/2019 |
|
31403DCZ0 |
| FNMA POOL # 745388 |
|
|
|
|
| 2 |
|
|
| 1,674,183.97 |
| 107.976 |
| 1,822,520.47 |
| 1,687,898.12 |
| 1,675,856.17 |
| 146,664.30 |
| 5,737.52 |
| — |
| — |
| 5 |
| 5.235 |
| MON |
| 7,032.91 |
| 84,395.00 |
| 12/14/2007 |
| 11/1/2018 |
|
31403H3P3 |
| FNMA POOL # 749706 |
|
|
|
|
| 2 |
|
|
| 858,099.29 |
| 105.724 |
| 918,626.56 |
| 868,892.58 |
| 858,625.26 |
| 60,001.30 |
| 557.70 |
| — |
| — |
| 2.535 |
| 2.814 |
| MON |
| 1,835.54 |
| 23,892.00 |
| 5/15/2006 |
| 11/1/2033 |
|
31403KDB6 |
| FNMA POOL # 750798 |
|
|
|
|
| 2 |
| 1 |
| 5,396.78 |
| 102.708 |
| 5,629.06 |
| 5,480.63 |
| 5,400.38 |
| 228.68 |
| 3.33 |
| — |
| — |
| 2.324 |
| 2.685 |
| MON |
| 10.61 |
| 127.00 |
| 4/2/2007 |
| 12/1/2033 |
|
31403VBR9 |
| FNMA POOL # 758848 |
|
|
|
|
| 2 |
|
|
| 300,627.46 |
| 107.976 |
| 327,263.75 |
| 303,090.08 |
| 300,884.51 |
| 26,379.24 |
| 978.59 |
| — |
| — |
| 5 |
| 5.26 |
| MON |
| 1,262.88 |
| 15,154.00 |
| 12/14/2007 |
| 1/1/2019 |
|
31404CLB4 |
| FNMA POOL # 764522 |
|
|
|
|
| 2 |
|
|
| 36,751.73 |
| 105.12 |
| 39,415.57 |
| 37,495.79 |
| 36,784.83 |
| 2,630.74 |
| 329.69 |
| — |
| — |
| 2.522 |
| 2.964 |
| MON |
| 78.80 |
| 972.00 |
| 9/30/2008 |
| 6/1/2034 |
|
31404LRF9 |
| FNMA POOL # 771886 |
|
|
|
|
| 2 |
|
|
| 97,297.46 |
| 105.218 |
| 104,085.92 |
| 98,924.33 |
| 97,371.79 |
| 6,714.13 |
| 245.62 |
| — |
| — |
| 2.476 |
| 2.913 |
| MON |
| 204.11 |
| 2,452.00 |
| 8/10/2006 |
| 2/1/2034 |
|
31404NBP0 |
| FNMA POOL # 773246 |
|
|
|
|
| 2 |
| 1 |
| 139,448.01 |
| 106.324 |
| 149,507.35 |
| 140,615.11 |
| 139,493.59 |
| 10,013.76 |
| 181.70 |
| — |
| — |
| 2.409 |
| 2.575 |
| MON |
| 282.28 |
| 3,380.00 |
| 4/2/2007 |
| 2/1/2035 |
|
31404VGA0 |
| FNMA POOL # 779693 |
|
|
|
|
| 2 |
|
|
| 617,307.35 |
| 103.319 |
| 643,829.41 |
| 623,149.38 |
| 617,627.12 |
| 26,202.29 |
| 2,165.45 |
| — |
| — |
| 2.382 |
| 2.558 |
| MON |
| 1,236.95 |
| 15,705.00 |
| 2/24/2006 |
| 7/1/2034 |
|
31405AQ71 |
| FNMA POOL # 783578 |
|
|
|
|
| 2 |
|
|
| 633,231.94 |
| 104.543 |
| 677,860.20 |
| 648,403.56 |
| 634,159.24 |
| 43,700.96 |
| 3,484.90 |
| — |
| — |
| 2.361 |
| 2.822 |
| MON |
| 1,275.73 |
| 15,969.00 |
| 2/28/2006 |
| 12/1/2034 |
|
31405PAG5 |
| FNMA POOL # 794807 |
|
|
|
|
| 2 |
|
|
| 171,791.16 |
| 105.402 |
| 180,578.04 |
| 171,323.45 |
| 171,760.53 |
| 8,817.51 |
| (150.61 | ) | — |
| — |
| 2.209 |
| 2.117 |
| MON |
| 315.37 |
| 4,253.00 |
| 6/30/2007 |
| 10/1/2034 |
|
31405UMM8 |
| FNMA POOL # 799664 |
|
|
|
|
| 2 |
| 1 |
| 63,116.81 |
| 105.166 |
| 66,899.06 |
| 63,613.01 |
| 63,137.30 |
| 3,761.76 |
| 77.56 |
| — |
| — |
| 2.33 |
| 2.481 |
| MON |
| 123.52 |
| 1,634.00 |
| 4/2/2007 |
| 10/1/2034 |
|
31405UR84 |
| FNMA POOL # 799811 |
|
|
|
|
| 2 |
|
|
| 212,851.21 |
| 104.927 |
| 222,754.76 |
| 212,295.01 |
| 212,813.34 |
| 9,941.42 |
| (2.96 | ) | — |
| — |
| 2.147 |
| 2.061 |
| MON |
| 379.83 |
| 4,680.00 |
| 6/30/2007 |
| 11/1/2034 |
|
31405UTZ2 |
| FNMA POOL # 799868 |
|
|
|
|
| 2 |
| 1 |
| 16,939.69 |
| 105.835 |
| 18,069.01 |
| 17,072.86 |
| 16,945.03 |
| 1,123.98 |
| 28.39 |
| — |
| — |
| 2.295 |
| 2.45 |
| MON |
| 32.65 |
| 430.00 |
| 4/2/2007 |
| 11/1/2034 |
|
31406BB90 |
| FNMA POOL # 804764 |
|
|
|
|
| 2 |
| 1 |
| 214,454.65 |
| 106.227 |
| 229,600.02 |
| 216,140.54 |
| 214,518.55 |
| 15,081.47 |
| 237.65 |
| — |
| — |
| 2.491 |
| 2.647 |
| MON |
| 448.67 |
| 5,116.00 |
| 4/2/2007 |
| 1/1/2035 |
|
31406BEZ9 |
| FNMA POOL # 804852 |
|
|
|
|
| 2 |
| 1 |
| 188,510.87 |
| 105.252 |
| 199,970.61 |
| 189,992.82 |
| 188,567.44 |
| 11,403.17 |
| 236.98 |
| — |
| — |
| 2.453 |
| 2.61 |
| MON |
| 388.38 |
| 4,476.00 |
| 4/2/2007 |
| 12/1/2034 |
|
31406BJF8 |
| FNMA POOL # 804962 |
|
|
|
|
| 2 |
| 1 |
| 210,620.43 |
| 106.22 |
| 225,480.37 |
| 212,276.17 |
| 210,683.79 |
| 14,796.58 |
| 301.71 |
| — |
| — |
| 2.432 |
| 2.588 |
| MON |
| 430.21 |
| 5,020.00 |
| 4/2/2007 |
| 1/1/2035 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
31406BQQ6 |
| FNMA POOL # 805163 |
|
|
|
|
| 2 |
| 1 |
| 272,957.37 |
| 106.143 |
| 292,149.70 |
| 275,241.90 |
| 273,048.40 |
| 19,101.30 |
| 280.35 |
| — |
| — |
| 2.354 |
| 2.52 |
| MON |
| 539.93 |
| 6,479.00 |
| 4/2/2007 |
| 1/1/2035 |
|
31406DG67 |
| FNMA POOL # 806721 |
|
|
|
|
| 2 |
| 1 |
| 442,822.10 |
| 105.994 |
| 473,052.90 |
| 446,303.26 |
| 442,948.89 |
| 30,104.01 |
| 599.06 |
| — |
| — |
| 2.526 |
| 2.688 |
| MON |
| 939.47 |
| 11,851.00 |
| 4/2/2007 |
| 11/1/2034 |
|
31406GLK3 |
| FNMA POOL # 809530 |
|
|
|
|
| 2 |
| 1 |
| 72,364.29 |
| 106.452 |
| 77,578.77 |
| 72,876.76 |
| 72,389.22 |
| 5,189.55 |
| 93.44 |
| — |
| — |
| 2.362 |
| 2.499 |
| MON |
| 143.45 |
| 1,728.00 |
| 9/28/2006 |
| 2/1/2035 |
|
31406MYP5 |
| FNMA POOL # 814418 |
|
|
|
|
| 2 |
| 1 |
| 191,996.03 |
| 104.165 |
| 201,778.96 |
| 193,710.38 |
| 192,050.91 |
| 9,728.05 |
| 434.39 |
| — |
| — |
| 2.152 |
| 2.373 |
| MON |
| 347.39 |
| 4,224.00 |
| 4/2/2007 |
| 3/1/2035 |
|
31406PKU2 |
| FNMA POOL # 815807 |
|
|
|
|
| 2 |
| 1 |
| 327,044.04 |
| 105.737 |
| 349,106.44 |
| 330,165.02 |
| 327,210.17 |
| 21,896.27 |
| 86.07 |
| — |
| — |
| 2.256 |
| 2.448 |
| MON |
| 620.71 |
| 7,561.00 |
| 9/28/2006 |
| 2/1/2035 |
|
31406TLC3 |
| FNMA POOL # 819423 |
|
|
|
|
| 2 |
| 1 |
| 419,438.58 |
| 106.138 |
| 449,159.71 |
| 423,183.77 |
| 419,587.49 |
| 29,572.22 |
| 551.98 |
| — |
| — |
| 2.685 |
| 2.856 |
| MON |
| 946.87 |
| 11,491.00 |
| 4/2/2007 |
| 4/1/2035 |
|
31406TTE1 |
| FNMA POOL # 819649 |
|
|
|
|
| 2 |
|
|
| 3,036,428.26 |
| 105.313 |
| 3,091,483.90 |
| 2,935,519.74 |
| 3,033,815.18 |
| 57,668.72 |
| (10,552.53 | ) | — |
| — |
| 2.265 |
| 1.354 |
| MON |
| 5,540.79 |
| 67,578.00 |
| 12/4/2009 |
| 3/1/2035 |
|
31406VHE9 |
| FNMA POOL # 821129 |
|
|
|
|
| 2 |
| 1 |
| 223,292.58 |
| 105.26 |
| 237,137.19 |
| 225,286.34 |
| 223,377.19 |
| 13,760.00 |
| 346.27 |
| — |
| — |
| 2.431 |
| 2.597 |
| MON |
| 456.20 |
| 5,565.00 |
| 4/2/2007 |
| 5/1/2035 |
|
31407D5R2 |
| FNMA POOL # 828056 |
|
|
|
|
| 2 |
|
|
| 1,069,759.37 |
| 105.25 |
| 1,107,058.15 |
| 1,051,836.72 |
| 1,068,946.53 |
| 38,111.62 |
| (2,566.48 | ) | — |
| — |
| 2.5 |
| 2.107 |
| MON |
| 2,191.33 |
| 27,527.00 |
| 2/20/2009 |
| 6/1/2035 |
|
31407E6W8 |
| FNMA POOL # 828985 |
|
|
|
|
| 2 |
|
|
| 542,106.35 |
| 104.234 |
| 584,511.26 |
| 560,769.46 |
| 543,139.76 |
| 41,371.50 |
| 4,396.20 |
| — |
| — |
| 2.29 |
| 2.995 |
| MON |
| 1,070.14 |
| 13,551.00 |
| 3/16/2006 |
| 8/1/2035 |
|
31407GC22 |
| FNMA POOL # 829989 |
|
|
|
|
| 2 |
| 1 |
| 1,616,812.40 |
| 105.866 |
| 1,727,917.08 |
| 1,632,177.82 |
| 1,617,454.65 |
| 110,462.43 |
| 1,171.08 |
| — |
| — |
| 2.556 |
| 2.762 |
| MON |
| 3,457.50 |
| 41,953.00 |
| 1/20/2006 |
| 4/1/2035 |
|
31408C6D3 |
| FNMA POOL # 847868 |
|
|
|
|
| 2 |
| 1 |
| 1,578,357.26 |
| 105.579 |
| 1,684,316.01 |
| 1,595,307.40 |
| 1,579,077.38 |
| 105,238.63 |
| 1,738.09 |
| — |
| — |
| 2.269 |
| 2.499 |
| MON |
| 3,016.46 |
| 38,630.00 |
| 5/12/2006 |
| 11/1/2035 |
|
31409UBQ7 |
| FNMA POOL # 878547 |
|
|
|
|
| 2 |
|
|
| 1,156,944.01 |
| 106.829 |
| 1,245,923.05 |
| 1,166,283.39 |
| 1,157,243.27 |
| 88,679.78 |
| 463.42 |
| — |
| — |
| 2.487 |
| 2.68 |
| MON |
| 2,417.12 |
| 29,413.00 |
| 5/4/2006 |
| 3/1/2036 |
|
31410FU60 |
| FNMA POOL # 888105 |
|
|
|
|
| 2 |
|
|
| 747,487.56 |
| 107.976 |
| 813,716.66 |
| 753,610.65 |
| 748,054.73 |
| 65,661.93 |
| 2,701.96 |
| — |
| — |
| 5 |
| 5.225 |
| MON |
| 3,140.04 |
| 37,681.00 |
| 12/14/2007 |
| 8/1/2020 |
|
31410GC35 |
| FNMA POOL # 888490 |
|
|
|
|
| 2 |
| 1 |
| 281,080.38 |
| 105.473 |
| 297,134.39 |
| 281,717.13 |
| 281,089.24 |
| 16,045.15 |
| 83.27 |
| — |
| — |
| 2.191 |
| 2.222 |
| MON |
| 514.37 |
| 6,254.00 |
| 6/18/2007 |
| 5/1/2035 |
|
31410GC50 |
| FNMA POOL # 888492 |
|
|
|
|
| 2 |
|
|
| 158,572.81 |
| 105.135 |
| 166,398.16 |
| 158,271.53 |
| 158,542.80 |
| 7,855.36 |
| (52.03 | ) | — |
| — |
| 2.456 |
| 2.384 |
| MON |
| 323.93 |
| 3,948.00 |
| 6/18/2007 |
| 5/1/2033 |
|
31410GDC4 |
| FNMA POOL # 888499 |
|
|
|
|
| 2 |
| 1 |
| 1,188,039.82 |
| 104.516 |
| 1,248,666.10 |
| 1,194,714.86 |
| 1,188,295.68 |
| 60,370.42 |
| 1,377.33 |
| — |
| — |
| 2.44 |
| 2.544 |
| MON |
| 2,429.25 |
| 30,302.00 |
| 6/18/2007 |
| 8/1/2033 |
|
31410GDF7 |
| FNMA POOL # 888502 |
|
|
|
|
| 2 |
| 1 |
| 145,357.40 |
| 105.429 |
| 155,241.36 |
| 147,246.78 |
| 145,456.16 |
| 9,785.20 |
| 280.25 |
| — |
| — |
| 1.855 |
| 2.12 |
| MON |
| 227.74 |
| 2,802.00 |
| 6/18/2007 |
| 6/1/2033 |
|
31410GDL4 |
| FNMA POOL # 888507 |
|
|
|
|
| 2 |
| 1 |
| 639,232.25 |
| 105.867 |
| 688,582.77 |
| 650,422.02 |
| 639,734.61 |
| 48,848.16 |
| 2,529.05 |
| — |
| — |
| 2.393 |
| 2.754 |
| MON |
| 1,297.05 |
| 15,923.00 |
| 6/18/2007 |
| 2/1/2035 |
|
31410GDM2 |
| FNMA POOL # 888508 |
|
|
|
|
| 2 |
|
|
| 688,677.84 |
| 106.122 |
| 741,059.26 |
| 698,306.29 |
| 689,096.91 |
| 51,962.35 |
| 1,191.61 |
| — |
| — |
| 2.435 |
| 2.74 |
| MON |
| 1,416.98 |
| 17,218.00 |
| 6/18/2007 |
| 3/1/2034 |
|
31410GDQ3 |
| FNMA POOL # 888511 |
|
|
|
|
| 2 |
|
|
| 95,457.06 |
| 105.915 |
| 102,021.36 |
| 96,324.11 |
| 95,492.07 |
| 6,529.29 |
| 114.02 |
| — |
| — |
| 2.537 |
| 2.728 |
| MON |
| 203.65 |
| 2,348.00 |
| 6/18/2007 |
| 12/1/2033 |
|
31410GDS9 |
| FNMA POOL # 888513 |
|
|
|
|
| 2 |
|
|
| 160,431.49 |
| 105.534 |
| 170,196.21 |
| 161,271.58 |
| 160,460.56 |
| 9,735.65 |
| 148.30 |
| — |
| — |
| 2.498 |
| 2.594 |
| MON |
| 335.71 |
| 4,108.00 |
| 6/18/2007 |
| 2/1/2034 |
|
31410GDX8 |
| FNMA POOL # 888518 |
|
|
|
|
| 2 |
| 1 |
| 138,033.75 |
| 106.139 |
| 146,978.05 |
| 138,477.27 |
| 138,042.85 |
| 8,935.20 |
| 82.69 |
| — |
| — |
| 2.441 |
| 2.494 |
| MON |
| 281.69 |
| 3,429.00 |
| 6/18/2007 |
| 4/1/2035 |
|
31410GDY6 |
| FNMA POOL # 888519 |
|
|
|
|
| 2 |
| 1 |
| 73,508.28 |
| 105.777 |
| 79,089.82 |
| 74,770.55 |
| 73,563.85 |
| 5,525.97 |
| 265.23 |
| — |
| — |
| 2.47 |
| 2.829 |
| MON |
| 153.84 |
| 1,766.00 |
| 6/18/2007 |
| 1/1/2035 |
|
31410GDZ3 |
| FNMA POOL # 888520 |
|
|
|
|
| 2 |
|
|
| 895,203.47 |
| 105.973 |
| 954,716.17 |
| 900,909.23 |
| 895,436.28 |
| 59,279.89 |
| 1,414.14 |
| — |
| — |
| 2.327 |
| 2.45 |
| MON |
| 1,747.01 |
| 22,326.00 |
| 6/18/2007 |
| 7/1/2033 |
|
31410GD83 |
| FNMA POOL # 888527 |
|
|
|
|
| 2 |
| 1 |
| 37,125.86 |
| 106.427 |
| 40,256.27 |
| 37,825.17 |
| 37,159.97 |
| 3,096.30 |
| 115.41 |
| — |
| — |
| 2.499 |
| 2.885 |
| MON |
| 78.77 |
| 977.00 |
| 6/18/2007 |
| 4/1/2034 |
|
31410GFD0 |
| FNMA POOL # 888564 |
|
|
|
|
| 2 |
|
|
| 12,043,587.68 |
| 108.113 |
| 12,633,720.16 |
| 11,685,712.74 |
| 12,009,531.36 |
| 624,188.80 |
| (154,383.18 | ) | — |
| — |
| 5 |
| 3.523 |
| MON |
| 48,690.47 |
| 584,286.00 |
| 2/26/2009 |
| 10/1/2021 |
|
31410GPR8 |
| FNMA POOL # 888832 |
|
|
|
|
| 2 |
|
|
| 6,020,319.32 |
| 111.727 |
| 6,468,606.38 |
| 5,789,638.40 |
| 6,012,706.05 |
| 455,900.33 |
| (63,760.53 | ) | — |
| — |
| 6.5 |
| 4.813 |
| MON |
| 31,360.54 |
| 376,326.00 |
| 1/25/2008 |
| 11/1/2037 |
|
31411DA33 |
| FNMA POOL # 904626 |
|
|
|
|
| 2 |
| 1 |
| 1,329,546.69 |
| 103.63 |
| 1,371,274.25 |
| 1,323,240.62 |
| 1,329,249.08 |
| 42,025.17 |
| (2,433.16 | ) | — |
| — |
| 2.722 |
| 2.532 |
| MON |
| 3,001.55 |
| 72,775.00 |
| 12/13/2006 |
| 12/1/2036 |
|
31411GUY6 |
| FNMA POOL # 907899 |
|
|
|
|
| 2 |
| 1 |
| 1,889,775.03 |
| 104.151 |
| 1,952,054.43 |
| 1,874,253.87 |
| 1,889,087.48 |
| 62,966.95 |
| (6,257.63 | ) | — |
| — |
| 2.4 |
| 2.134 |
| MON |
| 3,748.51 |
| 104,566.00 |
| 12/14/2006 |
| 1/1/2037 |
|
31411KCZ4 |
| FNMA POOL # 910088 |
|
|
|
|
| 2 |
|
|
| 5,259,986.94 |
| 110.789 |
| 5,773,386.36 |
| 5,211,132.57 |
| 5,258,888.80 |
| 514,497.56 |
| (11,917.84 | ) | — |
| — |
| 6 |
| 5.519 |
| MON |
| 26,055.66 |
| 312,668.00 |
| 3/29/2007 |
| 3/1/2037 |
|
31411LEA5 |
| FNMA POOL # 911029 |
|
|
|
|
| 2 |
|
|
| 443,387.20 |
| 108.493 |
| 453,816.36 |
| 418,289.81 |
| 441,567.44 |
| 12,248.92 |
| (4,934.78 | ) | — |
| — |
| 5.5 |
| 2.87 |
| MON |
| 1,917.16 |
| 23,006.00 |
| 9/29/2009 |
| 7/1/2022 |
|
31412LMG2 |
| FNMA POOL # 928359 |
|
|
|
|
| 2 |
|
|
| 430,932.67 |
| 108.493 |
| 441,068.88 |
| 406,540.25 |
| 429,376.59 |
| 11,692.29 |
| (14,146.30 | ) | — |
| — |
| 5.5 |
| 2.325 |
| MON |
| 1,863.31 |
| 22,360.00 |
| 9/29/2009 |
| 5/1/2022 |
|
31412LQN3 |
| FNMA POOL # 928461 |
|
|
|
|
| 2 |
|
|
| 572,787.92 |
| 108.493 |
| 586,260.80 |
| 540,365.97 |
| 570,560.72 |
| 15,700.08 |
| (18,302.95 | ) | — |
| — |
| 5.5 |
| 2.656 |
| MON |
| 2,476.68 |
| 29,720.00 |
| 9/29/2009 |
| 6/1/2022 |
|
31412LVF4 |
| FNMA POOL # 928614 |
|
|
|
|
| 2 |
|
|
| 3,619,678.30 |
| 108.493 |
| 3,695,558.11 |
| 3,406,255.12 |
| 3,608,053.03 |
| 87,505.08 |
| (108,255.49 | ) | — |
| — |
| 5.5 |
| 2.304 |
| MON |
| 15,612.00 |
| 187,344.00 |
| 10/21/2009 |
| 8/1/2022 |
|
31412SRH0 |
| FNMA POOL # 933488 |
|
|
|
|
| 2 |
|
|
| 1,460,821.25 |
| 107.466 |
| 1,495,570.07 |
| 1,391,672.53 |
| 1,456,666.07 |
| 38,904.00 |
| (32,522.62 | ) | — |
| — |
| 5 |
| 2.544 |
| MON |
| 5,798.64 |
| 69,584.00 |
| 9/29/2009 |
| 3/1/2023 |
|
31414ARA2 |
| FNMA POOL # 960481 |
|
|
|
|
| 2 |
|
|
| 2,008,059.37 |
| 107.747 |
| 2,061,216.12 |
| 1,913,006.83 |
| 2,002,243.34 |
| 58,972.78 |
| (36,740.72 | ) | — |
| — |
| 5 |
| 2.488 |
| MON |
| 7,970.86 |
| 95,650.00 |
| 9/29/2009 |
| 12/1/2022 |
|
31414CRJ9 |
| FNMA POOL # 962289 |
|
|
|
|
| 2 |
|
|
| 2,558,176.74 |
| 107.466 |
| 2,619,028.52 |
| 2,437,084.11 |
| 2,550,874.20 |
| 68,154.32 |
| (51,693.33 | ) | — |
| — |
| 5 |
| 2.557 |
| MON |
| 10,154.52 |
| 121,854.00 |
| 9/29/2009 |
| 3/1/2023 |
|
31414GD22 |
| FNMA POOL # 965521 |
|
|
|
|
| 2 |
|
|
| 293,010.69 |
| 108.493 |
| 299,902.77 |
| 276,425.19 |
| 291,904.03 |
| 7,998.74 |
| (10,218.65 | ) | — |
| — |
| 5.5 |
| 2.815 |
| MON |
| 1,266.95 |
| 15,203.00 |
| 9/29/2009 |
| 12/1/2022 |
|
31414NB45 |
| FNMA POOL # 970859 |
|
|
|
|
| 2 |
|
|
| 2,833,841.74 |
| 107.466 |
| 2,896,938.62 |
| 2,695,687.74 |
| 2,827,422.21 |
| 69,516.41 |
| (59,615.53 | ) | — |
| — |
| 5 |
| 2.499 |
| MON |
| 11,232.03 |
| 134,784.00 |
| 10/21/2009 |
| 12/1/2023 |
|
31414RB79 |
| FNMA POOL # 973562 |
|
|
|
|
| 2 |
|
|
| 2,453,343.47 |
| 108.469 |
| 2,510,498.49 |
| 2,314,474.96 |
| 2,444,550.58 |
| 65,947.91 |
| (105,358.01 | ) | — |
| — |
| 5.5 |
| 2.77 |
| MON |
| 10,608.01 |
| 127,296.00 |
| 9/29/2009 |
| 3/1/2023 |
|
31415MDG7 |
| FNMA POOL # 984003 |
|
|
|
|
| 2 |
|
|
| 4,361,650.35 |
| 109.363 |
| 4,913,601.57 |
| 4,492,928.08 |
| 4,364,640.13 |
| 548,961.44 |
| 59,286.21 |
| — |
| — |
| 5.5 |
| 6.533 |
| MON |
| 20,592.59 |
| 247,111.00 |
| 7/25/2008 |
| 6/1/2038 |
|
31415MFS9 |
| FNMA POOL # 984077 |
|
|
|
|
| 2 |
|
|
| 1,916,472.31 |
| 107.466 |
| 1,962,059.78 |
| 1,825,755.11 |
| 1,910,840.84 |
| 51,218.94 |
| (59,024.09 | ) | — |
| — |
| 5 |
| 2.751 |
| MON |
| 7,607.31 |
| 91,288.00 |
| 9/29/2009 |
| 6/1/2023 |
|
31416BLV8 |
| FNMA POOL # 995040 |
|
|
|
|
| 2 |
|
|
| 1,776,454.22 |
| 107.466 |
| 1,816,007.84 |
| 1,689,849.43 |
| 1,772,127.99 |
| 43,879.85 |
| (61,184.05 | ) | — |
| — |
| 5 |
| 2.482 |
| MON |
| 7,041.04 |
| 84,492.00 |
| 10/21/2009 |
| 6/1/2023 |
|
31416BSE9 |
| FNMA POOL # 995217 |
|
|
|
|
| 2 |
|
|
| 3,054,214.23 |
| 108.493 |
| 3,123,372.30 |
| 2,878,862.29 |
| 3,045,350.93 |
| 78,021.37 |
| (82,558.06 | ) | — |
| — |
| 5.5 |
| 2.481 |
| MON |
| 13,194.79 |
| 158,337.00 |
| 10/21/2009 |
| 12/1/2023 |
|
31416BSX7 |
| FNMA POOL # 995234 |
|
|
|
|
| 2 |
|
|
| 6,963,496.71 |
| 107.976 |
| 7,002,455.92 |
| 6,485,212.31 |
| 6,952,778.64 |
| 49,677.28 |
| (27,535.72 | ) | — |
| — |
| 5 |
| 1.849 |
| MON |
| 27,021.72 |
| 27,022.00 |
| 11/10/2011 |
| 7/1/2019 |
|
31416B4M7 |
| FNMA POOL # 995528 |
|
|
|
|
| 2 |
|
|
| 4,062,183.14 |
| 107.928 |
| 4,220,049.57 |
| 3,910,057.47 |
| 4,050,412.59 |
| 169,636.98 |
| (64,598.94 | ) | — |
| — |
| 5 |
| 3.043 |
| MON |
| 16,291.90 |
| 195,503.00 |
| 3/20/2009 |
| 12/1/2021 |
|
31416B4N5 |
| FNMA POOL # 995529 |
|
|
|
|
| 2 |
| 1 |
| 6,667,761.45 |
| 108.493 |
| 6,967,354.44 |
| 6,421,922.22 |
| 6,649,813.04 |
| 317,541.40 |
| (112,616.08 | ) | — |
| — |
| 5.5 |
| 3.469 |
| MON |
| 29,433.81 |
| 353,206.00 |
| 2/27/2009 |
| 11/1/2022 |
|
31416B4P0 |
| FNMA POOL # 995530 |
|
|
|
|
| 2 |
|
|
| 3,329,139.24 |
| 108.473 |
| 3,462,965.59 |
| 3,192,461.97 |
| 3,318,337.68 |
| 144,627.91 |
| (64,704.62 | ) | — |
| — |
| 5.5 |
| 3.394 |
| MON |
| 14,632.12 |
| 175,585.00 |
| 3/20/2009 |
| 12/1/2021 |
|
31416B7J1 |
| FNMA POOL # 995597 |
|
|
|
|
| 2 |
|
|
| 377,406.83 |
| 108.493 |
| 386,284.04 |
| 356,044.19 |
| 376,288.33 |
| 9,995.71 |
| (10,385.34 | ) | — |
| — |
| 5.5 |
| 2.565 |
| MON |
| 1,631.87 |
| 19,582.00 |
| 9/29/2009 |
| 3/1/2024 |
|
31416CME3 |
| FNMA POOL # 995957 |
|
|
|
|
| 2 |
| 1 |
| 7,064,457.62 |
| 107.466 |
| 7,215,048.81 |
| 6,713,817.99 |
| 7,050,920.89 |
| 164,127.92 |
| (174,683.43 | ) | — |
| — |
| 5 |
| 2.415 |
| MON |
| 27,974.24 |
| 335,691.00 |
| 9/28/2009 |
| 6/1/2024 |
|
31416TL49 |
| FNMA POOL # AA9346 |
|
|
|
|
| 2 |
| 1 |
| 12,805,103.72 |
| 107.055 |
| 13,562,572.76 |
| 12,668,801.36 |
| 12,801,094.77 |
| 761,477.99 |
| (14,666.12 | ) | — |
| — |
| 4.5 |
| 4.134 |
| MON |
| 47,508.01 |
| 570,096.00 |
| 2/2/2010 |
| 8/1/2039 |
|
31419ESP5 |
| FNMA POOL # AE4125 |
|
|
|
|
| 2 |
| 1 |
| 6,567,660.98 |
| 105.088 |
| 6,658,366.87 |
| 6,336,000.96 |
| 6,561,732.65 |
| 96,634.22 |
| (53,168.06 | ) | — |
| — |
| 4 |
| 2.547 |
| MON |
| 21,120.00 |
| 253,440.00 |
| 11/5/2010 |
| 10/1/2040 |
|
3138A9YZ1 |
| FNMA POOL # AH7927 |
|
|
|
|
| 2 |
| 1 |
| 4,793,198.78 |
| 104.771 |
| 4,851,308.91 |
| 4,630,410.90 |
| 4,789,536.02 |
| 61,772.89 |
| (33,387.73 | ) | — |
| — |
| 3.5 |
| 2.023 |
| MON |
| 13,505.36 |
| 54,021.00 |
| 8/3/2011 |
| 8/1/2026 |
|
3138ATD31 |
| FNMA POOL# AJ1921 |
|
|
|
|
| 2 |
| 1 |
| 782,751.61 |
| 106.751 |
| 783,048.22 |
| 733,525.20 |
| 782,379.45 |
| 668.77 |
| (1,477.78 | ) | — |
| — |
| 4.5 |
| 2.391 |
| MON |
| 2,750.72 |
| 8,252.00 |
| 9/20/2011 |
| 9/1/2041 |
|
31394CVB5 |
| FNMA 05-15 CMO_05-15 EA |
|
|
|
|
| 2 |
| 1 |
| 422,787.84 |
| 100.182 |
| 427,263.07 |
| 426,486.87 |
| 424,828.99 |
| 2,434.08 |
| 7,270.93 |
| — |
| — |
| 5 |
| 5.441 |
| MON |
| 1,777.03 |
| 21,324.00 |
| 5/24/2007 |
| 3/25/2012 |
|
31398TX22 |
| FNMA 10-87 AGENCY CMO_10-103 MA |
|
|
|
|
| 2 |
|
|
| 6,422,334.53 |
| 103.475 |
| 6,319,653.53 |
| 6,107,420.66 |
| 6,321,424.87 |
| (1,771.34 | ) | (141,406.68 | ) | — |
| — |
| 4 |
| 0.246 |
| MON |
| 20,358.07 |
| 61,074.00 |
| 9/7/2011 |
| 7/25/2014 |
|
31397MTX5 |
| FNR CMO 08-81 KA |
|
|
|
|
| 2 |
| 1 |
| 3,502,622.59 |
| 106.514 |
| 3,723,475.15 |
| 3,495,770.08 |
| 3,498,953.53 |
| 224,521.62 |
| (6,516.90 | ) | — |
| — |
| 5 |
| 4.707 |
| MON |
| 14,565.72 |
| 173,465.00 |
| 1/7/2011 |
| 2/25/2015 |
|
31394FQ81 |
| FNW 05-W3 AGENCY CMO 05-87 |
|
|
|
|
| 2 |
|
|
| 5,960,894.53 |
| 103.47 |
| 5,768,462.54 |
| 5,575,000.00 |
| 5,947,244.12 |
| (178,781.58 | ) | (13,650.41 | ) | — |
| — |
| 5 |
| 4.188 |
| MON |
| 23,229.17 |
| 185,833.00 |
| 4/8/2011 |
| 7/25/2030 |
|
34528QAH7 |
| FORD CREDIT FLOORPLAN MASTER O ABS_09-2 |
|
|
|
|
| 2 |
|
|
| 6,803,019.54 |
| 100.816 |
| 6,754,672.00 |
| 6,700,000.00 |
| 6,754,753.27 |
| (81.27 | ) | (48,266.27 | ) | — |
| — |
| 1.828 |
| 0.695 |
| MON |
| 5,784.54 |
| 75,569.00 |
| 5/27/2011 |
| 9/17/2012 |
|
34528QAJ3 |
| FORDF ABS 10-1 A 144A |
|
|
|
|
| 2 |
|
|
| 4,591,757.81 |
| 101.06 |
| 4,547,700.00 |
| 4,500,000.00 |
| 4,550,245.99 |
| (2,545.99 | ) | (41,511.82 | ) | — |
| — |
| 1.928 |
| 0.78 |
| MON |
| 4,097.64 |
| 64,256.00 |
| 3/10/2011 |
| 12/17/2012 |
|
34529QAC7 |
| FORDL_11-A ABS_11-A A3 |
|
|
|
|
| 2 |
| 1FE |
| 3,599,883.00 |
| 99.962 |
| 3,598,631.93 |
| 3,600,000.00 |
| 3,599,906.31 |
| (1,274.38 | ) | 23.31 |
| — |
| — |
| 1.03 |
| 1.034 |
| MON |
| 1,648.00 |
| 16,480.00 |
| 6/29/2011 |
| 7/15/2013 |
|
34528RAE2 |
| FORDO ABS 09-A A3B |
|
|
|
|
| 2 |
| 1FE |
| 326,521.85 |
| 100.191 |
| 320,816.80 |
| 320,205.30 |
| 320,791.43 |
| 25.37 |
| (38,834.74 | ) | — |
| — |
| 2.778 |
| 0.583 |
| MON |
| 420.10 |
| 8,863.00 |
| 6/9/2010 |
| 2/15/2012 |
|
34529LAD6 |
| FORDO 10-A ABS 10-A-A3 |
|
|
|
|
| 2 |
|
|
| 1,465,757.40 |
| 100.24 |
| 1,469,543.55 |
| 1,466,025.09 |
| 1,465,944.34 |
| 3,599.21 |
| 172.52 |
| — |
| — |
| 1.32 |
| 1.333 |
| MON |
| 860.07 |
| 19,352.00 |
| 4/21/2010 |
| 3/15/2013 |
|
34529MAD4 |
| FORDO 10-B ABS 10-B A4 |
|
|
|
|
| 2 |
|
|
| 899,948.88 |
| 101 |
| 908,997.67 |
| 900,000.00 |
| 899,969.38 |
| 9,028.29 |
| 15.09 |
| — |
| — |
| 1.58 |
| 1.587 |
| MON |
| 632.00 |
| 14,220.00 |
| 7/27/2010 |
| 8/15/2014 |
|
34529PAC9 |
| FORDO 11-A ABS 11-A A3 |
|
|
|
|
| 2 |
| 1FE |
| 3,499,517.70 |
| 100.135 |
| 3,504,710.13 |
| 3,500,000.00 |
| 3,499,716.60 |
| 4,993.53 |
| 198.90 |
| — |
| — |
| 0.97 |
| 0.978 |
| MON |
| 1,508.89 |
| 29,895.00 |
| 1/25/2011 |
| 9/15/2013 |
|
34529RAC5 |
| FORDO 11-B ABS 11-B A3 |
|
|
|
|
| 2 |
|
|
| 7,228,794.04 |
| 99.831 |
| 7,217,790.78 |
| 7,230,000.00 |
| 7,229,035.39 |
| (11,244.61 | ) | 241.35 |
| — |
| — |
| 0.84 |
| 0.849 |
| MON |
| 2,699.20 |
| 23,449.00 |
| 7/19/2011 |
| 2/15/2014 |
|
302570BC9 |
| FPL GROUP CAPITAL INC CORP BND |
|
|
|
|
|
|
| 2FE |
| 7,402,175.00 |
| 120.167 |
| 7,270,087.77 |
| 6,050,000.00 |
| 6,999,724.33 |
| 270,363.44 |
| (219,802.91 | ) | — |
| — |
| 7.875 |
| 3.581 |
| JD |
| 21,175.00 |
| 476,438.00 |
| 2/17/2010 |
| 12/15/2015 |
|
35177PAS6 |
| FRANCE TELECOM CORP BND |
|
|
| F |
|
|
| 1FE |
| 6,246,739.39 |
| 105.651 |
| 6,213,311.13 |
| 5,881,000.00 |
| 6,104,614.23 |
| 108,696.90 |
| (84,520.02 | ) | — |
| — |
| 4.375 |
| 2.801 |
| JJ |
| 123,643.94 |
| 257,294.00 |
| 4/14/2010 |
| 7/8/2014 |
|
35177PAU1 |
| FRANCE TELECOM CORP BND |
|
|
| F |
|
|
| 1FE |
| 996,600.00 |
| 99.417 |
| 994,173.20 |
| 1,000,000.00 |
| 997,445.02 |
| (3,271.82 | ) | 836.08 |
| — |
| — |
| 2.125 |
| 2.197 |
| MS |
| 6,197.92 |
| 21,250.00 |
| 9/7/2010 |
| 9/16/2015 |
|
354613AE1 |
| FRANKLIN RESOURCES INC. CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,974,114.25 |
| 101.17 |
| 1,998,103.85 |
| 1,975,000.00 |
| 1,974,586.20 |
| 23,517.65 |
| 291.26 |
| — |
| — |
| 2 |
| 2.015 |
| MN |
| 4,498.61 |
| 39,500.00 |
| 5/19/2010 |
| 5/20/2013 |
|
BRS4QJKV2 |
| FREESCALE SEMICONDUCTOR INC. TERM LOAN |
|
|
|
|
| 2 |
|
|
| 4,894,780.36 |
| 95.45 |
| 4,741,517.11 |
| 4,967,540.19 |
| 4,901,280.26 |
| (159,763.15 | ) | 6,865.07 |
| — |
| — |
| 0 |
| 0.267 |
| MON |
| — |
| 107,594.00 |
| 8/5/2011 |
| 12/1/2016 |
|
36156HAV0 |
| GCOE 06-1 ABS 06-1 |
|
|
|
|
| 2 |
|
|
| 1,795,000.00 |
| 90.66 |
| 1,813,200.00 |
| 2,000,000.00 |
| 1,808,329.86 |
| 4,870.14 |
| 13,329.86 |
| — |
| — |
| 0.636 |
| 2.204 |
| FMAN |
| 1,307.56 |
| 4,235.00 |
| 6/30/2011 |
| 8/25/2020 |
|
36962G4D3 |
| GE CAPITAL CORP CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 261,337.50 |
| 114.232 |
| 285,581.00 |
| 250,000.00 |
| 259,328.79 |
| 26,252.21 |
| (969.90 | ) | — |
| — |
| 6 |
| 5.395 |
| FA |
| 6,000.00 |
| 15,000.00 |
| 10/29/2009 |
| 8/7/2019 |
|
36962G4Q4 |
| GE CAPITAL CORP CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 5,015,736.32 |
| 100.973 |
| 5,048,674.40 |
| 5,000,000.00 |
| 5,009,556.09 |
| 39,118.31 |
| (5,444.23 | ) | — |
| — |
| 1.875 |
| 1.761 |
| MS |
| 27,343.75 |
| 93,750.00 |
| 11/12/2010 |
| 9/16/2013 |
|
36962G4E1 |
| GE CAPITAL CORP CORP BND |
|
|
|
|
|
|
|
|
| 230,445.00 |
| 101.587 |
| 228,569.95 |
| 225,000.00 |
| 226,231.45 |
| 2,338.50 |
| (1,957.00 | ) | — |
| — |
| 3.5 |
| 2.599 |
| FA |
| 3,018.75 |
| 7,875.00 |
| 10/20/2009 |
| 8/13/2012 |
|
36962G5D2 |
| GE CAPITAL CORP CORP BND |
|
|
|
|
|
|
|
|
| 5,000,000.00 |
| 94.304 |
| 4,715,200.05 |
| 5,000,000.00 |
| 5,000,000.00 |
| (284,799.95 | ) | — |
| — |
| — |
| 1.311 |
| 1.138 |
| FMAN |
| 9,653.29 |
| 29,132.00 |
| 5/4/2011 |
| 5/9/2016 |
|
36962G3T9 |
| GE CAPITAL CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 104,630.90 |
| 104.683 |
| 104,682.69 |
| 100,000.00 |
| 101,824.81 |
| 2,857.88 |
| (1,316.65 | ) | — |
| — |
| 4.8 |
| 3.387 |
| MN |
| 800.00 |
| 4,800.00 |
| 10/29/2009 |
| 5/1/2013 |
|
36962G4T8 |
| GE CAPITAL CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,243,470.00 |
| 100.591 |
| 7,594,609.79 |
| 7,550,000.00 |
| 7,301,763.56 |
| 292,846.23 |
| 65,687.04 |
| — |
| — |
| 2.25 |
| 3.163 |
| MN |
| 24,537.50 |
| 169,875.00 |
| 1/6/2011 |
| 11/9/2015 |
|
36962GK86 |
| GE CAPITAL CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,589,400.00 |
| 107.446 |
| 1,611,696.98 |
| 1,500,000.00 |
| 1,557,563.00 |
| 54,133.98 |
| (20,027.60 | ) | — |
| — |
| 4.75 |
| 3.255 |
| MS |
| 20,979.17 |
| 71,250.00 |
| 5/19/2010 |
| 9/15/2014 |
|
36962G5B6 |
| GE CAPITAL CORP CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 5,000,000.00 |
| 97.736 |
| 4,886,800.00 |
| 5,000,000.00 |
| 5,000,000.00 |
| (113,200.00 | ) | — |
| — |
| — |
| 1.014 |
| 0.924 |
| JAJO |
| 12,107.01 |
| 22,865.00 |
| 4/4/2011 |
| 4/7/2014 |
|
36830HAC6 |
| GE EQUIPMENT SMALL TICKET LLC ABS 11-1 |
|
|
|
|
| 2 |
| 1FE |
| 1,699,745.68 |
| 100.298 |
| 1,705,065.95 |
| 1,700,000.00 |
| 1,699,823.92 |
| 5,242.03 |
| 78.24 |
| — |
| — |
| 1.45 |
| 1.46 |
| MON |
| 684.72 |
| 21,295.00 |
| 2/1/2011 |
| 4/21/2014 |
|
368710AG4 |
| GENENTECH INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 802,027.50 |
| 111.199 |
| 833,992.37 |
| 750,000.00 |
| 783,481.52 |
| 50,510.85 |
| (8,762.34 | ) | — |
| — |
| 4.75 |
| 3.4 |
| JJ |
| 16,427.08 |
| 35,625.00 |
| 10/29/2009 |
| 7/15/2015 |
|
BRS2Z8AR0 |
| GENERAC POWER SYSTEMS INC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,817,104.00 |
| 98.625 |
| 1,794,361.78 |
| 1,819,378.23 |
| 1,817,747.32 |
| (23,385.54 | ) | 869.09 |
| — |
| — |
| 0 |
| 0.048 |
| FMAN |
| — |
| 30,741.00 |
| 3/8/2011 |
| 11/10/2013 |
|
369550AM0 |
| GENERAL DYNAMICS CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 4,489,680.00 |
| 114.03 |
| 4,561,215.52 |
| 4,000,000.00 |
| 4,332,304.40 |
| 228,911.12 |
