Validus Holdings, Ltd June 30, 2012 GAAP fixed maturity portfolio in Schedule D format | |||||||||||||||||||||||||||||||||||
1 | 2 | Codes | 6 | 7 | FAIR VALUE | 10 | 11 | CHANGE IN BOOK/ADJUSTED CARRYING VALUE | INTEREST | DATES | |||||||||||||||||||||||||
3 | 4 | 5 | 8 | 9 | 12 | 13 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | 21 | 22 | ||||||||||||||||||||
FOREIGN | BOND | NAIC | RATE USED TO | GAAP FAIR | GAAP | CURRENT YEAR | TOTAL FX CHG | INTEREST | EFFECTIVE | HOW | ACCRUED | GROSS REC'D | |||||||||||||||||||||||
CUSIP | DESCRIPTION | * | CODE | CHAR | DESIG | ACTUAL COST | OBTAIN FAIR VALUE | MARKET VALUE | PAR VALUE | BOOK VALUE | UGL | AMORTIZATION | IMPAIRMENTS | IN B/A. C.V. | RATE | RATE OF | PAID | INTEREST | DURING YEAR | ACQUIRED | MATURITY | ||||||||||||||
466247E74 | JPMMT CMO_06-A1 2A2 | 2 | 281,674.42 | 77.2 | 217,282.61 | 281,454.53 | 281,578.76 | (64,296.15 | ) | (27.43 | ) | — | — | 2.783 | 2.763 | MON | 652.79 | 4,122.38 | 2/6/2008 | 2/25/2036 | |||||||||||||||
00037BAA0 | ABB FINANCE USA INC SENIOR CORP BND | 4,766,400.00 | 100.302 | 4,814,497.54 | 4,800,000.00 | 4,767,347.41 | 47,150.13 | 947.41 | — | — | 1.625 | 1.772 | MN | 11,483.34 | 11,483.34 | 5/3/2012 | 5/8/2017 | ||||||||||||||||||
00101JAA4 | ADT CORP SENIOR CORP BND 144A | 2,896,984.00 | 100.474 | 2,913,741.10 | 2,900,000.00 | 2,896,984.00 | 16,757.10 | — | — | — | 2.25 | 2.272 | JJ | — | — | 6/27/2012 | 7/15/2017 | ||||||||||||||||||
00206RAQ5 | AT&T INC CORP BND | 531,385.50 | 106.408 | 532,041.74 | 500,000.00 | 512,393.98 | 19,647.76 | (3,679.15 | ) | — | — | 4.85 | 3.269 | FA | 9,161.11 | 12,125.00 | 10/29/2009 | 2/15/2014 | |||||||||||||||||
00206RAT9 | AT&T INC CORP BND | O | 1,230,939.99 | — | 1,267,367.20 | 700,000.00 | 1,211,603.97 | 55,763.23 | (12,996.68 | ) | — | 2,954.74 | 5.875 | 3.403 | APR | 10,911.26 | 47,148.82 | 11/9/2011 | 4/28/2017 | ||||||||||||||||
00206RAV4 | AT&T CO CORP BND | 5,989,142.50 | 104.114 | 5,986,583.00 | 5,750,000.00 | 5,960,516.52 | 26,066.48 | (28,625.98 | ) | — | — | 2.5 | 1.3 | FA | 54,305.56 | 62,690.98 | 1/19/2012 | 8/15/2015 | |||||||||||||||||
00206RAW2 | AT&T INC CORP BND | 6,694,297.50 | 106.094 | 7,028,699.81 | 6,625,000.00 | 6,679,927.40 | 348,772.41 | (5,594.74 | ) | — | — | 2.95 | 2.723 | MN | 24,972.57 | 82,151.35 | 2/22/2012 | 5/15/2016 | |||||||||||||||||
00206RBB7 | AT&T INC SENIOR CORP BND | 14,564,092.75 | 99.795 | 14,545,178.83 | 14,575,000.00 | 14,565,453.52 | (20,274.69 | ) | 1,630.79 | — | — | 0.875 | 0.9 | FA | 48,886.98 | 58,858.33 | 2/23/2012 | 2/13/2015 | |||||||||||||||||
00206RBF8 | AT&T INC SENIOR CORP BND | 5,239,815.00 | 100.329 | 5,267,294.24 | 5,250,000.00 | 5,239,905.34 | 27,388.90 | 90.34 | — | — | 1.7 | 1.741 | JD | 4,214.58 | 4,214.58 | 6/11/2012 | 6/1/2017 | ||||||||||||||||||
002824AX8 | ABBOTT LABORATORIES CORP BND | 2,822,118.50 | 105.285 | 2,974,307.61 | 2,825,000.00 | 2,823,278.99 | 151,028.62 | 282.29 | — | — | 2.7 | 2.722 | MN | 7,203.75 | 38,137.50 | 5/24/2010 | 5/27/2015 | ||||||||||||||||||
00432CAY7 | AGSL_03-1 ABS_03-1 A2 | 2 | 2,050,573.09 | 99.53 | 2,057,653.83 | 2,067,370.47 | 2,057,237.16 | 416.67 | 6,077.95 | — | — | 0.728 | 1.242 | MJSD | 250.70 | 9,403.56 | 3/31/2011 | 12/26/2013 | |||||||||||||||||
00432CAZ4 | AGSL_03-1 ABS 03-1-2003-1 | 2 | 360,500.00 | 80.819 | 323,276.40 | 400,000.00 | 366,747.84 | (43,471.44 | ) | 2,592.09 | — | — | 0.769 | 1.614 | MON | 155.06 | 2,356.37 | 3/29/2010 | 9/25/2023 | ||||||||||||||||
00432CBB6 | AGSL_03-1 ABS_03-1-2003-1 | 311,937.50 | 80.807 | 282,825.20 | 350,000.00 | 313,873.20 | (31,048.00 | ) | 1,502.96 | — | — | 0.54 | 4.25 | APR | 92.95 | 2,479.52 | 3/29/2010 | 12/26/2035 | |||||||||||||||||
00432CBP5 | AGSL_03-1 ABS_04-1-2004-1 | 2 | 435,625.00 | 80.814 | 404,068.50 | 500,000.00 | 444,891.68 | (40,823.18 | ) | (2,703.56 | ) | — | — | 0.221 | 1.176 | MON | 82.88 | 3,411.98 | 3/29/2010 | 3/25/2026 | |||||||||||||||
00448MAA9 | ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND | F | 1,337,331.00 | 103.62 | 1,386,435.64 | 1,338,000.00 | 1,337,673.79 | 48,761.85 | 66.41 | — | — | 3.2 | 3.211 | MN | 6,898.13 | 21,408.00 | 10/26/2009 | 11/3/2014 | |||||||||||||||||
00828EAJ8 | AFRICAN DEVELOPMENT BANK CORP BND | F | 5,979,360.00 | 100.664 | 6,039,815.46 | 6,000,000.00 | 5,995,708.17 | 44,107.29 | 3,462.81 | — | — | 1.625 | 1.743 | FA | 37,916.67 | 48,780.00 | 2/2/2010 | 2/11/2013 | |||||||||||||||||
010392EY0 | ALABAMA POWER COMPANY SENIOR CORP BND | 7,047,877.50 | 101.951 | 6,881,692.50 | 6,750,000.00 | 6,799,428.28 | 82,264.22 | (53,412.31 | ) | — | — | 4.85 | 3.22 | JD | 14,550.01 | 163,687.50 | 2/10/2010 | 12/15/2012 | |||||||||||||||||
01306GAA1 | ALBERTA PROVINCE OF LOCAL BND 144A | A | 2,248,357.50 | 100.377 | 2,258,482.48 | 2,250,000.00 | 2,248,366.27 | 10,116.21 | 8.77 | — | — | 1 | 1.015 | JD | 625.00 | 625.00 | 6/14/2012 | 6/21/2017 | |||||||||||||||||
02005AAA6 | AMOT_10-3 ABS_10-1 A | 2 | 15,919,609.38 | 100.76 | 15,718,560.00 | 15,600,000.00 | 15,689,197.63 | 29,362.37 | (80,073.03 | ) | — | — | 1.992 | 0.772 | MON | 13,809.46 | 157,905.89 | 5/11/2011 | 12/17/2012 | ||||||||||||||||
02005ACC0 | AMOT_10-3 ABS 12-1 | 2 | 2,499,806.75 | 100.598 | 2,514,955.50 | 2,500,000.00 | 2,499,816.88 | 15,138.62 | 10.13 | — | — | 1.44 | 1.446 | MON | 1,600.00 | 12,900.00 | 2/15/2012 | 2/15/2015 | |||||||||||||||||
02005EAC4 | ALLYA_12-3 ABS 12-3 | 2 | 2,999,894.70 | 100.284 | 3,008,521.05 | 3,000,000.00 | 2,999,895.08 | 8,625.97 | 0.38 | — | — | 0.85 | 0.853 | MON | 1,133.33 | 2,195.83 | 5/22/2012 | 8/15/2016 | |||||||||||||||||
02005HAB9 | ALLY AUTO RECEIVABLES TRUST AA ABS_10-1 | 2 | 379,740.76 | 100.32 | 378,239.08 | 377,030.85 | 377,957.57 | 281.51 | (2,461.79 | ) | — | — | 1.45 | 0.704 | MON | 242.98 | 4,156.55 | 5/10/2011 | 2/15/2013 | ||||||||||||||||
02005MAE2 | ALLYA _10-3 ABS _10-3 A4 | 2 | 799,714.32 | 101.369 | 810,953.13 | 800,000.00 | 799,870.95 | 11,082.18 | 43.85 | — | — | 1.55 | 1.566 | MON | 551.11 | 6,199.98 | 8/12/2010 | 7/15/2014 | |||||||||||||||||
02005RAB7 | ALLYA_10-5 ABS 10-5 A3 | 2 | 3,194,530.77 | 100.386 | 3,210,275.22 | 3,197,945.54 | 3,196,893.40 | 13,381.82 | 1,082.30 | — | — | 1.11 | 1.167 | MON | 1,577.65 | 21,352.62 | 12/6/2010 | 8/15/2013 | |||||||||||||||||
02005TAD9 | ALLYA _11-1 ABS_11-1 A4 | 2 | 5,999,457.60 | 102.66 | 6,159,625.38 | 6,000,000.00 | 5,999,599.59 | 160,025.79 | 54.23 | — | — | 2.23 | 2.242 | MON | 5,946.67 | 66,900.00 | 2/4/2011 | 1/15/2015 | |||||||||||||||||
02005XAC2 | ALLYA_11-4 ABS_11-4 A3 | 2 | 5,429,662.25 | 100.168 | 5,439,113.66 | 5,430,000.00 | 5,429,770.66 | 9,343.00 | 71.14 | — | — | 0.79 | 0.794 | MON | 1906.53 | 21,448.50 | 9/8/2011 | 5/15/2014 | |||||||||||||||||
02006AAD9 | ALLY AUTO RECEIVABLES TRUST AL ABS 12-2 | 2 | 5,148,818.08 | 100.329 | 5,166,941.29 | 5,150,000.00 | 5,148,917.16 | 18,024.13 | 99.08 | — | — | 1 | 1.009 | MON | 2,288.89 | 15,306.95 | 3/7/2012 | 9/15/2015 |
021441AD2 | ALTERA CORPORATION SENIOR CORP BND | 4,018,841.75 | 100.325 | 4,038,092.81 | 4,025,000.00 | 4,019,012.19 | 19,080.62 | 170.44 | — | — | 1.75 | 1.782 | MN | 10,369.97 | 10,369.97 | 5/1/2012 | 5/15/2017 | ||||||||||||||||||
02209SAC7 | ALTRIA GROUP INC. CORP BND | 9,693,328.00 | 109.943 | 9,015,356.76 | 8,200,000.00 | 8,932,652.07 | 82,704.69 | (297,456.39 | ) | — | — | 8.5 | 1.811 | MN | 98,741.66 | 394,565.27 | 3/22/2011 | 11/10/2013 | |||||||||||||||||
02582JCU2 | AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2 | 2 | 5,007,812.50 | 100.164 | 5,008,200.05 | 5,000,000.00 | 5,005,125.06 | 3,074.99 | (1,360.43 | ) | — | — | 0.412 | 0.358 | MON | 915.00 | 10,671.98 | 7/1/2011 | 5/15/2014 | ||||||||||||||||
02582JFV7 | AMXCA ABS_09-2 A | 2 | 13,104,761.72 | 102.515 | 12,993,776.12 | 12,675,000.00 | 12,972,678.99 | 21,097.13 | (69,569.47 | ) | — | — | 1.492 | 0.396 | MON | 8,403.53 | 96,258.96 | 7/18/2011 | 8/15/2014 | ||||||||||||||||
03064RAB3 | AMCAR_11-4 ABS_11-4 A2 | 2 | 2,711,468.79 | 100.177 | 2,716,439.21 | 2,711,634.74 | 2,711,534.93 | 4,904.28 | 78.83 | — | — | 0.92 | 0.926 | MON | 1,593.84 | 14,736.72 | 9/8/2011 | 8/8/2013 | |||||||||||||||||
03064TAB9 | AMCAR_11-5 ABS_11-5-A2 | 2 | 2,316,843.87 | 100.372 | 2,325,564.90 | 2,316,945.82 | 2,316,871.76 | 8,693.14 | 36.75 | — | — | 1.19 | 1.195 | MON | 1,761.52 | 15,180.62 | 10/26/2011 | 11/8/2013 | |||||||||||||||||
034863AA8 | ANGLO AMERICAN CAPITAL PLC CORP BND 144A | F | 5,570,775.00 | 112.729 | 5,072,806.22 | 4,500,000.00 | 5,057,689.23 | 15,116.99 | (152,852.34 | ) | — | — | 9.375 | 2.197 | AO | 97,265.63 | 210,937.51 | 10/19/2010 | 4/8/2014 | ||||||||||||||||
034863AE0 | ANGLO AMERICAN CAPITAL PLC SENIOR CORP | F | 4,989,050.00 | 100.287 | 5,014,360.05 | 5,000,000.00 | 4,989,556.55 | 24,803.50 | 506.55 | — | — | 2.625 | 2.672 | AO | 32,447.92 | 32,447.92 | 3/26/2012 | 4/3/2017 | |||||||||||||||||
035229CY7 | ANHEUSER-BUSCH SENIOR CORP BND | 5,556,350.00 | 99.717 | 5,473,124.30 | 5,000,000.00 | 5,335,219.21 | 137,905.09 | (21,451.18 | ) | — | — | 5 | 2.267 | JJ | 115,277.78 | 41,666.66 | 9/23/2010 | 1/15/2015 | |||||||||||||||||
03523TAM0 | ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND | 519,436.80 | 107.672 | 516,827.78 | 480,000.00 | 518,644.64 | (1,816.86 | ) | (792.16 | ) | — | — | 4.125 | 0.91 | JJ | 9,130.00 | 1,045.00 | 6/7/2012 | 1/15/2015 | ||||||||||||||||
03523TBC1 | ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND | 12,300,000.00 | 100.816 | 12,400,368.25 | 12,300,000.00 | 12,300,000.00 | 100,368.25 | — | — | — | 1.016 | 0.854 | JAJO | 22,560.33 | 65,602.93 | 1/24/2011 | 1/27/2014 | ||||||||||||||||||
039483BA9 | ARCHER DANIELS MIDLAND CO CORP BND | 600,000.00 | 100.06 | 600,359.99 | 600,000.00 | 600,000.00 | 359.99 | — | — | — | 0.627 | 0.472 | FMAN | 511.93 | 1956.09 | 2/9/2011 | 8/13/2012 | ||||||||||||||||||
03979GAL9 | ARDEN REALTY LP SENIOR CORP BND | 1 | 3,226,650.00 | 107.497 | 3,224,913.48 | 3,000,000.00 | 3,155,927.78 | 68,985.70 | (30,615.96 | ) | — | — | 5.25 | 3.007 | MS | 52,500.00 | 78,750.00 | 4/28/2011 | 12/1/2014 | ||||||||||||||||
04044TAG1 | ARISTOTLE HOLDING INC CORP BND 144A | 3,033,330.00 | 100.879 | 3,026,359.41 | 3,000,000.00 | 3,032,768.73 | (6,409.32 | ) | (561.27 | ) | — | — | 2.1 | 1.671 | FA | 24,850.00 | 2,975.00 | 6/11/2012 | 2/12/2015 | ||||||||||||||||
04044TAL0 | ARISTOTLE HOLDING INC CORP BND 144A | 4,060,025.00 | 101.393 | 4,157,115.42 | 4,100,000.00 | 4,062,966.25 | 94,149.17 | 2,941.25 | — | — | 2.65 | 2.86 | FA | 42,856.39 | 42,856.39 | 2/6/2012 | 2/15/2017 | ||||||||||||||||||
046353AC2 | ASTRAZENECA PLC CORP BND | F | 3,492,916.66 | 100.99 | 3,282,175.00 | 3,250,000.00 | 3,273,305.08 | 8,869.92 | (69,039.46 | ) | — | — | 5.4 | 1.895 | MS | 51,675.00 | 110,250.00 | 11/12/2010 | 9/15/2012 | ||||||||||||||||
05522RAB4 | BACCT ABS_06 A7 A7 | 2 | 4,980,664.06 | 99.857 | 4,992,832.55 | 5,000,000.00 | 4,987,116.68 | 5,715.87 | 4,429.43 | — | — | 0.282 | 0.407 | MON | 626.11 | 10,640.01 | 6/17/2011 | 7/15/2014 | |||||||||||||||||
05523RAA5 | BAE SYSTEMS PLC CORP BND 144A | F | 5,179,928.50 | 103.989 | 5,350,245.37 | 5,145,000.00 | 5,175,666.82 | 174,578.55 | (2,542.20 | ) | — | — | 3.5 | 3.348 | AO | 40,016.66 | 131,337.50 | 10/31/2011 | 10/11/2016 | ||||||||||||||||
05541VAD8 | BG ENERGY CAPITAL CORP BND 144A | F | 4,292,819.00 | 104.797 | 4,506,250.88 | 4,300,000.00 | 4,293,794.40 | 212,456.48 | 679.49 | — | — | 2.875 | 2.911 | AO | 26,098.61 | 61,812.50 | 10/6/2011 | 10/15/2016 | |||||||||||||||||
055451AA6 | BHP BILLITON FINANCE (USA) LTD CORP BND | F | 1,040,771.32 | 103.333 | 1,033,330.00 | 1,000,000.00 | 1,013,596.90 | 19,733.10 | (8,407.76 | ) | — | — | 4.8 | 3.042 | AO | 10,133.33 | 24,000.00 | 11/12/2010 | 4/15/2013 | ||||||||||||||||
055451AG3 | BHP BILLITON FINANCE (USA) LTD CORP BND | F | 4,503,517.00 | 108.218 | 4,404,476.42 | 4,070,000.00 | 4,263,561.16 | 140,915.26 | (89,945.32 | ) | — | — | 5.5 | 2.7 | AO | 55,962.50 | 183,700.00 | 4/16/2010 | 4/1/2014 | ||||||||||||||||
055451AK4 | BHP BILLITON FINANCE (USA) LTD CORP BND | F | 2,586,194.00 | 102.1 | 2,654,612.06 | 2,600,000.00 | 2,587,811.04 | 66,801.02 | 1,738.11 | — | — | 1.875 | 1.987 | MN | 5,416.67 | 32,187.51 | 11/16/2011 | 11/21/2016 | |||||||||||||||||
055451AM0 | BHP BILLITON FINANCE (USA) LTD SENIOR | F | 3,650,000.00 | 100.344 | 3,662,556.07 | 3,650,000.00 | 3,650,000.00 | 12,556.07 | — | — | — | 0.737 | 0.735 | FMAN | 3,287.17 | 9,548.45 | 2/21/2012 | 2/18/2014 | |||||||||||||||||
055451AN8 | BHP BILLITON FINANCE (USA) LTD SENIOR | F | 4,989,550.00 | 100.119 | 5,005,948.65 | 5,000,000.00 | 4,990,758.62 | 15,190.03 | 1,208.62 | — | — | 1 | 1.071 | FA | 17,638.89 | 17,638.89 | 2/21/2012 | 2/24/2015 | |||||||||||||||||
055451AP3 | BHP BILLITON FINANCE (USA) LTD SENIOR | F | 6,706,708.00 | 100.424 | 6,753,512.72 | 6,725,000.00 | 6,707,946.53 | 45,566.19 | 1,238.53 | — | — | 1.625 | 1.682 | FA | 38,552.00 | 38,552.00 | 2/21/2012 | 2/24/2017 | |||||||||||||||||
05565QBF4 | BP CAPITAL MARKETS PLC CORP BND | F | 6,474,741.75 | 105.819 | 6,227,434.68 | 5,885,000.00 | 6,101,299.95 | 126,134.73 | (78,063.10 | ) | — | — | 5.25 | 2.465 | MN | 46,344.38 | 154,481.25 | 12/16/2010 | 11/7/2013 | ||||||||||||||||
05565QBH0 | BP CAPITAL MARKETS PLC CORP BND | F | 3,182,550.00 | 107.244 | 3,217,322.85 | 3,000,000.00 | 3,151,966.83 | 65,356.02 | (27,154.33 | ) | — | — | 3.875 | 1.935 | MS | 35,843.75 | 58,125.00 | 12/6/2011 | 3/10/2015 | ||||||||||||||||
05565QBL1 | BP CAPITAL MARKETS PLC CORP BND | F | 4,318,872.00 | 104.914 | 4,353,928.84 | 4,150,000.00 | 4,234,053.83 | 119,875.01 | (21,965.56 | ) | — | — | 3.625 | 2.499 | MN | 22,147.74 | 75,218.75 | 10/5/2010 | 5/8/2014 | ||||||||||||||||
05565QBN7 | BP CAPITAL MARKETS PLC CORP BND | F | 2,991,480.00 | 106.004 | 3,180,115.80 | 3,000,000.00 | 2,994,309.44 | 185,806.36 | 820.14 | — | — | 3.125 | 3.187 | AO | 23,437.50 | 46,875.00 | 9/28/2010 | 10/1/2015 | |||||||||||||||||
05565QBQ0 | BP CAPITAL MARKETS PLC CORP BND | F | 2,997,240.00 | 106.049 | 3,181,471.71 | 3,000,000.00 | 2,997,918.57 | 183,553.14 | 397.16 | — | — | 3.2 | 3.22 | MS | 29,333.33 | 73,244.45 | 3/8/2011 | 3/11/2016 | |||||||||||||||||
05565QBS6 | BP CAPITAL MARKETS PLC CORP BND | F | 1,490,000.00 | 100.692 | 1,500,310.81 | 1,490,000.00 | 1,490,000.00 | 10,310.81 | — | — | — | 1.068 | 0.91 | MJSD | 883.94 | 8,274.61 | 3/8/2011 | 3/11/2014 | |||||||||||||||||
05565QBT4 | BP CAPITAL MARKETS PLC CORP BND | F | 4,773,490.00 | 102.659 | 4,876,308.87 | 4,750,000.00 | 4,770,533.24 | 105,775.63 | (2,242.36 | ) | — | — | 2.248 | 2.143 | MN | 17,796.67 | 79,616.67 | 11/1/2011 | 11/1/2016 | ||||||||||||||||
05565QBX5 | BP CAPITAL MARKETS PLC CORP BND | F | 7,224,566.50 | 101.692 | 7,347,240.50 | 7,225,000.00 | 7,224,645.88 | 122,594.62 | 69.50 | — | — | 1.7 | 1.702 | JD | 8,870.70 | 61,412.51 | 12/1/2011 | 12/5/2014 | |||||||||||||||||
05565QBY3 | BP CAPITAL MARKETS PLC SENIOR CORP BND | F | 8,000,000.00 | 100.908 | 8,072,658.72 | 8,000,000.00 | 8,000,000.00 | 72,658.72 | — | — | — | 1.846 | 1.846 | MN | 22,152.01 | 22,152.01 | 5/2/2012 | 5/5/2017 |
05948XYC9 | BOAMS WHOLE CMO 03-J-2A1 | 2 | 50,887.16 | 96.67 | 49,906.16 | 51,625.23 | 50,935.60 | (1,029.44 | ) | 46.35 | — | — | 2.839 | 3.102 | MON | 122.16 | 753.79 | 11/30/2007 | 11/25/2033 | ||||||||||||||||
060505DP6 | BANK OF AMERICA SENIOR CORP BND | 1,052,175.00 | 106.539 | 1,065,386.82 | 1,000,000.00 | 1,050,737.95 | 14,648.87 | (2,662.59 | ) | — | — | 5.75 | 4.678 | JD | 4,791.66 | 22,680.54 | 6/20/2012 | 12/1/2017 | |||||||||||||||||
06051GDX4 | BANK OF AMERICA CORP BND | 3,851,697.00 | 105.155 | 3,890,743.14 | 3,700,000.00 | 3,843,611.68 | 47,131.46 | (8,085.32 | ) | — | — | 5.65 | 4.877 | MN | 34,841.67 | 83,039.30 | 2/3/2012 | 5/1/2018 | |||||||||||||||||
06051GEQ8 | BANK OF AMERICA CORP BND | 10,624,068.00 | 101.485 | 10,757,432.69 | 10,600,000.00 | 10,625,066.51 | 132,366.18 | 998.51 | — | — | 3.875 | 3.819 | MS | 112,956.26 | 82,602.09 | 6/21/2012 | 3/22/2017 | ||||||||||||||||||
06052MAC9 | BAAT ABS_10-2 A3 | 2 | 372,094.39 | 100.27 | 373,109.34 | 372,104.66 | 372,102.82 | 1,006.52 | 4.81 | — | — | 1.31 | 1.315 | MON | 216.65 | 3,590.53 | 6/16/2010 | 2/15/2013 | |||||||||||||||||
06052YAC3 | BAAT_12-1 ABS 12-1 | 2 | 6,999,750.10 | 100.219 | 7,015,360.10 | 7,000,000.00 | 6,999,763.08 | 15,597.02 | 12.98 | — | — | 0.78 | 0.782 | MON | 2,426.67 | 11,071.67 | 4/11/2012 | 3/15/2015 | |||||||||||||||||
06052YAD1 | BANK OF AMERICA AUTO TRUST BAA ABS 12-1 | 2 | 4,998,468.00 | 100.542 | 5,027,115.50 | 5,000,000.00 | 4,998,556.82 | 28,558.68 | 88.82 | — | — | 1.03 | 1.041 | MON | 2,288.89 | 10,443.05 | 4/11/2012 | 12/15/2015 | |||||||||||||||||
06366QGN1 | BANK OF MONTREAL CORP BND | A | 9,350,000.00 | 100.33 | 9,380,855.85 | 9,350,000.00 | 9,350,000.00 | 30,855.85 | — | — | — | 0.936 | 0.743 | JAJO | 15,069.78 | 46,014.60 | 4/26/2011 | 4/29/2014 | |||||||||||||||||
06366QW86 | BANK OF MONTREAL CORP BND MTN | A | 6,083,670.00 | 102.898 | 6,173,901.66 | 6,000,000.00 | 6,081,331.90 | 92,569.76 | (2,967.73 | ) | — | — | 2.5 | 2.182 | JJ | 70,833.34 | 57,041.67 | 5/1/2012 | 1/11/2017 | ||||||||||||||||
063679ZT4 | BANK OF MONTREAL CORP BND 144A | A | 4,791,600.00 | 103.241 | 4,955,568.24 | 4,800,000.00 | 4,792,275.16 | 163,293.08 | 675.16 | — | — | 1.95 | 1.987 | JJ | 39,260.00 | 39,260.00 | 1/23/2012 | 1/30/2017 | |||||||||||||||||
064058AA8 | BANK OF NEW YORK CO SENIOR CORP BND | 5,023,120.00 | 100.895 | 5,044,742.95 | 5,000,000.00 | 5,022,794.69 | 21,948.26 | (325.31 | ) | — | — | 1.969 | 1.872 | JD | 3,008.19 | 10,938.89 | 5/10/2012 | 6/20/2017 | |||||||||||||||||
06406HBE8 | BANK OF NEW YORK CO CORP BND MTN | 6,894,348.00 | 101.496 | 6,901,728.00 | 6,800,000.00 | 6,809,702.81 | 92,025.19 | (14,194.15 | ) | — | — | 4.95 | 4.552 | MN | 56,100.00 | 167,750.00 | 3/23/2009 | 11/1/2012 | |||||||||||||||||
06406HBN8 | BANK OF NEW YORK CO CORP BND | 2,107,880.00 | 104.983 | 2,099,653.32 | 2,000,000.00 | 2,095,991.63 | 3,661.69 | (11,888.37 | ) | — | — | 3.1 | 1.175 | JJ | 28,588.89 | 19,805.56 | 3/1/2012 | 1/15/2015 | |||||||||||||||||
06406HBQ1 | BANK OF NEW YORK CO CORP BND MTN | 2,996,130.00 | 105.217 | 3,156,516.28 | 3,000,000.00 | 2,997,636.98 | 158,879.30 | 376.48 | — | — | 2.95 | 2.978 | JD | 3,195.84 | 44,250.00 | 6/11/2010 | 6/18/2015 | ||||||||||||||||||
06406HBW8 | BANK OF NEW YORK MELLON/THE CORP BND | 3,350,000.00 | 100.109 | 3,353,651.80 | 3,350,000.00 | 3,350,000.00 | 3,651.80 | — | — | — | 0.736 | 0.523 | JAJO | 4,245.44 | 13,090.28 | 7/21/2011 | 7/28/2014 | ||||||||||||||||||
06406HCA5 | BANK OF NEW YORK MELLON CORP BND MTN | 1 | 2,994,570.00 | 103.27 | 3,098,110.20 | 3,000,000.00 | 2,995,134.12 | 102,976.08 | 490.08 | — | — | 2.4 | 2.438 | JJ | 32,800.00 | 36,000.00 | 11/17/2011 | 1/17/2017 | |||||||||||||||||
06406HCC1 | BANK OF NEW YORK CO CORP BND MTN | 1 | 9,291,537.00 | 100.508 | 9,347,205.96 | 9,300,000.00 | 9,292,537.04 | 54,668.92 | 507.53 | — | — | 1.2 | 1.231 | FA | 40,300.00 | 20,300.00 | 2/13/2012 | 2/20/2015 | |||||||||||||||||
064149B97 | BANK OF NOVA SCOTIA CORP BND | A | 2,989,500.00 | 102.103 | 3,063,089.92 | 3,000,000.00 | 2,995,505.02 | 67,584.90 | 1,492.78 | — | — | 2.375 | 2.48 | JD | 2,770.84 | 35,625.00 | 6/10/2010 | 12/17/2013 | |||||||||||||||||
064149D87 | BANK OF NOVA SCOTIA CORP BND | A | 4,121,760.00 | 105.153 | 4,206,105.36 | 4,000,000.00 | 4,107,499.60 | 98,605.76 | (13,590.83 | ) | — | — | 2.9 | 2.149 | MS | 29,644.44 | 58,000.00 | 12/20/2011 | 3/29/2016 | ||||||||||||||||
064159AM8 | BANK OF NOVA SCOTIA CORP BND | A | 4,491,000.00 | 103.647 | 4,664,102.82 | 4,500,000.00 | 4,491,797.40 | 172,305.42 | 890.66 | — | — | 2.55 | 2.593 | JJ | 53,868.75 | 60,243.75 | 1/5/2012 | 1/12/2017 | |||||||||||||||||
06415CAA7 | BANK OF NOVA SCOTIA CORP BND 144A | A | 1,140,524.00 | 104.263 | 1,146,892.92 | 1,100,000.00 | 1,139,712.23 | 7,180.69 | (811.77 | ) | — | — | 2.15 | 1.242 | FA | 9,722.78 | 2036.53 | 5/24/2012 | 8/3/2016 | ||||||||||||||||
06415CAD1 | BANK OF NOVA SCOTIA SECURED CORP BND | A | 4,200,824.80 | 100.714 | 4,229,987.54 | 4,200,000.00 | 4,200,804.46 | 29,183.08 | (20.34 | ) | — | — | 1.05 | 1.043 | MS | 12,127.50 | 10,616.66 | 4/12/2012 | 3/20/2015 | ||||||||||||||||
06415CAE9 | BANK OF NOVA SCOTIA SECURED LOCAL BND | A | 2,197,580.00 | 102.335 | 2,251,369.98 | 2,200,000.00 | 2,197,707.63 | 53,662.35 | 127.63 | — | — | 1.75 | 1.773 | MS | 10,587.50 | 10,587.50 | 3/15/2012 | 3/22/2017 | |||||||||||||||||
06739FFZ9 | BARCLAYS BANK PLC LOCAL BND | F | 528,417.00 | 105.475 | 527,377.25 | 500,000.00 | 512,842.42 | 14,534.83 | (3,019.69 | ) | — | — | 5.2 | 3.869 | JJ | 12,350.00 | 13,000.00 | 10/21/2009 | 7/10/2014 | ||||||||||||||||
06739FGP0 | BARCLAYS BANK PLC CORP BND | F | 3,006,193.35 | 100.765 | 3,022,950.00 | 3,000,000.00 | 3,001,249.63 | 21,700.37 | (1,099.91 | ) | — | — | 2.5 | 2.425 | JJ | 32,916.67 | 37,500.00 | 2/19/2010 | 1/23/2013 | ||||||||||||||||
06741CAB0 | BARCLAYS PLC SENIOR LOCAL BND 144A | F | 1,393,294.00 | 100.28 | 1,403,919.99 | 1,400,000.00 | 1,393,473.70 | 10,446.29 | 179.70 | — | — | 2.25 | 2.352 | MN | 4,462.50 | 4,462.50 | 5/2/2012 | 5/10/2017 | |||||||||||||||||
067901AF5 | BARRICK GOLD CORP CORP BND | A | 2,747,701.82 | 104.718 | 2,879,747.37 | 2,750,000.00 | 2,748,134.76 | 131,612.61 | 223.06 | — | — | 2.9 | 2.137 | MN | 6,867.36 | 39,875.00 | 9/8/2011 | 5/30/2016 | |||||||||||||||||
071813AZ2 | BAXTER INTERNATIONAL INC CORP BND | 4,010,640.00 | 105.009 | 4,200,341.20 | 4,000,000.00 | 4,003,779.56 | 196,561.64 | (1,078.46 | ) | — | — | 4 | 3.941 | MS | 53,333.34 | 80,000.00 | 2/23/2009 | 3/1/2014 | |||||||||||||||||
071813BD0 | BAXTER INTERNATIONAL INC CORP BND | 2,668,424.70 | 101.618 | 2,713,204.57 | 2,670,000.00 | 2,668,597.97 | 44,606.60 | 141.14 | — | — | 1.85 | 1.862 | JJ | 26,344.00 | 20,072.50 | 12/14/2011 | 1/15/2017 | ||||||||||||||||||
07384M3D2 | BSARM CMO 04-9 22A1 | 2 | 1,112,893.26 | 82.72 | 1,125,258.72 | 1,134,447.75 | 1,114,366.62 | 10,892.10 | 2,622.04 | — | — | 3.174 | 3.481 | MON | 3,000.78 | 19,258.89 | 8/13/2007 | 11/25/2034 | |||||||||||||||||
07385TAJ5 | BEAR STEARNS CO INC CORP BND | 325,959.90 | 108.134 | 324,400.89 | 300,000.00 | 312,827.45 | 11,573.44 | (2,554.46 | ) | — | — | 5.7 | 3.797 | MN | 2,185.00 | 8,550.00 | 10/29/2009 | 11/15/2014 | |||||||||||||||||
07387AAW5 | BSARM CMO_05-3 2A1 | 2 | 1,285,553.87 | 76.48 | 1,001,658.38 | 1,309,701.48 | 1,287,093.87 | (285,435.49 | ) | 1,645.53 | — | — | 3.005 | 3.406 | MON | 3,279.90 | 19,477.62 | 8/10/2007 | 5/1/2035 | ||||||||||||||||
075887BB4 | BECTON DICKINSON AND COMPANY CORP BND | 1,249,587.50 | 101.685 | 1,271,060.56 | 1,250,000.00 | 1,249,638.89 | 21,421.67 | 39.63 | — | — | 1.75 | 1.757 | MN | 3,220.49 | 10,937.50 | 11/3/2011 | 11/8/2016 | ||||||||||||||||||
079860AG7 | BELLSOUTH CORPORATION CORP BND | 1,257,904.09 | 108.307 | 1,244,449.45 | 1,149,000.00 | 1,216,382.38 | 28,067.07 | (14,735.00 | ) | — | — | 5.2 | 2.447 | MS | 17,592.47 | 29,874.00 | 7/6/2011 | 9/15/2014 |
09247XAK7 | BLACKROCK CREDIT (OFFSHORE) CORP BND | 2,746,837.50 | 100.631 | 2,767,348.62 | 2,750,000.00 | 2,746,937.55 | 20,411.07 | 100.05 | — | — | 1.375 | 1.414 | JD | 3,781.25 | 3,781.25 | 5/22/2012 | 6/1/2015 | ||||||||||||||||||
09657MAC2 | BMWLT_10-1 ABS 10-1 A3 | 2 | 403,897.61 | 100.375 | 405,420.53 | 403,905.88 | 403,904.33 | 1,516.20 | 3.47 | — | — | 1.39 | 1.395 | MON | 93.57 | 4,201.70 | 4/15/2010 | 3/25/2013 | |||||||||||||||||
097014AK0 | BOEING CAPITAL CORPORATION CORP BND | 3,023,300.00 | 105.713 | 3,171,402.06 | 3,000,000.00 | 3,011,811.29 | 159,590.77 | (1,430.04 | ) | — | — | 3.25 | 3.073 | AO | 17,333.34 | 28,437.51 | 1/28/2010 | 10/27/2014 | |||||||||||||||||
097014AN4 | BOEING CAPITAL CORPORATION CORP BND | 1 | 5,034,707.25 | 103.791 | 5,163,593.15 | 4,975,000.00 | 5,028,764.70 | 134,828.45 | (6,062.23 | ) | — | — | 2.125 | 1.845 | FA | 39,938.19 | 51,544.52 | 1/5/2012 | 7/15/2016 | ||||||||||||||||
097023BB0 | BOEING CO CORP BND | 526,825.30 | 100.609 | 533,227.70 | 530,000.00 | 529,581.02 | 3,646.68 | 537.25 | — | — | 1.875 | 2.082 | MN | 1,131.77 | 4,968.75 | 11/17/2009 | 11/20/2012 | ||||||||||||||||||
10138MAD7 | BOTTLING GROUP LLC CORP BND | 1,530,340.01 | 109.084 | 1,636,263.71 | 1,500,000.00 | 1,517,616.29 | 118,647.42 | (1,636.41 | ) | — | — | 4.125 | 3.702 | JD | 2,750.00 | 18,046.87 | 2/19/2010 | 6/15/2015 | |||||||||||||||||
10138MAH8 | BOTTLING GROUP LLC CORP BND | 9,826,255.00 | 110.463 | 9,389,337.92 | 8,500,000.00 | 8,970,718.38 | 418,619.54 | (81,335.38 | ) | — | — | 6.95 | 3.574 | MS | 173,943.06 | 181,800.41 | 2/5/2009 | 3/15/2014 | |||||||||||||||||
10620NAC2 | BRHEA_05-2 ABS_05--2 A10 | 2 | 4,224,000.00 | 98.591 | 4,337,985.08 | 4,400,000.00 | 4,266,881.78 | 71,103.30 | 15,530.48 | — | — | 0.588 | 1.619 | MJSD | 430.91 | 9,831.74 | 2/22/2012 | 9/26/2016 | |||||||||||||||||
10620NAH1 | BRHEA_05-3A ABS 05-3 A14 | 2 | 1,869,704.82 | 99.541 | 1,888,971.31 | 1,897,681.67 | 1,879,121.00 | 9,850.31 | 12,170.85 | — | — | 0.578 | 0.869 | MJSD | 182.68 | 7,343.87 | 5/26/2011 | 9/25/2018 | |||||||||||||||||
10620NCG1 | BRHEA_05-2 ABS 11-1 A2 | 2 | 3,748,794.81 | 99.798 | 3,792,323.89 | 3,800,000.00 | 3,757,884.39 | 34,439.50 | 4,721.88 | — | — | 1.267 | 1.471 | FMAN | 4,947.75 | 24,736.57 | 3/10/2011 | 11/26/2021 | |||||||||||||||||
10778XAA4 | BRFKREDIT AS CORP BND 144A | F | 5,094,390.00 | 100.955 | 5,148,684.40 | 5,100,000.00 | 5,098,490.55 | 50,193.85 | 938.71 | — | — | 2.05 | 2.088 | AO | 22,071.67 | 52,275.00 | 4/8/2010 | 4/15/2013 | |||||||||||||||||
110122AL2 | BRISTOL MYERS SQUIBB CO CORP BND | 6,916,260.00 | 105.363 | 6,848,610.28 | 6,500,000.00 | 6,611,963.76 | 236,646.52 | (48,279.15 | ) | — | — | 5.25 | 3.67 | FA | 128,916.67 | 170,625.00 | 3/5/2009 | 8/15/2013 | |||||||||||||||||
1107098W5 | BRITISH COLUMBIA PROVINCE OF CORP BND | A | 10,569,800.00 | 106.454 | 10,645,400.20 | 10,000,000.00 | 10,437,707.75 | 207,692.45 | (71,950.92 | ) | — | — | 2.85 | 1.335 | JD | 12,666.67 | 142,500.00 | 7/27/2011 | 6/15/2015 | ||||||||||||||||
1107098Z8 | BRITISH COLUMBIA PROVINCE OF CORP BND | A | 6,998,670.00 | 105.225 | 7,365,750.42 | 7,000,000.00 | 6,998,955.95 | 366,794.47 | 128.15 | — | — | 2.1 | 2.104 | MN | 17,558.33 | 73,500.00 | 5/11/2011 | 5/18/2016 | |||||||||||||||||
11070TAA6 | BRITISH COLUMBIA PROVINCE OF SENIOR CORP | A | 4,996,350.00 | 100.936 | 5,046,799.85 | 5,000,000.00 | 4,996,480.02 | 50,319.83 | 130.02 | — | — | 1.2 | 1.215 | AO | 11,000.00 | 11,000.00 | 4/18/2012 | 4/25/2017 | |||||||||||||||||
111021AG6 | BRITISH TELECOMMUNICATIONS PLC SENIOR | F | 724,898.50 | 101.145 | 733,300.67 | 725,000.00 | 724,899.31 | 8,401.36 | 0.81 | — | — | 2 | 2.005 | JD | 362.50 | 362.50 | 6/19/2012 | 6/22/2015 | |||||||||||||||||
12591AAC1 | CNH_12-B ABS 12-B | 2 | 2,099,925.87 | 100.217 | 2,104,557.00 | 2,100,000.00 | 2,099,926.53 | 4,630.47 | 0.66 | — | — | 0.86 | 0.863 | MON | 551.83 | 551.83 | 6/12/2012 | 12/15/2015 | |||||||||||||||||
12668AZL2 | CWALT CMO_05-64CB 1A | 2 | 385,575.08 | 72.5 | 284,974.26 | 393,067.95 | 385,219.84 | (100,245.58 | ) | (4,272.01 | ) | — | — | 5.5 | 5.841 | MON | 1,801.56 | 11,288.74 | 1/2/2008 | 12/25/2035 | |||||||||||||||
126802BS5 | CABMT_10-IA ABS_11-2A A2 | 2 | 3,500,000.00 | 100.873 | 3,530,555.04 | 3,500,000.00 | 3,500,000.00 | 30,555.04 | — | — | — | 0.842 | 0.843 | MON | 1,304.72 | 15,087.17 | 6/22/2011 | 6/15/2016 | |||||||||||||||||
12800UAK6 | CAISSE CENTRALE CORP BND 144A | A | 397,592.00 | 105.558 | 422,232.00 | 400,000.00 | 398,150.84 | 24,081.16 | 232.82 | — | — | 2.55 | 2.681 | MS | 2,748.33 | 5,100.00 | 4/18/2011 | 3/24/2016 | |||||||||||||||||
12800UAL4 | CAISSE CENTRALE SECURED LOCAL BND 144A | A | 2,699,352.00 | 101.361 | 2,736,747.00 | 2,700,000.00 | 2,699,391.73 | 37,355.27 | 39.82 | — | — | 1.6 | 1.605 | MS | 13,800.00 | 13,800.00 | 2/28/2012 | 3/6/2017 | |||||||||||||||||
