Validus 8-K Results of Operations and Financial Condition

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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION		3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO

GAAP FAIR

10

11 GAAP

13

15 TOTAL

16

17

18

19

GROSS REC’D

1 CUSIP

2 DESCRIPTION

3 *

FOREIGN CODE

BOND CHAR

NAIC DESIG

ACTUAL COST

OBTAIN FAIR VALUE

MARKET VALUE

PAR VALUE

BOOK VALUE

12 UGL

CURRENT YEAR AMORTIZATION

14 IMPAIRMENTS

FX CHG IN B/A. C.V.

INTEREST RATE

EFFECTIVE RATE OF

HOW PAID

ACCRUED INTEREST

DURING YEAR

21 ACQUIRED

22 MATURITY

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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR		21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL		16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.		INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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 USED TO	GAAP FAIR	10	11 GAAP			13			15 TOTAL	16	17	18	19	GROSS REC’D
1 CUSIP	2 DESCRIPTION	3 *	FOREIGN CODE	BOND CHAR	NAIC DESIG	ACTUAL COST	OBTAIN FAIR VALUE	MARKET VALUE	PAR VALUE	BOOK VALUE	12 UGL		CURRENT YEAR AMORTIZATION		14 IMPAIRMENTS	FX CHG IN B/A. C.V.	INTEREST RATE	EFFECTIVE RATE OF	HOW PAID	ACCRUED INTEREST	DURING YEAR	21 ACQUIRED	22 MATURITY
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