| (85,734.84 | ) | — |
| — |
| 5.375 |
| 2.94 |
| FA |
| 81,222.22 |
| 215,000.00 |
| 2/17/2010 |
| 8/15/2015 |
|
369550AK4 |
| GENERAL DYNAMICS CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 803,002.50 |
| 105.056 |
| 787,916.51 |
| 750,000.00 |
| 781,497.13 |
| 6,419.38 |
| (21,505.37 | ) | — |
| — |
| 4.25 |
| 1.153 |
| MN |
| 4,072.92 |
| 31,875.00 |
| 1/14/2011 |
| 5/15/2013 |
|
369550AN8 |
| GENERAL DYNAMICS CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,012,114.50 |
| 109.149 |
| 6,930,992.18 |
| 6,350,000.00 |
| 6,931,082.18 |
| (90.00 | ) | (81,032.32 | ) | — |
| — |
| 5.25 |
| 0.813 |
| FA |
| 138,906.25 |
| — |
| 9/12/2011 |
| 2/1/2014 |
|
369550AS7 |
| GENERAL DYNAMICS CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,025,890.00 |
| 101.001 |
| 3,030,039.36 |
| 3,000,000.00 |
| 3,023,589.15 |
| 6,450.21 |
| (2,300.85 | ) | — |
| — |
| 1.375 |
| 1.111 |
| JJ |
| 19,364.58 |
| — |
| 9/7/2011 |
| 1/15/2015 |
|
36962GZY3 |
| GENERAL ELEC CAP CO CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 159,667.65 |
| 104.644 |
| 156,966.41 |
| 150,000.00 |
| 153,242.02 |
| 3,724.39 |
| (3,021.16 | ) | — |
| — |
| 5.45 |
| 3.314 |
| JJ |
| 3,769.59 |
| 8,175.00 |
| 10/29/2009 |
| 1/15/2013 |
|
36967HAH0 |
| GENERAL ELECTRIC CAPITAL CORPO CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,255,096.00 |
| 100.918 |
| 3,279,835.00 |
| 3,250,000.00 |
| 3,250,695.35 |
| 29,139.65 |
| (1,715.89 | ) | — |
| — |
| 2.2 |
| 2.15 |
| JD |
| 4,568.06 |
| 71,500.00 |
| 2/20/2009 |
| 6/8/2012 |
|
372917AQ7 |
| GENZYME CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,208,470.00 |
| 106.818 |
| 3,204,529.50 |
| 3,000,000.00 |
| 3,202,359.17 |
| 2,170.33 |
| (6,110.83 | ) | — |
| — |
| 3.625 |
| 1.609 |
| JD |
| 4,833.33 |
| 54,375.00 |
| 11/18/2011 |
| 6/15/2015 |
|
373334JQ5 |
| GEORGIA POWER COMPANY CORP BND |
|
|
|
|
| 1 |
|
|
| 3,850,000.00 |
| 100.017 |
| 3,850,654.42 |
| 3,850,000.00 |
| 3,850,000.00 |
| 654.42 |
| — |
| — |
| — |
| 0.866 |
| 0.576 |
| MJSD |
| 1,574.89 |
| 24,247.00 |
| 3/9/2010 |
| 3/15/2013 |
|
373334JM4 |
| GEORGIA POWER COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 14,714,084.40 |
| 108.97 |
| 14,253,252.20 |
| 13,080,000.00 |
| 13,940,559.89 |
| 312,692.31 |
| (454,316.30 | ) | — |
| — |
| 6 |
| 2.311 |
| MN |
| 130,800.00 |
| 784,800.00 |
| 4/9/2010 |
| 11/1/2013 |
|
373334JV4 |
| GEORGIA POWER COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,399,082.00 |
| 105.825 |
| 3,598,037.69 |
| 3,400,000.00 |
| 3,399,196.13 |
| 198,841.56 |
| 114.13 |
| — |
| — |
| 3 |
| 3.006 |
| AO |
| 21,533.33 |
| 49,867.00 |
| 4/12/2011 |
| 4/15/2016 |
|
375558AT0 |
| GILEAD SCIENCES INC. CORP BND |
|
|
|
|
|
|
|
|
| 2,071,597.00 |
| 101.65 |
| 2,109,241.96 |
| 2,075,000.00 |
| 2,071,628.62 |
| 37,613.34 |
| 32.98 |
| — |
| — |
| 3.05 |
| 3.086 |
| JD |
| 3,164.38 |
| — |
| 12/6/2011 |
| 12/1/2016 |
|
377372AC1 |
| GLAXOSK CAP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 17,941,735.50 |
| 105.846 |
| 17,914,465.29 |
| 16,925,000.00 |
| 17,329,006.14 |
| 585,459.15 |
| (283,640.43 | ) | — |
| — |
| 4.85 |
| 3.056 |
| MN |
| 104,887.98 |
| 820,863.00 |
| 1/24/2011 |
| 5/15/2013 |
|
BRSBKZS71 |
| GNC CORPORATION TERM LOAN |
|
|
|
|
| 1 |
| 1Z |
| 1,990,000.00 |
| 98.042 |
| 1,960,840.00 |
| 2,000,000.00 |
| 1,990,139.77 |
| (29,299.77 | ) | 139.77 |
| — |
| — |
| 0 |
| 0.079 |
| FMAN |
| — |
| 4,486.00 |
| 11/16/2011 |
| 3/2/2018 |
|
36297A3K7 |
| GNMA |
|
|
|
|
| 2 |
|
|
| 625,969.06 |
| 107.373 |
| 643,657.09 |
| 599,461.61 |
| 624,257.64 |
| 19,399.45 |
| (9,707.87 | ) | — |
| — |
| 5 |
| 2.916 |
| MON |
| 2,497.76 |
| 29,973.00 |
| 3/26/2009 |
| 1/15/2024 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
38374H7F1 |
| GNMA AGENCY CMO 04-69-FG |
|
|
|
|
| 2 |
|
|
| 2,719,252.79 |
| 100.18 |
| 2,721,595.96 |
| 2,716,705.89 |
| 2,718,232.28 |
| 3,363.68 |
| (1,934.05 | ) | — |
| — |
| 0.585 |
| 0.516 |
| MON |
| 485.49 |
| 14,402.00 |
| 5/21/2010 |
| 10/20/2013 |
|
38376GZ29 |
| GNMA CMBS_11-096 AB |
|
|
|
|
| 2 |
| 1 |
| 5,102,858.03 |
| 101.691 |
| 5,137,769.67 |
| 5,052,334.69 |
| 5,101,753.66 |
| 36,016.01 |
| (1,581.03 | ) | — |
| — |
| 2.161 |
| 2.052 |
| MON |
| 9,096.31 |
| 45,482.00 |
| 7/7/2011 |
| 6/16/2031 |
|
38375PXQ9 |
| GNMA CMO 08-11 FB |
|
|
|
|
| 2 |
| 1 |
| 1,805,744.18 |
| 99.183 |
| 1,786,516.92 |
| 1,801,241.08 |
| 1,805,708.96 |
| (19,192.04 | ) | (1,335.21 | ) | — |
| — |
| 0.885 |
| 0.789 |
| MON |
| 487.00 |
| 14,953.00 |
| 3/8/2010 |
| 9/20/2037 |
|
383742TU7 |
| GNMA CMO 08-17 EH |
|
|
|
|
| 2 |
|
|
| 2,478,359.88 |
| 103.85 |
| 2,450,122.12 |
| 2,359,289.48 |
| 2,452,869.35 |
| (2,747.23 | ) | (74,901.34 | ) | — |
| — |
| 5.25 |
| 1.56 |
| MON |
| 10,321.89 |
| 92,897.00 |
| 3/15/2011 |
| 8/16/2014 |
|
38373YBQ6 |
| GNMA CMO_02-79 LN |
|
|
|
|
| 2 |
|
|
| 54,178.82 |
| 100.011 |
| 52,757.69 |
| 52,752.00 |
| 52,663.34 |
| 94.35 |
| (9,841.83 | ) | — |
| — |
| 5.5 |
| 3.199 |
| MON |
| 241.79 |
| 2,901.00 |
| 6/15/2009 |
| 1/1/2012 |
|
38374EEE3 |
| GNMA CMO_03-106 B |
|
|
|
|
| 2 |
|
|
| 21,644.05 |
| 100.011 |
| 21,313.36 |
| 21,311.06 |
| 21,263.19 |
| 50.17 |
| (1,606.00 | ) | — |
| — |
| 5.5 |
| 4.287 |
| MON |
| 97.68 |
| 1,172.00 |
| 8/21/2008 |
| 1/1/2012 |
|
38374CQ53 |
| GNMA CMO_03-86 VJ |
|
|
|
|
| 2 |
| 1 |
| 5,855,316.05 |
| 103.037 |
| 5,735,602.35 |
| 5,566,551.20 |
| 5,744,406.13 |
| (8,803.78 | ) | (176,555.08 | ) | — |
| — |
| 5.5 |
| 0.767 |
| MON |
| 25,513.35 |
| 178,594.00 |
| 5/13/2011 |
| 7/20/2013 |
|
38374GRG9 |
| GNMA CMO_04-38 VA |
|
|
|
|
| 2 |
| 1 |
| 1,564,094.94 |
| 105.82 |
| 1,554,564.37 |
| 1,469,064.80 |
| 1,535,674.25 |
| 18,890.12 |
| (51,655.26 | ) | — |
| — |
| 5 |
| 0.04 |
| MON |
| 6,121.10 |
| 67,332.00 |
| 1/7/2011 |
| 2/20/2014 |
|
38374JUS3 |
| GNMA CMO_04-82 MA |
|
|
|
|
| 2 |
| 1 |
| 6,516,069.60 |
| 105.338 |
| 6,455,890.97 |
| 6,128,715.62 |
| 6,449,728.80 |
| 6,162.17 |
| (170,177.81 | ) | — |
| — |
| 5 |
| 0.99 |
| MON |
| 25,536.32 |
| 229,827.00 |
| 3/9/2011 |
| 5/20/2015 |
|
38374VKJ7 |
| GNMA CMO_09-45 BA |
|
|
|
|
| 2 |
| 1 |
| 6,646,388.85 |
| 104.702 |
| 6,482,816.25 |
| 6,191,686.85 |
| 6,412,848.48 |
| 69,967.77 |
| (234,150.87 | ) | — |
| — |
| 5 |
| 0.315 |
| MON |
| 25,798.70 |
| 232,188.00 |
| 3/7/2011 |
| 11/20/2013 |
|
38376CUM9 |
| GNMA CMO_09-79 PA |
|
|
|
|
| 2 |
| 1 |
| 14,808,313.48 |
| 105.194 |
| 14,660,115.48 |
| 13,936,211.51 |
| 14,643,128.08 |
| 16,987.40 |
| (259,404.47 | ) | — |
| — |
| 4.5 |
| -1.52 |
| MON |
| 52,260.79 |
| 209,043.00 |
| 8/2/2011 |
| 1/20/2014 |
|
36202EVU0 |
| GNMA POOL # 004227 |
|
|
|
|
| 2 |
|
|
| 37,650.81 |
| 108.232 |
| 38,302.45 |
| 35,389.21 |
| 37,557.11 |
| 745.34 |
| (189.56 | ) | — |
| — |
| 4.5 |
| 1.403 |
| MON |
| 132.71 |
| 1,593.00 |
| 10/7/2010 |
| 7/20/2023 |
|
36202E5P0 |
| GNMA POOL # 004454 |
|
|
|
|
| 2 |
| 1 |
| 18,144.85 |
| 108.23 |
| 18,458.55 |
| 17,054.92 |
| 18,100.16 |
| 358.39 |
| (292.48 | ) | — |
| — |
| 4.5 |
| 1.949 |
| MON |
| 63.96 |
| 768.00 |
| 10/7/2010 |
| 6/20/2024 |
|
36202FAE6 |
| GNMA POOL # 004505 |
|
|
|
|
| 2 |
|
|
| 58,882.90 |
| 107.937 |
| 59,738.62 |
| 55,345.95 |
| 58,742.64 |
| 995.98 |
| (1,195.62 | ) | — |
| — |
| 4.5 |
| 1.883 |
| MON |
| 207.55 |
| 2,491.00 |
| 10/7/2010 |
| 8/20/2024 |
|
36202FBR6 |
| GNMA POOL # 004548 |
|
|
|
|
| 2 |
| 1 |
| 37,806.61 |
| 107.937 |
| 38,356.03 |
| 35,535.66 |
| 37,718.61 |
| 637.42 |
| (543.77 | ) | — |
| — |
| 4.5 |
| 1.862 |
| MON |
| 133.26 |
| 1,599.00 |
| 10/7/2010 |
| 10/20/2024 |
|
36202FD78 |
| GNMA POOL # 004626 |
|
|
|
|
| 2 |
|
|
| 1,670,101.69 |
| 107.934 |
| 1,694,330.48 |
| 1,569,782.75 |
| 1,666,265.39 |
| 28,065.09 |
| (20,995.49 | ) | — |
| — |
| 4.5 |
| 1.986 |
| MON |
| 5,886.69 |
| 70,640.00 |
| 10/7/2010 |
| 2/20/2025 |
|
36202FET9 |
| GNMA POOL # 004646 |
|
|
|
|
| 2 |
| 1 |
| 270,703.74 |
| 107.934 |
| 274,630.94 |
| 254,443.23 |
| 270,089.50 |
| 4,541.44 |
| (2,802.37 | ) | — |
| — |
| 4.5 |
| 1.971 |
| MON |
| 954.16 |
| 11,450.00 |
| 10/7/2010 |
| 3/20/2025 |
|
36202FFH4 |
| GNMA POOL # 004668 |
|
|
|
|
| 2 |
|
|
| 1,053,268.96 |
| 107.934 |
| 1,068,549.14 |
| 990,001.67 |
| 1,050,918.01 |
| 17,631.13 |
| (12,942.74 | ) | — |
| — |
| 4.5 |
| 1.967 |
| MON |
| 3,712.51 |
| 44,550.00 |
| 10/7/2010 |
| 4/20/2025 |
|
36202FF43 |
| GNMA POOL # 004687 |
|
|
|
|
| 2 |
|
|
| 756,067.59 |
| 107.934 |
| 767,036.14 |
| 710,652.45 |
| 754,375.71 |
| 12,660.43 |
| (8,557.47 | ) | — |
| — |
| 4.5 |
| 2.025 |
| MON |
| 2,664.95 |
| 31,979.00 |
| 10/7/2010 |
| 5/20/2025 |
|
36202KME2 |
| GNMA POOL # 008457 |
|
|
|
|
| 2 |
|
|
| 491,419.96 |
| 102.62 |
| 497,301.86 |
| 484,605.20 |
| 490,752.38 |
| 6,549.48 |
| (1,110.32 | ) | — |
| — |
| 1.625 |
| 1.234 |
| MON |
| 656.24 |
| 11,913.00 |
| 3/18/2009 |
| 7/20/2024 |
|
36225CD29 |
| GNMA POOL # 080120 |
|
|
|
|
| 2 |
|
|
| 421,939.05 |
| 102.5 |
| 428,073.03 |
| 417,632.22 |
| 421,641.92 |
| 6,431.11 |
| (388.16 | ) | — |
| — |
| 2.125 |
| 1.839 |
| MON |
| 739.56 |
| 9,223.00 |
| 3/18/2009 |
| 10/20/2027 |
|
36225C5S1 |
| GNMA POOL # 080856 |
|
|
|
|
| 2 |
|
|
| 9,255,699.30 |
| 104.601 |
| 9,456,958.20 |
| 9,040,976.11 |
| 9,251,890.34 |
| 205,067.86 |
| (23,461.06 | ) | — |
| — |
| 1.75 |
| 1.293 |
| MON |
| 13,184.76 |
| 119,605.00 |
| 3/2/2011 |
| 3/20/2034 |
|
36225C6Y7 |
| GNMA POOL # 080886 |
|
|
|
|
| 2 |
|
|
| 9,542,096.03 |
| 102.62 |
| 9,553,267.26 |
| 9,309,361.98 |
| 9,538,030.92 |
| 15,236.34 |
| (26,422.49 | ) | — |
| — |
| 1.75 |
| 1.266 |
| MON |
| 13,576.15 |
| 126,064.00 |
| 3/2/2011 |
| 4/20/2034 |
|
36225DAS3 |
| GNMA POOL # 080916 |
|
|
|
|
| 2 |
|
|
| 331,313.13 |
| 102.75 |
| 342,081.19 |
| 332,925.73 |
| 331,387.97 |
| 10,693.22 |
| 228.34 |
| — |
| — |
| 1.75 |
| 1.829 |
| MON |
| 485.52 |
| 6,069.00 |
| 4/17/2008 |
| 5/20/2034 |
|
36225DJA3 |
| GNMA POOL # 081156 |
|
|
|
|
| 2 |
|
|
| 867,396.66 |
| 102.9 |
| 890,047.94 |
| 864,963.98 |
| 867,269.38 |
| 22,778.56 |
| (312.23 | ) | — |
| — |
| 1.75 |
| 1.68 |
| MON |
| 1,261.41 |
| 15,858.00 |
| 3/18/2009 |
| 11/20/2034 |
|
36225DJZ8 |
| GNMA POOL # 081179 |
|
|
|
|
| 2 |
|
|
| 852,818.24 |
| 101.165 |
| 860,333.89 |
| 850,426.42 |
| 852,686.07 |
| 7,647.82 |
| (382.66 | ) | — |
| — |
| 1.75 |
| 1.684 |
| MON |
| 1,240.20 |
| 15,591.00 |
| 3/18/2009 |
| 12/20/2034 |
|
36225DLE2 |
| GNMA POOL # 081224 |
|
|
|
|
| 2 |
|
|
| 545,275.70 |
| 103.315 |
| 566,007.16 |
| 547,843.73 |
| 545,353.87 |
| 20,653.29 |
| 358.67 |
| — |
| — |
| 1.75 |
| 1.835 |
| MON |
| 798.94 |
| 10,044.00 |
| 3/18/2009 |
| 1/20/2035 |
|
36225EVZ2 |
| GNMA POOL # 082431 |
|
|
|
|
| 2 |
| 1 |
| 3,632,074.21 |
| 104.056 |
| 3,732,714.08 |
| 3,587,233.81 |
| 3,629,152.08 |
| 103,562.00 |
| (5,665.96 | ) | — |
| — |
| 3 |
| 2.908 |
| MON |
| 8,968.08 |
| 107,617.00 |
| 10/28/2009 |
| 12/20/2039 |
|
36225EWE8 |
| GNMA POOL # 082444 |
|
|
|
|
| 2 |
| 1 |
| 699,229.58 |
| 105.79 |
| 724,322.52 |
| 684,680.12 |
| 698,978.83 |
| 25,343.69 |
| (4,387.49 | ) | — |
| — |
| 3.75 |
| 2.855 |
| MON |
| 2,139.63 |
| 25,675.00 |
| 11/3/2009 |
| 12/20/2039 |
|
36204J4C7 |
| GNMA POOL # 371719 |
|
|
|
|
| 2 |
|
|
| 302,164.70 |
| 114.969 |
| 326,959.97 |
| 284,390.30 |
| 299,563.16 |
| 27,396.81 |
| (8,526.65 | ) | — |
| — |
| 6.5 |
| 5.247 |
| MON |
| 1,540.45 |
| 18,485.00 |
| 9/11/2008 |
| 4/15/2024 |
|
36204SV60 |
| GNMA POOL # 378737 |
|
|
|
|
| 2 |
|
|
| 366,767.84 |
| 115.859 |
| 399,938.78 |
| 345,193.24 |
| 363,732.26 |
| 36,206.52 |
| (4,758.51 | ) | — |
| — |
| 6.5 |
| 5.141 |
| MON |
| 1,869.80 |
| 22,438.00 |
| 9/11/2008 |
| 1/15/2024 |
|
36205BKY7 |
| GNMA POOL # 385611 |
|
|
|
|
| 2 |
|
|
| 448,093.20 |
| 114.969 |
| 484,863.20 |
| 421,734.78 |
| 444,510.74 |
| 40,352.46 |
| (6,586.51 | ) | — |
| — |
| 6.5 |
| 5.141 |
| MON |
| 2,284.40 |
| 27,413.00 |
| 9/11/2008 |
| 4/15/2024 |
|
36210BZH1 |
| GNMA POOL # 487744 |
|
|
|
|
| 2 |
|
|
| 766,778.58 |
| 107.373 |
| 778,773.44 |
| 725,300.46 |
| 764,832.83 |
| 13,940.61 |
| (5,481.50 | ) | — |
| — |
| 5 |
| 2.557 |
| MON |
| 3,022.09 |
| 36,265.00 |
| 9/29/2009 |
| 3/15/2024 |
|
36210BZJ7 |
| GNMA POOL # 487745 |
|
|
|
|
| 2 |
|
|
| 584,981.82 |
| 107.373 |
| 594,132.78 |
| 553,337.80 |
| 583,504.75 |
| 10,628.03 |
| (10,811.70 | ) | — |
| — |
| 5 |
| 2.548 |
| MON |
| 2,305.57 |
| 27,667.00 |
| 9/29/2009 |
| 3/15/2024 |
|
36210B4N2 |
| GNMA POOL # 487829 |
|
|
|
|
| 2 |
|
|
| 514,132.92 |
| 108.23 |
| 537,629.41 |
| 496,746.79 |
| 512,845.47 |
| 24,783.94 |
| (5,769.71 | ) | — |
| — |
| 4.5 |
| 3.163 |
| MON |
| 1,862.80 |
| 22,354.00 |
| 3/26/2009 |
| 4/15/2024 |
|
36210B4Q5 |
| GNMA POOL # 487831 |
|
|
|
|
| 2 |
|
|
| 160,465.37 |
| 107.373 |
| 162,975.58 |
| 151,785.18 |
| 160,081.99 |
| 2,893.59 |
| (1,082.64 | ) | — |
| — |
| 5 |
| 2.467 |
| MON |
| 632.44 |
| 7,589.00 |
| 9/29/2009 |
| 4/15/2024 |
|
36210B4R3 |
| GNMA POOL # 487832 |
|
|
|
|
| 2 |
|
|
| 562,367.06 |
| 107.373 |
| 577,825.59 |
| 538,150.31 |
| 560,720.61 |
| 17,104.98 |
| (5,379.71 | ) | — |
| — |
| 5 |
| 3.118 |
| MON |
| 2,242.29 |
| 26,907.00 |
| 3/26/2009 |
| 4/15/2024 |
|
36211V6Q8 |
| GNMA POOL # 524779 |
|
|
|
|
| 2 |
|
|
| 348,086.71 |
| 107.373 |
| 357,922.61 |
| 333,346.54 |
| 346,964.83 |
| 10,957.78 |
| (6,634.42 | ) | — |
| — |
| 5 |
| 3.322 |
| MON |
| 1,388.94 |
| 16,667.00 |
| 3/26/2009 |
| 1/15/2024 |
|
36201YER3 |
| GNMA POOL # 606844 |
|
|
|
|
| 2 |
|
|
| 1,366,588.39 |
| 111.356 |
| 1,452,290.30 |
| 1,304,181.27 |
| 1,365,214.54 |
| 87,075.76 |
| (9,466.03 | ) | — |
| — |
| 5 |
| 3.826 |
| MON |
| 5,434.09 |
| 65,209.00 |
| 4/23/2010 |
| 9/15/2033 |
|
36290SJB8 |
| GNMA POOL # 615958 |
|
|
|
|
| 2 |
|
|
| 8,465,726.47 |
| 111.356 |
| 8,996,631.77 |
| 8,079,127.58 |
| 8,455,882.30 |
| 540,749.47 |
| (72,896.07 | ) | — |
| — |
| 5 |
| 3.963 |
| MON |
| 33,663.03 |
| 403,956.00 |
| 4/23/2010 |
| 9/15/2033 |
|
36292DWW8 |
| GNMA POOL # 646061 |
|
|
|
|
| 2 |
|
|
| 266,297.34 |
| 114.474 |
| 292,326.25 |
| 255,364.55 |
| 265,885.34 |
| 26,440.91 |
| (2,381.46 | ) | — |
| — |
| 6.5 |
| 4.941 |
| MON |
| 1,383.22 |
| 16,599.00 |
| 1/31/2008 |
| 11/15/2037 |
|
36295KAT0 |
| GNMA POOL # 672418 |
|
|
|
|
| 2 |
|
|
| 181,705.15 |
| 114.474 |
| 199,465.69 |
| 174,245.27 |
| 181,426.41 |
| 18,039.28 |
| (4,236.57 | ) | — |
| — |
| 6.5 |
| 4.982 |
| MON |
| 943.83 |
| 11,326.00 |
| 1/31/2008 |
| 12/15/2037 |
|
36295PZJ4 |
| GNMA POOL # 676745 |
|
|
|
|
| 2 |
|
|
| 335,875.79 |
| 107.34 |
| 345,263.22 |
| 321,652.72 |
| 334,806.80 |
| 10,456.42 |
| (4,379.23 | ) | — |
| — |
| 5 |
| 3.031 |
| MON |
| 1,340.22 |
| 16,083.00 |
| 3/26/2009 |
| 3/15/2023 |
|
36295P4L3 |
| GNMA POOL # 676827 |
|
|
|
|
| 2 |
|
|
| 797,787.77 |
| 107.34 |
| 819,594.64 |
| 763,547.43 |
| 795,229.55 |
| 24,365.09 |
| (15,169.50 | ) | — |
| — |
| 5 |
| 3.05 |
| MON |
| 3,181.45 |
| 38,177.00 |
| 3/26/2009 |
| 5/15/2023 |
|
36295QJE1 |
| GNMA POOL # 677161 |
|
|
|
|
| 2 |
|
|
| 1,529,667.50 |
| 107.34 |
| 1,564,577.51 |
| 1,457,585.35 |
| 1,525,167.24 |
| 39,410.27 |
| (28,596.72 | ) | — |
| — |
| 5 |
| 2.974 |
| MON |
| 6,073.27 |
| 72,879.00 |
| 4/27/2009 |
| 8/15/2023 |
|
36295TVQ4 |
| GNMA POOL # 680223 |
|
|
|
|
| 2 |
|
|
| 148,891.98 |
| 114.474 |
| 163,445.21 |
| 142,779.22 |
| 148,661.75 |
| 14,783.46 |
| (3,481.07 | ) | — |
| — |
| 6.5 |
| 4.904 |
| MON |
| 773.39 |
| 9,281.00 |
| 1/31/2008 |
| 1/15/2038 |
|
36296A5Y6 |
| GNMA POOL # 685863 |
|
|
|
|
| 2 |
|
|
| 161,229.95 |
| 108.219 |
| 163,952.22 |
| 151,500.75 |
| 160,733.06 |
| 3,219.16 |
| (2,619.13 | ) | — |
| — |
| 4.5 |
| 2.241 |
| MON |
| 568.13 |
| 6,817.00 |
| 10/7/2010 |
| 5/15/2023 |
|
36296DR67 |
| GNMA POOL # 688209 |
|
|
|
|
| 2 |
|
|
| 155,556.00 |
| 107.34 |
| 159,070.56 |
| 148,192.67 |
| 155,194.41 |
| 3,876.15 |
| (660.19 | ) | — |
| — |
| 5 |
| 2.643 |
| MON |
| 617.47 |
| 7,410.00 |
| 7/29/2009 |
| 7/15/2023 |
|
36296E5H5 |
| GNMA POOL # 689448 |
|
|
|
|
| 2 |
|
|
| 377,301.16 |
| 107.34 |
| 387,846.39 |
| 361,323.88 |
| 376,101.44 |
| 11,744.95 |
| (6,165.95 | ) | — |
| — |
| 5 |
| 3.143 |
| MON |
| 1,505.52 |
| 18,066.00 |
| 3/26/2009 |
| 7/15/2023 |
|
36296TPY3 |
| GNMA POOL # 700739 |
|
|
|
|
| 2 |
|
|
| 782,631.07 |
| 108.901 |
| 807,203.93 |
| 741,226.61 |
| 779,486.45 |
| 27,717.48 |
| (22,470.74 | ) | — |
| — |
| 5.5 |
| 2.866 |
| MON |
| 3,397.29 |
| 40,767.00 |
| 6/3/2009 |
| 10/15/2023 |
|
36296UC73 |
| GNMA POOL # 701294 |
|
|
|
|
| 2 |
|
|
| 333,320.40 |
| 107.373 |
| 342,380.41 |
| 318,871.52 |
| 332,327.14 |
| 10,053.27 |
| (3,443.69 | ) | — |
| — |
| 5 |
| 3.05 |
| MON |
| 1,328.63 |
| 15,944.00 |
| 3/27/2009 |
| 1/15/2024 |
|
36296URS1 |
| GNMA POOL # 701697 |
|
|
|
|
| 2 |
|
|
| 1,066,687.54 |
| 107.373 |
| 1,083,373.93 |
| 1,008,986.14 |
| 1,063,900.40 |
| 19,473.53 |
| (20,935.40 | ) | — |
| — |
| 5 |
| 2.586 |
| MON |
| 4,204.11 |
| 50,449.00 |
| 9/29/2009 |
| 2/15/2024 |
|
36296UUL2 |
| GNMA POOL # 701787 |
|
|
|
|
| 2 |
|
|
| 898,374.99 |
| 107.373 |
| 930,723.79 |
| 866,817.43 |
| 896,430.50 |
| 34,293.29 |
| (2,368.05 | ) | — |
| — |
| 5 |
| 3.278 |
| MON |
| 3,611.74 |
| 43,341.00 |
| 6/11/2009 |
| 3/15/2024 |
|
36296UXG0 |
| GNMA POOL # 701879 |
|
|
|
|
| 2 |
|
|
| 490,883.07 |
| 108.23 |
| 499,223.59 |
| 461,261.44 |
| 489,670.33 |
| 9,553.26 |
| (9,428.79 | ) | — |
| — |
| 4.5 |
| 1.918 |
| MON |
| 1,729.73 |
| 20,757.00 |
| 10/7/2010 |
| 5/15/2024 |
|
36296U3C2 |
| GNMA POOL # 701995 |
|
|
|
|
| 2 |
|
|
| 825,414.81 |
| 107.34 |
| 848,484.40 |
| 790,461.59 |
| 823,253.11 |
| 25,231.29 |
| (2,642.37 | ) | — |
| — |
| 5 |
| 2.764 |
| MON |
| 3,293.59 |
| 39,523.00 |
| 3/26/2009 |
| 1/15/2024 |
|
36296XHH0 |
| GNMA POOL # 704132 |
|
|
|
|
| 2 |
|
|
| 202,561.00 |
| 107.34 |
| 205,668.07 |
| 191,603.65 |
| 202,079.83 |
| 3,588.24 |
| (4,262.65 | ) | — |
| — |
| 5 |
| 2.337 |
| MON |
| 798.35 |
| 9,580.00 |
| 9/29/2009 |
| 12/15/2023 |
|
36296XLY8 |
| GNMA POOL # 704243 |
|
|
|
|
| 2 |
|
|
| 608,684.00 |
| 107.373 |
| 630,601.55 |
| 587,302.51 |
| 607,216.20 |
| 23,385.35 |
| (1,800.78 | ) | — |
| — |
| 5 |
| 3.481 |
| MON |
| 2,447.09 |
| 29,365.00 |
| 6/11/2009 |
| 1/15/2024 |
|
36296XWP5 |
| GNMA POOL # 704554 |
|
|
|
|
| 2 |
|
|
| 3,211,656.84 |
| 107.373 |
| 3,329,310.27 |
| 3,100,709.59 |
| 3,204,465.68 |
| 124,844.59 |
| (32,178.54 | ) | — |
| — |
| 5 |
| 3.499 |
| MON |
| 12,919.62 |
| 155,035.00 |
| 6/11/2009 |
| 6/15/2024 |
|
36297AKC6 |
| GNMA POOL # 705991 |
|
|
|
|
| 2 |
|
|
| 111,776.28 |
| 108.23 |
| 113,675.44 |
| 105,031.29 |
| 111,498.71 |
| 2,176.73 |
| (915.36 | ) | — |
| — |
| 4.5 |
| 1.737 |
| MON |
| 393.87 |
| 4,726.00 |
| 10/7/2010 |
| 1/15/2024 |
|
36297AKF9 |
| GNMA POOL # 705994 |
|
|
|
|
| 2 |
|
|
| 807,944.64 |
| 107.373 |
| 820,583.46 |
| 764,239.68 |
| 806,003.83 |
| 14,579.63 |
| (16,205.98 | ) | — |
| — |
| 5 |
| 2.39 |
| MON |
| 3,184.33 |
| 38,212.00 |
| 9/29/2009 |
| 1/15/2024 |
|
36297CV22 |
| GNMA POOL # 708133 |
|
|
|
|
| 2 |
|
|
| 77,868.29 |
| 108.23 |
| 79,191.34 |
| 73,169.44 |
| 77,668.63 |
| 1,522.71 |
| (408.98 | ) | — |
| — |
| 4.5 |
| 1.9 |
| MON |
| 274.39 |
| 3,293.00 |
| 10/7/2010 |
| 1/15/2024 |
|
36297DFF9 |
| GNMA POOL # 708566 |
|
|
|
|
| 2 |
|
|
| 1,851,723.54 |
| 107.373 |
| 1,880,690.40 |
| 1,751,556.41 |
| 1,846,343.83 |
| 34,346.57 |
| (18,135.49 | ) | — |
| — |
| 5 |
| 2.83 |
| MON |
| 7,298.15 |
| 87,578.00 |
| 9/29/2009 |
| 4/15/2024 |
|
36297DP35 |
| GNMA POOL # 708842 |
|
|
|
|
| 2 |
|
|
| 72,273.52 |
| 108.23 |
| 73,501.51 |
| 67,912.28 |
| 72,087.13 |
| 1,414.38 |
| (1,698.72 | ) | — |
| — |
| 4.5 |
| 2.101 |
| MON |
| 254.67 |
| 3,056.00 |
| 10/7/2010 |
| 5/15/2024 |
|
36297DTR8 |
| GNMA POOL # 708960 |
|
|
|
|
| 2 |
|
|
| 1,318,901.31 |
| 107.373 |
| 1,356,169.56 |
| 1,263,050.79 |
| 1,315,029.25 |
| 41,140.31 |
| (8,327.61 | ) | — |
| — |
| 5 |
| 3.169 |
| MON |
| 5,262.71 |
| 63,153.00 |
| 3/26/2009 |
| 3/15/2024 |
|
36297GCD0 |
| GNMA POOL # 711168 |
|
|
|
|
| 2 |
|
|
| 1,080,678.99 |
| 108.243 |
| 1,099,169.93 |
| 1,015,466.97 |
| 1,078,240.06 |
| 20,929.87 |
| (12,531.64 | ) | — |
| — |
| 4.5 |
| 1.896 |
| MON |
| 3,808.00 |
| 45,696.00 |
| 10/7/2010 |
| 2/15/2025 |
|
36297G2R0 |
| GNMA POOL # 711884 |
|
|
|
|
| 2 |
|
|
| 2,402,768.83 |
| 107.373 |
| 2,440,355.79 |
| 2,272,793.46 |
| 2,396,785.93 |
| 43,569.86 |
| (61,748.99 | ) | — |
| — |
| 5 |
| 2.548 |
| MON |
| 9,469.97 |
| 113,640.00 |
| 9/29/2009 |
| 4/15/2024 |
|
36297JJ54 |
| GNMA POOL # 713184 |
|
|
|
|
| 2 |
|
|
| 1,650,403.00 |
| 107.373 |
| 1,676,220.56 |
| 1,561,126.10 |
| 1,645,252.11 |
| 30,968.45 |
| (12,543.25 | ) | — |
| — |
| 5 |
| 2.951 |
| MON |
| 6,504.69 |
| 78,056.00 |
| 9/29/2009 |
| 4/15/2024 |
|
36297KZF1 |
| GNMA POOL # 714542 |
|
|
|
|
| 2 |
|
|
| 538,425.19 |
| 107.373 |
| 557,644.71 |
| 519,355.11 |
| 536,934.47 |
| 20,710.24 |
| (1,706.00 | ) | — |
| — |
| 5 |
| 3.778 |
| MON |
| 2,163.98 |
| 25,968.00 |
| 6/11/2009 |
| 6/15/2024 |
|
3620A2KC9 |
| GNMA POOL # 716791 |
|
|
|
|
| 2 |
|
|
| 1,783,331.47 |
| 107.373 |
| 1,811,228.45 |
| 1,686,863.93 |
| 1,778,938.11 |
| 32,290.34 |
| (19,464.50 | ) | — |
| — |
| 5 |
| 2.528 |
| MON |
| 7,028.60 |
| 84,343.00 |
| 9/29/2009 |
| 4/15/2024 |
|
3620A32R4 |
| GNMA POOL # 718184 |
|
|
|
|
| 2 |
|
|
| 110,129.84 |
| 108.243 |
| 112,014.20 |
| 103,484.20 |
| 109,886.61 |
| 2,127.59 |
| (1,497.52 | ) | — |
| — |
| 4.5 |
| 1.819 |
| MON |
| 388.07 |
| 4,657.00 |
| 10/7/2010 |
| 3/15/2025 |
|
3620A5FJ3 |
| GNMA POOL # 719369 |
|
|
|
|
| 2 |
|
|
| 1,312,937.11 |
| 108.243 |
| 1,331,492.27 |
| 1,230,097.71 |
| 1,309,987.10 |
| 21,505.17 |
| (6,074.27 | ) | — |
| — |
| 4.5 |
| 1.703 |
| MON |
| 4,612.87 |
| 55,354.00 |
| 8/31/2010 |
| 4/15/2025 |
|
3620A6AC1 |
| GNMA POOL # 720103 |
|
|
|
|
| 2 |
| 1 |
| 796,100.27 |
| 110.37 |
| 863,541.65 |
| 782,408.12 |
| 795,681.36 |
| 67,860.29 |
| (1,133.45 | ) | — |
| — |
| 4.5 |
| 4.168 |
| MON |
| 2,934.03 |
| 35,209.00 |
| 6/18/2009 |
| 6/15/2039 |
|
3620A6DZ7 |
| GNMA POOL # 720220 |
|
|
|
|
| 2 |
|
|
| 1,522,565.98 |
| 107.373 |
| 1,556,505.87 |
| 1,449,631.39 |
| 1,518,352.87 |
| 38,153.00 |
| (22,431.38 | ) | — |
| — |
| 5 |
| 3.172 |
| MON |
| 6,040.13 |
| 72,482.00 |
| 7/29/2009 |
| 7/15/2024 |
|
3620A7RQ0 |
| GNMA POOL # 721495 |
|
|
|
|
| 2 |
|
|
| 609,009.13 |
| 108.243 |
| 619,429.55 |
| 572,259.33 |
| 607,503.80 |
| 11,925.75 |
| (6,890.72 | ) | — |
| — |
| 4.5 |
| 2.25 |
| MON |
| 2,145.97 |
| 25,752.00 |
| 10/7/2010 |
| 1/15/2025 |
|
3620A7R64 |
| GNMA POOL # 721509 |
|
|
|
|
| 2 |
|
|
| 497,307.69 |
| 108.243 |
| 505,816.86 |
| 467,298.37 |
| 496,123.53 |
| 9,693.33 |
| (3,525.65 | ) | — |
| — |
| 4.5 |
| 2.148 |
| MON |
| 1,752.37 |
| 21,029.00 |
| 10/7/2010 |
| 2/15/2025 |
|
3620A9MU2 |
| GNMA POOL # 723171 |
|
|
|
|
| 2 |
| 1 |
| 61,138.58 |
| 108.23 |
| 62,177.36 |
| 57,449.25 |
| 60,993.56 |
| 1,183.80 |
| (832.34 | ) | — |
| — |
| 4.5 |
| 1.959 |
| MON |
| 215.43 |
| 2,585.00 |
| 10/7/2010 |
| 10/15/2024 |
|
3620A9QJ3 |
| GNMA POOL # 723257 |
|
|
|
|
| 2 |
|
|
| 870,894.80 |
| 108.23 |
| 885,692.03 |
| 818,341.90 |
| 868,792.74 |
| 16,899.29 |
| (15,230.96 | ) | — |
| — |
| 4.5 |
| 1.995 |
| MON |
| 3,068.78 |
| 36,825.00 |
| 10/7/2010 |
| 9/15/2024 |
|
3620A9WS6 |
| GNMA POOL # 723457 |
|
|
|
|
| 2 |
|
|
| 779,721.00 |
| 108.23 |
| 792,969.13 |
| 732,669.87 |
| 777,817.59 |
| 15,151.54 |
| (10,432.38 | ) | — |
| — |
| 4.5 |
| 2.167 |
| MON |
| 2,747.51 |
| 32,970.00 |
| 10/7/2010 |
| 12/15/2024 |
|
3620A9WW7 |
| GNMA POOL # 723461 |
|
|
|
|
| 2 |
|
|
| 443,644.48 |
| 108.23 |
| 451,182.37 |
| 416,873.39 |
| 442,609.22 |
| 8,573.15 |
| (5,739.99 | ) | — |
| — |
| 4.5 |
| 1.973 |
| MON |
| 1,563.28 |
| 18,759.00 |
| 10/7/2010 |
| 12/15/2024 |
|
3620A9ZN4 |
| GNMA POOL # 723549 |
|
|
|
|
| 2 |
|
|
| 1,093,138.83 |
| 108.243 |
| 1,111,842.96 |
| 1,027,174.93 |
| 1,090,437.95 |
| 21,405.01 |
| (11,189.65 | ) | — |
| — |
| 4.5 |
| 2.248 |
| MON |
| 3,851.91 |
| 46,223.00 |
| 10/7/2010 |
| 1/15/2025 |
|
3620ADCM2 |
| GNMA POOL # 726476 |
|
|
|
|
| 2 |
|
|
| 11,449,758.58 |
| 108.23 |
| 11,763,471.43 |
| 10,868,949.09 |
| 11,418,704.10 |
| 344,767.33 |
| (180,188.67 | ) | — |
| — |
| 4.5 |
| 2.322 |
| MON |
| 40,758.56 |
| 489,103.00 |
| 12/8/2009 |
| 11/15/2024 |
|
3620AFY35 |
| GNMA POOL # 728930 |
|
|
|
|
| 2 |
|
|
| 129,374.94 |
| 108.23 |
| 131,573.13 |
| 121,568.00 |
| 129,068.46 |
| 2,504.67 |
| (2,243.33 | ) | — |
| — |
| 4.5 |
| 2.043 |
| MON |
| 455.88 |
| 5,471.00 |
| 10/7/2010 |
| 12/15/2024 |
|
3620AKQR0 |
| GNMA POOL # 732264 |
|
|
|
|
| 2 |
|
|
| 308,278.91 |
| 108.243 |
| 313,553.71 |
| 289,676.26 |
| 307,525.20 |
| 6,028.51 |
| (5,640.31 | ) | — |
| — |
| 4.5 |
| 2.317 |
| MON |
| 1,086.29 |
| 13,035.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620AKR57 |
| GNMA POOL # 732308 |
|
|
|
|
| 2 |
|
|
| 93,381.05 |
| 108.243 |
| 94,978.85 |
| 87,746.11 |
| 93,179.17 |
| 1,799.68 |
| (2,416.96 | ) | — |
| — |
| 4.5 |
| 1.729 |
| MON |
| 329.05 |
| 3,949.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620AL5N0 |
| GNMA POOL # 733553 |
|
|
|
|
| 2 |
|
|
| 746,271.61 |
| 108.243 |
| 759,040.69 |
| 701,238.93 |
| 744,593.02 |
| 14,447.67 |
| (8,268.44 | ) | — |
| — |
| 4.5 |
| 1.976 |
| MON |
| 2,629.65 |
| 31,556.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620AQG72 |
| GNMA POOL # 736522 |
|
|
|
|
| 2 |
|
|
| 728,859.21 |
| 108.243 |
| 741,330.35 |
| 684,877.25 |
| 727,178.59 |
| 14,151.76 |
| (21,492.32 | ) | — |
| — |
| 4.5 |
| 2.094 |
| MON |
| 2,568.29 |
| 30,819.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620AQHC0 |
| GNMA POOL # 736527 |
|
|
|
|
| 2 |
|
|
| 327,534.80 |
| 108.243 |
| 333,139.09 |
| 307,770.19 |
| 326,757.67 |
| 6,381.42 |
| (10,214.86 | ) | — |
| — |
| 4.5 |
| 2.21 |
| MON |
| 1,154.14 |
| 13,850.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620AQXC2 |
| GNMA POOL # 736975 |
|
|
|
|
| 2 |
|
|
| 536,157.86 |
| 108.243 |
| 545,331.79 |
| 503,804.19 |
| 534,905.27 |
| 10,426.52 |