136069DF5 | CANADIAN IMPERIAL BK COMRC CORP BND 144A | A | 1,999,520.00 | 100.923 | 2,018,460.00 | 2,000,000.00 | 1,999,903.02 | 18,556.98 | 80.72 | — | — | 2 | 2.008 | FA | 16,333.33 | 20,000.00 | 1/27/2010 | 2/4/2013 | |||||||||||||||||
136069EH0 | CANADIAN IMPERIAL BK COMRC CORP BND 144A | A | 5,234,372.73 | 102.014 | 5,304,728.42 | 5,200,000.00 | 5,231,821.23 | 72,907.19 | (2,551.50 | ) | — | — | 1.5 | 1.245 | JD | 4,116.67 | 29,100.00 | 4/16/2012 | 12/12/2014 | ||||||||||||||||
136375BH4 | CANADIAN NATIONAL RAILWAY CORP BND | A | 325,323.30 | 102.664 | 318,258.40 | 310,000.00 | 313,320.31 | 4,938.09 | (2,297.93 | ) | — | — | 4.4 | 2.856 | MS | 4,016.22 | 6,820.00 | 10/22/2009 | 3/15/2013 | ||||||||||||||||
136375BU5 | CANADIAN NATIONAL RAILWAY CORP BND | A | 1 | 3,721,350.00 | 100.301 | 3,761,299.32 | 3,750,000.00 | 3,724,778.72 | 36,520.60 | 2,737.26 | — | — | 1.45 | 1.607 | JD | 2,416.66 | 27,187.50 | 11/7/2011 | 12/15/2016 | ||||||||||||||||
14041NCK5 | COMET ABS_05-A9 A | 2 | 5,826,577.15 | 99.703 | 5,857,546.02 | 5,875,000.00 | 5,837,998.90 | 19,547.12 | 5,555.29 | — | — | 0.332 | 0.523 | MON | 866.24 | 10,185.00 | 6/17/2011 | 10/15/2015 | |||||||||||||||||
14041NDB4 | COMET ABS 06-A11 A11 | 2 | 5,248,035.16 | 99.544 | 5,275,856.17 | 5,300,000.00 | 5,258,282.16 | 17,574.01 | 4,984.74 | — | — | 0.332 | 0.523 | MON | 781.46 | 9,189.09 | 6/17/2011 | 8/15/2016 | |||||||||||||||||
14170TAF8 | CAREFUSION CORP CORP BND | 6,453,470.60 | 107.059 | 6,273,660.86 | 5,860,000.00 | 6,211,697.68 | 61,963.18 | (81,901.15 | ) | — | — | 5.125 | 2.165 | FA | 125,135.42 | 150,162.50 | 9/12/2011 | 8/1/2014 | |||||||||||||||||
149123BY6 | CATERPILLAR INC SENIOR CORP BND | 7,198,488.00 | 100.331 | 7,223,832.00 | 7,200,000.00 | 7,198,494.80 | 25,337.20 | 6.80 | — | — | 0.95 | 0.957 | JD | 950.00 | 950.00 | 6/21/2012 | 6/26/2015 | ||||||||||||||||||
14912L3N9 | CATERPILLAR FINL SERV CORP CORP BND MTN | 1,124,403.75 | 101.918 | 1,146,577.50 | 1,125,000.00 | 1,124,942.42 | 21,635.08 | 64.56 | — | — | 4.85 | 4.862 | JD | 3,637.50 | 27,281.25 | 12/3/2007 | 12/7/2012 | ||||||||||||||||||
14912L3S8 | CATERPILLAR FINL SERV CORP CORP BND MTN | 5,268,195.25 | 100.299 | 5,394,900.75 | 5,275,000.00 | 5,274,100.19 | 120,800.56 | 726.64 | — | — | 4.25 | 4.279 | FA | 89,052.25 | 112,093.75 | 2/4/2008 | 2/8/2013 | ||||||||||||||||||
14912L4J7 | CATERPILLAR FINL SERV CORP CORP BND | 649,226.50 | 100.719 | 654,673.50 | 650,000.00 | 649,878.05 | 4,795.45 | 130.16 | — | — | 1.9 | 1.941 | JD | 480.28 | 6,175.00 | 12/10/2009 | 12/17/2012 | ||||||||||||||||||
14912L4M0 | CATERPILLAR FINL SERV CORP CORP BND | 2,000,000.00 | 104.512 | 2,090,237.88 | 2,000,000.00 | 2,000,000.00 | 90,237.88 | — | — | — | 2.75 | 2.75 | JD | 1,069.44 | 16,041.66 | 11/12/2010 | 6/24/2015 | ||||||||||||||||||
14912L4Q1 | CATERPILLAR FINL SERV CORP CORP BND | 3,021,642.25 | 101.457 | 3,069,082.81 | 3,025,000.00 | 3,023,334.97 | 45,747.84 | 554.58 | — | — | 1.55 | 1.588 | JD | 1,432.67 | 23,443.75 | 12/13/2010 | 12/20/2013 |
14912L4U2 | CATERPILLAR FINL SERV CORP CORP BND GMTN | 4,219,068.00 | 100.346 | 4,214,532.00 | 4,200,000.00 | 4,212,331.54 | 2,200.46 | (3,484.78 | ) | — | — | 0.758 | 0.37 | JAJO | 7,960.58 | 17,260.57 | 7/12/2011 | 4/1/2014 | |||||||||||||||||
14912L4Y4 | CATERPILLAR FINL SERV CORP CORP BND MTN | 4,989,810.90 | 100.636 | 5,031,777.55 | 5,000,000.00 | 4,991,543.00 | 40,234.55 | 1,685.80 | — | — | 1.125 | 1.195 | JD | 2,500.00 | 28,125.00 | 12/27/2011 | 12/15/2014 | ||||||||||||||||||
14912L5D9 | CATERPILLAR FINL SERV CORP SENIOR CORP | 2,999,040.00 | 100.274 | 3,008,211.81 | 3,000,000.00 | 2,999,067.43 | 9,144.38 | 27.43 | — | — | 1.1 | 1.111 | MN | 2,841.67 | 2,841.67 | 5/22/2012 | 5/29/2015 | ||||||||||||||||||
15200DAB3 | CENTERPOINT ENERGY INC. ABS_05-A A2 | 2 | 46,269.90 | 100.399 | 45,026.20 | 44,847.40 | 44,910.05 | 116.15 | (900.34 | ) | — | — | 4.97 | 3.83 | FA | 928.71 | 1925.15 | 2/8/2008 | 9/1/2012 | ||||||||||||||||
161571FH2 | CHAIT_12-A2 ABS 12-A2 | 2 | 7,000,000.00 | 100.13 | 7,009,087.40 | 7,000,000.00 | 7,000,000.00 | 9,087.40 | — | — | — | 0.509 | 0.509 | MON | 2,572.01 | 2,572.01 | 5/29/2012 | 5/15/2019 | |||||||||||||||||
161630BD9 | CHASE CMO_07-A1 11M1 | 2 | 3,350,757.00 | 67.281 | 2,335,741.44 | 3,318,993.17 | 3,348,156.33 | (1,012,414.89 | ) | (2,313.42 | ) | — | — | 2.934 | 2.797 | MON | 8,113.69 | 48,755.81 | 1/18/2008 | 2/1/2037 | |||||||||||||||
165182BA3 | CF_09-2A ABS 12-1A 144A | 2 | 3,200,000.00 | 100 | 3,200,000.00 | 3,200,000.00 | 3,200,000.00 | — | — | — | — | 0.99 | 0.992 | MON | 2,111.47 | 3,957.14 | 5/10/2012 | 11/7/2023 | |||||||||||||||||
166751AH0 | CHEVRONTEXACO CORPORATION CORP BND | 7,390,303.50 | 105.543 | 7,440,772.83 | 7,050,000.00 | 7,192,049.01 | 248,723.82 | (38,864.36 | ) | — | — | 3.95 | 2.71 | MS | 91,277.92 | 132,120.92 | 1/6/2010 | 3/3/2014 | |||||||||||||||||
167562LV7 | CHICAGO ILL MIDWAY ARPT REV MUNI BND REV | 3,083,400.00 | 102.426 | 3,072,780.00 | 3,000,000.00 | 3,081,764.24 | (8,984.24 | ) | (849.33 | ) | — | — | 3.532 | 3.382 | JJ | 52,980.00 | 52,980.00 | 7/5/2011 | 1/1/2041 | ||||||||||||||||
17275RAG7 | CISCO SYSTEMS INC CORP BND | 3,989,840.00 | 105.439 | 4,217,562.24 | 4,000,000.00 | 3,994,983.90 | 222,578.34 | 1,008.62 | — | — | 2.9 | 2.955 | MN | 14,177.78 | 58,000.00 | 11/9/2009 | 11/17/2014 | ||||||||||||||||||
17275RAJ1 | CISCO SYSTEMS INC CORP BND | 509,680.00 | 101.849 | 509,243.01 | 500,000.00 | 506,625.45 | 2,617.56 | (1,914.15 | ) | — | — | 1.625 | 0.84 | MS | 2,414.93 | 4,062.50 | 9/12/2011 | 3/14/2014 | |||||||||||||||||
17275RAL6 | CISCO SYSTEMS INC CORP BND | 18,250,000.00 | 100.509 | 18,342,893.05 | 18,250,000.00 | 18,250,000.00 | 92,893.05 | — | — | — | 0.718 | 0.559 | MJSD | 6,186.47 | 72,595.52 | 3/9/2011 | 3/14/2014 | ||||||||||||||||||
172967CK5 | CITIGROUP INC CORP BND | 3,904,747.45 | 104.307 | 4,172,299.80 | 4,000,000.00 | 3,947,187.28 | 225,112.52 | 13,330.50 | — | — | 5.125 | 5.891 | MN | 31,888.89 | 102,500.00 | 11/12/2010 | 5/5/2014 | ||||||||||||||||||
172967EL1 | CITIBANK N.A. CORP BND | 520,145.00 | 101.284 | 506,420.00 | 500,000.00 | 502,096.17 | 4,323.83 | (3,493.20 | ) | — | — | 5.3 | 3.852 | AO | 5,447.22 | 13,250.00 | 10/22/2009 | 10/17/2012 | |||||||||||||||||
172967FA4 | CITIGROUP INC CORP BND | 5,153,500.00 | 107.296 | 5,364,793.40 | 5,000,000.00 | 5,089,586.45 | 275,206.95 | (16,156.81 | ) | — | — | 6.01 | 5.249 | JD | 13,355.56 | 150,250.00 | 6/9/2010 | 1/15/2015 | |||||||||||||||||
172967FD8 | CITIGROUP INC CORP BND | 8,216,221.50 | 104.643 | 8,109,842.35 | 7,750,000.00 | 8,076,829.23 | 33,013.12 | (53,594.19 | ) | — | — | 4.75 | 3.206 | MN | 42,947.92 | 184,062.50 | 5/24/2011 | 5/19/2015 | |||||||||||||||||
172967FH9 | CITIGROUP INC CORP BND | 5,734,954.68 | 104.488 | 5,732,191.11 | 5,486,000.00 | 5,727,760.85 | 4,430.26 | (7,193.83 | ) | — | — | 4.587 | 3.229 | JD | 11,184.13 | 27,960.32 | 5/16/2012 | 12/15/2015 | |||||||||||||||||
172967FM8 | CITIGROUP INC CORP BND | 3,225,000.00 | 100.001 | 3,225,032.22 | 3,225,000.00 | 3,225,000.00 | 32.22 | — | — | — | 1.317 | 1.242 | FMAN | 5,544.49 | 21,458.11 | 1/5/2012 | 2/15/2013 | ||||||||||||||||||
17305ECH6 | CCCIT ABS_04-A8 A8 | 2 | 2,116,867.19 | 110.066 | 2,091,260.84 | 1,900,000.00 | 2,078,778.78 | 12,482.06 | (36,083.73 | ) | — | — | 4.9 | 0.99 | JD | 5,430.83 | 46,550.00 | 12/14/2011 | 12/10/2014 | ||||||||||||||||
17305EDL6 | CITIBANK CREDIT CARD ISSUANCE ABS_06-A8 | 2 | 2,588,682.81 | 99.289 | 2,601,383.04 | 2,620,000.00 | 2,593,827.80 | 7,555.24 | 2,607.38 | — | — | 0.507 | 0.714 | JAJO | 2,802.34 | 7,294.11 | 7/6/2011 | 12/15/2016 | |||||||||||||||||
17305EEH4 | CCCIT ABS 08-A5 A5 | 2 | 1,608,339.84 | 103.505 | 1,552,574.96 | 1,500,000.00 | 1,552,393.70 | 181.26 | (32,306.72 | ) | — | — | 4.85 | 0.513 | AO | 13,943.75 | 36,375.00 | 8/16/2011 | 4/22/2013 | ||||||||||||||||
17313YAL5 | CITIGROUP FUNDING INC - GTD CORP BND | 15,058,950.00 | 100.502 | 15,075,300.00 | 15,000,000.00 | 15,006,249.44 | 69,050.56 | (10,012.05 | ) | — | — | 1.875 | 1.739 | AO | 53,906.25 | 140,625.00 | 3/8/2011 | 10/22/2012 | |||||||||||||||||
17313YAN1 | CITIGROUP FUNDING INC - GTD CORP BND | 3,017,959.95 | 100.608 | 3,018,240.00 | 3,000,000.00 | 3,002,493.61 | 15,746.39 | (3,319.36 | ) | — | — | 1.875 | 1.65 | MN | 7,187.50 | 28,125.00 | 2/19/2010 | 11/15/2012 | |||||||||||||||||
17314JAT0 | CITIBANK NA CORP BND GOVT GUAR | 18,115,174.02 | 100.745 | 17,882,237.50 | 17,750,000.00 | 17,861,949.40 | 20,288.10 | (138,916.15 | ) | — | — | 1.75 | 0.465 | JD | 2,588.54 | 214,861.10 | 6/7/2011 | 12/28/2012 | |||||||||||||||||
191216AL4 | COCA-COLA COMPANY THE CORP BND | 11,074,381.25 | 105.015 | 11,682,886.37 | 11,125,000.00 | 11,106,793.32 | 576,093.05 | 4,655.49 | — | — | 3.625 | 3.725 | MS | 118,743.93 | 184,436.99 | 2/22/2012 | 3/15/2014 | ||||||||||||||||||
191216AN0 | COCA-COLA COMPANY THE CORP BND | 2,049,036.50 | 100.475 | 2,059,727.93 | 2,050,000.00 | 2,049,556.59 | 10,171.34 | 159.99 | — | — | 0.75 | 0.766 | MN | 1964.58 | 7,687.50 | 11/4/2010 | 11/15/2013 | ||||||||||||||||||
191216AP5 | COCA-COLA COMPANY THE CORP BND | 997,700.00 | 101.974 | 1,019,738.46 | 1,000,000.00 | 998,429.54 | 21,308.92 | 225.37 | — | — | 1.5 | 1.548 | MN | 1916.67 | 7,500.00 | 11/4/2010 | 11/15/2015 | ||||||||||||||||||
191216AU4 | COCA-COLA COMPANY THE CORP BND | 6,956,079.93 | 102.719 | 7,087,606.93 | 6,900,000.00 | 6,949,869.03 | 137,737.90 | (3,663.31 | ) | — | — | 1.8 | 1.649 | MS | 41,400.00 | 50,180.00 | 12/14/2011 | 9/1/2016 | |||||||||||||||||
191216AX8 | COCA-COLA COMPANY THE SENIOR CORP BND | 6,992,160.00 | 99.855 | 6,989,857.70 | 7,000,000.00 | 6,992,926.95 | (3,069.25 | ) | 766.95 | — | — | 0.75 | 0.788 | MS | 15,604.16 | 15,604.16 | 3/9/2012 | 3/13/2015 | |||||||||||||||||
19416QDW7 | COLGATE PALMOLIVE CO. CORP BND MTN | 7,919,869.50 | 99.97 | 7,947,594.49 | 7,950,000.00 | 7,926,275.00 | 21,319.49 | 4,937.51 | — | — | 0.6 | 0.727 | MN | 6,094.99 | 23,849.97 | 11/3/2011 | 11/15/2014 | ||||||||||||||||||
19648CAE1 | COLORADO HSG & FIN AUTH MUNITAX BND REV | 5,030,400.00 | 100.68 | 5,034,000.00 | 5,000,000.00 | 5,030,337.20 | 3,662.80 | (62.80 | ) | — | — | 1.6 | 1.438 | MN | 666.67 | 666.67 | 6/21/2012 | 5/15/2016 | |||||||||||||||||
20030NAB7 | COMCAST CORPORATION CORP BND | 5,868,400.00 | 112.344 | 5,617,224.50 | 5,000,000.00 | 5,523,392.32 | 93,832.18 | (99,582.37 | ) | — | — | 6.5 | 2.235 | JJ | 149,861.12 | 162,500.00 | 9/24/2010 | 1/15/2015 | |||||||||||||||||
20030NAE1 | COMCAST CORPORATION CORP BND | 4,178,362.50 | 106.291 | 3,985,925.67 | 3,750,000.00 | 3,945,903.01 | 40,022.66 | (62,443.91 | ) | — | — | 5.3 | 1.84 | JJ | 91,645.83 | 99,375.00 | 8/10/2010 | 1/15/2014 | |||||||||||||||||
20030NAP6 | COMCAST CORPORATION CORP BND | 3,543,450.00 | 118.572 | 3,557,153.55 | 3,000,000.00 | 3,478,150.28 | 79,003.27 | (49,133.81 | ) | — | — | 6.5 | 2.741 | JJ | 89,916.67 | 97,500.00 | 10/27/2011 | 1/15/2017 |
20271RAA8 | COMMONWEALTH BANK OF AUSTRALIA SENIOR | F | 2,149,183.00 | 100.514 | 2,161,060.18 | 2,150,000.00 | 2,149,260.26 | 11,799.92 | 77.26 | — | — | 1.95 | 1.963 | MS | 12,228.13 | 12,228.13 | 3/5/2012 | 3/16/2015 | |||||||||||||||||
20272BAK0 | COMMONWEALTH BANK OF AUSTRALIA SENIOR | F | 4,611,321.60 | 104.681 | 4,689,708.80 | 4,480,000.00 | 4,562,791.30 | 126,917.50 | (18,122.56 | ) | — | — | 2.9 | 2.04 | MS | 37,532.44 | 64,960.00 | 2/22/2011 | 9/17/2014 | ||||||||||||||||
202795HH6 | COMMONWEALTH EDISON COMPANY SECURED CORP | 3,126,706.50 | 109.125 | 3,110,050.76 | 2,850,000.00 | 3,123,545.29 | (13,494.53 | ) | (3,161.21 | ) | — | — | 4.7 | 1.191 | AO | 28,278.33 | 4,465.00 | 6/14/2012 | 4/15/2015 | ||||||||||||||||
2027A0DG1 | COMMONWEALTH BANK OF AUSTRALIA CORP BND | F | 6,949,374.50 | 100.485 | 6,983,703.18 | 6,950,000.00 | 6,949,937.53 | 33,765.65 | 106.42 | — | — | 2.75 | 2.753 | AO | 40,348.60 | 95,562.50 | 10/8/2009 | 10/15/2012 | |||||||||||||||||
2027A0FP9 | COMMONWEALTH BANK OF AUSTRALIA CORP BND | F | 15,429,116.00 | 100.155 | 15,448,908.61 | 15,425,000.00 | 15,427,652.60 | 21,256.01 | (765.72 | ) | — | — | 1.198 | 1.009 | MJSD | 6,672.17 | 96,688.12 | 7/12/2011 | 3/17/2014 | ||||||||||||||||
20825CAE4 | CONOCOPHILLIPS CORP BND | 1,062,372.20 | 101.234 | 1,012,340.00 | 1,000,000.00 | 1,009,482.55 | 2,857.45 | (16,213.66 | ) | — | — | 4.75 | 1.452 | AO | 10,027.78 | 23,750.00 | 11/12/2010 | 10/15/2012 | |||||||||||||||||
20825CAT1 | CONOCOPHILLIPS CORP BND | 6,767,478.00 | 109.387 | 7,164,873.59 | 6,550,000.00 | 6,665,466.50 | 499,407.09 | (12,695.71 | ) | — | — | 4.6 | 3.858 | JJ | 138,932.78 | 121,899.99 | 1/27/2010 | 1/15/2015 | |||||||||||||||||
209111EW9 | CONSOLIDATED EDISON CO OF NY CORP BND | 436,497.60 | 107.812 | 431,249.08 | 400,000.00 | 415,096.87 | 16,152.21 | (4,132.99 | ) | — | — | 5.55 | 3.313 | AO | 5,550.00 | 11,100.00 | 10/29/2009 | 4/1/2014 | |||||||||||||||||
21685WCY1 | RABOBANK NEDERLAND NV CORP BND | F | 7,660,000.00 | 100.001 | 7,660,076.52 | 7,660,000.00 | 7,660,000.00 | 76.52 | — | — | — | 0.666 | 0.452 | JAJO | 9,489.58 | 27,364.84 | 7/20/2011 | 7/25/2013 | |||||||||||||||||
224044BM8 | COX COMMUNICATIONS INC. CORP BND | 2,649,672.00 | 109.964 | 2,639,140.32 | 2,400,000.00 | 2,647,227.96 | (8,087.64 | ) | (2,444.04 | ) | — | — | 5.45 | 1.182 | JD | 5,813.33 | 3,270.00 | 6/19/2012 | 12/15/2014 | ||||||||||||||||
22541LBK8 | CREDIT SUISSE FIRST BOSTON SENIOR CORP | 4,276,160.00 | 108.134 | 4,325,353.08 | 4,000,000.00 | 4,230,296.93 | 95,056.15 | (34,688.71 | ) | — | — | 5.125 | 3.174 | FA | 77,444.44 | 102,500.00 | 10/28/2011 | 8/15/2015 | |||||||||||||||||
225448AL3 | CREDIT SUISSE GG LOCAL BND 144A | F | 1,993,480.00 | 100.213 | 2,004,260.10 | 2,000,000.00 | 1,994,156.13 | 10,103.97 | 676.13 | — | — | 1.625 | 1.737 | MS | 10,381.94 | 10,381.94 | 3/1/2012 | 3/6/2015 | |||||||||||||||||
22546QAA5 | CREDIT SUISSE GROUP CORP BND | F | 2,186,460.00 | 106.15 | 2,122,992.10 | 2,000,000.00 | 2,089,570.45 | 33,421.65 | (23,512.45 | ) | — | — | 5.5 | 2.972 | MN | 18,333.33 | 55,000.00 | 5/19/2010 | 5/1/2014 | ||||||||||||||||
22546QAE7 | CREDIT SUISSE FIRST BOSTON CORP BND | E | 1,996,820.00 | 102.874 | 2,057,473.14 | 2,000,000.00 | 1,998,196.67 | 59,276.47 | 310.48 | — | — | 3.5 | 3.535 | MS | 19,055.56 | 35,000.00 | 3/18/2010 | 3/23/2015 | |||||||||||||||||
22546QAG2 | CREDIT SUISSE NEW YORK NY CORP BND | F | 5,800,000.00 | 100.106 | 5,806,148.18 | 5,800,000.00 | 5,800,000.00 | 6,148.18 | — | — | — | 1.427 | 1.263 | JAJO | 17,468.53 | 43,117.96 | 1/11/2011 | 1/14/2014 | |||||||||||||||||
22546QAH0 | CREDIT SUISSE NEW YORK NY CORP BND | E | 1,997,580.00 | 100.659 | 2,013,186.96 | 2,000,000.00 | 1,998,741.13 | 14,445.83 | 400.40 | — | — | 2.2 | 2.242 | JJ | 20,411.11 | 22,000.00 | 1/11/2011 | 1/14/2014 | |||||||||||||||||
233851AH7 | DAIMLER FINANCE NORTH AMERICA CORP BND | 4,967,500.00 | 103.079 | 5,153,972.65 | 5,000,000.00 | 4,972,386.01 | 181,586.64 | 3,561.92 | — | — | 2.625 | 2.765 | MS | 38,645.83 | 76,562.50 | 9/7/2011 | 9/15/2016 | ||||||||||||||||||
233851AM6 | DAIMLER FINANCE NORTH AMERICA SENIOR | 2,000,000.00 | 100.052 | 2,001,040.04 | 2,000,000.00 | 2,000,000.00 | 1,040.04 | — | — | — | 1.249 | 1.249 | JAJO | 5,621.18 | 5,621.18 | 4/2/2012 | 4/10/2014 | ||||||||||||||||||
233851AN4 | DAIMLER FINANCE NORTH AMERICA SENIOR | 1,998,840.00 | 100.312 | 2,006,248.16 | 2,000,000.00 | 1,998,924.84 | 7,323.32 | 84.84 | — | — | 1.65 | 1.67 | AO | 7,425.00 | 7,425.00 | 4/2/2012 | 4/10/2015 | ||||||||||||||||||
235851AJ1 | DANAHER CORPORATION CORP BND | 2,975,000.00 | 100.3 | 2,983,925.09 | 2,975,000.00 | 2,975,000.00 | 8,925.09 | — | — | — | 0.718 | 0.496 | MJSD | 593.22 | 11,495.92 | 6/20/2011 | 6/21/2013 | ||||||||||||||||||
235851AL6 | DANAHER CORPORATION CORP BND | 3,993,600.00 | 103.746 | 4,149,836.12 | 4,000,000.00 | 3,994,848.47 | 154,987.65 | 415.89 | — | — | 2.3 | 2.334 | JD | 2044.45 | 31,270.42 | 6/20/2011 | 6/23/2016 | ||||||||||||||||||
24422EQM4 | JOHN DEERE CAPITAL CORPORATION CORP BND | 2,009,980.00 | 102.089 | 2,041,780.00 | 2,000,000.00 | 2,001,163.26 | 40,616.74 | (1,225.54 | ) | — | — | 4.95 | 4.821 | JD | 3,850.00 | 49,500.00 | 7/24/2008 | 12/17/2012 | |||||||||||||||||
24422EQY8 | JOHN DEERE CAPITAL CORPORATION CORP BND | 1,123,807.50 | 105.558 | 1,187,532.46 | 1,125,000.00 | 1,124,337.49 | 63,194.97 | 68.71 | — | — | 2.95 | 2.973 | MS | 10,325.00 | 9,679.69 | 3/3/2010 | 3/9/2015 | ||||||||||||||||||
24422ERD3 | JOHN DEERE CAPITAL CORPORATION CORP BND | 1,900,780.90 | 100.282 | 1,905,357.96 | 1,900,000.00 | 1,900,404.42 | 4,953.54 | (193.20 | ) | — | — | 0.617 | 0.328 | JAJO | 2,473.45 | 6,346.22 | 7/7/2011 | 7/15/2013 | |||||||||||||||||
24422ERN1 | JOHN DEERE CAPITAL CORPORATION SENIOR | 10,272,020.25 | 99.863 | 10,260,941.12 | 10,275,000.00 | 10,272,221.53 | (11,280.41 | ) | 167.25 | — | — | 1.4 | 1.406 | MS | 49,548.33 | 39,145.55 | 2/22/2012 | 3/15/2017 | |||||||||||||||||
24422ERS0 | JOHN DEERE CAPITAL CORPORATION CORP BND | 3,998,920.00 | 100.43 | 4,017,210.08 | 4,000,000.00 | 3,998,921.94 | 18,288.14 | 1.94 | — | — | 0.95 | 0.959 | JD | 211.11 | 211.11 | 6/26/2012 | 6/29/2015 | ||||||||||||||||||
24422ERU5 | JOHN DEERE CAPITAL CORPORATION CORP BND | 5,000,000.00 | 100.09 | 5,004,499.45 | 5,000,000.00 | 5,000,000.00 | 4,499.45 | — | — | — | 0.699 | 0.699 | JAJO | 195.93 | 195.93 | 6/26/2012 | 4/25/2014 | ||||||||||||||||||
24702RAP6 | DELL INC CORP BND | 6,668,948.00 | 105.325 | 6,898,777.29 | 6,550,000.00 | 6,643,540.06 | 255,237.23 | (11,711.29 | ) | — | — | 3.1 | 2.697 | AO | 50,762.50 | 101,525.00 | 5/24/2011 | 4/1/2016 | |||||||||||||||||
25156PAQ6 | DEUTSCHE TELEKOM INTL UNSEC CORP BND | F | 3,977,480.00 | 98.988 | 3,959,517.20 | 4,000,000.00 | 3,978,837.26 | (19,320.06 | ) | 1,365.96 | — | — | 2.25 | 2.37 | MS | 28,750.00 | 28,750.00 | 2/28/2012 | 3/6/2017 | ||||||||||||||||
2515A0T45 | DEUTSCHE BK LDN CORP BND | F | 999,020.00 | 100.577 | 1,005,770.10 | 1,000,000.00 | 999,822.60 | 5,947.50 | 166.05 | — | — | 2.375 | 2.409 | JJ | 11,215.28 | 11,875.00 | 1/5/2010 | 1/11/2013 | |||||||||||||||||
25243YAR0 | DIAGEO CAPITAL PLC SENIOR CORP BND | F | 5,376,240.00 | 100.28 | 5,415,131.45 | 5,400,000.00 | 5,376,875.31 | 38,256.14 | 635.31 | — | — | 1.5 | 1.592 | MN | 11,250.00 | 11,250.00 | 5/8/2012 | 5/11/2017 | |||||||||||||||||
25459HAV7 | DIRECTV HOLDINGS LL/DIR TV FIN CORP BND | 3,569,208.75 | 103.982 | 3,665,359.40 | 3,525,000.00 | 3,555,827.98 | 109,531.42 | (4,017.03 | ) | — | — | 3.125 | 2.868 | FA | 41,614.58 | 55,078.13 | 10/15/2010 | 2/15/2016 | |||||||||||||||||
25459HAY1 | DIRECTV HOLDINGS LLC/DIRECTV F SENIOR | 2,994,330.00 | 105.348 | 3,160,453.26 | 3,000,000.00 | 2,995,709.32 | 164,743.94 | 539.41 | — | — | 3.5 | 3.542 | MS | 35,000.00 | 52,500.00 | 3/7/2011 | 3/1/2016 | ||||||||||||||||||
25459HBE4 | DIRECTV HOLDINGS LLC/DIRECTV F SENIOR | 6,101,661.01 | 100.531 | 6,132,374.59 | 6,100,000.00 | 6,101,740.84 | 30,633.75 | 170.05 | — | — | 2.4 | 2.393 | MS | 45,953.34 | 23,706.68 | 6/7/2012 | 3/15/2017 |
254683AC9 | DCENT_07-A1 ABS 07-A1 A1 | 2 | 5,448,691.41 | 121 | 5,445,000.00 | 4,500,000.00 | 5,381,712.31 | 63,287.69 | (66,979.10 | ) | — | — | 5.65 | 1.719 | MON | 11,300.00 | 105,937.50 | 1/26/2012 | 9/15/2017 | ||||||||||||||||
254683AQ8 | DCENT ABS_11-2A A | 2 | 1,400,000.00 | 100.141 | 1,401,973.99 | 1,400,000.00 | 1,400,000.00 | 1973.99 | — | — | — | 0.452 | 0.452 | MON | 281.09 | 3,276.33 | 5/26/2011 | 5/15/2013 | |||||||||||||||||
254683AT2 | DCENT ABS 12-A1 | 2 | 4,998,866.00 | 100.091 | 5,004,525.40 | 5,000,000.00 | 4,998,998.73 | 5,526.67 | 132.73 | — | — | 0.81 | 0.818 | MON | 1,800.00 | 16,087.50 | 2/1/2012 | 2/15/2015 | |||||||||||||||||
254683AV7 | DCENT_12-A3 ABS 12-A3 | 2 | 434,956.76 | 100.126 | 435,546.97 | 435,000.00 | 434,957.41 | 589.56 | 0.65 | — | — | 0.86 | 0.865 | MON | 187.05 | 187.05 | 6/5/2012 | 11/15/2017 | |||||||||||||||||
254683AW5 | DCENT_12-A4 ABS 12-A4 | 2 | 4,000,000.00 | 100.194 | 4,007,760.00 | 4,000,000.00 | 4,000,000.00 | 7,760.00 | — | — | — | 0.611 | 0.611 | MON | 740.00 | 740.00 | 6/5/2012 | 5/15/2015 | |||||||||||||||||
25600WAA8 | DNB NOR BLGKRDIT CORP BND 144A | F | 10,162,969.51 | 101.707 | 10,272,407.81 | 10,100,000.00 | 10,141,400.71 | 131,007.10 | (6,060.17 | ) | — | — | 2.1 | 1.97 | AO | 45,365.83 | 106,050.00 | 7/26/2011 | 10/14/2015 | ||||||||||||||||
25600WAB6 | DNB NOR BLGKRDIT CORP BND 144A | F | 20,478,622.00 | 104.126 | 20,825,199.80 | 20,000,000.00 | 20,476,128.08 | 349,071.72 | (3,467.27 | ) | — | — | 2.9 | 2.363 | MS | 148,222.23 | 130,371.12 | 6/12/2012 | 3/29/2017 | ||||||||||||||||
26138EAM1 | DR PEPPER SNAPPLE GROUP INC CORP BND | 1,423,418.25 | 104.525 | 1,489,486.82 | 1,425,000.00 | 1,423,861.97 | 65,624.85 | 151.48 | — | — | 2.9 | 2.924 | JJ | 19,055.42 | 20,662.50 | 1/6/2011 | 1/15/2016 | ||||||||||||||||||
263534BU2 | EI DUPONT DE NEMOURS & CO CORP BND | 5,332,122.00 | 104.536 | 5,514,279.38 | 5,275,000.00 | 5,295,031.70 | 219,247.68 | (9,562.49 | ) | — | — | 5 | 4.618 | JJ | 121,618.05 | 131,875.00 | 12/21/2009 | 7/15/2013 | |||||||||||||||||
263534CH0 | EI DUPONT DE NEMOURS & CO CORP BND | 11,692,469.20 | 100.808 | 11,754,212.69 | 11,660,000.00 | 11,686,987.29 | 67,225.40 | (3,017.54 | ) | — | — | 0.888 | 0.627 | MJSD | 1,724.90 | 45,646.65 | 6/25/2012 | 3/25/2014 | |||||||||||||||||
264399EM4 | DUKE ENERGY CORP CORP BND | 5,868,267.80 | 113.356 | 5,775,501.19 | 5,095,000.00 | 5,800,010.22 | (24,509.03 | ) | (68,257.58 | ) | — | — | 5.3 | 0.966 | AO | 67,508.75 | 86,813.27 | 3/1/2012 | 10/1/2015 | ||||||||||||||||
26441CAG0 | DUKE ENERGY CORP CORP BND | 4,999,750.00 | 101.76 | 5,088,021.85 | 5,000,000.00 | 4,999,776.97 | 88,244.88 | 21.78 | — | — | 2.15 | 2.151 | MN | 13,736.11 | 53,750.00 | 11/14/2011 | 11/15/2016 | ||||||||||||||||||
26442CAL8 | DUKE ENERGY CAROLINAS LLC CORP BND | 4,033,414.80 | 101.811 | 4,113,161.21 | 4,040,000.00 | 4,034,130.57 | 79,030.64 | 637.65 | — | — | 1.75 | 1.784 | JD | 3,142.22 | 35,350.00 | 12/5/2011 | 12/15/2016 | ||||||||||||||||||
26442EAB6 | DUKE ENERGY OHIO INC CORP BND | 2,874,511.25 | 101.28 | 2,911,803.48 | 2,875,000.00 | 2,874,862.23 | 36,941.25 | 70.58 | — | — | 2.1 | 2.105 | JD | 2,683.33 | 30,187.50 | 12/14/2009 | 6/15/2013 | ||||||||||||||||||
268317AA2 | ELECTRICITE DE FRANCE CORP BND 144A | F | 9,449,250.00 | 105.919 | 9,109,008.97 | 8,600,000.00 | 8,941,333.49 | 167,675.48 | (105,476.93 | ) | — | — | 5.5 | 2.893 | JJ | 203,652.78 | 236,500.00 | 1/6/2010 | 1/26/2014 | ||||||||||||||||
26882PAS1 | ERAC USA FINANCE COMPANY CORP BND 144A | 1,640,475.00 | 109.563 | 1,643,445.39 | 1,500,000.00 | 1,583,768.87 | 59,676.52 | (13,893.71 | ) | — | — | 5.6 | 3.512 | MN | 14,000.00 | 42,000.00 | 5/27/2010 | 5/1/2015 | |||||||||||||||||
26884TAC6 | ERAC USA FINANCE COMPANY CORP BND 144A | 1,247,587.50 | 100.654 | 1,258,179.85 | 1,250,000.00 | 1,248,751.80 | 9,428.05 | 399.69 | — | — | 2.25 | 2.317 | JJ | 13,359.38 | 14,062.50 | 1/4/2011 | 1/10/2014 | ||||||||||||||||||
273323AA3 | EAST LANE RE LTD CORP BND | F | 5,000,000.00 | 101.163 | 5,058,150.00 | 5,000,000.00 | 5,000,000.00 | 58,150.00 | — | — | — | 5.75 | 5.912 | MJSD | 12,777.78 | 145,347.22 | 3/1/2011 | 3/14/2016 | |||||||||||||||||
273323AB1 | EAST LANE RE IV LTD CORP BND 144A | F | 2,000,000.00 | 103.233 | 2,064,660.00 | 2,000,000.00 | 2,000,000.00 | 64,660.00 | — | — | — | 6.65 | 6.704 | MJSD | 5,911.11 | 67,251.52 | 3/1/2011 | 3/13/2017 | |||||||||||||||||
277432AM2 | EASTMAN CHEMICAL COMPANY SENIOR CORP BND | 822,228.00 | 100.787 | 831,491.51 | 825,000.00 | 822,265.14 | 9,226.37 | 37.14 | — | — | 2.4 | 2.472 | JD | 1,430.00 | 1,430.00 | 5/29/2012 | 6/1/2017 | ||||||||||||||||||
278642AB9 | EBAY INC. CORP BND | 3,586,680.00 | 102.166 | 3,677,978.77 | 3,600,000.00 | 3,591,043.79 | 86,934.98 | 1,311.09 | — | — | 1.625 | 1.703 | AO | 12,350.00 | 29,250.00 | 10/21/2010 | 10/15/2015 | ||||||||||||||||||
281379AA5 | EDUSA_10-1 ABS 10-1-A1 144A | 2 | 780,646.00 | 100.462 | 784,252.58 | 780,646.00 | 780,646.00 | 3,606.58 | — | — | — | 1.316 | 1.318 | JAJO | 1911.47 | 5,562.05 | 2/23/2010 | 7/27/2020 | |||||||||||||||||
28264QR63 | EKSPORTFINANS A/S CORP BND | F | 1,063,804.58 | 94.697 | 946,973.18 | 1,000,000.00 | 1,038,210.66 | (91,237.48 | ) | (15,589.71 | ) | — | — | 3 | 1.361 | MN | 3,666.67 | 29,750.01 | 11/12/2010 | 11/17/2014 | |||||||||||||||
285661AD6 | ELECTRONIC DATA SYSTEMS CORP BND | 7,877,170.00 | 104.868 | 7,340,794.44 | 7,000,000.00 | 7,300,158.81 | 40,635.63 | (135,944.78 | ) | — | — | 6 | 1.985 | FA | 175,000.00 | 210,000.00 | 4/30/2010 | 8/1/2013 | |||||||||||||||||
291011AZ7 | EMERSON ELECTRIC CO CORP BND | 3,276,666.54 | 108.129 | 3,460,113.02 | 3,200,000.00 | 3,249,736.64 | 210,376.38 | (8,369.84 | ) | — | — | 4.125 | 3.535 | AO | 27,866.67 | 66,000.00 | 11/12/2010 | 4/15/2015 | |||||||||||||||||
29268BAD3 | ENEL FINANCE INTERNATIONAL SA CORP BND | F | 1,241,598.75 | 98.424 | 1,205,690.03 | 1,225,000.00 | 1,233,680.18 | (27,990.15 | ) | (1,813.50 | ) | — | — | 3.875 | 3.547 | AO | 11,076.04 | 23,734.38 | 3/30/2010 | 10/7/2014 | |||||||||||||||
29364WAP3 | ENTERGY LOUS CORP BND | 824,678.25 | 102.086 | 842,206.09 | 825,000.00 | 824,724.77 | 17,481.32 | 46.52 | — | — | 1.875 | 1.889 | JD | 687.50 | 7,261.72 | 1/5/2012 | 12/15/2014 | ||||||||||||||||||
293791AN9 | ENTERPRISE PROD OPER LP CORP BND | 6,442,930.00 | 109.514 | 6,297,083.52 | 5,750,000.00 | 6,145,563.36 | 151,520.16 | (83,038.78 | ) | — | — | 5.6 | 2.489 | AO | 67,977.77 | 161,000.00 | 10/15/2010 | 10/15/2014 | |||||||||||||||||
298785EK8 | EUROPEAN INVESTMENT BANK SENIOR CORP BND | F | 9,877,400.00 | 101.283 | 9,621,846.81 | 9,500,000.00 | 9,646,380.99 | (24,534.18 | ) | (80,736.62 | ) | — | — | 2.875 | 0.684 | MS | 80,420.14 | 109,609.37 | 6/14/2011 | 3/15/2013 | |||||||||||||||
300141AA6 | EVERGLADES RE LTD UNSEC CORP BND 144A | F | 5,000,000.00 | 103.44 | 5,172,000.00 | 5,000,000.00 | 5,000,000.00 | 172,000.00 | — | — | — | 17.841 | 17.841 | JAJO | 152,847.22 | 152,847.22 | 4/30/2012 | 10/31/2015 | |||||||||||||||||
30250GAA6 | SSGN_10-S1 CMO_10-S1-1A 144A | 2 | 958,445.62 | 100 | 958,445.62 | 958,445.62 | 958,445.62 | — | — | — | — | 0.795 | 0.797 | MON | 650.98 | 3,940.62 | 3/5/2010 | 6/1/2016 | |||||||||||||||||
302570BC9 | NEXTERA ENERGY CAPITAL HOLDING CORP BND | 7,402,175.00 | 118.951 | 7,196,505.73 | 6,050,000.00 | 6,887,460.87 | 309,044.86 | (112,263.46 | ) | — | — | 7.875 | 3.581 | JD | 21,175.00 | 238,218.75 | 2/17/2010 | 12/15/2015 | |||||||||||||||||
3128JLHB8 | FHLMC POOL # 1B1225 | 2 | 67,850.18 | 106.593 | 73,447.47 | 68,904.41 | 67,897.68 | 5,549.79 | 46.05 | — | — | 2.5 | 2.809 | MON | 143.55 | 881.04 | 4/2/2007 | 9/1/2033 | |||||||||||||||||
3128JMW45 | FHLMC POOL # 1B2566 | 2 | 95,433.72 | 106.196 | 102,143.77 | 96,183.95 | 95,460.46 | 6,683.31 | 61.10 | — | — | 2.651 | 2.76 | MON | 212.49 | 1,316.54 | 4/2/2007 | 11/1/2034 |
3128JMXM4 | FHLMC POOL # 1B2583 | 2 | 1,618,356.78 | 105.06 | 1,719,121.62 | 1,636,323.64 | 1,619,186.06 | 99,935.56 | 1,654.75 | — | — | 2.65 | 2.836 | MON | 3,613.55 | 22,828.36 | 9/17/2008 | 10/1/2034 | |||||||||||||||||
3128JMY68 | FHLMC POOL # 1B2632 | 2 | 120,287.40 | 108.268 | 131,256.49 | 121,233.03 | 120,319.13 | 10,937.36 | 109.34 | — | — | 2.744 | 2.855 | MON | 277.22 | 1,750.37 | 4/3/2007 | 11/1/2034 | |||||||||||||||||
3128JMZG5 | FHLMC POOL # 1B2642 | 2 | 171,945.05 | 107.133 | 185,657.32 | 173,296.81 | 171,990.87 | 13,666.45 | 81.33 | — | — | 2.664 | 2.777 | MON | 384.72 | 2,349.69 | 4/2/2007 | 11/1/2034 | |||||||||||||||||
3128JNAL9 | FHLMC POOL # 1B2810 | 2 | 182,081.28 | 107.45 | 197,682.70 | 183,976.23 | 182,149.03 | 15,533.67 | 143.91 | — | — | 2.861 | 3.031 | MON | 438.63 | 2,657.40 | 4/2/2007 | 2/1/2035 | |||||||||||||||||
3128JR6Z4 | FHLMC POOL # 848088 | 2 | 8,958,356.57 | 106.594 | 9,087,578.16 | 8,525,424.86 | 8,947,571.85 | 140,006.31 | (36,447.58 | ) | — | — | 2.37 | 1.332 | MON | 16,837.71 | 105,902.52 | 3/8/2011 | 4/1/2035 | ||||||||||||||||
3128JRJS6 | FHLMC POOL # 847473 | 2 | 2,097,012.89 | 104.06 | 2,231,900.78 | 2,105,566.77 | 2,097,156.86 | 134,743.92 | 247.40 | — | — | 2.355 | 2.389 | MON | 4,132.17 | 4,132.17 | 9/26/2007 | 12/1/2035 | |||||||||||||||||
3128JRKQ8 | FHLMC POOL # 847503 | 2 | 1,045,014.40 | 106.298 | 1,137,399.31 | 1,070,009.15 | 1,046,175.34 | 91,223.97 | 1,497.30 | — | — | 2.624 | 3.113 | MON | 2,339.75 | 14,101.71 | 5/31/2006 | 12/1/2035 | |||||||||||||||||
3128JRP26 | FHLMC POOL # 847641 | 2 | 555,318.78 | 103.178 | 596,518.54 | 559,797.16 | 555,492.66 | 41,025.88 | 151.14 | — | — | 2.58 | 2.704 | MON | 1,203.56 | 5,264.41 | 2/22/2012 | 12/1/2033 | |||||||||||||||||
3128JRPZ3 | FHLMC POOL # 847640 | 2 | 365,996.50 | 103.204 | 394,625.58 | 368,002.10 | 366,038.79 | 28,586.79 | 182.61 | — | — | 2.877 | 2.934 | MON | 882.29 | 5,234.48 | 11/13/2006 | 5/1/2036 | |||||||||||||||||
3128KW5Q2 | FHLMC GOLD POOL # A66255 | 2 | 1,736,939.46 | 104.722 | 1,898,280.84 | 1,717,218.29 | 1,736,118.20 | 162,162.64 | (3,409.34 | ) | — | — | 6 | 5.664 | MON | 8,586.09 | 53,877.03 | 11/2/2007 | 9/1/2037 | ||||||||||||||||
3128KWBZ5 | FHLMC GOLD POOL # A65456 | 2 | 20,586.64 | 110.825 | 21,957.47 | 19,812.71 | 20,560.97 | 1,396.50 | (65.94 | ) | — | — | 6 | 4.92 | MON | 99.06 | 597.18 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KWFX6 | FHLMC GOLD POOL # A65582 | 2 | 48,985.25 | 110.825 | 52,247.09 | 47,143.69 | 48,925.05 | 3,322.04 | (126.37 | ) | — | — | 6 | 4.899 | MON | 235.72 | 1,456.46 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KWFY4 | FHLMC GOLD POOL # A65583 | 2 | 64,635.57 | 110.825 | 68,939.56 | 62,205.67 | 64,555.77 | 4,383.79 | (401.03 | ) | — | — | 6 | 4.923 | MON | 311.03 | 2046.33 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KWNV1 | FHLMC GOLD POOL # A65804 | 2 | 2,051,485.53 | 104.94 | 2,240,143.13 | 2,028,193.01 | 2,050,526.26 | 189,616.87 | (10,663.43 | ) | — | — | 6 | 5.654 | MON | 10,140.97 | 71,303.25 | 11/2/2007 | 9/1/2037 | ||||||||||||||||
3128KWNX7 | FHLMC GOLD POOL # A65806 | 2 | 2,104,944.74 | 104.94 | 2,298,518.54 | 2,081,045.25 | 2,103,955.68 | 194,562.86 | (4,463.17 | ) | — | — | 6 | 5.667 | MON | 10,405.23 | 66,056.81 | 11/2/2007 | 9/1/2037 | ||||||||||||||||
3128KWT29 | FHLMC GOLD POOL # A65969 | 2 | 44,758.18 | 110.825 | 47,738.56 | 43,075.55 | 44,703.03 | 3,035.53 | (160.35 | ) | — | — | 6 | 4.906 | MON | 215.38 | 1,335.13 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KWTK9 | FHLMC GOLD POOL # A65954 | 2 | 61,463.78 | 110.825 | 65,556.55 | 59,153.11 | 61,387.36 | 4,169.19 | (426.05 | ) | — | — | 6 | 4.95 | MON | 295.77 | 1966.81 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KWTP8 | FHLMC GOLD POOL # A65958 | 2 | 55,237.04 | 110.825 | 58,915.21 | 53,160.48 | 55,169.63 | 3,745.58 | (365.50 | ) | — | — | 6 | 4.889 | MON | 265.80 | 1,769.71 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KWTZ6 | FHLMC GOLD POOL # A65968 | 2 | 42,756.96 | 110.825 | 45,604.09 | 41,149.57 | 42,704.18 | 2,899.91 | (206.12 | ) | — | — | 6 | 4.901 | MON | 205.75 | 1,324.32 | 2/4/2009 | 9/1/2037 | ||||||||||||||||
3128KYXE4 | FHLMC GOLD POOL # A67877 | 2 | 28,498.77 | 110.825 | 30,396.47 | 27,427.40 | 28,462.20 | 1934.27 | (141.47 | ) | — | — | 6 | 4.938 | MON | 137.14 | 871.00 | 2/4/2009 | 4/1/2037 | ||||||||||||||||
3128M4HY2 | FHLMC GOLD POOL # G02647 | 2 | 1,741,378.38 | 103.318 | 1,914,484.61 | 1,765,376.48 | 1,742,083.18 | 172,401.43 | 5,890.46 | — | — | 5.5 | 6.061 | MON | 8,091.31 | 54,217.20 | 4/9/2007 | 2/1/2037 | |||||||||||||||||
3128M4ZG1 | FHLMC GOLD POOL # G03143 | 2 | 5,288.94 | 110.825 | 5,641.09 | 5,090.08 | 5,282.33 | 358.76 | (18.35 | ) | — | — | 6 | 4.9 | MON | 25.45 | 158.67 | 2/4/2009 | 7/1/2037 | ||||||||||||||||
3128M5HK9 | FHLMC GOLD POOL # G03534 | 2 | 10,200,165.38 | 106.822 | 11,220,929.11 | 9,925,658.83 | 10,189,837.64 | 1,031,091.47 | (36,859.81 | ) | — | — | 6.5 | 5.693 | MON | 53,763.98 | 341,345.22 | 11/6/2007 | 10/1/2037 | ||||||||||||||||
3128M6UB2 | FHLMC GOLD POOL # G04778 | 2 | 129,114.90 | 110.825 | 137,712.45 | 124,260.96 | 128,957.39 | 8,755.06 | (689.73 | ) | — | — | 6 | 4.996 | MON | 621.30 | 3,937.45 | 2/4/2009 | 7/1/2038 | ||||||||||||||||
3128M7AZ9 | FHLMC GOLD POOL # G05124 | 2 | 356,702.04 | 110.825 | 380,454.25 | 343,292.20 | 356,278.59 | 24,175.66 | (1,627.56 | ) | — | — | 6 | 5.005 | MON | 1,716.46 | 10,843.48 | 2/4/2009 | 12/1/2038 | ||||||||||||||||
3128MBBR7 | FHLMC GOLD POOL # G12548 | 2 | 1,278,813.14 | 104.5 | 1,386,907.20 | 1,276,021.84 | 1,277,984.00 | 108,923.20 | (665.55 | ) | — | — | 5.5 | 5.389 | MON | 5,848.43 | 38,443.99 | 3/30/2007 | 1/1/2022 | ||||||||||||||||
3128MCRQ0 | FHLMC GOLD POOL # G13895 | 2 | 5,011,648.97 | 107.686 | 5,013,026.32 | 4,655,232.72 | 4,989,401.54 | 23,624.78 | (88,647.45 | ) | — | — | 5 | 2.108 | MON | 19,396.80 | 126,064.44 | 11/10/2011 | 11/1/2019 | ||||||||||||||||
3128MJQ37 | FHLMC GOLD POOL # G08473 | 2 | 1,387,099.86 | 104.984 | 1,407,205.59 | 1,340,395.45 | 1,386,281.46 | 20,924.13 | (1,625.25 | ) | — | — | 3.5 | 2.568 | MON | 3,909.49 | 18,809.82 | 2/3/2012 | 1/1/2042 | ||||||||||||||||
3128MTB72 | FHLMC GOLD POOL # H00962 | 2 | 186,074.12 | 105.947 | 202,660.75 | 182,495.51 | 185,941.87 | 16,718.88 | (652.22 | ) | — | — | 6.5 | 5.807 | MON | 988.52 | 6,426.07 | 10/31/2007 | 7/1/2037 | ||||||||||||||||
3128MTEE4 | FHLMC GOLD POOL # H01033 | 2 | 4,766,334.13 | 105.947 | 5,191,204.22 | 4,674,666.82 | 4,762,918.80 | 428,285.42 | (28,695.56 | ) | — | — | 6.5 | 5.831 | MON | 25,321.11 | 179,563.33 | 10/31/2007 | 7/1/2037 | ||||||||||||||||
3128MTF29 | FHLMC GOLD POOL # H01085 | 2 | 1,734,870.04 | 105.947 | 1,889,516.04 | 1,701,504.61 | 1,733,508.18 | 156,007.86 | (22,154.35 | ) | — | — | 6.5 | 5.968 | MON | 9,216.48 | 77,245.13 | 10/31/2007 | 7/1/2037 | ||||||||||||||||
3128NCB37 | FHLMC POOL # 1G0058 | 2 | 251,160.59 | 105.38 | 265,294.81 | 251,750.63 | 251,147.78 | 14,147.03 | 35.27 | — | — | 2.756 | 2.75 | MON | 578.19 | 3,545.21 | 9/17/2008 | 1/1/2035 | |||||||||||||||||
3128NCD68 | FHLMC POOL # 1G0125 | 2 | 2,123,249.24 | 102.031 | 2,319,783.65 | 2,168,655.47 | 2,126,052.77 | 193,730.88 | 104.04 | — | — | 2.732 | 3.098 | MON | 4,937.31 | 987.47 | 12/13/2005 | 3/1/2035 | |||||||||||||||||
3128NCMS0 | FHLMC POOL # 1G0369 | 2 | 400,147.77 | 106.687 | 424,783.18 | 398,157.01 | 399,993.09 | 24,790.09 | (201.99 | ) | — | — | 2.48 | 2.335 | MON | 822.86 | 5,027.25 | 8/27/2008 | 10/1/2035 |
3128PV4J6 | FHLMC GOLD POOL # J16225 | 2 | 3,084,539.57 | — | 3,154,708.87 | 2,919,842.22 | 3,078,846.79 | 75,862.08 | (13,336.66 | ) | — | — | 4 | 2.376 | MON | 9,732.81 | 60,328.68 | 8/2/2011 | 8/1/2026 | ||||||||||||||||
3128PVWH9 | FHLMC GOLD POOL # J16048 | 2 | 8,779,016.70 | — | 8,978,728.02 | 8,310,265.78 | 8,762,272.18 | 216,455.84 | (36,499.65 | ) | — | — | 4 | 2.442 | MON | 27,700.89 | 171,615.90 | 8/2/2011 | 7/1/2026 | ||||||||||||||||
3128QJ3B0 | FHLMC POOL # 1G1694 | 2 | 1,916,514.34 | 106.75 | 2,076,622.80 | 1,945,314.10 | 1,917,436.56 | 159,186.24 | 72.67 | — | — | 2.767 | 3.051 | MON | 4,485.57 | 897.11 | 8/10/2007 | 4/1/2037 | |||||||||||||||||
3128QJLG9 | FHLMC POOL # 1G1227 | 2 | 333,941.07 | 104.309 | 347,329.29 | 327,393.22 | 333,609.39 | 13,719.90 | (658.80 | ) | — | — | 2.643 | 2.148 | MON | 721.08 | 4,474.09 | 1/4/2008 | 10/1/2036 | ||||||||||||||||
3128QJRN8 | FHLMC POOL # 1G1393 | 2 | 2,182,347.41 | 104.81 | 2,195,463.33 | 2,094,707.88 | 2,180,669.96 | 14,793.37 | (7,356.63 | ) | — | — | 2.819 | 1.729 | MON | 4,920.81 | 4,920.81 | 3/9/2012 | 12/1/2036 | ||||||||||||||||
312929CM2 | FHLMC GOLD POOL # A82776 | 2 | 13,542.04 | 110.825 | 14,443.77 | 13,032.93 | 13,526.62 | 917.15 | (82.49 | ) | — | — | 6 | 4.884 | MON | 65.16 | 418.38 | 2/4/2009 | 1/1/2039 | ||||||||||||||||
31292KJH1 | FHLMC GOLD POOL # C02964 | 2 | 2,655.35 | 110.825 | 2,832.15 | 2,555.51 | 2,652.07 | 180.08 | (11.97 | ) | — | — | 6 | 4.866 | MON | 12.78 | 80.33 | 2/4/2009 | 7/1/2037 | ||||||||||||||||
312930LH1 | FHLMC GOLD POOL # A83928 | 2 | 38,853.66 | 110.825 | 41,440.87 | 37,393.00 | 38,806.27 | 2,634.60 | (167.17 | ) | — | — | 6 | 5.079 | MON | 186.97 | 1,172.01 | 2/4/2009 | 1/1/2039 | ||||||||||||||||
312930LQ1 | FHLMC GOLD POOL # A83935 | 2 | 63,762.07 | 110.825 | 68,007.88 | 61,365.00 | 63,683.30 | 4,324.58 | (31.31 | ) | — | — | 6 | 5.108 | MON | 306.83 | 1,846.57 | 2/4/2009 | 1/1/2039 | ||||||||||||||||
312930RC6 | FHLMC GOLD POOL # A84083 | 2 | 34,806.90 | 110.825 | 37,124.64 | 33,498.38 | 34,760.33 | 2,364.31 | (184.76 | ) | — | — | 6 | 5.195 | MON | 167.49 | 1,061.29 | 2/4/2009 | 1/1/2039 | ||||||||||||||||
312930RV4 | FHLMC GOLD POOL # A84100 | 2 | 16,443.30 | 110.825 | 17,538.24 | 15,825.14 | 16,424.18 | 1,114.06 | (96.14 | ) | — | — | 6 | 4.961 | MON | 79.13 | 506.05 | 2/4/2009 | 1/1/2039 | ||||||||||||||||
312930TB6 | FHLMC GOLD POOL # A84146 | 2 | 18,865.77 | 110.825 | 20,122.02 | 18,156.54 | 18,843.79 | 1,278.23 | (9.63 | ) | — | — | 6 | 4.979 | MON | 90.78 | 546.81 | 2/4/2009 | 1/1/2039 | ||||||||||||||||
31295NXK9 | FHLMC POOL # 789682 | 2 | 41,009.28 | 102.028 | 43,391.87 | 41,246.12 | 41,018.49 | 2,373.38 | 5.44 | — | — | 2.352 | 2.427 | MON | 80.84 | 488.86 | 8/10/2006 | 9/1/2032 | |||||||||||||||||
3132GLQP2 | FHLMC GOLD POOL # Q05262 | 2 | 4,924,929.84 | 104.955 | 4,994,906.53 | 4,759,104.79 | 4,922,091.26 | 72,815.27 | (6,397.16 | ) | — | — | 3.5 | 2.594 | MON | 13,880.72 | 66,863.21 | 2/3/2012 | 12/1/2041 | ||||||||||||||||
31331GVD8 | FEDERAL FARM CREDIT BANK AGENCY BND | 2,284,046.00 | 101.5 | 2,324,341.76 | 2,290,000.00 | 2,288,783.87 | 35,557.89 | 774.43 | — | — | 2.2 | 2.27 | AO | 11,615.39 | 25,190.00 | 5/4/2009 | 4/8/2013 | ||||||||||||||||||
31331JG49 | FEDERAL FARM CREDIT BANK AGENCY BND | 4,994,150.00 | 100.071 | 5,003,547.95 | 5,000,000.00 | 4,998,630.01 | 4,917.94 | 1,257.70 | — | — | 0.282 | 0.347 | MON | 626.11 | 7,407.12 | 9/17/2010 | 1/15/2013 | ||||||||||||||||||
31331K2T6 | FEDERAL FARM CREDIT BANK AGENCY BND | 1,800,000.00 | 100.276 | 1,804,961.90 | 1,800,000.00 | 1,800,000.00 | 4,961.90 | — | — | — | 0.41 | 0.35 | MJSD | 383.00 | 3,040.00 | 1/27/2012 | 6/13/2014 | ||||||||||||||||||
31331KEF3 | FEDERAL FARM CREDIT BANK AGENCY BND | 1,999,640.00 | 99.976 | 1,999,516.34 | 2,000,000.00 | 1,999,846.04 | (329.70 | ) | 96.44 | — | — | 0.213 | 0.177 | MON | 165.48 | 2,252.92 | 6/7/2011 | 4/17/2013 | |||||||||||||||||
31331KHV5 | FEDERAL FARM CREDIT BANK AGENCY BND | 998,457.50 | 99.962 | 999,615.87 | 1,000,000.00 | 998,757.33 | 858.54 | 161.50 | — | — | 0.314 | 0.289 | MON | 95.87 | 1,632.78 | 7/28/2011 | 4/20/2016 | ||||||||||||||||||
31331KKH2 | FEDERAL FARM CREDIT BANK AGENCY BND | 2,499,022.50 | 100.064 | 2,501,610.28 | 2,500,000.00 | 2,499,529.43 | 2080.85 | 220.49 | — | — | 0.215 | 0.194 | MON | 104.64 | 2,832.25 | 5/5/2011 | 7/24/2013 | ||||||||||||||||||
313371PC4 | FHLB UNSEC AGENCY BND | 2,524,200.00 | 100.969 | 2,524,225.05 | 2,500,000.00 | 2,523,881.91 | 343.14 | (318.09 | ) | — | — | 0.875 | 0.482 | JD | 1,154.51 | 729.16 | 6/18/2012 | 12/12/2014 | |||||||||||||||||
313372VR2 | FHLB AGENCY BND | 10,112,500.00 | 101.171 | 10,117,142.10 | 10,000,000.00 | 10,070,022.58 | 47,119.52 | (23,087.29 | ) | — | — | 1.2 | 0.729 | JD | 333.33 | 60,000.00 | 7/29/2011 | 12/30/2013 | |||||||||||||||||
313373JR4 | FHLB AGENCY BND | 3,265,491.27 | 101.888 | 3,270,604.80 | 3,210,000.00 | 3,247,170.76 | 23,434.04 | (9,635.00 | ) | — | — | 1.375 | 0.762 | MN | 4,045.94 | 22,068.75 | 7/18/2011 | 5/28/2014 | |||||||||||||||||
313376GY5 | FHLB AGENCY BND | 2,002,860.00 | 100.056 | 2,001,120.14 | 2,000,000.00 | 2,002,003.34 | (883.20 | ) | (856.66 | ) | — | — | 0.33 | 0.23 | MN | 568.33 | 2,841.66 | 1/25/2012 | 7/1/2013 | ||||||||||||||||
3133TJP56 | FHLMC CMO AGENCY CMO_2130 QS | 2 | 1,592,745.84 | 110.406 | 1,734,095.84 | 1,570,658.46 | 1,590,083.02 | 144,012.82 | (4,254.30 | ) | — | — | 6 | 5.564 | MON | 7,853.29 | 45,212.50 | 2/6/2007 | 7/1/2026 | ||||||||||||||||
3133XSP93 | FHLB AGENCY BND | 3,612,678.30 | 103.993 | 3,603,357.31 | 3,465,000.00 | 3,519,362.17 | 83,995.14 | (18,272.91 | ) | — | — | 3.125 | 2.022 | JD | 5,414.06 | 54,140.63 | 11/25/2009 | 12/13/2013 | |||||||||||||||||
3133XUE41 | FHLB AGENCY BND | 9,074,241.00 | 100.222 | 9,019,980.00 | 9,000,000.00 | 9,004,199.71 | 15,780.29 | (14,624.00 | ) | — | — | 1.75 | 1.421 | FA | 56,437.50 | 78,750.00 | 1/28/2010 | 8/22/2012 | |||||||||||||||||
3133XWE70 | FHLB AGENCY BND | 7,454,591.35 | 103.976 | 7,689,025.06 | 7,395,000.00 | 7,458,024.45 | 231,000.61 | 250.47 | — | — | 2.5 | 2.047 | JD | 9,243.75 | 72,560.42 | 6/22/2012 | 6/13/2014 | ||||||||||||||||||
3133XWKV0 | FHLB AGENCY BND | 1,809,325.00 | 103.345 | 1,808,537.52 | 1,750,000.00 | 1,809,044.46 | (506.94 | ) | (280.54 | ) | — | — | 2.375 | 0.385 | MS | 12,353.30 | 346.36 | 6/27/2012 | 3/14/2014 | ||||||||||||||||
3133XX7F8 | FHLB AGENCY BND | 6,987,260.00 | 100.993 | 7,069,510.00 | 7,000,000.00 | 6,996,962.05 | 72,547.95 | 2076.59 | — | — | 1.625 | 1.686 | MS | 31,777.77 | 56,875.00 | 2/18/2010 | 3/20/2013 | ||||||||||||||||||
3133XXYX9 | FHLB AGENCY BND | 9,188,566.41 | 101.559 | 9,064,140.58 | 8,925,000.00 | 9,063,129.27 | 1,011.31 | (70,472.35 | ) | — | — | 1.875 | 0.281 | JD | 4,648.44 | 83,671.88 | 8/10/2011 | 6/21/2013 | |||||||||||||||||
31342A6F1 | FHLMC POOL # 780870 | 2 | 399,033.93 | 106.463 | 431,422.87 | 405,234.01 | 399,342.02 | 32,080.85 | 384.69 | — | — | 2.365 | 2.657 | MON | 798.65 | 3,493.75 | 2/22/2012 | 9/1/2033 | |||||||||||||||||
31342AZE2 | FHLMC POOL # 780741 | 2 | 599,030.33 | 106.125 | 616,176.60 | 580,613.99 | 598,279.93 | 17,896.67 | (1,764.71 | ) | — | — | 2.435 | 1.639 | MON | 1,178.16 | 7,418.45 | 11/16/2009 | 7/1/2033 | ||||||||||||||||
31349SJK0 | FHLMC POOL # 781166 | 2 | 840,334.47 | 102.249 | 909,125.44 | 854,249.39 | 841,176.85 | 67,948.59 | 1,576.09 | — | — | 2.355 | 2.652 | MON | 1,676.46 | 10,343.78 | 1/9/2006 | 1/1/2034 |
31349UCW6 | FHLMC POOL # 782785 | 2 | 176,505.32 | 105.962 | 188,498.14 | 177,892.92 | 176,559.46 | 11,938.68 | 98.11 | — | — | 2.232 | 2.35 | MON | 330.88 | 2044.86 | 4/2/2007 | 10/1/2034 | |||||||||||||||||
31349UEJ3 | FHLMC POOL # 782837 | 2 | 345,820.16 | 105.724 | 368,487.70 | 348,538.76 | 345,927.05 | 22,560.65 | 245.89 | — | — | 2.375 | 2.486 | MON | 689.82 | 4,270.19 | 4/2/2007 | 11/1/2034 | |||||||||||||||||
31349UJL3 | FHLMC GOLD POOL # 782967 | 2 | 110,864.64 | 105.8 | 119,062.13 | 112,535.09 | 110,942.54 | 8,119.59 | 89.89 | — | — | 2.375 | 2.626 | MON | 222.73 | 1,372.75 | 9/30/2008 | 1/1/2035 | |||||||||||||||||
31349ULB2 | FHLMC POOL # 783022 | 2 | 341,011.66 | 105.71 | 363,701.97 | 344,056.55 | 341,139.35 | 22,562.62 | 273.25 | — | — | 2.372 | 2.503 | MON | 680.09 | 4,317.02 | 4/2/2007 | 2/1/2035 | |||||||||||||||||
3134G2MJ8 | FHLMC AGENCY BND | 14,685,125.07 | 100.029 | 14,704,265.35 | 14,700,000.00 | 14,692,848.52 | 11,416.83 | 3,702.73 | — | — | 0.193 | 0.185 | MON | 1,101.89 | 15,264.07 | 6/9/2011 | 6/17/2013 | ||||||||||||||||||
3134G2U42 | FHLMC AGENCY BND | 6,743,392.79 | 100.039 | 6,762,636.48 | 6,760,000.00 | 6,749,303.80 | 13,332.68 | 3,950.24 | — | — | 0.375 | 0.498 | AO | 5,351.67 | 12,037.50 | 10/18/2011 | 10/15/2013 | ||||||||||||||||||
3134G2UA8 | FHLMC AGENCY BND | 19,167,610.00 | 101.234 | 19,234,461.72 | 19,000,000.00 | 19,131,457.53 | 103,004.19 | (28,763.13 | ) | — | — | 1 | 0.673 | FA | 69,138.88 | 90,466.66 | 1/17/2012 | 8/20/2014 | |||||||||||||||||
3134G2WG3 | FHLMC AGENCY BND | 1,704,960.60 | 100.574 | 1,709,757.83 | 1,700,000.00 | 1,703,599.16 | 6,158.67 | (796.69 | ) | — | — | 0.75 | 0.654 | MS | 3,506.25 | 6,375.00 | 8/24/2011 | 9/22/2014 | |||||||||||||||||
3134G3LA6 | FHLMC AGENCY BND | 2,100,663.18 | 100.052 | 2,101,092.04 | 2,100,000.00 | 2,100,527.99 | 564.05 | (135.19 | ) | — | — | 0.375 | 0.36 | FA | 3,456.25 | 3,368.75 | 1/26/2012 | 2/27/2014 | |||||||||||||||||
3134G3NL0 | FHLMC AGENCY BND | 1 | 5,991,600.00 | 99.966 | 5,997,937.26 | 6,000,000.00 | 5,992,577.91 | 5,359.35 | 45.84 | — | — | 0.5 | 0.547 | FA | 10,583.33 | 500.00 | 2/6/2012 | 2/24/2015 | |||||||||||||||||
31359MA45 | FNMA AGENCY BND | 10,962,357.43 | 112.462 | 11,246,199.80 | 10,000,000.00 | 10,538,902.89 | 707,296.91 | (91,521.70 | ) | — | — | 5 | 2.972 | AO | 105,555.56 | 250,000.00 | 2/19/2010 | 4/15/2015 | |||||||||||||||||
31359MRK1 | FNMA AGENCY BND | 3,126,550.66 | 103.427 | 3,102,810.00 | 3,000,000.00 | 3,034,250.48 | 68,559.52 | (20,042.85 | ) | — | — | 4.625 | 3.225 | MN | 23,125.00 | 69,375.00 | 2/19/2010 | 5/1/2013 | |||||||||||||||||
31359MZC0 | FNMA AGENCY BND | 5,904,904.90 | 112.347 | 5,954,390.58 | 5,300,000.00 | 5,687,425.11 | 266,965.47 | (9,651.67 | ) | — | — | 4.375 | 2.065 | AO | 48,951.39 | 19,322.92 | 7/16/2010 | 10/15/2015 | |||||||||||||||||
3135G0CL5 | FNMA AGENCY BND | 14,292,278.00 | 100.169 | 14,324,145.98 | 14,300,000.00 | 14,296,126.14 | 28,019.84 | 2,197.11 | — | — | 0.376 | 0.406 | FMAN | 6,718.32 | 28,212.14 | 12/14/2011 | 5/17/2013 | ||||||||||||||||||
3135G0EL3 | FNMA AGENCY BND | 1 | 6,399,360.00 | 100.118 | 6,407,575.10 | 6,400,000.00 | 6,399,577.29 | 7,997.81 | 158.86 | — | — | 0.6 | 0.605 | AO | 7,040.00 | 19,200.00 | 10/25/2011 | 10/25/2013 | |||||||||||||||||
3136A4ZN2 | FNMA_12-M2 AGENCY CMO 12-25 | 2 | 2,472,707.56 | 102.297 | 2,451,365.28 | 2,396,324.70 | 2,453,107.00 | (1,741.72 | ) | (48,405.20 | ) | — | — | 6.5 | 1.827 | MON | 12,980.09 | 60,600.43 | 2/16/2012 | 8/1/2013 | |||||||||||||||
3136FRX73 | FNMA AGENCY BND | 1 | 6,999,930.00 | 100.606 | 7,042,431.55 | 7,000,000.00 | 6,999,943.95 | 42,487.60 | 0.28 | — | — | 1 | 1 | MS | 21,777.78 | 388.89 | 8/31/2011 | 9/9/2015 | |||||||||||||||||
3136G0FF3 | FEDERAL NATIONAL MTG ASSN AGENCY BND | 1 | 4,748,812.50 | 99.872 | 4,743,920.10 | 4,750,000.00 | 4,748,879.30 | (4,959.20 | ) | 66.80 | — | — | 0.5 | 0.51 | AO | 4,024.31 | 3,298.62 | 5/9/2012 | 10/30/2014 | ||||||||||||||||
31371NAC9 | FNMA POOL # 256603 | 2 | 807,370.04 | 108.742 | 877,126.09 | 806,613.84 | 806,936.99 | 70,189.10 | (117.49 | ) | — | — | 5.5 | 5.377 | MON | 3,696.98 | 13,080.15 | 7/17/2008 | 2/1/2022 | ||||||||||||||||
31371NE35 | FNMA POOL # 256754 | 2 | 312,341.96 | — | 320,420.91 | 294,662.24 | 310,649.88 | 9,771.03 | (113.84 | ) | — | — | 5.5 | 3.029 | MON | 1,350.54 | 90.04 | 9/29/2009 | 6/1/2022 | ||||||||||||||||
3137A7SR2 | FHLMC CMO_3824 FA | 2 | 3,722,860.14 | 99.938 | 3,720,533.35 | 3,722,860.14 | 3,722,860.14 | (2,326.79 | ) | — | — | — | 0.392 | 0.392 | MON | 648.19 | 243.07 | 2/28/2011 | 12/15/2017 | ||||||||||||||||
3137EABX6 | FHLMC AGENCY BND | 5,007,563.09 | 103.266 | 5,163,299.95 | 5,000,000.00 | 5,003,066.37 | 160,233.58 | (986.09 | ) | — | — | 2.5 | 2.459 | JJ | 60,416.67 | 62,500.00 | 2/19/2010 | 1/7/2014 | |||||||||||||||||
3137EACH0 | FHLMC AGENCY BND | 8,563,258.24 | 106.255 | 8,500,399.76 | 8,000,000.00 | 8,450,574.61 | 49,825.15 | (50,299.91 | ) | — | — | 2.875 | 0.691 | FA | 90,722.22 | 67,083.33 | 11/2/2011 | 2/9/2015 | |||||||||||||||||
3137EACV9 | FHLMC AGENCY BND | 5,068,250.00 | 101.256 | 5,062,800.20 | 5,000,000.00 | 5,048,502.92 | 14,297.28 | (11,126.75 | ) | — | — | 1 | 0.547 | FA | 17,222.22 | 25,000.00 | 8/9/2011 | 8/27/2014 | |||||||||||||||||
3137EACX5 | FHLMC AGENCY AGENCY BND | 7,975,120.00 | 100.04 | 8,003,200.72 | 8,000,000.00 | 7,982,997.93 | 20,202.79 | 3,727.50 | — | — | 0.375 | 0.536 | AO | 5,083.33 | 8,750.00 | 11/17/2011 | 10/30/2013 | ||||||||||||||||||
3137EACY3 | FHLMC AGENCY BND | 17,056,310.00 | 100.732 | 17,124,440.34 | 17,000,000.00 | 17,050,988.97 | 73,451.37 | (5,292.60 | ) | — | — | 0.75 | 0.624 | MN | 12,645.83 | 33,687.50 | 4/4/2012 | 11/25/2014 | |||||||||||||||||
31385W2S7 | FNMA POOL # 555285 | 2 | 3,539,026.91 | 111.079 | 3,567,659.16 | 3,211,822.50 | 3,530,039.87 | 37,619.29 | (56,125.04 | ) | — | — | 6 | 2.672 | MON | 16,059.12 | 103,043.83 | 1/5/2011 | 3/1/2033 | ||||||||||||||||
31385XAZ0 | FNMA POOL # 555424 | 2 | 4,613,667.49 | 109.74 | 4,651,330.56 | 4,238,494.50 | 4,605,931.05 | 45,399.51 | (63,203.68 | ) | — | — | 5.5 | 2.112 | MON | 19,426.43 | 95,347.50 | 1/25/2012 | 5/1/2033 | ||||||||||||||||
31385XEW3 | FNMA POOL # 555549 | 2 | 224,382.90 | 104.727 | 243,847.53 | 226,220.94 | 224,676.64 | 19,170.89 | 389.03 | — | — | 5 | 5.228 | MON | 942.59 | 6,134.93 | 12/14/2007 | 6/1/2018 | |||||||||||||||||
31385XK48 | FNMA POOL # 555715 | 2 | 109,419.60 | 106.499 | 117,571.79 | 110,396.59 | 109,469.40 | 8,102.39 | 53.40 | — | — | 2.354 | 2.534 | MON | 216.56 | 1,351.50 | 4/2/2007 | 7/1/2033 | |||||||||||||||||
3138A9YZ1 | FNMA POOL # AH7927 | 2 | 3,611,667.12 | 105.767 | 3,690,231.00 | 3,489,006.73 | 3,607,801.78 | 82,429.22 | (40,330.07 | ) | — | — | 3.5 | 1.966 | MON | 10,176.27 | 67,700.03 | 8/3/2011 | 8/1/2026 | ||||||||||||||||
3138ATD31 | FNMA POOL# AJ1921 | 2 | 742,105.99 | 107.516 | 747,701.44 | 695,435.74 | 741,636.98 | 6,064.46 | (2,653.01 | ) | — | — | 4.5 | 2.221 | MON | 2,607.88 | 15,976.78 | 9/20/2011 | 9/1/2041 | ||||||||||||||||
3138E9KT6 | FNMA POOL # AK4805 | 2 | 154,268.12 | 104.855 | 155,070.95 | 147,890.35 | 154,189.60 | 881.35 | (109.90 | ) | — | — | 3 | 1.861 | MON | 369.73 | 543.12 | 4/24/2012 | 3/1/2027 | ||||||||||||||||
3138E9L40 | FNMA POOL # AK4846 | 2 | 3,232,308.06 | 104.855 | 3,249,129.36 | 3,098,677.59 | 3,230,521.85 | 18,607.51 | (2,460.34 | ) | — | — | 3 | 1.691 | MON | 7,746.69 | 11,380.05 | 4/24/2012 | 5/1/2027 |
3138EBG33 | FNMA POOL#AK6517 | 2 | 1,780,226.38 | 105.356 | 1,794,264.37 | 1,703,056.63 | 1,779,335.04 | 14,929.33 | (1,295.01 | ) | ��� | — | 3 | 1.942 | MON | 4,257.64 | 6,254.93 | 4/24/2012 | 3/1/2027 | ||||||||||||||||
31393RDQ0 | FHLMC CMO_2613 BV | 2 | 2,452,160.64 | 102.91 | 2,407,829.81 | 2,339,743.28 | 2,411,844.85 | (4,015.04 | ) | (54,839.82 | ) | — | — | 5 | 1.114 | MON | 9,748.93 | 72,651.53 | 2/24/2011 | 7/1/2014 | |||||||||||||||
31394BPP3 | FNMA AGENCY CMO_04-88 HA | 2 | 28,438.67 | 106.812 | 29,375.26 | 27,501.89 | 27,945.61 | 1,429.65 | (232.63 | ) | — | — | 6.5 | 5.194 | MON | 148.97 | 1,010.90 | 1/14/2008 | 12/1/2015 | ||||||||||||||||
31394CGZ9 | FANNIE MAE FNR_05-13 CMO_05-13 PC | 2 | 143,102.14 | 100.699 | 137,938.31 | 136,980.81 | 137,819.14 | 119.17 | (5,361.08 | ) | — | — | 5 | (0.081 | ) | MON | 570.75 | 5,863.55 | 2/4/2011 | 10/1/2012 | |||||||||||||||
31394DA42 | FNMA CMO_05-48 AR | 2 | 177,907.77 | 109.598 | 193,592.21 | 176,638.19 | 177,419.06 | 16,173.15 | (207.57 | ) | — | — | 5.5 | 5.252 | MON | 809.59 | 5,199.22 | 12/20/2007 | 11/1/2019 | ||||||||||||||||
31394FQ81 | FNW_05-W3 AGENCY CMO 05-87 | 2 | 4,844,725.25 | 101.883 | 4,616,426.56 | 4,531,088.94 | 4,603,438.96 | 12,987.60 | (299,894.10 | ) | — | — | 5 | 0.224 | MON | 18,879.54 | 132,691.04 | 4/8/2011 | 4/1/2013 | ||||||||||||||||
31395CQZ7 | FHLMC_2825 AGENCY CMO 2825 | 2 | 2,074,648.70 | 102.83 | 2,070,910.37 | 2,013,916.53 | 2,073,955.72 | (3,045.35 | ) | (692.98 | ) | — | — | 5.5 | 1.33 | MON | 9,230.45 | 923.04 | 6/25/2012 | 4/1/2014 | |||||||||||||||
31396CLF5 | FHLMC AGENCY CMO_3054 DW | 2 | 95,858.10 | 105.114 | 101,139.57 | 96,218.93 | 95,919.61 | 5,219.96 | 104.09 | — | — | 5.5 | 5.656 | MON | 441.00 | 3,008.21 | 6/17/2008 | 6/1/2015 | |||||||||||||||||
31396L5J5 | FNMA CMO_06-129 FA | 2 | 1,235,317.84 | 99.46 | 1,229,415.76 | 1,236,090.40 | 1,235,491.60 | (6,075.84 | ) | 377.92 | — | — | 0.445 | 0.477 | MON | 91.73 | 3,485.74 | 3/23/2011 | 12/25/2015 | ||||||||||||||||
31396UWM8 | FHLMC AGENCY CMO 3184 FA | 2 | 1,690,118.82 | 99.875 | 1,689,854.44 | 1,691,969.40 | 1,690,761.65 | (907.21 | ) | 450.59 | — | — | 0.392 | 0.449 | MON | 294.59 | 3,923.13 | 4/23/2010 | 6/15/2015 | ||||||||||||||||
31397B7F2 | FHLMC_3221 CMO_3211 QD | 2 | 760,552.33 | 101.46 | 770,055.64 | 758,973.34 | 758,146.57 | 11,909.07 | (56.24 | ) | — | — | 5.5 | 5.361 | MON | 3,478.62 | 26,454.64 | 4/19/2007 | 8/1/2013 | ||||||||||||||||
31397G7M6 | FHLMC CMO_R011 AB | 2 | 1,478,704.60 | 103.153 | 1,512,564.27 | 1,466,332.42 | 1,469,077.35 | 43,486.92 | (3,086.55 | ) | — | — | 5.5 | 4.88 | MON | 6,720.69 | 43,076.56 | 9/4/2008 | 11/1/2013 | ||||||||||||||||
31397JAB0 | FHLMC_3346A AGNECY CMO_3335-AF | 2 | 516,864.92 | 100.031 | 516,984.76 | 516,824.54 | 516,860.95 | 123.81 | (9.16 | ) | — | — | 0.392 | 0.389 | MON | 89.98 | 1,135.02 | 7/22/2011 | 9/15/2018 | ||||||||||||||||
31397MTX5 | FNMA CMO_08-81 KA | 2 | 2,188,696.93 | 105.53 | 2,317,705.53 | 2,196,246.51 | 2,188,799.82 | 128,905.71 | 1,839.61 | — | — | 5 | 5.057 | MON | 9,151.03 | 52,790.42 | 7/29/2008 | 4/1/2015 | |||||||||||||||||
31397Y5H0 | FHLMC CMO_3484 DA | 2 | 2,261,525.81 | 103.656 | 2,253,373.71 | 2,173,890.82 | 2,222,624.05 | 30,749.66 | (20,049.96 | ) | — | — | 5 | 2.757 | MON | 9,057.87 | 61,702.84 | 6/1/2009 | 3/1/2015 | ||||||||||||||||
31398AE24 | FNMA AGENCY BND | 2,995,680.00 | 100.967 | 3,029,010.00 | 3,000,000.00 | 2,999,081.74 | 29,928.26 | 705.26 | — | — | 1.75 | 1.798 | FA | 18,812.50 | 26,250.00 | 1/14/2010 | 2/22/2013 | ||||||||||||||||||
31398AHZ8 | FNMA AGENCY BND | 8,242,536.00 | 101.738 | 8,139,040.00 | 8,000,000.00 | 8,020,469.93 | 118,570.07 | (26,237.18 | ) | — | — | 4.75 | 4.069 | MN | 44,333.34 | 190,000.00 | 11/30/2007 | 11/19/2012 | |||||||||||||||||
31398AJ94 | FNMA AGENCY BND | 4,991,950.00 | 101.27 | 5,063,500.00 | 5,000,000.00 | 4,997,767.66 | 65,732.34 | 1,292.97 | — | — | 1.75 | 1.803 | MN | 13,125.01 | 43,750.00 | 3/11/2010 | 5/7/2013 | ||||||||||||||||||
31398AT44 | FNMA AGENCY BND | 37,769,600.00 | 101.203 | 37,445,111.11 | 37,000,000.00 | 37,379,368.05 | 65,743.06 | (190,615.60 | ) | — | — | 1.5 | 0.457 | JD | 7,708.33 | 277,500.00 | 6/23/2011 | 6/26/2013 | |||||||||||||||||
31398AU34 | FNMA AGENCY BND | 5,234,460.00 | 105.651 | 5,546,677.55 | 5,250,000.00 | 5,240,401.56 | 306,275.99 | 16.46 | — | — | 2.375 | 2.437 | JJ | 52,992.19 | 692.71 | 6/10/2010 | 7/28/2015 | ||||||||||||||||||
31398EXU3 | FHLMC AGENCY CMO 3566-DE | 2 | 1,714,851.45 | 101.031 | 1,665,399.44 | 1,648,400.31 | 1,675,965.68 | (10,566.24 | ) | (51,552.02 | ) | — | — | 4 | (0.454 | ) | MON | 5,494.67 | 43,608.53 | 4/6/2011 | 5/1/2013 | ||||||||||||||
31398T6X4 | FNMA CMO 10-113 FA | 2 | 3,692,469.53 | 100.087 | 3,704,371.49 | 3,701,144.09 | 3,693,438.44 | 10,933.05 | 432.28 | — | — | 0.645 | 0.726 | MON | 398.03 | 2032.65 | 8/10/2011 | 5/25/2033 | |||||||||||||||||
31398TX22 | FNMA_10-87 AGENCY CMO_10-103 MA | 2 | 5,732,452.38 | 102.435 | 5,584,107.08 | 5,451,366.31 | 5,597,183.19 | (13,076.11 | ) | (68,187.33 | ) | — | — | 4 | (0.092 | ) | MON | 18,171.22 | 114,697.81 | 9/7/2011 | 4/1/2014 | ||||||||||||||
31398WV35 | FHLMC_3629 AGENCY CMO 3654 | 2 | 207,963.51 | 100.523 | 194,806.81 | 193,792.43 | 206,454.50 | (11,647.69 | ) | (2,346.09 | ) | — | — | 5 | 1.06 | MON | 807.47 | 4,015.15 | 2/1/2012 | 7/1/2017 | |||||||||||||||
31400EGH7 | FNMA POOL # 685200 | 2 | 205,625.27 | 104.727 | 223,462.73 | 207,309.65 | 205,900.98 | 17,561.75 | 328.54 | — | — | 5 | 5.234 | MON | 863.79 | 5,578.35 | 12/14/2007 | 3/1/2018 | |||||||||||||||||
31400GJN6 | FNMA POOL # 687069 | 2 | 83,199.65 | 101.55 | 90,459.96 | 83,369.00 | 83,079.07 | 7,380.89 | 388.20 | — | — | 5.5 | 5.5 | MON | 382.11 | 3,615.30 | 4/21/2006 | 1/1/2013 | |||||||||||||||||
31400PG58 | FNMA POOL # 693320 | 2 | 72,085.25 | 101.606 | 76,334.45 | 72,718.70 | 72,122.82 | 4,211.63 | 32.74 | — | — | 2.285 | 2.468 | MON | 138.47 | 853.51 | 8/10/2006 | 1/1/2033 | |||||||||||||||||
31400QJ87 | FNMA POOL # 694287 | 2 | 10,355.77 | 105.501 | 11,023.02 | 10,448.24 | 10,360.27 | 662.75 | 15.84 | — | — | 2.728 | 2.912 | MON | 23.75 | 145.46 | 4/2/2007 | 3/1/2033 | |||||||||||||||||
31400SA33 | FNMA POOL # 695826 | 2 | 108,045.31 | 104.727 | 117,417.96 | 108,930.37 | 108,187.59 | 9,230.37 | 262.75 | — | — | 5 | 5.234 | MON | 453.88 | 3,006.63 | 12/14/2007 | 4/1/2018 | |||||||||||||||||