| (8,042.52 | ) | — |
| — |
| 4.5 |
| 2.068 |
| MON |
| 1,889.27 |
| 22,671.00 |
| 10/7/2010 |
| 2/15/2025 |
|
3620AQ5X7 |
| GNMA POOL # 737162 |
|
|
|
|
| 2 |
|
|
| 403,864.02 |
| 108.243 |
| 410,774.34 |
| 379,493.44 |
| 402,880.54 |
| 7,893.80 |
| (4,376.86 | ) | — |
| — |
| 4.5 |
| 2.303 |
| MON |
| 1,423.10 |
| 17,077.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620AQ6A6 |
| GNMA POOL # 737165 |
|
|
|
|
| 2 |
|
|
| 1,604,145.67 |
| 108.243 |
| 1,631,593.39 |
| 1,507,345.81 |
| 1,600,437.39 |
| 31,156.00 |
| (19,215.91 | ) | — |
| — |
| 4.5 |
| 2.105 |
| MON |
| 5,652.55 |
| 67,831.00 |
| 10/7/2010 |
| 4/15/2025 |
|
3620ASPY9 |
| GNMA POOL # 738539 |
|
|
|
|
| 2 |
| 1 |
| 6,721,907.64 |
| 107.45 |
| 6,723,640.18 |
| 6,257,484.95 |
| 6,718,980.54 |
| 4,659.64 |
| (11,369.96 | ) | — |
| — |
| 4 |
| 2.672 |
| MON |
| 20,858.28 |
| 41,717.00 |
| 10/3/2011 |
| 7/15/2041 |
|
3620AWE48 |
| GNMA POOL # 741855 |
|
|
|
|
| 2 |
|
|
| 284,812.96 |
| 108.243 |
| 289,686.24 |
| 267,626.32 |
| 284,120.48 |
| 5,565.76 |
| (8,530.04 | ) | — |
| — |
| 4.5 |
| 2.332 |
| MON |
| 1,003.60 |
| 12,043.00 |
| 10/7/2010 |
| 5/15/2025 |
|
3620AWE63 |
| GNMA POOL # 741857 |
|
|
|
|
| 2 |
|
|
| 250,585.21 |
| 108.243 |
| 254,872.86 |
| 235,464.02 |
| 249,999.30 |
| 4,873.56 |
| (3,453.94 | ) | — |
| — |
| 4.5 |
| 2.191 |
| MON |
| 882.99 |
| 10,596.00 |
| 10/7/2010 |
| 5/15/2025 |
|
36225BPY8 |
| GNMA POOL # 781339 |
|
|
|
|
| 2 |
| 1 |
| 302,607.43 |
| 113.5 |
| 311,175.01 |
| 274,163.00 |
| 301,100.47 |
| 10,074.54 |
| (5,725.22 | ) | — |
| — |
| 8 |
| 5.564 |
| MON |
| 1,827.75 |
| 21,933.00 |
| 3/7/2008 |
| 9/15/2031 |
|
36241KBP2 |
| GNMA POOL # 781846 |
|
|
|
|
| 2 |
| 1 |
| 5,089,280.02 |
| 115.125 |
| 5,674,596.85 |
| 4,929,084.80 |
| 5,083,426.32 |
| 591,170.53 |
| (35,233.06 | ) | — |
| — |
| 6.5 |
| 5.722 |
| MON |
| 26,699.21 |
| 320,391.00 |
| 8/15/2008 |
| 9/15/2034 |
|
36241KEC8 |
| GNMA POOL # 781931 |
|
|
|
|
| 2 |
| 1 |
| 3,539,785.26 |
| 115.1 |
| 3,946,036.36 |
| 3,428,363.45 |
| 3,535,850.02 |
| 410,186.34 |
| (24,713.94 | ) | — |
| — |
| 6.5 |
| 5.744 |
| MON |
| 18,570.31 |
| 222,844.00 |
| 8/15/2008 |
| 5/15/2035 |
|
36241KEH7 |
| GNMA POOL # 781936 |
|
|
|
|
| 2 |
| 1 |
| 2,868,750.70 |
| 109.299 |
| 3,032,678.25 |
| 2,774,671.99 |
| 2,866,653.02 |
| 166,025.23 |
| (21,297.10 | ) | — |
| — |
| 4.5 |
| 3.71 |
| MON |
| 10,405.02 |
| 124,860.00 |
| 6/3/2010 |
| 6/15/2035 |
|
36241KGU6 |
| GNMA POOL # 782011 |
|
|
|
|
| 2 |
|
|
| 215,541.13 |
| 111.047 |
| 234,228.68 |
| 210,926.97 |
| 215,424.19 |
| 18,804.49 |
| (1,031.25 | ) | — |
| — |
| 5 |
| 4.351 |
| MON |
| 878.86 |
| 10,546.00 |
| 7/14/2009 |
| 12/15/2035 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
36241KKB3 |
| GNMA POOL # 782090 |
|
|
|
|
| 2 |
|
|
| 4,239,516.66 |
| 114.344 |
| 4,663,978.19 |
| 4,078,909.60 |
| 4,232,094.52 |
| 431,883.67 |
| (39,471.55 | ) | — |
| — |
| 6.5 |
| 5.61 |
| MON |
| 22,094.09 |
| 265,129.00 |
| 11/30/2007 |
| 5/15/2036 |
|
36241K6L7 |
| GNMA POOL # 782675 |
|
|
|
|
| 2 |
|
|
| 79,889.50 |
| 108.23 |
| 81,246.90 |
| 75,068.69 |
| 79,694.33 |
| 1,552.57 |
| (1,692.21 | ) | — |
| — |
| 4.5 |
| 1.912 |
| MON |
| 281.51 |
| 3,378.00 |
| 10/7/2010 |
| 6/15/2024 |
|
36241LHQ2 |
| GNMA POOL # 782939 |
|
|
|
|
| 2 |
| 1 |
| 7,338,712.29 |
| 110.872 |
| 7,765,022.70 |
| 7,003,580.03 |
| 7,332,920.95 |
| 432,101.75 |
| (74,376.54 | ) | — |
| — |
| 5 |
| 3.875 |
| MON |
| 29,181.58 |
| 350,179.00 |
| 4/23/2010 |
| 9/15/2036 |
|
36241LN36 |
| GNMA POOL # 783110 |
|
|
|
|
| 2 |
| 1 |
| 1,642,025.37 |
| 112.448 |
| 1,705,215.29 |
| 1,516,444.80 |
| 1,640,930.86 |
| 64,284.43 |
| (30,620.93 | ) | — |
| — |
| 5.5 |
| 2.814 |
| MON |
| 6,950.37 |
| 83,404.00 |
| 9/23/2010 |
| 4/15/2036 |
|
38375XTH7 |
| GNMA_08-72 CMO_08-72 V |
|
|
|
|
| 2 |
|
|
| 4,247,198.14 |
| 102.531 |
| 4,108,202.57 |
| 4,006,790.70 |
| 4,114,457.73 |
| (6,255.16 | ) | (125,600.75 | ) | — |
| — |
| 6 |
| -0.428 |
| MON |
| 20,033.95 |
| 240,407.00 |
| 8/18/2010 |
| 12/20/2012 |
|
BRSBZZDX4 |
| GOLDEN LIVING LN1 TERM LOAN |
|
|
|
|
| 1 |
|
|
| 4,932,426.09 |
| 87 |
| 4,459,783.53 |
| 5,126,187.97 |
| 4,941,323.26 |
| (481,539.73 | ) | 9,135.29 |
| — |
| — |
| 0 |
| 0.555 |
| JAJO |
| — |
| 97,432.00 |
| 10/4/2011 |
| 4/26/2018 |
|
38143UAB7 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
|
|
| 213,708.00 |
| 101.52 |
| 203,039.90 |
| 200,000.00 |
| 207,542.29 |
| (4,502.39 | ) | (3,525.33 | ) | — |
| — |
| 5.15 |
| 3.223 |
| JJ |
| 4,749.44 |
| 10,300.00 |
| 3/18/2010 |
| 1/15/2014 |
|
38141GCG7 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
|
|
| 1,402,821.06 |
| 101.877 |
| 1,359,044.24 |
| 1,334,000.00 |
| 1,354,909.84 |
| 4,134.40 |
| (30,594.44 | ) | — |
| — |
| 5.7 |
| 3.294 |
| MS |
| 25,346.00 |
| 76,038.00 |
| 5/28/2010 |
| 9/1/2012 |
|
38143USB8 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
|
|
| 13,978,799.50 |
| 93.47 |
| 13,039,065.14 |
| 13,950,000.00 |
| 13,971,355.82 |
| (932,290.68 | ) | (7,443.68 | ) | — |
| — |
| 1.435 |
| 1.235 |
| FMAN |
| 30,583.44 |
| 132,382.00 |
| 7/12/2011 |
| 2/7/2014 |
|
38141EA33 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 819,037.50 |
| 103.366 |
| 775,243.72 |
| 750,000.00 |
| 787,251.24 |
| (12,007.52 | ) | (15,000.60 | ) | — |
| — |
| 6 |
| 3.755 |
| MN |
| 7,500.00 |
| 45,000.00 |
| 10/29/2009 |
| 5/1/2014 |
|
38141EA74 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,739,374.40 |
| 97.25 |
| 1,672,697.25 |
| 1,720,000.00 |
| 1,735,436.15 |
| (62,738.90 | ) | (8,992.80 | ) | — |
| — |
| 3.7 |
| 3.431 |
| FA |
| 26,516.67 |
| 64,170.00 |
| 1/5/2011 |
| 8/1/2015 |
|
38141GBU7 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,113,480.00 |
| 100.126 |
| 4,005,022.68 |
| 4,000,000.00 |
| 4,001,095.47 |
| 3,927.21 |
| (28,323.91 | ) | — |
| — |
| 6.6 |
| 5.859 |
| JJ |
| 121,733.33 |
| 264,000.00 |
| 8/14/2007 |
| 1/15/2012 |
|
38141GDB7 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 53,919.00 |
| 101.202 |
| 50,601.14 |
| 50,000.00 |
| 51,859.66 |
| (1,258.52 | ) | (1,451.79 | ) | — |
| — |
| 5.25 |
| 2.212 |
| AO |
| 656.25 |
| 2,625.00 |
| 7/26/2010 |
| 4/1/2013 |
|
38141GEA8 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 12,578,850.00 |
| 101.927 |
| 12,231,260.40 |
| 12,000,000.00 |
| 12,497,375.02 |
| (266,114.62 | ) | (93,154.93 | ) | — |
| — |
| 5.125 |
| 3.666 |
| JJ |
| 283,583.33 |
| 256,250.00 |
| 8/16/2011 |
| 1/15/2015 |
|
38144LAC4 |
| GOLDMAN SACHS GROUP INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,092,400.00 |
| 101.951 |
| 5,097,561.50 |
| 5,000,000.00 |
| 5,018,820.98 |
| 78,740.52 |
| (22,235.01 | ) | — |
| — |
| 5.45 |
| 4.982 |
| MN |
| 45,416.67 |
| 272,500.00 |
| 5/13/2008 |
| 11/1/2012 |
|
38146FAA9 |
| GOLDMAN SACHS GROUP INC/THE-GT CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,324,000.00 |
| 101.352 |
| 9,121,708.62 |
| 9,000,000.00 |
| 9,045,814.88 |
| 75,893.74 |
| (112,938.35 | ) | — |
| — |
| 3.25 |
| 2.116 |
| JD |
| 13,000.00 |
| 292,500.00 |
| 2/20/2009 |
| 6/15/2012 |
|
38374C3K5 |
| GOVERNMENT NATIONAL MORTGAGE A CMO_03-85 |
|
|
|
|
| 2 |
| 1 |
| 1,504,304.55 |
| 102.521 |
| 1,455,895.17 |
| 1,420,097.22 |
| 1,471,603.57 |
| (15,708.40 | ) | (43,368.65 | ) | — |
| — |
| 4.5 |
| 0.465 |
| MON |
| 5,325.36 |
| 42,603.00 |
| 4/26/2011 |
| 1/20/2014 |
|
BRS6U4Y32 |
| GRAPHIC PACKAGING INTL TERM LOAN |
|
|
|
|
| 2 |
|
|
| 4,628,524.00 |
| 99.583 |
| 4,605,176.35 |
| 4,624,460.35 |
| 4,627,543.87 |
| (22,367.52 | ) | (672.88 | ) | — |
| — |
| 0 |
| -0.028 |
| JAJO |
| — |
| 65,739.00 |
| 5/13/2011 |
| 5/16/2014 |
|
BRS3D32G6 |
| GRAY TELEVISION INC. TERM LOAN |
|
|
|
|
| 2 |
|
|
| 5,538,768.42 |
| 96.486 |
| 5,439,526.79 |
| 5,637,633.22 |
| 5,555,070.33 |
| (115,543.54 | ) | 17,130.11 |
| — |
| — |
| 0 |
| 0.481 |
| MJSD |
| — |
| 149,187.00 |
| 8/22/2011 |
| 12/31/2014 |
|
BRSAZLZQ8 |
| GREEN MOUNTAIN COFFEE ROASTERS TERM |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| — |
| 00/00/0000 |
| 11/9/2016 |
|
BRSAR9KL1 |
| GRIFOLS SA LN1 TERM LOAN |
|
|
| R |
| 2 |
|
|
| 1,983,640.82 |
| 99.672 |
| 1,978,501.69 |
| 1,985,012.53 |
| 1,981,516.14 |
| (3,014.45 | ) | (9,900.34 | ) | — |
| — |
| 0 |
| -0.17 |
| JAJO |
| — |
| 50,091.00 |
| 9/29/2011 |
| 6/1/2017 |
|
362341RT8 |
| GSAA WHOLE CMO 05-AR6 1A1 |
|
|
|
|
| 2 |
|
|
| 188,845.68 |
| 89.5 |
| 170,697.18 |
| 190,723.11 |
| 189,085.81 |
| (18,388.63 | ) | 467.28 |
| — |
| — |
| 2.722 |
| 3.053 |
| MON |
| 432.67 |
| 5,313.00 |
| 11/21/2007 |
| 1/25/2020 |
|
BRSBK2348 |
| GYMBOREE CORP TERM LOAN |
|
|
|
|
| 1 |
| 4FE |
| 3,657,037.29 |
| 88.75 |
| 3,338,808.09 |
| 3,762,037.29 |
| 3,662,817.00 |
| (324,008.91 | ) | 5,779.71 |
| — |
| — |
| 0 |
| 0.416 |
| FMAN |
| — |
| 108,169.00 |
| 8/15/2011 |
| 2/11/2018 |
|
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 | ) | — |
| — |
| — |
| 0.478 |
| 0.479 |
| MON |
| 1,581.05 |
| 10,480.00 |
| 8/4/2011 |
| 2/15/2013 |
|
41283LAA3 |
| HARLEY-DAVIDSON FINANCIAL CORP BND 144A |
|
|
|
|
|
|
|
|
| 5,354,250.00 |
| 102.873 |
| 5,400,856.97 |
| 5,250,000.00 |
| 5,350,687.76 |
| 50,169.21 |
| (3,562.24 | ) | — |
| — |
| 3.875 |
| 3.378 |
| MS |
| 59,901.05 |
| 46,258.00 |
| 10/27/2011 |
| 3/15/2016 |
|
43812KAC7 |
| HAROT_10-2 ABS 10-2 A3 |
|
|
|
|
| 2 |
|
|
| 2,976,270.99 |
| 100.328 |
| 2,986,397.20 |
| 2,976,633.84 |
| 2,976,512.64 |
| 9,884.56 |
| 222.69 |
| — |
| — |
| 1.34 |
| 1.349 |
| MON |
| 1,440.36 |
| 39,887.00 |
| 5/12/2010 |
| 5/18/2013 |
|
43813TAD5 |
| HAROT_11-1 ABS_11-1 A4 |
|
|
|
|
| 2 |
| 1FE |
| 2,199,414.14 |
| 101.57 |
| 2,234,543.34 |
| 2,200,000.00 |
| 2,199,558.94 |
| 34,984.40 |
| 144.80 |
| — |
| — |
| 1.8 |
| 1.815 |
| MON |
| 1,760.00 |
| 32,010.00 |
| 2/17/2011 |
| 3/15/2015 |
|
43813BAC6 |
| HAROT_2010-3 ABS_10-3 A3 |
|
|
|
|
| 2 |
| 1FE |
| 1,377,255.86 |
| 99.93 |
| 1,374,037.50 |
| 1,375,000.00 |
| 1,376,566.91 |
| (2,529.41 | ) | (688.95 | ) | — |
| — |
| 0.7 |
| 0.559 |
| MON |
| 267.36 |
| 3,208.00 |
| 8/18/2011 |
| 5/21/2013 |
|
415864AK3 |
| HARSCO CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 8,486,765.00 |
| 102.949 |
| 8,750,669.34 |
| 8,500,000.00 |
| 8,491,445.94 |
| 259,223.40 |
| 4,680.94 |
| — |
| — |
| 2.7 |
| 2.727 |
| AO |
| 48,450.00 |
| 168,563.00 |
| 6/2/2011 |
| 10/15/2015 |
|
44923WAD3 |
| HART ABS 10-A 4 |
|
|
|
|
| 2 |
|
|
| 8,149,863.90 |
| 103.093 |
| 8,402,087.65 |
| 8,150,000.00 |
| 8,149,793.07 |
| 252,294.58 |
| (86.83 | ) | — |
| — |
| 2.45 |
| 2.462 |
| MON |
| 8,874.44 |
| 199,675.00 |
| 5/5/2010 |
| 8/15/2015 |
|
44923YAC1 |
| HART_10-B ABS 10-B A3 |
|
|
|
|
| 2 |
| 1FE |
| 3,899,304.42 |
| 100.02 |
| 3,900,780.00 |
| 3,900,000.00 |
| 3,899,688.13 |
| 1,091.87 |
| 286.23 |
| — |
| — |
| 0.97 |
| 0.979 |
| MON |
| 1,681.34 |
| 37,830.00 |
| 8/19/2010 |
| 12/15/2013 |
|
44923YAD9 |
| HART_10-B ABS_10-B A4 |
|
|
|
|
| 2 |
|
|
| 7,549,294.08 |
| 101.05 |
| 7,629,275.00 |
| 7,550,000.00 |
| 7,549,519.56 |
| 79,755.44 |
| 164.91 |
| — |
| — |
| 1.63 |
| 1.638 |
| MON |
| 5,469.56 |
| 123,065.00 |
| 8/19/2010 |
| 9/15/2015 |
|
419791YG7 |
| HAWAII ST MUNI BND GO |
|
|
|
|
|
|
|
|
| 2,007,940.00 |
| 105.755 |
| 2,115,099.94 |
| 2,000,000.00 |
| 2,005,064.72 |
| 110,035.22 |
| (1,547.74 | ) | — |
| — |
| 3 |
| 2.914 |
| FA |
| 25,000.00 |
| 60,000.00 |
| 2/10/2010 |
| 2/1/2015 |
|
G4364MKY1 |
| HBOS TREASURY SERVICES PLC (LO CORP BND |
|
|
| F |
|
|
|
|
| 5,059,594.40 |
| 101.669 |
| 5,083,462.90 |
| 5,000,000.00 |
| 5,017,649.61 |
| 65,813.29 |
| (37,135.44 | ) | — |
| — |
| 5.5 |
| 4.632 |
| JUN |
| 149,722.22 |
| 275,000.00 |
| 11/12/2010 |
| 6/15/2012 |
|
BRS9SHAY8 |
| HCA INC LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,995,000.00 |
| 94.736 |
| 1,894,720.00 |
| 2,000,000.00 |
| 1,995,795.57 |
| (101,075.57 | ) | 795.57 |
| — |
| — |
| 0 |
| 0.04 |
| FMAN |
| — |
| 103,939.00 |
| 12/16/2010 |
| 3/31/2017 |
|
BRSC106T3 |
| HCA INC Term loan |
|
|
|
|
| 2 |
| 1FE |
| 1,992,500.00 |
| 94.55 |
| 1,891,000.00 |
| 2,000,000.00 |
| 1,993,280.37 |
| (102,280.37 | ) | 780.37 |
| — |
| — |
| 0 |
| 0.052 |
| FMAN |
| — |
| 2,000.00 |
| 3/8/2011 |
| 5/1/2018 |
|
BRS2ZVNV6 |
| HCA INC TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 1,995,000.00 |
| 98.3 |
| 1,966,000.00 |
| 2,000,000.00 |
| 1,996,211.64 |
| (30,211.64 | ) | 1,211.64 |
| — |
| — |
| 0 |
| 0.099 |
| MON |
| — |
| 51,603.00 |
| 5/16/2011 |
| 11/18/2013 |
|
41283KAC1 |
| HDMOT_10-1 ABS 10-1 A3 |
|
|
|
|
| 2 |
| 1FE |
| 1,099,844.68 |
| 100.224 |
| 1,102,463.99 |
| 1,100,000.00 |
| 1,099,919.33 |
| 2,544.66 |
| 70.34 |
| — |
| — |
| 1.16 |
| 1.169 |
| MON |
| 567.11 |
| 12,760.00 |
| 11/17/2010 |
| 6/15/2013 |
|
41283KAD9 |
| HDMOT_10-1 ABS_10-1 A4 |
|
|
|
|
| 2 |
|
|
| 1,497,187.50 |
| 100.325 |
| 1,504,871.10 |
| 1,500,000.00 |
| 1,498,100.40 |
| 6,770.70 |
| 912.90 |
| — |
| — |
| 1.53 |
| 1.606 |
| MON |
| 1,020.00 |
| 21,038.00 |
| 2/2/2011 |
| 2/15/2014 |
|
40414LAB5 |
| HEALTH CARE PROPERTY INVESTORS CORP BND |
|
|
|
|
|
|
| 2FE |
| 6,767,745.00 |
| 99.774 |
| 6,734,751.82 |
| 6,750,000.00 |
| 6,762,423.32 |
| (27,671.50 | ) | (5,321.68 | ) | — |
| — |
| 2.7 |
| 2.609 |
| FA |
| 75,937.50 |
| 94,669.00 |
| 1/20/2011 |
| 2/1/2014 |
|
BRSD9CAS4 |
| HEALTH MANAGEMENT ASSOCIATES I TERM |
|
|
|
|
| 1 |
| 1 |
| 1,930,500.00 |
| 99.42 |
| 1,938,690.00 |
| 1,950,000.00 |
| 1,930,706.42 |
| 7,983.58 |
| 219.94 |
| — |
| — |
| 0 |
| 0.143 |
| MJSD |
| — |
| — |
| 11/16/2011 |
| 11/16/2018 |
|
429827AN8 |
| HEF_04-1 ABS 04-1 A13 144A |
|
|
|
|
| 2 |
|
|
| 164,000.00 |
| 84.089 |
| 168,178.00 |
| 200,000.00 |
| 168,469.81 |
| (291.81 | ) | 2,663.70 |
| — |
| — |
| 1.673 |
| 3.515 |
| MON |
| 192.01 |
| 2,745.00 |
| 9/10/2009 |
| 12/26/2030 |
|
429827AQ1 |
| HEF_04-1 ABS 04-1 A15 144A |
|
|
|
|
|
|
|
|
| 246,000.00 |
| 84.724 |
| 254,172.30 |
| 300,000.00 |
| 249,302.55 |
| 4,869.75 |
| 1,437.04 |
| — |
| — |
| 0 |
| 0.579 |
| MON |
| — |
| 4,140.00 |
| 9/10/2009 |
| 1/1/2044 |
|
429827AB4 |
| HEF_10-401 ABS 04-1 A2 144A |
|
|
|
|
| 2 |
|
|
| 164,000.00 |
| 84.089 |
| 168,178.00 |
| 200,000.00 |
| 171,271.04 |
| (3,093.04 | ) | 4,637.97 |
| — |
| — |
| 1.627 |
| 4.154 |
| MON |
| 18.08 |
| 2,747.00 |
| 9/10/2009 |
| 4/25/2024 |
|
429827AF5 |
| HEF_10-401 ABS 04-1 A6 144A |
|
|
|
|
| 2 |
|
|
| 164,000.00 |
| 84.089 |
| 168,178.00 |
| 200,000.00 |
| 169,649.57 |
| (1,471.57 | ) | 3,667.41 |
| — |
| — |
| 1.74 |
| 3.804 |
| MON |
| 48.33 |
| 2,742.00 |
| 9/10/2009 |
| 2/25/2028 |
|
423074AL7 |
| HEINZ H. J. COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 4,998,350.00 |
| 100.719 |
| 5,035,928.35 |
| 5,000,000.00 |
| 4,998,446.17 |
| 37,482.18 |
| 107.26 |
| — |
| — |
| 2 |
| 2.007 |
| MS |
| 30,277.78 |
| — |
| 9/7/2011 |
| 9/12/2016 |
|
BRS29NQV0 |
| HELIX ENERGY SOLUTIONS TERM LOAN |
|
|
|
|
|
|
|
|
| 1,412,003.38 |
| 99 |
| 1,400,965.59 |
| 1,415,116.76 |
| 1,413,266.84 |
| (12,301.25 | ) | 3,699.67 |
| — |
| — |
| 0 |
| 0.086 |
| JAJO |
| — |
| 38,614.00 |
| 2/22/2011 |
| 7/1/2013 |
|
427866AS7 |
| HERSHEY FOODS CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 8,106,068.75 |
| 99.585 |
| 8,091,315.29 |
| 8,125,000.00 |
| 8,106,549.92 |
| (15,234.63 | ) | 481.17 |
| — |
| — |
| 1.5 |
| 1.549 |
| MN |
| 15,911.46 |
| — |
| 11/8/2011 |
| 11/1/2016 |
|
BRSBNUWH2 |
| HERTZ CORPORATION TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 3,491,525.29 |
| 98.016 |
| 3,508,825.70 |
| 3,579,849.92 |
| 3,495,285.02 |
| 13,540.68 |
| 3,810.10 |
| — |
| — |
| 0 |
| 0.377 |
| FMAN |
| — |
| 30,000.00 |
| 10/14/2011 |
| 3/11/2018 |
|
428236BT9 |
| HEWLETT-PACKARD COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 3,268,234.20 |
| 101.311 |
| 3,312,885.82 |
| 3,270,000.00 |
| 3,268,269.98 |
| 44,615.84 |
| 35.78 |
| — |
| — |
| 2.625 |
| 2.644 |
| JD |
| 5,245.63 |
| — |
| 12/6/2011 |
| 12/9/2014 |
|
428236AT0 |
| HEWLETT-PACKARD COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,576,217.00 |
| 108.12 |
| 6,460,171.97 |
| 5,975,000.00 |
| 6,249,730.46 |
| 210,441.51 |
| (128,938.21 | ) | — |
| — |
| 6.125 |
| 3.889 |
| MS |
| 121,989.58 |
| 365,969.00 |
| 10/26/2009 |
| 3/1/2014 |
|
428236AV5 |
| HEWLETT-PACKARD COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 10,351,763.65 |
| 105.341 |
| 10,090,600.12 |
| 9,579,000.00 |
| 10,028,612.25 |
| 61,987.87 |
| (177,450.86 | ) | — |
| — |
| 4.75 |
| 2.73 |
| JD |
| 36,652.98 |
| 455,003.00 |
| 4/9/2010 |
| 6/2/2014 |
|
428236BJ1 |
| HEWLETT-PACKARD COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 8,105,000.00 |
| 96.685 |
| 7,836,319.09 |
| 8,105,000.00 |
| 8,105,000.00 |
| (268,680.91 | ) | — |
| — |
| — |
| 0.923 |
| 0.654 |
| FMAN |
| 6,650.13 |
| 28,291.00 |
| 5/25/2011 |
| 5/30/2014 |
|
BRS9GBTB4 |
| HEXION SPECIALTY CHEMICALS TL TERM LOAN |
|
|
|
|
|
|
|
|
| 2,766,239.66 |
| 96.438 |
| 2,672,693.46 |
| 2,771,411.13 |
| 2,767,220.44 |
| (94,526.98 | ) | 1,070.51 |
| — |
| — |
| 0 |
| 0.045 |
| FMAN |
| — |
| 45,505.00 |
| 5/13/2011 |
| 5/5/2015 |
|
429827AE8 |
| HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 |
|
|
|
|
| 2 |
|
|
| 164,000.00 |
| 84.089 |
| 168,178.00 |
| 200,000.00 |
| 170,324.09 |
| (2,146.09 | ) | 3,769.52 |
| — |
| — |
| 0 |
| 1.901 |
| MON |
| — |
| 2,779.00 |
| 9/10/2009 |
| 6/25/2027 |
|
429827AJ7 |
| HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 |
|
|
|
|
| 2 |
|
|
| 164,224.00 |
| 84.089 |
| 168,178.00 |
| 200,000.00 |
| 169,602.14 |
| (1,424.14 | ) | 3,257.88 |
| — |
| — |
| 0 |
| 1.83 |
| MON |
| 267.38 |
| 2,734.00 |
| 9/10/2009 |
| 3/27/2028 |
|
429827AK4 |
| HIGHER EDUCATION FUNDING HEF_0 ABS_04-1 |
|
|
|
|
| 2 |
|
|
| 164,196.00 |
| 84.089 |
| 168,178.00 |
| 200,000.00 |
| 168,907.36 |
| (729.36 | ) | 2,631.84 |
| — |
| — |
| 1.806 |
| 4.377 |
| MON |
| 305.89 |
| 2,753.00 |
| 9/10/2009 |
| 7/25/2025 |
|
438516AY2 |
| HONEYWELL INTERNATIONAL INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,061,080.00 |
| 106.541 |
| 1,065,408.72 |
| 1,000,000.00 |
| 1,046,445.64 |
| 18,963.08 |
| (9,219.14 | ) | — |
| — |
| 3.875 |
| 1.633 |
| FA |
| 14,638.88 |
| 19,375.00 |
| 10/20/2011 |
| 2/15/2014 |
|
BRSBH14P6 |
| HOUGHTON INTERNATIONAL INC LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| 2,844,774.52 |
| 99.292 |
| 2,808,268.25 |
| 2,828,292.56 |
| 2,841,902.92 |
| (33,634.67 | ) | (2,769.36 | ) | — |
| — |
| 0 |
| -0.116 |
| JAJO |
| — |
| 48,432.00 |
| 9/19/2011 |
| 1/29/2016 |
|
44328MAB0 |
| HSBC BANK PLC CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 3,497,130.00 |
| 101.019 |
| 3,535,647.82 |
| 3,500,000.00 |
| 3,497,945.19 |
| 37,702.63 |
| 544.25 |
| — |
| — |
| 3.5 |
| 3.518 |
| JD |
| 1,020.83 |
| 122,500.00 |
| 6/21/2010 |
| 6/28/2015 |
|
44328MAD6 |
| HSBC BANK PLC CORP BOND 144A |
|
|
| F |
|
|
| 1FE |
| 7,042,386.00 |
| 98.395 |
| 6,936,881.69 |
| 7,050,000.00 |
| 7,045,857.31 |
| (108,975.62 | ) | 2,512.13 |
| — |
| — |
| 1.625 |
| 1.662 |
| FA |
| 44,233.85 |
| 114,563.00 |
| 8/5/2010 |
| 8/12/2013 |
|
G4637EBQ7 |
| HSBC BANK PLC LOCAL BND MTN |
|
|
| D |
| 1 |
|
|
| 1,359,673.17 |
| 99.53 |
| 1,082,760.46 |
| 700,000.00 |
| 1,364,027.49 |
| (281,267.03 | ) | 1,427.94 |
| — |
| (281,622.72 | ) | 5.75 |
| 5.776 |
| JUN |
| 32,130.80 |
| 64,269.00 |
| 1/14/2008 |
| 6/27/2017 |
|
40429CFV9 |
| HSBC FINANCE CORP CORP BND |
|
|
|
|
|
|
|
|
| 9,139,665.00 |
| 92.119 |
| 8,751,305.29 |
| 9,500,000.00 |
| 9,299,349.88 |
| (548,044.59 | ) | 95,662.51 |
| — |
| — |
| 0.653 |
| 1.592 |
| JAJO |
| 13,097.48 |
| 51,276.00 |
| 4/26/2010 |
| 1/15/2014 |
|
BRSBXUEK4 |
| HUBBARD RADIO TERM LOAN |
|
|
|
|
| 1 |
|
|
| 1,568,853.25 |
| 98.063 |
| 1,590,434.77 |
| 1,621,850.00 |
| 1,570,286.43 |
| 20,148.34 |
| 1,461.43 |
| — |
| — |
| 0 |
| 0.599 |
| JAJO |
| — |
| 18,171.00 |
| 9/30/2011 |
| 4/12/2017 |
|
BRS8R3U20 |
| HUNTSMAN INTL LLC TERM LOAN |
|
|
|
|
|
|
|
|
| 5,947,500.00 |
| 95.083 |
| 5,704,980.00 |
| 6,000,000.00 |
| 5,954,160.49 |
| (249,180.49 | ) | 6,660.49 |
| — |
| — |
| 0 |
| 0.168 |
| FMAN |
| — |
| 94,146.00 |
| 5/13/2011 |
| 6/30/2016 |
|
BRSCD57K7 |
| HUSKY INTERNATIONAL LTD TERM LOAN |
|
|
| F |
|
|
|
|
| 4,925,250.00 |
| 99.563 |
| 4,953,259.25 |
| 4,975,000.00 |
| 4,928,622.65 |
| 24,636.60 |
| 3,622.65 |
| — |
| — |
| 0 |
| 0.142 |
| MJSD |
| — |
| 15,270.00 |
| 6/24/2011 |
| 6/24/2018 |
|
44920UAC2 |
| HYUNDAI CAP SVC CORP BND 144A |
|
|
| F |
|
|
| 2FE |
| 2,982,210.00 |
| 101.284 |
| 3,038,526.00 |
| 3,000,000.00 |
| 2,984,920.89 |
| 53,605.11 |
| 2,710.89 |
| — |
| — |
| 4.375 |
| 4.498 |
| JJ |
| 56,145.83 |
| 65,625.00 |
| 1/20/2011 |
| 7/27/2016 |
|
44923QAB0 |
| HYUNDAI CAPITAL AMERICA CORP BND 144A |
|
|
|
|
|
|
| 2FE |
| 1,991,020.00 |
| 99.216 |
| 1,984,322.50 |
| 2,000,000.00 |
| 1,991,116.55 |
| (6,794.05 | ) | 96.55 |
| — |
| — |
| 4 |
| 4.092 |
| JD |
| 5,111.11 |
| — |
| 12/1/2011 |
| 6/8/2017 |
|
BRSBZZFY0 |
| IASIS HLTHCARE CORP TERM LOAN |
|
|
|
|
| 1 |
| 1Z |
| 3,348,718.66 |
| 96.313 |
| 3,270,398.20 |
| 3,395,593.74 |
| 3,351,645.12 |
| (81,246.92 | ) | 3,048.25 |
| — |
| — |
| 0 |
| 0.2 |
| JAJO |
| — |
| 75,534.00 |
| 8/19/2011 |
| 5/3/2018 |
|
459200GW5 |
| IBM CORP CORP BND |
|
|
|
|
|
|
|
|
| 4,995,300.00 |
| 100.906 |
| 5,045,315.55 |
| 5,000,000.00 |
| 4,996,284.01 |
| 49,031.54 |
| 984.01 |
| — |
| — |
| 1.25 |
| 1.282 |
| MN |
| 8,506.94 |
| 31,250.00 |
| 5/9/2011 |
| 5/12/2014 |
|
459200GN5 |
| IBM CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,209,710.75 |
| 110.015 |
| 3,190,421.06 |
| 2,900,000.00 |
| 3,031,314.40 |
| 159,106.66 |
| (69,757.06 | ) | — |
| — |
| 6.5 |
| 3.85 |
| AO |
| 39,794.45 |
| 188,500.00 |
| 6/11/2009 |
| 10/15/2013 |
|
459200GR6 |
| IBM CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,796,112.00 |
| 102.082 |
| 4,899,937.15 |
| 4,800,000.00 |
| 4,798,471.12 |
| 101,466.03 |
| 1,264.29 |
| — |
| — |
| 2.1 |
| 2.124 |
| MN |
| 15,400.00 |
| 100,800.00 |
| 11/3/2009 |
| 5/6/2013 |
|
459200GT2 |
| IBM CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,987,545.58 |
| 100.401 |
| 5,020,042.80 |
| 5,000,000.00 |
| 4,993,106.55 |
| 26,936.25 |
| 6,121.96 |
| — |
| — |
| 1 |
| 1.087 |
| FA |
| 20,277.78 |
| 50,000.00 |
| 11/12/2010 |
| 8/5/2013 |
|
459200GZ8 |
| IBM CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,993,280.00 |
| 99.619 |
| 7,969,530.64 |
| 8,000,000.00 |
| 7,993,692.94 |
| (24,162.30 | ) | 412.94 |
| — |
| — |
| 0.875 |
| 0.903 |
| AO |
| 11,666.67 |
| — |
| 11/15/2011 |
| 10/31/2014 |
|
44924EAB6 |
| IBM INTL GROUP CAPITAL CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,015,244.20 |
| 103.597 |
| 6,236,559.63 |
| 6,020,000.00 |
| 6,019,152.21 |
| 217,407.42 |
| 942.98 |
| — |
| — |
| 5.05 |
| 5.068 |
| AO |
| 58,268.58 |
| 304,010.00 |
| 10/17/2007 |
| 10/22/2012 |
|
4521518T3 |
| ILLINOIS ST MUNI BND GO |
|
|
|
|
|
|
| 1FE |
| 3,144,919.00 |
| 101.682 |
| 3,152,141.76 |
| 3,100,000.00 |
| 3,115,577.37 |
| 36,564.39 |
| (15,149.02 | ) | — |
| — |
| 3.321 |
| 2.808 |
| JJ |
| 51,475.50 |
| 102,951.00 |
| 1/12/2010 |
| 1/1/2013 |
|
4521518V8 |
| ILLINOIS ST MUNI BND GO |
|
|
|
|
|
|
| 1FE |
| 2,300,000.00 |
| 103.511 |
| 2,380,753.04 |
| 2,300,000.00 |
| 2,300,000.00 |
| 80,753.04 |
| — |
| — |
| — |
| 4.421 |
| 4.421 |
| JJ |
| 50,841.50 |
| 101,683.00 |
| 1/8/2010 |
| 1/1/2015 |
|
BRSCQ2G46 |
| IMMUCOR INC. TERM LOAN |
|
|
|
|
| 1 |
|
|
| 2,872,800.00 |
| 100.45 |
| 3,005,966.25 |
| 2,992,500.00 |
| 2,878,537.90 |
| 127,428.35 |
| 6,037.90 |
| — |
| — |
| 0 |
| 0.59 |
| MJSD |
| — |
| 47,007.00 |
| 8/17/2011 |
| 7/2/2018 |
|
BRSBQFU50 |
| IMS HEALTH INCORPORATED |
|
|
|
|
| 1 |
| 3FE |
| 4,861,768.62 |
| 99.594 |
| 4,842,029.84 |
| 4,861,768.62 |
| 4,861,768.62 |
| (19,738.78 | ) | — |
| — |
| — |
| 0 |
| 0 |
| FA |
| — |
| 107,405.00 |
| 3/10/2011 |
| 8/26/2017 |
|
449786AN2 |
| ING BANK NV CORP BND 144A |
|
|
| F |
|
|
|
|
| 2,375,000.00 |
| 95.779 |
| 2,274,751.23 |
| 2,375,000.00 |
| 2,375,000.00 |
| (100,248.77 | ) | — |
| — |
| — |
| 1.94 |
| 1.652 |
| MJSD |
| 2,943.68 |
| 20,450.00 |
| 6/1/2011 |
| 6/9/2014 |
|
458140AH3 |
| INTEL CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,797,246.00 |
| 101.642 |
| 1,829,563.52 |
| 1,800,000.00 |
| 1,797,394.97 |
| 32,168.55 |
| 148.97 |
| — |
| — |
| 1.95 |
| 1.982 |
| AO |
| 9,945.00 |
| — |
| 9/14/2011 |
| 10/1/2016 |
|
BRSBBCT22 |
| INTELSAT JACKSON HLDGS SA TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| — |
| 00/00/0000 |
| 12/23/2015 |
|
BRSB5PYE8 |
| INTELSAT JACKSON TERM LOAN |
|
|
| F |
| 2 |
| 4FE |
| 3,553,991.54 |
| 99.125 |
| 3,596,635.10 |
| 3,628,383.46 |
| 3,558,753.87 |
| 37,881.23 |
| 4,834.70 |
| — |
| — |
| 0 |
| 0.303 |
| MJSD |
| — |
| 25,452.00 |
| 8/17/2011 |
| 4/2/2018 |
|
4581X0BM9 |
| INTER-AMERICAN DEV BK CORP BND |
|
|
| F |
|
|
|
|
| 998,720.00 |
| 101.749 |
| 1,017,490.01 |
| 1,000,000.00 |
| 999,358.67 |
| 18,131.34 |
| 408.31 |
| — |
| — |
| 1.625 |
| 1.667 |
| JJ |
| 7,493.06 |
| 16,250.00 |
| 5/26/2010 |
| 7/15/2013 |
|
45818WAE6 |
| INTER-AMERICAN DEV BK CORP BND |
|
|
| F |
|
|
| 1FE |
| 5,679,368.80 |
| 101.402 |
| 5,678,511.61 |
| 5,600,000.00 |
| 5,661,052.00 |
| 17,459.61 |
| (18,316.80 | ) | — |
| — |
| 0.929 |
| 0.31 |
| FMAN |
| 5,927.76 |
| 31,271.00 |
| 4/8/2011 |
| 5/20/2014 |
|
4581X0AT5 |
| INTER-AMERICAN DEV BK CORP BND |
|
|
| F |
|
|
| 1FE |
| 6,399,162.94 |
| 103.314 |
| 6,198,847.68 |
| 6,000,000.00 |
| 6,121,790.64 |
| 77,057.04 |
| (354,284.42 | ) | — |
| — |
| 4.75 |
| 2.168 |
| AO |
| 57,000.00 |
| 285,000.00 |
| 2/19/2010 |
| 10/19/2012 |
|
4581X0AF5 |
| INTER-AMERICAN DEV BK CORP BND EMTN |
|
|
| F |
|
|
|
|
| 7,418,582.14 |
| 104.355 |
| 7,513,560.22 |
| 7,200,000.00 |
| 7,326,746.16 |
| 186,814.06 |
| (81,053.09 | ) | — |
| — |
| 3.5 |
| 2.314 |
| JJ |
| 121,100.00 |
| 252,000.00 |
| 11/12/2010 |
| 7/8/2013 |
|
45950KAT7 |
| INTERNATIONAL FINANCE CO CORP BND |
|
|
| F |
|
|
|
|
| 4,683,362.00 |
| 103.863 |
| 4,881,560.96 |
| 4,700,000.00 |
| 4,695,206.97 |
| 186,353.99 |
| 3,352.04 |
| — |
| — |
| 3.5 |
| 3.576 |
| MN |
| 21,019.45 |
| 45,500.00 |
| 12/14/2011 |
| 5/15/2013 |
|
45950KAZ3 |
| INTERNATIONAL FINANCE CO CORP BND |
|
|
| F |
|
|
|
|
| 9,756,880.00 |
| 105.419 |
| 10,014,805.57 |
| 9,500,000.00 |
| 9,639,466.95 |
| 375,338.62 |
| (58,146.93 | ) | — |
| — |
| 3 |
| 2.342 |
| AO |
| 54,625.00 |
| 285,000.00 |
| 12/11/2009 |
| 4/22/2014 |
|
BRSC095F6 |
| IPAYMENT INC. TERM LOAN |
|
|
|
|
| 1 |
|
|
| 956,526.68 |
| 98.375 |
| 945,711.67 |
| 961,333.34 |
| 957,043.51 |
| (11,331.84 | ) | 710.17 |
| — |
| — |
| 0 |
| 0.082 |
| JAJO |
| — |
| 32,150.00 |
| 5/3/2011 |
| 5/8/2017 |
|
BRS3V66X8 |
| IPC SYSTEMS INC TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 1,841.97 |
| — |
| — |
| 2.773 |
| 0 |
| FMAN |
| — |
| 1,688.00 |
| 00/00/0000 |
| 6/2/2014 |
|
BRSBTKQC6 |
| ISLE OF CAPRI CASINOS INC. TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 6,432.00 |
| 00/00/0000 |
| 3/1/2017 |
|
478160AP9 |
| J & J MEDICAL CORP BND |
|
|
| R |
|
|
|
|
| 1,056,318.58 |
| 102.94 |
| 1,029,399.86 |
| 1,000,000.00 |
| 1,020,140.15 |
| 9,259.71 |
| (74,304.63 | ) | — |
| — |
| 5.15 |
| 1.877 |
| FA |
| 19,455.56 |
| 51,500.00 |
| 11/12/2010 |
| 8/15/2012 |
|
BRSBH1CU6 |
| J CREW GROUP INC TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 1,267,776.07 |
| 93.714 |
| 1,230,122.09 |
| 1,312,634.28 |
| 1,269,763.57 |
| (39,641.48 | ) | 1,987.50 |
| — |
| — |
| 0 |
| 0.511 |
| FMAN |
| — |
| 28,408.00 |
| 8/18/2011 |
| 3/7/2018 |
|
BRSBVKNS1 |
| JARDEN CORP TERM LOAN |
|
|
|
|
|
|
| 3FE |
| 987,512.56 |
| 100.041 |
| 987,917.44 |
| 987,512.56 |
| 987,512.56 |
| 404.88 |
| — |
| — |
| — |
| 0 |
| 0 |
| MS |
| — |
| 18,667.00 |
| 3/30/2011 |
| 3/31/2018 |
|
477874AC5 |
| JDOT_09 ABS 09 A3 |
|
|
|
|
| 2 |
| 1FE |
| 65,269.95 |
| 100.118 |
| 64,592.73 |
| 64,516.41 |
| 64,583.25 |
| 9.48 |
| (8,464.19 | ) | — |
| — |
| 2.59 |
| 1.306 |
| MON |
| 74.27 |
| 1,671.00 |
| 5/13/2010 |
| 2/15/2012 |
|
47787AAD9 |
| JDOT_10-A ABS 10-A-A3 |
|
|
|
|
| 2 |
| 1FE |
| 669,780.25 |
| 100.23 |
| 671,417.63 |
| 669,876.91 |
| 669,843.42 |
| 1,574.21 |
| 77.30 |
| — |
| — |
| 1.32 |
| 1.33 |
| MON |
| 392.99 |
| 8,842.00 |
| 4/15/2010 |
| 6/15/2013 |
|
BRSBR4P35 |
| JO-ANN STORES TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 2,659,635.00 |
| 95.063 |
| 2,553,867.50 |
| 2,686,500.00 |
| 2,662,593.95 |
| (108,726.45 | ) | 3,093.95 |
| — |
| — |
| 0 |
| 0.141 |
| JAJO |
| — |
| 96,488.00 |
| 3/15/2011 |
| 3/31/2018 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
24422EQM4 |
| JOHN DEERE CAPITAL CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,933,035.75 |
| 104.265 |
| 4,092,384.45 |
| 3,925,000.00 |
| 3,926,978.16 |
| 165,406.29 |
| (1,969.79 | ) | — |
| — |
| 4.95 |
| 4.896 |
| JD |
| 7,555.64 |
| 194,288.00 |
| 7/24/2008 |
| 12/17/2012 |
24422EQY8 |
| JOHN DEERE CAPITAL CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,123,807.50 |
| 105.331 |
| 1,184,977.80 |
| 1,125,000.00 |
| 1,124,220.80 |
| 60,757.00 |
| 229.46 |
| — |
| — |
| 2.95 |
| 2.973 |
| MS |
| 10,325.00 |
| 33,188.00 |
| 3/3/2010 |
| 3/9/2015 |
24422ERD3 |
| JOHN DEERE CAPITAL CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,900,780.90 |
| 100.171 |
| 1,903,248.81 |
| 1,900,000.00 |
| 1,900,597.62 |
| 2,651.19 |
| (183.28 | ) | — |
| — |
| 0.553 |
| 0.328 |
| JAJO |
| 2,218.39 |
| 2,679.00 |
| 7/7/2011 |
| 7/15/2013 |
478160AW4 |
| JOHNSON & JOHNSON CORP BND |
|
|
|
|
|
|
|
|
| 122,861.25 |
| 106.101 |
| 132,626.01 |
| 125,000.00 |
| 123,117.10 |
| 9,508.91 |
| 824.17 |
| — |
| — |
| 2.95 |
| 3.15 |
| MS |
| 1,229.17 |
| 3,831.00 |
| 8/12/2010 |
| 9/1/2020 |
478160AX2 |
| JOHNSON & JOHNSON CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,991,810.00 |
| 101.383 |
| 7,096,818.26 |
| 7,000,000.00 |
| 6,993,470.78 |
| 103,347.48 |
| 1,660.78 |
| — |
| — |
| 1.2 |
| 1.24 |
| MN |
| 10,733.33 |
| 40,833.00 |
| 5/17/2011 |
| 5/15/2014 |
478366AY3 |
| JOHNSON CONTROLS INC CORP BND |
|
|
|
|
|
|
|
|
| 5,400,000.00 |
| 99.936 |
| 5,396,543.84 |
| 5,400,000.00 |
| 5,400,000.00 |
| (3,456.16 | ) | — |
| — |
| — |
| 0.843 |
| 0.721 |
| FMAN |
| 7,334.63 |
| 28,382.00 |
| 2/1/2011 |
| 2/4/2014 |
479403AB3 |
| JOHNSTON RE LTD CORP BND 144A |
|
|
| E |
|
|
|
|
| 5,000,000.00 |
| 102.283 |
| 5,114,150.00 |
| 5,000,000.00 |
| 5,000,000.00 |
| 114,150.00 |
| — |
| — |
| — |
| 6.5 |
| 6.667 |
| MJSD |
| 21,666.67 |
| 329,646.00 |
| 4/30/2010 |
| 5/8/2013 |
479403AC1 |
| JOHNSTON RE LTD CORP BND 144A |
|
|
| F |
|
|
|
|
| 3,500,000.00 |
| 103.465 |
| 3,621,275.00 |
| 3,500,000.00 |
| 3,500,000.00 |
| 121,275.00 |
| — |
| — |
| — |
| 7.6 |
| 7.669 |
| MJSD |
| 17,733.33 |
| 151,525.00 |
| 5/9/2011 |
| 5/8/2014 |
466247E74 |
| JPMMT CMO_06-A1 2A2 |
|
|
|
|
| 2 |
|
|
| 330,575.36 |
| 71.988 |
| 237,788.14 |
| 330,317.28 |
| 330,468.94 |
| (92,680.80 | ) | (113.00 | ) | — |
| — |
| 2.767 |
| 2.738 |
| MON |
| 761.76 |
| 9,384.00 |
| 2/6/2008 |
| 2/25/2036 |
46625HHP8 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 8,568,850.00 |
| 103.09 |
| 8,762,663.35 |
| 8,500,000.00 |
| 8,545,127.61 |
| 217,535.74 |
| (14,592.37 | ) | — |
| — |
| 3.7 |
| 3.515 |
| JJ |
| 140,651.39 |
| 314,500.00 |
| 3/18/2010 |
| 1/20/2015 |
46623EJC4 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
|
|
| 1,647,101.20 |
| 98.962 |
| 1,622,976.77 |
| 1,640,000.00 |
| 1,644,362.47 |
| (21,385.70 | ) | (2,447.34 | ) | — |
| — |
| 1.329 |
| 0.888 |
| MJSD |
| 121.11 |
| 17,604.00 |
| 11/16/2010 |
| 9/30/2013 |
46625HCE8 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
|
|
| 182,024.50 |
| 106.055 |
| 185,596.97 |
| 175,000.00 |
| 179,344.10 |
| 6,252.87 |
| (1,263.77 | ) | — |
| — |
| 4.75 |
| 3.908 |
| MS |
| 2,770.83 |
| 8,313.00 |
| 10/29/2009 |
| 3/1/2015 |
46625HGT1 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
|
|
| 5,222,250.00 |
| 103.345 |
| 5,167,227.70 |
| 5,000,000.00 |
| 5,038,746.57 |
| 128,481.13 |
| (49,886.69 | ) | — |
| — |
| 5.375 |
| 4.31 |
| AO |
| 67,187.50 |
| 268,750.00 |
| 1/30/2008 |
| 10/1/2012 |
46625HHB9 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,647,350.00 |
| 104.481 |
| 7,836,056.93 |
| 7,500,000.00 |
| 7,568,833.90 |
| 267,223.03 |
| (50,231.28 | ) | — |
| — |
| 4.75 |
| 4.031 |
| MN |
| 59,375.00 |
| 356,250.00 |
| 4/23/2010 |
| 5/1/2013 |
46625HHN3 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,390,096.00 |
| 105.343 |
| 3,370,963.39 |
| 3,200,000.00 |
| 3,305,754.25 |
| 65,209.14 |
| (41,470.52 | ) | — |
| — |
| 4.65 |
| 3.216 |
| JD |
| 12,400.00 |
| 148,800.00 |
| 12/16/2009 |
| 6/1/2014 |
46625HHX1 |
| JPMORGAN CHASE & CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,088,650.00 |
| 101.006 |
| 5,050,317.75 |
| 5,000,000.00 |
| 5,078,047.51 |
| (27,729.76 | ) | (9,450.67 | ) | — |
| — |
| 3.45 |
| 3.048 |
| MS |
| 57,500.00 |
| 89,604.00 |
| 5/16/2011 |
| 3/1/2016 |
BRSBDPXK6 |
| JPMORGAN CHASE & CO CORP BND EMTN |
|
|
| O |
|
|
|
|
| 1,858,741.36 |
| 103.046 |
| 1,841,656.07 |
| 1,150,000.00 |
| 1,858,682.42 |
| (17,026.35 | ) | (58.94 | ) | — |
| (50,321.84 | ) | 4.25 |
| 3.986 |
| JJ |
| 33,024.63 |
| 25,951.00 |
| 11/9/2011 |
| 1/25/2017 |
46623EJH3 |
| JPMORGAN CHASE & CO CORP BND MTN |
|
|
|
|
|
|
|
|
| 7,152,775.00 |
| 97.05 |
| 6,939,075.21 |
| 7,150,000.00 |
| 7,152,230.14 |
| (213,154.93 | ) | (641.20 | ) | — |
| — |
| 1.296 |
| 1.011 |
| MJSD |
| 4,376.65 |
| 46,988.00 |
| 5/31/2011 |
| 5/2/2014 |
46623EJF7 |
| JPMORGAN CHASE & CO CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 5,775,000.00 |
| 98.486 |
| 5,687,566.50 |
| 5,775,000.00 |
| 5,775,000.00 |
| (87,433.50 | ) | — |
| — |
| — |
| 1.216 |
| 1.103 |
| JAJO |
| 13,454.73 |
| 47,149.00 |
| 1/14/2011 |
| 1/24/2014 |
481247AE4 |
| JPMORGAN CHASE & CO-GTD CORP BND GOVT |
|
|
|
|
|
|
| 1FE |
| 2,053,960.00 |
| 100.881 |
| 2,017,624.88 |
| 2,000,000.00 |
| 2,013,186.78 |
| 4,438.10 |
| (118,072.92 | ) | — |
| — |
| 2.125 |
| 0.725 |
| JD |
| 1,062.50 |
| 42,500.00 |
| 7/7/2010 |
| 6/22/2012 |
481247AK0 |
| JPMORGAN CHASE BANK NA - GTD CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,523,434.50 |
| 100.947 |
| 2,548,906.70 |
| 2,525,000.00 |
| 2,524,773.80 |
| 24,132.90 |
| 490.96 |
| — |
| — |
| 2.2 |
| 2.22 |
| JD |
| 2,468.89 |
| 55,550.00 |
| 2/18/2009 |
| 6/15/2012 |
BRSC103Q2 |
| KAR HOLDINGS TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 4,249,663.71 |
| 98.458 |
| 4,205,159.69 |
| 4,271,018.80 |
| 4,251,756.28 |
| (46,596.59 | ) | 2,763.90 |
| — |
| — |
| 0 |
| 0.083 |
| FMAN |
| — |
| 99,762.00 |
| 5/16/2011 |
| 5/19/2017 |
487836BF4 |
| KELLOGG COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 4,994,800.00 |
| 100.631 |
| 5,031,545.25 |
| 5,000,000.00 |
| 4,994,923.18 |
| 36,622.07 |
| 123.18 |
| — |
| — |
| 1.875 |
| 1.897 |
| MN |
| 11,458.33 |
| — |
| 11/14/2011 |
| 11/17/2016 |
49328CAA3 |
| KEYBANK NA - GTD CORP BND GOVT GUAR |
|
|
|
|
|
|
|
|
| 2,088,898.00 |
| 101.308 |
| 2,026,151.80 |
| 2,000,000.00 |
| 2,017,012.52 |
| 9,139.28 |
| (37,156.77 | ) | — |
| — |
| 3.2 |
| 1.312 |
| JD |
| 2,844.44 |
| 64,000.00 |
| 1/15/2010 |
| 6/15/2012 |
500769DG6 |
| KFW GROUP CORP BND GOVT GUAR |
|
|
| F |
|
|
|
|
| 5,068,965.55 |
| 100.446 |
| 5,022,322.05 |
| 5,000,000.00 |
| 5,009,383.19 |
| 12,938.86 |
| (37,872.31 | ) | — |
| — |
| 2.25 |
| 1.597 |
| AO |
| 23,437.50 |
| 112,500.00 |
| 2/19/2010 |
| 4/16/2012 |
494550BG0 |
| KINDER MORGAN ENERGY PARTNERS CORP BND |
|
|
|
|
|
|
| 2FE |
| 1,149,793.00 |
| 103.773 |
| 1,193,389.62 |
| 1,150,000.00 |
| 1,149,822.51 |
| 43,567.11 |
| 29.51 |
| — |
| — |
| 3.5 |
| 3.504 |
| MS |
| 13,416.67 |
| 19,790.00 |
| 2/23/2011 |
| 3/1/2016 |
BRSBUXKY4 |
| KINDRED HEALTHCARE INC. TERM LOAN |
|
|
|
|
|
|
|
|
| 3,516,927.50 |
| 92.792 |
| 3,277,645.42 |
| 3,532,250.00 |
| 3,518,191.36 |
| (240,545.94 | ) | 1,441.36 |
| — |
| — |
| 0 |
| 0.063 |
| MJSD |
| — |
| 45,918.00 |
| 5/19/2011 |
| 3/30/2018 |
BRSD4PTL5 |
| KINETIC CONCEPTS INC. TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 2,702,000.00 |
| 100.8 |
| 2,822,400.00 |
| 2,800,000.00 |
| 2,704,087.79 |
| 118,312.21 |
| 2,087.79 |
| — |
| — |
| 0 |
| 0.506 |
| MJSD |
| — |
| 28,856.00 |
| 10/20/2011 |
| 10/18/2018 |
50075NAX2 |
| KRAFT FOODS INC. CORP BND |
|
|
|
|
|
|
| 2FE |
| 2,609,190.00 |
| 111.514 |
| 2,509,070.31 |
| 2,250,000.00 |
| 2,470,863.74 |
| 38,206.57 |
| (104,649.61 | ) | — |
| — |
| 6.75 |
| 2.024 |
| FA |
| 55,687.50 |
| 151,875.00 |
| 8/10/2010 |
| 2/19/2014 |
50075NBB9 |
| KRAFT FOODS INC. CORP BND |
|
|
|
|
|
|
| 2FE |
| 8,983,530.00 |
| 108.172 |
| 8,924,220.61 |
| 8,250,000.00 |
| 8,861,581.27 |
| 62,639.34 |
| (119,366.09 | ) | — |
| — |
| 4.125 |
| 2.225 |
| FA |
| 134,234.38 |
| 216,563.00 |
| 8/4/2011 |
| 2/9/2016 |
500769EP5 |
| KREDITANSTALT FUER WIDERAUFBAU CORP BND |
|
|
| F |
|
|
|
|
| 14,500,000.00 |
| 99.953 |
| 14,493,185.44 |
| 14,500,000.00 |
| 14,500,000.00 |
| (6,814.56 | ) | — |
| — |
| — |
| 0.295 |
| 0.195 |
| MON |
| 1,542.57 |
| 16,982.00 |
| 6/8/2011 |
| 6/17/2013 |
D4085B7T2 |
| KREDITANSTALT FUER WIDERAUFBAU CORP BND |
|
|
| D |
|
|
|
|
| 3,496,559.00 |
| 108.364 |
| 3,368,158.35 |
| 2,000,000.00 |
| 3,488,499.64 |
| (120,341.29 | ) | (8,059.36 | ) | — |
| (89,454.32 | ) | 3.75 |
| 1.649 |
| SEP |
| 36,941.72 |
| — |
| 11/9/2011 |
| 9/7/2016 |
500769AX2 |
| KREDITANSTALT FUER WIDERAUFBAU CORP BND |
|
|
| F |
|
|
| 1FE |
| 15,891,001.50 |
| 108.558 |
| 16,283,699.85 |
| 15,000,000.00 |
| 15,500,691.03 |
| 783,008.82 |
| (170,043.32 | ) | — |
| — |
| 4.125 |
| 2.87 |
| AO |
| 130,625.00 |
| 618,750.00 |
| 8/31/2009 |
| 10/15/2014 |
500769EK6 |
| KREDITANSTALT FUER WIDERAUFBAU CORP BND |
|
|
| F |
|
|
| 1FE |
| 10,674,685.00 |
| 101.272 |
| 10,633,559.58 |
| 10,500,000.00 |
| 10,644,204.43 |
| (10,644.85 | ) | (30,480.57 | ) | — |
| — |
| 1.5 |
| 0.884 |
| AO |
| 38,062.50 |
| 78,750.00 |
| 7/12/2011 |
| 4/4/2014 |
D4085CCP2 |
| KREDITANSTALT FUER WIEDERAUFBA CORP BND |
|
|
| D |
|
|
|
|
| 3,688,345.49 |
| 103.388 |
| 3,534,842.38 |
| 2,200,000.00 |
| 3,666,352.02 |
| (131,509.64 | ) | (10,662.82 | ) | — |
| (229,858.75 | ) | 3 |
| 2.668 |
| SEP |
| 31,948.22 |
| 104,907.00 |
| 11/11/2009 |
| 9/9/2013 |
D4085DTN7 |
| KREDITANSTALT FUER WIEDERAUFBA CORP BND |
|
|
| D |
|
|
|
|
| 1,004,438.49 |
| 104.55 |
| 974,890.94 |
| 600,000.00 |
| 1,002,844.88 |
| (27,953.94 | ) | (1,593.61 | ) | — |
| (25,715.59 | ) | 2.75 |
| 1.4 |
| SEP |
| 8,127.18 |
| — |
| 11/9/2011 |
| 9/7/2015 |
49925JAE7 |
| KWKF_20-10 ABS 10-1 A |
|
|
|
|
| 2 |
|
|
| 891,746.41 |
| 96.572 |
| 873,254.98 |
| 904,252.76 |
| 892,631.24 |
| (19,376.26 | ) | 1,579.20 |
| — |
| — |
| 1.456 |
| 1.594 |
| FMAN |
| 1,353.27 |
| 11,364.00 |
| 9/15/2010 |
| 8/27/2029 |
502413BB2 |
| L-3 COMMUN CORP CORP BND |
|
|
|
|
|
|
|
|
| 2,581,098.00 |
| 101.373 |
| 2,635,700.21 |
| 2,600,000.00 |
| 2,581,473.72 |
| 54,226.49 |
| 375.72 |
| — |
| — |
| 3.95 |
| 4.113 |
| MN |
| 11,125.83 |
| — |
| 11/17/2011 |
| 11/15/2016 |
51218TAA5 |
| LAKESIDE RE II LTD CORP BND 144A |
|
|
| F |
|
|
|
|
| 9,750,000.00 |
| 102.978 |
| 10,040,355.00 |
| 9,750,000.00 |
| 9,750,000.00 |
| 290,355.00 |
| — |
| — |
| — |
| 7.75 |
| 7.895 |
| MJSD |
| 2,098.96 |
| 766,681.00 |
| 12/18/2009 |
| 1/8/2013 |
D4901WZJ9 |
| LANDWIRTSCHAFTLICHE RENTENBANK CORP BND |
|
|
| F |
|
|
|
|
| 16,986,810.74 |
| 103.663 |
| 16,897,069.33 |
| 16,300,000.00 |
| 16,596,185.83 |
| 300,883.50 |
| (277,905.30 | ) | — |
| — |
| 4.375 |
| 2.562 |
| JAN |
| 685,392.36 |
| 713,125.00 |
| 7/31/2010 |
| 1/15/2013 |
BRS3T9YQ9 |
| LAS VEGAS SANDS LLC LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 1,325.42 |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 9,817.00 |
| 00/00/0000 |
| 5/23/2014 |
BRSAHW6G8 |
| LAS VEGAS SANDS LLC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 941,345.01 |
| 95.698 |
| 914,809.95 |
| 955,934.24 |
| 943,038.39 |
| (28,228.44 | ) | 1,723.46 |
| — |
| — |
| 0 |
| 0.273 |
| FMAN |
| — |
| 15,802.00 |
| 5/16/2011 |
| 11/23/2016 |
BRSAHW876 |
| LAS VEGAS SANDS LLC TERM LOAN |
|
|
|
|
|
|
|
|
| 4,907,579.39 |
| 95.698 |
| 4,771,760.94 |
| 4,986,270.30 |
| 4,916,939.76 |
| (145,178.82 | ) | 9,518.75 |
| — |
| — |
| 0 |
| 0.284 |
| FMAN |
| — |
| 37,929.00 |
| 5/16/2011 |
| 11/6/2016 |
BRSCE52Q8 |
| LAWSON SOFTWARE INC. |
|
|
|
|
|
|
| 4FE |
| 3,055,124.00 |
| 97.339 |
| 3,145,899.14 |
| 3,231,900.00 |
| 3,064,680.61 |
| 81,218.53 |
| 9,880.61 |
| — |
| — |
| 0 |
| 0.818 |
| JD |
| — |
| 19,809.00 |
| 8/29/2011 |
| 6/29/2018 |
52205VAA3 |
| LEASEPLAN CORPORATION NV - GTD CORP BND |
|
|
| F |
|
|
|
|
| 23,629,630.20 |
| 100.827 |
| 23,321,215.24 |
| 23,130,000.00 |
| 23,236,745.23 |
| 84,470.01 |
| (321,736.31 | ) | — |
| — |
| 3 |
| 1.668 |
| MN |
| 104,085.00 |
| 693,900.00 |
| 10/28/2010 |
| 5/7/2012 |
52517PA35 |
| LEHMAN BROS HOLDINGS INC |
|
|
|
|
|
|
|
|
| 1,575,000.00 |
|
|
| 2,351,250.00 |
| 9,000,000.00 |
| 1,575,000.00 |
| 776,250.00 |
| — |
| — |
| — |
|
|
|
|
|
|
| — |
|
|
|
|
|
|
BRSCTV4V2 |
| LENDER PROCESS TERM LOANS |
|
|
|
|
|
|
|
|
| 1,470,112.50 |
| 98 |
| 1,462,650.00 |
| 1,492,500.00 |
| 1,471,180.56 |
| (8,530.56 | ) | 1,180.56 |
| — |
| — |
| 0 |
| 0.214 |
| FMAN |
| — |
| 13,927.00 |
| 8/12/2011 |
| 8/14/2018 |
BRSBPKAQ6 |
| LESLIES POOLMART INC. TERM LOAN |
|
|
|
|
|
|
| 1Z |
| 3,912,399.50 |
| 97.917 |
| 3,896,998.19 |
| 3,979,899.50 |
| 3,917,023.74 |
| (20,025.55 | ) | 4,624.24 |
| — |
| — |
| 0 |
| 0.314 |
| FMAN |
| — |
| 46,884.00 |
| 8/12/2011 |
| 11/21/2016 |
539473AD0 |
| LLOYDS TSB BANK PLC - GTD CORP BND GOVT |
|
|
| F |
|
|
|
|
| 3,829,031.25 |
| 100.229 |
| 3,758,587.65 |
| 3,750,000.00 |
| 3,758,567.14 |
| 20.51 |
| (44,226.55 | ) | — |
| — |
| 1.372 |
| 0.393 |
| JAJO |
| 12,863.53 |
| 48,742.00 |
| 11/25/2009 |
| 4/2/2012 |
G4718BAV5 |
| LLOYDS TSB BANK PLC - GTD CORP BND GOVT |
|
|
| D |
|
|
|
|
| 1,867,254.05 |
| 100.381 |
| 1,872,023.12 |
| 1,200,000.00 |
| 1,830,972.18 |
| 41,050.94 |
| (19,877.75 | ) | — |
| 38,125.21 |
| 2.75 |
| 1.634 |
| MAR |
| 40,776.01 |
| 53,011.00 |
| 2/26/2010 |
| 3/16/2012 |
52520MBU6 |
| LMT WHOLE CMO 05-2 |
|
|
|
|
| 2 |
|
|
| 182,932.10 |
| 99.588 |
| 182,314.24 |
| 183,069.22 |
| 182,354.29 |
| (40.05 | ) | 6,148.94 |
| — |
| — |
| 5.5 |
| 5.496 |
| MON |
| 839.07 |
| 10,069.00 |
| 5/19/2008 |
| 2/1/2012 |
BRS3SKK31 |
| LOCAL TV ON SATELLITE LLC TERM LOAN |
|
|
|
|
|
|
|
|
| 1,362,746.51 |
| 96.231 |
| 1,334,742.59 |
| 1,387,019.35 |
| 1,372,387.16 |
| (37,644.57 | ) | 13,797.21 |
| — |
| — |
| 0 |
| 0.777 |
| FMAN |
| — |
| 30,001.00 |
| 2/1/2011 |
| 5/7/2013 |
541502AB6 |
| LOMA REINSURANCE CORP BND 144A |
|
|
| R |
|
|
|
|
| 4,000,000.00 |
| 100.113 |
| 4,004,520.00 |
| 4,000,000.00 |
| 4,000,000.00 |
| 4,520.00 |
| — |
| — |
| — |
| 18 |
| 18.421 |
| MJSD |
| 8,000.00 |
| — |
| 12/22/2011 |
| 1/9/2014 |
55607EAD2 |
| MACQUARIE BANK LTD - GTD CORP BND GOVT |
|
|
| F |
|
|
|
|
| 3,549,726.04 |
| 100.089 |
| 3,503,131.84 |
| 3,500,000.00 |
| 3,501,355.79 |
| 1,776.05 |
| (26,115.05 | ) | — |
| — |
| 2.6 |
| 1.843 |
| JJ |
| 40,697.22 |
| 91,000.00 |
| 2/19/2010 |
| 1/20/2012 |
55607EAA8 |
| MACQUARIE GROUP LTD -GTD CORP BND GOVT |
|
|
| F |
|
|
| 1FE |
| 4,678,890.29 |
| 105.752 |
| 4,758,840.32 |
| 4,500,000.00 |
| 4,594,161.25 |
| 164,679.07 |
| (45,990.97 | ) | — |
| — |
| 4.1 |
| 2.992 |
| JD |
| 7,175.00 |
| 184,500.00 |
| 2/19/2010 |
| 12/17/2013 |
77937NAC9 |
| MACROVISION CORPORATION TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 1,830.00 |
| 00/00/0000 |
| 2/1/2018 |
BRSC3CCP6 |
| MANITOWOC CO INC. TERM LOAN |
|
|
|
|
|
|
| 3FE |
| 396,408.00 |
| 97.625 |
| 388,938.00 |
| 398,400.00 |
| 396,597.01 |
| (7,659.01 | ) | 597.01 |
| — |
| — |
| 0 |
| 0.076 |
| FMAN |
| — |
| 10,065.00 |
| 5/9/2011 |
| 11/30/2017 |
57583PEM7 |
| MASSACHUSETTS ST MUNITAX BND REV |
|
|
|
|
|
|
|
|
| 4,625,000.00 |
| 105.226 |
| 4,866,702.41 |
| 4,625,000.00 |
| 4,625,000.00 |
| 241,702.41 |
| — |
| — |
| — |
| 2.983 |
| 2.983 |
| JD |
| 6,131.72 |
| 134,898.00 |
| 12/15/2010 |
| 12/15/2015 |
577081AV4 |
| MATTEL INC CORP BND |
|
|
|
|
|
|
|
|
| 1,495,470.00 |
| 100.501 |
| 1,507,513.40 |
| 1,500,000.00 |
| 1,495,596.03 |
| 11,917.37 |
| 127.12 |
| — |
| — |
| 2.5 |
| 2.565 |
| MN |
| 5,520.83 |
| — |
| 11/3/2011 |
| 11/1/2016 |
587682AC9 |
| MBART_10-A ABS 10-A-A3 |
|
|
|
|
| 2 |
| 1FE |
| 626,489.06 |
| 100.491 |
| 629,684.14 |
| 626,609.68 |
| 626,566.81 |
| 3,117.33 |
| 67.48 |
| — |
| — |
| 1.42 |
| 1.433 |
| MON |
| 395.46 |
| 8,898.00 |
| 4/13/2010 |
| 8/15/2013 |
55263ECH6 |
| MBNA CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 352,687.50 |
| 101.199 |
| 333,955.61 |
| 330,000.00 |
| 335,676.29 |
| (1,720.68 | ) | (4,636.07 | ) | — |
| — |
| 6.125 |
| 4.59 |
| MS |
| 6,737.50 |
| 20,213.00 |
| 1/30/2008 |
| 3/1/2013 |
55264TCX7 |
| MBNAS ABS 05-A2 |
|
|
|
|
| 2 |
|
|
| 5,000,000.00 |
| 99.999 |
| 4,999,957.50 |
| 5,000,000.00 |
| 5,000,000.00 |
| (42.50 | ) | — |
| — |
| — |
| 0.358 |
| 0.359 |
| MON |
| 845.99 |
| 7,543.00 |
| 7/7/2011 |
| 5/15/2012 |
BRS9W7N54 |
| MCC IOWA LLC TERM LOAN |
|
|
|
|
|
|
| 3FE |
| 1,960,125.30 |
| 96.938 |
| 1,914,464.77 |
| 1,974,937.35 |
| 1,961,905.69 |
| (47,440.92 | ) | 1,930.75 |
| — |
| — |
| 0 |
| 0.112 |
| JAJO |
| — |
| 56,571.00 |
| 12/17/2010 |
| 10/23/2017 |
580169AM2 |
| MCDONNELL DOUGLAS CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,169,456.25 |
| 102.109 |
| 4,467,281.48 |
| 4,375,000.00 |
| 4,420,889.85 |
| 46,391.63 |
| (179,504.30 | ) | — |
| — |
| 9.75 |
| 5.417 |
| AO |
| 106,640.63 |
| 426,563.00 |
| 5/31/2007 |
| 4/1/2012 |
BRSAZMN71 |
| MEDASSETS INC LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 952,274.96 |
| 99.4 |
| 988,575.78 |
| 994,543.04 |
| 955,113.25 |
| 33,462.53 |
| 3,070.21 |
| — |
| — |
| 0 |
| 0.819 |
| FMAN |
| — |
| 8,525.00 |
| 8/19/2011 |
| 11/16/2016 |
585055AU0 |
| MEDTRONIC INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,968,430.00 |
| 103.782 |
| 7,264,710.46 |
| 7,000,000.00 |
| 6,973,183.90 |
| 291,526.56 |
| 4,753.90 |
| — |
| — |
| 2.625 |
| 2.722 |
| MS |
| 54,104.17 |
| 91,875.00 |
| 3/10/2011 |
| 3/15/2016 |
BRSBRN2H7 |
| MEG ENERGY CORP TERM LOAN |
|
|
| A |
| 1 |
|
|
| 7,001,250.00 |
| 99.469 |
| 6,945,422.93 |
| 6,982,500.00 |
| 6,987,515.22 |
| (42,092.29 | ) | (13,734.78 | ) | — |
| — |
| 0 |
| -0.331 |
| MJSD |
| — |
| 119,257.00 |
| 5/19/2011 |
| 3/18/2012 |
589331AK3 |
| MERCK & CO INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 8,701,862.50 |
| 111.197 |
| 8,895,764.16 |
| 8,000,000.00 |
| 8,451,528.68 |
| 444,235.48 |
| (134,203.30 | ) | — |
| — |
| 4.75 |
| 2.871 |
| MS |
| 126,666.67 |
| 380,000.00 |
| 2/17/2010 |
| 3/1/2015 |
BRSCEALQ6 |
| MERCURY PAYMENT SYSTEMS TERM LOAN |
|
|
|
|
|
|
|
|
| 3,250,665.00 |
| 99.5 |
| 3,267,082.50 |
| 3,283,500.00 |
| 3,253,339.66 |
| 13,742.84 |
| 2,839.66 |
| — |
| — |
| 0 |
| 0.169 |
| JAJO |
| — |
| 55,757.00 |
| 6/29/2011 |
| 6/15/2017 |
59018YM40 |
| MERRILL LYNCH & CO INC CORP BND |
|
|
|
|
|
|
|
|
| 2,027,689.55 |
| 100.472 |
| 2,009,440.46 |
| 2,000,000.00 |
| 2,010,718.96 |
| (1,278.50 | ) | (20,415.38 | ) | — |
| — |
| 5.45 |
| 4.941 |
| FA |
| 44,205.56 |
| 109,000.00 |
| 2/19/2010 |
| 2/5/2013 |
59018YTZ4 |
| MERRILL LYNCH & CO INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,092,710.00 |
| 99.155 |
| 1,958,303.55 |
| 1,975,000.00 |
| 2,043,795.74 |
| (85,492.19 | ) | (27,104.24 | ) | — |
| — |
| 5.45 |
| 3.993 |
| JJ |
| 49,632.85 |
| 107,638.00 |
| 1/6/2010 |
| 7/15/2014 |
59018YN56 |
| MERRILL LYNCH & CO INC CORP BND MTN |
|
|
|
|
|
|
|
|
| 3,256,943.51 |
| 100.683 |
| 3,070,843.09 |
| 3,050,000.00 |
| 3,145,895.61 |
| (75,052.52 | ) | (105,601.31 | ) | — |
| — |
| 6.15 |
| 3.675 |
| AO |
| 34,388.75 |
| 187,575.00 |
| 11/12/2010 |
| 4/25/2013 |
BRSBRMFR3 |
| METROPCS WIRELESS INC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 5,109,344.72 |
| 96.9 |
| 5,045,587.60 |
| 5,207,004.75 |
| 5,115,201.13 |
| (69,613.53 | ) | 6,071.38 |
| — |
| — |
| 0 |
| 0.277 |
| MJSD |
| — |
| 111,267.00 |
| 8/15/2011 |
| 3/19/2018 |
BRSBLUUU7 |
| MICHAEL FOODS INC. TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 3,191,019.05 |
| 98.75 |
| 3,125,209.44 |
| 3,164,769.05 |
| 3,187,984.57 |
| (62,775.13 | ) | (3,034.48 | ) | — |
| — |
| 0 |
| -0.118 |
| FMAN |
| — |
| 40,005.00 |
| 3/2/2011 |
| 2/14/2018 |
BRS8ZGYZ5 |
| MICHAELS STORES INC. TERM LOAN |
|
|
|
|
| 2 |
|
|
| 3,985,000.00 |
| 98.225 |
| 3,929,000.00 |
| 4,000,000.00 |
| 3,986,447.34 |
| (57,447.34 | ) | 1,447.34 |
| — |
| — |
| 0 |
| 0.073 |
| FMAN |
| — |
| 69,218.00 |
| 6/22/2011 |
| 7/31/2016 |
BRSD1YF59 |
| MICROSEMI CORPORATION TERM LOAN |
|
|
|
|
| 1 |
|
|
| 1,962,468.48 |
| 99.675 |
| 1,996,010.66 |
| 2,002,518.85 |
| 1,963,745.62 |
| 32,265.04 |
| 1,377.52 |
| — |
| — |
| 0 |
| 0.317 |
| MJSD |
| — |
| 8,316.00 |
| 10/7/2011 |
| 2/2/2018 |
594918AF1 |
| MICROSOFT CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,507,392.50 |
| 100.828 |
| 6,528,626.53 |
| 6,475,000.00 |
| 6,498,922.86 |
| 29,703.67 |
| (12,520.43 | ) | — |
| — |
| 0.875 |
| 0.661 |
| MS |
| 14,793.58 |
| 39,156.00 |
| 7/13/2011 |
| 9/27/2013 |
594918AG9 |
| MICROSOFT CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,395,238.00 |
| 101.954 |
| 3,417,491.24 |
| 3,352,000.00 |
| 3,393,442.97 |
| 24,048.27 |
| 475.68 |
| — |
| — |
| 1.625 |
| 1.283 |
| MS |
| 14,525.33 |
| 16,160.00 |
| 9/29/2011 |
| 9/25/2015 |
595620AD7 |
| MIDAMERICAN ENERGY HOLDINGS CO CORP BND |
|
|
|
|
|
|
|
|
| 14,515,750.75 |
| 109.27 |
| 14,483,745.14 |
| 13,255,000.00 |
| 14,083,782.96 |
| 399,962.18 |
| (289,072.47 | ) | — |
| — |
| 4.65 |
| 2.287 |
| AO |
| 154,089.39 |
| 616,358.00 |
| 7/29/2010 |
| 10/1/2014 |
BRS4BYYF5 |
| MILLENNIUM INORGANIC CHEMICALS TERM LOAN |
|
|
|
|
|
|
|
|
| 1,496,250.35 |
| 98.85 |
| 1,482,750.35 |
| 1,500,000.35 |
| 1,497,178.83 |
| (14,428.48 | ) | 3,720.50 |
| — |
| — |
| 0 |
| 0.078 |
| FMAN |
| — |
| 10,653.00 |
| 3/8/2011 |
| 5/15/2014 |
BRSBK9U01 |
| MOMENTIVE PERFORMANCE MATERIAL TERM LOAN |
|
|
|
|
| 2 |
|
|
| 5,922,452.55 |
| 95.083 |
| 5,650,466.57 |
| 5,942,667.53 |
| 5,925,617.16 |
| (275,150.59 | ) | 2,949.63 |
| — |
| — |
| 0 |
| 0.085 |
| MJSD |
| — |
| 133,165.00 |
| 5/13/2011 |
| 5/5/2015 |
61747WAE9 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
|
|
| 7,041,242.50 |
| 92.043 |
| 6,443,009.94 |
| 7,000,000.00 |
| 7,029,203.04 |
| (586,193.10 | ) | (12,039.46 | ) | — |
| — |
| 2.016 |
| 1.703 |
| JAJO |
| 26,650.19 |
| 99,246.00 |
| 2/11/2011 |
| 1/24/2014 |
61746BCW4 |
| MORGAN STANLEY & CO. CORP BND GMTN |
|
|
|
|
|
|
| 1FE |
| 2,978,670.00 |
| 100.005 |
| 3,000,155.76 |
| 3,000,000.00 |
| 2,999,883.45 |
| 272.31 |
| 5,279.24 |
| — |
| — |
| 5.625 |
| 5.809 |
| JJ |
| 80,625.00 |
| 168,750.00 |
| 8/14/2007 |
| 1/9/2012 |
6174467N3 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
|
|
| 3,035,220.00 |
| 93.393 |
| 2,801,775.27 |
| 3,000,000.00 |
| 3,027,068.51 |
| (225,293.24 | ) | (9,625.19 | ) | — |
| — |
| 4 |
| 3.726 |
| JJ |
| 52,333.34 |
| 119,333.00 |
| 10/15/2010 |
| 7/24/2015 |
617446B99 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
|
|
| 469,255.00 |
| 90.476 |
| 452,379.99 |
| 500,000.00 |
| 484,839.44 |
| (32,459.45 | ) | 7,225.83 |
| — |
| — |
| 0.691 |
| 2.096 |
| JAJO |
| 796.70 |
| 2,941.00 |
| 10/22/2009 |
| 1/9/2014 |
61747WAK5 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
|
|
| 874,798.75 |
| 94.434 |
| 826,299.62 |
| 875,000.00 |
| 874,826.35 |
| (48,526.73 | ) | 27.60 |
| — |
| — |
| 2.875 |
| 2.883 |
| JJ |
| 10,691.41 |
| — |
| 7/21/2011 |
| 7/28/2014 |
61747YDC6 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
|
|
| 17,775,000.00 |
| 94.238 |
| 16,750,804.33 |
| 17,775,000.00 |
| 17,775,000.00 |
| (1,024,195.67 | ) | — |
| — |
| — |
| 1.408 |
| 1.253 |
| JAJO |
| 43,104.23 |
| 113,530.00 |
| 4/26/2011 |
| 4/29/2013 |
617446H51 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,561,388.20 |