31401A3C9 | FNMA POOL # 702895 | 2 | 225,581.56 | 104.727 | 245,150.22 | 227,429.45 | 225,906.35 | 19,243.87 | 352.17 | — | — | 5 | 5.215 | MON | 947.62 | 6,109.10 | 12/14/2007 | 4/1/2018 | |||||||||||||||||
31401DVW8 | FNMA POOL # 705429 | 2 | 171,608.42 | 102.235 | 183,877.05 | 173,609.00 | 171,729.61 | 12,147.44 | 210.17 | — | — | 2.335 | 2.586 | MON | 337.81 | 2,141.78 | 8/10/2006 | 4/1/2033 | |||||||||||||||||
31401MKS9 | FNMA POOL # 712305 | 2 | 1,226,148.35 | 106.949 | 1,231,321.78 | 1,151,313.00 | 1,225,388.12 | 5,933.66 | (3,030.18 | ) | — | — | 2.925 | 1.289 | MON | 2,806.33 | 11,471.58 | 2/23/2012 | 5/1/2033 | ||||||||||||||||
31402DQB9 | FNMA POOL # 725950 | 2 | 327,046.32 | 108.047 | 356,596.00 | 330,037.28 | 327,420.31 | 29,175.69 | 658.27 | — | — | 5 | 5.256 | MON | 1,375.16 | 8,982.68 | 7/17/2008 | 11/1/2019 | |||||||||||||||||
31402HD32 | FNMA POOL # 729222 | 2 | 1,650,017.42 | 103.813 | 1,731,862.84 | 1,668,257.42 | 1,651,156.12 | 80,706.72 | 4,467.47 | — | — | 2.335 | 2.531 | MON | 3,246.15 | 22,542.34 | 9/17/2008 | 7/1/2035 |
31402RB81 | FNMA POOL # 735463 | 2 | 105,216.79 | 105.995 | 112,446.89 | 106,087.07 | 105,267.82 | 7,179.07 | 88.76 | — | — | 2.779 | 2.922 | MON | 245.68 | 1,444.91 | 9/28/2006 | 3/1/2035 | |||||||||||||||||
31402RF87 | FNMA POOL # 735591 | 2 | 8,838,408.04 | 108.336 | 9,226,377.85 | 8,516,422.40 | 8,828,449.90 | 397,927.95 | (68,675.71 | ) | — | — | 5 | 3.333 | MON | 35,485.10 | 231,977.41 | 4/30/2010 | 6/1/2035 | ||||||||||||||||
31402YSV7 | FNMA POOL # 742232 | 2 | 12,640.55 | 107.156 | 13,755.50 | 12,836.95 | 12,649.28 | 1,106.22 | 3.85 | — | — | 3 | 3.376 | MON | 32.09 | 186.89 | 4/2/2007 | 9/1/2033 | |||||||||||||||||
31403C2L4 | FNMA POOL # 745179 | 2 | 768,448.44 | 104.727 | 835,109.38 | 774,743.22 | 769,321.21 | 65,788.17 | 1,361.48 | — | — | 5 | 5.223 | MON | 3,228.10 | 21,056.72 | 12/14/2007 | 4/1/2019 | |||||||||||||||||
31403DCE7 | FNMA POOL # 745369 | 2 | 539,506.34 | 104.52 | 587,696.41 | 543,925.69 | 540,097.63 | 47,598.78 | 836.45 | — | — | 5 | 5.207 | MON | 2,266.36 | 14,618.09 | 12/14/2007 | 12/1/2019 | |||||||||||||||||
31403DCZ0 | FNMA POOL # 745388 | 2 | 1,375,740.32 | 104.727 | 1,495,082.28 | 1,387,009.76 | 1,377,468.01 | 117,614.27 | 2,500.20 | — | — | 5 | 5.219 | MON | 5,779.21 | 37,669.37 | 12/14/2007 | 11/1/2018 | |||||||||||||||||
31403H3P3 | FNMA POOL # 749706 | 2 | 773,076.79 | 102.509 | 836,101.62 | 782,800.65 | 773,622.12 | 62,479.50 | 1,088.79 | — | — | 2.538 | 2.808 | MON | 1,655.62 | 10,159.19 | 5/15/2006 | 11/1/2033 | |||||||||||||||||
31403KDB6 | FNMA POOL # 750798 | 2 | 5,312.00 | 103.623 | 5,589.98 | 5,394.53 | 5,315.78 | 274.20 | 1.50 | — | — | 2.574 | 2.944 | MON | 11.57 | 66.27 | 4/2/2007 | 12/1/2033 | |||||||||||||||||
31403VBR9 | FNMA POOL # 758848 | 2 | 261,491.86 | 104.727 | 284,175.62 | 263,633.90 | 261,782.53 | 22,393.09 | 354.20 | — | — | 5 | 5.237 | MON | 1,098.47 | 7,062.74 | 12/14/2007 | 1/1/2019 | |||||||||||||||||
31404CLB4 | FNMA POOL # 764522 | 2 | 36,048.63 | 105.5 | 38,801.26 | 36,778.45 | 36,086.96 | 2,714.30 | 19.47 | — | — | 2.397 | 2.814 | MON | 73.46 | 460.18 | 9/30/2008 | 6/1/2034 | |||||||||||||||||
31404LRF9 | FNMA POOL # 771886 | 2 | 95,755.09 | 102.15 | 103,963.29 | 97,356.17 | 95,837.53 | 8,125.76 | 33.90 | — | — | 2.592 | 3.01 | MON | 210.29 | 1,270.21 | 8/10/2006 | 2/1/2034 | |||||||||||||||||
31404NBP0 | FNMA POOL # 773246 | 2 | 132,472.47 | 107.37 | 143,426.04 | 133,581.19 | 132,524.03 | 10,902.01 | 64.36 | — | — | 2.599 | 2.754 | MON | 289.31 | 1,764.07 | 4/2/2007 | 2/1/2035 | |||||||||||||||||
31404VGA0 | FNMA POOL # 779693 | 2 | 607,329.14 | 101.97 | 653,686.47 | 613,076.73 | 607,686.57 | 45,999.90 | 132.10 | — | — | 2.632 | 2.8 | MON | 1,344.68 | 7,479.67 | 2/24/2006 | 7/1/2034 | |||||||||||||||||
31405AQ71 | FNMA POOL # 783578 | 2 | 492,502.81 | 102.231 | 521,233.87 | 504,302.70 | 493,375.54 | 27,858.33 | 3,272.19 | — | — | 2.335 | 2.765 | MON | 981.29 | 4,598.11 | 2/22/2012 | 12/1/2034 | |||||||||||||||||
31405PAG5 | FNMA POOL # 794807 | 2 | 169,001.34 | 101.253 | 179,050.06 | 168,541.21 | 168,960.17 | 10,089.89 | (18.12 | ) | — | — | 2.213 | 2.135 | MON | 310.82 | 1,874.90 | 6/30/2007 | 10/1/2034 | ||||||||||||||||
31405UMM8 | FNMA POOL # 799664 | 2 | 59,361.57 | 107.08 | 64,064.20 | 59,828.25 | 59,385.10 | 4,679.10 | 32.56 | — | — | 2.328 | 2.469 | MON | 116.07 | 712.33 | 4/2/2007 | 10/1/2034 | |||||||||||||||||
31405UR84 | FNMA POOL # 799811 | 2 | 209,168.16 | 101.424 | 221,127.16 | 208,621.59 | 209,117.31 | 12,009.85 | (22.61 | ) | — | — | 2.147 | 2.074 | MON | 373.26 | 2,255.98 | 6/30/2007 | 11/1/2034 | ||||||||||||||||
31405UTZ2 | FNMA POOL # 799868 | 2 | 14,892.98 | 105.361 | 15,814.70 | 15,010.05 | 14,898.41 | 916.29 | 16.19 | — | — | 2.273 | 2.424 | MON | 28.43 | 172.06 | 4/2/2007 | 11/1/2034 | |||||||||||||||||
31406BB90 | FNMA POOL # 804764 | 2 | 201,362.40 | 107.273 | 217,705.53 | 202,945.36 | 201,432.98 | 16,272.55 | 109.61 | — | — | 2.491 | 2.641 | MON | 421.28 | 2,601.99 | 4/2/2007 | 1/1/2035 | |||||||||||||||||
31406BEZ9 | FNMA POOL # 804852 | 2 | 168,859.68 | 107.156 | 182,366.42 | 170,187.15 | 168,920.64 | 13,445.78 | 158.87 | — | — | 2.455 | 2.603 | MON | 348.03 | 2,134.68 | 4/2/2007 | 12/1/2034 | |||||||||||||||||
31406BJF8 | FNMA POOL # 804962 | 2 | 206,482.24 | 106.452 | 221,532.11 | 208,105.46 | 206,553.64 | 14,978.47 | 40.56 | — | — | 2.571 | 2.721 | MON | 445.87 | 2,697.68 | 4/2/2007 | 1/1/2035 | |||||||||||||||||
31406BQQ6 | FNMA POOL # 805163 | 2 | 264,503.13 | 107.208 | 285,942.35 | 266,716.90 | 264,603.01 | 21,339.34 | 79.61 | — | — | 2.668 | 2.826 | MON | 593.00 | 3,591.16 | 4/2/2007 | 1/1/2035 | |||||||||||||||||
31406DG67 | FNMA POOL # 806721 | 2 | 406,609.21 | 106.838 | 437,826.43 | 409,805.70 | 406,752.56 | 31,073.87 | 301.23 | — | — | 2.526 | 2.676 | MON | 862.64 | 5,326.69 | 4/2/2007 | 11/1/2034 | |||||||||||||||||
31406GLK3 | FNMA POOL # 809530 | 2 | 71,121.19 | 107.285 | 76,842.98 | 71,624.86 | 71,150.43 | 5,692.55 | 13.11 | — | — | 2.594 | 2.713 | MON | 154.83 | 933.55 | 9/28/2006 | 2/1/2035 | |||||||||||||||||
31406MYP5 | FNMA POOL # 814418 | 2 | 185,488.89 | 105.503 | 197,443.86 | 187,145.14 | 185,563.30 | 11,880.56 | 77.63 | — | — | 2.489 | 2.664 | MON | 388.33 | 2,295.36 | 4/2/2007 | 3/1/2035 | |||||||||||||||||
31406PKU2 | FNMA POOL # 815807 | 2 | 290,073.92 | 105.929 | 310,206.06 | 292,842.10 | 290,250.88 | 19,955.18 | 363.63 | — | — | 2.548 | 2.714 | MON | 621.80 | 3,810.40 | 9/28/2006 | 2/1/2035 | |||||||||||||||||
31406TLC3 | FNMA POOL # 819423 | 2 | 393,347.85 | 106.263 | 421,714.11 | 396,860.08 | 393,507.32 | 28,206.79 | 243.52 | — | — | 2.933 | 3.098 | MON | 969.99 | 5,884.24 | 4/2/2007 | 4/1/2035 | |||||||||||||||||
31406TTE1 | FNMA POOL # 819649 | 2 | 2,866,953.63 | — | 2,950,284.08 | 2,771,677.20 | 2,863,348.84 | 86,935.24 | (6,623.80 | ) | — | — | 2.608 | 1.856 | MON | 6,026.09 | 36,747.04 | 12/4/2009 | 3/1/2035 | ||||||||||||||||
31406VHE9 | FNMA POOL # 821129 | 2 | 207,852.96 | 106.074 | 222,446.66 | 209,708.86 | 207,939.68 | 14,506.98 | 139.97 | — | — | 2.793 | 2.956 | MON | 488.10 | 2,851.25 | 4/2/2007 | 5/1/2035 | |||||||||||||||||
31407D5R2 | FNMA POOL # 828056 | 2 | 921,545.99 | 106.5 | 965,003.43 | 906,106.51 | 920,686.40 | 44,317.03 | (2,529.92 | ) | — | — | 2.752 | 2.382 | MON | 2078.00 | 12,509.26 | 2/20/2009 | 6/1/2035 | ||||||||||||||||
31407E6W8 | FNMA POOL # 828985 | 2 | 516,468.55 | 101.73 | 562,729.95 | 534,249.03 | 517,656.76 | 45,073.19 | 1,037.43 | — | — | 2.249 | 2.901 | MON | 1,001.27 | 6,230.80 | 3/16/2006 | 8/1/2035 | |||||||||||||||||
31407GC22 | FNMA POOL # 829989 | 2 | 1,488,320.66 | 106.96 | 1,607,030.41 | 1,502,464.95 | 1,489,006.42 | 118,023.99 | 1,264.64 | — | — | 2.802 | 2.994 | MON | 3,508.26 | 20,619.23 | 1/20/2006 | 4/1/2035 | |||||||||||||||||
31408C6D3 | FNMA POOL # 847868 | 2 | 1,495,030.87 | 106.768 | 1,613,353.79 | 1,511,086.15 | 1,495,918.57 | 117,435.22 | 1,062.44 | — | — | 2.264 | 2.465 | MON | 2,850.92 | 17,273.77 | 5/12/2006 | 11/1/2035 | |||||||||||||||||
31409UBQ7 | FNMA POOL # 878547 | 2 | 1,140,440.34 | 102.763 | 1,237,730.69 | 1,149,646.50 | 1,140,838.88 | 96,891.81 | 232.50 | — | — | 2.862 | 3.016 | MON | 2,741.91 | 15,950.76 | 5/4/2006 | 3/1/2036 |
31410FU60 | FNMA POOL # 888105 | 2 | 609,817.64 | 107.792 | 662,717.76 | 614,812.99 | 610,398.81 | 52,318.95 | 1,141.74 | — | — | 5 | 5.211 | MON | 2,561.72 | 16,715.53 | 12/14/2007 | 8/1/2020 | |||||||||||||||||
31410GC35 | FNMA POOL # 888490 | 2 | 254,527.56 | 105.214 | 268,404.40 | 255,104.15 | 254,535.71 | 13,868.69 | 59.45 | — | — | 2.525 | 2.551 | MON | 536.78 | 3,307.19 | 6/18/2007 | 5/1/2035 | |||||||||||||||||
31410GC50 | FNMA POOL # 888492 | 2 | 138,175.87 | 102.692 | 143,980.81 | 137,913.34 | 138,147.61 | 5,833.20 | (37.00 | ) | — | — | 2.34 | 2.267 | MON | 268.93 | 1,757.38 | 6/18/2007 | 5/1/2033 | ||||||||||||||||
31410GD83 | FNMA POOL # 888527 | 2 | 34,549.97 | 107.261 | 37,756.54 | 35,200.77 | 34,585.48 | 3,171.06 | 49.91 | — | — | 2.425 | 2.814 | MON | 71.13 | 446.95 | 6/18/2007 | 4/1/2034 | |||||||||||||||||
31410GDC4 | FNMA POOL # 888499 | 2 | 1,078,946.89 | 105.63 | 1,146,095.31 | 1,085,008.99 | 1,079,210.94 | 66,884.37 | 493.06 | — | — | 2.346 | 2.451 | MON | 2,121.19 | 9,620.85 | 2/22/2012 | 8/1/2033 | |||||||||||||||||
31410GDF7 | FNMA POOL # 888502 | 2 | 134,457.57 | 106.263 | 144,735.43 | 136,205.27 | 134,555.43 | 10,180.00 | 140.78 | — | — | 2.165 | 2.434 | MON | 245.74 | 1,438.91 | 6/18/2007 | 6/1/2033 | |||||||||||||||||
31410GDL4 | FNMA POOL # 888507 | 2 | 584,693.48 | 106.7 | 634,791.28 | 594,928.54 | 585,258.97 | 49,532.31 | 1,017.84 | — | — | 2.32 | 2.655 | MON | 1,150.20 | 7,226.85 | 6/18/2007 | 2/1/2035 | |||||||||||||||||
31410GDM2 | FNMA POOL # 888508 | 2 | 662,996.31 | 101.875 | 718,515.42 | 672,265.70 | 663,436.15 | 55,079.27 | 379.83 | — | — | 2.788 | 3.092 | MON | 1,561.90 | 9,251.88 | 6/18/2007 | 3/1/2034 | |||||||||||||||||
31410GDQ3 | FNMA POOL # 888511 | 2 | 91,215.03 | 101.764 | 97,435.10 | 92,043.55 | 91,252.80 | 6,182.30 | 41.29 | — | — | 2.537 | 2.727 | MON | 194.67 | 1,193.98 | 6/18/2007 | 12/1/2033 | |||||||||||||||||
31410GDS9 | FNMA POOL # 888513 | 2 | 149,075.38 | 102.089 | 159,974.03 | 149,856.01 | 149,106.80 | 10,867.23 | 61.81 | — | — | 2.413 | 2.508 | MON | 301.34 | 1,869.11 | 6/18/2007 | 2/1/2034 | |||||||||||||||||
31410GDX8 | FNMA POOL # 888518 | 2 | 116,862.89 | 104.539 | 122,560.21 | 117,238.38 | 116,871.89 | 5,688.32 | 67.93 | — | — | 2.776 | 2.821 | MON | 271.11 | 1,761.51 | 6/18/2007 | 4/1/2035 | |||||||||||||||||
31410GDY6 | FNMA POOL # 888519 | 2 | 68,625.59 | 106.61 | 74,418.10 | 69,804.02 | 68,688.54 | 5,729.56 | 91.22 | — | — | 2.478 | 2.813 | MON | 144.15 | 897.11 | 6/18/2007 | 1/1/2035 | |||||||||||||||||
31410GDZ3 | FNMA POOL # 888520 | 2 | 874,221.83 | 102.108 | 940,673.68 | 879,793.86 | 874,469.48 | 66,204.20 | 148.57 | — | — | 2.513 | 2.635 | MON | 1,842.43 | 10,535.05 | 6/18/2007 | 7/1/2033 | |||||||||||||||||
31410GFD0 | FNMA POOL # 888564 | 2 | 9,868,130.24 | 104.202 | 10,345,257.14 | 9,574,898.97 | 9,829,841.86 | 515,415.28 | (58,823.80 | ) | — | — | 5 | 3.731 | MON | 39,895.41 | 222,142.79 | 2/26/2009 | 10/1/2021 | ||||||||||||||||
31410GPR8 | FNMA POOL # 888832 | 2 | 5,364,174.27 | 106.7 | 5,806,575.52 | 5,158,634.88 | 5,356,815.92 | 449,759.60 | (24,886.61 | ) | — | — | 6.5 | 5.184 | MON | 27,942.61 | 176,491.95 | 1/25/2008 | 11/1/2037 | ||||||||||||||||
31411DA33 | FNMA POOL # 904626 | 2 | 1,130,126.61 | 103.92 | 1,168,857.24 | 1,124,766.40 | 1,129,752.21 | 39,105.03 | (1,022.65 | ) | — | — | 2.724 | 2.589 | MON | 2,553.22 | 16,264.36 | 12/13/2006 | 12/1/2036 | ||||||||||||||||
31411GUY6 | FNMA POOL # 907899 | 2 | 1,756,235.32 | 104.628 | 1,822,422.31 | 1,741,810.95 | 1,755,337.14 | 67,085.17 | (1,307.42 | ) | — | — | 2.4 | 2.193 | MON | 3,483.62 | 21,269.84 | 12/14/2006 | 1/1/2037 | ||||||||||||||||
31411KCZ4 | FNMA POOL # 910088 | 2 | 4,699,599.04 | 104.822 | 5,130,270.47 | 4,655,949.52 | 4,698,202.80 | 432,067.67 | (5,502.95 | ) | — | — | 6 | 5.616 | MON | 23,279.75 | 146,000.82 | 3/29/2007 | 3/1/2037 | ||||||||||||||||
31411LEA5 | FNMA POOL # 911029 | 2 | 381,003.74 | — | 390,858.65 | 359,437.49 | 378,792.64 | 12,066.01 | (126.49 | ) | — | — | 5.5 | 3.228 | MON | 1,647.42 | 109.83 | 9/29/2009 | 7/1/2022 | ||||||||||||||||
31411WPJ0 | FNMA POOL # 916725 | 2 | 1,413,634.50 | 106.809 | 1,426,944.67 | 1,335,980.62 | 1,412,937.56 | 14,007.11 | (3,808.20 | ) | — | — | 2.468 | 1.376 | MON | 2,747.67 | 12,105.08 | 2/14/2012 | 10/1/2036 | ||||||||||||||||
31412LMG2 | FNMA POOL # 928359 | 2 | 379,833.71 | — | 389,658.36 | 358,333.69 | 377,833.57 | 11,824.79 | (145.48 | ) | — | — | 5.5 | 2.915 | MON | 1,642.36 | 328.47 | 9/29/2009 | 5/1/2022 | ||||||||||||||||
31412LQN3 | FNMA POOL # 928461 | 2 | 492,972.41 | 108.742 | 505,723.48 | 465,068.32 | 490,389.35 | 15,334.13 | (186.82 | ) | — | — | 5.5 | 2.94 | MON | 2,131.56 | 142.10 | 9/29/2009 | 6/1/2022 | ||||||||||||||||
31412LVF4 | FNMA POOL # 928614 | 2 | 2,887,365.87 | — | 2,954,645.46 | 2,717,121.24 | 2,873,177.23 | 81,468.23 | (1,139.25 | ) | — | — | 5.5 | 2.831 | MON | 12,453.47 | 830.23 | 10/21/2009 | 8/1/2022 | ||||||||||||||||
31412SRH0 | FNMA POOL # 933488 | 2 | 1,100,801.27 | — | 1,131,565.38 | 1,048,694.28 | 1,096,258.41 | 35,306.97 | (17,429.41 | ) | — | — | 5 | 2.991 | MON | 4,369.56 | 30,419.27 | 9/29/2009 | 3/1/2023 | ||||||||||||||||
31414ARA2 | FNMA POOL # 960481 | 2 | 1,719,021.79 | — | 1,766,316.78 | 1,637,651.00 | 1,711,971.88 | 54,344.90 | (14,915.63 | ) | — | — | 5 | 2.892 | MON | 6,823.55 | 43,459.52 | 9/29/2009 | 12/1/2022 | ||||||||||||||||
31414CRJ9 | FNMA POOL # 962289 | 2 | 2,145,067.00 | 107.902 | 2,205,015.21 | 2,043,529.14 | 2,135,985.79 | 69,029.42 | (21,333.44 | ) | — | — | 5 | 3.044 | MON | 8,514.70 | 56,192.41 | 9/29/2009 | 3/1/2023 | ||||||||||||||||
31414GD22 | FNMA POOL # 965521 | 2 | 265,857.25 | — | 272,733.84 | 250,808.74 | 264,496.09 | 8,237.75 | (93.94 | ) | — | — | 5.5 | 3.095 | MON | 1,149.54 | 229.91 | 9/29/2009 | 12/1/2022 | ||||||||||||||||
31414NB45 | FNMA POOL # 970859 | 2 | 2,359,583.37 | — | 2,421,921.55 | 2,244,550.17 | 2,351,642.78 | 70,278.77 | (24,641.86 | ) | — | — | 5 | 2.872 | MON | 9,352.29 | 61,950.90 | 10/21/2009 | 12/1/2023 | ||||||||||||||||
31414RB79 | FNMA POOL # 973562 | 2 | 1,949,136.23 | — | 2,001,712.68 | 1,838,807.77 | 1,939,420.03 | 62,292.65 | (29,463.36 | ) | — | — | 5.5 | 3.132 | MON | 8,427.87 | 56,328.96 | 9/29/2009 | 3/1/2023 | ||||||||||||||||
31415MDG7 | FNMA POOL # 984003 | 2 | 3,338,258.64 | 103.51 | 3,759,141.47 | 3,438,734.15 | 3,340,746.93 | 418,394.54 | 30,300.73 | — | — | 5.5 | 6.428 | MON | 15,760.86 | 106,852.64 | 7/25/2008 | 6/1/2038 | |||||||||||||||||
31415MFS9 | FNMA POOL # 984077 | 2 | 1,458,086.80 | — | 1,498,835.97 | 1,389,067.51 | 1,452,140.87 | 46,695.10 | (22,012.37 | ) | — | — | 5 | 3.049 | MON | 5,787.78 | 39,253.79 | 9/29/2009 | 6/1/2023 | ||||||||||||||||
31416B4M7 | FNMA POOL # 995528 | 2 | 3,166,706.28 | 103.842 | 3,287,816.05 | 3,048,115.53 | 3,153,007.83 | 134,808.22 | (35,462.82 | ) | — | — | 5 | 3.383 | MON | 12,700.48 | 85,382.37 | 3/20/2009 | 12/1/2021 | ||||||||||||||||
31416B4N5 | FNMA POOL # 995529 | �� | 2 | 5,501,218.02 | 108.742 | 5,761,561.49 | 5,298,389.04 | 5,480,034.26 | 281,527.23 | (3,469.40 | ) | — | — | 5.5 | 3.882 | MON | 24,284.28 | 9,073.01 | 2/27/2009 | 11/1/2022 | |||||||||||||||
31416B4P0 | FNMA POOL # 995530 | 2 | 2,701,930.73 | 104.595 | 2,822,790.40 | 2,591,003.41 | 2,688,920.76 | 133,869.64 | (27,958.36 | ) | — | — | 5.5 | 3.75 | MON | 11,875.43 | 77,823.22 | 3/20/2009 | 12/1/2021 |
31416B7J1 | FNMA POOL # 995597 | 2 | 305,107.16 | — | 312,998.98 | 287,836.96 | 303,837.34 | 9,161.64 | (109.27 | ) | — | — | 5.5 | 3.063 | MON | 1,319.25 | 263.85 | 9/29/2009 | 3/1/2024 | ||||||||||||||||
31416BLV8 | FNMA POOL # 995040 | 2 | 1,338,630.38 | — | 1,373,995.86 | 1,273,370.16 | 1,333,826.34 | 40,169.52 | (21,822.38 | ) | — | — | 5 | 2.834 | MON | 5,305.71 | 35,944.92 | 10/21/2009 | 6/1/2023 | ||||||||||||||||
31416BSE9 | FNMA POOL # 995217 | 2 | 2,522,462.47 | — | 2,585,487.65 | 2,377,640.06 | 2,511,913.29 | 73,574.36 | (932.72 | ) | — | — | 5.5 | 2.988 | MON | 10,897.51 | 2,179.49 | 10/21/2009 | 12/1/2023 | ||||||||||||||||
31416BSX7 | FNMA POOL # 995234 | 2 | 5,717,805.33 | 107.792 | 5,739,998.30 | 5,325,080.64 | 5,692,486.26 | 47,512.04 | (89,249.22 | ) | — | — | 5 | 1.976 | MON | 22,187.84 | 129,612.30 | 11/10/2011 | 7/1/2019 | ||||||||||||||||
31416CME3 | FNMA POOL # 995957 | 2 | 5,631,208.46 | 107.902 | 5,774,615.84 | 5,351,707.19 | 5,614,249.50 | 160,366.34 | (74,560.59 | ) | — | — | 5 | 2.821 | MON | 22,298.78 | 147,341.51 | 9/28/2009 | 6/1/2024 | ||||||||||||||||
31416TL49 | FNMA POOL # AA9346 | 2 | 11,486,166.41 | 109.304 | 12,421,145.89 | 11,363,903.32 | 11,482,162.52 | 938,983.37 | (14,009.21 | ) | — | — | 4.5 | 4.132 | MON | 42,614.63 | 268,062.66 | 2/2/2010 | 8/1/2039 | ||||||||||||||||
31417BZA8 | FNMA POOL # AB5236 | 2 | 103,678.32 | 104.855 | 103,953.17 | 99,139.59 | 103,624.76 | 328.41 | (234.85 | ) | — | — | 3 | 1.441 | MON | 247.85 | 470.91 | 6/6/2012 | 5/1/2027 | ||||||||||||||||
31419BBT1 | FNMA POOL # AE0949 | 2 | 5,658,439.09 | — | 5,682,317.82 | 5,337,363.33 | 5,653,377.76 | 28,940.06 | (1,745.91 | ) | — | — | 4 | 1.927 | MON | 17,791.21 | 3,558.24 | 5/2/2012 | 2/1/2041 | ||||||||||||||||
31419ESP5 | FNMA POOL # AE4125 | 2 | 5,458,327.90 | 106.463 | 5,606,126.35 | 5,265,797.19 | 5,452,764.13 | 153,362.22 | (1,317.13 | ) | — | — | 4 | 2.421 | MON | 17,552.66 | 3,510.53 | 11/5/2010 | 10/1/2040 | ||||||||||||||||
31737UAE8 | FINANCE FOR DANISH IND SENIOR CORP BND | F | 6,417,600.00 | 99.974 | 6,398,335.94 | 6,400,000.00 | 6,404,242.34 | (5,906.40 | ) | (4,877.24 | ) | — | — | 0.697 | 0.382 | MJSD | 3,097.11 | 23,380.03 | 2/14/2011 | 12/6/2012 | |||||||||||||||
32113CAV2 | FIRST NATIONAL MASTER NOTE TRU ABS | 2 | 2,220,796.88 | 99.944 | 2,198,768.00 | 2,200,000.00 | 2,201,454.95 | (2,686.95 | ) | (8,512.74 | ) | — | — | 1.592 | 0.005 | MON | 1,556.37 | 17,819.98 | 5/27/2011 | 7/16/2012 | |||||||||||||||
341081EN3 | FLORIDA POWER & LIGHT CO CORP BND | 2,779,404.80 | 102.482 | 2,787,510.40 | 2,720,000.00 | 2,727,997.64 | 59,512.76 | (6,673.00 | ) | — | — | 4.85 | 4.335 | FA | 54,966.67 | 65,960.00 | 4/25/2008 | 2/1/2013 | |||||||||||||||||
34528QAH7 | FORD CREDIT FLOORPLAN MASTER O ABS_09-2 | 2 | 7,581,035.16 | 100.298 | 7,522,350.00 | 7,500,000.00 | 7,519,231.85 | 3,118.15 | (41,325.71 | ) | — | — | 1.792 | 0.608 | MON | 5,972.50 | 63,070.66 | 1/19/2012 | 9/17/2012 | ||||||||||||||||
34528QAJ3 | FORDF ABS 10-1 A 144A | 2 | 4,591,757.81 | 100.57 | 4,525,650.00 | 4,500,000.00 | 4,524,233.99 | 1,416.01 | (18,586.34 | ) | — | — | 1.892 | 0.743 | MON | 3,783.50 | 30,742.25 | 2/22/2012 | 12/17/2012 | ||||||||||||||||
34529LAD6 | FORDO_10-A ABS 10-A-A3 | 2 | 784,437.20 | 100.279 | 786,766.93 | 784,580.46 | 784,554.49 | 2,212.44 | 54.78 | — | — | 1.32 | 1.333 | MON | 460.29 | 7,371.47 | 4/21/2010 | 3/15/2013 | |||||||||||||||||
34529QAC7 | FORDL_11-A ABS_11-A A3 | 2 | 3,599,883.00 | 100.408 | 3,614,687.89 | 3,600,000.00 | 3,599,928.77 | 14,759.12 | 22.46 | — | — | 1.03 | 1.034 | MON | 1,648.00 | 18,540.00 | 6/29/2011 | 8/15/2013 | |||||||||||||||||
34529RAC5 | FORDO_11-B ABS_11-B A3 | 2 | 6,498,915.80 | 100.26 | 6,516,898.18 | 6,500,000.00 | 6,499,417.70 | 17,480.48 | 284.92 | — | — | 0.84 | 0.85 | MON | 2,426.67 | 27,300.00 | 7/19/2011 | 1/15/2014 | |||||||||||||||||
34529UAD6 | FORDO_12-A ABS 12-A | 2 | 2,339,403.30 | 100.947 | 2,362,157.97 | 2,340,000.00 | 2,339,471.20 | 22,686.77 | 67.90 | — | — | 1.15 | 1.16 | MON | 1,196.00 | 11,661.00 | 1/18/2012 | 1/15/2016 | |||||||||||||||||
34529WAC4 | FORDO_12-B ABS_12-B A3 | 2 | 2,502,148.44 | 100.083 | 2,502,081.68 | 2,500,000.00 | 2,502,137.40 | (55.72 | ) | (11.04 | ) | — | — | 0.72 | 0.681 | MON | 800.00 | 200.00 | 6/22/2012 | 6/15/2015 | |||||||||||||||
35177PAS6 | FRANCE TELECOM CORP BND | F | 6,246,739.39 | 105.058 | 6,178,446.57 | 5,881,000.00 | 6,061,482.41 | 116,964.16 | (43,131.82 | ) | — | — | 4.375 | 2.801 | JJ | 123,643.94 | 128,646.89 | 4/14/2010 | 7/8/2014 | ||||||||||||||||
35177PAU1 | FRANCE TELECOM CORP BND | F | 996,600.00 | 100.465 | 1,004,650.50 | 1,000,000.00 | 997,775.69 | 6,874.81 | 330.67 | — | — | 2.125 | 2.197 | MS | 6,197.92 | 10,625.00 | 9/7/2010 | 9/16/2015 | |||||||||||||||||
354613AE1 | FRANKLIN RESOURCES INC. CORP BND | 1,974,114.25 | 101.22 | 1,999,095.00 | 1,975,000.00 | 1,974,733.90 | 24,361.10 | 147.70 | — | — | 2 | 2.015 | MN | 4,498.61 | 19,750.00 | 5/19/2010 | 5/20/2013 | ||||||||||||||||||
35671DAW5 | FREEPORT-MCMORAN COPPER & GOLD SENIOR | 3,345,980.00 | 98.683 | 3,305,873.80 | 3,350,000.00 | 3,346,275.70 | (40,401.90 | ) | 295.70 | — | — | 2.15 | 2.175 | MS | 27,609.59 | 27,609.59 | 2/8/2012 | 3/1/2017 | |||||||||||||||||
36156HAV0 | GCOE_06-1 ABS 06-1 | 2 | 1,764,291.99 | 95.28 | 1,872,999.90 | 1,965,784.95 | 1,867,401.42 | 5,598.48 | 89,385.05 | — | — | 0.597 | 10.633 | FMAN | 1,205.87 | 4,386.16 | 2/22/2012 | 11/25/2013 | |||||||||||||||||
36162RAC2 | GEEST_12-1A ABS 12-1A 144A | 2 | 2,999,393.10 | 100.171 | 3,005,130.00 | 3,000,000.00 | 2,999,406.36 | 5,723.64 | 13.26 | — | — | 1.04 | 1.054 | MON | 866.67 | 2,686.67 | 5/22/2012 | 9/21/2015 | |||||||||||||||||
36179MEL0 | GNMA POOL # MA0139 | 2 | 5,297,656.25 | 106.255 | 5,312,727.00 | 5,000,000.00 | 5,296,205.54 | 16,521.46 | (1,450.71 | ) | — | — | 3 | 1.74 | MON | 12,500.00 | 3,750.00 | 6/19/2012 | 6/20/2027 | ||||||||||||||||
36201YER3 | GNMA POOL # 606844 | 2 | 1,291,980.79 | 110.856 | 1,366,838.80 | 1,232,980.73 | 1,290,743.56 | 76,095.24 | (3,270.44 | ) | — | — | 5 | 3.457 | MON | 5,137.42 | 31,722.52 | 4/23/2010 | 9/15/2033 | ||||||||||||||||
36202E5P0 | GNMA POOL # 004454 | 2 | 15,783.01 | 107.493 | 15,946.54 | 14,834.95 | 15,736.00 | 210.54 | (144.19 | ) | — | — | 4.5 | 1.603 | MON | 55.63 | 352.87 | 10/7/2010 | 6/20/2024 | ||||||||||||||||
36202EVU0 | GNMA POOL # 004227 | 2 | 23,058.62 | — | 23,401.78 | 21,673.53 | 22,990.11 | 411.67 | (851.32 | ) | — | — | 4.5 | 0.9 | MON | 81.28 | 494.56 | 10/7/2010 | 7/20/2023 | ||||||||||||||||
36202FAE6 | GNMA POOL # 004505 | 2 | 50,821.38 | — | 51,363.16 | 47,768.66 | 50,674.72 | 688.44 | (490.63 | ) | — | — | 4.5 | 1.549 | MON | 179.13 | 1,145.75 | 10/7/2010 | 8/20/2024 | ||||||||||||||||
36202FBR6 | GNMA POOL # 004548 | 2 | 32,400.99 | 107.525 | 32,746.39 | 30,454.73 | 32,308.68 | 437.71 | (329.00 | ) | — | — | 4.5 | 1.586 | MON | 114.21 | 733.03 | 10/7/2010 | 10/20/2024 | ||||||||||||||||
36202FD78 | GNMA POOL # 004626 | 2 | 1,450,671.48 | — | 1,466,147.40 | 1,363,533.18 | 1,446,619.12 | 19,528.28 | (13,396.70 | ) | — | — | 4.5 | 1.685 | MON | 5,113.25 | 32,903.79 | 10/7/2010 | 2/20/2025 | ||||||||||||||||
36202FET9 | GNMA POOL # 004646 | 2 | 233,738.82 | 107.526 | 236,232.38 | 219,698.71 | 233,092.20 | 3,140.18 | (2,252.78 | ) | — | — | 4.5 | 1.685 | MON | 823.87 | 5,258.26 | 10/7/2010 | 3/20/2025 | ||||||||||||||||
36202FF43 | GNMA POOL # 004687 | 2 | 649,347.55 | — | 656,274.85 | 610,342.82 | 647,623.30 | 8,651.55 | (6,442.78 | ) | — | — | 4.5 | 1.588 | MON | 2,288.79 | 14,757.99 | 10/7/2010 | 5/20/2025 |
36202FFH4 | GNMA POOL # 004668 | 2 | 912,475.62 | — | 922,210.00 | 857,665.43 | 910,035.10 | 12,174.90 | (8,546.67 | ) | — | — | 4.5 | 1.555 | MON | 3,216.25 | 20,498.15 | 10/7/2010 | 4/20/2025 | ||||||||||||||||
36202FZV1 | GNMA POOL # 005256 | 2 | 6,584,859.93 | 106.725 | 6,554,562.77 | 6,141,519.02 | 6,577,053.72 | (22,490.95 | ) | (31,465.26 | ) | — | — | 3.5 | 1.365 | MON | 17,912.76 | 97,119.26 | 1/18/2012 | 12/20/2026 | |||||||||||||||
36202KME2 | GNMA POOL # 008457 | 2 | 461,498.22 | 102.84 | 467,021.98 | 455,098.40 | 460,676.62 | 6,345.36 | (568.96 | ) | — | — | 1.625 | 1.267 | MON | 616.28 | 3,812.53 | 3/18/2009 | 7/20/2024 | ||||||||||||||||
36204J4C7 | GNMA POOL # 371719 | 2 | 265,998.28 | 106.75 | 290,759.59 | 250,351.32 | 263,650.53 | 27,109.06 | (1,873.65 | ) | — | — | 6.5 | 5.055 | MON | 1,356.07 | 8,470.61 | 9/11/2008 | 4/15/2024 | ||||||||||||||||
36204SV60 | GNMA POOL # 378737 | 2 | 315,581.24 | 107.235 | 344,215.58 | 297,017.62 | 313,228.93 | 30,986.65 | (2,327.71 | ) | — | — | 6.5 | 4.707 | MON | 1,608.85 | 10,196.44 | 9/11/2008 | 1/15/2024 | ||||||||||||||||
36205BKY7 | GNMA POOL # 385611 | 2 | 408,760.03 | 106.75 | 446,810.78 | 384,715.32 | 405,448.49 | 41,362.29 | (2,042.79 | ) | — | — | 6.5 | 4.917 | MON | 2083.87 | 12,828.03 | 9/11/2008 | 4/15/2024 | ||||||||||||||||
3620A2KC9 | GNMA POOL # 716791 | 2 | 1,387,659.20 | — | 1,408,956.11 | 1,312,595.15 | 1,384,441.75 | 24,514.36 | (20,227.58 | ) | — | — | 5 | 1.877 | MON | 5,469.15 | 37,943.23 | 9/29/2009 | 4/15/2024 | ||||||||||||||||
3620A32R4 | GNMA POOL # 718184 | 2 | 88,381.96 | — | 89,307.21 | 83,048.68 | 88,144.95 | 1,162.26 | (1,306.14 | ) | — | — | 4.5 | 1.511 | MON | 311.43 | 2092.32 | 10/7/2010 | 3/15/2025 | ||||||||||||||||
3620A5FJ3 | GNMA POOL # 719369 | 2 | 993,837.65 | — | 1,001,301.59 | 931,131.75 | 991,235.85 | 10,065.74 | (19,785.29 | ) | — | — | 4.5 | 1.183 | MON | 3,491.74 | 26,233.31 | 8/31/2010 | 4/15/2025 | ||||||||||||||||
3620A6AC1 | GNMA POOL # 720103 | 2 | 767,557.17 | 111.247 | 839,197.24 | 754,355.93 | 766,975.70 | 72,221.54 | (653.47 | ) | — | — | 4.5 | 4.234 | MON | 2,828.83 | 17,276.97 | 6/18/2009 | 6/15/2039 | ||||||||||||||||
3620A6DZ7 | GNMA POOL # 720220 | 2 | 1,471,550.39 | 107.341 | 1,503,914.93 | 1,401,059.57 | 1,467,882.29 | 36,032.64 | (1,898.76 | ) | — | — | 5 | 2.635 | MON | 5,837.75 | 35,529.56 | 7/29/2009 | 7/15/2024 | ||||||||||||||||
3620A7R64 | GNMA POOL # 721509 | 2 | 467,554.72 | — | 472,449.41 | 439,340.81 | 466,208.97 | 6,240.44 | (1,957.00 | ) | — | — | 4.5 | 1.819 | MON | 1,647.53 | 10,173.76 | 10/7/2010 | 2/15/2025 | ||||||||||||||||
3620A7RQ0 | GNMA POOL # 721495 | 2 | 530,019.02 | — | 535,567.60 | 498,035.76 | 528,434.10 | 7,133.50 | (4,846.13 | ) | — | — | 4.5 | 1.93 | MON | 1,867.63 | 11,906.90 | 10/7/2010 | 1/15/2025 | ||||||||||||||||
3620A9MU2 | GNMA POOL # 723171 | 2 | 51,980.74 | 107.493 | 52,503.93 | 48,844.03 | 51,835.21 | 668.72 | (553.13 | ) | — | — | 4.5 | 1.484 | MON | 183.17 | 1,180.15 | 10/7/2010 | 10/15/2024 | ||||||||||||||||
3620A9QJ3 | GNMA POOL # 723257 | 2 | 737,417.06 | — | 744,839.37 | 692,918.68 | 735,307.73 | 9,531.64 | (8,061.79 | ) | — | — | 4.5 | 1.549 | MON | 2,598.45 | 16,719.34 | 10/7/2010 | 9/15/2024 | ||||||||||||||||
3620A9WS6 | GNMA POOL # 723457 | 2 | 710,411.87 | — | 717,562.38 | 667,543.10 | 708,318.58 | 9,243.80 | (4,372.24 | ) | — | — | 4.5 | 1.831 | MON | 2,503.29 | 15,551.59 | 10/7/2010 | 12/15/2024 | ||||||||||||||||
3620A9WW7 | GNMA POOL # 723461 | 2 | 396,554.25 | — | 400,545.68 | 372,624.75 | 395,438.71 | 5,106.97 | (2,921.87 | ) | — | — | 4.5 | 1.618 | MON | 1,397.34 | 8,780.58 | 10/7/2010 | 12/15/2024 | ||||||||||||||||
3620A9ZN4 | GNMA POOL # 723549 | 2 | 955,303.87 | — | 965,304.65 | 897,657.43 | 952,490.62 | 12,814.03 | (8,429.83 | ) | — | — | 4.5 | 1.871 | MON | 3,366.22 | 21,630.91 | 10/7/2010 | 1/15/2025 | ||||||||||||||||
3620ADCM2 | GNMA POOL # 726476 | 2 | 9,998,196.69 | — | 10,202,186.42 | 9,491,020.29 | 9,968,575.22 | 233,611.20 | (72,200.08 | ) | — | — | 4.5 | 1.979 | MON | 35,591.33 | 227,317.13 | 12/8/2009 | 11/15/2024 | ||||||||||||||||
3620AFY35 | GNMA POOL # 728930 | 2 | 111,591.00 | — | 112,714.20 | 104,857.21 | 111,274.51 | 1,439.69 | (1,083.16 | ) | — | — | 4.5 | 1.66 | MON | 393.21 | 2,568.97 | 10/7/2010 | 12/15/2024 | ||||||||||||||||