| 95.172 |
| 1,413,300.31 |
| 1,485,000.00 |
| 1,551,761.40 |
| (138,461.09 | ) | (41,953.24 | ) | — |
| — |
| 5.55 |
| 4.588 |
| AO |
| 14,652.00 |
| 82,418.00 |
| 3/3/2011 |
| 4/27/2017 |
617446HC6 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
| 1FE |
| 560,894.25 |
| 100.832 |
| 529,366.95 |
| 525,000.00 |
| 527,333.10 |
| 2,033.85 |
| (9,154.60 | ) | — |
| — |
| 6.6 |
| 4.77 |
| AO |
| 8,662.50 |
| 34,650.00 |
| 1/25/2008 |
| 4/1/2012 |
617446HR3 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,205,448.75 |
| 100.501 |
| 1,130,640.02 |
| 1,125,000.00 |
| 1,169,595.73 |
| (38,955.71 | ) | (53,130.80 | ) | — |
| — |
| 5.3 |
| 1.843 |
| MS |
| 19,875.00 |
| 59,625.00 |
| 1/12/2011 |
| 3/1/2013 |
61746SBQ1 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,228,135.00 |
| 84.067 |
| 4,623,685.06 |
| 5,500,000.00 |
| 5,281,733.02 |
| (658,047.96 | ) | 53,598.02 |
| — |
| — |
| 0.883 |
| 1.841 |
| JAJO |
| 10,253.31 |
| 42,582.00 |
| 1/5/2011 |
| 10/15/2015 |
61747YCF0 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,497,722.25 |
| 100.731 |
| 3,248,584.94 |
| 3,225,000.00 |
| 3,421,264.37 |
| (172,679.43 | ) | (107,755.29 | ) | — |
| — |
| 6 |
| 3.303 |
| MN |
| 25,800.00 |
| 193,500.00 |
| 1/6/2011 |
| 5/13/2014 |
61747YCT0 |
| MORGAN STANLEY CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,973,096.00 |
| 91.245 |
| 2,714,531.35 |
| 2,975,000.00 |
| 2,973,511.17 |
| (258,979.82 | ) | 948.64 |
| — |
| — |
| 3.45 |
| 3.464 |
| MN |
| 16,821.15 |
| 102,638.00 |
| 10/26/2010 |
| 11/2/2015 |
617446V89 |
| MORGAN STANLEY CORP BND MTN |
|
|
|
|
|
|
|
|
| 542,275.00 |
| 101.284 |
| 506,418.00 |
| 500,000.00 |
| 510,654.90 |
| (4,236.90 | ) | (15,753.77 | ) | — |
| — |
| 5.75 |
| 2.482 |
| FA |
| 9,663.19 |
| 28,750.00 |
| 12/16/2009 |
| 8/31/2012 |
6174466Q7 |
| MORGAN STANLEY CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 2,671,468.80 |
| 97.751 |
| 2,408,574.86 |
| 2,464,000.00 |
| 2,661,656.45 |
| (253,081.59 | ) | (15,329.86 | ) | — |
| — |
| 6.625 |
| 5.109 |
| AO |
| 40,810.00 |
| 81,620.00 |
| 8/12/2011 |
| 4/1/2018 |
61747YCE3 |
| MORGAN STANLEY CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 7,831,200.00 |
| 99.576 |
| 7,468,216.35 |
| 7,500,000.00 |
| 7,802,197.61 |
| (333,981.26 | ) | (49,450.95 | ) | — |
| — |
| 6 |
| 4.67 |
| AO |
| 78,750.00 |
| 225,000.00 |
| 9/23/2011 |
| 4/28/2015 |
61757UAH3 |
| MORGAN STANLEY-GTD CORP BND GOVT GUAR |
|
|
|
|
|
|
| 1FE |
| 11,934,254.00 |
| 100.816 |
| 12,097,941.24 |
| 12,000,000.00 |
| 11,991,605.86 |
| 106,335.38 |
| 19,804.19 |
| — |
| — |
| 1.95 |
| 2.101 |
| JD |
| 7,150.00 |
| 234,000.00 |
| 1/6/2010 |
| 6/20/2012 |
61746REV9 |
| MSAC ABS 04-H1 |
|
|
|
|
| 2 |
|
|
| 941,018.20 |
| 82.485 |
| 774,987.95 |
| 939,550.16 |
| 940,578.71 |
| (165,590.76 | ) | (97.78 | ) | — |
| — |
| 1.034 |
| 1.022 |
| MON |
| 134.88 |
| 9,243.00 |
| 1/25/2011 |
| 4/27/2026 |
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
65475HAB7 |
| NALT_11-A ABS_11-A A2A |
|
|
|
|
| 2 |
|
|
| 4,674,945.77 |
| 99.875 |
| 4,669,156.25 |
| 4,675,000.00 |
| 4,674,950.28 |
| (5,794.03 | ) | 4.51 |
| — |
| — |
| 0.7 |
| 0.701 |
| MON |
| 1,454.44 |
| 12,726.00 |
| 7/14/2011 |
| 3/15/2013 |
|
65475VAC4 |
| NAROT ABS 09-1 A3 |
|
|
|
|
| 2 |
| 1FE |
| 1,019,536.50 |
| 101.243 |
| 997,605.80 |
| 985,356.93 |
| 994,681.89 |
| 2,923.91 |
| (75,687.18 | ) | — |
| — |
| 5 |
| 2.143 |
| MON |
| 2,189.68 |
| 49,268.00 |
| 5/24/2010 |
| 8/15/2012 |
|
Q6534X6K2 |
| NATIONAL AUSTRALIA BANK LIMITE CORP BND |
|
|
| D |
|
|
|
|
| 1,725,199.85 |
| 107.934 |
| 1,677,400.12 |
| 1,000,000.00 |
| 1,719,859.93 |
| (42,459.81 | ) | (5,339.92 | ) | — |
| (44,101.73 | ) | 5.375 |
| 2.554 |
| DEC |
| 5,477.57 |
| 84,017.00 |
| 11/9/2011 |
| 12/8/2014 |
|
6325C0AV3 |
| NATIONAL AUSTRALIA BANK LIMITE CORP BND |
|
|
| F |
|
|
| 1FE |
| 8,188,453.32 |
| 105.45 |
| 8,435,999.76 |
| 8,000,000.00 |
| 8,131,871.25 |
| 304,128.51 |
| (50,021.61 | ) | — |
| — |
| 3.375 |
| 2.693 |
| JJ |
| 129,750.00 |
| 270,000.00 |
| 11/12/2010 |
| 7/8/2014 |
|
6325C0CA7 |
| NATIONAL AUSTRALIA BANK LIMITE SENIOR |
|
|
| F |
|
|
| 1FE |
| 9,600,000.00 |
| 98.995 |
| 9,503,520.29 |
| 9,600,000.00 |
| 9,600,000.00 |
| (96,479.71 | ) | — |
| — |
| — |
| 1.111 |
| 1.01 |
| JAJO |
| 24,296.28 |
| 48,195.00 |
| 4/6/2011 |
| 4/11/2014 |
|
63307EAA5 |
| NATIONAL BK OF CANADA CORP BND 144A |
|
|
| A |
|
|
| 1FE |
| 2,499,350.00 |
| 101.03 |
| 2,525,750.15 |
| 2,500,000.00 |
| 2,499,546.24 |
| 26,203.91 |
| 196.24 |
| — |
| — |
| 1.65 |
| 1.659 |
| JJ |
| 17,302.08 |
| 20,625.00 |
| 1/24/2011 |
| 1/30/2014 |
|
BRS3BRB18 |
| NATIONAL CINEMEDIA INC LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,116,594.82 |
| 96.125 |
| 1,093,836.20 |
| 1,137,931.03 |
| 1,121,682.47 |
| (27,846.27 | ) | 11,876.44 |
| — |
| — |
| 0 |
| 0.455 |
| FMAN |
| — |
| 20,014.00 |
| 12/16/2010 |
| 2/13/2015 |
|
62889KAA9 |
| NATIONAL CREDIT UNION ADMINIST AGENCY |
|
|
|
|
|
|
| 1 |
| 3,200,000.00 |
| 99.908 |
| 3,197,056.00 |
| 3,200,000.00 |
| 3,200,000.00 |
| (2,944.00 | ) | — |
| — |
| — |
| 0.3 |
| 0.205 |
| MON |
| 526.76 |
| 3,759.00 |
| 6/8/2011 |
| 6/12/2013 |
|
637432MM4 |
| NATIONAL RURAL UTILITIES SECURED CORP |
|
|
|
|
|
|
| 1FE |
| 2,998,950.00 |
| 100.051 |
| 3,001,535.34 |
| 3,000,000.00 |
| 2,999,354.53 |
| 2,180.81 |
| 346.29 |
| — |
| — |
| 1.125 |
| 1.137 |
| MN |
| 5,625.00 |
| 33,750.00 |
| 10/25/2010 |
| 11/1/2013 |
|
63946BAC4 |
| NBC UNIVERSAL MEDIA LLC CORP BND |
|
|
|
|
|
|
|
|
| 999,531.28 |
| 102.357 |
| 1,023,567.89 |
| 1,000,000.00 |
| 999,581.98 |
| 23,985.91 |
| 146.73 |
| — |
| — |
| 2.875 |
| 2.886 |
| AO |
| 7,187.50 |
| 14,375.00 |
| 8/22/2011 |
| 4/1/2016 |
|
63946BAA8 |
| NBC UNIVERSAL MEDIA LLC CORP BND |
|
|
|
|
|
|
| 2FE |
| 2,599,743.39 |
| 101.184 |
| 2,630,796.46 |
| 2,600,000.00 |
| 2,599,799.00 |
| 30,997.46 |
| 55.61 |
| — |
| — |
| 2.1 |
| 1.33 |
| AO |
| 13,650.00 |
| 27,300.00 |
| 8/22/2011 |
| 4/1/2014 |
|
BRSBLZKK9 |
| NBTY INC. TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 2,963,040.48 |
| 98.75 |
| 2,983,724.52 |
| 3,021,493.18 |
| 2,966,464.59 |
| 17,259.93 |
| 4,109.61 |
| — |
| — |
| 0 |
| 0.313 |
| JAJO |
| — |
| 19,812.00 |
| 8/17/2011 |
| 10/1/2017 |
|
62889AAA1 |
| NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A |
|
|
|
|
| 2 |
| 1 |
| 2,543,670.63 |
| 100.291 |
| 2,551,072.71 |
| 2,543,670.63 |
| 2,543,670.63 |
| 7,402.08 |
| — |
| — |
| — |
| 0.624 |
| 0.625 |
|
|
| 1,058.33 |
| 10,473.00 |
| 6/10/2011 |
| 11/7/2020 |
|
62888VAB4 |
| NCUA GUARANTEED NOTES AGENCY CMO_10-R1 |
|
|
|
|
| 2 |
| 1FE |
| 659,110.43 |
| 100.625 |
| 663,289.77 |
| 659,169.96 |
| 659,121.63 |
| 4,168.14 |
| 42.42 |
| — |
| — |
| 1.84 |
| 1.85 |
| MON |
| 909.66 |
| 7,167.00 |
| 9/7/2011 |
| 12/4/2015 |
|
62889GAA8 |
| NCUA GUARANTEED NOTES CMO 11-R5 1A |
|
|
|
|
| 2 |
|
|
| 4,910,184.68 |
| 100 |
| 4,910,184.68 |
| 4,910,184.68 |
| 4,910,184.68 |
| — |
| — |
| — |
| — |
| 0.654 |
| 0.655 |
|
|
| 2,230.39 |
| 16,700.00 |
| 6/10/2011 |
| 4/6/2020 |
|
62889JAA2 |
| NCUA GUARANTEED NOTES CMO_11-R6 1A |
|
|
|
|
| 2 |
| 1 |
| 4,730,254.39 |
| 100 |
| 4,730,254.39 |
| 4,730,254.39 |
| 4,730,254.39 |
| — |
| — |
| — |
| — |
| 0.654 |
| 0.655 |
|
|
| 2,148.66 |
| 15,384.00 |
| 6/10/2011 |
| 5/7/2020 |
|
62888VAA6 |
| NCUA GUARANTEED NOTES NGN_10-R CMO_10-R1 |
|
|
|
|
| 2 |
| 1FE |
| 1,466,792.03 |
| 100.109 |
| 1,468,390.83 |
| 1,466,792.03 |
| 1,466,792.03 |
| 1,598.80 |
| — |
| — |
| — |
| 0.724 |
| 0.725 |
| MON |
| 737.57 |
| 4,956.00 |
| 6/10/2011 |
| 10/7/2020 |
|
62888XAC8 |
| NCUA_10-C1 CMBS_10-C1 A-PT |
|
|
|
|
| 2 |
|
|
| 4,732,046.73 |
| 104.514 |
| 4,955,463.67 |
| 4,741,446.62 |
| 4,733,921.28 |
| 221,542.39 |
| 1,968.21 |
| — |
| — |
| 2.65 |
| 2.736 |
| MON |
| 1,396.10 |
| 79,492.00 |
| 9/7/2011 |
| 7/1/2016 |
|
63968AQE8 |
| NEBRASKA PUB PWR DIST MUNITAX BND REV |
|
|
|
|
|
|
|
|
| 1,329,837.50 |
| 103.067 |
| 1,288,337.51 |
| 1,250,000.00 |
| 1,276,915.05 |
| 11,422.46 |
| (26,397.73 | ) | — |
| — |
| 4.135 |
| 1.95 |
| JJ |
| 25,843.75 |
| 51,688.00 |
| 12/17/2009 |
| 1/1/2013 |
|
BRSC3G4F8 |
| NEIMAN MARCUS GROUP INC. THE TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 4,987,500.00 |
| 96.25 |
| 4,812,500.00 |
| 5,000,000.00 |
| 4,988,591.89 |
| (176,091.89 | ) | 1,091.89 |
| — |
| — |
| 0 |
| 0.035 |
| FMAN |
| — |
| 129,965.00 |
| 5/10/2011 |
| 5/16/2018 |
|
G6459BCU3 |
| NETWORK RAIL INFRASTRUCTURE FI CORP BND |
|
|
| F |
|
|
|
|
| 7,227,959.79 |
| 103.876 |
| 7,271,319.44 |
| 7,000,000.00 |
| 7,102,310.53 |
| 169,008.91 |
| (68,096.15 | ) | — |
| — |
| 3.5 |
| 2.451 |
| JUN |
| 132,027.77 |
| 245,000.00 |
| 2/19/2010 |
| 6/17/2013 |
|
BRS6WDST0 |
| NETWORK RAIL INFRASTRUCTURE FI CORP BND |
|
|
| D |
|
|
|
|
| 6,545,424.63 |
| 100.71 |
| 5,164,955.85 |
| 3,300,000.00 |
| 6,579,825.13 |
| (1,414,869.28 | ) | 10,228.59 |
| — |
| (1,452,748.06 | ) | 4.875 |
| 4.978 |
| MAR |
| 204,931.01 |
| 261,663.00 |
| 4/22/2008 |
| 3/7/2012 |
|
G6459FAE2 |
| NETWORK RAIL INFRASTRUCTURE FI LOCAL BND |
|
|
| D |
|
|
|
|
| 2,735,751.98 |
| 114.19 |
| 2,661,935.52 |
| 1,500,000.00 |
| 2,724,829.10 |
| (62,893.58 | ) | (10,922.88 | ) | — |
| (69,871.80 | ) | 4.875 |
| 1.207 |
| NOV |
| 10,867.56 |
| 113,227.00 |
| 11/9/2011 |
| 11/27/2015 |
|
62888UAA8 |
| NGN_10-R2 CMBS_10-R2 1A |
|
|
|
|
| 2 |
|
|
| 4,532,185.72 |
| 100 |
| 4,532,185.72 |
| 4,532,185.72 |
| 4,532,185.72 |
| — |
| — |
| — |
| — |
| 0.644 |
| 0.645 |
|
|
| 2,023.58 |
| 20,186.00 |
| 6/10/2011 |
| 11/6/2017 |
|
62888YAA0 |
| NGN_11-R1 CMO_11-R1 IA |
|
|
|
|
| 2 |
| 1 |
| 4,157,252.20 |
| 100.172 |
| 4,162,692.19 |
| 4,155,544.65 |
| 4,157,071.72 |
| 5,620.47 |
| (364.88 | ) | — |
| — |
| 0.724 |
| 0.605 |
|
|
| 2,006.02 |
| 18,427.00 |
| 6/10/2011 |
| 1/8/2020 |
|
62889EAA3 |
| NGN_11-R3 NGN_11-R3 1A |
|
|
|
|
| 2 |
|
|
| 4,706,030.49 |
| 100.13 |
| 4,712,148.33 |
| 4,706,030.49 |
| 4,706,030.49 |
| 6,117.84 |
| — |
| — |
| — |
| 0.676 |
| 0.677 |
|
|
| 1,768.16 |
| 18,472.00 |
| 6/10/2011 |
| 3/11/2020 |
|
62889FAA0 |
| NGN_11-R4 CMO_11R4-1A |
|
|
|
|
| 2 |
| 1 |
| 4,923,528.17 |
| 100 |
| 4,923,528.17 |
| 4,923,528.17 |
| 4,923,528.17 |
| — |
| — |
| — |
| — |
| 0.654 |
| 0.655 |
|
|
| 2,236.45 |
| 17,287.00 |
| 6/10/2011 |
| 3/6/2020 |
|
65475NAD0 |
| NISSAN AUTO LEASE TRUST NALT_1 ABS_11-B |
|
|
|
|
| 2 |
|
|
| 1,199,775.12 |
| 99.68 |
| 1,196,160.00 |
| 1,200,000.00 |
| 1,199,801.31 |
| (3,641.31 | ) | 26.19 |
| — |
| — |
| 0.92 |
| 0.93 |
| MON |
| 490.67 |
| 2,361.00 |
| 9/21/2011 |
| 2/15/2014 |
|
62951MAY6 |
| NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO |
|
|
|
|
| 2 |
|
|
| 914,823.69 |
| 101.787 |
| 921,664.18 |
| 905,485.86 |
| 914,126.42 |
| 7,537.76 |
| (893.39 | ) | — |
| — |
| 6.5 |
| 6.282 |
| MON |
| 4,904.72 |
| 58,857.00 |
| 10/3/2007 |
| 2/25/2035 |
|
65557CAG8 |
| NORDEA BANK AB CORP BND 144A |
|
|
| F |
|
|
|
|
| 6,975,000.00 |
| 96.82 |
| 6,753,195.00 |
| 6,975,000.00 |
| 6,975,000.00 |
| (221,805.00 | ) | — |
| — |
| — |
| 1.3 |
| 1.203 |
| JAJO |
| 19,910.83 |
| 62,285.00 |
| 1/11/2011 |
| 1/14/2014 |
|
W5818PAC4 |
| NORDEA BANK AB CORP BND MTN |
|
|
| D |
|
|
|
|
| 1,375,264.68 |
| 103.774 |
| 1,451,473.20 |
| 900,000.00 |
| 1,377,232.05 |
| 74,241.15 |
| 1,309.33 |
| — |
| 15,685.00 |
| 3.875 |
| 3.951 |
| DEC |
| 2,517.46 |
| 53,976.00 |
| 4/13/2010 |
| 12/15/2015 |
|
65558AAA4 |
| NORDEA EIENDOMSKREDITT CORP BND 144A |
|
|
| F |
|
|
|
|
| 19,454,208.00 |
| 100.285 |
| 19,455,290.78 |
| 19,400,000.00 |
| 19,450,447.35 |
| 4,843.43 |
| (3,760.65 | ) | — |
| — |
| 1.875 |
| 1.756 |
| AO |
| 84,875.00 |
| 168,750.00 |
| 12/12/2011 |
| 4/7/2014 |
|
BRSCG0YH2 |
| NORIT HOLDING BVTERM TL TERM LOAN |
|
|
|
|
|
|
|
|
| 1,301,862.19 |
| 100.5 |
| 1,328,295.94 |
| 1,321,687.50 |
| 1,303,367.61 |
| 24,928.33 |
| 1,555.11 |
| — |
| — |
| 0 |
| 0.249 |
| MJSD |
| — |
| 20,097.00 |
| 7/6/2011 |
| 7/10/2017 |
|
BRSC0XRZ5 |
| NORTEK INC TERM LOAN |
|
|
|
|
|
|
|
|
| 2,185,032.56 |
| 97.417 |
| 2,131,946.63 |
| 2,188,474.94 |
| 2,185,332.74 |
| (53,386.11 | ) | 357.80 |
| — |
| — |
| 0 |
| 0.027 |
| JAJO |
| — |
| 44,307.00 |
| 7/8/2011 |
| 4/26/2017 |
|
665859AJ3 |
| NORTHERN TRUST CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,654,145.00 |
| 106.808 |
| 8,010,614.78 |
| 7,500,000.00 |
| 7,561,061.92 |
| 449,552.86 |
| (35,594.52 | ) | — |
| — |
| 5.5 |
| 4.969 |
| FA |
| 155,833.34 |
| 412,500.00 |
| 3/23/2009 |
| 8/15/2013 |
|
66989HAB4 |
| NOVARTIS CAPITAL CORP CORP BND |
|
|
|
|
|
|
|
|
| 6,008,362.50 |
| 101.769 |
| 6,106,153.08 |
| 6,000,000.00 |
| 6,006,101.62 |
| 100,051.46 |
| (4,055.91 | ) | — |
| — |
| 1.9 |
| 1.821 |
| AO |
| 21,216.66 |
| 114,000.00 |
| 1/28/2011 |
| 4/24/2013 |
|
66989HAA6 |
| NOVARTIS CAPITAL CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,623,326.25 |
| 106.694 |
| 1,733,777.75 |
| 1,625,000.00 |
| 1,624,252.33 |
| 109,525.42 |
| 332.71 |
| — |
| — |
| 4.125 |
| 4.148 |
| FA |
| 26,253.91 |
| 67,031.00 |
| 2/4/2009 |
| 2/10/2014 |
|
66989HAC2 |
| NOVARTIS CAPITAL CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,966,540.00 |
| 105.541 |
| 7,387,899.40 |
| 7,000,000.00 |
| 6,977,854.87 |
| 410,044.53 |
| 8,013.25 |
| — |
| — |
| 2.9 |
| 3.001 |
| AO |
| 37,780.55 |
| 203,000.00 |
| 3/9/2010 |
| 4/24/2015 |
|
BRSBPZM15 |
| NOVELIS INC/GA TERM LOAN |
|
|
|
|
| 1 |
|
|
| 2,511,149.74 |
| 98.167 |
| 2,565,741.54 |
| 2,613,649.74 |
| 2,517,292.24 |
| 48,449.30 |
| 6,142.50 |
| — |
| — |
| 0 |
| 0.71 |
| MJSD |
| — |
| 6,601.00 |
| 8/19/2011 |
| 3/10/2017 |
|
BRSDFK6A3 |
| NOVELIS INC/GA TERM LOAN |
|
|
|
|
| 1 |
|
|
| 646,754.06 |
| 97.625 |
| 647,583.23 |
| 663,337.50 |
| 646,899.67 |
| 683.56 |
| 187.17 |
| — |
| — |
| 0 |
| 0.477 |
| MJSD |
| — |
| — |
| 12/2/2011 |
| 3/10/2017 |
|
BRSC9TBB5 |
| NRG ENERGY INC TERM LOAN |
|
|
|
|
|
|
|
|
| 4,765,811.25 |
| 99.588 |
| 4,855,412.94 |
| 4,875,500.00 |
| 4,771,398.29 |
| 84,014.65 |
| 5,648.29 |
| — |
| — |
| 0 |
| 0.334 |
| MJSD |
| — |
| 33,168.00 |
| 8/23/2011 |
| 5/5/2018 |
|
BRSBS9GD1 |
| NTELOS INC TERM LOAN |
|
|
|
|
|
|
|
|
| 2,794,120.18 |
| 98.5 |
| 2,802,392.86 |
| 2,845,068.89 |
| 2,795,504.92 |
| 6,887.94 |
| 1,619.34 |
| — |
| — |
| 0 |
| 0.482 |
| FMAN |
| — |
| 2,063.00 |
| 11/16/2011 |
| 8/7/2015 |
|
BRSA440T2 |
| NUANCE COMMUNICATIONS INC LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 4,644.60 |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 5,442.00 |
| 00/00/0000 |
| 3/29/2013 |
|
BRSCJU296 |
| NUANCE COMMUNICATIONS INC TERM LOAN |
|
|
|
|
|
|
|
|
| 978,245.82 |
| 99.15 |
| 978,901.02 |
| 987,293.01 |
| 978,586.69 |
| 314.33 |
| 363.54 |
| — |
| — |
| 0 |
| 0.206 |
| MJSD |
| — |
| — |
| 11/1/2011 |
| 3/31/2016 |
|
674599CA1 |
| OCCIDENTAL PETROLEUM CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,542,205.50 |
| 101.457 |
| 6,645,413.06 |
| 6,550,000.00 |
| 6,544,883.76 |
| 100,529.30 |
| 2,566.09 |
| — |
| — |
| 1.45 |
| 1.491 |
| JD |
| 4,748.75 |
| 94,184.00 |
| 12/13/2010 |
| 12/13/2013 |
|
674599CB9 |
| OCCIDENTAL PETROLEUM CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,942,760.00 |
| 100.051 |
| 6,003,072.06 |
| 6,000,000.00 |
| 5,946,425.18 |
| 56,646.88 |
| 3,665.18 |
| — |
| — |
| 1.75 |
| 1.934 |
| FA |
| 38,791.67 |
| — |
| 8/15/2011 |
| 2/15/2017 |
|
BRSCL92L3 |
| OM GROUP INC. TERM LOAN |
|
|
|
|
|
|
| 3FE |
| 509,850.00 |
| 99 |
| 509,850.00 |
| 515,000.00 |
| 510,196.81 |
| (346.81 | ) | 346.81 |
| — |
| — |
| 0 |
| 0.168 |
| JAJO |
| — |
| 10,858.00 |
| 7/28/2011 |
| 7/5/2017 |
|
68268NAF0 |
| ONEOK INC. CORP BND |
|
|
|
|
| 1 |
| 2FE |
| 2,673,395.00 |
| 102.738 |
| 2,748,253.51 |
| 2,675,000.00 |
| 2,673,681.62 |
| 74,571.89 |
| 286.62 |
| — |
| — |
| 3.25 |
| 3.263 |
| FA |
| 36,223.96 |
| 44,676.00 |
| 1/21/2011 |
| 2/1/2016 |
|
6832348F8 |
| ONTARIO PROVINCE CORP BND |
|
|
| A |
|
|
|
|
| 2,800,000.00 |
| 100.005 |
| 2,800,139.92 |
| 2,800,000.00 |
| 2,800,000.00 |
| 139.92 |
| — |
| — |
| — |
| 0.629 |
| 0.42 |
| FMAN |
| 2,007.21 |
| 12,495.00 |
| 11/10/2009 |
| 11/19/2012 |
|
6832348Y7 |
| ONTARIO PROVINCE CORP BND |
|
|
| A |
|
|
|
|
| 5,224,450.00 |
| 104.889 |
| 5,244,450.00 |
| 5,000,000.00 |
| 5,200,993.77 |
| 43,456.23 |
| (23,456.23 | ) | — |
| — |
| 2.7 |
| 1.502 |
| JD |
| 5,625.00 |
| 67,500.00 |
| 7/28/2011 |
| 6/16/2015 |
|
6832348A9 |
| ONTARIO PROVINCE CORP BND |
|
|
| A |
|
|
| 1FE |
| 13,347,291.75 |
| 107.57 |
| 13,715,175.89 |
| 12,750,000.00 |
| 13,098,645.12 |
| 616,530.77 |
| (134,923.96 | ) | — |
| — |
| 4.1 |
| 2.938 |
| JD |
| 21,781.25 |
| 522,750.00 |
| 2/19/2010 |
| 6/16/2014 |
|
6832348E1 |
| ONTARIO PROVINCE CORP BND |
|
|
| A |
|
|
| 1FE |
| 748,627.50 |
| 101.209 |
| 759,070.60 |
| 750,000.00 |
| 749,588.48 |
| 9,482.12 |
| 458.20 |
| — |
| — |
| 1.875 |
| 1.938 |
| MN |
| 1,640.63 |
| 14,063.00 |
| 11/10/2009 |
| 11/19/2012 |
|
68389XAD7 |
| ORACLE CORPORATION CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,224,846.50 |
| 105.58 |
| 7,390,630.03 |
| 7,000,000.00 |
| 7,139,912.90 |
| 250,717.13 |
| (47,792.27 | ) | — |
| — |
| 4.95 |
| 3.337 |
| AO |
| 73,150.00 |
| 297,000.00 |
| 9/7/2011 |
| 4/15/2013 |
|
69371RJ98 |
| PACCAR FINL CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,371,841.25 |
| 101.087 |
| 2,400,811.67 |
| 2,375,000.00 |
| 2,373,441.05 |
| 27,370.62 |
| 1,822.13 |
| — |
| — |
| 2.05 |
| 2.096 |
| JD |
| 1,893.40 |
| 48,688.00 |
| 6/9/2010 |
| 6/17/2013 |
|
69373UAA5 |
| PACCAR INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,117,070.86 |
| 111.604 |
| 1,116,040.73 |
| 1,000,000.00 |
| 1,064,388.74 |
| 51,651.99 |
| (66,455.09 | ) | — |
| — |
| 6.875 |
| 3.692 |
| FA |
| 25,972.22 |
| 68,750.00 |
| 2/19/2010 |
| 2/15/2014 |
|
694308GD3 |
| PACIFIC GAS AND ELECTRIC CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,548,050.00 |
| 107.426 |
| 5,371,287.90 |
| 5,000,000.00 |
| 5,356,300.66 |
| 14,987.24 |
| (160,539.81 | ) | — |
| — |
| 4.8 |
| 1.444 |
| MS |
| 80,000.00 |
| 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 |
| 99.67 |
| 7,275,888.10 |
| 7,300,000.00 |
| 7,300,000.00 |
| (24,111.90 | ) | — |
| — |
| — |
| 0.935 |
| 0.936 |
| MON |
| 2,463.71 |
| 34,195.00 |
| 6/2/2011 |
| 5/20/2013 |
|
BRS17HYX4 |
| PENN NTL GAMING INC. TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 2,500.00 |
| — |
| — |
| 0 |
| 0 |
| MON |
| — |
| — |
| 00/00/0000 |
| 10/3/2012 |
|
713448BU1 |
| PEPSICO INC CORP BND |
|
|
|
|
|
|
|
|
| 750,000.00 |
| 100.107 |
| 750,802.52 |
| 750,000.00 |
| 750,000.00 |
| 802.52 |
| — |
| — |
| — |
| 0.524 |
| 0.347 |
| FMAN |
| 567.85 |
| 1,345.00 |
| 5/3/2011 |
| 5/10/2013 |
|
713448BK3 |
| PEPSICO INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 19,458,660.00 |
| 106.186 |
| 20,706,218.92 |
| 19,500,000.00 |
| 19,481,134.08 |
| 1,225,084.84 |
| 8,198.61 |
| — |
| — |
| 3.75 |
| 3.797 |
| MS |
| 243,750.00 |
| 731,250.00 |
| 2/25/2009 |
| 3/1/2014 |
|
713448BQ0 |
| PEPSICO INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,997,800.00 |
| 100.412 |
| 5,020,589.05 |
| 5,000,000.00 |
| 4,998,661.39 |
| 21,927.66 |
| 912.21 |
| — |
| — |
| 0.875 |
| 0.89 |
| AO |
| 8,020.84 |
| 43,628.00 |
| 10/19/2010 |
| 10/25/2013 |
|
G7014VBF9 |
| PERMM 2010-1 ABS_10-1 3A |
|
|
| D |
| 1 |
|
|
| 2,003,000.00 |
| 104.548 |
| 2,030,978.69 |
| 1,250,000.00 |
| 2,003,000.00 |
| 27,978.69 |
| — |
| — |
| (60,375.00 | ) | 4.805 |
| 4.798 |
| JJ |
| 43,120.46 |
| 96,099.00 |
| 1/29/2010 |
| 1/17/2017 |
|
BRSBMD3R1 |
| PETCO ANIMAL SUPPLIES INC. TERM LOAN |
|
|
|
|
| 1 |
|
|
| 4,935,000.00 |
| 97.263 |
| 4,863,150.00 |
| 5,000,000.00 |
| 4,938,528.58 |
| (75,378.58 | ) | 3,528.58 |
| — |
| — |
| 0 |
| 0.203 |
| FMAN |
| — |
| 97,000.00 |
| 8/15/2011 |
| 11/24/2017 |
|
71645WAT8 |
| PETROBRAS INTERNATIONAL FINANC CORP BND |
|
|
| F |
|
|
| 2FE |
| 797,304.00 |
| 102.126 |
| 817,006.90 |
| 800,000.00 |
| 797,766.34 |
| 19,240.56 |
| 2,965.85 |
| — |
| — |
| 3.875 |
| 3.95 |
| JJ |
| 13,261.11 |
| 15,500.00 |
| 1/20/2011 |
| 1/27/2016 |
|
717081DA8 |
| PFIZER INC. CORP BND |
|
|
|
|
|
|
| 1FE |
| 1,380,477.50 |
| 113.384 |
| 1,417,305.19 |
| 1,250,000.00 |
| 1,332,397.84 |
| 84,907.35 |
| (24,043.67 | ) | — |
| — |
| 5.35 |
| 3.169 |
| MS |
| 19,690.97 |
| 66,875.00 |
| 2/17/2010 |
| 3/15/2015 |
|
71722TAF1 |
| PHEAA_04-1 ABS_04-1-A2 |
|
|
|
|
| 2 |
|
|
| 452,730.00 |
| 87.755 |
| 438,775.50 |
| 500,000.00 |
| 459,122.81 |
| (20,347.31 | ) | 3,449.17 |
| — |
| — |
| 0.567 |
| 1.399 |
| MON |
| 209.71 |
| 6,318.00 |
| 3/9/2010 |
| 7/25/2024 |
|
71722TAG9 |
| PHEAA_04-1 ABS_04-1-A3 |
|
|
|
|
| 2 |
|
|
| 1,177,098.00 |
| 87.761 |
| 1,140,893.00 |
| 1,300,000.00 |
| 1,198,963.77 |
| (58,070.77 | ) | 12,011.47 |
| — |
| — |
| 1.603 |
| 2.789 |
| MON |
| 744.09 |
| 16,416.00 |
| 3/9/2010 |
| 4/25/2019 |
|
718172AB5 |
| PHILIP MORRIS INTERNATIONAL IN CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,108,095.00 |
| 105.849 |
| 6,483,279.24 |
| 6,125,000.00 |
| 6,119,942.01 |
| 363,337.23 |
| 3,475.43 |
| — |
| — |
| 4.875 |
| 4.938 |
| MN |
| 37,324.21 |
| 298,594.00 |
| 5/13/2008 |
| 5/16/2013 |
|
718172AG4 |
| PHILIP MORRIS INTERNATIONAL IN CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,341,675.50 |
| 112.551 |
| 7,203,269.06 |
| 6,400,000.00 |
| 6,938,674.14 |
| 264,594.92 |
| (232,545.96 | ) | — |
| — |
| 6.875 |
| 2.911 |
| MS |
| 127,111.10 |
| 440,000.00 |
| 4/14/2010 |
| 3/17/2014 |
|
BRSBL01Z4 |
| PHILLIPS-VAN HEUSEN CORP TERM LOAN |
|
|
|
|
| 2 |
|
|
| 2,989,875.00 |
| 99.847 |
| 2,972,944.42 |
| 2,977,500.00 |
| 2,988,507.91 |
| (15,563.49 | ) | (1,888.75 | ) | — |
| — |
| 0 |
| -0.083 |
| FMAN |
| — |
| 49,223.00 |
| 6/21/2011 |
| 5/16/2016 |
|
BRSBU37B5 |
| PILOT TRAVEL CENTERS LLC TERM LOAN |
|
|
|
|
| 1 |
|
|
| 1,564,383.57 |
| 99.917 |
| 1,646,254.15 |
| 1,647,621.68 |
| 1,568,549.18 |
| 77,704.97 |
| 5,053.80 |
| — |
| — |
| 0 |
| 0.777 |
| MJSD |
| — |
| 11,994.00 |
| 8/24/2011 |
| 3/25/2018 |
|
BRS4QJRM5 |
| PINNACLE FOODS FINANCE TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 4,920,576.70 |
| 97.603 |
| 4,857,070.58 |
| 4,976,353.78 |
| 4,937,123.12 |
| (80,052.54 | ) | 17,019.34 |
| — |
| — |
| 0 |
| 0.351 |
| AO |
| — |
| 106,346.00 |
| 3/8/2011 |
| 4/2/2014 |
|
69351CAC7 |
| PNC FUNDING CORP - GTD CORP BND GOVT |
|
|
|
|
|
|
| 1FE |
| 1,022,310.00 |
| 100.962 |
| 1,009,623.34 |
| 1,000,000.00 |
| 1,005,007.34 |
| 4,616.00 |
| (23,520.78 | ) | — |
| — |
| 2.3 |
| 1.234 |
| JD |
| 575.01 |
| 23,000.00 |
| 5/3/2010 |
| 6/22/2012 |
|
BRS42NQM3 |
| POLYPORE INC LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| 1,958,755.01 |
| 97.25 |
| 1,919,283.89 |
| 1,973,556.70 |
| 1,962,714.16 |
| (43,430.27 | ) | 4,117.80 |
| — |
| — |
| 0 |
| 0.217 |
| JAJO |
| — |
| 32,775.00 |
| 12/17/2010 |
| 7/3/2014 |
|
693506BF3 |
| PPG INDUSTRIES INC CORP BND |
|
|
|
|
|
|
|
|
| 3,256,223.40 |
| 99.27 |
| 3,261,013.62 |
| 3,285,000.00 |
| 3,262,344.84 |
| (1,331.22 | ) | 5,430.61 |
| — |
| — |
| 1.9 |
| 2.079 |
| JJ |
| 28,780.25 |
| 42,130.00 |
| 11/8/2010 |
| 1/15/2016 |
|
742651DF6 |
| PRIVATE EXPORT FUNDING CORP AGENCY BND |
|
|
|
|
|
|
|
|
| 8,367,504.00 |
| 104.181 |
| 8,334,480.00 |
| 8,000,000.00 |
| 8,326,551.56 |
| 7,928.44 |
| (40,952.44 | ) | — |
| — |
| 3.55 |
| 0.37 |
| AO |
| 59,955.55 |
| — |
| 11/2/2011 |
| 4/15/2013 |
|
742651DB5 |
| PRIVATE EXPORT FUNDING CORP SECURED |
|
|
|
|
|
|
|
|
| 1,646,955.00 |
| 114.904 |
| 1,723,559.99 |
| 1,500,000.00 |
| 1,602,168.18 |
| 121,391.81 |
| (24,480.90 | ) | — |
| — |
| 4.95 |
| 3.07 |
| MN |
| 9,487.50 |
| 74,250.00 |
| 2/23/2010 |
| 11/15/2015 |
|
BRSCFRW37 |
| PRO MACH INC TL B TERM LOAN |
|
|
|
|
|
|
|
|
| 856,993.50 |
| 97 |
| 839,680.50 |
| 865,650.00 |
| 857,653.57 |
| (17,973.07 | ) | 703.57 |
| — |
| — |
| 0 |
| 0.166 |
| JAJO |
| — |
| 10,957.00 |
| 7/6/2011 |
| 7/6/2017 |
|
742718DV8 |
| PROCTER & GAMBLE COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 4,962,622.60 |
| 100.808 |
| 5,040,398.40 |
| 5,000,000.00 |
| 4,962,729.09 |
| 77,669.31 |
| 2,929.09 |
| — |
| — |
| 1.45 |
| 1.618 |
| FA |
| 27,388.89 |
| — |
| 12/27/2011 |
| 8/15/2016 |
|
69362BAS1 |
| PSE&G POWER LLC CORP BND |
|
|
|
|
|
|
|
|
| 1,099,885.31 |
| 110.155 |
| 1,101,551.74 |
| 1,000,000.00 |
| 1,079,989.67 |
| 21,562.07 |
| (43,968.21 | ) | — |
| — |
| 5.32 |
| 3.462 |
| MS |
| 15,664.44 |
| 53,200.00 |
| 9/15/2010 |
| 9/15/2016 |
|
74456QAY2 |
| PUBLIC SERVICE ELECTRIC & GAS CORP BND |
|
|
|
|
|
|
|
|
| 7,818,200.25 |
| 99.454 |
| 7,782,247.02 |
| 7,825,000.00 |
| 7,818,939.43 |
| (36,692.41 | ) | 739.18 |
| — |
| — |
| 0.85 |
| 0.88 |
| FA |
| 24,942.19 |
| — |
| 9/12/2011 |
| 8/15/2014 |
|
74456QAW6 |
| PUBLIC SERVICE ELECTRIC & GAS CORP BND |
|
|
|
|
|
|
| 1FE |
| 549,021.00 |
| 103.261 |
| 567,935.68 |
| 550,000.00 |
| 549,323.08 |
| 18,612.60 |
| 191.31 |
| — |
| — |
| 2.7 |
| 2.739 |
| MN |
| 2,475.00 |
| 14,850.00 |
| 5/17/2010 |
| 5/1/2015 |
|
74834LAT7 |
| QUEST DIAGNOSTICS INC CORP BND |
|
|
|
|
|
|
|
|
| 2,600,000.00 |
| 100.509 |
| 2,613,234.00 |
| 2,600,000.00 |
| 2,600,000.00 |
| 13,234.00 |
| — |
| — |
| — |
| 1.424 |
| 1.159 |
| MJSD |
| 616.96 |
| 22,920.00 |
| 3/21/2011 |
| 3/24/2014 |
|
BRSC6D3K2 |
| QUINTILES TRANSNATIONAL CORP. TERM LOAN |
|
|
|
|
| 1 |
| 4FE |
| 2,894,402.50 |
| 97.85 |
| 2,969,502.88 |
| 3,034,750.00 |
| 2,901,837.01 |
| 67,665.87 |
| 7,587.01 |
| — |
| — |
| 0 |
| 0.702 |
| MAT |
| — |
| 2,299.00 |
| 8/15/2011 |
| 6/8/2018 |
|
21685WBL0 |
| RABOBANK NEDERLAND UTRECHT CORP BND MTN |
|
|
| F |
|
|
|
|
| 3,421,596.50 |
| 97.981 |
| 3,360,746.31 |
| 3,430,000.00 |
| 3,423,562.60 |
| (62,816.29 | ) | 1,614.45 |
| — |
| — |
| 2.125 |
| 2.177 |
| AO |
| 15,792.29 |
| 72,888.00 |
| 10/5/2010 |
| 10/13/2015 |
|
74977RBU7 |
| RABOBANK NEDERLAND NV CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 8,042,868.37 |
| 101.208 |
| 8,096,609.68 |
| 8,000,000.00 |
| 8,011,023.60 |
| 85,586.08 |
| (22,923.11 | ) | — |
| — |
| 2.65 |
| 2.427 |
| FA |
| 78,911.11 |
| 212,000.00 |
| 2/19/2010 |
| 8/17/2012 |
|
21685WCY1 |
| RABOBANK NEDERLAND NV CORP BND |
|
|
| F |
|
|
|
|
| 7,660,000.00 |
| 99.553 |
| 7,625,759.88 |
| 7,660,000.00 |
| 7,660,000.00 |
| (34,240.12 | ) | — |
| — |
| — |
| 0.618 |
| 0.452 |
| JAJO |
| 8,946.54 |
| 8,658.00 |
| 7/20/2011 |
| 7/25/2013 |
|
74977RBQ6 |
| RABOBANK NEDERLAND NV CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 5,051,420.50 |
| 104.794 |
| 5,082,505.61 |
| 4,850,000.00 |
| 4,963,400.97 |
| 119,104.64 |
| (45,447.16 | ) | — |
| — |
| 4.2 |
| 3.166 |
| MN |
| 27,160.00 |
| 203,700.00 |
| 1/8/2010 |
| 5/13/2014 |
|
74977RCE2 |
| RABOBANK NEDERLAND NV CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 1,598,896.00 |
| 101.858 |
| 1,629,730.46 |
| 1,600,000.00 |
| 1,599,275.19 |
| 30,455.27 |
| 1,284.60 |
| — |
| — |
| 3.2 |
| 3.215 |
| MS |
| 15,644.44 |
| 51,200.00 |
| 3/4/2010 |
| 3/11/2015 |
|
N7277KAG6 |
| RABOBANK NEDERLAND NV CORP BND MTN |
|
|
| D |
|
|
|
|
| 813,092.49 |
| 104.438 |
| 811,538.20 |
| 500,000.00 |
| 814,435.15 |
| (2,896.95 | ) | 595.27 |
| — |
| (39,682.34 | ) | 4 |
| 4.047 |
| SEP |
| 9,596.35 |
| 31,790.00 |
| 9/3/2009 |
| 9/10/2015 |
|
BRSBZBVS8 |
| RANPAK CORP TERM LOAN |
|
|
|
|
|
|
|
|
| 2,937,714.38 |
| 96.375 |
| 2,821,234.65 |
| 2,927,351.13 |
| 2,936,687.49 |
| (115,452.84 | ) | 336.36 |
| — |
| — |
| 0 |
| -0.06 |
| JAJO |
| — |
| 40,036.00 |
| 5/19/2011 |
| 4/17/2017 |
|
BRSBLLNC5 |
| REGAL CINEMAS CORP |
|
|
|
|
| 1 |
| 3FE |
| 2,757,215.31 |
| 98.958 |
| 2,718,623.66 |
| 2,747,250.00 |
| 2,756,010.52 |
| (37,386.86 | ) | (1,239.48 | ) | — |
| — |
| 0 |
| -0.057 |
| JJ |
| — |
| 27,388.00 |
| 2/24/2011 |
| 7/31/2017 |
|
BRSBAXKS9 |
| REMY INTERNATIONAL INC TERM LOAN |
|
|
|
|
|
|
|
|
| 1,142,959.69 |
| 98.167 |
| 1,151,475.23 |
| 1,172,975.88 |
| 1,144,597.87 |
| 6,877.36 |
| 1,815.90 |
| — |
| — |
| 0 |
| 0.486 |
| MJSD |
| — |
| — |
| 9/29/2011 |
| 12/16/2016 |
|
BRSBBCU87 |
| REMY INTERNATIONAL INC TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 309.84 |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| — |
| 00/00/0000 |
| 12/28/2016 |
|
76111XYH0 |
| RES FUND MTG SEC I CMO_05-SA4 2A1 |
|
|
|
|
| 2 |
|
|
| 398,642.99 |
| 72.681 |
| 295,319.25 |
| 406,322.49 |
| 399,013.06 |
| (103,693.81 | ) | 700.77 |
| — |
| — |
| 2.939 |
| 3.302 |
| MON |
| 995.13 |
| 12,524.00 |
| 8/14/2007 |
| 8/25/2035 |
|
76111XYJ6 |
| RES FUND MTG SEC I CMO_05-SA4 2A2 |
|
|
|
|
| 2 |
|
|
| 1,168,644.15 |
| 76.321 |
| 924,270.37 |
| 1,211,030.21 |
| 1,172,782.48 |
| (248,512.11 | ) | 7,128.92 |
| — |
| — |
| 5.206 |
| 6.202 |
| MON |
| 5,253.86 |
| 63,041.00 |
| 8/16/2007 |
| 4/25/2024 |
|
BRSBXV0N1 |
| REYNOLDS GROUP HOLDINGS INC TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 697.66 |
| — |
| — |
| 0 |
| 0 |
| JAJO |
| — |
| 5,767.00 |
| 00/00/0000 |
| 4/21/2018 |
|
BRSBJK2P4 |
| REYNOLDS GROUP HOLDINGS INC TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 6,207,933.59 |
| 99.271 |
| 6,211,053.75 |
| 6,256,664.84 |
| 6,209,309.18 |
| 1,744.57 |
| 1,375.59 |
| — |
| — |
| 0 |
| 0.119 |
| FMAN |
| — |
| 197,385.00 |
| 8/16/2011 |
| 2/9/2018 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
767201AM8 |
| RIO TINTO FINANCE LTD CORP BND |
|
|
| F |
|
|
|
|
| 3,607,092.50 |
| 102.558 |
| 3,717,716.95 |
| 3,625,000.00 |
| 3,609,175.41 |
| 108,541.54 |
| 2,222.28 |
| — |
| — |
| 2.5 |
| 2.606 |
| MN |
| 10,321.18 |
| 45,313.00 |
| 5/17/2011 |
| 5/20/2016 |
|
767201AJ5 |
| RIO TINTO FINANCE USA LIMITED CORP BND |
|
|
| F |
|
|
|
|
| 1,298,947.00 |
| 100.686 |
| 1,308,915.88 |
| 1,300,000.00 |
| 1,299,183.64 |
| 9,732.24 |
| 281.00 |
| — |
| — |
| 1.875 |
| 1.892 |
| MN |
| 3,994.79 |
| 24,375.00 |
| 10/28/2010 |
| 11/2/2015 |
|
767201AF3 |
| RIO TINTO FINANCE USA LIMITED CORP BND |
|
|
| F |
|
|
| 1FE |
| 4,576,294.00 |
| 116.861 |
| 4,323,838.94 |
| 3,700,000.00 |
| 4,290,389.68 |
| 33,449.26 |
| (245,007.30 | ) | — |
| — |
| 8.95 |
| 1.92 |
| MN |
| 55,191.67 |
| 331,150.00 |
| 10/28/2010 |
| 5/1/2014 |
|
771196AQ5 |
| ROCHE HOLDINGS INC CORP BND 144A |
|
|
|
|
|
|
| 1FE |
| 10,528,569.57 |
| 108.412 |
| 10,504,034.52 |
| 9,689,000.00 |
| 10,177,637.76 |
| 326,396.76 |
| (96,626.50 | ) | — |
| — |
| 5 |
| 2.587 |
| MS |
| 161,483.33 |
| 446,950.00 |
| 5/2/2011 |
| 3/1/2014 |
|
U75000AU0 |
| ROCHE HOLDINGS INC SENIOR CORP BND |
|
|
| O |
|
|
|
|
| 742,348.77 |
| 112.326 |
| 916,469.99 |
| 525,000.00 |
| 744,570.54 |
| 171,899.45 |
| 882.35 |
| — |
| 68,225.50 |
| 5.5 |
| 5.634 |
| MAR |
| 37,150.31 |
| 47,006.00 |
| 2/25/2009 |
| 3/4/2015 |
|
BRSBUTEL8 |
| ROCK-TENN CO TERM LOAN |
|
|
|
|
|
|
|
|
| 1,094,500.00 |
| 99.857 |
| 1,092,934.87 |
| 1,094,500.00 |
| 1,094,500.00 |
| (1,565.13 | ) | — |
| — |
| — |
| 0 |
| 0 |
| MS |
| — |
| 12,565.00 |
| 3/28/2011 |
| 1/24/2017 |
|
|
| ROCKWOOD SPECIALTIES GROUP INC TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 145.00 |
| 00/00/0000 |
| 2/1/2018 |
|
78008K5X7 |
| ROYAL BANK OF CANADA CORP BND |
|
|
| A |
|
|
|
|
| 9,777,835.00 |
| 98.974 |
| 9,674,708.41 |
| 9,775,000.00 |
| 9,777,312.34 |
| (102,603.93 | ) | (522.66 | ) | — |
| — |
| 0.703 |
| 0.565 |
| JAJO |
| 14,508.42 |
| 27,629.00 |
| 6/20/2011 |
| 4/17/2014 |
|
78008TXA7 |
| ROYAL BANK OF CANADA CORP BND |
|
|
| A |
|
|
|
|
| 6,997,340.00 |
| 100.161 |
| 7,011,240.32 |
| 7,000,000.00 |
| 6,997,488.29 |
| 13,752.03 |
| 148.29 |
| — |
| — |
| 1.45 |
| 1.463 |
| AO |
| 17,198.61 |
| — |
| 10/25/2011 |
| 10/30/2014 |
|
78008HX96 |
| ROYAL BANK OF CANADA CORP BND MTN |
|
|
| A |
|
|
|
|
| 2,014,326.69 |
| 101.723 |
| 2,034,456.02 |
| 2,000,000.00 |
| 2,008,418.39 |
| 26,037.63 |
| (10,397.26 | ) | — |
| — |
| 2.1 |
| 1.828 |
| JJ |
| 17,733.33 |
| 42,000.00 |
| 11/12/2010 |
| 7/29/2013 |
|
78011CAB2 |
| ROYAL BANK OF SCOTLAND PLC - G CORP BND |
|
|
| F |
|
|
|
|
| 2,540,825.00 |
| 100.222 |
| 2,505,550.00 |
| 2,500,000.00 |
| 2,505,857.71 |
| (307.71 | ) | (16,244.14 | ) | — |
| — |
| 1.153 |
| 0.514 |
| FMAN |
| 3,842.60 |
| 25,108.00 |
| 11/2/2009 |
| 5/11/2012 |
|
78009PCC3 |
| ROYAL BANK OF SCOTLAND PLC THE CORP BND |
|
|
| F |
|
|
|
|
| 3,867,443.75 |
| 94.955 |
| 3,679,511.64 |
| 3,875,000.00 |
| 3,868,537.97 |
| (189,026.33 | ) | 1,094.22 |
| — |
| — |
| 4.375 |
| 4.419 |
| MS |
| 49,446.61 |
| 84,766.00 |
| 3/14/2011 |
| 3/16/2016 |
|
78010XAC5 |
| ROYAL BANK OF SCOTLAND PLC THE CORP BND |
|
|
| F |
|
|
|
|
| 5,251,450.00 |
| 96.219 |
| 4,810,940.95 |
| 5,000,000.00 |
| 5,214,270.45 |
| (403,329.50 | ) | (37,179.55 | ) | — |
| — |
| 4.875 |
| 3.451 |
| MS |
| 71,093.76 |
| 121,875.00 |
| 5/24/2011 |
| 3/16/2015 |
|
78010XAD3 |
| ROYAL BANK OF SCOTLAND PLC THE CORP BND |
|
|
| F |
|
|
|
|
| 2,498,650.00 |
| 96.97 |
| 2,424,240.30 |
| 2,500,000.00 |
| 2,499,241.84 |
| (75,001.54 | ) | 440.59 |
| — |
| — |
| 3.4 |
| 3.419 |
| FA |
| 30,222.22 |
| 84,764.00 |
| 8/17/2010 |
| 8/23/2013 |
|
78011CAC0 |
| ROYAL BK OF STLAND GRP PLC - ( CORP BND |
|
|
| F |
|
|
|
|
| 22,880,250.25 |
| 100.649 |
| 22,646,000.49 |
| 22,500,000.00 |
| 22,552,112.44 |
| 93,888.05 |
| (142,960.41 | ) | — |
| — |
| 2.625 |
| 1.975 |
| MN |
| 80,390.63 |
| 590,625.00 |
| 8/31/2009 |
| 5/11/2012 |
|
BRSCL40C6 |
| ROYALTY PHARMA FINANCE TRUST TERM LOAN |
|
|
|
|
| 1 |
| 2FE |
| 6,835,004.09 |
| 99.5 |
| 6,831,172.50 |
| 6,865,500.00 |
| 6,835,762.97 |
| (4,590.47 | ) | 835.50 |
| — |
| — |
| 0 |
| 0.066 |
| MJSD |
| — |
| — |
| 11/1/2011 |
| 7/13/2018 |
|
78355HJL4 |
| RYDER SYSTEM INC. CORP BND |
|
|
|
|
|
|
|
|
| 2,163,660.00 |
| 107.984 |
| 2,159,674.68 |
| 2,000,000.00 |
| 2,104,522.86 |
| 55,151.82 |
| (45,744.02 | ) | — |
| — |
| 5.85 |
| 3.327 |
| MS |
| 39,000.00 |
| 117,000.00 |
| 9/10/2010 |
| 3/1/2014 |
|
78355HJQ3 |
| RYDER SYSTEM INC. CORP BND MTN |
|
|
|
|
|
|
| 2FE |
| 3,498,670.00 |
| 102.769 |
| 3,596,925.33 |
| 3,500,000.00 |
| 3,498,947.13 |
| 97,978.20 |
| 277.13 |
| — |
| — |
| 3.15 |
| 3.16 |
| MS |
| 36,750.00 |
| 57,269.00 |
| 2/16/2011 |
| 3/2/2015 |
|
78355HJR1 |
| RYDER SYSTEM INC. CORP BND MTN |
|
|
|
|
|
|
| 2FE |
| 1,871,662.50 |
| 102.534 |
| 1,922,519.31 |
| 1,875,000.00 |
| 1,871,977.31 |
| 50,542.00 |
| 314.81 |
| — |
| — |
| 3.5 |
| 3.533 |
| JD |
| 5,468.75 |
| 34,089.00 |
| 5/17/2011 |
| 6/1/2017 |
|
78572MAD7 |
| SABMILLER PLC CORP BND 144A |
|
|
| F |
|
|
| 2FE |
| 6,522,239.50 |
| 115.82 |
| 6,485,907.58 |
| 5,600,000.00 |
| 6,420,985.86 |
| 64,921.72 |
| (101,253.64 | ) | — |
| — |
| 6.5 |
| 2.993 |
| JJ |
| 182,000.00 |
| 182,000.00 |
| 5/24/2011 |
| 7/1/2016 |
|
BRS4BYYS7 |
| SABRE INC LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 19,030.11 |
| — |
| — |
| 2.369 |
| 0 |
| MJSD |
| — |
| 4,150.00 |
| 00/00/0000 |
| 9/30/2014 |
|
796269UF3 |
| SAN ANTONIO TEX INDPT SCH DIST MUNI BND |
|
|
|
|
|
|
|
|
| 1,000,000.00 |
| 103.885 |
| 1,038,850.02 |
| 1,000,000.00 |
| 1,000,000.00 |
| 38,850.02 |
| — |
| — |
| — |
| 2.235 |
| 2.235 |
| FA |
| 8,443.33 |
| 14,031.00 |
| 12/15/2010 |
| 8/15/2014 |
|
80105NAC9 |
| SANOFI AVENTIS CORP BND |
|
|
| E |
|
|
| 1FE |
| 18,170,920.00 |
| 99.847 |
| 18,122,230.50 |
| 18,150,000.00 |
| 18,167,294.32 |
| (45,063.82 | ) | (3,625.68 | ) | — |
| — |
| 0.884 |
| 0.562 |
| MJSD |
| 1,782.22 |
| 78,754.00 |
| 7/7/2011 |
| 3/28/2014 |
|
801060AA2 |
| SANOFI AVENTIS CORP BND |
|
|
| F |
|
|
| 1FE |
| 2,996,310.00 |
| 100.508 |
| 3,015,252.24 |
| 3,000,000.00 |
| 2,996,619.41 |
| 18,632.83 |
| 309.41 |
| — |
| — |
| 1.2 |
| 1.242 |
| MS |
| 9,100.00 |
| — |
| 9/27/2011 |
| 9/30/2014 |
|
BRSBHYHD7 |
| SAVERS INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| 288,232.61 |
| 98.083 |
| 282,707.19 |
| 288,232.61 |
| 288,232.61 |
| (5,525.42 | ) | — |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 6,063.00 |
| 3/3/2011 |
| 3/4/2017 |
|
BRSCDKB78 |
| SBA SENIOR FINANCE II LLC TERM LOAN |
|
|
|
|
|
|
|
|
| 2,679,783.75 |
| 99.25 |
| 2,666,351.25 |
| 2,686,500.00 |
| 2,680,239.76 |
| (13,888.51 | ) | 489.76 |
| — |
| — |
| 0 |
| 0.035 |
| JD |
| — |
| 23,787.00 |
| 6/27/2011 |
| 6/30/2018 |
|
806854AA3 |
| SCHLUMBERGER INVESTMENT SA CORP BND 144A |
|
|
| F |
|
|
|
|
| 1,297,725.00 |
| 100.495 |
| 1,306,436.72 |
| 1,300,000.00 |
| 1,297,855.27 |
| 8,581.45 |
| 368.56 |
| — |
| — |
| 1.95 |
| 1.987 |
| MS |
| 7,534.59 |
| — |
| 9/7/2011 |
| 9/14/2016 |
|
80685PAC2 |
| SCHLUMBERGER NORGE AS CORP BND 144A |
|
|
| F |
|
|
|
|
| 1,622,156.25 |
| 100.495 |
| 1,633,045.89 |
| 1,625,000.00 |
| 1,622,319.08 |
| 10,726.81 |
| 162.83 |
| — |
| — |
| 1.95 |
| 1.987 |
| MS |
| 9,418.23 |
| — |
| 9/7/2011 |
| 9/14/2016 |
|
80705TAA4 |
| SCHOL_11-A ABS 11-A A 144A |
|
|
|
|
| 2 |
| 1FE |
| 2,776,597.94 |
| 95.82 |
| 2,714,101.65 |
| 2,832,500.16 |
| 2,778,065.40 |
| (63,963.75 | ) | 2,602.28 |
| — |
| — |
| 1.325 |
| 1.484 |
| JAJO |
| 6,774.93 |
| 19,450.00 |
| 3/22/2011 |
| 1/28/2038 |
|
80282DAB8 |
| SDART_10-1 ABS 10-1-A2 |
|
|
|
|
| 2 |
| 1FE |
| 234,949.54 |
| 100.136 |
| 234,710.83 |
| 234,391.03 |
| 234,593.85 |
| 116.98 |
| (1,556.78 | ) | — |
| — |
| 1.36 |
| 0.833 |
| MON |
| 141.68 |
| 1,859.00 |
| 5/27/2011 |
| 4/15/2012 |
|
BRSCVQWF4 |
| SEALED AIR CORPORATION TERM LOAN |
|
|
|
|
| 1 |
| 1 |
| — |
|
|
| — |
| — |
| — |
| — |
| 159.44 |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 1,013.00 |
| 00/00/0000 |
| 10/3/2018 |
|
BRSC2UZX5 |
| SENSATA TECHNOLOGIES FINANCE C TERM LOAN |
|
|
|
|
| 1 |
| 1Z |
| 4,534,500.00 |
| 98.771 |
| 4,520,748.67 |
| 4,577,000.00 |
| 4,536,128.64 |
| (15,379.97 | ) | 1,628.64 |
| — |
| — |
| 0 |
| 0.136 |
| FMAN |
| — |
| 76,515.00 |
| 8/23/2011 |
| 5/12/2018 |
|
BRSC4TTL9 |
| SENSUS METERING TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 390,077.32 |
| 98.833 |
| 387,462.42 |
| 392,037.50 |
| 390,281.59 |
| (2,819.17 | ) | 219.09 |
| — |
| — |
| 0 |
| 0.083 |
| FMAN |
| — |
| 10,758.00 |
| 5/5/2011 |
| 5/9/2017 |
|
BRSBT4DY8 |
| SERENA SOFTWARE TERM LOAN |
|
|
|
|
|
|
|
|
| 2,983,750.00 |
| 93.563 |
| 2,806,890.00 |
| 3,000,000.00 |
| 2,985,704.72 |
| (178,814.72 | ) | 1,954.72 |
| — |
| — |
| 0 |
| 0.112 |
| MJSD |
| — |
| 67,277.00 |
| 6/2/2011 |
| 3/10/2016 |
|
BRS5LH024 |
| SERVICEMASTER CO LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 3,417,595.34 |
| 95.203 |
| 3,425,165.76 |
| 3,597,749.82 |
| 3,452,093.43 |
| (26,927.67 | ) | 35,759.02 |
| — |
| — |
| 0 |
| 1.593 |
| MON |
| — |
| 5,916.00 |
| 8/16/2011 |
| 7/24/2014 |
|
BRS6WT6X0 |
| SERVICEMASTER CO LN1 TERM LOAN |
|
|
|
|
| 2 |
|
|
| 340,341.45 |
| 95.203 |
| 341,095.35 |
| 358,282.15 |
| 343,776.95 |
| (2,681.60 | ) | 3,561.07 |
| — |
| — |
| 0 |
| 1.593 |
| MON |
| — |
| 66,483.00 |
| 8/16/2011 |
| 7/24/2014 |
|
822582AF9 |
| SHELL INTL FINAN CORP BND |
|
|
| F |
|
|
| 1FE |
| 11,034,168.50 |
| 107.236 |
| 11,206,174.03 |
| 10,450,000.00 |
| 10,777,927.16 |
| 428,246.87 |
| (141,674.02 | ) | — |
| — |
| 4 |
| 2.537 |
| MS |
| 116,111.12 |
| 418,000.00 |
| 3/2/2010 |
| 3/21/2014 |
|
822582AQ5 |
| SHELL INTL FINAN CORP BND |
|
|
| F |
|
|
| 1FE |
| 12,215,823.75 |
| 106.87 |
| 12,958,011.88 |
| 12,125,000.00 |
| 12,190,059.06 |
| 767,952.82 |
| (17,523.15 | ) | — |
| — |
| 3.1 |
| 2.937 |
| JD |
| 3,132.29 |
| 375,875.00 |
| 7/2/2010 |
| 6/28/2015 |
|
BRSBBCR99 |
| SHELL: CCC INFORMATION SYSTEMS TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 422.38 |
| — |
| — |
| 0 |
| 0 |
| MON |
| — |
| — |
| 00/00/0000 |
| 11/11/2015 |
|
BRS8WUHY9 |
| SILVMA ABS_09-1 A3 |
|
|
| D |
| 1 |
|
|
| 833,161.50 |
| 106.94 |
| 847,598.88 |
| 510,000.00 |
| 833,161.50 |
| 14,437.38 |
| — |
| — |
| (40,570.50 | ) | 5.063 |
| 5.059 |
| AO |
| 7,808.87 |
| 42,184.00 |
| 10/27/2009 |
| 10/21/2016 |
|
78442GJA5 |
| SLM STUDENT LOAN TR 2003-10A 03-10A A1E |
|
|
|
|
| 2 |
|
|
| 1,299,781.25 |
| 99.969 |
| 1,299,593.76 |
| 1,300,000.00 |
| 1,299,910.14 |
| (316.38 | ) | 126.28 |
| — |
| — |
| 1.747 |
| 1.758 |
| MON |
| 189.26 |
| 14,102.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78442GJD9 |
| SLM STUDENT LOAN TR 2003-10A ABS 03-10A |
|
|
|
|
| 2 |
|
|
| 650,000.00 |
| 99.969 |
| 649,796.88 |
| 650,000.00 |
| 650,000.00 |
| (203.12 | ) | — |
| — |
| — |
| 1.772 |
| 1.777 |
| MON |
| 543.90 |
| 6,277.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78446JAA4 |
| SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2 |
|
|
|
|
| 2 |
| 1FE |
| 10,924,877.43 |
| 98.16 |
| 10,744,688.26 |
| 10,946,096.44 |
| 10,925,750.15 |
| (181,061.89 | ) | 1,888.30 |
| — |
| — |
| 0.894 |
| 0.919 |
| MON |
| 1,358.53 |
| 54,121.00 |
| 5/18/2011 |
| 11/25/2027 |
|
78442GHX7 |
| SLMA ABS 03-10A A1B 144A |
|
|
|
|
| 2 |
|
|
| 649,937.50 |
| 99.969 |
| 649,796.88 |
| 650,000.00 |
| 649,968.41 |
| (171.53 | ) | 88.15 |
| — |
| — |
| 1.765 |
| 1.772 |
| MON |
| 286.82 |
| 4,052.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78442GHZ2 |
| SLMA ABS 03-10A A1D 144A |
|
|
|
|
| 2 |
|
|
| 2,094,749.30 |
| 99.969 |
| 2,099,343.06 |
| 2,099,999.30 |
| 2,097,861.73 |
| 1,481.33 |
| 1,117.13 |
| — |
| — |
| 1.768 |
| 1.855 |
| MON |
| 1,856.40 |
| 29,288.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78442GJB3 |
| SLMA ABS 03-10A A1F 144A |
|
|
|
|
| 2 |
|
|
| 800,000.00 |
| 100 |
| 800,000.00 |
| 800,000.00 |
| 800,000.00 |
| — |
| — |
| — |
| — |
| 1.76 |
| 1.766 |
| MON |
| 585.00 |
| 2,175.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78442GHY5 |
| SLMA ABS 03-10A-A1C |
|
|
|
|
|
|
|
|
| 1,699,756.94 |
| 99.969 |
| 1,699,468.75 |
| 1,700,000.00 |
| 1,699,822.89 |
| (354.14 | ) | (21.38 | ) | — |
| — |
| 1.766 |
| 1.771 |
| **** |
| 831.20 |
| 24,591.00 |
| 11/7/2011 |
| 12/15/2016 |
|
78444YAB1 |
| SLMA ABS 08-5 A2 |
|
|
|
|
| 2 |
|
|
| 3,813,960.08 |
| 100.658 |
| 3,776,507.53 |
| 3,751,820.55 |
| 3,788,207.05 |
| (11,699.52 | ) | (37,553.51 |
| — |
| — |
| 1.518 |
| 0.667 |
| JAJO |
| 10,760.06 |
| 52,474.00 |
| 8/10/2010 |
| 1/27/2014 |
|
78444YAC9 |
| SLMA ABS 08-5 A3 |
|
|
|
|
| 2 |
| 1FE |
| 13,936,144.69 |
| 101.552 |
| 13,903,473.10 |
| 13,691,000.00 |
| 13,916,561.69 |
| (13,088.59 | ) | (20,351.41 | ) | — |
| — |
| 1.718 |
| 1.169 |
| JAJO |
| 44,437.35 |
| 32,742.00 |
| 11/29/2011 |
| 7/27/2015 |
|
78444YAD7 |
| SLMA ABS 08-5 A4 |
|
|
|
|
| 2 |
| 1FE |
| 2,983,031.25 |
| 102.627 |
| 2,924,869.50 |
| 2,850,000.00 |
| 2,965,849.49 |
| (40,979.99 | ) | (18,397.86 | ) | — |
| — |
| 2.118 |
| 1.545 |
| JAJO |
| 11,403.68 |
| 57,198.00 |
| 1/11/2011 |
| 1/25/2023 |
|
78442GHW9 |
| SLMA ABS_03-10A A1A 144A |
|
|
|
|
| 2 |
|
|
| 450,000.00 |
| 99.969 |
| 449,859.38 |
| 450,000.00 |
| 450,000.00 |
| (140.62 | ) | — |
| — |
| — |
| 1.76 |
| 1.764 |
| MON |
| 351.43 |
| 1,224.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78442GJC1 |
| SLMA ABS_03-10A AIG 144A |
|
|
|
|
| 2 |
|
|
| 600,000.00 |
| 99.969 |
| 599,812.51 |
| 600,000.00 |
| 600,000.00 |
| (187.49 | ) | — |
| — |
| — |
| 1.766 |
| 1.768 |
| MON |
| 235.47 |
| 1,213.00 |
| 11/7/2011 |
| 6/16/2014 |
|
78442GMK9 |
| SLMA ABS_04-7 A5 |
|
|
|
|
| 2 |
|
|
| 3,354,487.05 |
| 99.215 |
| 3,348,045.76 |
| 3,374,523.28 |
| 3,357,381.26 |
| (9,335.50 | ) | 5,411.87 |
| — |
| — |
| 0.588 |
| 0.82 |
| JAJO |
| 3,750.07 |
| 7,433.00 |
| 5/13/2011 |
| 4/25/2016 |
|
78442GQP4 |
| SLMA ABS_05-8 A3 |
|
|
|
|
| 2 |
|
|
| 3,741,725.00 |
| 97.692 |
| 3,722,050.15 |
| 3,810,000.00 |
| 3,750,728.22 |
| (28,678.07 | ) | 9,003.22 |
| — |
| — |
| 0.528 |
| 0.955 |
| JAJO |
| 3,802.22 |
| 7,230.00 |
| 6/13/2011 |
| 1/25/2017 |
|
78445XAA4 |
| SLMA_10-1 ABS 10-1A |
|
|
|
|
| 2 |
| 1FE |
| 2,748,373.51 |
| 98.7 |
| 2,712,644.65 |
| 2,748,373.51 |
| 2,748,373.51 |
| (35,728.86 | ) | — |
| — |
| — |
| 0.694 |
| 0.695 |
| MON |
| 264.76 |
| 17,566.00 |
| 7/30/2010 |
| 3/25/2021 |
|
78446JAB2 |
| SLMA_11-2 ABS 11-2 |
|
|
|
|
| 2 |
|
|
| 6,575,000.00 |
| 98.069 |
| 6,448,036.75 |
| 6,575,000.00 |
| 6,575,000.00 |
| (126,963.25 | ) | — |
| — |
| — |
| 1.494 |
| 1.498 |
| MON |
| 1,363.95 |
| 56,053.00 |
| 5/18/2011 |
| 3/25/2033 |
|
BRSCPUN39 |
| SNL FINANCIAL LC TERM LOAN |
|
|
|
|
|
|
|
|
| 2,873,625.00 |
| 99.75 |
| 2,955,093.75 |
| 2,962,500.00 |
| 2,878,168.41 |
| 76,925.34 |
| 5,668.41 |
| — |
| — |
| 0 |
| 0.431 |
| MJSD |
| — |
| 85,336.00 |
| 8/11/2011 |
| 8/10/2018 |
|
833656AF8 |
| SOCIETE FINANCEMENT DE L ECONO CORP BND |
|
|
| F |
|
|
|
|
| 4,876,239.26 |
| 100.663 |
| 4,902,286.69 |
| 4,870,000.00 |
| 4,871,304.31 |
| 30,982.38 |
| (4,354.71 | ) | — |
| — |
| 2.25 |
| 2.189 |
| JD |
| 6,087.50 |
| 109,575.00 |
| 2/19/2010 |
| 6/11/2012 |
|
BRS9M4ZE0 |
| SOLUTIA INC LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| 2,873,203.12 |
| 100.24 |
| 2,862,195.72 |
| 2,855,357.14 |
| 2,870,885.47 |
| (8,689.75 | ) | (3,221.67 | ) | — |
| — |
| 0 |
| -0.103 |
| MJSD |
| — |
| 78,017.00 |
| 3/1/2011 |
| 3/17/2017 |
|
BRS4QJTT8 |
| SORENSON COMMUNICATIONS INC LN1 TERM |
|
|
|
|
|
|
|
|
| 2,138,167.29 |
| 96.25 |
| 2,130,847.95 |
| 2,213,868.00 |
| 2,163,327.62 |
| (32,479.67 | ) | 34,459.62 |
| — |
| — |
| 0 |
| 1.407 |
| MON |
| — |
| 43,761.00 |
| 3/8/2011 |
| 8/16/2013 |
|
83714RAX1 |
| SOUTH CAROLINA STUDENT LN MUNI BND REV |
|
|
| R |
| 2 |
|
|
| 3,498,390.71 |
| 99.29 |
| 3,512,519.14 |
| 3,537,636.36 |
| 3,509,961.39 |
| 2,557.75 |
| 25,575.03 |
| — |
| — |
| 0.627 |
| 1.085 |
| MJSD |
| 1,909.85 |
| 10,716.00 |
| 3/30/2011 |
| 3/3/2014 |
|
842587AB3 |
| SOUTHERN COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 3,225,440.00 |
| 100.107 |
| 3,203,416.74 |
| 3,200,000.00 |
| 3,200,253.96 |
| 3,162.78 |
| (6,580.25 | ) | — |
| — |
| 5.3 |
| 5.086 |
| JJ |
| 78,204.44 |
| 169,600.00 |
| 10/23/2007 |
| 1/15/2012 |
|
84650WAA4 |
| SPAREBNK 1 BOLIG LOCAL BND 144A |
|
|
| F |
|
|
| 1FE |
| 18,153,368.00 |
| 99.211 |
| 17,957,190.82 |
| 18,100,000.00 |
| 18,139,011.54 |
| (181,820.72 | ) | (12,498.41 | ) | — |
| — |
| 1.25 |
| 1.172 |
| AO |
| 41,479.17 |
| 200,827.00 |
| 7/27/2011 |
| 10/25/2014 |
|
84650WAB2 |
| SPAREBNK 1 BOLIG SECURED LOCAL BND 144A |
|
|
| F |
|
|
| 1FE |
| 9,295,908.00 |
| 100.361 |
| 9,333,573.00 |
| 9,300,000.00 |
| 9,296,286.77 |
| 37,286.23 |
| 378.77 |
| — |
| — |
| 2.625 |
| 2.633 |
| MN |
| 23,056.24 |
| 122,068.00 |
| 5/23/2011 |
| 5/27/2017 |
|
87020LAB2 |
| SPINTAB AB SWEDMORTGAGE CORP BND 144A |
|
|
| F |
|
|
|
|
| 8,200,000.00 |
| 98.293 |
| 8,060,026.00 |
| 8,200,000.00 |
| 8,200,000.00 |
| (139,974.00 | ) | — |
| — |
| — |
| 1.024 |
| 0.758 |
| MJSD |
| 932.76 |
| 47,332.00 |
| 3/21/2011 |
| 3/28/2014 |
|
790849AE3 |
| ST. JUDE MEDICAL INC. CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,365,893.24 |
| 105.94 |
| 6,352,136.92 |
| 5,996,000.00 |
| 6,258,942.25 |
| 93,194.67 |
| (100,036.48 | ) | — |
| — |
| 3.75 |
| 1.97 |
| JJ |
| 103,680.83 |
| 224,850.00 |
| 12/1/2010 |
| 7/15/2014 |
|
85235XAA3 |
| STADSHYPOTEK AB CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 16,656,910.97 |
| 99.573 |
| 16,429,544.66 |
| 16,500,000.00 |
| 16,600,607.77 |
| (171,063.11 | ) | (51,636.53 | ) | — |
| — |
| 1.45 |
| 1.096 |
| MS |
| 60,477.09 |
| 204,450.00 |
| 6/9/2011 |
| 9/30/2013 |
|
BRSC51AB1 |
| STAR WEST GENERATION LLC TERM LOAN |
|
|
|
|
|
|
|
|
| 3,035,923.08 |
| 98 |
| 2,985,230.77 |
| 3,046,153.85 |
| 3,036,790.54 |
| (51,559.77 | ) | 3,636.69 |
| — |
| — |
| 0 |
| 0.048 |
| FMAN |
| — |
| 93,656.00 |
| 5/18/2011 |
| 5/17/2018 |
|
85748KAA1 |
| STATE STREET CAPITAL TRUST III CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,113,218.00 |
| 100.625 |
| 6,037,470.72 |
| 6,000,000.00 |
| 6,016,591.54 |
| 20,879.18 |
| (49,649.17 | ) | — |
| — |
| 2.15 |
| 1.301 |
| AO |
| 21,858.33 |
| 129,000.00 |
| 1/27/2010 |
| 4/30/2012 |
|
857477AJ2 |
| STATE STREET CORPORATION CORP BND |
|
|
|
|
|
|
|
|
| 5,000,000.00 |
| 98.632 |
| 4,931,593.05 |
| 5,000,000.00 |
| 5,000,000.00 |
| (68,406.95 | ) | — |
| — |
| — |
| 0.884 |
| 0.66 |
| MJSD |
| 3,069.10 |
| 24,749.00 |
| 3/2/2011 |
| 3/7/2014 |
|
85771SAB2 |
| STATOIL ASA CORP BND |
|
|
| F |
|
|
|
|
| 8,220,819.00 |
| 106.461 |
| 8,410,421.92 |
| 7,900,000.00 |
| 8,086,989.22 |
| 323,432.70 |
| (78,043.94 | ) | — |
| — |
| 3.875 |
| 2.799 |
| AO |
| 64,626.40 |
| 306,125.00 |
| 4/6/2010 |
| 4/15/2014 |
|
85771SAC0 |
| STATOIL ASA CORP BND |
|
|
| F |
|
|
| 1FE |
| 303,690.00 |
| 104.896 |
| 314,689.07 |
| 300,000.00 |
| 302,194.63 |
| 12,494.44 |
| (748.74 | ) | — |
| — |
| 2.9 |
| 2.626 |
| AO |
| 1,836.67 |
| 8,700.00 |
| 12/16/2009 |
| 10/15/2014 |
|
85771PAD4 |
| STATOIL ASA SENIOR CORP BND |
|
|
| F |
|
|
| 1FE |
| 2,995,140.00 |
| 100.517 |
| 3,015,508.80 |
| 3,000,000.00 |
| 2,995,239.92 |
| 20,268.88 |
| 99.92 |
| — |
| — |
| 1.8 |
| 1.834 |
| MN |
| 5,700.00 |
| — |
| 11/16/2011 |
| 11/23/2016 |
|
863667AA9 |
| STRYKER CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,497,761.30 |
| 103.866 |
| 2,596,649.75 |
| 2,500,000.00 |
| 2,498,390.96 |
| 98,258.79 |
| 540.70 |
| — |
| — |
| 3 |
| 3.022 |
| JJ |
| 34,583.33 |
| 75,000.00 |
| 11/12/2010 |
| 1/15/2015 |
|
86386MAE4 |
| STUDENT LOAN CON ABS 02-1-A4 144A |
|
|
|
|
| 2 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| (198.55 | ) | — |
| — |
| 0.1 |
| 0 |
| MON |
| — |
| 3,209.00 |
| 00/00/0000 |
| 3/1/2042 |
|
86386MAK0 |
| STUDENT LOAN CON ABS_02-02 A9 144A |
|
|
|
|
| 2 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 194.27 |
| — |
| — |
| 0.648 |
| 0 |
| MON |
| — |
| (744.00 | ) | 12/27/2010 |
| 1/25/2023 |
|
86386MAD6 |
| STUDENT LOAN CON ABS_02-1-A4 144A |
|
|
|
|
| 2 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 593.79 |
| — |
| — |
| 0 |
| 0 |
| MON |
| — |
| 3,300.00 |
| 00/00/0000 |
| 3/1/2042 |
|
L8882WAD4 |
| STYRON CORP TERM LOAN |
|
|
|
|
| 1 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| JAJO |
| — |
| 250.00 |
| 00/00/0000 |
| 8/2/2017 |
|
BRSCHUN87 |
| SUNCOKE ENERGY INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| 1,586,800.25 |
| 98.25 |
| 1,569,457.60 |
| 1,597,412.32 |
| 1,587,231.41 |
| (17,773.81 | ) | 469.09 |
| — |
| — |
| 0 |
| 0.096 |
| MJSD |
| — |
| 10,124.00 |
| 12/13/2011 |
| 7/21/2018 |
|
BRS7AQH73 |
| SUNGARD DATA SYSTEMS INC. LN1 TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 3,246,250.00 |
| 98.5 |
| 3,201,250.00 |
| 3,250,000.00 |
| 3,247,001.90 |
| (45,751.90 | ) | 751.90 |
| — |
| — |
| 0 |
| 0.042 |
| MON |
| — |
| 54,018.00 |
| 6/8/2011 |
| 2/28/2014 |
|
BRS8CFLV5 |
| SUNGARD DATA SYSTEMS INC. TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 675,500.00 |
| 97.313 |
| 683,816.00 |
| 700,000.00 |
| 677,278.01 |
| 6,537.99 |
| 9,342.01 |
| — |
| — |
| 0 |
| 0.932 |
| MON |
| — |
| 10,406.00 |
| 9/30/2011 |
| 2/28/2014 |
|
BRS1D0A10 |
| SUNGARD DATA SYSTEMS INC. TERM LOAN |
|
|
|
|
| 2 |
| 3FE |
| 2,004,900.53 |
| 97.688 |
| 1,996,064.80 |
| 2,051,180.01 |
| 2,009,730.79 |
| (13,665.99 | ) | 4,830.26 |
| — |
| — |
| 0 |
| 0.784 |
| MJSD |
| — |
| 15,442.00 |
| 8/9/2011 |
| 2/28/2016 |
|
W91297AA4 |
| SVENSKA HANDELSBANKEN AB CORP BND |
|
|
| D |
|
|
|
|
| 865,066.27 |
| 108.836 |
| 845,707.11 |
| 500,000.00 |
| 863,381.52 |
| (17,674.41 | ) | (1,684.75 | ) | — |
| (13,695.79 | ) | 5.5 |
| 3.16 |
| MAY |
| 25,689.35 |
| — |
| 11/17/2011 |
| 5/26/2016 |
|
86959LAB9 |
| SVENSKA HANDELSBANKEN AB CORP BND 144A |
|
|
| F |
|
|
|
|
| 3,925,166.10 |
| 100.939 |
| 3,966,897.91 |
| 3,930,000.00 |
| 3,928,834.76 |
| 38,063.15 |
| (46,525.50 | ) | — |
| — |
| 2.875 |
| 2.918 |
| MS |
| 33,582.39 |
| 112,988.00 |
| 9/9/2009 |
| 9/14/2012 |
|
86959LAA1 |
| SVENSKA HANDELSBANKEN AB CORP BND 144A |
|
|
| F |
|
|
| 1FE |
| 7,060,839.00 |
| 104.094 |
| 7,182,486.14 |
| 6,900,000.00 |
| 6,986,505.90 |
| 195,980.24 |
| (32,922.52 | ) | — |
| — |
| 4.875 |
| 4.328 |
| JD |
| 19,621.88 |
| 336,375.00 |
| 8/31/2009 |
| 6/10/2014 |
|
BRSBBCUC8 |
| SWIFT TRANSP CO TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| — |
| 00/00/0000 |
| 12/21/2016 |
|
BRSB98M47 |
| SWIFT TRANSPORTATION CO LLC SWIFT |
|
|
|
|
|
|
| 1Z |
| 3,516,228.95 |
| 99.75 |
| 3,593,245.83 |
| 3,602,251.46 |
| 3,524,181.40 |