3620AKQR0 | GNMA POOL # 732264 | 2 | 270,081.52 | — | 272,908.92 | 253,783.84 | 269,333.39 | 3,575.53 | (2,299.39 | ) | — | — | 4.5 | 1.737 | MON | 951.69 | 5,851.41 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AKR57 | GNMA POOL # 732308 | 2 | 48,129.77 | — | 48,633.63 | 45,225.45 | 48,010.59 | 623.04 | (2,647.92 | ) | — | — | 4.5 | 0.73 | MON | 169.60 | 1,219.72 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AL5N0 | GNMA POOL # 733553 | 2 | 580,707.37 | — | 586,786.63 | 545,665.43 | 579,146.85 | 7,639.78 | (9,872.67 | ) | — | — | 4.5 | 1.579 | MON | 2046.25 | 13,682.03 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AQ5X7 | GNMA POOL # 737162 | 2 | 366,510.28 | — | 370,347.18 | 344,393.76 | 365,457.12 | 4,890.06 | (2,323.74 | ) | — | — | 4.5 | 1.897 | MON | 1,291.48 | 8,110.91 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AQ6A6 | GNMA POOL # 737165 | 2 | 1,411,288.67 | — | 1,426,063.02 | 1,326,126.49 | 1,407,482.74 | 18,580.28 | (11,735.33 | ) | — | — | 4.5 | 1.599 | MON | 4,972.97 | 31,579.89 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AQG72 | GNMA POOL # 736522 | 2 | 645,020.81 | — | 651,773.33 | 606,097.95 | 643,257.22 | 8,516.11 | (5,142.07 | ) | — | — | 4.5 | 1.673 | MON | 2,272.87 | 14,300.96 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AQHC0 | GNMA POOL # 736527 | 2 | 278,195.74 | — | 281,108.09 | 261,408.42 | 277,412.15 | 3,695.94 | (2,983.75 | ) | — | — | 4.5 | 1.813 | MON | 980.28 | 6,191.10 | 10/7/2010 | 4/15/2025 | ||||||||||||||||
3620AQXC2 | GNMA POOL # 736975 | 2 | 467,544.29 | — | 472,438.88 | 439,331.01 | 466,247.58 | 6,191.30 | (4,184.51 | ) | — | — | 4.5 | 1.647 | MON | 1,647.49 | 10,528.93 | 10/7/2010 | 2/15/2025 | ||||||||||||||||
3620ASPY9 | GNMA POOL # 738539 | 2 | 6,052,529.16 | 109.285 | 6,157,509.19 | 5,634,354.43 | 6,047,908.09 | 109,601.10 | (47,941.93 | ) | — | — | 4 | 2.139 | MON | 18,781.18 | 117,775.91 | 10/3/2011 | 7/15/2041 | ||||||||||||||||
3620AWE48 | GNMA POOL # 741855 | 2 | 250,251.59 | — | 252,871.39 | 235,150.51 | 249,550.06 | 3,321.33 | (2,094.61 | ) | — | — | 4.5 | 1.836 | MON | 881.81 | 5,664.11 | 10/7/2010 | 5/15/2025 | ||||||||||||||||
3620AWE63 | GNMA POOL # 741857 | 2 | 198,644.11 | — | 200,723.67 | 186,657.23 | 198,113.51 | 2,610.16 | (3,079.00 | ) | — | — | 4.5 | 1.598 | MON | 699.96 | 4,826.29 | 10/7/2010 | 5/15/2025 | ||||||||||||||||
36210B4N2 | GNMA POOL # 487829 | 2 | 419,299.46 | 102.844 | 435,476.09 | 405,120.26 | 418,152.04 | 17,324.05 | (3,066.90 | ) | — | — | 4.5 | 3.033 | MON | 1,519.20 | 9,638.07 | 3/26/2009 | 4/15/2024 | ||||||||||||||||
36210B4Q5 | GNMA POOL # 487831 | 2 | 155,507.37 | — | 157,894.02 | 147,095.37 | 155,168.16 | 2,725.86 | (224.02 | ) | — | — | 5 | 1.718 | MON | 612.90 | 3,726.43 | 9/29/2009 | 4/15/2024 | ||||||||||||||||
36210B4R3 | GNMA POOL # 487832 | 2 | 538,065.80 | 104.229 | 552,695.30 | 514,895.51 | 536,531.51 | 16,163.79 | (934.30 | ) | — | — | 5 | 2.535 | MON | 2,145.40 | 13,191.41 | 3/26/2009 | 4/15/2024 |
36210BZH1 | GNMA POOL # 487744 | 2 | 744,030.87 | — | 755,449.79 | 703,783.27 | 742,321.16 | 13,128.63 | (994.48 | ) | — | — | 5 | 1.817 | MON | 2,932.43 | 17,819.30 | 9/29/2009 | 3/15/2024 | ||||||||||||||||
36210BZJ7 | GNMA POOL # 487745 | 2 | 541,270.36 | — | 549,577.41 | 511,990.86 | 540,011.94 | 9,565.47 | (2,145.87 | ) | — | — | 5 | 1.847 | MON | 2,133.30 | 13,033.26 | 9/29/2009 | 3/15/2024 | ||||||||||||||||
36211V6Q8 | GNMA POOL # 524779 | 2 | 232,627.53 | 104.229 | 239,131.22 | 222,776.62 | 231,954.26 | 7,176.96 | (4,440.65 | ) | — | — | 5 | 2.582 | MON | 928.24 | 6,499.22 | 3/26/2009 | 1/15/2024 | ||||||||||||||||
36225BPY8 | GNMA POOL # 781339 | 2 | 282,023.32 | 113.5 | 290,008.11 | 255,513.75 | 280,589.04 | 9,419.07 | (1,862.18 | ) | — | — | 8 | 5.29 | MON | 1,703.43 | 10,509.34 | 3/7/2008 | 9/15/2031 | ||||||||||||||||
36225C5S1 | GNMA POOL # 080856 | 2 | 8,811,914.98 | — | 8,924,623.56 | 8,607,487.15 | 8,805,221.45 | 119,402.11 | (13,179.93 | ) | — | — | 1.625 | 1.246 | MON | 11,655.97 | 74,272.27 | 3/2/2011 | 3/20/2034 | ||||||||||||||||
36225C6Y7 | GNMA POOL # 080886 | 2 | 9,014,335.22 | 104.337 | 9,175,922.67 | 8,794,473.38 | 9,007,435.70 | 168,486.97 | (373.97 | ) | — | — | 1.75 | 1.338 | MON | 12,825.27 | 1,710.03 | 3/2/2011 | 4/20/2034 | ||||||||||||||||
36225CD29 | GNMA POOL # 080120 | 2 | 392,722.74 | 101.02 | 398,431.99 | 388,714.14 | 392,380.75 | 6,051.24 | (343.09 | ) | — | — | 1.625 | 1.357 | MON | 526.38 | 3,240.59 | 3/18/2009 | 10/20/2027 | ||||||||||||||||
36225DAS3 | GNMA POOL # 080916 | 2 | 312,584.76 | 100.563 | 325,688.87 | 314,106.20 | 312,685.69 | 13,003.18 | 117.25 | — | — | 1.75 | 1.816 | MON | 458.07 | 2,814.60 | 4/17/2008 | 5/20/2034 | |||||||||||||||||
36225DJA3 | GNMA POOL # 081156 | 2 | 826,362.72 | 102.185 | 851,980.26 | 824,045.13 | 826,179.05 | 25,801.21 | (171.48 | ) | — | — | 1.625 | 1.571 | MON | 1,115.90 | 6,867.59 | 3/18/2009 | 11/20/2034 | ||||||||||||||||
36225DJZ8 | GNMA POOL # 081179 | 2 | 816,076.40 | 97.85 | 827,215.12 | 813,787.62 | 815,885.79 | 11,329.33 | (161.48 | ) | — | — | 1.625 | 1.574 | MON | 1,102.00 | 6,745.60 | 3/18/2009 | 12/20/2034 | ||||||||||||||||
36225DLE2 | GNMA POOL # 081224 | 2 | 508,729.87 | 99.1 | 527,879.37 | 511,125.79 | 508,847.44 | 19,031.93 | 211.51 | — | — | 1.625 | 1.693 | MON | 692.15 | 4,494.20 | 3/18/2009 | 1/20/2035 | |||||||||||||||||
36225EVZ2 | GNMA POOL # 082431 | 2 | 3,149,484.69 | 106.383 | 3,309,141.76 | 3,110,602.16 | 3,146,321.52 | 162,820.24 | (6,198.91 | ) | — | — | 3 | 2.908 | MON | 7,776.51 | 50,653.24 | 10/28/2009 | 12/20/2039 | ||||||||||||||||
36225EWE8 | GNMA POOL # 082444 | 2 | 620,234.76 | 105.047 | 637,979.64 | 607,329.02 | 619,926.32 | 18,053.32 | (1,701.41 | ) | — | — | 3.75 | 3.219 | MON | 1,897.90 | 11,977.41 | 11/3/2009 | 12/20/2039 | ||||||||||||||||
362341RT8 | GSAA WHOLE CMO 05-AR6 1A1 | 2 | 171,595.08 | 96.14 | 166,611.58 | 173,301.00 | 171,750.98 | (5,139.40 | ) | 87.28 | — | — | 2.655 | 2.89 | MON | 383.42 | 2,412.96 | 11/21/2007 | 7/1/2025 | ||||||||||||||||
36241K6L7 | GNMA POOL # 782675 | 2 | 67,154.75 | — | 67,830.69 | 63,102.40 | 66,958.06 | 872.63 | (769.98 | ) | — | — | 4.5 | 1.513 | MON | 236.63 | 1,535.48 | 10/7/2010 | 6/15/2024 | ||||||||||||||||
36241KBP2 | GNMA POOL # 781846 | 2 | 4,566,502.67 | 117.166 | 5,181,979.09 | 4,422,762.88 | 4,561,120.03 | 620,859.06 | (15,984.37 | ) | — | — | 6.5 | 5.618 | MON | 23,956.63 | 150,391.16 | 8/15/2008 | 9/15/2034 | ||||||||||||||||
36241KEC8 | GNMA POOL # 781931 | 2 | 3,162,992.47 | 116.828 | 3,578,935.40 | 3,063,430.98 | 3,159,415.71 | 419,519.69 | (11,501.84 | ) | — | — | 6.5 | 5.637 | MON | 16,593.58 | 104,293.70 | 8/15/2008 | 5/15/2035 | ||||||||||||||||
36241KEH7 | GNMA POOL # 781936 | 2 | 2,408,388.58 | 109.616 | 2,553,402.86 | 2,329,407.14 | 2,406,392.49 | 147,010.37 | (14,995.68 | ) | — | — | 4.5 | 3.587 | MON | 8,735.28 | 56,446.81 | 6/3/2010 | 6/15/2035 | ||||||||||||||||
36241KGU6 | GNMA POOL # 782011 | 2 | 190,581.19 | 110.364 | 205,830.54 | 186,501.36 | 190,469.15 | 15,361.39 | (529.43 | ) | — | — | 5 | 4.262 | MON | 777.09 | 4,905.91 | 7/14/2009 | 12/15/2035 | ||||||||||||||||
36241KKB3 | GNMA POOL # 782090 | 2 | 3,822,293.66 | 107.635 | 4,252,675.19 | 3,677,492.40 | 3,815,438.11 | 437,237.08 | (15,239.21 | ) | — | — | 6.5 | 5.486 | MON | 19,919.75 | 125,931.81 | 11/30/2007 | 5/15/2036 | ||||||||||||||||
36241LHQ2 | GNMA POOL # 782939 | 2 | 6,476,354.66 | 110.437 | 6,825,700.73 | 6,180,603.13 | 6,471,430.99 | 354,269.74 | (9,979.58 | ) | — | — | 5 | 3.53 | MON | 25,752.51 | 39,224.75 | 4/23/2010 | 9/15/2036 | ||||||||||||||||
36241LN36 | GNMA POOL # 783110 | 2 | 1,465,365.98 | 111.331 | 1,506,637.44 | 1,353,296.16 | 1,464,084.63 | 42,552.81 | (13,697.59 | ) | — | — | 5.5 | 2.675 | MON | 6,202.61 | 39,175.53 | 9/23/2010 | 4/15/2036 | ||||||||||||||||
36290SJB8 | GNMA POOL # 615958 | 2 | 7,334,432.79 | — | 7,759,393.51 | 6,999,495.96 | 7,326,995.60 | 432,397.91 | (49,255.08 | ) | — | — | 5 | 3.536 | MON | 29,164.56 | 186,489.61 | 4/23/2010 | 9/15/2033 | ||||||||||||||||
36292DWW8 | GNMA POOL # 646061 | 2 | 225,114.96 | 106.297 | 249,655.99 | 215,872.91 | 224,746.90 | 24,909.09 | (1,646.80 | ) | — | — | 6.5 | 4.977 | MON | 1,169.31 | 7,771.43 | 1/31/2008 | 11/15/2037 | ||||||||||||||||
36295KAT0 | GNMA POOL # 672418 | 2 | 119,821.95 | 115.65 | 132,884.40 | 114,902.68 | 119,627.31 | 13,257.09 | (2,456.51 | ) | — | — | 6.5 | 5.047 | MON | 622.39 | 4,715.78 | 1/31/2008 | 12/15/2037 | ||||||||||||||||
36295P4L3 | GNMA POOL # 676827 | 2 | 611,959.32 | 104.785 | 628,635.32 | 585,694.56 | 610,119.16 | 18,516.16 | (7,257.52 | ) | — | — | 5 | 2.28 | MON | 2,440.39 | 17,410.07 | 3/26/2009 | 5/15/2023 | ||||||||||||||||
36295PZJ4 | GNMA POOL # 676745 | 2 | 250,162.12 | 104.785 | 257,132.91 | 239,568.70 | 249,366.86 | 7,766.05 | (3,355.92 | ) | — | — | 5 | 2.532 | MON | 998.20 | 6,851.12 | 3/26/2009 | 3/15/2023 | ||||||||||||||||
36295QJE1 | GNMA POOL # 677161 | 2 | 1,212,971.84 | 104.785 | 1,240,552.83 | 1,155,813.27 | 1,210,072.54 | 30,480.29 | (13,322.62 | ) | — | — | 5 | 2.174 | MON | 4,815.89 | 31,364.77 | 4/27/2009 | 8/15/2023 | ||||||||||||||||
36295TVQ4 | GNMA POOL # 680223 | 2 | 135,344.47 | 106.297 | 150,099.08 | 129,787.90 | 135,124.52 | 14,974.56 | (545.91 | ) | — | — | 6.5 | 4.963 | MON | 703.02 | 4,265.30 | 1/31/2008 | 1/15/2038 | ||||||||||||||||
36296A5Y6 | GNMA POOL # 685863 | 2 | 138,675.24 | — | 140,100.46 | 130,307.07 | 138,208.32 | 1,892.14 | (1,331.06 | ) | — | — | 4.5 | 1.497 | MON | 488.65 | 3,196.83 | 10/7/2010 | 5/15/2023 | ||||||||||||||||
36296DR67 | GNMA POOL # 688209 | 2 | 88,147.69 | 107.332 | 90,131.89 | 83,975.17 | 87,923.97 | 2,207.92 | (3,052.94 | ) | — | — | 5 | 2.374 | MON | 349.90 | 2,887.40 | 7/29/2009 | 7/15/2023 | ||||||||||||||||
36296E5H5 | GNMA POOL # 689448 | 2 | 362,449.00 | 104.785 | 372,548.67 | 347,100.65 | 361,355.66 | 11,193.01 | (522.55 | ) | — | — | 5 | 2.494 | MON | 1,446.25 | 8,821.82 | 3/26/2009 | 7/15/2023 | ||||||||||||||||
36296TPY3 | GNMA POOL # 700739 | 2 | 651,910.34 | 105.631 | 670,359.03 | 617,421.56 | 649,127.29 | 21,231.74 | (6,554.11 | ) | — | — | 5.5 | 1.752 | MON | 2,829.85 | 17,931.43 | 6/3/2009 | 10/15/2023 | ||||||||||||||||
36296U3C2 | GNMA POOL # 701995 | 2 | 495,061.77 | 104.785 | 508,856.68 | 474,097.75 | 493,707.48 | 15,149.20 | (13,181.79 | ) | — | — | 5 | 2.293 | MON | 1975.41 | 13,140.48 | 3/26/2009 | 1/15/2024 |
36296UC73 | GNMA POOL # 701294 | 2 | 284,154.42 | 104.229 | 291,793.03 | 271,836.80 | 283,304.15 | 8,488.88 | (1,988.27 | ) | — | — | 5 | 2.569 | MON | 1,132.65 | 7,507.64 | 3/27/2009 | 1/15/2024 | ||||||||||||||||
36296URS1 | GNMA POOL # 701697 | 2 | 929,594.84 | — | 943,861.68 | 879,309.34 | 927,394.39 | 16,467.29 | (6,829.21 | ) | — | — | 5 | 1.856 | MON | 3,663.79 | 23,314.14 | 9/29/2009 | 2/15/2024 | ||||||||||||||||
36296UUL2 | GNMA POOL # 701787 | 2 | 428,157.09 | 104.229 | 443,445.03 | 413,117.05 | 427,179.29 | 16,265.74 | (15,550.83 | ) | — | — | 5 | 2.956 | MON | 1,721.32 | 14,420.02 | 6/11/2009 | 3/15/2024 | ||||||||||||||||
36296UXG0 | GNMA POOL # 701879 | 2 | 379,790.34 | — | 383,613.04 | 356,872.44 | 378,668.87 | 4,944.17 | (6,612.46 | ) | — | — | 4.5 | 1.502 | MON | 1,338.27 | 8,889.50 | 10/7/2010 | 5/15/2024 | ||||||||||||||||
36296XHH0 | GNMA POOL # 704132 | 2 | 165,812.32 | — | 168,341.93 | 156,842.85 | 165,463.89 | 2,878.04 | (1,855.14 | ) | — | — | 5 | 1.45 | MON | 653.51 | 4,581.96 | 9/29/2009 | 12/15/2023 | ||||||||||||||||
36296XLY8 | GNMA POOL # 704243 | 2 | 589,780.76 | 104.229 | 610,839.68 | 569,063.29 | 588,376.39 | 22,463.29 | (600.59 | ) | — | — | 5 | 3.036 | MON | 2,371.10 | 14,419.95 | 6/11/2009 | 1/15/2024 | ||||||||||||||||
36296XWP5 | GNMA POOL # 704554 | 2 | 2,915,684.10 | 104.229 | 3,021,614.78 | 2,814,961.29 | 2,909,395.63 | 112,219.15 | (9,321.75 | ) | — | — | 5 | 2.937 | MON | 11,729.01 | 71,326.43 | 6/11/2009 | 6/15/2024 | ||||||||||||||||
36297A3K7 | GNMA | 2 | 607,390.32 | 104.229 | 624,371.45 | 581,669.60 | 605,725.42 | 18,646.03 | (740.21 | ) | — | — | 5 | 2.305 | MON | 2,423.62 | 14,728.09 | 3/26/2009 | 1/15/2024 | ||||||||||||||||
36297AKC6 | GNMA POOL # 705991 | 2 | 101,417.25 | — | 102,438.02 | 95,297.35 | 101,112.41 | 1,325.61 | (652.36 | ) | — | — | 4.5 | 1.37 | MON | 357.37 | 2,177.75 | 10/7/2010 | 1/15/2024 | ||||||||||||||||
36297AKF9 | GNMA POOL # 705994 | 2 | 709,667.47 | — | 720,559.00 | 671,278.72 | 708,145.75 | 12,413.25 | (4,897.12 | ) | — | — | 5 | 1.55 | MON | 2,796.99 | 17,677.98 | 9/29/2009 | 1/15/2024 | ||||||||||||||||
36297CV22 | GNMA POOL # 708133 | 2 | 75,366.91 | — | 76,125.50 | 70,819.00 | 75,133.18 | 992.32 | (185.01 | ) | — | — | 4.5 | 1.536 | MON | 265.57 | 1,615.85 | 10/7/2010 | 1/15/2024 | ||||||||||||||||
36297DFF9 | GNMA POOL # 708566 | 2 | 1,702,252.00 | — | 1,728,377.09 | 1,610,170.38 | 1,697,971.52 | 30,405.57 | (6,986.28 | ) | — | — | 5 | 2.074 | MON | 6,709.04 | 42,603.84 | 9/29/2009 | 4/15/2024 | ||||||||||||||||
36297DP35 | GNMA POOL # 708842 | 2 | 62,775.25 | — | 63,407.10 | 58,987.17 | 62,587.38 | 819.72 | (574.64 | ) | — | — | 4.5 | 1.571 | MON | 221.20 | 1,449.61 | 10/7/2010 | 5/15/2024 | ||||||||||||||||
36297DTR8 | GNMA POOL # 708960 | 2 | 721,133.94 | 104.229 | 741,295.08 | 690,596.62 | 718,918.46 | 22,376.62 | (23,656.62 | ) | — | — | 5 | 2.868 | MON | 2,877.49 | 22,450.94 | 3/26/2009 | 3/15/2024 | ||||||||||||||||
36297G2R0 | GNMA POOL # 711884 | 2 | 2,294,935.84 | — | 2,330,157.08 | 2,170,793.59 | 2,289,912.79 | 40,244.29 | (4,873.27 | ) | — | — | 5 | 1.727 | MON | 9,044.97 | 55,147.03 | 9/29/2009 | 4/15/2024 | ||||||||||||||||
36297GCD0 | GNMA POOL # 711168 | 2 | 934,556.21 | — | 944,339.79 | 878,161.76 | 932,061.24 | 12,278.55 | (8,873.61 | ) | — | — | 4.5 | 1.422 | MON | 3,293.11 | 21,044.91 | 10/7/2010 | 2/15/2025 | ||||||||||||||||
36297JJ54 | GNMA POOL # 713184 | 2 | 1,597,923.89 | — | 1,622,447.83 | 1,511,485.80 | 1,593,623.43 | 28,824.40 | (1,988.38 | ) | — | — | 5 | 2.228 | MON | 6,297.86 | 38,301.72 | 9/29/2009 | 4/15/2024 | ||||||||||||||||
36297KZF1 | GNMA POOL # 714542 | 2 | 452,309.59 | 104.229 | 468,318.70 | 436,289.57 | 451,137.89 | 17,180.81 | (2,731.04 | ) | — | — | 5 | 3.367 | MON | 1,817.87 | 11,622.90 | 6/11/2009 | 6/15/2024 | ||||||||||||||||
36830HAC6 | GE EQUIPMENT SMALL TICKET LLC ABS 11-1 | 2 | 1,699,745.68 | 100.634 | 1,710,778.05 | 1,700,000.00 | 1,699,874.34 | 10,903.71 | 50.42 | — | — | 1.45 | 1.46 | MON | 684.72 | 12,325.02 | 2/1/2011 | 2/21/2014 | |||||||||||||||||
369550AM0 | GENERAL DYNAMICS CORPORATION CORP BND | 4,489,680.00 | 113.235 | 4,529,400.92 | 4,000,000.00 | 4,288,607.63 | 240,793.29 | (43,696.77 | ) | — | — | 5.375 | 2.94 | FA | 81,222.22 | 107,500.00 | 2/17/2010 | 8/15/2015 | |||||||||||||||||
369550AN8 | GENERAL DYNAMICS CORPORATION CORP BND | 7,012,114.50 | 107.048 | 6,797,541.98 | 6,350,000.00 | 6,792,823.71 | 4,718.27 | (138,258.47 | ) | — | — | 5.25 | 0.813 | FA | 138,906.25 | 166,687.50 | 9/12/2011 | 2/1/2014 | |||||||||||||||||
36962G3T9 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 104,630.90 | 103.523 | 103,523.00 | 100,000.00 | 101,151.59 | 2,371.41 | (673.22 | ) | — | — | 4.8 | 3.387 | MN | 800.00 | 2,400.00 | 10/29/2009 | 5/1/2013 | |||||||||||||||||
36962G4D3 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 261,337.50 | 117.23 | 293,075.26 | 250,000.00 | 258,825.25 | 34,250.01 | (503.54 | ) | — | — | 6 | 5.395 | FA | 6,000.00 | 7,500.00 | 10/29/2009 | 8/7/2019 | |||||||||||||||||
36962G4E1 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 230,445.00 | 100.343 | 225,771.75 | 225,000.00 | 225,236.41 | 535.34 | (995.04 | ) | — | — | 3.5 | 2.599 | FA | 3,018.75 | 3,937.50 | 10/20/2009 | 8/13/2012 | |||||||||||||||||
36962G4T8 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 7,243,470.00 | 101.936 | 7,696,148.75 | 7,550,000.00 | 7,332,204.99 | 363,943.76 | 26,799.99 | — | — | 2.25 | 3.162 | MN | 24,537.50 | 74,840.62 | 2/22/2012 | 11/9/2015 | ||||||||||||||||||
36962G5B6 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 4,897,800.00 | 99.912 | 4,995,600.15 | 5,000,000.00 | 4,919,028.75 | 76,571.40 | 21,228.75 | — | — | 1.099 | 2.136 | JAJO | 12,518.10 | 27,674.35 | 1/5/2012 | 4/7/2014 | ||||||||||||||||||
36962G5D2 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 5,000,000.00 | 98.385 | 4,919,250.10 | 5,000,000.00 | 5,000,000.00 | (80,749.90 | ) | — | — | — | 1.336 | 1.138 | FMAN | 9,833.34 | 34,311.70 | 5/4/2011 | 5/9/2016 | |||||||||||||||||
36962G5M2 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 1,648,284.00 | 101.717 | 1,678,324.90 | 1,650,000.00 | 1,648,550.05 | 29,774.85 | 266.05 | — | — | 2.15 | 2.186 | JJ | 16,949.16 | 16,949.16 | 1/4/2012 | 1/9/2015 | ||||||||||||||||||
36962GK86 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 1,589,400.00 | 107.107 | 1,606,600.33 | 1,500,000.00 | 1,547,354.24 | 59,246.09 | (10,208.76 | ) | — | — | 4.75 | 3.255 | MS | 20,979.17 | 35,625.00 | 5/19/2010 | 9/15/2014 | |||||||||||||||||
36962GU51 | GENERAL ELECTRIC CAPITAL CORP CORP BND | 4,811,750.00 | 96.56 | 4,827,999.90 | 5,000,000.00 | 4,816,058.64 | 11,941.26 | 4,308.64 | — | — | 0.669 | 1.733 | JAJO | 7,713.81 | 2,974.00 | 5/25/2012 | 1/8/2016 | ||||||||||||||||||
36962GZY3 | GENERAL ELEC CAP CO CORP BND MTN | 159,667.65 | 102.579 | 153,868.50 | 150,000.00 | 151,695.09 | 2,173.41 | (1,546.93 | ) | — | — | 5.45 | 3.314 | JJ | 3,769.59 | 4,087.50 | 10/29/2009 | 1/15/2013 | |||||||||||||||||
373334JM4 | GEORGIA POWER COMPANY CORP BND | 13,105,434.50 | 106.633 | 12,422,745.79 | 11,650,000.00 | 12,211,207.56 | 211,538.23 | (205,269.71 | ) | — | — | 6 | 2.311 | MN | 116,500.00 | 349,500.00 | 4/9/2010 | 11/1/2013 | |||||||||||||||||
373334JV4 | GEORGIA POWER COMPANY CORP BND | 3,399,082.00 | 105.769 | 3,596,144.33 | 3,400,000.00 | 3,399,284.22 | 196,860.11 | 88.09 | — | — | 3 | 3.006 | AO | 21,533.33 | 51,000.00 | 4/12/2011 | 4/15/2016 | ||||||||||||||||||
377372AC1 | GLAXOSK CAP INC CORP BND | 7,927,989.50 | 103.733 | 7,754,041.75 | 7,475,000.00 | 7,586,573.03 | 167,468.72 | (57,202.58 | ) | — | — | 4.85 | 3.1 | MN | 45,515.89 | 171,164.58 | 1/28/2010 | 5/15/2013 |
377373AB1 | GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP | F | 1,994,920.00 | 100.044 | 2,000,882.56 | 2,000,000.00 | 1,995,161.51 | 5,721.05 | 241.51 | — | — | 0.75 | 0.836 | MN | 2,166.67 | 2,166.67 | 5/2/2012 | 5/8/2015 | |||||||||||||||||
377373AC9 | GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP | F | 6,277,383.00 | 100.093 | 6,305,845.70 | 6,300,000.00 | 6,278,011.71 | 27,833.99 | 628.71 | — | — | 1.5 | 1.575 | MN | 13,650.00 | 13,650.00 | 5/2/2012 | 5/8/2017 | |||||||||||||||||
38141EA33 | GOLDMAN SACHS GROUP INC CORP BND | 5,133,795.50 | 105.652 | 5,124,107.98 | 4,850,000.00 | 5,090,667.65 | 33,440.33 | (11,341.59 | ) | — | — | 6 | 3.19 | MN | 48,500.00 | 30,700.00 | 6/14/2012 | 5/1/2014 | |||||||||||||||||
38141EA74 | GOLDMAN SACHS GROUP INC CORP BND | 1,739,374.40 | 100.711 | 1,732,223.01 | 1,720,000.00 | 1,733,395.67 | (1,172.66 | ) | (2,040.48 | ) | — | — | 3.7 | 3.432 | FA | 26,516.67 | 31,820.00 | 1/5/2011 | 8/1/2015 | ||||||||||||||||
38141GCG7 | GOLDMAN SACHS GROUP INC CORP BND | 1,402,821.06 | 100.759 | 1,344,125.06 | 1,334,000.00 | 1,339,320.21 | 4,804.85 | (15,589.63 | ) | — | — | 5.7 | 3.294 | MS | 25,346.00 | 38,019.00 | 5/28/2010 | 9/1/2012 | |||||||||||||||||
38141GEA8 | GOLDMAN SACHS GROUP INC CORP BND | 7,048,286.00 | 104.398 | 7,125,145.48 | 6,825,000.00 | 6,987,969.41 | 137,176.07 | (32,873.04 | ) | — | — | 5.125 | 4.123 | JJ | 161,288.02 | 184,432.38 | 1/19/2012 | 1/15/2015 | |||||||||||||||||
38141GGT5 | GOLDMAN SACHS GROUP INC SENIOR CORP BND | 4,371,893.75 | 99.717 | 4,362,619.54 | 4,375,000.00 | 4,372,052.99 | (9,433.45 | ) | 180.83 | — | — | 3.3 | 3.325 | MN | 23,260.42 | 26,468.75 | 4/30/2012 | 5/3/2015 | |||||||||||||||||
38143USB8 | GOLDMAN SACHS GROUP INC SENIOR CORP BND | 11,471,774.50 | 98.805 | 11,313,172.50 | 11,450,000.00 | 11,462,269.50 | (149,097.00 | ) | (4,600.01 | ) | — | — | 1.466 | 1.24 | FMAN | 25,175.99 | 99,065.92 | 7/12/2011 | 2/7/2014 | ||||||||||||||||
38144LAC4 | GOLDMAN SACHS GROUP INC CORP BND | 5,092,400.00 | 101.476 | 5,073,800.00 | 5,000,000.00 | 5,007,631.22 | 66,168.78 | (11,189.76 | ) | — | — | 5.45 | 4.982 | MN | 45,416.67 | 136,250.00 | 5/13/2008 | 11/1/2012 | |||||||||||||||||
383742TU7 | GNMA CMO 08-17 EH | 2 | 1,828,729.36 | 103.63 | 1,804,063.41 | 1,740,869.84 | 1,789,408.35 | 14,655.06 | (45,041.36 | ) | — | — | 5.25 | 0.43 | MON | 7,616.30 | 52,287.93 | 3/15/2011 | 11/1/2013 | ||||||||||||||||
38374C3K5 | GOVERNMENT NATIONAL MORTGAGE A CMO_03-85 | 2 | 1,002,806.75 | 101.714 | 962,900.75 | 946,672.05 | 967,610.21 | (4,709.46 | ) | (30,568.19 | ) | — | — | 4.5 | (0.227 | ) | MON | 3,550.02 | 25,694.05 | 4/26/2011 | 7/1/2013 | ||||||||||||||
38374CQ53 | GNMA CMO_03-86 VJ | 2 | 3,736,159.16 | 101.974 | 3,622,000.94 | 3,551,904.12 | 3,612,866.16 | 9,134.78 | (116,892.89 | ) | — | — | 5.5 | (0.019 | ) | MON | 16,279.56 | 121,147.33 | 5/13/2011 | 3/1/2013 | |||||||||||||||
38374GRG9 | GNMA CMO_04-38 VA | 2 | 1,348,013.24 | 104.35 | 1,321,187.50 | 1,266,111.64 | 1,304,074.47 | 17,113.03 | (28,646.62 | ) | — | — | 5 | (1.011 | ) | MON | 5,275.47 | 33,777.13 | 1/7/2011 | 8/1/2013 | |||||||||||||||
38374H7F1 | GNMA AGENCY CMO 04-69-FG | 2 | 1,829,291.31 | 100.12 | 1,829,771.05 | 1,827,577.96 | 1,828,258.56 | 1,512.49 | (845.79 | ) | — | — | 0.544 | 0.464 | MON | 303.64 | 6,382.30 | 5/21/2010 | 6/20/2013 | ||||||||||||||||
38374JUS3 | GNMA CMO_04-82 MA | 2 | 4,937,472.66 | 104.412 | 4,848,830.95 | 4,643,959.88 | 4,836,283.62 | 12,547.33 | (128,689.44 | ) | — | — | 5 | (0.002 | ) | MON | 19,349.83 | 131,591.12 | 3/9/2011 | 7/1/2014 | |||||||||||||||
38374VKJ7 | GNMA CMO_09-45 BA | 2 | 5,429,687.12 | 103.848 | 5,252,873.87 | 5,058,223.81 | 5,192,697.07 | 60,176.80 | (86,688.37 | ) | — | — | 5 | 0.042 | MON | 21,075.93 | 138,189.55 | 3/7/2011 | 10/1/2013 | ||||||||||||||||
38374YGV9 | GNMA_10-86 AGENCY CMO 10-86 | 2 | 2,546,185.82 | 104.219 | 2,516,008.81 | 2,414,161.38 | 2,536,887.39 | (20,878.58 | ) | (17,066.95 | ) | — | — | 3.5 | 0.522 | MON | 7,041.30 | 31,285.98 | 2/15/2012 | 2/1/2017 | |||||||||||||||
38375PXQ9 | GNMA CMO 08-11 FB | 2 | 1,545,287.11 | 98.454 | 1,517,606.20 | 1,541,433.53 | 1,545,247.90 | (27,641.70 | ) | (653.51 | ) | — | — | 0.844 | 0.743 | MON | 397.40 | 7,172.58 | 3/8/2010 | 9/20/2037 | |||||||||||||||
38375XTH7 | GNMA_08-72 CMO_08-72 V | 2 | 2,055,462.26 | 101.398 | 1,966,224.17 | 1,939,115.34 | 1,964,719.42 | 1,504.75 | (82,062.95 | ) | — | — | 6 | (0.588 | ) | MON | 9,695.58 | 84,051.49 | 8/18/2010 | 12/1/2012 | |||||||||||||||
38376CUM9 | GNMA CMO_09-79 PA | 2 | 12,301,776.11 | 103.879 | 12,026,326.59 | 11,577,290.95 | 12,086,584.09 | (60,257.50 | ) | (116,825.16 | ) | — | — | 4.5 | (0.425 | ) | MON | 43,414.85 | 164,849.69 | 8/2/2011 | 8/1/2014 | ||||||||||||||
38376GZ29 | GNMA CMBS_11-096 AB | 2 | 4,206,572.08 | 102.165 | 4,255,093.43 | 4,164,922.85 | 4,196,396.39 | 58,697.04 | (17,945.43 | ) | — | — | 2.161 | 1.634 | MON | 7,498.60 | 50,550.65 | 7/7/2011 | 2/1/2016 | ||||||||||||||||
38376JSV7 | GNMA AGENCY CMO 09-103 | 2 | 1,659,929.55 | 104.373 | 1,648,542.63 | 1,579,475.03 | 1,647,705.24 | 837.39 | (22,388.51 | ) | — | — | 4.5 | 0.247 | MON | 5,923.03 | 29,701.42 | 2/6/2012 | 12/1/2014 | ||||||||||||||||
38376YC58 | GNMA_10-47 AGENCY CMO 10-47 | 2 | 4,204,662.41 | 103.5 | 4,214,843.19 | 4,072,312.26 | 4,192,869.02 | 21,974.17 | (18,990.58 | ) | — | — | 3 | 0.68 | MON | 10,180.78 | 33,003.35 | 3/21/2012 | 6/1/2015 | ||||||||||||||||
38376YG96 | GNMA CMO_10-47 TA | 2 | 423,837.26 | 102.236 | 422,744.47 | 413,499.77 | 422,870.91 | (126.44 | ) | (966.35 | ) | — | — | 3 | (0.492 | ) | MON | 1,033.75 | 827.00 | 6/4/2012 | 12/1/2013 | ||||||||||||||
38377WZ56 | GNMA_11-99 CMO_11-99 | 2 | 6,499,745.86 | 100.027 | 6,490,345.50 | 6,488,593.59 | 6,499,656.03 | (9,310.53 | ) | (192.08 | ) | — | — | 0.643 | 0.598 | MON | 1,737.73 | 3,015.74 | 5/31/2012 | 7/16/2041 | |||||||||||||||
40414LAB5 | HEALTH CARE PROPERTY INVESTORS CORP BND | 2,982,845.25 | 100.987 | 3,004,350.99 | 2,975,000.00 | 2,979,203.78 | 25,147.21 | (1,288.67 | ) | — | — | 2.7 | 2.608 | FA | 33,468.75 | 40,162.50 | 1/20/2011 | 2/1/2014 | |||||||||||||||||
40428HPG1 | HSBC USA INC SENIOR CORP BND | 13,694,413.50 | 100.812 | 13,660,012.04 | 13,550,000.00 | 13,679,333.65 | (19,321.61 | ) | (16,418.34 | ) | — | — | 2.375 | 1.998 | FA | 123,361.46 | 112,198.96 | 3/2/2012 | 2/13/2015 | ||||||||||||||||
40429CFV9 | HSBC FINANCE CORP CORP BND | 9,139,665.00 | 98.895 | 9,395,024.71 | 9,500,000.00 | 9,347,617.88 | 47,406.83 | 48,268.00 | — | — | 0.717 | 1.592 | JAJO | 14,372.82 | 36,533.94 | 4/26/2010 | 1/15/2014 | ||||||||||||||||||
41283KAC1 | HDMOT_10-1 ABS 10-1 A3 | 2 | 975,923.35 | 100.267 | 978,662.76 | 976,061.17 | 976,012.24 | 2,650.52 | 31.74 | — | — | 1.16 | 1.169 | MON | 503.21 | 6,306.20 | 11/17/2010 | 6/15/2013 | |||||||||||||||||
41283LAA3 | HARLEY-DAVIDSON FINANCIAL CORP BND 144A | 5,354,250.00 | 104.546 | 5,488,642.43 | 5,250,000.00 | 5,339,448.59 | 149,193.84 | (11,239.17 | ) | — | — | 3.875 | 3.379 | MS | 59,901.05 | 101,718.75 | 10/27/2011 | 3/15/2016 | |||||||||||||||||
41283NAC5 | HARLEY DAVIDSON MOTORCYCLE TRU ABS_11-1 | 2 | 4,922,067.05 | 100 | 4,922,067.05 | 4,922,067.05 | 4,922,067.05 | — | — | — | — | 0.442 | 0.442 | MON | 966.37 | 14,908.47 | 8/4/2011 | 2/15/2013 | |||||||||||||||||
415864AK3 | HARSCO CORPORATION CORP BND | 4,531,275.00 | 100.928 | 4,541,750.10 | 4,500,000.00 | 4,523,989.17 | 17,760.93 | (3,828.97 | ) | — | — | 2.7 | 2.53 | AO | 25,650.00 | 67,275.00 | 6/2/2011 | 10/15/2015 | |||||||||||||||||
419791YG7 | HAWAII ST MUNI BND GO | 2,007,940.00 | 105.361 | 2,107,220.00 | 2,000,000.00 | 2,004,275.36 | 102,944.64 | (789.36 | ) | — | — | 3 | 2.914 | FA | 25,000.00 | 30,000.00 | 2/10/2010 | 2/1/2015 | |||||||||||||||||
423074AJ2 | HEINZ H. J. COMPANY CORP BND | 3,203,550.00 | 103.633 | 3,144,047.25 | 3,000,000.00 | 3,145,997.01 | (1,949.76 | ) | (57,552.99 | ) | — | — | 5.35 | 0.641 | JJ | 74,008.33 | 65,983.33 | 1/31/2012 | 7/15/2013 |
423074AN3 | HEINZ H. J. COMPANY SENIOR CORP BND | 1,472,743.25 | 99.417 | 1,466,407.83 | 1,475,000.00 | 1,472,886.54 | (6,478.71 | ) | 143.29 | — | — | 1.5 | 1.532 | MS | 7,313.54 | 7,313.54 | 2/28/2012 | 3/1/2017 | |||||||||||||||||
427028AA3 | CANADA GOVERNMENT GOVT BND | A | 2,298,551.00 | 100.56 | 2,312,879.95 | 2,300,000.00 | 2,298,658.69 | 14,221.26 | 107.69 | — | — | 0.875 | 0.888 | FA | 7,658.68 | 7,658.68 | 2/7/2012 | 2/14/2017 | |||||||||||||||||
427866AS7 | HERSHEY FOODS CORPORATION CORP BND | 3,117,718.75 | 100.503 | 3,140,704.41 | 3,125,000.00 | 3,118,607.08 | 22,097.33 | 703.27 | — | — | 1.5 | 1.549 | MN | 7,812.50 | 23,437.50 | 11/8/2011 | 11/1/2016 | ||||||||||||||||||
428236AT0 | HEWLETT-PACKARD COMPANY CORP BND | 6,576,217.00 | 107.388 | 6,416,433.95 | 5,975,000.00 | 6,188,708.42 | 227,725.53 | (61,022.04 | ) | — | — | 6.125 | 3.889 | MS | 121,989.58 | 182,984.38 | 10/26/2009 | 3/1/2014 | |||||||||||||||||
428236AV5 | HEWLETT-PACKARD COMPANY CORP BND | 8,728,518.65 | 105.807 | 8,548,149.95 | 8,079,000.00 | 8,381,878.46 | 166,271.49 | (79,816.34 | ) | — | — | 4.75 | 2.733 | JD | 30,913.40 | 201,772.08 | 4/9/2010 | 6/2/2014 | |||||||||||||||||
428236BJ1 | HEWLETT-PACKARD COMPANY CORP BND | 8,105,000.00 | 99.122 | 8,033,838.26 | 8,105,000.00 | 8,105,000.00 | (71,161.74 | ) | — | — | — | 0.867 | 0.654 | FMAN | 6,245.18 | 36,745.36 | 5/25/2011 | 5/30/2014 | |||||||||||||||||
428236BW2 | HEWLETT-PACKARD COMPANY UNSEC CORP BND | 1,874,718.75 | 100.095 | 1,876,776.54 | 1,875,000.00 | 1,874,734.43 | 2042.11 | 15.68 | — | — | 2.6 | 2.603 | MS | 14,760.42 | 14,760.42 | 3/7/2012 | 9/15/2017 | ||||||||||||||||||
429827AB4 | HEF_10-401 ABS 04-1 A2 144A | 2 | 164,000.00 | 85.341 | 170,681.60 | 200,000.00 | 197,882.61 | (27,201.01 | ) | 26,611.57 | — | — | 1.648 | 10.563 | MON | 118.99 | 1,229.63 | 9/10/2009 | 9/1/2012 | ||||||||||||||||
429827AE8 | HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 | 2 | 164,000.00 | 85.341 | 170,681.60 | 200,000.00 | 171,553.26 | (871.66 | ) | 1,229.17 | — | — | 3.415 | 6.161 | MON | 569.17 | 2008.04 | 9/10/2009 | 11/25/2024 | ||||||||||||||||