| 69,064.43 |
| 12,429.94 |
| — |
| — |
| 0 |
| 0.431 |
| MJSD |
| — |
| 121,788.00 |
| 8/12/2011 |
| 12/21/2016 |
|
BRSB7CXP1 |
| SYNIVERSE HLDGS LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| 509,652.00 |
| 99.792 |
| 513,729.22 |
| 514,800.00 |
| 510,353.71 |
| 3,375.51 |
| 753.71 |
| — |
| — |
| 0 |
| 0.144 |
| MJSD |
| — |
| 19,922.00 |
| 12/21/2010 |
| 12/15/2017 |
|
BRSBBCUF1 |
| SYNIVERSE HLDGS TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| — |
| 00/00/0000 |
| 1/17/2018 |
|
89235YAC9 |
| TAOT_10-B ABS_10-B A3 |
|
|
|
|
| 2 |
| 1FE |
| 3,640,007.81 |
| 100.16 |
| 3,646,152.54 |
| 3,640,322.33 |
| 3,640,217.89 |
| 5,934.65 |
| 174.57 |
| — |
| — |
| 1.04 |
| 1.047 |
| MON |
| 1,682.64 |
| 37,859.00 |
| 7/14/2010 |
| 4/15/2013 |
|
89235YAD7 |
| TAOT_10-B ABS_10-B A4 |
|
|
|
|
| 2 |
| 1FE |
| 1,099,799.58 |
| 100.824 |
| 1,109,066.41 |
| 1,100,000.00 |
| 1,099,893.79 |
| 9,172.62 |
| 65.81 |
| — |
| — |
| 1.47 |
| 1.481 |
| MON |
| 718.67 |
| 16,170.00 |
| 7/14/2010 |
| 11/15/2013 |
|
BRS4QJUM1 |
| TEAM HLTH INC. LN1 TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 4,796.22 |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| — |
| 00/00/0000 |
| 11/23/2012 |
|
BRSCDUPD8 |
| TEAM HLTH INC. TERM LOAN |
|
|
|
|
|
|
|
|
| 3,861,097.51 |
| 95.75 |
| 3,715,578.76 |
| 3,880,500.01 |
| 3,862,399.67 |
| (146,820.91 | ) | 1,399.66 |
| — |
| — |
| 0 |
| 0.071 |
| MJSD |
| — |
| — |
| 6/28/2011 |
| 6/29/2018 |
|
BRS5LGXZ7 |
| TELESAT CANADA TERM LOAN |
|
|
|
|
| 2 |
|
|
| 6,947,668.80 |
| 98.536 |
| 6,865,853.49 |
| 6,967,863.00 |
| 6,950,551.09 |
| (84,697.60 | ) | 2,734.34 |
| — |
| — |
| 0 |
| 0.086 |
| MON |
| — |
| 103,111.00 |
| 6/7/2011 |
| 10/31/2014 |
|
BRS8FY3M1 |
| TELESAT CANADA TERM LOAN |
|
|
|
|
| 2 |
|
|
| 596,807.67 |
| 98.536 |
| 589,779.57 |
| 598,542.24 |
| 597,055.24 |
| (7,275.67 | ) | 234.92 |
| — |
| — |
| 0 |
| 0.086 |
| MON |
| — |
| 8,857.00 |
| 6/7/2011 |
| 10/31/2014 |
|
880591CW0 |
| TENN VALLEY AUTH AGENCY BND |
|
|
|
|
|
|
|
|
| 1,302,900.01 |
| 106.858 |
| 1,236,347.08 |
| 1,157,000.00 |
| 1,216,167.88 |
| 20,179.20 |
| (48,211.62 | ) | — |
| — |
| 6 |
| 1.687 |
| MS |
| 20,440.33 |
| 69,420.00 |
| 3/10/2010 |
| 3/15/2013 |
|
880591DT6 |
| TENNESSEE VALLEY AUTHORITY AGENCY BND |
|
|
|
|
|
|
| 1 |
| 3,688,555.00 |
| 102.594 |
| 3,334,289.79 |
| 3,250,000.00 |
| 3,316,062.21 |
| 18,227.58 |
| (203,703.05 | ) | — |
| — |
| 6.79 |
| 1.575 |
| MN |
| 23,293.47 |
| 220,675.00 |
| 9/25/2009 |
| 5/23/2012 |
|
BRSCESKE5 |
| TEREX CORPORATION TERM LOAN |
|
|
|
|
| 1 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| 6.70 |
| — |
| — |
| 0 |
| 0 |
| MAT |
| — |
| 222.00 |
| 00/00/0000 |
| 4/28/2017 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
88165FAC6 |
| TEVA PHARMAC FIN CORP BND |
|
|
| F |
|
|
|
|
| 2,501,975.00 |
| 101.215 |
| 2,530,375.00 |
| 2,500,000.00 |
| 2,501,926.49 |
| 28,448.51 |
| (48.51 | ) | — |
| — |
| 2.4 |
| 2.383 |
| MN |
| 8,500.00 |
| — |
| 11/8/2011 |
| 11/10/2016 |
|
88166BAB6 |
| TEVA PHARMACEUTICAL FINANCE II CORP BND |
|
|
| R |
|
|
|
|
| 5,863,229.50 |
| 100.352 |
| 5,870,615.52 |
| 5,850,000.00 |
| 5,854,809.88 |
| 15,805.64 |
| (9,466.31 | ) | — |
| — |
| 1.5 |
| 1.318 |
| JD |
| 3,900.00 |
| 87,750.00 |
| 1/31/2011 |
| 6/15/2012 |
|
88166DAB2 |
| TEVA PHARMACEUTICAL FINANCE II CORP BND |
|
|
| F |
|
|
|
|
| 2,450,000.00 |
| 99.118 |
| 2,428,381.18 |
| 2,450,000.00 |
| 2,450,000.00 |
| (21,618.82 | ) | — |
| — |
| — |
| 1.067 |
| 0.809 |
| MJSD |
| 726.12 |
| 15,029.00 |
| 3/16/2011 |
| 3/21/2014 |
|
88166CAA6 |
| TEVA PHARMACEUTICAL FINANCE II CORP BND |
|
|
| F |
|
|
| 1FE |
| 8,739,585.99 |
| 103.996 |
| 9,099,653.16 |
| 8,750,000.00 |
| 8,742,372.80 |
| 357,280.36 |
| 2,216.42 |
| — |
| — |
| 3 |
| 3.027 |
| JD |
| 11,666.66 |
| 262,500.00 |
| 11/12/2010 |
| 6/15/2015 |
|
882508AS3 |
| TEXAS INSTRUMENTS INCORPORATED CORP BND |
|
|
|
|
|
|
| 1FE |
| 14,050,000.00 |
| 100.201 |
| 14,078,239.94 |
| 14,050,000.00 |
| 14,050,000.00 |
| 28,239.94 |
| — |
| — |
| — |
| 0.637 |
| 0.439 |
| FMAN |
| 11,688.56 |
| 31,114.00 |
| 5/16/2011 |
| 5/15/2013 |
|
883556BA9 |
| THERMO FISHER SCIENTIFIC CORP BND |
|
|
|
|
|
|
| 1FE |
| 648,869.00 |
| 102.258 |
| 664,674.09 |
| 650,000.00 |
| 648,949.43 |
| 15,724.66 |
| 99.26 |
| — |
| — |
| 2.25 |
| 2.287 |
| FA |
| 5,484.38 |
| — |
| 8/9/2011 |
| 8/15/2016 |
|
883556AW2 |
| THERMO FISHER SCIENTIFIC INC CORP BND |
|
|
|
|
|
|
|
|
| 2,999,130.00 |
| 102.512 |
| 3,075,373.98 |
| 3,000,000.00 |
| 2,999,373.32 |
| 76,000.66 |
| 243.32 |
| — |
| — |
| 2.05 |
| 2.06 |
| FA |
| 22,208.33 |
| 30,579.00 |
| 2/14/2011 |
| 2/21/2014 |
|
87246AAA6 |
| TIAA CMBS 07-C4 A1 |
|
|
|
|
| 2 |
| NR*Z* |
| — |
|
|
| — |
| — |
| — |
| — |
| (6,878.96 | ) | — |
| — |
| 5.336 |
| 0 |
| MON |
| — |
| 62,393.00 |
| 00/00/0000 |
| 8/15/2039 |
|
88732JAR9 |
| TIME WARNER CABLE INC CORP BND |
|
|
|
|
|
|
| 2FE |
| 4,599,160.00 |
| 112.127 |
| 4,485,095.52 |
| 4,000,000.00 |
| 4,460,151.74 |
| 24,943.78 |
| (139,008.26 | ) | — |
| — |
| 7.5 |
| 2.225 |
| AO |
| 75,000.00 |
| 150,000.00 |
| 4/14/2011 |
| 4/1/2014 |
|
88732JAV0 |
| TIME WARNER CABLE INC CORP BND |
|
|
|
|
|
|
| 2FE |
| 7,823,158.00 |
| 104.495 |
| 7,732,625.71 |
| 7,400,000.00 |
| 7,708,619.06 |
| 24,006.65 |
| (100,604.60 | ) | — |
| — |
| 3.5 |
| 2.096 |
| FA |
| 107,916.67 |
| 259,000.00 |
| 10/15/2010 |
| 2/1/2015 |
|
887317AJ4 |
| TIME WARNER INC CORP BND |
|
|
|
|
|
|
| 2FE |
| 1,555,770.00 |
| 103.947 |
| 1,559,199.26 |
| 1,500,000.00 |
| 1,541,747.92 |
| 17,451.34 |
| (41,227.79 | ) | — |
| — |
| 3.15 |
| 2.326 |
| JJ |
| 21,787.50 |
| 47,381.00 |
| 9/23/2010 |
| 7/15/2015 |
|
BRS2VEN71 |
| TIME WARNER TELECOM HOLDINGS I TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| JAJO |
| — |
| — |
| 00/00/0000 |
| 1/7/2013 |
|
BRSBN61P1 |
| TOMKINS PLC TERM LOAN |
|
|
| R |
| 2 |
|
|
| 3,363,577.31 |
| 99.521 |
| 3,452,539.11 |
| 3,469,156.37 |
| 3,369,775.54 |
| 82,763.57 |
| 13,367.83 |
| — |
| — |
| 0 |
| 0.617 |
| FMAN |
| — |
| — |
| 8/17/2011 |
| 9/21/2016 |
|
89114QAC2 |
| TORONTO-DOMINION BANK CORP BND |
|
|
| A |
|
|
|
|
| 2,300,000.00 |
| 99.891 |
| 2,297,492.98 |
| 2,300,000.00 |
| 2,300,000.00 |
| (2,507.02 | ) | — |
| — |
| — |
| 0.701 |
| 0.549 |
| JAJO |
| 3,537.24 |
| 3,227.00 |
| 7/7/2011 |
| 7/14/2014 |
|
89114QAE8 |
| TORONTO-DOMINION BANK CORP BND |
|
|
| A |
|
|
| 1FE |
| 1,622,064.00 |
| 100.84 |
| 1,613,437.98 |
| 1,600,000.00 |
| 1,621,436.37 |
| (7,998.39 | ) | 24.88 |
| — |
| — |
| 2.375 |
| 2.08 |
| AO |
| 7,600.00 |
| — |
| 11/3/2011 |
| 10/19/2016 |
|
89114QAB4 |
| TORONTO-DOMINION BANK CORP BND MTN |
|
|
| A |
|
|
| 1FE |
| 3,486,945.00 |
| 101.768 |
| 3,561,875.91 |
| 3,500,000.00 |
| 3,488,089.49 |
| 73,786.42 |
| 1,144.49 |
| — |
| — |
| 2.5 |
| 2.58 |
| JJ |
| 40,590.28 |
| — |
| 7/7/2011 |
| 7/14/2016 |
|
89152UAE2 |
| TOTAL CAPITAL S.A. CORP BND |
|
|
| F |
|
|
| 1FE |
| 2,033,440.00 |
| 102.468 |
| 2,049,354.10 |
| 2,000,000.00 |
| 2,026,579.92 |
| 22,774.18 |
| (9,202.76 | ) | — |
| — |
| 2.3 |
| 1.969 |
| MS |
| 13,544.44 |
| 46,000.00 |
| 11/4/2010 |
| 3/15/2016 |
|
89235UAD5 |
| TOYOTA AUTO RECEIVABLES OWNER TAOT |
|
|
|
|
| 2 |
|
|
| 4,999,209.00 |
| 100.28 |
| 5,014,002.50 |
| 5,000,000.00 |
| 4,999,540.32 |
| 14,462.18 |
| 268.78 |
| — |
| — |
| 1.09 |
| 1.098 |
| MON |
| 2,422.22 |
| 54,500.00 |
| 9/22/2010 |
| 2/15/2014 |
|
89233P4H6 |
| TOYOTA MOTOR CREDIT CORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 999,219.60 |
| 100.926 |
| 1,009,255.29 |
| 1,000,000.00 |
| 999,541.95 |
| 9,713.34 |
| 1,072.52 |
| — |
| — |
| 1.375 |
| 1.404 |
| FA |
| 5,309.03 |
| 13,750.00 |
| 11/12/2010 |
| 8/12/2013 |
|
89233P4B9 |
| TOYOTA MOTOR CREDIT CORP CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 1,997,706.43 |
| 105.23 |
| 2,104,597.16 |
| 2,000,000.00 |
| 1,998,274.16 |
| 106,323.00 |
| 499.05 |
| — |
| — |
| 3.2 |
| 3.227 |
| JD |
| 2,488.89 |
| 64,000.00 |
| 11/12/2010 |
| 6/17/2015 |
|
89233P4R4 |
| TOYOTA MOTOR CREDIT CORP CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 2,094,780.00 |
| 103.515 |
| 2,070,308.38 |
| 2,000,000.00 |
| 2,088,218.87 |
| (17,910.49 | ) | (6,561.13 | ) | — |
| — |
| 2.8 |
| 1.663 |
| JJ |
| 26,444.44 |
| — |
| 9/6/2011 |
| 1/11/2016 |
|
89233P5E2 |
| TOYOTA MOTOR CREDIT CORP CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 3,481,835.00 |
| 100.27 |
| 3,509,458.16 |
| 3,500,000.00 |
| 3,482,862.73 |
| 26,595.43 |
| 1,884.18 |
| — |
| — |
| 2 |
| 2.11 |
| MS |
| 20,611.11 |
| — |
| 9/8/2011 |
| 9/15/2016 |
|
U89233TU1 |
| TOYOTA MOTOR CREDIT CORP CORP BOND |
|
|
| O |
|
|
|
|
| 1,797,458.08 |
| 106.021 |
| 1,812,447.97 |
| 1,100,000.00 |
| 1,796,968.46 |
| 15,479.51 |
| (489.62 | ) | — |
| (64,086.71 | ) | 4 |
| 3.7 |
| DEC |
| 4,670.79 |
| 53,852.00 |
| 12/4/2011 |
| 12/7/2017 |
|
BRS35M2T5 |
| TPF GENERATION HOLDINGS LLC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 927,959.13 |
| 96.875 |
| 899,851.17 |
| 928,878.63 |
| 928,031.47 |
| (28,180.30 | ) | 92.14 |
| — |
| — |
| 0 |
| 0.046 |
| MJSD |
| — |
| — |
| 11/1/2011 |
| 12/15/2013 |
|
BRS35M3Y3 |
| TPF GENERATION HOLDINGS LLC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 553,846.06 |
| 96.875 |
| 537,070.04 |
| 554,394.88 |
| 553,889.24 |
| (16,819.20 | ) | 43.18 |
| — |
| — |
| 0 |
| 0.046 |
| MJSD |
| — |
| 376.00 |
| 11/1/2011 |
| 12/15/2013 |
|
893526DH3 |
| TRANSCANADA PIPELINES LIMITED CORP BND |
|
|
| A |
|
|
| 1FE |
| 3,673,161.75 |
| 105.826 |
| 3,889,103.96 |
| 3,675,000.00 |
| 3,673,712.10 |
| 215,391.86 |
| 1,124.52 |
| — |
| — |
| 3.4 |
| 3.411 |
| JD |
| 10,412.50 |
| 124,950.00 |
| 5/27/2010 |
| 6/1/2015 |
|
BRSBK9AU7 |
| TRANSDIGM GROUP INC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 2,962,900.26 |
| 99.063 |
| 3,042,756.88 |
| 3,071,537.19 |
| 2,968,542.39 |
| 74,214.49 |
| 5,642.13 |
| — |
| — |
| 0 |
| 0.654 |
| FMAN |
| — |
| — |
| 8/29/2011 |
| 2/14/2017 |
|
BRSBU8QR8 |
| TRANSTAR HOLDING COMPANY LN1 TERM LOAN |
|
|
|
|
|
|
| 3FE |
| 792,000.00 |
| 97.75 |
| 774,180.00 |
| 792,000.00 |
| 792,000.00 |
| (17,820.00 | ) | — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| 9,615.00 |
| 3/10/2011 |
| 12/21/2016 |
|
BRSBBCVB9 |
| TRANSTAR HOLDING COMPANY TERM LOAN |
|
|
|
|
|
|
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| MJSD |
| — |
| — |
| 00/00/0000 |
| 12/21/2016 |
|
BRSBHPM99 |
| TRANSUNION CORP TERM LOAN |
|
|
|
|
| 1 |
| 3FE |
| 2,885,043.68 |
| 99.542 |
| 2,960,173.70 |
| 2,973,793.68 |
| 2,889,291.52 |
| 70,882.18 |
| 4,247.84 |
| — |
| — |
| 0 |
| 0.464 |
| FMAN |
| — |
| 8,314.00 |
| 8/29/2011 |
| 2/10/2018 |
|
BRSCC2H73 |
| TRIMAS CORP TERM LOAN |
|
|
|
|
|
|
|
|
| 910,823.00 |
| 99.125 |
| 907,390.25 |
| 915,400.00 |
| 911,216.77 |
| (3,826.52 | ) | 416.77 |
| — |
| — |
| 0 |
| 0.081 |
| MJSD |
| — |
| 16,413.00 |
| 6/17/2011 |
| 7/15/2017 |
|
BRSB5UM91 |
| TW TELECOM INC TERM LOAN |
|
|
|
|
|
|
|
|
| 987,013.00 |
| 99.042 |
| 977,557.42 |
| 987,013.00 |
| 987,013.00 |
| (9,455.58 | ) | — |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 26,570.00 |
| 1/18/2011 |
| 12/29/2016 |
|
BRSBH1FB5 |
| TWCC HOLDING CORP TERM LOAN |
|
|
|
|
| 1 |
|
|
| 3,818,337.71 |
| 99.531 |
| 3,860,023.58 |
| 3,878,212.40 |
| 3,821,230.19 |
| 38,793.39 |
| 2,892.48 |
| — |
| — |
| 0 |
| 0.282 |
| FMAN |
| — |
| 60,015.00 |
| 8/23/2011 |
| 2/11/2017 |
|
902118BK3 |
| TYCO INTERNATIONAL GROUP SA CORP BND |
|
|
| F |
|
|
| 1FE |
| 5,616,616.50 |
| 108.282 |
| 5,359,949.05 |
| 4,950,000.00 |
| 5,359,544.67 |
| 404.38 |
| (214,149.75 | ) | — |
| — |
| 6 |
| 1.498 |
| MN |
| 37,950.00 |
| 297,000.00 |
| 10/14/2010 |
| 11/15/2013 |
|
90261XGX4 |
| UBS AG CORP BND |
|
|
| F |
|
|
|
|
| 2,898,753.00 |
| 97.788 |
| 2,835,864.67 |
| 2,900,000.00 |
| 2,899,129.36 |
| (63,264.69 | ) | 421.51 |
| — |
| — |
| 2.25 |
| 2.265 |
| JJ |
| 27,731.25 |
| 32,625.00 |
| 1/25/2011 |
| 1/28/2014 |
|
BRSBBKBD9 |
| UCI INTERNATIONAL TL B TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 168,300.00 |
| 99.969 |
| 168,247.83 |
| 168,300.00 |
| 168,300.00 |
| (52.17 | ) | — |
| — |
| — |
| 0 |
| 0 |
| JAJO |
| — |
| 6,921.00 |
| 1/20/2011 |
| 7/6/2017 |
|
BRSDDXAW4 |
| UNIFRAX HOLDING CO TERM LOAN |
|
|
|
|
|
|
| 4FE |
| 1,568,000.00 |
| 100.501 |
| 1,608,008.00 |
| 1,600,000.00 |
| 1,568,339.48 |
| 39,668.52 |
| 339.48 |
| — |
| — |
| 0 |
| 0.289 |
| JAJO |
| — |
| — |
| 11/18/2011 |
| 10/27/2018 |
|
G92087EB0 |
| UNILEVER PLC LOCAL BND EMTN |
|
|
| D |
|
|
|
|
| 2,263,205.31 |
| 113.582 |
| 2,206,469.22 |
| 1,250,000.00 |
| 2,257,248.27 |
| (50,779.05 | ) | (5,957.04 | ) | — |
| (57,881.79 | ) | 4.75 |
| 2.143 |
| JUN |
| 50,308.67 |
| — |
| 11/9/2011 |
| 6/16/2017 |
|
BRS38FMB4 |
| UNITED AIR LINES INC. TERM LOAN |
|
|
|
|
|
|
|
|
| 2,898,562.70 |
| 95.271 |
| 2,837,182.79 |
| 2,978,013.03 |
| 2,918,781.56 |
| (81,598.77 | ) | 20,768.53 |
| — |
| — |
| 0 |
| 0.949 |
| FMAN |
| — |
| 49,554.00 |
| 5/13/2011 |
| 2/3/2014 |
|
G92435JR1 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 875,090.93 |
| 113.23 |
| 879,853.72 |
| 500,000.00 |
| 872,991.16 |
| 6,862.56 |
| (142,388.38 | ) | — |
| 7,278.46 |
| 8 |
| 0.321 |
| MS |
| 16,394.90 |
| — |
| 12/14/2011 |
| 9/27/2013 |
|
G92435NC9 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 29,776,574.99 |
| 104.92 |
| 28,665,275.04 |
| 17,580,000.00 |
| 29,093,108.23 |
| (427,833.19 | ) | (666,086.08 | ) | — |
| (651,631.71 | ) | 4.5 |
| 0.998 |
| MS |
| 391,802.28 |
| 647,978.00 |
| 11/9/2011 |
| 3/7/2013 |
|
G924504Y1 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 12,427,778.92 |
| 104.18 |
| 12,628,678.77 |
| 7,800,000.00 |
| 12,414,778.43 |
| 213,900.34 |
| (13,000.49 | ) | — |
| (132,397.55 | ) | 2.25 |
| 1.625 |
| MS |
| 86,918.61 |
| 95,159.00 |
| 11/9/2011 |
| 3/7/2014 |
|
G924507Q5 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 11,974,090.53 |
| 106.88 |
| 11,876,307.87 |
| 7,150,000.00 |
| 11,936,785.70 |
| (60,477.83 | ) | (37,304.83 | ) | — |
| (163,435.01 | ) | 2.75 |
| 0.776 |
| JJ |
| 135,349.76 |
| — |
| 11/9/2011 |
| 1/22/2015 |
|
G92450H50 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 4,342,883.88 |
| 102.11 |
| 3,332,472.17 |
| 2,100,000.00 |
| 4,182,740.93 |
| (850,268.76 | ) | (72,643.59 | ) | — |
| (903,686.83 | ) | 5.25 |
| 4.131 |
| JD |
| 11,703.52 |
| 175,038.00 |
| 3/3/2008 |
| 6/7/2012 |
|
G92450NU8 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 23,476,974.51 |
| 112.33 |
| 23,043,510.99 |
| 13,200,000.00 |
| 23,007,745.48 |
| 35,765.51 |
| (324,375.52 | ) | — |
| (726,059.75 | ) | 5 |
| 1.691 |
| MS |
| 326,873.34 |
| 560,469.00 |
| 11/9/2011 |
| 9/7/2014 |
|
G92450QY7 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 443,949.36 |
| 115.16 |
| 447,425.39 |
| 250,000.00 |
| 443,392.04 |
| 4,033.35 |
| (557.32 | ) | — |
| 3,696.73 |
| 4.75 |
| 0.603 |
| MS |
| 5,881.24 |
| — |
| 12/14/2011 |
| 9/7/2015 |
|
G92450UG1 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 4,225,449.02 |
| 123.34 |
| 4,696,226.00 |
| 2,450,000.00 |
| 4,188,797.63 |
| 507,428.37 |
| (36,554.01 | ) | — |
| (30,901.30 | ) | 4.75 |
| 3.449 |
| MS |
| 57,636.19 |
| 189,979.00 |
| 12/31/2010 |
| 3/7/2020 |
|
G92450YY8 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 9,413,434.33 |
| 114.29 |
| 9,369,354.19 |
| 5,275,000.00 |
| 9,363,581.04 |
| 5,773.15 |
| (81,793.76 | ) | — |
| (198,986.31 | ) | 4 |
| 1.387 |
| MS |
| 85,851.22 |
| 74,013.00 |
| 12/15/2011 |
| 9/7/2016 |
|
G92451CZ7 |
| UNITED KINGDOM GILT GOVT BND |
|
|
| D |
|
|
|
|
| 14,535,551.41 |
| 104.96 |
| 14,925,327.73 |
| 9,150,000.00 |
| 14,582,457.77 |
| 342,869.96 |
| 51,218.42 |
| — |
| (486,096.50 | ) | 2 |
| 2.216 |
| JJ |
| 125,970.80 |
| 107,386.00 |
| 11/9/2011 |
| 1/22/2016 |
|
G92435BV0 |
| UNITED KINGDOM GILT IBND GOVT 8 MO |
|
|
| D |
|
|
|
|
| 1,768,447.79 |
| 342.58 |
| 1,856,939.70 |
| 350,000.00 |
| 1,827,303.01 |
| 29,636.69 |
| 45,066.34 |
| — |
| (37,629.98 | ) | 2.5 |
| -0.583 |
| JJ |
| 16,921.10 |
| 27,593.00 |
| 11/9/2011 |
| 7/26/2016 |
|
911312AG1 |
| UNITED PARCEL SERVICE INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 12,184,671.00 |
| 104.143 |
| 11,872,313.97 |
| 11,400,000.00 |
| 11,660,622.83 |
| 211,691.14 |
| (245,469.04 | ) | — |
| — |
| 4.5 |
| 2.259 |
| JJ |
| 236,550.00 |
| 513,000.00 |
| 1/22/2010 |
| 1/15/2013 |
|
911312AL0 |
| UNITED PARCEL SERVICE INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 12,414,426.00 |
| 107.047 |
| 12,631,586.13 |
| 11,800,000.00 |
| 12,158,017.62 |
| 473,568.51 |
| (152,799.26 | ) | — |
| — |
| 3.875 |
| 2.478 |
| AO |
| 114,312.50 |
| 186,969.00 |
| 12/14/2011 |
| 4/1/2014 |
|
912828BH2 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 8,584,401.80 |
| 106.484 |
| 8,518,719.52 |
| 8,000,000.00 |
| 8,511,160.08 |
| 7,559.44 |
| (73,241.72 | ) | — |
| — |
| 4.25 |
| 0.306 |
| FA |
| 127,500.00 |
| — |
| 10/7/2011 |
| 8/15/2013 |
|
912828HY9 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 3,456,386.72 |
| 103.871 |
| 3,635,485.07 |
| 3,500,000.00 |
| 3,487,750.12 |
| 147,734.95 |
| 9,303.47 |
| — |
| — |
| 3.125 |
| 3.397 |
| AO |
| 18,629.81 |
| 109,375.00 |
| 5/30/2008 |
| 4/30/2013 |
|
912828JM3 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 2,037,265.63 |
| 104.988 |
| 2,099,760.14 |
| 2,000,000.00 |
| 2,013,748.86 |
| 86,011.28 |
| (19,982.58 | ) | — |
| — |
| 3.125 |
| 2.719 |
| MS |
| 15,881.14 |
| 62,500.00 |
| 10/7/2008 |
| 9/30/2013 |
|
912828JZ4 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 15,224,439.51 |
| 103.078 |
| 15,874,013.69 |
| 15,400,000.00 |
| 15,285,198.59 |
| 588,815.10 |
| 63,309.21 |
| — |
| — |
| 1.75 |
| 2.118 |
| JJ |
| 112,779.89 |
| 269,500.00 |
| 11/12/2010 |
| 1/31/2014 |
|
912828KF6 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 6,158,320.31 |
| 103.398 |
| 6,203,880.18 |
| 6,000,000.00 |
| 6,101,437.26 |
| 102,442.92 |
| (69,551.10 | ) | — |
| — |
| 1.875 |
| 1.082 |
| FA |
| 38,015.11 |
| 112,500.00 |
| 12/17/2010 |
| 2/28/2014 |
|
912828LC2 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 30,461,238.28 |
| 105.873 |
| 30,703,170.30 |
| 29,000,000.00 |
| 30,172,123.44 |
| 531,046.86 |
| (303,103.24 | ) | — |
| — |
| 2.625 |
| 1.032 |
| JJ |
| 318,566.58 |
| 517,125.00 |
| 10/17/2011 |
| 7/31/2014 |
|
912828LK4 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 25,296,658.65 |
| 105.341 |
| 25,597,863.74 |
| 24,300,000.00 |
| 24,990,117.74 |
| 607,746.00 |
| (432,372.11 | ) | — |
| — |
| 2.375 |
| 1.285 |
| FA |
| 195,017.51 |
| 577,125.00 |
| 11/12/2010 |
| 8/31/2014 |
|
912828LR9 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 9,873,160.16 |
| 100.965 |
| 9,793,604.61 |
| 9,700,000.00 |
| 9,763,753.64 |
| 29,850.97 |
| (94,554.70 | ) | — |
| — |
| 1.375 |
| 0.537 |
| AO |
| 28,424.18 |
| 133,375.00 |
| 8/19/2010 |
| 10/15/2012 |
|
912828LZ1 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 23,576,965.22 |
| 105.023 |
| 23,630,175.68 |
| 22,500,000.00 |
| 23,276,872.90 |
| 353,302.78 |
| (690,284.13 | ) | — |
| — |
| 2.125 |
| 0.921 |
| MN |
| 41,803.27 |
| 478,125.00 |
| 1/12/2011 |
| 11/30/2014 |
|
912828MB3 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 2,983,603.80 |
| 100.919 |
| 3,027,569.97 |
| 3,000,000.00 |
| 2,994,719.35 |
| 32,850.62 |
| 14,618.86 |
| — |
| — |
| 1.125 |
| 1.311 |
| JD |
| 1,567.62 |
| 33,750.00 |
| 12/11/2009 |
| 12/15/2012 |
|
912828MH0 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 12,914,223.24 |
| 105.643 |
| 13,733,589.74 |
| 13,000,000.00 |
| 12,945,917.79 |
| 787,671.95 |
| 22,095.98 |
| — |
| — |
| 2.25 |
| 2.391 |
| JJ |
| 122,404.89 |
| 292,500.00 |
| 1/29/2010 |
| 1/31/2015 |
|
912828MN7 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 15,941,238.41 |
| 101.328 |
| 16,118,245.44 |
| 15,907,000.00 |
| 15,921,446.33 |
| 196,799.11 |
| (24,945.69 | ) | — |
| — |
| 1.375 |
| 1.293 |
| FA |
| 82,614.82 |
| 218,721.00 |
| 9/9/2010 |
| 2/15/2013 |
|
912828MT4 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 10,182,846.00 |
| 101.432 |
| 10,143,199.90 |
| 10,000,000.00 |
| 10,143,089.73 |
| 110.17 |
| (39,756.27 | ) | — |
| — |
| 1.375 |
| 0.184 |
| MS |
| 40,796.70 |
| 68,750.00 |
| 8/31/2011 |
| 3/15/2013 |
|
912828MU1 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 1,198,832.15 |
| 100.224 |
| 1,202,687.89 |
| 1,200,000.00 |
| 1,199,855.28 |
| 2,832.61 |
| (11,324.71 | ) | — |
| — |
| 1 |
| 1.049 |
| MS |
| 3,033.34 |
| 12,000.00 |
| 3/30/2010 |
| 3/31/2012 |
|
912828NF3 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 7,989,960.55 |
| 105.561 |
| 7,990,967.48 |
| 7,570,000.00 |
| 7,980,334.27 |
| 10,633.21 |
| (71,910.58 | ) | — |
| — |
| 2.125 |
| 0.52 |
| MN |
| 14,064.48 |
| 11,369.00 |
| 12/16/2011 |
| 5/31/2015 |
|
912828NQ9 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 5,812,906.15 |
| 100.31 |
| 5,817,979.42 |
| 5,800,000.00 |
| 5,803,829.59 |
| 14,149.83 |
| (6,559.75 | ) | — |
| — |
| 0.625 |
| 0.511 |
| JJ |
| 15,169.83 |
| 36,250.00 |
| 8/13/2010 |
| 7/31/2012 |
|
912828NY2 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 10,018,392.88 |
| 100.865 |
| 10,086,499.80 |
| 10,000,000.00 |
| 10,010,606.29 |
| 75,893.51 |
| (6,158.51 | ) | — |
| — |
| 0.75 |
| 0.687 |
| MS |
| 22,252.75 |
| 75,000.00 |
| 9/24/2010 |
| 9/15/2013 |
|
912828NZ9 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 12,293,946.45 |
| 102.602 |
| 12,312,238.80 |
| 12,000,000.00 |
| 12,273,457.31 |
| 38,781.49 |
| (21,875.51 | ) | — |
| — |
| 1.25 |
| 0.633 |
| MS |
| 38,114.76 |
| 75,000.00 |
| 9/16/2011 |
| 9/30/2015 |
|
912828PQ7 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 4,463,780.37 |
| 101.485 |
| 4,465,340.04 |
| 4,400,000.00 |
| 4,460,563.89 |
| 4,776.15 |
| (3,016.80 | ) | — |
| — |
| 1 |
| 0.322 |
| JJ |
| 20,326.09 |
| — |
| 11/21/2011 |
| 1/15/2014 |
|
912828PU8 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 1,793,326.34 |
| 100.475 |
| 1,808,549.96 |
| 1,800,000.00 |
| 1,795,823.81 |
| 12,726.15 |
| 16,356.86 |
| — |
| — |
| 0.5 |
| 0.625 |
| MN |
| 1,162.09 |
| 9,000.00 |
| 11/9/2010 |
| 11/15/2013 |
|
912828QE3 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 399,829.47 |
| 100.585 |
| 402,340.00 |
| 400,000.00 |
| 399,886.09 |
| 2,453.91 |
| 56.62 |
| — |
| — |
| 0.625 |
| 0.647 |
| AO |
| 425.83 |
| 1,250.00 |
| 4/27/2011 |
| 4/30/2013 |
|
912828QU7 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 12,947,453.12 |
| 100.774 |
| 12,949,459.26 |
| 12,850,000.00 |
| 12,934,599.69 |
| 14,859.57 |
| (12,857.47 | ) | — |
| — |
| 0.625 |
| 0.364 |
| JJ |
| 37,100.88 |
| — |
| 8/9/2011 |
| 7/15/2014 |
|
912828QX1 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 84,257,338.52 |
| 103.392 |
| 85,195,000.60 |
| 82,400,000.00 |
| 84,119,408.90 |
| 1,075,591.70 |
| (151,659.89 | ) | — |
| — |
| 1.5 |
| 1.032 |
| JJ |
| 517,239.12 |
| — |
| 8/16/2011 |
| 7/31/2016 |
|
912828RB8 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 8,243,589.97 |
| 100.469 |
| 8,238,458.16 |
| 8,200,000.00 |
| 8,238,123.77 |
| 334.39 |
| (5,466.20 | ) | — |
| — |
| 0.5 |
| 0.322 |
| FA |
| 15,486.41 |
| — |
| 8/10/2011 |
| 8/15/2014 |
|
912828RD4 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 14,978,370.57 |
| 99.83 |
| 14,974,500.30 |
| 15,000,000.00 |
| 14,983,324.21 |
| (8,823.91 | ) | 4,953.64 |
| — |
| — |
| 0.125 |
| 0.228 |
| FA |
| 6,266.98 |
| — |
| 9/6/2011 |
| 8/31/2013 |
|
912828RF9 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 43,661,332.90 |
| 101.09 |
| 43,873,061.73 |
| 43,400,000.00 |
| 43,646,149.78 |
| 226,911.95 |
| (16,215.19 | ) | — |
| — |
| 1 |
| 0.874 |
| FA |
| 146,653.84 |
| — |
| 9/21/2011 |
| 8/31/2016 |
|
912828RG7 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 9,477,024.01 |
| 99.762 |
| 9,477,390.10 |
| 9,500,000.00 |
| 9,479,154.12 |
| (1,764.02 | ) | 2,208.92 |
| — |
| — |
| 0.25 |
| 0.332 |
| MS |
| 7,046.70 |
| — |
| 9/21/2011 |
| 9/15/2014 |
|
912828RJ1 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 13,167,680.28 |
| 101.028 |
| 13,335,696.00 |
| 13,200,000.00 |
| 13,169,041.76 |
| 166,654.24 |
| 1,559.82 |
| — |
| — |
| 1 |
| 1.051 |
| MS |
| 33,540.98 |
| — |
| 10/11/2011 |
| 9/30/2016 |
|
912828RL6 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 12,914,152.59 |
| 100.414 |
| 12,953,406.13 |
| 12,900,000.00 |
| 12,913,225.24 |
| 40,180.89 |
| (947.32 | ) | — |
| — |
| 0.5 |
| 0.463 |
| AO |
| 13,745.90 |
| — |
| 10/20/2011 |
| 10/15/2014 |
|
912828RM4 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 57,133,084.93 |
| 100.966 |
| 57,358,786.32 |
| 56,810,000.00 |
| 57,124,114.18 |
| 234,672.14 |
| (9,082.16 | ) | — |
| — |
| 1 |
| 0.883 |
| AO |
| 96,764.28 |
| — |
| 11/18/2011 |
| 10/31/2016 |
|
912828RN2 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 14,257,236.33 |
| 100.025 |
| 14,253,562.79 |
| 14,250,000.00 |
| 14,256,674.93 |
| (3,112.14 | ) | (561.40 | ) | — |
| — |
| 0.25 |
| 0.224 |
| AO |
| 6,067.99 |
| — |
| 11/7/2011 |
| 10/31/2013 |
|
912828RP7 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 15,283,067.81 |
| 102.926 |
| 15,438,900.45 |
| 15,000,000.00 |
| 15,278,701.15 |
| 160,199.30 |
| (4,366.66 | ) | — |
| — |
| 1.75 |
| 1.463 |
| AO |
| 44,711.54 |
| — |
| 11/18/2011 |
| 10/31/2018 |
|
912828RQ5 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 64,466,728.90 |
| 100.07 |
| 64,545,150.00 |
| 64,500,000.00 |
| 64,468,307.78 |
| 76,842.22 |
| 1,601.26 |
| — |
| — |
| 0.375 |
| 0.392 |
| MN |
| 31,231.12 |
| — |
| 12/13/2011 |
| 11/15/2014 |
|
912828RS1 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 20,003,158.50 |
| 100.012 |
| 20,002,400.20 |
| 20,000,000.00 |
| 20,003,079.50 |
| (679.30 | ) | (79.00 | ) | — |
| — |
| 0.25 |
| 0.242 |
| MN |
| 4,371.59 |
| — |
| 12/13/2011 |
| 11/30/2013 |
|
912828RU6 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 52,128,618.36 |
| 100.302 |
| 52,407,796.05 |
| 52,250,000.00 |