429827AF5 | HEF_10-401 ABS 04-1 A6 144A | 2 | 164,000.00 | 85.341 | 170,681.60 | 200,000.00 | 171,489.75 | (808.15 | ) | 1,840.18 | — | — | 1.74 | 4.072 | MON | 183.67 | 1,256.41 | 9/10/2009 | 10/27/2025 | ||||||||||||||||
429827AJ7 | HIGHER EDUCATION FUNDING HEF_0 ABS 04-1 | 2 | 164,224.00 | 85.341 | 170,681.60 | 200,000.00 | 171,003.59 | (321.99 | ) | 1,401.45 | — | — | 1.712 | 3.963 | MON | 271.30 | 1,080.03 | 9/10/2009 | 9/25/2026 | ||||||||||||||||
429827AK4 | HIGHER EDUCATION FUNDING HEF_0 ABS_04-1 | 2 | 164,196.00 | 85.341 | 170,681.60 | 200,000.00 | 169,091.31 | 1,590.29 | 183.95 | — | — | 1.604 | 3.805 | MON | 35.05 | 768.69 | 9/10/2009 | 12/27/2027 | |||||||||||||||||
429827AN8 | HEF_04-1 ABS 04-1 A13 144A | 2 | 164,000.00 | 85.341 | 170,681.60 | 200,000.00 | 169,595.93 | 1,085.67 | 1,126.12 | — | — | 1.566 | 3.499 | MON | 171.15 | 1,117.21 | 9/10/2009 | 9/25/2029 | |||||||||||||||||
429827AQ1 | HEF_04-1 ABS 04-1 A15 144A | 246,000.00 | 86.24 | 258,720.60 | 300,000.00 | 247,971.67 | 10,748.93 | (1,330.88 | ) | — | — | 3.441 | 4.507 | MON | 733.33 | 2,905.63 | 9/10/2009 | 1/1/2044 | |||||||||||||||||
43813BAC6 | HAROT_2010-3 ABS_10-3 A3 | 2 | 989,126.98 | 100.06 | 988,099.35 | 987,506.85 | 988,167.09 | (67.74 | ) | (906.67 | ) | — | — | 0.7 | 0.559 | MON | 192.02 | 4,468.89 | 8/18/2011 | 5/21/2013 | |||||||||||||||
43813EAD8 | HONDA AUTO RECEIVABLES OWNER T ABS 12-2 | 2 | 1,599,694.08 | 100.303 | 1,604,847.90 | 1,600,000.00 | 1,599,707.30 | 5,140.60 | 13.22 | — | — | 0.91 | 0.916 | MON | 647.10 | 2,669.33 | 4/18/2012 | 8/15/2016 | |||||||||||||||||
43813TAD5 | HAROT_11-1 ABS_11-1 A4 | 2 | 2,199,414.14 | 101.837 | 2,240,417.48 | 2,200,000.00 | 2,199,645.56 | 40,771.92 | 86.62 | — | — | 1.8 | 1.815 | MON | 1,760.00 | 19,800.00 | 2/17/2011 | 3/15/2015 | |||||||||||||||||
43813UAC4 | HAROT_12-1 ABS 12-1 | 2 | 2,749,835.00 | 100.229 | 2,756,291.73 | 2,750,000.00 | 2,749,854.69 | 6,437.04 | 19.69 | — | — | 0.77 | 0.773 | MON | 941.11 | 7,528.88 | 2/14/2012 | 3/15/2015 | |||||||||||||||||
438516AY2 | HONEYWELL INTERNATIONAL INC CORP BND | 1,061,080.00 | 105.091 | 1,050,905.46 | 1,000,000.00 | 1,035,654.53 | 15,250.93 | (10,791.11 | ) | — | — | 3.875 | 1.636 | FA | 14,638.88 | 19,375.00 | 10/20/2011 | 2/15/2014 | |||||||||||||||||
44328MAB0 | HSBC BANK PLC CORP BND 144A | F | 3,497,130.00 | 105.066 | 3,677,315.95 | 3,500,000.00 | 3,498,223.00 | 179,092.95 | 277.81 | — | — | 3.5 | 3.518 | JD | 1,020.83 | 61,250.00 | 6/21/2010 | 6/28/2015 | |||||||||||||||||
44328MAD6 | HSBC BANK PLC CORP BOND 144A | F | 3,046,706.00 | 100.134 | 3,054,084.53 | 3,050,000.00 | 3,048,756.58 | 5,327.95 | 548.81 | — | — | 1.625 | 1.662 | FA | 19,136.63 | 24,781.25 | 8/5/2010 | 8/12/2013 | |||||||||||||||||
4488148U0 | HYDRO-QUEBEC SENIOR CORP BND | A | 4,994,200.00 | 100.043 | 5,002,149.95 | 5,000,000.00 | 4,994,236.85 | 7,913.10 | 36.85 | — | — | 1.375 | 1.399 | JD | 2,291.67 | 2,291.67 | 6/12/2012 | 6/19/2017 | |||||||||||||||||
44890FAC1 | HYUNDAI AUTO LEASE SECURITIZAT ABS_12-A | 2 | 3,499,626.55 | 100.172 | 3,506,020.00 | 3,500,000.00 | 3,499,632.21 | 6,387.79 | 5.66 | — | — | 0.92 | 0.927 | MON | 983.89 | 983.89 | 6/13/2012 | 8/17/2015 | |||||||||||||||||
44890GAD7 | HART_12-A ABS 12-A | 2 | 4,259,591.04 | 100.545 | 4,283,217.43 | 4,260,000.00 | 4,259,626.97 | 23,590.46 | 35.93 | — | — | 0.95 | 0.955 | MON | 1,798.67 | 12,815.50 | 2/28/2012 | 10/15/2015 | |||||||||||||||||
44920UAC2 | HYUNDAI CAP SVC CORP BND 144A | F | 2,982,210.00 | 104.742 | 3,142,249.74 | 3,000,000.00 | 2,986,423.02 | 155,826.72 | 1,502.13 | — | — | 4.375 | 4.498 | JJ | 56,145.83 | 65,625.00 | 1/20/2011 | 7/27/2016 | |||||||||||||||||
44923QAB0 | HYUNDAI CAPITAL AMERICA CORP BND 144A | 1,991,020.00 | 104.181 | 2,083,628.84 | 2,000,000.00 | 1,991,850.65 | 91,778.19 | 734.10 | — | — | 4 | 4.092 | JD | 5,111.11 | 40,000.00 | 12/1/2011 | 6/8/2017 | ||||||||||||||||||
44923WAD3 | HART ABS 10-A 4 | 2 | 8,149,863.90 | 102.933 | 8,389,052.54 | 8,150,000.00 | 8,149,772.16 | 239,280.38 | (20.91 | ) | — | — | 2.45 | 2.462 | MON | 8,874.44 | 99,837.48 | 5/5/2010 | 8/15/2015 | ||||||||||||||||
44923YAC1 | HART_10-B ABS 10-B A3 | 2 | 3,054,184.18 | 100.303 | 3,063,989.71 | 3,054,728.99 | 3,054,559.74 | 9,429.97 | 142.62 | — | — | 0.97 | 0.979 | MON | 1,316.93 | 17,568.91 | 8/19/2010 | 12/15/2013 | |||||||||||||||||
44923YAD9 | HART_10-B ABS_10-B A4 | 2 | 7,549,294.08 | 101.978 | 7,699,338.25 | 7,550,000.00 | 7,549,602.45 | 149,735.80 | 82.89 | — | — | 1.63 | 1.638 | MON | 5,469.56 | 61,532.52 | 8/19/2010 | 9/15/2015 | |||||||||||||||||
44924EAB6 | IBM INTL GROUP CAPITAL CORP BND | 6,015,244.20 | 101.425 | 6,105,785.00 | 6,020,000.00 | 6,019,672.18 | 86,112.82 | 519.97 | — | — | 5.05 | 5.068 | AO | 58,268.58 | 152,005.00 | 10/17/2007 | 10/22/2012 | ||||||||||||||||||
449786AN2 | ING BANK NV CORP BND 144A | F | 2,375,000.00 | 98.648 | 2,342,890.07 | 2,375,000.00 | 2,375,000.00 | (32,109.93 | ) | — | — | — | 1.868 | 1.652 | MJSD | 2,464.52 | 22,781.32 | 6/1/2011 | 6/9/2014 | ||||||||||||||||
4521518T3 | ILLINOIS ST MUNI BND GO | 3,144,919.00 | 101.28 | 3,139,680.00 | 3,100,000.00 | 3,107,842.98 | 31,837.02 | (7,734.39 | ) | — | — | 3.321 | 2.808 | JJ | 51,475.50 | 51,475.50 | 1/12/2010 | 1/1/2013 | |||||||||||||||||
4521518V8 | ILLINOIS ST MUNI BND GO | 2,300,000.00 | 105.127 | 2,417,920.98 | 2,300,000.00 | 2,300,000.00 | 117,920.98 | — | — | — | 4.421 | 4.421 | JJ | 50,841.50 | 50,841.50 | 1/8/2010 | 1/1/2015 | ||||||||||||||||||
452227FG1 | ILLINOIS ST SALES TAX REV MUNITAX BND | 4,100,000.00 | 99.924 | 4,096,884.00 | 4,100,000.00 | 4,100,000.00 | (3,116.00 | ) | — | — | — | 1.56 | 1.56 | JD | 7,817.33 | 7,817.33 | 5/10/2012 | 6/15/2017 |
458140AH3 | INTEL CORPORATION CORP BND | 1,797,246.00 | 103.393 | 1,861,067.50 | 1,800,000.00 | 1,797,661.64 | 63,405.86 | 108.07 | — | — | 1.95 | 1.982 | AO | 8,775.00 | 7,215.00 | 9/14/2011 | 10/1/2016 | ||||||||||||||||||
45818WAE6 | INTER-AMERICAN DEV BK CORP BND | E | 10,232,329.30 | 101.124 | 10,213,524.11 | 10,100,000.00 | 10,193,182.03 | 20,342.08 | (8,532.30 | ) | — | — | 0.917 | 0.359 | FMAN | 10,546.33 | 14,896.79 | 2/22/2012 | 5/20/2014 | ||||||||||||||||
4581X0AF5 | INTER-AMERICAN DEV BK CORP BND EMTN | E | 7,418,582.14 | 103.205 | 7,430,760.14 | 7,200,000.00 | 7,285,528.88 | 145,231.26 | (41,217.28 | ) | — | — | 3.5 | 2.314 | JJ | 121,100.00 | 126,000.00 | 11/12/2010 | 7/8/2013 | ||||||||||||||||
4581X0AT5 | INTER-AMERICAN DEV BK CORP BND | E | 6,399,162.94 | 101.131 | 6,067,865.16 | 6,000,000.00 | 6,046,064.42 | 21,800.74 | (75,726.22 | ) | — | — | 4.75 | 2.168 | AO | 57,000.00 | 142,500.00 | 2/19/2010 | 10/19/2012 | ||||||||||||||||
459200GN5 | IBM CORP CORP BND | 1,250,026.50 | 107.424 | 1,208,517.73 | 1,125,000.00 | 1,163,756.52 | 44,761.21 | (14,469.75 | ) | — | — | 6.5 | 3.737 | AO | 15,437.50 | 36,562.50 | 6/11/2009 | 10/15/2013 | |||||||||||||||||
459200GT2 | IBM CORP CORP BND | 4,287,979.58 | 100.542 | 4,323,299.77 | 4,300,000.00 | 4,295,416.18 | 27,883.59 | 1,788.96 | — | — | 1 | 1.098 | FA | 17,438.89 | 19,416.67 | 11/12/2010 | 8/5/2013 | ||||||||||||||||||
459200GZ8 | IBM CORP CORP BND | 5,993,280.00 | 100.143 | 6,008,582.16 | 6,000,000.00 | 5,994,874.22 | 13,707.94 | 1,181.28 | — | — | 0.875 | 0.912 | AO | 8,895.83 | 26,250.00 | 10/27/2011 | 10/31/2014 | ||||||||||||||||||
459200HB0 | IBM CORP CORP BND | 5,122,023.50 | 99.245 | 5,111,141.60 | 5,150,000.00 | 5,123,668.14 | (12,526.54 | ) | 1,644.64 | — | — | 0.55 | 0.749 | FA | 11,408.68 | 4,637.57 | 5/1/2012 | 2/6/2015 | |||||||||||||||||
459200HC8 | IBM CORP CORP BND | 5,928,619.35 | 99.423 | 5,920,612.61 | 5,955,000.00 | 5,930,672.49 | (10,059.88 | ) | 2,721.72 | — | — | 1.25 | 1.342 | FA | 29,981.77 | 39,812.33 | 2/22/2012 | 2/6/2017 | |||||||||||||||||
459200HD6 | IBM CORP SENIOR CORP BND | 9,534,147.00 | 99.621 | 9,513,831.19 | 9,550,000.00 | 9,534,872.00 | (21,040.81 | ) | 725.00 | — | — | 0.75 | 0.806 | MN | 9,947.91 | 9,947.91 | 5/8/2012 | 5/11/2015 | |||||||||||||||||
45950KAT7 | INTERNATIONAL FINANCE CO CORP BND | E | 4,683,362.00 | 102.412 | 4,813,347.65 | 4,700,000.00 | 4,696,924.40 | 116,423.25 | 1,717.43 | — | — | 3.5 | 3.576 | MN | 21,019.45 | 82,250.00 | 12/14/2011 | 5/15/2013 | |||||||||||||||||
45950KAZ3 | INTERNATIONAL FINANCE CO CORP BND | E | 8,216,320.00 | 104.792 | 8,383,360.00 | 8,000,000.00 | 8,092,642.98 | 290,717.02 | (823.54 | ) | — | — | 3 | 2.342 | AO | 46,000.00 | 4,000.00 | 12/11/2009 | 4/22/2014 | ||||||||||||||||
45950VBV7 | INTERNATIONAL FINANCE CO UNSECURED CORP | E | 299,595.00 | 99.666 | 298,998.00 | 300,000.00 | 299,616.32 | (618.32 | ) | 21.32 | — | — | 0.5 | 0.545 | MN | 241.67 | 241.67 | 4/26/2012 | 5/15/2015 | ||||||||||||||||
46623EJF7 | JPMORGAN CHASE & CO CORP BND MTN | 5,775,000.00 | 100.259 | 5,789,957.42 | 5,775,000.00 | 5,775,000.00 | 14,957.42 | — | — | — | 1.266 | 1.103 | JAJO | 13,806.13 | 38,160.26 | 1/14/2011 | 1/24/2014 | ||||||||||||||||||
46623EJH3 | JPMORGAN CHASE & CO CORP BND MTN | 7,454,277.80 | 99.916 | 7,443,742.00 | 7,450,000.00 | 7,453,009.29 | (9,267.29 | ) | (723.65 | ) | — | — | 1.218 | 1.065 | MJSD | 4,032.43 | 44,486.67 | 2/9/2012 | 5/2/2014 | ||||||||||||||||
46623EJP5 | JPMORGAN CHASE & CO SENIOR CORP BND MTN | 11,916,652.50 | 99.527 | 11,868,594.75 | 11,925,000.00 | 11,917,404.88 | (48,810.13 | ) | 691.84 | — | — | 1.875 | 1.899 | MS | 62,109.38 | 57,200.53 | 3/14/2012 | 3/20/2015 | |||||||||||||||||
46625HCE8 | JPMORGAN CHASE & CO CORP BND | 182,024.50 | 106.823 | 186,940.79 | 175,000.00 | 178,697.23 | 8,243.56 | (646.87 | ) | — | — | 4.75 | 3.908 | MS | 2,770.83 | 4,156.25 | 10/29/2009 | 3/1/2015 | |||||||||||||||||
46625HGT1 | JPMORGAN CHASE & CO CORP BND | 5,222,250.00 | 101.162 | 5,058,100.00 | 5,000,000.00 | 5,013,101.59 | 44,998.41 | (25,644.98 | ) | — | — | 5.375 | 4.31 | AO | 67,187.50 | 134,375.00 | 1/30/2008 | 10/1/2012 | |||||||||||||||||
46625HHB9 | JPMORGAN CHASE & CO CORP BND | 7,647,350.00 | 102.978 | 7,723,350.00 | 7,500,000.00 | 7,543,338.76 | 180,011.24 | (21,262.87 | ) | — | — | 4.75 | 4.037 | MN | 59,375.00 | 168,872.40 | 2/22/2012 | 5/1/2013 | |||||||||||||||||
46625HHN3 | JPMORGAN CHASE & CO CORP BND | 3,390,096.00 | 105.319 | 3,370,220.96 | 3,200,000.00 | 3,284,630.90 | 85,590.06 | (21,123.35 | ) | — | — | 4.65 | 3.216 | JD | 12,400.00 | 74,400.00 | 12/16/2009 | 6/1/2014 | |||||||||||||||||
46625HHP8 | JPMORGAN CHASE & CO CORP BND | 8,568,850.00 | 103.945 | 8,835,319.14 | 8,500,000.00 | 8,538,065.40 | 297,253.74 | (7,062.21 | ) | — | — | 3.7 | 3.515 | JJ | 140,651.39 | 157,250.00 | 3/18/2010 | 1/20/2015 | |||||||||||||||||
46625HHX1 | JPMORGAN CHASE & CO CORP BND | 5,088,650.00 | 103.555 | 5,177,765.65 | 5,000,000.00 | 5,069,251.70 | 108,513.95 | (8,795.81 | ) | — | — | 3.45 | 3.048 | MS | 57,500.00 | 86,250.00 | 5/16/2011 | 3/1/2016 | |||||||||||||||||
46625HJA9 | JPMORGAN CHASE & CO CORP BND | 1,353,620.00 | 102.736 | 1,361,248.66 | 1,325,000.00 | 1,351,111.54 | 10,137.12 | (2,508.46 | ) | — | — | 3.15 | 2.629 | JJ | 20,405.00 | 17,158.75 | 1/31/2012 | 7/5/2016 | |||||||||||||||||
47787AAD9 | JDOT_10-A ABS 10-A-A3 | 2 | 301,738.20 | 100.2 | 302,385.31 | 301,781.75 | 301,774.50 | 610.81 | 26.24 | — | — | 1.32 | 1.331 | MON | 177.05 | 3,062.35 | 4/15/2010 | 2/15/2013 | |||||||||||||||||
47787BAB1 | JDOT_12-A ABS 12-A | 2 | 499,993.30 | 100 | 500,000.00 | 500,000.00 | 499,994.13 | 5.87 | 0.83 | — | — | 0.59 | 0.591 | MON | 131.11 | 983.33 | 2/22/2012 | 10/15/2013 | |||||||||||||||||
47787BAD7 | JDOT_12-A ABS 12-A | 2 | 3,999,112.40 | 100.63 | 4,025,183.20 | 4,000,000.00 | 3,999,182.15 | 26,001.05 | 69.75 | — | — | 0.99 | 0.997 | MON | 1,760.00 | 13,200.00 | 2/22/2012 | 10/15/2016 | |||||||||||||||||
478160AP9 | J & J MEDICAL CORP BND | R | 1,056,318.58 | 100.549 | 1,005,490.00 | 1,000,000.00 | 1,004,008.49 | 1,481.51 | (16,131.66 | ) | — | — | 5.15 | 1.877 | FA | 19,455.56 | 25,750.00 | 11/12/2010 | 8/15/2012 | ||||||||||||||||
478160AW4 | JOHNSON & JOHNSON CORP BND | 122,861.25 | 107.427 | 134,283.46 | 125,000.00 | 123,211.76 | 11,071.70 | 94.66 | — | — | 2.95 | 3.15 | MS | 1,229.17 | 1,843.75 | 8/12/2010 | 9/1/2020 | ||||||||||||||||||
478160AX2 | JOHNSON & JOHNSON CORP BND | 6,991,810.00 | 101.185 | 7,082,939.15 | 7,000,000.00 | 6,994,828.20 | 88,110.95 | 1,357.42 | — | — | 1.2 | 1.24 | MN | 10,733.33 | 42,000.00 | 5/17/2011 | 5/15/2014 | ||||||||||||||||||
478366AY3 | JOHNSON CONTROLS INC CORP BND | 5,400,000.00 | 100.321 | 5,417,333.57 | 5,400,000.00 | 5,400,000.00 | 17,333.57 | — | — | — | 0.876 | 0.721 | FMAN | 7,619.89 | 24,728.82 | 2/1/2011 | 2/4/2014 | ||||||||||||||||||
479403AB3 | JOHNSTON RE LTD CORP BND 144A | E | 1,500,000.00 | 100.06 | 1,500,900.00 | 1,500,000.00 | 1,500,000.00 | 900.00 | — | — | — | 6.5 | 6.551 | MJSD | 6,229.17 | 121,968.59 | 4/30/2010 | 5/8/2013 | |||||||||||||||||
487836BG2 | KELLOGG COMPANY SENIOR CORP BND | 2,646,899.50 | 100.341 | 2,659,027.70 | 2,650,000.00 | 2,647,024.15 | 12,003.55 | 124.65 | — | — | 1.125 | 1.165 | MN | 3,643.75 | 3,643.75 | 5/14/2012 | 5/15/2015 | ||||||||||||||||||
487836BH0 | KELLOGG COMPANY SENIOR CORP BND | 2,312,398.50 | 99.628 | 2,316,341.91 | 2,325,000.00 | 2,312,693.98 | 3,647.93 | 295.48 | — | — | 1.75 | 1.864 | MN | 4,972.92 | 4,972.92 | 5/14/2012 | 5/17/2017 | ||||||||||||||||||
494550BG0 | KINDER MORGAN ENERGY PARTNERS CORP BND | 1,149,793.00 | 105.348 | 1,211,507.08 | 1,150,000.00 | 1,149,842.34 | 61,664.74 | 19.83 | — | — | 3.5 | 3.504 | MS | 13,416.67 | 20,125.00 | 2/23/2011 | 3/1/2016 |
50075NAX2 | KRAFT FOODS INC. CORP BND | 1,362,577.00 | 109.44 | 1,285,925.41 | 1,175,000.00 | 1,263,819.50 | 22,105.91 | (49,577.25 | ) | — | — | 6.75 | 2.024 | FA | 29,081.25 | 74,123.44 | 8/10/2010 | 2/19/2014 | |||||||||||||||||
50075NBB9 | KRAFT FOODS INC. CORP BND | 5,709,690.00 | 108.884 | 5,716,424.55 | 5,250,000.00 | 5,568,773.03 | 147,651.52 | (42,005.32 | ) | — | — | 4.125 | 2.359 | FA | 85,421.88 | 108,281.25 | 10/14/2010 | 2/9/2016 | |||||||||||||||||
50075NBC7 | KRAFT FOODS INC. CORP BND | 4,500,000.00 | 100.361 | 4,516,245.00 | 4,500,000.00 | 4,500,000.00 | 16,245.00 | — | — | — | 1.344 | 1.457 | JAJO | 13,777.54 | 30,345.23 | 1/5/2012 | 7/10/2013 | ||||||||||||||||||
500769AX2 | KREDITANSTALT FUER WIDERAUFBAU CORP BND | F | 15,891,001.50 | 108.023 | 16,203,450.45 | 15,000,000.00 | 15,414,213.64 | 789,236.81 | (51,056.13 | ) | — | — | 4.125 | 2.87 | AO | 130,625.00 | 180,468.75 | 8/31/2009 | 10/15/2014 | ||||||||||||||||
500769EP5 | KREDITANSTALT FUER WIDERAUFBAU CORP BND | F | 7,500,000.00 | 100.007 | 7,500,525.83 | 7,500,000.00 | 7,500,000.00 | 525.83 | — | — | — | 0.253 | 0.2 | MON | 684.52 | 9,965.95 | 6/8/2011 | 6/17/2013 | |||||||||||||||||
500769FC3 | KFW SENIOR CORP BND | F | 4,984,150.00 | 100.075 | 5,003,749.85 | 5,000,000.00 | 4,985,122.66 | 18,627.19 | 972.66 | — | — | 0.625 | 0.732 | AO | 5,815.97 | 5,815.97 | 4/17/2012 | 4/24/2015 | |||||||||||||||||
50076QAA4 | KRAFT FOODS INC. SENIOR CORP BND 144A | 6,064,182.05 | 102.065 | 6,190,228.54 | 6,065,000.00 | 6,064,191.78 | 126,036.76 | 11.49 | — | — | 2.25 | 2.253 | JD | 10,234.69 | 10,415.94 | 5/30/2012 | 6/5/2017 | ||||||||||||||||||
50076QAH9 | KRAFT FOODS INC. SENIOR CORP BND 144A | 2,932,385.40 | 100.86 | 2,965,273.03 | 2,940,000.00 | 2,932,568.67 | 32,704.36 | 183.27 | — | — | 1.625 | 1.714 | JD | 3,583.13 | 3,583.13 | 5/30/2012 | 6/4/2015 | ||||||||||||||||||
502413BB2 | L-3 COMMUN CORP CORP BND | 2,581,098.00 | 106.053 | 2,757,383.38 | 2,600,000.00 | 2,583,192.68 | 174,190.70 | 1,718.96 | — | — | 3.95 | 4.113 | MN | 13,122.78 | 51,350.01 | 11/17/2011 | 11/15/2016 | ||||||||||||||||||
502441AA6 | LVMH MOET HENNESSY LOUIS VUITT SENIOR | F | 3,041,246.50 | 100.167 | 3,055,105.83 | 3,050,000.00 | 3,041,255.71 | 13,850.12 | 9.21 | — | — | 1.625 | 1.685 | JD | 275.34 | 275.34 | 6/26/2012 | 6/29/2017 | |||||||||||||||||
51218TAA5 | LAKESIDE RE II LTD CORP BND 144A | F | 9,750,000.00 | 101.42 | 9,888,450.00 | 9,750,000.00 | 9,750,000.00 | 138,450.00 | — | — | — | 7.75 | 7.824 | MJSD | 188,906.25 | 381,489.90 | 12/18/2009 | 1/8/2013 | |||||||||||||||||
525ESC133 | LEHMAN BROS HOLDINGS INC SENIOR CORP BND | 1,250,115.20 | 22.75 | 2,047,500.00 | 9,000,000.00 | 1,250,115.20 | 797,384.80 | — | — | — | — | — | JD | — | — | 4/9/2012 | 12/31/2049 | ||||||||||||||||||
541502AB6 | LOMA REINSURANCE CORP BND 144A | F | 4,000,000.00 | 99.178 | 3,967,120.00 | 4,000,000.00 | 4,000,000.00 | (32,880.00 | ) | — | — | — | 18 | 18.421 | MJSD | 60,000.00 | 364,010.80 | 12/22/2011 | 1/9/2014 | ||||||||||||||||
55607EAA8 | MACQUARIE GROUP LTD -GTD CORP BND GOVT | F | 4,678,890.29 | 104.943 | 4,722,435.05 | 4,500,000.00 | 4,570,773.47 | 151,661.58 | (23,387.78 | ) | — | — | 4.1 | 2.992 | JD | 7,175.00 | 92,250.00 | 2/19/2010 | 12/17/2013 | ||||||||||||||||
55608PAA2 | MACQUARIE BANK LTD CORP BND 144A | F | 5,996,040.00 | 102.152 | 6,129,118.68 | 6,000,000.00 | 5,996,292.39 | 132,826.29 | 252.39 | — | — | 5 | 5.015 | FA | 107,500.00 | 107,500.00 | 2/14/2012 | 2/22/2017 | |||||||||||||||||
57583PEM7 | MASSACHUSETTS ST MUNITAX BND REV | 4,625,000.00 | 106.796 | 4,939,315.00 | 4,625,000.00 | 4,625,000.00 | 314,315.00 | — | — | — | 2.983 | 2.983 | JD | 6,131.72 | 68,981.88 | 12/15/2010 | 12/15/2015 | ||||||||||||||||||
587682AC9 | MBART_10-A ABS 10-A-A3 | 2 | 375,357.83 | 100.453 | 377,132.59 | 375,430.09 | 375,413.09 | 1,719.50 | 25.87 | — | — | 1.42 | 1.433 | MON | 236.94 | 3,528.16 | 4/13/2010 | 7/15/2013 | |||||||||||||||||
58768TAC0 | MBALT_12-A ABS 12-A | 2 | 1,999,889.60 | 100.523 | 2,010,468.00 | 2,000,000.00 | 1,999,900.64 | 10,567.36 | 11.04 | — | — | 0.88 | 0.884 | MON | 782.22 | 4,840.00 | 3/15/2012 | 3/15/2014 | |||||||||||||||||
589331AK3 | MERCK & CO INC CORP BND | 8,701,862.50 | 109.691 | 8,775,314.34 | 8,000,000.00 | 8,383,357.56 | 391,956.78 | (66,622.08 | ) | — | — | 4.75 | 2.871 | MS | 126,666.67 | 185,250.00 | 2/17/2010 | 3/1/2015 | |||||||||||||||||
59018YM40 | MERRILL LYNCH & CO INC CORP BND | 2,027,689.55 | 101.989 | 2,039,780.00 | 2,000,000.00 | 2,005,901.86 | 33,878.14 | (4,817.10 | ) | — | — | 5.45 | 4.941 | FA | 44,205.56 | 54,500.00 | 2/19/2010 | 2/5/2013 | |||||||||||||||||
59018YN56 | MERRILL LYNCH & CO INC CORP BND MTN | 3,256,943.51 | 103.174 | 3,146,807.00 | 3,050,000.00 | 3,110,115.79 | 36,691.21 | (35,779.82 | ) | — | — | 6.15 | 3.676 | AO | 34,388.75 | 93,787.50 | 11/12/2010 | 4/25/2013 | |||||||||||||||||
594918AB0 | MICROSOFT CORPORATION CORP BND | 2,254,225.19 | 104.544 | 2,238,290.77 | 2,141,000.00 | 2,241,042.44 | (2,751.67 | ) | (13,182.75 | ) | — | — | 2.95 | 0.499 | JD | 5,263.30 | 16,140.77 | 3/26/2012 | 6/1/2014 | ||||||||||||||||
594918AF1 | MICROSOFT CORPORATION CORP BND | 4,023,730.00 | 100.583 | 4,023,312.68 | 4,000,000.00 | 4,013,443.98 | 9,868.70 | (5,366.38 | ) | — | — | 0.875 | 0.602 | MS | 9,138.89 | 17,500.00 | 7/13/2011 | 9/27/2013 | |||||||||||||||||
594918AG9 | MICROSOFT CORPORATION CORP BND | 3,395,238.00 | 102.776 | 3,445,041.33 | 3,352,000.00 | 3,388,016.27 | 57,025.06 | (5,426.70 | ) | — | — | 1.625 | 1.284 | MS | 14,525.33 | 27,235.00 | 9/29/2011 | 9/25/2015 | |||||||||||||||||
595620AD7 | MIDAMERICAN ENERGY HOLDINGS CO CORP BND | 14,515,750.75 | 103.482 | 14,262,987.60 | 13,255,000.00 | 13,937,470.45 | 325,517.15 | (146,312.51 | ) | — | — | 4.65 | 2.288 | AO | 154,089.39 | 308,178.75 | 7/29/2010 | 10/1/2014 | |||||||||||||||||
60871RAB6 | MOLSON COORS BREWING SENIOR CORP BND | 6,338,270.25 | 101.014 | 6,389,114.75 | 6,325,000.00 | 6,338,247.06 | 50,867.69 | (23.19 | ) | — | — | 2 | 1.954 | MN | 20,380.56 | 15,047.23 | 5/31/2012 | 5/1/2017 | |||||||||||||||||
61205PAJ8 | MHESA_12-1 ABS 12-1 | 2 | 1,941,319.38 | 100 | 1,941,319.38 | 1,941,319.38 | 1,941,319.38 | — | — | — | — | 0.844 | 0.845 | MON | 500.50 | 2,690.56 | 4/27/2012 | 9/20/2022 | |||||||||||||||||
6174467N3 | MORGAN STANLEY CORP BND | 3,035,220.00 | 98.851 | 2,965,516.88 | 3,000,000.00 | 3,023,460.81 | (57,943.93 | ) | (3,607.70 | ) | — | — | 4 | 3.726 | JJ | 52,333.34 | 60,000.00 | 10/15/2010 | 7/24/2015 | ||||||||||||||||
617446B99 | MORGAN STANLEY CORP BND | 469,255.00 | — | 475,525.02 | 500,000.00 | 488,497.78 | (12,972.76 | ) | 3,658.34 | — | — | 0.769 | 2.096 | JAJO | 886.66 | 2069.23 | 10/22/2009 | 1/9/2014 | |||||||||||||||||
61746REV9 | MSAC ABS 04-H1 | 2 | 941,018.20 | 51.241 | 801,483.26 | 939,550.16 | 940,520.57 | (139,037.31 | ) | (58.14 | ) | — | — | 0.985 | 0.972 | MON | 154.28 | 4,722.84 | 3/23/2006 | 6/25/2025 | |||||||||||||||
61746SBQ1 | MORGAN STANLEY CORP BND | 2,851,710.00 | 89.085 | 2,672,549.97 | 3,000,000.00 | 2,896,058.04 | (223,508.07 | ) | 24,574.50 | — | — | 0.947 | 1.841 | JAJO | 5,995.45 | 24,588.21 | 1/5/2011 | 10/15/2015 | |||||||||||||||||
61747WAE9 | MORGAN STANLEY CORP BND | 7,041,242.50 | 97.197 | 6,803,789.94 | 7,000,000.00 | 7,022,260.88 | (218,470.94 | ) | (6,942.16 | ) | — | — | 2.066 | 1.7 | JAJO | 27,312.49 | 74,957.91 | 2/11/2011 | 1/24/2014 | ||||||||||||||||
61747YCE3 | MORGAN STANLEY CORP BND MTN | 3,582,880.00 | 103.784 | 3,632,451.62 | 3,500,000.00 | 3,565,403.09 | 67,048.53 | (22,104.11 | ) | — | — | 6 | 5.274 | AO | 36,750.00 | 148,750.00 | 9/23/2011 | 4/28/2015 | |||||||||||||||||
61747YCF0 | MORGAN STANLEY CORP BND | 2,928,431.00 | 103.534 | 2,795,416.87 | 2,700,000.00 | 2,830,782.16 | (35,365.29 | ) | (33,608.29 | ) | — | — | 6 | 3.302 | MN | 21,600.00 | 81,000.00 | 1/6/2011 | 5/13/2014 |
61747YDC6 | MORGAN STANLEY CORP BND | 10,800,000.00 | 98.611 | 10,649,988.00 | 10,800,000.00 | 10,800,000.00 | (150,012.00 | ) | — | — | — | 1.446 | 1.3 | JAJO | 26,892.81 | 122,436.70 | 1/5/2012 | 4/29/2013 | |||||||||||||||||
61747YDT9 | MORGAN STANLEY SENIOR CORP BND | 4,956,010.00 | 99.45 | 4,972,511.30 | 5,000,000.00 | 4,956,218.99 | 16,292.31 | 407.96 | — | — | 4.75 | 4.958 | MS | 65,312.50 | 6,597.22 | 6/21/2012 | 3/22/2017 | ||||||||||||||||||
62888UAA8 | NGN_10-R2 CMBS_10-R2 1A | 2 | 4,094,620.22 | 100.031 | 4,095,889.56 | 4,094,620.22 | 4,094,620.22 | 1,269.34 | — | — | — | 0.61 | 0.611 | MON | 1,733.59 | 13,616.41 | 6/10/2011 | 11/6/2017 | |||||||||||||||||
62888VAA6 | NCUA GUARANTEED NOTES NGN_10-R CMO_10-R1 | 2 | 1,296,739.10 | 100.135 | 1,298,489.70 | 1,296,739.10 | 1,296,739.10 | 1,750.60 | — | — | — | 0.69 | 0.691 | MON | 645.97 | 4,972.71 | 6/10/2011 | 10/7/2020 | |||||||||||||||||
62888VAB4 | NCUA GUARANTEED NOTES AGENCY CMO_10-R1 | 2 | 554,295.90 | 101.234 | 561,186.58 | 554,345.95 | 554,308.13 | 6,878.45 | 10.51 | — | — | 1.84 | 1.85 | MON | 765.00 | 5,512.77 | 9/7/2011 | 2/4/2016 | |||||||||||||||||
62888XAC8 | NCUA_10-C1 CMBS_10-C1 A-PT | 2 | 4,643,705.33 | 104.6 | 4,866,964.52 | 4,652,929.75 | 4,646,184.58 | 220,779.94 | 780.17 | — | — | 2.65 | 2.735 | MON | 1,370.03 | 62,314.51 | 9/7/2011 | 7/1/2016 | |||||||||||||||||
62888YAA0 | NGN_11-R1 CMO_11-R1 IA | 2 | 3,919,946.52 | 100.219 | 3,926,917.58 | 3,918,336.42 | 3,919,684.27 | 7,233.31 | (179.22 | ) | — | — | 0.69 | 0.68 | MON | 2027.01 | 14,649.13 | 6/10/2011 | 1/8/2020 | ||||||||||||||||
62889AAA1 | NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A | 2 | 2,372,725.57 | 100.358 | 2,381,219.93 | 2,372,725.57 | 2,372,725.57 | 8,494.36 | — | — | — | 0.589 | 0.589 | MON | 776.07 | 7,316.49 | 6/10/2011 | 11/7/2020 | |||||||||||||||||
62889EAA3 | NGN_11-R3 NGN_11-R3 1A | 2 | 9,614,942.35 | 100.047 | 9,607,077.25 | 9,602,564.05 | 9,614,854.17 | (7,776.92 | ) | (88.18 | ) | — | — | 0.641 | 0.611 | MON | 3,412.91 | 16,102.94 | 6/15/2012 | 3/11/2020 | |||||||||||||||
62889FAA0 | NGN_11-R4 CMO_11R4-1A | 2 | 4,254,811.68 | 100.047 | 4,256,811.44 | 4,254,811.68 | 4,254,811.68 | 1999.76 | — | — | — | 0.621 | 0.621 | MON | 1,757.95 | 14,658.31 | 6/10/2011 | 3/6/2020 | |||||||||||||||||
62889GAA8 | NCUA GUARANTEED NOTES CMO 11-R5 1A | 2 | 4,085,439.81 | 100.047 | 4,087,359.97 | 4,085,439.81 | 4,085,439.81 | 1920.16 | — | — | — | 0.62 | 0.62 | MON | 1,758.30 | 14,328.63 | 6/10/2011 | 4/6/2020 | |||||||||||||||||
62889JAA2 | NCUA GUARANTEED NOTES CMO_11-R6 1A | 2 | 3,859,189.53 | 100.031 | 3,860,395.53 | 3,859,189.53 | 3,859,189.53 | 1,206.00 | — | — | — | 0.621 | 0.622 | MON | 1,598.35 | 13,722.08 | 6/10/2011 | 5/7/2020 | |||||||||||||||||
62889KAA9 | NATIONAL CREDIT UNION ADMINIST AGENCY | 3,200,000.00 | 99.971 | 3,199,072.00 | 3,200,000.00 | 3,200,000.00 | (928.00 | ) | — | — | — | 0.269 | 0.205 | MON | 440.38 | 4,437.36 | 6/8/2011 | 6/12/2013 | |||||||||||||||||
62944BAH7 | BANK NEDERLANDSE GEMEENTEN UNSEC CORP | F | 15,055,200.00 | 100.424 | 15,063,600.60 | 15,000,000.00 | 15,050,555.06 | 13,045.54 | (4,644.94 | ) | — | — | 1.375 | 1.249 | MS | 56,145.83 | 52,708.33 | 3/26/2012 | 3/23/2015 | ||||||||||||||||
62951MAY6 | NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO | 2 | 870,038.84 | 94.686 | 873,927.38 | 861,158.13 | 869,140.76 | 4,786.62 | (657.93 | ) | — | — | 6.5 | 6.293 | MON | 4,664.61 | 28,566.96 | 10/3/2007 | 2/25/2035 | ||||||||||||||||
63253WAA9 | NATIONAL AUSTRALIA BANK SECURED LOCAL | F | 3,993,960.00 | 100.101 | 4,004,039.92 | 4,000,000.00 | 3,993,994.68 | 10,045.24 | 34.68 | — | — | 2 | 2.032 | JD | 2,444.44 | 2,444.44 | 6/12/2012 | 6/20/2017 | |||||||||||||||||
63254AAA6 | NATIONAL AUSTRALIA BANK LIMITE CORP BND | E | 3,199,072.00 | 100.249 | 3,207,955.55 | 3,200,000.00 | 3,199,165.45 | 8,790.10 | 93.45 | — | — | 2 | 2.01 | MS | 19,911.11 | 19,911.11 | 3/1/2012 | 3/9/2015 | |||||||||||||||||
6325C0AV3 | NATIONAL AUSTRALIA BANK LIMITE CORP BND | F | 8,188,453.32 | 105.243 | 8,419,439.12 | 8,000,000.00 | 8,106,378.38 | 313,060.74 | (25,492.87 | ) | — | — | 3.375 | 2.693 | JJ | 129,750.00 | 135,000.00 | 11/12/2010 | 7/8/2014 | ||||||||||||||||
6325C0CA7 | NATIONAL AUSTRALIA BANK SENIOR CORP BND | F | 4,600,000.00 | 100.049 | 4,602,254.18 | 4,600,000.00 | 4,600,000.00 | 2,254.18 | — | — | — | 1.189 | 1.01 | JAJO | 12,307.70 | 28,862.94 | 4/6/2011 | 4/11/2014 | |||||||||||||||||
63307A2A2 | NATIONAL BK OF CANADA SENIOR CORP BND | A | 2,493,950.00 | 100.25 | 2,506,242.18 | 2,500,000.00 | 2,493,977.01 | 12,265.17 | 27.01 | — | — | 1.5 | 1.583 | JD | 520.83 | 520.83 | 6/19/2012 | 6/26/2015 | |||||||||||||||||
63307EAA5 | NATIONAL BK OF CANADA CORP BND 144A | A | 2,499,350.00 | 101.738 | 2,543,449.98 | 2,500,000.00 | 2,499,653.78 | 43,796.20 | 107.54 | — | — | 1.65 | 1.659 | JJ | 17,302.08 | 20,625.00 | 1/24/2011 | 1/30/2014 | |||||||||||||||||
637432MM4 | NATIONAL RURAL UTILITIES SECURED CORP | 2,998,950.00 | 100.25 | 3,007,500.24 | 3,000,000.00 | 2,999,528.72 | 7,971.52 | 174.19 | — | — | 1.125 | 1.137 | MN | 5,625.00 | 16,875.00 | 10/25/2010 | 11/1/2013 | ||||||||||||||||||
637432MP7 | NATIONAL RURAL UTILITIES CORP BND | 2,462,145.40 | 99.862 | 2,466,583.27 | 2,470,000.00 | 2,463,209.48 | 3,373.79 | 1,064.08 | — | — | 1 | 1.108 | FA | 10,223.06 | 10,223.06 | 1/26/2012 | 2/2/2015 | ||||||||||||||||||
63946BAA8 | NBC UNIVERSAL MEDIA LLC CORP BND | 2,599,743.39 | 101.793 | 2,646,614.41 | 2,600,000.00 | 2,599,842.65 | 46,771.76 | 43.65 | — | — | 2.1 | 1.33 | AO | 13,650.00 | 27,300.00 | 8/22/2011 | 4/1/2014 | ||||||||||||||||||
63946BAB6 | NBC UNIVERSAL MEDIA LLC CORP BND | 577,289.62 | 106.209 | 575,653.57 | 542,000.00 | 576,664.17 | (1,010.60 | ) | (625.45 | ) | — | — | 3.65 | 1.34 | AO | 3,352.12 | 1,044.10 | 6/7/2012 | 4/30/2015 | ||||||||||||||||
63968AQE8 | NEBRASKA PUB PWR DIST MUNITAX BND REV | 1,329,837.50 | 101.679 | 1,270,987.50 | 1,250,000.00 | 1,263,522.82 | 7,464.68 | (13,392.23 | ) | — | — | 4.135 | 1.95 | JJ | 25,843.75 | 25,843.75 | 12/17/2009 | 1/1/2013 | |||||||||||||||||
64127WAF0 | NETWORK RAIL INFRASTRUCTURE FI CORP BND | F | 4,988,500.00 | 100.792 | 5,039,600.00 | 5,000,000.00 | 4,990,196.24 | 49,403.76 | 1,696.24 | — | — | 0.875 | 0.953 | JJ | 19,565.97 | 19,565.97 | 1/11/2012 | 1/20/2015 | |||||||||||||||||