| 52,130,829.37 |
| 276,966.68 |
| 2,211.01 |
| — |
| — |
| 0.875 |
| 0.923 |
| MN |
| 39,972.68 |
| — |
| 12/19/2011 |
| 11/30/2016 |
|
912828RV4 |
| UNITED STATES TREASURY GOVT BND |
|
|
|
|
|
|
| 1 |
| 12,459,472.66 |
| 99.672 |
| 12,458,999.63 |
| 12,500,000.00 |
| 12,459,915.64 |
| (916.01 | ) | 442.98 |
| — |
| — |
| 0.25 |
| 0.359 |
| JD |
| 1,451.50 |
| — |
| 12/19/2011 |
| 12/15/2014 |
|
91412GFC4 |
| UNIVERSITY CALIF REVS MUNI BND REV |
|
|
|
|
|
|
| 1FE |
| 1,300,000.00 |
| 100.173 |
| 1,302,248.96 |
| 1,300,000.00 |
| 1,300,000.00 |
| 2,248.96 |
| — |
| — |
| — |
| 0.887 |
| 0.887 |
| JJ |
| 4,932.71 |
| — |
| 7/20/2011 |
| 7/1/2013 |
|
914455KX7 |
| UNIVERSITY MICH UNIV REVS MUNITAX BND |
|
|
|
|
|
|
|
|
| 3,500,000.00 |
| 101.754 |
| 3,561,389.93 |
| 3,500,000.00 |
| 3,500,000.00 |
| 61,389.93 |
| — |
| — |
| — |
| 1.754 |
| 1.754 |
| AO |
| 15,347.50 |
| 54,910.00 |
| 10/28/2010 |
| 4/1/2015 |
|
BRSAWQ120 |
| UNIVISION COMMUNICATIONS INC. TERM LOAN |
|
|
|
|
| 2 |
| 4FE |
| 6,677,498.03 |
| 88.857 |
| 6,188,749.39 |
| 6,964,841.70 |
| 6,708,069.47 |
| (519,320.08 | ) | 31,977.77 |
| — |
| — |
| 0 |
| 0.701 |
| MJSD |
| — |
| 227,299.00 |
| 8/5/2011 |
| 3/31/2017 |
|
BRS9YEPB2 |
| UPC FINANCING PARTNERSHIP TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,992,500.00 |
| 95.25 |
| 1,905,000.00 |
| 2,000,000.00 |
| 1,993,151.74 |
| (88,151.74 | ) | 651.74 |
| — |
| — |
| 0 |
| 0.056 |
| JAJO |
| — |
| 42,093.00 |
| 5/27/2011 |
| 12/31/2017 |
|
BRSD5SHT4 |
| UPC FINANCING PARTNERSHIP TERM LOAN |
|
|
|
|
| 2 |
| 1Z |
| 2,328,000.00 |
| 97.75 |
| 2,346,000.00 |
| 2,400,000.00 |
| 2,329,829.85 |
| 16,170.15 |
| 1,829.85 |
| — |
| — |
| 0 |
| 0.488 |
| MJSD |
| — |
| 3,167.00 |
| 10/21/2011 |
| 12/31/2017 |
|
91159HGS3 |
| US BANCORP CORP BND |
|
|
|
|
|
|
|
|
| 1,250,062.50 |
| 101.594 |
| 1,269,921.21 |
| 1,250,000.00 |
| 1,250,025.97 |
| 19,895.24 |
| (22.64 | ) | — |
| — |
| 2.125 |
| 2.123 |
| FA |
| 10,034.72 |
| 26,563.00 |
| 12/16/2009 |
| 2/15/2013 |
|
91159HGZ7 |
| US BANCORP CORP BND |
|
|
|
|
| 1 |
|
|
| 1,997,060.00 |
| 99.961 |
| 1,999,214.64 |
| 2,000,000.00 |
| 1,998,193.22 |
| 1,021.42 |
| 1,620.63 |
| — |
| — |
| 1.125 |
| 1.175 |
| AO |
| 3,812.50 |
| 22,375.00 |
| 10/28/2010 |
| 10/30/2013 |
|
91159HGW4 |
| US BANCORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 9,106,155.00 |
| 101.226 |
| 9,211,556.81 |
| 9,100,000.00 |
| 9,105,127.57 |
| 106,429.24 |
| (2,271.42 | ) | — |
| — |
| 2 |
| 1.96 |
| JD |
| 8,594.44 |
| 182,000.00 |
| 2/2/2011 |
| 6/14/2013 |
|
91159HGX2 |
| US BANCORP CORP BND |
|
|
|
|
|
|
| 1FE |
| 999,020.00 |
| 102.801 |
| 1,028,008.35 |
| 1,000,000.00 |
| 999,288.05 |
| 28,720.30 |
| 853.10 |
| — |
| — |
| 2.45 |
| 2.471 |
| JJ |
| 10,480.56 |
| 24,500.00 |
| 7/22/2010 |
| 7/27/2015 |
|
91159HGY0 |
| US BANCORP CORP BND |
|
|
|
|
| 1 |
| 1FE |
| 5,442,969.50 |
| 100.383 |
| 5,470,876.99 |
| 5,450,000.00 |
| 5,445,985.59 |
| 24,891.40 |
| 2,316.51 |
| — |
| — |
| 1.375 |
| 1.419 |
| MS |
| 22,481.25 |
| 74,938.00 |
| 9/8/2010 |
| 9/13/2013 |
|
|
|
|
| Codes |
|
|
|
|
| FAIR VALUE |
|
|
|
|
| CHANGE IN BOOK/ADJUSTED CARRYING VALUE |
| INTEREST |
| DATES |
| ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
| 9 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
|
|
|
|
|
|
|
|
|
| 4 |
| 5 |
| 6 |
| 7 |
| RATE |
| GAAP |
| 10 |
| 11 |
|
|
| 13 |
|
|
| 15 |
| 16 |
| 17 |
| 18 |
| 19 |
| GROSS |
|
|
|
|
|
1 |
| 2 |
| 3 |
| FOREIGN |
| BOND |
| NAIC |
| ACTUAL |
| OBTAIN |
| MARKET |
| PAR |
| BOOK |
| 12 |
| CURRENT YEAR |
| 14 |
| FX CHG |
| INTEREST |
| EFFECTIVE |
| HOW |
| ACCRUED |
| DURING |
| 21 |
| 22 |
|
91159HGU8 |
| US BANCORP CORP BND MTN |
|
|
|
|
|
|
|
|
| 549,043.00 |
| 104.337 |
| 573,855.92 |
| 550,000.00 |
| 549,375.42 |
| 24,480.50 |
| 183.92 |
| — |
| — |
| 3.15 |
| 3.188 |
| MS |
| 5,630.63 |
| 17,325.00 |
| 3/1/2010 |
| 3/4/2015 |
|
91159HHB9 |
| US BANCORP CORP BND MTN |
|
|
|
|
| 1 |
|
|
| 3,615,720.00 |
| 100.972 |
| 3,660,231.12 |
| 3,625,000.00 |
| 3,615,997.67 |
| 44,233.45 |
| 282.74 |
| — |
| — |
| 2.2 |
| 2.254 |
| MN |
| 12,848.61 |
| — |
| 10/27/2011 |
| 11/15/2016 |
|
90345AAC6 |
| US CENTRAL CREDIT UNION - (LT) CORP BND |
|
|
|
|
|
|
| 1FE |
| 11,720,894.30 |
| 101.315 |
| 11,782,892.16 |
| 11,630,000.00 |
| 11,657,645.47 |
| 125,246.69 |
| (38,881.52 | ) | — |
| — |
| 1.9 |
| 1.599 |
| AO |
| 44,194.00 |
| 220,970.00 |
| 3/4/2010 |
| 10/19/2012 |
|
BRSCAXFG9 |
| US SILICA CO TERM LOAN |
|
|
|
|
|
|
|
|
| 492,534.32 |
| 99.25 |
| 490,065.47 |
| 493,768.74 |
| 492,642.55 |
| (2,577.08 | ) | 114.43 |
| — |
| — |
| 0 |
| 0.041 |
| MJSD |
| — |
| 487.00 |
| 6/8/2011 |
| 6/8/2017 |
|
90290FAC0 |
| USAOT 1-1 ABS 10-1 A3 |
|
|
|
|
| 2 |
|
|
| 1,201,225.20 |
| 100.24 |
| 1,202,792.60 |
| 1,199,912.81 |
| 1,200,261.35 |
| 2,531.25 |
| (1,554.39 | ) | — |
| — |
| 1.3 |
| 1.24 |
| MON |
| 693.28 |
| 15,599.00 |
| 4/28/2010 |
| 12/15/2012 |
|
91913YAQ3 |
| VALERO ENERGY CORPORATION CORP BND |
|
|
|
|
|
|
| 2FE |
| 1,531,485.00 |
| 106.543 |
| 1,598,148.42 |
| 1,500,000.00 |
| 1,521,426.68 |
| 76,721.74 |
| (6,404.97 | ) | — |
| — |
| 4.5 |
| 4.003 |
| FA |
| 28,125.00 |
| 67,500.00 |
| 5/20/2010 |
| 2/1/2015 |
|
92867DAD2 |
| VALET 11-1 ABS 11-1 A4 |
|
|
|
|
| 2 |
|
|
| 2,062,187.50 |
| 102.462 |
| 2,049,246.00 |
| 2,000,000.00 |
| 2,056,969.77 |
| (7,723.77 | ) | (5,217.73 | ) | — |
| — |
| 1.98 |
| 1.022 |
| MON |
| 1,210.00 |
| 9,900.00 |
| 9/15/2011 |
| 9/20/2015 |
|
92869AAC8 |
| VALET 2010-1 ABS 10-1-A3 |
|
|
|
|
| 2 |
|
|
| 443,173.23 |
| 100.234 |
| 441,744.37 |
| 440,711.45 |
| 442,156.24 |
| (411.87 | ) | (3,023.96 | ) | — |
| — |
| 1.31 |
| 0.612 |
| MON |
| 176.41 |
| 3,849.00 |
| 5/12/2011 |
| 11/20/2012 |
|
92343VBD5 |
| VERIZON COMMUNICATIONS INC. CORP BND |
|
|
|
|
|
|
| 1FE |
| 10,931,030.00 |
| 100.277 |
| 11,030,517.85 |
| 11,000,000.00 |
| 10,933,160.85 |
| 97,357.00 |
| 2,130.85 |
| — |
| — |
| 2 |
| 2.133 |
| MN |
| 35,444.44 |
| — |
| 10/27/2011 |
| 11/1/2016 |
|
92344GAW6 |
| VERIZON COMMUNICATIONS INC. CORP BND |
|
|
|
|
|
|
|
|
| 6,784,125.00 |
| 111.865 |
| 6,991,586.19 |
| 6,250,000.00 |
| 6,615,938.23 |
| 375,647.96 |
| (91,512.53 | ) | — |
| — |
| 4.9 |
| 3.21 |
| MS |
| 90,173.61 |
| 306,250.00 |
| 2/17/2010 |
| 9/15/2015 |
|
92343VAZ7 |
| VERIZON COMMUNICATIONS INC. CORP BND FRN |
|
|
|
|
|
|
| 1FE |
| 12,989,882.00 |
| 99.871 |
| 12,973,243.16 |
| 12,990,000.00 |
| 12,989,883.72 |
| (16,640.56 | ) | 1.72 |
| — |
| — |
| 1.184 |
| 0.932 |
| MJSD |
| 1,708.56 |
| 76,843.00 |
| 12/19/2011 |
| 3/28/2014 |
|
BRSBH8VK2 |
| VERTAFORE INC TERM LOAN |
|
|
|
|
| 2 |
|
|
| 1,989,955.80 |
| 97.65 |
| 1,943,191.84 |
| 1,989,955.80 |
| 1,989,955.80 |
| (46,763.96 | ) | — |
| — |
| — |
| 0 |
| 0 |
| JAJO |
| — |
| 25,794.00 |
| 7/21/2011 |
| 7/29/2016 |
|
92553PAH5 |
| VIACOM INC CORP BND |
|
|
| E |
|
|
| 2FE |
| 2,459,308.50 |
| 100.281 |
| 2,481,943.19 |
| 2,475,000.00 |
| 2,459,467.33 |
| 22,475.86 |
| 158.83 |
| — |
| — |
| 2.5 |
| 2.636 |
| JD |
| 3,265.63 |
| — |
| 12/7/2011 |
| 12/15/2016 |
|
BRSAG8QE5 |
| VNU GROUP B.V. CORP BND |
|
|
|
|
|
|
|
|
| 1,979,924.43 |
| 97.625 |
| 1,937,745.60 |
| 1,984,886.66 |
| 1,980,465.87 |
| (42,720.27 | ) | 579.21 |
| — |
| — |
| 0 |
| 0.051 |
| JAJO |
| — |
| 32,724.00 |
| 6/9/2011 |
| 5/1/2016 |
|
928670AE8 |
| VW INTL FIN N.V. CORP BND 144A |
|
|
| F |
|
|
|
|
| 8,105,061.80 |
| 97.991 |
| 7,917,672.56 |
| 8,080,000.00 |
| 8,100,084.92 |
| (182,412.36 | ) | (4,976.88 | ) | — |
| — |
| 0.982 |
| 0.784 |
| JAJO |
| 19,838.62 |
| 29,515.00 |
| 7/12/2011 |
| 4/1/2014 |
|
92976WBJ4 |
| WACHOVIA CORPORATION CORP BND MTN |
|
|
|
|
|
|
| 1FE |
| 427,674.40 |
| 105.4 |
| 421,599.49 |
| 400,000.00 |
| 410,905.28 |
| 10,694.21 |
| (171,107.03 | ) | — |
| — |
| 5.5 |
| 3.389 |
| MN |
| 3,666.67 |
| 22,000.00 |
| 10/29/2009 |
| 5/1/2013 |
|
92976WBA3 |
| WACHOVIA CORPORATION CORP BND MTN |
|
|
|
|
|
|
|
|
| 527,500.00 |
| 106.47 |
| 532,351.19 |
| 500,000.00 |
| 508,643.68 |
| 23,707.51 |
| (5,149.51 | ) | — |
| — |
| 5.7 |
| 4.556 |
| FA |
| 11,875.00 |
| 28,500.00 |
| 1/31/2008 |
| 8/1/2013 |
|
931422AD1 |
| WALGREEN CO CORP BND |
|
|
|
|
|
|
| 1FE |
| 6,200,660.25 |
| 106.65 |
| 6,638,943.14 |
| 6,225,000.00 |
| 6,216,746.67 |
| 422,196.47 |
| 4,891.87 |
| — |
| — |
| 4.875 |
| 4.963 |
| FA |
| 126,445.32 |
| 303,469.00 |
| 7/14/2008 |
| 8/1/2013 |
|
931142AS2 |
| WAL-MART STORES INC CORP BND |
|
|
|
|
|
|
|
|
| 6,759,610.00 |
| 109.222 |
| 6,334,851.69 |
| 5,800,000.00 |
| 6,281,903.89 |
| 52,947.80 |
| (335,086.25 | ) | — |
| — |
| 7.25 |
| 1.305 |
| JD |
| 35,041.67 |
| 420,500.00 |
| 7/22/2010 |
| 6/1/2013 |
|
931142CL5 |
| WAL-MART STORES INC CORP BND |
|
|
|
|
|
|
|
|
| 7,465,408.01 |
| 104.882 |
| 7,341,749.87 |
| 7,000,000.00 |
| 7,238,762.78 |
| 102,987.09 |
| (203,795.66 | ) | — |
| — |
| 4.25 |
| 1.56 |
| AO |
| 62,805.56 |
| 297,500.00 |
| 1/10/2011 |
| 4/15/2013 |
|
931142DA8 |
| WAL-MART STORES INC CORP BND |
|
|
|
|
|
|
|
|
| 2,094,330.00 |
| 102.184 |
| 2,145,869.42 |
| 2,100,000.00 |
| 2,095,639.81 |
| 50,229.61 |
| 1,309.81 |
| — |
| — |
| 1.625 |
| 1.718 |
| AO |
| 7,204.16 |
| 16,778.00 |
| 4/11/2011 |
| 4/15/2014 |
|
931142BT9 |
| WAL-MART STORES INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,291,772.00 |
| 105.379 |
| 2,212,969.21 |
| 2,100,000.00 |
| 2,197,869.29 |
| 15,099.92 |
| (72,535.40 | ) | — |
| — |
| 4.55 |
| 1.019 |
| MN |
| 15,925.00 |
| 95,550.00 |
| 9/10/2010 |
| 5/1/2013 |
|
931142CR2 |
| WAL-MART STORES INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,024,810.00 |
| 106.181 |
| 3,185,418.33 |
| 3,000,000.00 |
| 3,017,085.93 |
| 168,332.40 |
| (7,131.75 | ) | — |
| — |
| 2.875 |
| 2.69 |
| AO |
| 21,562.51 |
| 86,250.00 |
| 5/20/2010 |
| 4/1/2015 |
|
931142CX9 |
| WAL-MART STORES INC CORP BND |
|
|
|
|
|
|
| 1FE |
| 3,655,118.25 |
| 101.908 |
| 3,745,100.66 |
| 3,675,000.00 |
| 3,659,691.77 |
| 85,408.89 |
| 4,828.90 |
| — |
| — |
| 1.5 |
| 1.613 |
| AO |
| 10,106.25 |
| 55,125.00 |
| 10/18/2010 |
| 10/25/2015 |
|
93316UAD9 |
| WALTER ENERGY INC TERM LOAN |
|
|
|
|
| 1 |
|
|
| — |
|
|
| — |
| — |
| — |
| — |
| — |
| — |
| — |
| 0 |
| 0 |
| FMAN |
| — |
| 2,981.00 |
| 00/00/0000 |
| 4/2/2018 |
|
92922F3N6 |
| WAMU 05-A12 CMO 05-AR12 1A8 |
|
|
|
|
| 2 |
|
|
| 3,586,282.50 |
| 78.995 |
| 2,862,066.08 |
| 3,623,079.42 |
| 3,588,006.06 |
| (725,939.98 | ) | 4,703.92 |
| — |
| — |
| 2.482 |
| 2.703 |
| MON |
| 7,493.43 |
| 95,693.00 |
| 1/10/2008 |
| 9/25/2035 |
|
BRSCB27N0 |
| WARNACO GROUP INC. THE TERM LOAN |
|
|
|
|
|
|
|
|
| 2,128,553.75 |
| 99.25 |
| 2,123,205.63 |
| 2,139,250.00 |
| 2,129,333.67 |
| (6,128.04 | ) | 833.67 |
| — |
| — |
| 0 |
| 0.071 |
| MJSD |
| — |
| 26,988.00 |
| 6/16/2011 |
| 6/17/2018 |
|
BRSBRMCQ8 |
| WARNER CHILCOTT CORP TERM LOAN |
|
|
|
|
| 2 |
| 1Z |
| 1,595,170.20 |
| 98.422 |
| 1,611,519.60 |
| 1,637,357.09 |
| 1,596,386.18 |
| 15,133.42 |
| 1,215.98 |
| — |
| — |
| 0 |
| 0.398 |
| MJSD |
| — |
| 14,200.00 |
| 11/7/2011 |
| 3/15/2018 |
|
BRSBRMD53 |
| WARNER CHILCOTT CORP TERM LOAN |
|
|
| E |
| 2 |
| 1Z |
| 797,585.11 |
| 98.422 |
| 805,759.81 |
| 818,678.56 |
| 798,193.10 |
| 7,566.71 |
| 607.99 |
| — |
| — |
| 0 |
| 0.398 |
| MJSD |
| — |
| 7,100.00 |
| 11/7/2011 |
| 3/15/2018 |
|
BRSBRMD95 |
| WARNER CHILCOTT CORP TERM LOAN |
|
|
| E |
| 2 |
| 1Z |
| 1,096,679.50 |
| 98.422 |
| 1,107,919.72 |
| 1,125,683.00 |
| 1,097,493.66 |
| 10,426.06 |
| 814.16 |
| — |
| — |
| 0 |
| 0.398 |
| MJSD |
| — |
| 9,762.00 |
| 11/7/2011 |
| 3/15/2018 |
|
92922FW46 |
| WASHINGTON MUTUAL CMO 05-AR10 1A3 |
|
|
|
|
| 2 |
|
|
| 2,939,882.81 |
| 65.253 |
| 1,957,590.00 |
| 3,000,000.00 |
| 2,962,947.68 |
| (1,005,357.68 | ) | 3,826.84 |
| — |
| — |
| 2.5 |
| 2.696 |
| MON |
| 6,249.50 |
| 79,766.00 |
| 3/24/2006 |
| 8/25/2035 |
|
92922FNJ3 |
| WASHINGTON MUTUAL WHOLE CMO 04-AR3 A2 |
|
|
|
|
| 2 |
|
|
| 647,601.01 |
| 96.689 |
| 641,546.02 |
| 663,515.00 |
| 648,229.96 |
| (6,683.94 | ) | 2,982.85 |
| — |
| — |
| 2.563 |
| 3.224 |
| MON |
| 1,417.11 |
| 17,325.00 |
| 8/10/2007 |
| 5/25/2034 |
|
949746NY3 |
| WELLS FARGO & COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 797,552.00 |
| 103.401 |
| 827,211.30 |
| 800,000.00 |
| 799,424.36 |
| 27,786.94 |
| 508.80 |
| — |
| — |
| 4.375 |
| 4.444 |
| JJ |
| 14,680.56 |
| 35,000.00 |
| 1/25/2008 |
| 1/31/2013 |
|
949746NA5 |
| WELLS FARGO & COMPANY CORP BND |
|
|
|
|
|
|
|
|
| 3,782,660.47 |
| 95.224 |
| 3,808,959.96 |
| 4,000,000.00 |
| 3,830,797.57 |
| (21,837.61 | ) | 42,363.13 |
| — |
| — |
| 0.625 |
| 1.615 |
| JAJO |
| 4,511.87 |
| 19,443.00 |
| 11/12/2010 |
| 10/28/2015 |
|
94974BET3 |
| WELLS FARGO & COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 8,471,360.00 |
| 104.9 |
| 8,391,968.96 |
| 8,000,000.00 |
| 8,410,034.30 |
| (18,065.34 | ) | (61,325.70 | ) | — |
| — |
| 3.75 |
| 1.829 |
| AO |
| 75,000.00 |
| 150,000.00 |
| 7/26/2011 |
| 10/1/2014 |
|
94974BEU0 |
| WELLS FARGO & COMPANY CORP BND |
|
|
|
|
|
|
| 1FE |
| 7,199,617.50 |
| 104.367 |
| 7,357,902.35 |
| 7,050,000.00 |
| 7,186,796.54 |
| 171,105.81 |
| (13,574.32 | ) | — |
| — |
| 3.625 |
| 2.994 |
| AO |
| 53,952.09 |
| 201,188.00 |
| 8/19/2011 |
| 4/15/2015 |
|
94974BEZ9 |
| WELLS FARGO & COMPANY SENIOR CORP BND |
|
|
|
|
|
|
| 1FE |
| 2,992,320.00 |
| 99.933 |
| 2,997,980.79 |
| 3,000,000.00 |
| 2,992,395.46 |
| 5,585.33 |
| 75.46 |
| — |
| — |
| 2.625 |
| 2.68 |
| JD |
| 4,156.25 |
| — |
| 12/5/2011 |
| 12/15/2016 |
|
BRSBTMS22 |
| WESCO AIRCRAFT LN1 TERM LOAN |
|
|
|
|
| 1 |
|
|
| 258,376.83 |
| 99.938 |
| 258,863.79 |
| 259,024.39 |
| 258,454.39 |
| 409.40 |
| 180.00 |
| — |
| — |
| 0 |
| 0.041 |
| MJSD |
| — |
| 8,045.00 |
| 4/4/2011 |
| 4/7/2017 |
|
G9544BAV4 |
| WEST BROMWICH BUILDING SOCIETY LOCAL BND |
|
|
| D |
|
|
|
|
| 2,743,325.17 |
| 100.333 |
| 2,806,706.50 |
| 1,800,000.00 |
| 2,715,158.84 |
| 91,547.66 |
| (18,756.04 | ) | — |
| 87,277.47 |
| 2 |
| 1.29 |
| APR |
| 41,539.18 |
| 58,109.00 |
| 6/29/2010 |
| 4/5/2012 |
|
95806AAB9 |
| WESTERN CORPORATE FEDERAL CRED CORP BND |
|
|
|
|
|
|
| 1FE |
| 5,708,087.00 |
| 101.251 |
| 5,771,319.54 |
| 5,700,000.00 |
| 5,702,554.01 |
| 68,765.53 |
| (2,672.35 | ) | — |
| — |
| 1.75 |
| 1.696 |
| MN |
| 16,347.91 |
| 99,750.00 |
| 1/27/2010 |
| 11/2/2012 |
|
BRSBUXKB4 |
| WESTERN REFINING INC TERM LOAN |
|
|
|
|
|
|
|
|
| 859,753.12 |
| 100.063 |
| 868,984.62 |
| 868,437.50 |
| 860,828.92 |
| 8,155.70 |
| 1,141.42 |
| — |
| — |
| 0 |
| 0.167 |
| MJSD |
| — |
| 38,529.00 |
| 3/25/2011 |
| 3/15/2017 |
|
959802AN9 |
| WESTERN UNION CORP BND |
|
|
|
|
|
|
|
|
| 11,100,000.00 |
| 99.987 |
| 11,098,557.00 |
| 11,100,000.00 |
| 11,100,000.00 |
| (1,443.00 | ) | — |
| — |
| — |
| 1.114 |
| 0.89 |
| MJSD |
| 8,586.31 |
| 74,444.00 |
| 3/2/2011 |
| 3/7/2013 |
|
92924SAA6 |
| WESTFIELD GROUP CORP BND 144A |
|
|
| R |
|
|
|
|
| 2,960,718.75 |
| 101.988 |
| 3,085,136.94 |
| 3,025,000.00 |
| 3,013,422.78 |
| 71,714.16 |
| 14,711.88 |
| — |
| — |
| 5.4 |
| 5.929 |
| AO |
| 40,837.50 |
| 163,350.00 |
| 12/24/2008 |
| 10/1/2012 |
|
9612EMAH2 |
| WESTPAC BANKING CORP - GTD CORP BND GOVT |
|
|
| F |
|
|
| 1FE |
| 10,104,800.00 |
| 104.524 |
| 10,452,400.20 |
| 10,000,000.00 |
| 10,066,269.06 |
| 386,131.14 |
| (23,437.40 | ) | — |
| — |
| 2.9 |
| 2.643 |
| MS |
| 89,416.67 |
| 290,000.00 |
| 4/28/2010 |
| 9/10/2014 |
|
961214BR3 |
| WESTPAC BANKING CORP BND |
|
|
| F |
|
|
|
|
| 9,195,216.00 |
| 99.911 |
| 9,191,843.83 |
| 9,200,000.00 |
| 9,196,880.84 |
| (5,037.01 | ) | 1,566.41 |
| — |
| — |
| 1.85 |
| 1.868 |
| JD |
| 10,401.11 |
| 170,200.00 |
| 12/2/2010 |
| 12/9/2013 |
|
9612E0CD7 |
| WESTPAC BANKING CORP BND 144A |
|
|
| F |
|
|
|
|
| 2,702,241.00 |
| 100.287 |
| 2,707,749.28 |
| 2,700,000.00 |
| 2,701,865.12 |
| 5,884.16 |
| (375.88 | ) | — |
| — |
| 1.309 |
| 0.945 |
| MJSD |
| 180.58 |
| 14,230.00 |
| 7/12/2011 |
| 3/31/2014 |
|
9612EAAB1 |
| WESTPAC SECURITIES NZ LTD CORP BND GOVT |
|
|
| F |
|
|
|
|
| 3,130,512.81 |
| 105.784 |
| 3,279,303.91 |
| 3,100,000.00 |
| 3,121,601.80 |
| 157,702.11 |
| (7,907.74 | ) | — |
| — |
| 3.45 |
| 3.166 |
| JJ |
| 45,453.75 |
| 106,950.00 |
| 11/12/2010 |
| 7/28/2014 |
|
949781AC2 |
| WFMBS CMO 05-AR1 2A1 |
|
|
|
|
| 2 |
|
|
| 735,847.24 |
| 92.23 |
| 695,627.84 |
| 754,231.64 |
| 736,881.83 |
| (41,253.99 | ) | 2,837.84 |
| — |
| — |
| 2.708 |
| 3.475 |
| MON |
| 1,702.13 |
| 20,607.00 |
| 5/27/2008 |
| 12/25/2034 |
|
949781AA6 |
| WFMBS CMO 05-AR1 1A1 |
|
|
|
|
| 2 |
|
|
| 2,564,640.36 |
| 87.875 |
| 2,308,758.75 |
| 2,627,321.48 |
| 2,570,253.89 |
| (261,495.14 | ) | 8,570.79 |
| — |
| — |
| 2.719 |
| 3.323 |
| MON |
| 5,953.07 |
| 71,832.00 |
| 12/5/2006 |
| 7/25/2028 |
|
94982BAG5 |
| WFMBS CMO 05-AR8 3A2 |
|
|
|
|
| 2 |
|
|
| 769,402.29 |
| 91.395 |
| 715,379.03 |
| 782,733.22 |
| 771,613.64 |
| (56,234.61 | ) | 3,626.19 |
| — |
| — |
| 2.725 |
| 3.157 |
| MON |
| 1,777.57 |
| 21,809.00 |
| 12/15/2005 |
| 2/25/2035 |
|
949797AA2 |
| WFMBS WHOLE CMO 07-15 A1 |
|
|
|
|
| 2 |
|
|
| 291,467.04 |
| 90 |
| 260,670.78 |
| 289,634.20 |
| 291,311.82 |
| (30,641.04 | ) | (433.07 | ) | — |
| — |
| 6 |
| 5.752 |
| MON |
| 1,448.17 |
| 17,378.00 |
| 1/17/2008 |
| 11/25/2037 |
|
94980RAC1 |
| WFMBS 04-Z CMO 04-Z-2A1 |
|
|
|
|
| 2 |
|
|
| 209,865.52 |
| 90.204 |
| 190,978.13 |
| 211,718.03 |
| 210,004.59 |
| (19,026.46 | ) | 324.34 |
| — |
| — |
| 2.616 |
| 2.928 |
| MON |
| 461.59 |
| 5,758.00 |
| 1/14/2008 |
| 4/25/2020 |
|
94981NAH8 |
| WFMBS 05-AR4 CMO 05-AR4 2A2 |
|
|
|
|
| 2 |
|
|
| 2,009,417.23 |
| 84.893 |
| 1,755,145.46 |
| 2,067,484.47 |
| 2,015,135.42 |
| (259,989.96 | ) | 10,507.09 |
| — |
| — |
| 2.736 |
| 3.711 |
| MON |
| 4,713.50 |
| 57,048.00 |
| 7/19/2006 |
| 12/25/2020 |
|
93934FEN8 |
| WMALT 05-5 CMO 05-9-2A2 |
|
|
|
|
| 2 |
|
|
| 4,525,998.99 |
| 75.5 |
| 3,729,472.58 |
| 4,939,698.78 |
| 4,554,388.39 |
| (824,915.81 | ) | 56,824.40 |
| — |
| — |
| 5.5 |
| 7.755 |
| MON |
| 22,640.29 |
| 271,684.00 |
| 12/17/2007 |
| 5/25/2027 |
|
98158PAC2 |
| WOART 11-B ABS 11-B A3 |
|
|
|
|
| 2 |
| 1FE |
| 5,999,988.61 |
| 99.69 |
| 5,981,400.00 |
| 6,000,000.00 |
| 5,999,985.07 |
| (18,585.07 | ) | (3.54 | ) | — |
| — |
| 0.96 |
| 0.962 |
| MON |
| 2,559.99 |
| 5,760.00 |
| 11/2/2011 |
| 8/15/2016 |
|
981464BD1 |
| WORLD FINANCIAL NETWORK CREDIT ABS 06-A |
|
|
|
|
| 2 |
|
|
| 12,301,269.53 |
| 99.062 |
| 12,382,750.00 |
| 12,500,000.00 |
| 12,380,115.65 |
| 2,634.35 |
| 78,846.12 |
| — |
| — |
| 0.408 |
| 1.152 |
| MON |
| 2,410.11 |
| 37,197.00 |
| 2/16/2011 |
| 4/15/2013 |
|
98158KAD1 |
| WORLD OMNI AUTO RECEIVABLES TR ABS 11-A |
|
|
|
|
| 2 |
| 1FE |
| 4,599,795.30 |
| 101.728 |
| 4,679,487.86 |
| 4,600,000.00 |
| 4,599,809.45 |
| 79,678.41 |
| 14.15 |
| — |
| — |
| 1.91 |
| 1.918 |
| MON |
| 3,904.89 |
| 67,115.00 |
| 3/2/2011 |
| 4/15/2015 |
|
983024AE0 |
| WYETH CORP BND |
|
|
|
|
|
|
| 1FE |
| 11,541,065.20 |
| 109.446 |
| 11,491,880.40 |
| 10,500,000.00 |
| 11,386,103.09 |
| 105,777.31 |
| (153,983.43 | ) | — |
| — |
| 5.5 |
| 1.372 |
| FA |
| 240,625.00 |
| 110,000.00 |
| 10/17/2011 |
| 2/1/2014 |
|
BRSC71P72 |
| XERIUM TECHNOLOGIES INC TERM LOAN |
|
|
|
|
|
|
|
|
| 712,616.38 |
| 97.188 |
| 696,057.90 |
| 716,197.37 |
| 712,961.45 |
| (16,903.55 | ) | 514.08 |
| — |
| — |
| 0 |
| 0.083 |
| MJSD |
| — |
| — |
| 5/25/2011 |
| 5/9/2017 |
|
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4,894,145,483.00 |
| 4,747,628,679.84 |
| 4,859,705,047.87 |
| 34,440,435.13 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Validus Holdings, Ltd December 31, 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 |
|
|
| 313384VT3 |
| 11/14/2011 |
| BARCLAYS CAPITAL |
| 4/18/2012 |
| 3,199,327.94 |
| — |
| 292.38 |
| — |
| — |
| 3,200,000.00 |
| 3,199,035.56 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
FHLMC AGENCY |
|
|
| 313396UB7 |
| 11/18/2011 |
| J.P. MORGAN SECURITIES INC |
| 3/9/2012 |
| 1,999,886.66 |
| — |
| 68.33 |
| — |
| — |
| 2,000,000.00 |
| 1,999,818.33 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
FNMA |
|
|
| 313588TK1 |
| 9/19/2011 |
| HSBC SECURITIES INC. |
| 2/22/2012 |
| 3,799,560.79 |
| — |
| 2,264.16 |
| — |
| — |
| 3,800,000.00 |
| 3,798,691.11 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
ING BANK NV - (LT) GTD |
|
|
| 45324QA$2 |
| 2/16/2011 |
| J.P. MORGAN SECURITIES INC |
| 2/9/2012 |
| 11,525,429.30 |
| (4,308.17 | ) | (289,660.71 | ) | — |
| — |
| 11,500,000.00 |
| 11,729,655.00 |
| 119,072.92 |
|
|
| 2.625 |
|
|
| FA |
| 150,938.00 |
| 12,578.00 |
|
INTER-AMERICAN DEV BK |
|
|
| 4581X0B$0 |
| 10/27/2011 |
| SUSQUEHANNA PARTNERS |
| 10/22/2012 |
| 1,819,488.93 |
| (2,798.16 | ) | (4,037.07 | ) | — |
| — |
| 1,800,000.00 |
| 1,823,526.00 |
| 6,037.50 |
|
|
| 1.75 |
|
|
| AO |
| — |
| 788.00 |
|
UNITED STATES TREASURY |
|
|
| 9127953C3 |
| 10/3/2011 |
| GOLDMAN SACHS & CO. |
| 2/9/2012 |
| 2,999,926.87 |
| — |
| 34,438.07 |
| — |
| — |
| 3,000,000.00 |
| 2,999,760.00 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127953G4 |
| 3/23/2011 |
| BA SECURITIES |
| 3/8/2012 |
| 10,995,365.04 |
| — |
| 45,210.49 |
| — |
| — |
| 11,000,000.00 |
| 10,975,830.55 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127953S8 |
| 11/29/2011 |
| Various |
| 5/31/2012 |
| 5,198,506.68 |
| — |
| 373.89 |
| — |
| — |
| 5,200,000.00 |
| 5,198,200.22 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127955$0 |
| 11/2/2011 |
| NOMURA SECURITIES INTL. INC. |
| 4/12/2012 |
| 13,398,860.95 |
| — |
| 658.78 |
| — |
| — |
| 13,400,000.00 |
| 13,398,202.17 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127955$1 |
| 10/12/2011 |
| MERRILL LYNCH PIERCE FNNR & SM |
| 9/20/2012 |
| 2,997,972.44 |
| — |
| 898.88 |
| — |
| — |
| 3,000,000.00 |
| 2,997,356.04 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127955$3 |
| 10/27/2011 |
| J.P. MORGAN SECURITIES INC |
| 4/26/2012 |
| 1,099,787.31 |
| — |
| 437.46 |
| — |
| — |
| 1,100,000.00 |
| 1,099,668.17 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127955F4 |
| 12/28/2011 |
| J.P. MORGAN SECURITIES INC |
| 3/29/2012 |
| 5,749,775.11 |
| — |
| 7.67 |
| — |
| — |
| 5,750,000.00 |
| 5,749,767.44 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127955Q0 |
| 12/29/2011 |
| J.P. MORGAN SECURITIES INC |
| 12/13/2012 |
| 13,986,168.14 |
| — |
| 79.66 |
| — |
| — |
| 14,000,000.00 |
| 13,986,088.48 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 9127955R8 |
| 12/5/2011 |
| J.P. MORGAN SECURITIES INC |
| 6/7/2012 |
| 1,099,758.60 |
| — |
| 93.31 |
| — |
| — |
| 1,100,000.00 |
| 1,099,721.94 |
| — |
|
|
| 0 |
|
|
| MAT |
| — |
| — |
|
UNITED STATES TREASURY |
|
|
| 912828#$7 |
| 11/22/2011 |
| J.P. MORGAN SECURITIES INC |
| 6/15/2012 |
| 6,048,793.60 |
| (73.84 | ) | (11,460.88 | ) | — |
| — |
| 6,000,000.00 |
| 6,060,254.48 |
| 5,225.41 |
|
|
| 1.875 |
|
|
| JD |
| 56,250.00 |
| 49,488.00 |
|
UNITED STATES TREASURY |
|
|
| 912828N$9 |
| 12/9/2011 |
| NOMURA SECURITIES INTL. INC. |
| 7/31/2012 |
| 5,015,734.31 |
| (234.81 | ) | (1,675.73 | ) | — |
| — |
| 5,000,000.00 |
| 5,017,204.25 |
| 13,077.45 |
|
|
| 0.625 |
|
|
| JJ |
| — |
| 11,379.00 |
|
CITI-INSTITUTION LIQ FUND USD |
|
|
| B0A0ATCJ9 |
|
|
|
|
| 1/0/1900 |
| 8,345,897.37 |
| — |
| — |
| — |
| — |
| 8,345,897.37 |
| 8,345,897.37 |
| — |
|
|
| 0.00112 |
|
|
|
|
|
|
|
|
|
CITIFUNDS INST CASH RESERVE |
|
|
| BRS668GM8 |
|
|
|
|
| 1/0/1900 |
| 7,480,160.47 |
| — |
| — |
| — |
| — |
| 7,480,160.47 |
| 7,480,160.47 |
| — |
|
|
| 0.00112 |
|
|
|
|
|
|
|
|
|
DREYFUS UNIVERSAL USD LIQ FD |
|
|
| DRFUNI$20 |
|
|
|
|
| 1/0/1900 |
| 1,185,417.57 |
| — |
| — |
| — |
| — |
| 1,185,417.57 |
| 1,185,417.57 |
| — |
|
|
| 0.0514 |
|
|
|
|
|
|
|
|
|
UNITED KINGDOM |
|
|
| G9245#$$0 |
| 11/9/2011 |
| BARR BROTHERS & CO. INC. |
| 3/7/2012 |
| 6,328,383.03 |
| (1,666.00 | ) | (7,415.87 | ) | — |
| (58,099.27 | ) | 4,000,000.00 |
| 6,335,798.90 |
| 99,052.52 |
|
|
| 5 |
|
|
| JD |
| 40,646.00 |
| 35,691.00 |
|
UNITED KINGDOM |
|
|
| G92450#$0 |
|
|
|
|
| 6/7/2012 |
| 1,627,532.51 |
| 1,093.22 |
| (10,691.99 | ) | — |
| (41,734.22 | ) | 1,000,000.00 |
| 1,638,224.50 |
| 5,573.11 |
|
|
| 5.25 |
|
|
|
|
|
|
|
|
|
BONY CASH RESERVE |
|
|
| S875996$0 |
|
|
|
|
| 1/0/1900 |
| 106,178,932.95 |
| — |
| — |
| — |
| — |
| 103,558,783.35 |
| 103,558,783.35 |
| — |
|
|
| 0 |
|
|
|
|
|
|
|
|
|
DREYFUS UNIVERSAL LIQ |
|
|
| S99992125 |
|
|
|
|
|
|
| 46,494,641.79 |
| — |
| — |
| — |
| — |
| 46,494,641.79 |
| 46,494,641.79 |
| — |
|
|
| 0 |
|
|
|
|
|
|
|
|
|
BLACKROCK INTL $ RESERVE |
|
|
| S99993578 |
|
|
|
|
|
|
| 4,581,537.62 |
| — |
| — |
| — |
| — |
| 4,581,537.62 |
| 4,581,537.62 |
| — |
|
|
| 0.0502 |
|
|
|
|
|
|
|
|
|
GOLDMAN SACHS |
|
|
| S999936$0 |
|
|
|
|
|
|
| 7,141,953.65 |
| — |
| — |
| — |
| — |
| 7,141,953.65 |
| 7,141,953.65 |
| — |
|
|
| 0.00059 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 280,298,799.63 |
| (7,987.76 | ) | (240,119.17 | ) | — |
| (99,833.49 | ) | 274,638,391.82 |
| 277,895,194.96 |
| 248,038.91 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Validus Holdings, Ltd December 31, 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 |
| 5,244,226.34 |
| 5,626,872.22 |
| 5,244,226.34 |
| 382,645.88 |
| — |
| — |
| — |
| — |
| — |
| — |
|
AIG SELECT HEDGE LTD SHARE |
|
|
|
|
| 9/4/2009 |
| 17.30 |
| 17.36 |
| 17.30 |
| 0.06 |
| — |
| — |
| — |
| — |
| — |
| — |
|
AQUILINE FINANCIAL SERVICES FUND L.P. |
|
|
|
|
| 12/1/2011 |
| 3,253,480.00 |
| 3,253,480.00 |
| 3,253,480.00 |
| — |
| — |
| — |
| — |
| — |
| — |
| — |
|
GUARDIAN GROWTH EQUITY |
|
|
|
|
| 9/4/2009 |
| 6,486,947.12 |
| 7,883,515.74 |
| 6,486,947.12 |
| 1,396,568.62 |
| — |
| — |
| — |
| — |
| — |
| — |
|
MFS MERIDIAN MID CAP GROWTH FUND |
|
|
|
|
| 9/4/2009 |
| 17,203.14 |
| 23,028.70 |
| 17,203.14 |
| 5,825.56 |
| — |
| — |
| — |
| — |
| — |
| — |
|
|
|
|
|
|
|
|
| 15,001,873.90 |
| 16,786,914.02 |
| 15,001,873.90 |
| 1,785,040.12 |
|
|
|
|
|
|
|
|
|
|
|
|
|