651229AL0 | NEWELL RUBBERMAID INC. SENIOR CORP BND | 2,492,050.00 | 100.503 | 2,512,573.25 | 2,500,000.00 | 2,492,169.24 | 20,404.01 | 119.24 | — | — | 2 | 2.11 | JD | 2,361.11 | 2,361.11 | 6/11/2012 | 6/15/2015 | ||||||||||||||||||
65475HAB7 | NALT_11-A ABS_11-A A2A | 2 | 3,372,049.64 | 100.016 | 3,372,628.26 | 3,372,088.76 | 3,372,048.39 | 579.87 | 9.35 | — | — | 0.7 | 0.701 | MON | 1,049.09 | 14,770.29 | 7/14/2011 | 3/15/2013 | |||||||||||||||||
65475UAC6 | NAROT_12-A ABS 12-A | 2 | 2,699,638.74 | 100.048 | 2,701,288.09 | 2,700,000.00 | 2,699,686.91 | 1,601.18 | 48.17 | — | — | 0.73 | 0.736 | MON | 876.00 | 7,008.00 | 2/15/2012 | 4/15/2015 | |||||||||||||||||
65475VAC4 | NAROT ABS 09-1 A3 | 2 | 174,027.94 | 100.304 | 168,705.26 | 168,193.72 | 168,703.43 | 1.83 | (8,815.25 | ) | — | — | 5 | 2.233 | MON | 373.76 | 13,795.86 | 5/24/2010 | 9/1/2012 | ||||||||||||||||
65557CAG8 | NORDEA BANK AB CORP BND 144A | F | 6,975,000.00 | 100.011 | 6,975,767.39 | 6,975,000.00 | 6,975,000.00 | 767.39 | — | — | — | 1.367 | 1.203 | JAJO | 20,123.93 | 49,718.16 | 1/11/2011 | 1/14/2014 | |||||||||||||||||
65557FAC0 | NORDEA BANK AB SENIOR CORP BND 144A | F | 3,118,343.75 | 99.725 | 3,116,412.88 | 3,125,000.00 | 3,118,946.96 | (2,534.08 | ) | 603.21 | — | — | 2.25 | 2.324 | MS | 19,726.56 | 19,726.56 | 3/14/2012 | 3/20/2015 | ||||||||||||||||
65558AAA4 | NORDEA EIENDOMSKREDITT CORP BND 144A | F | 19,454,208.00 | 101.571 | 19,704,773.80 | 19,400,000.00 | 19,439,437.21 | 265,336.59 | (11,010.14 | ) | — | — | 1.875 | 1.757 | AO | 84,875.00 | 181,875.00 | 12/12/2011 | 4/7/2014 |
665859AJ3 | NORTHERN TRUST CORPORATION CORP BND | 6,612,205.00 | 105.468 | 6,855,432.54 | 6,500,000.00 | 6,531,203.11 | 324,229.43 | (13,387.97 | ) | — | — | 5.5 | 5.054 | FA | 135,055.56 | 178,750.00 | 3/23/2009 | 8/15/2013 | |||||||||||||||||
66989HAA6 | NOVARTIS CAPITAL CORP CORP BND | 1,623,326.25 | 105.446 | 1,713,502.45 | 1,625,000.00 | 1,624,423.45 | 89,079.00 | 171.12 | — | — | 4.125 | 4.148 | FA | 26,253.91 | 33,515.63 | 2/4/2009 | 2/10/2014 | ||||||||||||||||||
66989HAB4 | NOVARTIS CAPITAL CORP CORP BND | 998,670.00 | 101.241 | 1,012,410.00 | 1,000,000.00 | 999,646.91 | 12,763.09 | 213.09 | — | — | 1.9 | 1.944 | AO | 3,536.11 | 9,500.00 | 3/9/2010 | 4/24/2013 | ||||||||||||||||||
66989HAC2 | NOVARTIS CAPITAL CORP CORP BND | 4,976,100.00 | 105.819 | 5,290,931.30 | 5,000,000.00 | 4,986,459.56 | 304,471.74 | 2,277.51 | — | — | 2.9 | 3.001 | AO | 26,986.11 | 72,500.00 | 3/9/2010 | 4/24/2015 | ||||||||||||||||||
674599CA1 | OCCIDENTAL PETROLEUM CORPORATI CORP BND | 6,542,205.50 | 101.221 | 6,629,983.55 | 6,550,000.00 | 6,546,175.78 | 83,807.77 | 1,292.02 | — | — | 1.45 | 1.491 | JD | 4,748.75 | 47,487.50 | 12/13/2010 | 12/13/2013 | ||||||||||||||||||
674599CD5 | OCCIDENTAL PETROLEUM CORPORATI SENIOR | 1 | 3,047,499.00 | 100.322 | 3,059,815.36 | 3,050,000.00 | 3,047,506.29 | 12,309.07 | 7.29 | — | — | 1.5 | 1.515 | FA | 1,143.75 | 1,143.75 | 6/19/2012 | 2/15/2018 | |||||||||||||||||
68268NAF0 | ONEOK INC. CORP BND | 1 | 2,673,395.00 | 104.793 | 2,803,211.09 | 2,675,000.00 | 2,673,833.55 | 129,377.54 | 151.93 | — | — | 3.25 | 3.263 | FA | 36,223.96 | 43,468.75 | 1/21/2011 | 2/1/2016 | |||||||||||||||||
6832348A9 | ONTARIO PROVINCE CORP BND | A | 13,347,291.75 | 106.725 | 13,607,437.25 | 12,750,000.00 | 13,030,058.62 | 577,378.63 | (68,586.50 | ) | — | — | 4.1 | 2.938 | JD | 21,781.25 | 261,375.00 | 2/19/2010 | 6/16/2014 | ||||||||||||||||
6832348Y7 | ONTARIO PROVINCE CORP BND | A | 5,224,450.00 | 105.449 | 5,272,449.85 | 5,000,000.00 | 5,172,711.62 | 99,738.23 | (28,282.15 | ) | — | — | 2.7 | 1.502 | JD | 5,625.00 | 67,500.00 | 7/28/2011 | 6/16/2015 | ||||||||||||||||
68323ABJ2 | ONTARIO PROVINCE SENIOR CORP BND | A | 4,898,971.00 | 100.489 | 4,923,960.90 | 4,900,000.00 | 4,899,005.58 | 24,955.32 | 34.58 | — | — | 0.95 | 0.957 | MN | 4,784.31 | 4,784.31 | 5/16/2012 | 5/26/2015 | |||||||||||||||||
68389XAD7 | ORACLE CORPORATION CORP BND | 3,148,866.00 | 103.529 | 3,261,163.50 | 3,150,000.00 | 3,149,808.50 | 111,355.00 | 117.09 | — | — | 4.95 | 4.958 | AO | 32,917.50 | 77,962.50 | 4/2/2008 | 4/15/2013 | ||||||||||||||||||
68389XAF2 | ORACLE CORPORATION CORP BND | 2,131,440.00 | 106.328 | 2,126,565.86 | 2,000,000.00 | 2,127,101.52 | (535.66 | ) | (4,338.48 | ) | — | — | 3.75 | 0.58 | JJ | 36,041.67 | 5,208.34 | 6/1/2012 | 7/8/2014 | ||||||||||||||||
69353UAB7 | PPL WEM HOLDINGS PLC CORP BND 144A | F | 3,397,355.00 | 104.599 | 3,399,482.84 | 3,250,000.00 | 3,387,376.76 | 12,106.08 | (9,978.24 | ) | — | — | 3.9 | 2.731 | MN | 21,125.00 | 37,672.91 | 3/9/2012 | 5/1/2016 | ||||||||||||||||
69362BAS1 | PSE&G POWER LLC CORP BND | 1,099,885.31 | 110.64 | 1,106,395.26 | 1,000,000.00 | 1,072,135.87 | 34,259.39 | (7,853.80 | ) | — | — | 5.32 | 3.462 | MS | 15,664.44 | 26,600.00 | 9/15/2010 | 9/15/2016 | |||||||||||||||||
69371RK54 | PACCAR FINL UNSECURED CORP BND MTN | 4,999,050.00 | 100.316 | 5,015,790.55 | 5,000,000.00 | 4,999,110.58 | 16,679.97 | 60.58 | — | — | 1.6 | 1.604 | MS | 25,555.56 | 25,555.56 | 3/1/2012 | 3/15/2017 | ||||||||||||||||||
69371RK70 | PACCAR FINL UNSECURED CORP BND MTN | 1,500,000.00 | 100.269 | 1,504,035.00 | 1,500,000.00 | 1,500,000.00 | 4,035.00 | — | — | — | 0.718 | 0.718 | MJSD | 687.94 | 687.94 | 6/5/2012 | 6/5/2014 | ||||||||||||||||||
69373UAA5 | PACCAR INC CORP BND | 1,117,070.86 | 109.407 | 1,094,068.30 | 1,000,000.00 | 1,049,699.72 | 44,368.58 | (14,689.02 | ) | — | — | 6.875 | 3.692 | FA | 25,972.22 | 34,375.00 | 2/19/2010 | 2/15/2014 | |||||||||||||||||
694308GD3 | PACIFIC GAS AND ELECTRIC CO CORP BND | 2,108,259.00 | 106.414 | 2,021,863.28 | 1,900,000.00 | 2,004,716.44 | 17,146.84 | (30,677.81 | ) | — | — | 4.8 | 1.444 | MS | 30,400.00 | 45,600.00 | 10/19/2010 | 3/1/2014 | |||||||||||||||||
70659PAB7 | PENAR_11-1-A1 ABS_11-1 A1 144A | F | 2 | 3,200,000.00 | 100.029 | 3,200,928.00 | 3,200,000.00 | 3,200,000.00 | 928.00 | — | — | — | 0.893 | 0.894 | MON | 1,031.62 | 14,610.70 | 12/19/2011 | 5/20/2013 | ||||||||||||||||
709599AC8 | PENSKE TRUCK LEASING COMPANY L UNSECURED | 2,497,575.00 | 100.481 | 2,512,024.87 | 2,500,000.00 | 2,497,682.68 | 14,342.19 | 107.68 | — | — | 3.125 | 3.159 | MN | 10,850.69 | 10,850.69 | 5/8/2012 | 5/11/2015 | ||||||||||||||||||
709599AE4 | PENSKE TRUCK LEASING COMPANY L SENIOR | 2,812,234.00 | 100.339 | 2,809,491.92 | 2,800,000.00 | 2,811,941.71 | (2,449.79 | ) | (244.69 | ) | — | — | 3.75 | 3.653 | MN | 14,062.49 | 26,822.91 | 5/9/2012 | 5/11/2017 | ||||||||||||||||
713448BK3 | PEPSICO INC CORP BND | 15,367,352.00 | 105.022 | 16,173,444.83 | 15,400,000.00 | 15,388,412.20 | 785,032.63 | 3,311.44 | — | — | 3.75 | 3.797 | MS | 192,500.00 | 288,750.00 | 2/25/2009 | 3/1/2014 | ||||||||||||||||||
713448BQ0 | PEPSICO INC CORP BND | 3,998,240.00 | 100.356 | 4,014,250.20 | 4,000,000.00 | 3,999,220.96 | 15,029.24 | 291.85 | — | — | 0.875 | 0.89 | AO | 6,416.67 | 17,500.00 | 10/19/2010 | 10/25/2013 | ||||||||||||||||||
713448BX5 | PEPSICO INC SENIOR CORP BND | 3,838,310.40 | 99.593 | 3,824,353.11 | 3,840,000.00 | 3,838,489.27 | (14,136.16 | ) | 230.98 | — | — | 0.75 | 0.765 | MS | 9,280.00 | 11,988.33 | 2/29/2012 | 3/5/2015 | |||||||||||||||||
71645WAT8 | PETROBRAS INTERNATIONAL FINANC CORP BND | F | 797,304.00 | 103.58 | 828,641.72 | 800,000.00 | 798,021.58 | 30,620.14 | 255.24 | — | — | 3.875 | 3.95 | JJ | 13,261.11 | 15,500.00 | 1/20/2011 | 1/27/2016 | |||||||||||||||||
71645WAV3 | PETROBRAS INTERNATIONAL FINANC CORP BND | F | 1,790,982.00 | 101.43 | 1,825,731.22 | 1,800,000.00 | 1,792,142.53 | 33,588.69 | 1,160.53 | — | — | 2.875 | 3.051 | FA | 20,843.75 | 20,843.75 | 2/1/2012 | 2/6/2015 | |||||||||||||||||
717081DA8 | PFIZER INC. CORP BND | 555,530.00 | 111.712 | 558,557.59 | 500,000.00 | 530,705.20 | 27,852.39 | (5,376.35 | ) | — | — | 5.35 | 2.971 | MS | 7,876.39 | 13,375.00 | 2/17/2010 | 3/15/2015 | |||||||||||||||||
71722TAF1 | PHEAA_04-1 ABS_04-1-A2 | 2 | 452,730.00 | 90.25 | 451,250.00 | 500,000.00 | 461,179.96 | (9,929.96 | ) | 2057.15 | — | — | 1.727 | 2.703 | MON | 615.10 | 4,953.38 | 3/9/2010 | 7/25/2023 | ||||||||||||||||
71722TAG9 | PHEAA_04-1 ABS_04-1-A3 | 2 | 1,177,098.00 | 90.25 | 1,173,250.00 | 1,300,000.00 | 1,196,564.46 | (23,314.46 | ) | (2,399.31 | ) | — | — | 1.741 | 2.632 | MON | 742.07 | 10,146.68 | 3/9/2010 | 10/25/2022 | |||||||||||||||
718172AB5 | PHILIP MORRIS INTERNATIONAL IN CORP BND | 6,108,095.00 | 103.766 | 6,355,667.50 | 6,125,000.00 | 6,121,740.55 | 233,926.95 | 1,798.54 | — | — | 4.875 | 4.938 | MN | 37,324.21 | 149,296.88 | 5/13/2008 | 5/16/2013 | ||||||||||||||||||
718172AG4 | PHILIP MORRIS INTERNATIONAL IN CORP BND | 6,485,183.00 | 110.279 | 6,230,752.71 | 5,650,000.00 | 6,026,888.22 | 203,864.49 | (91,602.49 | ) | — | — | 6.875 | 2.856 | MS | 112,215.27 | 167,921.88 | 2/22/2012 | 3/17/2014 | |||||||||||||||||
718546AD6 | PHILLIPS 66 SENIOR CORP BND 144A | 5,472,481.50 | 101.165 | 5,538,771.27 | 5,475,000.00 | 5,472,724.85 | 66,046.42 | 290.60 | — | — | 1.95 | 1.966 | MS | 32,325.31 | 38,608.64 | 3/7/2012 | 3/5/2015 | ||||||||||||||||||
718546AG9 | PHILLIPS 66 SENIOR CORP BND 144A | 3,249,415.00 | 102.353 | 3,326,463.23 | 3,250,000.00 | 3,249,472.59 | 76,990.64 | 57.59 | — | — | 2.95 | 2.953 | MN | 29,028.82 | 29,028.82 | 3/7/2012 | 5/1/2017 | ||||||||||||||||||
742651DB5 | PRIVATE EXPORT FUNDING CORP SECURED | 1,646,955.00 | 113.742 | 1,706,129.96 | 1,500,000.00 | 1,589,671.92 | 116,458.04 | (12,496.26 | ) | — | — | 4.95 | 3.07 | MN | 9,487.50 | 37,125.00 | 2/23/2010 | 11/15/2015 |
742651DF6 | PRIVATE EXPORT FUNDING CORP AGENCY BND | 7,321,566.00 | 102.571 | 7,179,970.00 | 7,000,000.00 | 7,175,307.75 | 4,662.25 | (110,424.87 | ) | — | — | 3.55 | 0.37 | AO | 52,461.11 | 124,250.00 | 11/2/2011 | 4/15/2013 | |||||||||||||||||
742651DH2 | PRIVATE EXPORT FUNDING CORP AGENCY BND | 4,868,226.00 | 105.8 | 4,866,800.51 | 4,600,000.00 | 4,866,960.75 | (160.24 | ) | (1,265.25 | ) | — | — | 3.05 | 0.497 | AO | 29,618.88 | 1,558.88 | 6/26/2012 | 10/15/2014 | ||||||||||||||||
742718DV8 | PROCTER & GAMBLE COMPANY CORP BND | 4,962,622.60 | 101.691 | 5,084,526.05 | 5,000,000.00 | 4,966,627.62 | 117,898.43 | 3,898.53 | — | — | 1.45 | 1.618 | FA | 27,388.89 | 36,250.00 | 12/27/2011 | 8/15/2016 | ||||||||||||||||||
742718DX4 | PROCTER & GAMBLE COMPANY CORP BND | 1,960,000.00 | 100.08 | 1,961,568.04 | 1,960,000.00 | 1,960,000.00 | 1,568.04 | — | — | — | 0.386 | 0.451 | FMAN | 1,134.40 | 3,391.41 | 2/1/2012 | 2/6/2014 | ||||||||||||||||||
74456QAW6 | PUBLIC SERVICE ELECTRIC & GAS CORP BND | 549,021.00 | 104.581 | 575,196.73 | 550,000.00 | 549,420.44 | 25,776.29 | 97.36 | — | — | 2.7 | 2.739 | MN | 2,475.00 | 7,425.00 | 5/17/2010 | 5/1/2015 | ||||||||||||||||||
74456QAY2 | PUBLIC SERVICE ELECTRIC & GAS CORP BND | 7,818,200.25 | 100.078 | 7,831,094.74 | 7,825,000.00 | 7,820,082.66 | 11,012.08 | 1,143.23 | — | — | 0.85 | 0.88 | FA | 25,126.94 | 33,256.24 | 9/12/2011 | 8/15/2014 | ||||||||||||||||||
74834LAT7 | QUEST DIAGNOSTICS INC CORP BND | 2,600,000.00 | 100.821 | 2,621,346.00 | 2,600,000.00 | 2,600,000.00 | 21,346.00 | — | — | — | 1.318 | 1.159 | MJSD | 666.13 | 18,201.29 | 3/21/2011 | 3/24/2014 | ||||||||||||||||||
74977RBQ6 | RABOBANK NEDERLAND NV CORP BND 144A | F | 5,051,420.50 | 104.643 | 5,075,167.65 | 4,850,000.00 | 4,940,188.25 | 134,979.40 | (23,212.72 | ) | — | — | 4.2 | 3.166 | MN | 27,160.00 | 101,850.00 | 1/8/2010 | 5/13/2014 | ||||||||||||||||
74977RBU7 | RABOBANK NEDERLAND NV CORP BND 144A | F | 5,026,792.73 | 100.228 | 5,011,420.75 | 5,000,000.00 | 5,001,420.68 | 10,000.07 | (5,469.07 | ) | — | — | 2.65 | 2.427 | FA | 49,319.45 | 66,250.01 | 2/19/2010 | 8/17/2012 | ||||||||||||||||
74977RCE2 | RABOBANK NEDERLAND NV CORP BND 144A | F | 1,598,896.00 | 102.986 | 1,647,781.12 | 1,600,000.00 | 1,599,383.19 | 48,397.93 | 108.00 | — | — | 3.2 | 3.215 | MS | 15,644.44 | 25,600.00 | 3/4/2010 | 3/11/2015 | |||||||||||||||||
76111XYJ6 | RES FUND MTG SEC I CMO_05-SA4 2A2 | 2 | 1,106,627.13 | 76.58 | 928,190.68 | 1,146,763.87 | 1,110,868.36 | (182,677.68 | ) | 2,352.22 | — | — | 5.024 | 5.709 | MON | 4,801.24 | 30,136.24 | 8/16/2007 | 4/1/2028 | ||||||||||||||||
76112NAB0 | RESIDENTIAL REINSURANCE 2012 L | F | 4,000,000.00 | 100.848 | 4,033,920.00 | 4,000,000.00 | 4,000,000.00 | 33,920.00 | — | — | — | 8 | 8 | MJSD | 27,555.56 | 27,555.56 | 5/18/2012 | 6/6/2016 | |||||||||||||||||
76112NAC8 | RESIDENTIAL REINSURANCE 2012 L UNSECURED | F | 5,000,000.00 | 100.33 | 5,016,500.00 | 5,000,000.00 | 5,000,000.00 | 16,500.00 | — | — | — | 22 | 22 | MJSD | 94,722.22 | 94,722.22 | 5/18/2012 | 6/6/2018 | |||||||||||||||||
76541VKB2 | RICHMOND VA MUNITAX BND GO | 1,500,000.00 | 100.545 | 1,508,175.00 | 1,500,000.00 | 1,500,000.00 | 8,175.00 | — | — | — | 1.207 | 1.207 | JJ | 150.88 | 150.88 | 6/14/2012 | 7/15/2016 | ||||||||||||||||||
76541VKC0 | RICHMOND VA MUNITAX BND GO | 5,000,000.00 | 100.218 | 5,010,900.00 | 5,000,000.00 | 5,000,000.00 | 10,900.00 | — | — | — | 1.507 | 1.507 | JJ | 627.91 | 627.91 | 6/14/2012 | 7/15/2017 | ||||||||||||||||||
767201AF3 | RIO TINTO FINANCE USA LIMITED CORP BND | F | 4,576,294.00 | 114.141 | 4,223,226.55 | 3,700,000.00 | 4,166,460.95 | 56,765.60 | (123,928.73 | ) | — | — | 8.95 | 1.92 | MN | 55,191.67 | 165,575.00 | 10/28/2010 | 5/1/2014 | ||||||||||||||||
767201AJ5 | RIO TINTO FINANCE USA LIMITED CORP BND | F | 1,298,947.00 | 102.285 | 1,329,708.61 | 1,300,000.00 | 1,299,286.40 | 30,422.21 | 102.76 | — | — | 1.875 | 1.892 | MN | 3,994.79 | 12,187.50 | 10/28/2010 | 11/2/2015 | |||||||||||||||||
767201AM8 | RIO TINTO FINANCE LTD CORP BND | F | 3,607,092.50 | 104.146 | 3,775,280.47 | 3,625,000.00 | 3,610,886.45 | 164,394.02 | 1,711.04 | — | — | 2.5 | 2.606 | MN | 10,321.18 | 45,312.50 | 5/17/2011 | 5/20/2016 | |||||||||||||||||
76720AAB2 | RIO TINTO FINANCE (USA) PLC SENIOR CORP | F | 1 | 4,019,848.00 | 101.584 | 4,088,742.15 | 4,025,000.00 | 4,020,118.15 | 68,624.00 | 270.15 | — | — | 2 | 2.027 | MS | 22,137.50 | 22,137.50 | 3/19/2012 | 3/22/2017 | ||||||||||||||||
771196AQ5 | ROCHE HOLDINGS INC CORP BND 144A | 5,142,958.90 | 106.692 | 5,042,271.58 | 4,726,000.00 | 4,902,119.49 | 140,152.09 | (50,915.70 | ) | — | — | 5 | 2.7 | MS | 78,766.66 | 118,150.00 | 2/17/2010 | 3/1/2014 | |||||||||||||||||
78008K5X7 | ROYAL BANK OF CANADA CORP BND | A | 9,777,835.00 | 100.266 | 9,801,002.09 | 9,775,000.00 | 9,776,813.47 | 24,188.62 | (498.87 | ) | — | — | 0.766 | 0.565 | JAJO | 15,602.32 | 40,079.46 | 6/20/2011 | 4/17/2014 | ||||||||||||||||
78008T2C7 | ROYAL BANK OF CANADA SENIOR CORP BND MTN | A | 3,007,620.00 | 100.121 | 3,003,626.64 | 3,000,000.00 | 3,007,402.00 | (3,775.36 | ) | (218.00 | ) | — | — | 1.15 | 1.057 | MS | 10,254.17 | 2,875.00 | 5/29/2012 | 3/13/2015 | |||||||||||||||
78009PCC3 | ROYAL BANK OF SCOTLAND PLC THE CORP BND | F | 3,867,443.75 | 101.862 | 3,947,170.52 | 3,875,000.00 | 3,869,241.09 | 77,929.43 | 703.12 | — | — | 4.375 | 4.419 | MS | 49,446.61 | 84,765.63 | 3/14/2011 | 3/16/2016 | |||||||||||||||||
78010XAC5 | ROYAL BANK OF SCOTLAND PLC THE CORP BND | F | 5,251,450.00 | 103.376 | 5,168,820.20 | 5,000,000.00 | 5,182,575.60 | (13,755.40 | ) | (31,694.85 | ) | — | — | 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 | 101.004 | 2,525,095.55 | 2,500,000.00 | 2,499,467.36 | 25,628.19 | 225.52 | — | — | 3.4 | 3.419 | FA | 30,222.22 | 42,500.00 | 8/17/2010 | 8/23/2013 | |||||||||||||||||
78355HJR1 | RYDER SYSTEM INC. CORP BND MTN | 1,871,662.50 | 103.519 | 1,940,976.34 | 1,875,000.00 | 1,872,231.62 | 68,744.72 | 254.31 | — | — | 3.5 | 3.533 | JD | 5,468.75 | 32,812.50 | 5/17/2011 | 6/1/2017 | ||||||||||||||||||
78387GAP8 | AT&T INC CORP BND | 1,061,005.47 | 109.167 | 1,091,667.63 | 1,000,000.00 | 1,036,010.83 | 55,656.80 | (7,749.26 | ) | — | — | 5.1 | 3.392 | MS | 15,016.67 | 25,500.00 | 11/12/2010 | 9/15/2014 | |||||||||||||||||
78442GHW9 | SLM STUDENT LOAN TR 03-10 ABS_03-10A A1A | 2 | 250,000.00 | 99.969 | 249,921.88 | 250,000.00 | 250,000.00 | (78.12 | ) | — | — | — | 1.73 | 1.735 | MON | 192.21 | 3,094.24 | 11/7/2011 | 9/15/2014 | ||||||||||||||||
78442GHX7 | SLMA ABS 03-10A A1B 144A | 2 | 349,968.75 | 99.969 | 349,890.63 | 350,000.00 | 349,986.01 | (95.38 | ) | 17.60 | — | — | 1.733 | 1.74 | MON | 185.25 | 5,674.59 | 11/7/2011 | 9/15/2014 | ||||||||||||||||
78442GHY5 | SLMA ABS 03-10A-A1C | 1,399,850.69 | 99.969 | 1,399,562.50 | 1,400,000.00 | 1,399,901.81 | (339.31 | ) | 78.92 | — | — | 1.68 | 1.684 | **** | 1,599.73 | 15,726.48 | 11/7/2011 | 12/15/2016 | |||||||||||||||||
78442GHZ2 | SLMA ABS 03-10A A1D 144A | 2 | 1,596,390.62 | 99.969 | 1,599,500.01 | 1,600,000.00 | 1,598,602.52 | 897.49 | 740.09 | — | — | 1.735 | 1.816 | MON | 307.74 | 15,991.91 | 11/7/2011 | 9/15/2014 | |||||||||||||||||
78442GJA5 | SLM STUDENT LOAN TR 2003-10A 03-10A A1E | 2 | 1,199,812.50 | 99.969 | 1,199,625.01 | 1,200,000.00 | 1,199,923.45 | (298.44 | ) | 13.31 | — | — | 1.7 | 1.711 | MON | 1,416.66 | 11,388.21 | 11/7/2011 | 9/15/2014 | ||||||||||||||||
78442GJB3 | SLMA ABS 03-10A A1F 144A | 2 | 700,000.00 | 99.969 | 699,781.25 | 700,000.00 | 700,000.00 | (218.75 | ) | — | — | — | 1.722 | 1.725 | MON | 502.25 | 5,998.45 | 11/7/2011 | 9/15/2014 | ||||||||||||||||
78442GJC1 | SLMA ABS_03-10A AIG 144A | 2 | 600,000.00 | 99.969 | 599,812.51 | 600,000.00 | 600,000.00 | (187.49 | ) | — | — | — | 1.735 | 1.739 | MON | 749.73 | 6,219.25 | 11/7/2011 | 9/15/2014 |
78442GJD9 | SLM STUDENT LOAN TR 2003-10A ABS 03-10A | 2 | 350,000.00 | 99.969 | 349,890.63 | 350,000.00 | 350,000.00 | (109.37 | ) | — | — | — | 1.67 | 1.673 | MON | 49.84 | 5,285.45 | 11/7/2011 | 9/15/2014 | ||||||||||||||||
78442GMK9 | SLMA ABS_04-7 A5 | 2 | 2,975,959.65 | 99.719 | 2,985,322.54 | 2,993,734.94 | 2,979,684.46 | 5,638.08 | 3,091.54 | — | — | 0.636 | 0.838 | JAJO | 3,541.63 | 10,759.08 | 5/13/2011 | 1/25/2017 | |||||||||||||||||
78442GQP4 | SLMA ABS_05-8 A3 | 2 | 3,741,725.00 | 99.098 | 3,775,634.95 | 3,810,000.00 | 3,757,872.12 | 17,762.83 | 7,143.90 | — | — | 0.576 | 0.99 | JAJO | 4,081.84 | 11,877.41 | 6/13/2011 | 4/25/2017 | |||||||||||||||||
784442AC9 | SLMA ABS 08_2 A3 | 2 | 1,484,824.22 | 100.643 | 1,509,642.45 | 1,500,000.00 | 1,485,331.07 | 24,311.38 | 506.85 | — | — | 1.216 | 1.362 | JAJO | 3,393.69 | 4,812.96 | 3/27/2012 | 4/25/2023 | |||||||||||||||||
78444YAB1 | SLMA ABS 08-5 A2 | 2 | 3,089,141.40 | 100.961 | 3,068,012.17 | 3,038,811.09 | 3,063,217.80 | 4,794.37 | (11,979.79 | ) | — | — | 1.566 | 0.72 | JAJO | 8,854.64 | 27,023.66 | 8/10/2010 | 4/25/2014 | ||||||||||||||||
78444YAC9 | SLMA ABS 08-5 A3 | 2 | 13,936,144.69 | 102.452 | 14,026,709.08 | 13,691,000.00 | 13,883,090.59 | 143,618.49 | (33,471.10 | ) | — | — | 1.766 | 1.236 | JAJO | 44,989.60 | 125,047.36 | 11/29/2011 | 10/26/2015 | ||||||||||||||||
78444YAD7 | SLMA ABS 08-5 A4 | 2 | 2,457,718.75 | 103.875 | 2,441,062.50 | 2,350,000.00 | 2,439,829.10 | 1,233.40 | (5,988.47 | ) | — | — | 2.166 | 1.618 | JAJO | 9,471.71 | 31,733.77 | 1/11/2011 | 7/25/2023 | ||||||||||||||||
78445XAA4 | SLMA_10-1 ABS 10-1A | 2 | 2,484,320.93 | 100.108 | 2,487,004.00 | 2,484,320.93 | 2,484,320.93 | 2,683.07 | — | — | — | 0.645 | 0.646 | MON | 267.17 | 8,732.17 | 7/30/2010 | 9/27/2021 | |||||||||||||||||
78446JAA4 | SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2 | 2 | 10,297,890.51 | 100.15 | 10,333,368.59 | 10,317,891.75 | 10,299,802.62 | 33,565.97 | 2,257.16 | — | — | 0.845 | 0.878 | MON | 1,453.53 | 46,275.13 | 5/18/2011 | 7/25/2023 | |||||||||||||||||
78446JAB2 | SLMA_11-2 ABS 11-2 | 2 | 6,575,000.00 | 96.665 | 6,355,723.82 | 6,575,000.00 | 6,575,000.00 | (219,276.18 | ) | — | — | — | 1.445 | 1.449 | MON | 1,583.76 | 48,341.20 | 5/18/2011 | 5/25/2031 | ||||||||||||||||
78446VAA7 | SLMA_12-A ABS 12-A 144A | 2 | 6,289,052.62 | 100.543 | 6,323,195.89 | 6,289,052.62 | 6,289,052.62 | 34,143.27 | — | — | — | 1.642 | 1.646 | MON | 4,588.91 | 43,104.25 | 2/2/2012 | 7/15/2017 | |||||||||||||||||
78446XAA3 | SLM STUDENT LOAN TRUST ABS 12-B 144A | 2 | 908,414.75 | 100.07 | 909,053.37 | 908,414.75 | 908,414.75 | 638.62 | — | — | — | 1.342 | 1.344 | MON | 541.72 | 2,841.93 | 4/4/2012 | 12/15/2015 | |||||||||||||||||
78446XAB1 | SLM STUDENT LOAN TRUST ABS_12-B A2 144A | 2 | 999,897.30 | 102.758 | 1,027,579.91 | 1,000,000.00 | 999,898.90 | 27,681.01 | 1.60 | — | — | 3.48 | 3.507 | MON | 1,546.67 | 7,636.67 | 4/4/2012 | 7/15/2018 | |||||||||||||||||
78447AAA2 | SLMA_12-3 ABS_12-3 A | 2 | 1,969,736.74 | 99.78 | 1,965,403.32 | 1,969,736.74 | 1,969,736.74 | (4,333.42 | ) | — | — | — | 0.895 | 0.897 | MON | 293.90 | 2,910.78 | 4/24/2012 | 3/27/2023 | ||||||||||||||||
78572MAD7 | SABMILLER PLC CORP BND 144A | F | 6,522,239.50 | 117.807 | 6,597,179.13 | 5,600,000.00 | 6,335,091.07 | 262,088.06 | (85,894.79 | ) | — | — | 6.5 | 2.993 | JJ | 182,000.00 | 182,000.00 | 5/24/2011 | 7/1/2016 | ||||||||||||||||
790849AE3 | ST. JUDE MEDICAL INC. CORP BND | 6,365,893.24 | 104.99 | 6,295,222.70 | 5,996,000.00 | 6,208,210.58 | 87,012.12 | (50,731.67 | ) | — | — | 3.75 | 1.97 | JJ | 103,680.83 | 112,425.00 | 12/1/2010 | 7/15/2014 | |||||||||||||||||
796269UF3 | SAN ANTONIO TEX INDPT SCH DIST MUNI BND | 1,000,000.00 | 102.753 | 1,027,530.00 | 1,000,000.00 | 1,000,000.00 | 27,530.00 | — | — | — | 2.235 | 2.235 | FA | 8,443.33 | 11,175.00 | 12/15/2010 | 8/15/2014 | ||||||||||||||||||
80105NAC9 | SANOFI AVENTIS CORP BND | F | 16,010,920.00 | 100.372 | 16,049,483.12 | 15,990,000.00 | 16,003,457.42 | 46,025.70 | (3,836.90 | ) | — | — | 0.771 | 0.554 | MJSD | 1,026.82 | 69,237.43 | 7/7/2011 | 3/28/2014 | ||||||||||||||||
806854AA3 | SCHLUMBERGER INVESTMENT SA CORP BND 144A | F | 1,297,725.00 | 102.236 | 1,329,073.85 | 1,300,000.00 | 1,298,072.66 | 31,001.19 | 217.39 | — | — | 1.95 | 1.987 | MS | 7,534.59 | 12,675.00 | 9/7/2011 | 9/14/2016 | |||||||||||||||||
80685PAC2 | SCHLUMBERGER NORGE AS CORP BND 144A | F | 1,622,156.25 | 102.236 | 1,661,342.31 | 1,625,000.00 | 1,622,590.82 | 38,751.49 | 271.74 | — | — | 1.95 | 1.987 | MS | 9,418.23 | 15,843.75 | 9/7/2011 | 9/14/2016 | |||||||||||||||||
80705TAA4 | SCHOL_11-A ABS 11-A A 144A | 2 | 2,522,474.11 | 97.19 | 2,500,951.36 | 2,573,259.96 | 2,524,665.63 | (23,714.27 | ) | 5,840.43 | — | — | 1.366 | 1.526 | JAJO | 6,053.07 | 19,187.17 | 3/22/2011 | 1/28/2038 | ||||||||||||||||
822582AF9 | SHELL INTL FINAN CORP BND | F | 4,487,580.50 | 105.74 | 4,493,947.33 | 4,250,000.00 | 4,354,144.13 | 139,803.20 | (29,223.37 | ) | — | — | 4 | 2.537 | MS | 47,222.23 | 85,000.00 | 3/2/2010 | 3/21/2014 | ||||||||||||||||
822582AQ5 | SHELL INTL FINAN CORP BND | F | 14,367,563.75 | 106.527 | 15,047,005.57 | 14,125,000.00 | 14,316,332.13 | 730,673.44 | (25,466.93 | ) | — | — | 3.1 | 2.619 | JD | 3,648.96 | 211,015.28 | 2/14/2012 | 6/28/2015 | ||||||||||||||||
83714RAX1 | SOUTH CAROLINA STUDENT LN MUNI BND REV | R | 2 | 2,325,727.70 | 99.794 | 2,346,984.02 | 2,351,818.18 | 2,336,717.79 | 10,266.23 | 12,574.58 | — | — | 0.567 | 1.085 | MJSD | 1,110.94 | 9,200.23 | 3/30/2011 | 3/3/2014 | ||||||||||||||||
84650WAA4 | SPAREBNK 1 BOLIG LOCAL BND 144A | F | 1,897,516.00 | 100.49 | 1,909,309.96 | 1,900,000.00 | 1,898,100.92 | 11,209.04 | 347.80 | — | — | 1.25 | 1.294 | AO | 4,354.16 | 12,680.56 | 4/15/2011 | 10/25/2014 | |||||||||||||||||
84650WAB2 | SPAREBNK 1 BOLIG SECURED LOCAL BND 144A | F | 9,295,908.00 | 103.001 | 9,579,092.92 | 9,300,000.00 | 9,296,611.57 | 282,481.35 | 324.80 | — | — | 2.625 | 2.633 | MN | 23,056.24 | 122,087.50 | 5/23/2011 | 5/26/2017 | |||||||||||||||||
84650WAD8 | SPAREBNK 1 BOLIG LOCAL BND 144A | F | 5,486,580.00 | 100.618 | 5,533,989.78 | 5,500,000.00 | 5,487,082.22 | 46,907.56 | 502.22 | — | — | 2.3 | 2.35 | JD | 351.38 | 30,922.22 | 3/29/2012 | 6/30/2017 | |||||||||||||||||
85235XAA3 | STADSHYPOTEK AB CORP BND 144A | F | 7,868,143.26 | 100.875 | 7,868,250.00 | 7,800,000.00 | 7,831,772.03 | 36,477.97 | (12,546.95 | ) | — | — | 1.45 | 1.12 | MS | 28,589.17 | 56,550.00 | 6/9/2011 | 9/30/2013 | ||||||||||||||||
857477AJ2 | STATE STREET CORPORATION CORP BND | 5,000,000.00 | 100.085 | 5,004,265.50 | 5,000,000.00 | 5,000,000.00 | 4,265.50 | — | — | — | 0.818 | 0.66 | MJSD | 2,726.17 | 21,364.50 | 3/2/2011 | 3/7/2014 | ||||||||||||||||||
85771PAD4 | STATOIL ASA SENIOR CORP BND | F | 2,995,140.00 | 102.085 | 3,062,561.19 | 3,000,000.00 | 2,995,706.02 | 66,855.17 | 466.10 | — | — | 1.8 | 1.834 | MN | 5,700.00 | 27,000.00 | 11/16/2011 | 11/23/2016 | |||||||||||||||||
85771SAB2 | STATOIL ASA CORP BND | F | 8,220,819.00 | 105.481 | 8,333,032.98 | 7,900,000.00 | 8,047,319.83 | 285,713.15 | (39,669.39 | ) | — | — | 3.875 | 2.799 | AO | 64,626.40 | 153,062.51 | 4/6/2010 | 4/15/2014 | ||||||||||||||||
863667AA9 | STRYKER CORP CORP BND | 2,497,761.30 | 104.99 | 2,624,755.28 | 2,500,000.00 | 2,498,645.60 | 126,109.68 | 150.00 | — | — | 3 | 3.022 | JJ | 34,583.33 | 21,875.00 | 11/12/2010 | 1/15/2015 | ||||||||||||||||||
86959LAA1 | SVENSKA HANDELSBANKEN AB CORP BND 144A | F | 7,060,839.00 | 105.875 | 7,305,375.00 | 6,900,000.00 | 6,969,597.54 | 335,777.46 | (16,908.36 | ) | — | — | 4.875 | 4.328 | JD | 19,621.88 | 168,187.50 | 8/31/2009 | 6/10/2014 | ||||||||||||||||
86959LAB9 | SVENSKA HANDELSBANKEN AB CORP BND 144A | F | 3,246,002.50 | 100.391 | 3,262,691.25 | 3,250,000.00 | 3,249,718.50 | 12,972.75 | 682.12 | — | — | 2.875 | 2.918 | MS | 27,771.70 | 46,718.75 | 9/9/2009 | 9/14/2012 |
87020LAB2 | SWEDBANK HYPOTEK AB CORP BND 144A | F | 8,200,000.00 | 99.227 | 8,136,616.79 | 8,200,000.00 | 8,200,000.00 | (63,383.21 | ) | — | — | — | 0.911 | 0.758 | MJSD | 622.25 | 40,244.21 | 3/21/2011 | 3/28/2014 | ||||||||||||||||
871829AP2 | SYSCO CORPORATION CORP BND | 4,866,631.00 | 99.4 | 4,870,600.00 | 4,900,000.00 | 4,867,202.81 | 3,397.19 | 571.81 | — | — | 0.55 | 0.78 | JD | 1,422.37 | 1,422.37 | 6/6/2012 | 6/12/2015 | ||||||||||||||||||
871829AQ0 | SYSCO CORPORATION SENIOR CORP BND | 1,234,025.00 | 99.641 | 1,245,513.15 | 1,250,000.00 | 1,234,097.63 | 11,415.52 | 72.63 | — | — | 2.6 | 2.747 | JD | 1,715.28 | 1,715.28 | 6/6/2012 | 6/12/2022 | ||||||||||||||||||
88165FAC6 | TEVA PHARMAC FIN CORP BND | F | 2,501,975.00 | 103.697 | 2,592,425.00 | 2,500,000.00 | 2,501,741.37 | 90,683.63 | (185.12 | ) | — | — | 2.4 | 2.383 | MN | 8,500.00 | 30,000.00 | 11/8/2011 | 11/10/2016 | ||||||||||||||||
88166CAA6 | TEVA PHARMACEUTICAL FINANCE II CORP BND | F | 4,993,891.79 | 105.082 | 5,254,095.20 | 5,000,000.00 | 4,996,222.42 | 257,872.78 | 603.14 | — | — | 3 | 3.027 | JD | 6,666.66 | 75,000.00 | 11/12/2010 | 6/15/2015 | |||||||||||||||||
88166DAB2 | TEVA PHARMACEUTICAL FINANCE II CORP BND | F | 2,450,000.00 | 100.001 | 2,450,036.21 | 2,450,000.00 | 2,450,000.00 | 36.21 | — | — | — | 0.968 | 0.809 | MJSD | 658.68 | 12,626.04 | 3/16/2011 | 3/21/2014 | |||||||||||||||||
882117V27 | TEXAS A & M UNIV MUNITAX BND REV | 1,000,000.00 | 99.57 | 995,700.00 | 1,000,000.00 | 1,000,000.00 | (4,300.00 | ) | — | — | — | 1.239 | 1.239 | JJ | — | — | 6/26/2012 | 7/1/2016 | |||||||||||||||||
882508AS3 | TEXAS INSTRUMENTS INCORPORATED CORP BND | 4,225,000.00 | 100.318 | 4,238,435.54 | 4,225,000.00 | 4,225,000.00 | 13,435.54 | — | — | — | 0.647 | 0.58 | FMAN | 3,568.01 | 11,866.63 | 2/22/2012 | 5/15/2013 | ||||||||||||||||||
883556AW2 | THERMO FISHER SCIENTIFIC INC CORP BND | 2,999,130.00 | 102.175 | 3,065,235.21 | 3,000,000.00 | 2,999,516.99 | 65,718.22 | 143.67 | — | — | 2.05 | 2.06 | FA | 22,208.33 | 30,750.00 | 2/14/2011 | 2/21/2014 | ||||||||||||||||||
883556BA9 | THERMO FISHER SCIENTIFIC CORP BND | 648,869.00 | 103.882 | 675,234.12 | 650,000.00 | 649,057.49 | 26,176.63 | 108.06 | — | — | 2.25 | 2.287 | FA | 5,525.00 | 7,312.50 | 8/9/2011 | 8/15/2016 | ||||||||||||||||||
88579EAD7 | 3M COMPANY CORP BND | 3,587,548.50 | 101.976 | 3,416,196.00 | 3,350,000.00 | 3,383,082.88 | 33,113.12 | (35,654.98 | ) | — | — | 4.65 | 2.459 | JD | 6,923.33 | 77,887.50 | 7/20/2009 | 12/15/2012 | |||||||||||||||||
88579YAD3 | 3M COMPANY CORP BND | 7,436,700.00 | 101.847 | 7,638,555.90 | 7,500,000.00 | 7,445,958.97 | 192,596.93 | 3,060.66 | — | — | 1.375 | 1.551 | MS | 26,354.17 | 25,732.57 | 9/26/2011 | 9/29/2016 | ||||||||||||||||||
88579YAE1 | 3M COMPANY SECURED CORP BND MTN | 4,976,950.00 | 99.903 | 4,995,150.75 | 5,000,000.00 | 4,977,011.44 | 18,139.31 | 61.44 | — | — | 1 | 1.095 | JD | 694.44 | 694.44 | 6/21/2012 | 6/26/2017 | ||||||||||||||||||
88732JAV0 | TIME WARNER CABLE INC CORP BND | 7,823,158.00 | 104.907 | 7,763,135.91 | 7,400,000.00 | 7,660,010.15 | 103,125.76 | (48,608.91 | ) | — | — | 3.5 | 2.096 | FA | 107,916.67 | 129,500.00 | 10/15/2010 | 2/1/2015 | |||||||||||||||||
891145TN4 | TORONTO-DOMINION BANK SECURED LOCAL BND | A | 8,770,080.00 | 101.233 | 8,908,504.17 | 8,800,000.00 | 8,771,806.38 | 136,697.79 | 1,726.38 | — | — | 1.5 | 1.571 | MS | 39,600.00 | 39,600.00 | 3/5/2012 | 3/13/2017 | |||||||||||||||||
89114QAB4 | TORONTO-DOMINION BANK CORP BND MTN | A | 3,486,945.00 | 103.583 | 3,625,415.96 | 3,500,000.00 | 3,489,334.78 | 136,081.18 | 1,245.29 | — | — | 2.5 | 2.58 | JJ | 40,590.28 | 43,750.00 | 7/7/2011 | 7/14/2016 | |||||||||||||||||
89114QAC2 | TORONTO-DOMINION BANK CORP BND | A | 2,300,000.00 | 100.377 | 2,308,670.98 | 2,300,000.00 | 2,300,000.00 | 8,670.98 | — | — | — | 0.767 | 0.549 | JAJO | 3,722.51 | 9,424.17 | 7/7/2011 | 7/14/2014 | |||||||||||||||||
89152UAE2 | TOTAL CAPITAL S.A. CORP BND | F | 2,033,440.00 | 103.385 | 2,067,695.62 | 2,000,000.00 | 2,023,550.92 | 44,144.70 | (3,029.00 | ) | — | — | 2.3 | 1.969 | MS | 13,544.44 | 23,000.00 | 11/4/2010 | 3/15/2016 | ||||||||||||||||
89153VAA7 | TOTAL CAPITAL INTERNATIONAL SA CORP BND | F | 3,310,503.00 | 100.178 | 3,330,914.75 | 3,325,000.00 | 3,311,540.38 | 19,374.37 | 1,037.38 | — | — | 1.5 | 1.591 | FA | 18,564.59 | 18,564.59 | 2/14/2012 | 2/17/2017 | |||||||||||||||||
89153VAC3 | TOTAL CAPITAL INTERNATIONAL SA CORP BND | F | 7,985,040.00 | 100.144 | 8,011,493.53 | 8,000,000.00 | 7,985,063.66 | 26,429.87 | 23.66 | — | — | 1.55 | 1.589 | JD | 1,033.34 | 1,033.34 | 6/21/2012 | 6/28/2017 | |||||||||||||||||
89233P4B9 | TOYOTA MOTOR CREDIT CORP CORP BND MTN | 1,997,706.43 | 106.45 | 2,129,007.26 | 2,000,000.00 | 1,998,510.67 | 130,496.59 | 236.51 | — | — | 3.2 | 3.227 | JD | 2,488.89 | 32,000.00 | 11/12/2010 | 6/17/2015 | ||||||||||||||||||
89233P5E2 | TOYOTA MOTOR CREDIT CORP CORP BND MTN | 3,481,835.00 | 102.194 | 3,576,792.42 | 3,500,000.00 | 3,484,594.21 | 92,198.21 | 1,731.48 | — | — | 2 | 2.11 | MS | 20,611.11 | 35,000.00 | 9/8/2011 | 9/15/2016 | ||||||||||||||||||
89233P6D3 | TOYOTA MOTOR CREDIT CORP SENIOR CORP BND | 8,468,890.00 | 100.655 | 8,555,713.85 | 8,500,000.00 | 8,469,538.97 | 86,174.88 | 648.97 | — | — | 1.75 | 1.827 | MN | 16,114.59 | 16,114.59 | 5/17/2012 | 5/22/2017 | ||||||||||||||||||
89235UAD5 | TOYOTA AUTO RECEIVABLES OWNER TAOT | 2 | 3,599,430.48 | 100.655 | 3,623,578.20 | 3,600,000.00 | 3,599,760.53 | 23,817.67 | 91.50 | — | — | 1.09 | 1.098 | MON | 1,744.00 | 19,620.00 | 9/22/2010 | 2/15/2014 | |||||||||||||||||
89235YAC9 | TAOT_10-B ABS_10-B A3 | 2 | 1,889,807.50 | 100.182 | 1,893,411.03 | 1,889,970.79 | 1,889,936.88 | 3,474.15 | 70.53 | — | — | 1.04 | 1.047 | MON | 873.59 | 14,154.44 | 7/14/2010 | 4/15/2013 | |||||||||||||||||
89236PAD5 | TAOT_12-A ABS 12-A | 2 | 749,928.68 | 100.529 | 753,970.13 | 750,000.00 | 749,932.40 | 4,037.73 | 3.72 | — | — | 0.99 | 0.995 | MON | 330.00 | 1,505.63 | 4/11/2012 | 1/15/2016 | |||||||||||||||||
893526DH3 | TRANSCANADA PIPELINES LIMITED CORP BND | A | 3,673,161.75 | 106.333 | 3,907,739.15 | 3,675,000.00 | 3,673,890.45 | 233,848.70 | 178.35 | — | — | 3.4 | 3.411 | JD | 10,412.50 | 62,475.00 | 5/27/2010 | 6/1/2015 | |||||||||||||||||
893526DL4 | TRANSCANADA PIPELINES LIMITED SENIOR | A | 2,914,148.25 | 99.581 | 2,912,756.57 | 2,925,000.00 | 2,915,322.82 | (2,566.25 | ) | 1,174.57 | — | — | 0.875 | 1.001 | MS | 8,460.16 | 8,460.16 | 2/28/2012 | 3/2/2015 | ||||||||||||||||
902118BK3 | TYCO INTERNATIONAL GROUP SA CORP BND | F | 5,616,616.50 | 106.508 | 5,272,128.43 | 4,950,000.00 | 5,251,494.27 | 20,634.16 | (108,050.40 | ) | — | — | 6 | 1.498 | MN | 37,950.00 | 148,500.00 | 10/14/2010 | 11/15/2013 | ||||||||||||||||
90261XGX4 | UBS AG CORP BND | F | 2,898,753.00 | 100.133 | 2,903,871.47 | 2,900,000.00 | 2,899,335.32 | 4,536.15 | 205.96 | — | — | 2.25 | 2.265 | JJ | 27,731.25 | 32,625.00 | 1/25/2011 | 1/28/2014 | |||||||||||||||||
902674MY3 | UBS AG LONDON BRANCH CORP BND 144A | F | 4,975,000.00 | 100.827 | 5,041,350.15 | 5,000,000.00 | 4,978,550.14 | 62,800.01 | 3,550.14 | — | — | 1.875 | 2.048 | JJ | 40,885.42 | 40,885.42 | 1/19/2012 | 1/23/2015 | |||||||||||||||||
90290FAC0 | USAOT_1-1 ABS 10-1 A3 | 2 | 471,509.64 | 100.14 | 471,653.89 | 470,994.50 | 471,046.66 | 607.23 | (296.38 | ) | — | — | 1.3 | 1.239 | MON | 272.13 | 5,327.00 | 4/28/2010 | 11/15/2012 | ||||||||||||||||
90345AAC6 | US CENTRAL CREDIT UNION - (LT) CORP BND | 9,706,010.30 | 100.495 | 9,677,668.50 | 9,630,000.00 | 9,638,781.83 | 38,886.67 | (14,465.63 | ) | — | — | 1.9 | 1.594 | AO | 36,382.89 | 91,485.00 | 3/4/2010 | 10/19/2012 | |||||||||||||||||
911312AG1 | UNITED PARCEL SERVICE INC CORP BND | 2,802,555.00 | 102.149 | 2,681,411.25 | 2,625,000.00 | 2,655,447.97 | 25,963.28 | (27,924.15 | ) | — | — | 4.5 | 2.319 | JJ | 54,468.75 | 59,062.50 | 10/14/2009 | 1/15/2013 |
911312AL0 | UNITED PARCEL SERVICE INC CORP BND | 12,414,426.00 | 105.489 | 12,447,683.83 | 11,800,000.00 | 12,080,516.78 | 367,167.05 | (77,500.84 | ) | — | — | 3.875 | 2.478 | AO | 114,312.50 | 228,625.01 | 12/14/2011 | 4/1/2014 | |||||||||||||||||
91159HGX2 | US BANCORP CORP BND | 999,020.00 | 104.208 | 1,042,079.32 | 1,000,000.00 | 999,383.88 | 42,695.44 | 56.52 | — | — | 2.45 | 2.471 | JJ | 10,480.56 | 7,145.84 | 7/22/2010 | 7/27/2015 | ||||||||||||||||||
91159HGY0 | US BANCORP CORP BND | 1 | 4,044,775.50 | 100.802 | 4,082,461.32 | 4,050,000.00 | 4,047,882.41 | 34,578.91 | 865.59 | — | — | 1.375 | 1.419 | MS | 16,706.25 | 27,843.75 | 9/8/2010 | 9/13/2013 | |||||||||||||||||
91159HGZ7 | US BANCORP CORP BND | 1 | 1,997,060.00 | 100.584 | 2,011,679.84 | 2,000,000.00 | 1,998,681.01 | 12,998.83 | 487.79 | — | — | 1.125 | 1.175 | AO | 3,812.50 | 11,250.00 | 10/28/2010 | 10/30/2013 | |||||||||||||||||
91159HHB9 | US BANCORP CORP BND MTN | 1 | 3,615,720.00 | 103.252 | 3,742,868.91 | 3,625,000.00 | 3,616,894.61 | 125,974.30 | 896.94 | — | — | 2.2 | 2.254 | MN | 10,190.28 | 39,875.00 | 10/27/2011 | 11/15/2016 | |||||||||||||||||
91159HHD5 | US BANCORP SENIOR CORP BND MTN | 1 | 6,986,910.00 | 100.561 | 7,039,241.51 | 7,000,000.00 | 6,987,274.72 | 51,966.79 | 364.72 | — | — | 1.65 | 1.689 | MN | 17,004.17 | 17,004.17 | 5/3/2012 | 5/15/2017 | |||||||||||||||||
912828JM3 | UNITED STATES TREASURY GOVT BND | 2,037,265.63 | 103.534 | 2,070,679.94 | 2,000,000.00 | 2,009,893.04 | 60,786.90 | (3,855.82 | ) | — | — | 3.125 | 2.719 | MS | 15,710.38 | 31,079.24 | 10/7/2008 | 9/30/2013 | |||||||||||||||||
912828JQ4 | UNITED STATES TREASURY GOVT BND | 10,331,674.13 | 103.262 | 10,326,199.30 | 10,000,000.00 | 10,327,668.32 | (1,469.02 | ) | (4,005.81 | ) | — | — | 2.75 | 0.283 | AO | 46,331.52 | 4,483.69 | 6/22/2012 | 10/31/2013 | ||||||||||||||||
912828JZ4 | UNITED STATES TREASURY GOVT BND | 15,224,439.51 | 102.273 | 15,750,042.46 | 15,400,000.00 | 15,312,273.31 | 437,769.15 | 27,074.72 | — | — | 1.75 | 2.118 | JJ | 112,538.46 | 134,508.57 | 11/12/2010 | 1/31/2014 | ||||||||||||||||||
912828KF6 | UNITED STATES TREASURY GOVT BND | 3,090,820.31 | 102.582 | 3,077,460.03 | 3,000,000.00 | 3,042,772.46 | 34,687.57 | (12,608.49 | ) | — | — | 1.875 | 1.01 | FA | 18,800.95 | 27,918.39 | 8/3/2010 | 2/28/2014 | |||||||||||||||||
912828LC2 | UNITED STATES TREASURY GOVT BND | 20,597,062.50 | 104.717 | 20,629,249.61 | 19,700,000.00 | 20,225,216.92 | 404,032.69 | (123,769.20 | ) | — | — | 2.625 | 1.323 | JJ | 215,942.31 | 258,099.24 | 12/23/2010 | 7/31/2014 | |||||||||||||||||
912828LK4 | UNITED STATES TREASURY GOVT BND | 7,774,804.69 | 104.367 | 7,827,524.78 | 7,500,000.00 | 7,647,546.07 | 179,978.71 | (33,174.81 | ) | — | — | 2.375 | 1.449 | FA | 59,536.35 | 88,408.26 | 7/28/2010 | 8/31/2014 | |||||||||||||||||
912828LZ1 | UNITED STATES TREASURY GOVT BND | 4,200,000.00 | 104.217 | 4,168,680.12 | 4,000,000.00 | 4,118,228.78 | 50,451.34 | (24,031.02 | ) | — | — | 2.125 | 0.885 | MN | 7,199.45 | 42,267.76 | 10/14/2010 | 11/30/2014 | |||||||||||||||||
912828MH0 | UNITED STATES TREASURY GOVT BND | 12,914,223.24 | 104.797 | 13,623,609.61 | 13,000,000.00 | 12,954,411.95 | 669,197.66 | 281.07 | — | — | 2.25 | 2.391 | JJ | 122,142.86 | 4,821.43 | 1/29/2010 | 1/31/2015 | ||||||||||||||||||
912828MN7 | UNITED STATES TREASURY GOVT BND | 15,941,238.41 | 100.727 | 16,022,643.89 | 15,907,000.00 | 15,915,045.13 | 107,598.76 | (6,401.20 | ) | — | — | 1.375 | 1.293 | FA | 82,320.92 | 109,066.73 | 9/9/2010 | 2/15/2013 | |||||||||||||||||
912828MR8 | UNITED STATES TREASURY GOVT BND | 10,521,517.88 | 105.239 | 10,523,899.80 | 10,000,000.00 | 10,519,937.26 | 3,962.54 | (1,580.62 | ) | — | — | 2.375 | 0.412 | FA | 79,381.79 | 1936.14 | 6/27/2012 | 2/28/2015 | |||||||||||||||||
912828MT4 | UNITED STATES TREASURY GOVT BND | 10,182,846.00 | 100.82 | 10,082,001.00 | 10,000,000.00 | 10,084,051.46 | (2,050.46 | ) | (59,038.27 | ) | — | — | 1.375 | 0.184 | MS | 40,353.26 | 68,306.56 | 8/31/2011 | 3/15/2013 | ||||||||||||||||
912828NQ9 | UNITED STATES TREASURY GOVT BND | 5,011,090.97 | 100.035 | 5,001,750.00 | 5,000,000.00 | 5,000,466.61 | 1,283.39 | (2,938.06 | ) | — | — | 0.625 | 0.511 | JJ | 13,049.46 | 16,210.67 | 8/13/2010 | 7/31/2012 | |||||||||||||||||
912828NZ9 | UNITED STATES TREASURY GOVT BND | 12,191,496.90 | 102.474 | 12,194,405.88 | 11,900,000.00 | 12,135,546.42 | 58,859.46 | (35,632.08 | ) | — | — | 1.25 | 0.633 | MS | 37,390.71 | 73,968.57 | 9/16/2011 | 9/30/2015 | |||||||||||||||||
912828PE4 | UNITED STATES TREASURY GOVT BND | 73,722,757.71 | 102.489 | 73,792,078.56 | 72,000,000.00 | 73,545,772.72 | 246,305.84 | (176,984.99 | ) | — | — | 1.25 | 0.598 | AO | 151,630.44 | 340,950.50 | 3/19/2012 | 10/31/2015 | |||||||||||||||||
912828PQ7 | UNITED STATES TREASURY GOVT BND | 10,123,517.88 | 101.054 | 10,105,400.10 | 10,000,000.00 | 10,104,861.05 | 539.05 | (18,656.83 | ) | — | — | 1 | 0.316 | JJ | 46,153.84 | 27,687.28 | 6/22/2012 | 1/15/2014 | |||||||||||||||||
912828PU8 | UNITED STATES TREASURY GOVT BND | 1,793,326.34 | 100.29 | 1,805,220.02 | 1,800,000.00 | 1,796,932.10 | 8,287.92 | 1,108.29 | — | — | 0.5 | 0.625 | MN | 1,149.46 | 4,487.37 | 11/9/2010 | 11/15/2013 | ||||||||||||||||||
912828QE3 | UNITED STATES TREASURY GOVT BND | 299,872.10 | 100.32 | 300,960.03 | 300,000.00 | 299,946.50 | 1,013.53 | 31.93 | — | — | 0.625 | 0.647 | AO | 315.90 | 934.03 | 4/27/2011 | 4/30/2013 | ||||||||||||||||||
912828QU7 | UNITED STATES TREASURY GOVT BND | 12,947,453.12 | 100.573 | 12,923,631.27 | 12,850,000.00 | 12,918,004.21 | 5,627.06 | (16,595.48 | ) | — | — | 0.625 | 0.364 | JJ | 37,067.31 | 40,122.68 | 8/9/2011 | 7/15/2014 | |||||||||||||||||
912828QW3 | UNITED STATES TREASURY GOVT BND | 10,012,533.50 | 100.125 | 10,012,500.00 | 10,000,000.00 | 10,012,439.06 | 60.94 | (94.44 | ) | — | — | 0.375 | 0.26 | JJ | 15,659.34 | 309.07 | 6/27/2012 | 7/31/2013 | |||||||||||||||||
912828QX1 | UNITED STATES TREASURY GOVT BND | 70,268,081.36 | 103.606 | 71,073,712.57 | 68,600,000.00 | 69,980,144.23 | 1,093,568.34 | (165,408.47 | ) | — | — | 1.5 | 0.996 | JJ | 429,692.31 | 516,128.12 | 8/16/2011 | 7/31/2016 | |||||||||||||||||
912828RA0 | UNITED STATES TREASURY GOVT BND | 33,341,625.00 | 100.12 | 33,339,963.33 | 33,300,000.00 | 33,332,516.19 | 7,447.14 | (10,483.36 | ) | — | — | 0.375 | 0.277 | JD | 257.81 | 40,186.97 | 3/20/2012 | 6/30/2013 | |||||||||||||||||
912828RB8 | UNITED STATES TREASURY GOVT BND | 2,513,289.62 | 100.336 | 2,508,400.15 | 2,500,000.00 | 2,509,420.31 | (1,020.16 | ) | (3,748.07 | ) | — | — | 0.5 | 0.322 | FA | 4,704.67 | 10,609.75 | 8/10/2011 | 8/15/2014 | ||||||||||||||||
912828RD4 | UNITED STATES TREASURY GOVT BND | 9,985,580.38 | 99.836 | 9,983,599.90 | 10,000,000.00 | 9,991,446.15 | (7,846.25 | ) | 2,563.34 | — | — | 0.125 | 0.197 | FA | 4,177.99 | 6,250.00 | 9/6/2011 | 8/31/2013 | |||||||||||||||||
912828RF9 | UNITED STATES TREASURY GOVT BND | 30,621,640.91 | 101.577 | 30,879,411.36 | 30,400,000.00 | 30,587,598.08 | 291,813.28 | (21,375.55 | ) | — | — | 1 | 0.848 | FA | 101,608.71 | 149,317.51 | 9/21/2011 | 8/31/2016 | |||||||||||||||||
912828RG7 | UNITED STATES TREASURY GOVT BND | 8,060,458.32 | 99.793 | 8,063,274.32 | 8,080,000.00 | 8,065,516.57 | (2,242.25 | ) | 3,785.86 | — | — | 0.25 | 0.332 | MS | 5,928.26 | 11,701.94 | 9/21/2011 | 9/15/2014 | |||||||||||||||||
912828RJ1 | UNITED STATES TREASURY GOVT BND | 5,960,625.00 | 101.553 | 6,093,180.06 | 6,000,000.00 | 5,966,192.20 | 126,987.86 | 2,269.65 | — | — | 1 | 1.136 | MS | 15,081.97 | 17,540.99 | 10/11/2011 | 9/30/2016 | ||||||||||||||||||
912828RK8 | UNITED STATES TREASURY GOVT BND | 9,981,674.13 | 99.813 | 9,981,300.40 | 10,000,000.00 | 9,982,027.66 | (727.26 | ) | 353.53 | — | — | 0.125 | 0.269 | MS | 3,142.08 | 307.38 | 6/21/2012 | 9/30/2013 | |||||||||||||||||
912828RL6 | UNITED STATES TREASURY GOVT BND | 12,914,152.59 | 100.366 | 12,947,213.61 | 12,900,000.00 | 12,910,878.34 | 36,335.27 | (2,346.90 | ) | — | — | 0.5 | 0.463 | AO | 13,569.67 | 32,073.77 | 10/20/2011 | 10/15/2014 |
912828RM4 | UNITED STATES TREASURY GOVT BND | 45,470,034.13 | 101.518 | 45,886,135.10 | 45,200,000.00 | 45,436,030.61 | 450,104.49 | (27,030.67 | ) | — | — | 1 | 0.877 | AO | 76,152.18 | 230,445.31 | 11/18/2011 | 10/31/2016 | |||||||||||||||||
912828RN2 | UNITED STATES TREASURY GOVT BND | 20,257,083.99 | 99.952 | 20,240,280.61 | 20,250,000.00 | 20,254,745.90 | (14,465.29 | ) | (1,790.92 | ) | — | — | 0.25 | 0.232 | AO | 8,529.21 | 20,611.63 | 4/16/2012 | 10/31/2013 | ||||||||||||||||
912828RQ5 | UNITED STATES TREASURY GOVT BND | 52,383,231.34 | 100.061 | 52,431,962.44 | 52,400,000.00 | 52,386,925.34 | 45,037.10 | 3,178.61 | — | — | 0.375 | 0.386 | MN | 25,096.46 | 101,631.48 | 12/13/2011 | 11/15/2014 | ||||||||||||||||||
912828RS1 | UNITED STATES TREASURY GOVT BND | 20,003,158.50 | 99.932 | 19,986,399.80 | 20,000,000.00 | 20,002,280.45 | (15,880.65 | ) | (799.05 | ) | — | — | 0.25 | 0.242 | MN | 4,234.97 | 22,301.91 | 12/13/2011 | 11/30/2013 | ||||||||||||||||
912828RU6 | UNITED STATES TREASURY GOVT BND | 23,472,893.44 | 100.989 | 23,732,414.53 | 23,500,000.00 | 23,476,139.09 | 256,275.44 | 7,446.70 | — | — | 0.875 | 0.898 | MN | 17,416.32 | 150,483.26 | 12/19/2011 | 11/30/2016 | ||||||||||||||||||
912828RV4 | UNITED STATES TREASURY GOVT BND | 9,967,578.13 | 99.747 | 9,974,700.20 | 10,000,000.00 | 9,973,308.09 | 1,392.11 | 5,375.58 | — | — | 0.25 | 0.359 | JD | 1,092.90 | 12,431.70 | 12/19/2011 | 12/15/2014 | ||||||||||||||||||
912828RW2 | UNITED STATES TREASURY GOVT BND | 3,242,890.63 | 99.735 | 3,241,387.53 | 3,250,000.00 | 3,244,485.63 | (3,098.10 | ) | 1,595.00 | — | — | 0.125 | 0.239 | JD | 11.04 | 1,763.27 | 1/20/2012 | 12/31/2013 | |||||||||||||||||
912828RX0 | UNITED STATES TREASURY GOVT BND | 27,150,502.25 | 100.893 | 27,241,109.46 | 27,000,000.00 | 27,144,096.87 | 97,012.59 | (6,265.21 | ) | — | — | 0.875 | 0.753 | JD | 1,277.03 | 60,002.99 | 6/21/2012 | 12/31/2016 | |||||||||||||||||
912828RZ5 | UNITED STATES TREASURY GOVT BND | 8,378,894.21 | 99.719 | 8,376,396.17 | 8,400,000.00 | 8,382,040.25 | (5,644.08 | ) | 3,467.50 | — | — | 0.25 | 0.335 | JJ | 9,692.31 | 10,407.98 | 1/25/2012 | 1/15/2015 | |||||||||||||||||
912828SB7 | UNITED STATES TREASURY GOVT BND | 12,972,070.31 | 99.909 | 12,988,169.61 | 13,000,000.00 | 12,976,086.73 | 12,082.88 | 4,016.42 | — | — | 0.25 | 0.367 | JJ | 13,571.43 | 8,660.72 | 3/21/2012 | 1/31/2014 | ||||||||||||||||||
912828SC5 | UNITED STATES TREASURY GOVT BND | 16,333,478.35 | 100.851 | 16,438,712.68 | 16,300,000.00 | 16,330,979.67 | 107,733.01 | (3,158.26 | ) | — | — | 0.875 | 0.833 | JJ | 59,557.69 | 65,942.31 | 2/23/2012 | 1/31/2017 | |||||||||||||||||
912828SE1 | UNITED STATES TREASURY GOVT BND | 54,769,481.14 | 99.654 | 54,805,482.20 | 55,000,000.00 | 54,792,537.63 | 12,944.57 | 27,992.41 | — | — | 0.25 | 0.391 | FA | 51,751.37 | 50,281.59 | 5/21/2012 | 2/15/2015 | ||||||||||||||||||
912828SG6 | UNITED STATES TREASURY GOVT BND | 498,771.21 | 99.901 | 499,505.01 | 500,000.00 | 498,947.50 | 557.51 | 1,263.51 | — | — | 0.25 | 0.377 | FA | 417.80 | 2,507.49 | 3/19/2012 | 2/28/2014 | ||||||||||||||||||
912828SK7 | UNITED STATES TREASURY GOVT BND | 9,157,598.45 | 99.943 | 9,194,756.09 | 9,200,000.00 | 9,161,122.94 | 33,633.15 | 3,524.49 | — | — | 0.375 | 0.532 | MS | 10,125.00 | 7,822.01 | 5/21/2012 | 3/15/2015 | ||||||||||||||||||
912828SP6 | UNITED STATES TREASURY GOVT BND | 4,001,562.48 | 99.931 | 3,997,240.00 | 4,000,000.00 | 4,001,488.71 | (4,248.71 | ) | (73.77 | ) | — | — | 0.375 | 0.362 | AO | 3,155.74 | 2090.17 | 5/8/2012 | 4/15/2015 | ||||||||||||||||
912828SW1 | UNITED STATES TREASURY GOVT BND | 10,000,424.13 | 99.879 | 9,987,899.80 | 10,000,000.00 | 10,000,408.45 | (12,508.65 | ) | (15.68 | ) | — | — | 0.25 | 0.248 | MN | 2,117.49 | 1,844.27 | 6/1/2012 | 5/31/2014 | ||||||||||||||||
912828SY7 | UNITED STATES TREASURY GOVT BND | 2,987,578.11 | 99.537 | 2,986,110.09 | 3,000,000.00 | 2,987,598.50 | (1,488.41 | ) | 20.39 | — | — | 0.625 | 0.711 | MN | 1,588.11 | 153.68 | 6/25/2012 | 5/31/2017 | |||||||||||||||||
912828SZ4 | UNITED STATES TREASURY GOVT BND | 2,998,359.36 | 99.914 | 2,997,420.03 | 3,000,000.00 | 2,998,363.88 | (943.85 | ) | 4.52 | — | — | 0.375 | 0.394 | JD | 491.80 | 92.21 | 6/25/2012 | 6/15/2015 | |||||||||||||||||
913017BU2 | UNITED TECHNOLOGIES CORP SENIOR CORP BND | 9,706,645.10 | 101.989 | 9,908,278.67 | 9,715,000.00 | 9,706,777.30 | 201,501.37 | 132.20 | — | — | 1.8 | 1.818 | JD | 14,572.50 | 14,572.50 | 5/24/2012 | 6/1/2017 | ||||||||||||||||||
913017BX6 | UNITED TECHNOLOGIES CORP SENIOR CORP BND | 4,611,844.43 | 101.081 | 4,642,650.33 | 4,593,000.00 | 4,611,653.55 | 30,996.78 | (190.88 | ) | — | — | 0.967 | 0.827 | MJSD | 3,700.62 | 2,785.68 | 6/15/2012 | 6/1/2015 | |||||||||||||||||
913017BY4 | UNITED TECHNOLOGIES CORP SENIOR CORP BND | 3,997,760.00 | 101.138 | 4,045,531.60 | 4,000,000.00 | 3,997,820.28 | 47,711.32 | 60.28 | — | — | 1.2 | 1.219 | JD | 4,000.00 | 4,000.00 | 5/24/2012 | 6/1/2015 | ||||||||||||||||||
91412GFC4 | UNIVERSITY CALIF REVS MUNI BND REV | 1,300,000.00 | 100.395 | 1,305,134.96 | 1,300,000.00 | 1,300,000.00 | 5,134.96 | — | — | — | 0.887 | 0.887 | JJ | 5,829.56 | 5,957.68 | 7/20/2011 | 7/1/2013 | ||||||||||||||||||
914455KX7 | UNIVERSITY MICH UNIV REVS MUNITAX BND | 3,500,000.00 | 102.071 | 3,572,485.00 | 3,500,000.00 | 3,500,000.00 | 72,485.00 | — | — | — | 1.754 | 1.754 | AO | 15,347.50 | 30,695.00 | 10/28/2010 | 4/1/2015 | ||||||||||||||||||
914713G63 | UNIVERSITY N C CHAPEL HILL MUNITAX BND | 1,000,000.00 | 99.84 | 998,400.00 | 1,000,000.00 | 1,000,000.00 | (1,600.00 | ) | — | — | — | 1.225 | 1.225 | JD | — | — | 6/28/2012 | 12/1/2016 | |||||||||||||||||
91913YAQ3 | VALERO ENERGY CORPORATION CORP BND | 1,531,485.00 | 106.381 | 1,595,719.41 | 1,500,000.00 | 1,518,133.85 | 77,585.56 | (3,292.83 | ) | — | — | 4.5 | 4.003 | FA | 28,125.00 | 33,750.00 | 5/20/2010 | 2/1/2015 | |||||||||||||||||
92343VAZ7 | VERIZON COMMUNICATIONS INC. CORP BND FRN | 13,248,168.00 | 100.879 | 13,356,379.34 | 13,240,000.00 | 13,248,156.57 | 108,222.77 | (13.15 | ) | — | — | 1.071 | 0.907 | MJSD | 1,181.23 | 65,129.53 | 6/25/2012 | 3/28/2014 | |||||||||||||||||
92343VBA1 | VERIZON COMMUNICATIONS INC. CORP BND | 2,233,397.61 | 102.137 | 2,215,355.85 | 2,169,000.00 | 2,221,635.83 | (6,279.98 | ) | (11,761.78 | ) | — | — | 1.95 | 0.548 | MS | 10,926.34 | 16,565.74 | 2/7/2012 | 3/28/2014 | ||||||||||||||||
92343VBD5 | VERIZON COMMUNICATIONS INC. CORP BND | 6,956,110.00 | 102.259 | 7,158,112.57 | 7,000,000.00 | 6,961,649.90 | 196,462.67 | 5,983.29 | — | — | 2 | 2.133 | MN | 23,333.33 | 100,222.23 | 10/27/2011 | 11/1/2016 | ||||||||||||||||||
92344GAW6 | VERIZON COMMUNICATIONS INC. CORP BND | 6,784,125.00 | 101.199 | 6,984,542.88 | 6,250,000.00 | 6,569,306.51 | 415,236.37 | (46,631.72 | ) | — | — | 4.9 | 3.21 | MS | 90,173.61 | 153,125.00 | 2/17/2010 | 9/15/2015 | |||||||||||||||||
92344SAJ9 | CELLCO PARTNERSHIP/VERIZON WIR CORP BND | 6,369,194.90 | 108.661 | 6,007,858.01 | 5,529,000.00 | 5,860,693.19 | 147,164.82 | (117,537.51 | ) | — | — | 7.375 | 2.88 | MN | 52,103.14 | 203,881.88 | 4/20/2010 | 11/15/2013 | |||||||||||||||||
92344SAP5 | CELLCO PARTNERSHIP/VERIZON WIR CORP BND | 15,246,234.80 | 106.944 | 16,095,039.96 | 15,050,000.00 | 15,151,791.45 | 943,248.51 | (32,892.91 | ) | — | — | 5.55 | 5.089 | FA | 348,031.27 | 378,718.12 | 2/22/2012 | 2/1/2014 | |||||||||||||||||
928670AE8 | VOLKSWAGEN INTL FIN NV CORP BND 144A | F | 8,105,061.80 | 99.793 | 8,063,274.32 | 8,080,000.00 | 8,095,673.68 | (32,399.36 | ) | (4,411.24 | ) | — | — | 1.078 | 0.784 | JAJO | 22,020.62 | 46,787.00 | 7/12/2011 | 4/1/2014 | |||||||||||||||
92867DAD2 | VALET_11-1 ABS_11-1 A4 | 2 | 2,062,187.50 | 102.724 | 2,054,471.20 | 2,000,000.00 | 2,047,246.86 | 7,224.34 | (9,722.91 | ) | — | — | 1.98 | 0.997 | MON | 1,210.00 | 19,800.00 | 9/15/2011 | 8/20/2015 | ||||||||||||||||
92867GAC7 | VALET_12-1 ABS 12-1 | 2 | 3,919,954.53 | 100.349 | 3,933,683.94 | 3,920,000.00 | 3,919,955.68 | 13,728.26 | 1.15 | — | — | 0.85 | 0.852 | MON | 1,018.11 | 14,346.12 | 1/19/2012 | 7/20/2015 |
92867KAC8 | VWALT_12-A ABS_12-A A3 | 2 | 2,899,427.83 | 100.059 | 2,901,724.92 | 2,900,000.00 | 2,899,437.00 | 2,287.92 | 9.17 | — | — | 0.87 | 0.883 | MON | 700.83 | 700.83 | 6/13/2012 | 7/20/2015 | |||||||||||||||||
92869AAC8 | VALET_2010-1 ABS 10-1-A3 | 2 | 144,641.05 | 100.128 | 144,021.38 | 143,837.58 | 144,025.92 | (4.54 | ) | (1,256.45 | ) | — | — | 1.31 | 0.574 | MON | 57.57 | 1912.11 | 5/12/2011 | 10/20/2012 | |||||||||||||||
92922F3N6 | WAMU_05-A12 CMO_05-AR12 1A8 | 2 | 3,391,457.06 | 84.59 | 2,898,265.67 | 3,426,254.99 | 3,393,239.52 | (494,973.85 | ) | 2057.89 | — | — | 2.451 | 2.611 | MON | 6,997.84 | 43,259.97 | 1/10/2008 | 9/1/2035 | ||||||||||||||||
92924SAA6 | WESTFIELD GROUP CORP BND 144A | R | 2,960,718.75 | 93.983 | 3,058,435.69 | 3,025,000.00 | 3,021,075.22 | 37,360.47 | 7,652.44 | — | — | 5.4 | 5.929 | AO | 40,837.50 | 81,675.00 | 12/24/2008 | 10/1/2012 | |||||||||||||||||
92976WBA3 | WACHOVIA CORPORATION CORP BND MTN | 527,500.00 | 101.414 | 525,516.44 | 500,000.00 | 505,985.57 | 19,530.87 | (2,658.11 | ) | — | — | 5.7 | 4.556 | FA | 11,875.00 | 14,250.00 | 1/31/2008 | 8/1/2013 | |||||||||||||||||
92976WBJ4 | WACHOVIA CORPORATION CORP BND MTN | 427,674.40 | 103.927 | 415,708.00 | 400,000.00 | 406,882.08 | 8,825.92 | (4,023.20 | ) | — | — | 5.5 | 3.389 | MN | 3,666.67 | 11,000.00 | 10/29/2009 | 5/1/2013 | |||||||||||||||||
931142AS2 | WAL-MART STORES INC CORP BND | 6,759,610.00 | 106.258 | 6,162,975.71 | 5,800,000.00 | 6,113,570.78 | 49,404.93 | (158,770.61 | ) | — | — | 7.25 | 1.305 | JD | 35,041.67 | 198,160.62 | 7/22/2010 | 6/1/2013 | |||||||||||||||||
931142CL5 | WAL-MART STORES INC CORP BND | 4,286,480.00 | 103.026 | 4,121,040.00 | 4,000,000.00 | 4,101,024.65 | 20,015.35 | (63,227.20 | ) | — | — | 4.25 | 1.029 | AO | 35,888.89 | 85,000.00 | 1/10/2011 | 4/15/2013 | |||||||||||||||||
931142CR2 | WAL-MART STORES INC CORP BND | 3,024,810.00 | 105.62 | 3,168,601.47 | 3,000,000.00 | 3,014,554.73 | 154,046.74 | (2,531.20 | ) | — | — | 2.875 | 2.69 | AO | 21,562.51 | 43,125.00 | 5/20/2010 | 4/1/2015 | |||||||||||||||||
931142CT8 | WAL-MART STORES INC CORP BND | 4,188,920.00 | 104.152 | 4,166,062.00 | 4,000,000.00 | 4,180,230.26 | (14,168.26 | ) | (8,689.74 | ) | — | — | 2.25 | 0.738 | JJ | 43,250.00 | 13,250.00 | 5/3/2012 | 7/8/2015 | ||||||||||||||||
931142CX9 | WAL-MART STORES INC CORP BND | 3,655,118.25 | 102.107 | 3,752,423.07 | 3,675,000.00 | 3,661,635.00 | 90,788.07 | 1943.23 | — | — | 1.5 | 1.613 | AO | 10,106.25 | 27,562.50 | 10/18/2010 | 10/25/2015 | ||||||||||||||||||
931142DA8 | WAL-MART STORES INC CORP BND | 2,094,330.00 | 101.978 | 2,141,531.36 | 2,100,000.00 | 2,096,573.66 | 44,957.70 | 933.85 | — | — | 1.625 | 1.718 | AO | 7,204.16 | 17,062.50 | 4/11/2011 | 4/15/2014 | ||||||||||||||||||
931422AD1 | WALGREEN CO CORP BND | 6,200,660.25 | 104.606 | 6,511,704.21 | 6,225,000.00 | 6,219,279.30 | 292,424.91 | 2,532.63 | — | — | 4.875 | 4.963 | FA | 126,445.32 | 151,734.39 | 7/14/2008 | 8/1/2013 | ||||||||||||||||||
93934FEN8 | WMALT_05-5 CMO 05-9-2A2 | 2 | 4,144,597.71 | 77.381 | 3,500,297.67 | 4,523,435.44 | 4,173,939.62 | (673,641.95 | ) | 31,853.71 | — | — | 5.5 | 7.296 | MON | 20,732.41 | 129,564.14 | 12/17/2007 | 3/1/2032 | ||||||||||||||||
949746NY3 | WELLS FARGO & COMPANY CORP BND | 797,552.00 | 102.142 | 817,136.00 | 800,000.00 | 799,686.80 | 17,449.20 | 262.44 | — | — | 4.375 | 4.444 | JJ | 14,680.56 | 17,500.01 | 1/25/2008 | 1/31/2013 | ||||||||||||||||||
94974BEU0 | WELLS FARGO & COMPANY CORP BND | 5,656,604.00 | 106.051 | 5,885,843.78 | 5,550,000.00 | 5,633,279.36 | 252,564.42 | (16,741.26 | ) | — | — | 3.625 | 3.054 | AO | 42,472.92 | 106,408.86 | 1/5/2012 | 4/15/2015 | |||||||||||||||||
94974BEZ9 | WELLS FARGO & COMPANY SENIOR CORP BND | 2,992,320.00 | 102.522 | 3,075,659.40 | 3,000,000.00 | 2,993,121.52 | 82,537.88 | 726.06 | — | — | 2.625 | 2.68 | JD | 3,500.00 | 39,375.00 | 12/5/2011 | 12/15/2016 | ||||||||||||||||||
94974BFD7 | WELLS FARGO & COMPANY SENIOR CORP BND | 3,996,800.00 | 100.091 | 4,003,629.16 | 4,000,000.00 | 3,996,890.62 | 6,738.54 | 90.62 | — | — | 2.1 | 2.117 | MN | 12,600.00 | 12,600.00 | 4/30/2012 | 5/8/2017 | ||||||||||||||||||
94974BFE5 | WELLS FARGO & COMPANY SENIOR CORP BND | 16,193,199.00 | 100.104 | 16,241,925.43 | 16,225,000.00 | 16,193,303.28 | 48,622.15 | 104.28 | — | — | 1.5 | 1.567 | JJ | 2,704.17 | 2,704.17 | 6/20/2012 | 7/1/2015 | ||||||||||||||||||
949781AA6 | WFMBS CMO 05-AR1 1A1 | 2 | 2,403,746.94 | 92.83 | 2,285,934.79 | 2,462,495.74 | 2,409,508.75 | (123,573.96 | ) | 4,080.60 | — | — | 2.61 | 3.289 | MON | 5,355.31 | 32,981.95 | 12/5/2006 | 2/1/2027 | ||||||||||||||||
949781AC2 | WFMBS CMO 05-AR1 2A1 | 2 | 676,329.62 | 90.35 | 626,329.24 | 693,227.03 | 677,349.79 | (51,020.55 | ) | 1,472.57 | — | — | 2.612 | 3.075 | MON | 1,509.02 | 9,243.40 | 5/27/2008 | 12/1/2034 | ||||||||||||||||
949797AA2 | WFMBS WHOLE CMO 07-15 A1 | 2 | 262,326.36 | 94 | 245,036.16 | 260,676.77 | 262,179.15 | (17,142.99 | ) | (175.24 | ) | — | — | 6 | 5.801 | MON | 1,303.38 | 8,161.39 | 1/17/2008 | 11/1/2037 | |||||||||||||||
94980RAC1 | WFMBS_04-Z CMO 04-Z-2A1 | 2 | 196,434.39 | 98.819 | 195,827.97 | 198,168.34 | 196,594.84 | (766.87 | ) | 139.94 | — | — | 2.615 | 2.759 | MON | 431.87 | 2,684.74 | 1/14/2008 | 11/1/2034 | ||||||||||||||||
94981NAH8 | WFMBS_05-AR4 CMO 05-AR4 2A2 | 2 | 1,839,454.59 | 92.31 | 1,747,066.69 | 1,892,610.32 | 1,845,763.71 | (98,697.02 | ) | 5,502.44 | — | — | 2.688 | 3.207 | MON | 4,239.32 | 26,459.54 | 7/19/2006 | 10/1/2029 | ||||||||||||||||
94982BAG5 | WFMBS CMO 05-AR8 3A2 | 2 | 677,267.09 | 97.34 | 670,674.21 | 689,001.65 | 678,989.32 | (8,315.11 | ) | 1,107.25 | — | — | 2.692 | 3.004 | MON | 1,545.91 | 9,835.77 | 12/15/2005 | 2/1/2035 | ||||||||||||||||
95806AAB9 | WESTERN CORPORATE FEDERAL CRED CORP BND | 4,010,212.00 | 100.505 | 4,020,200.00 | 4,000,000.00 | 4,001,277.81 | 18,922.19 | (1,878.89 | ) | — | — | 1.75 | 1.654 | MN | 11,472.22 | 35,000.00 | 1/27/2010 | 11/2/2012 | |||||||||||||||||
959802AN9 | WESTERN UNION CORP BND | 10,100,000.00 | 100.418 | 10,142,217.90 | 10,100,000.00 | 10,100,000.00 | 42,217.90 | — | — | — | 1.048 | 0.89 | MJSD | 7,055.53 | 54,900.36 | 3/2/2011 | 3/7/2013 | ||||||||||||||||||
961214BR3 | WESTPAC BANKING CORP CORP BND | F | 9,195,216.00 | 100.807 | 9,274,243.91 | 9,200,000.00 | 9,197,670.94 | 76,572.97 | 790.10 | — | — | 1.85 | 1.868 | JD | 10,401.11 | 85,100.00 | 12/2/2010 | 12/9/2013 | |||||||||||||||||
9612E0CD7 | WESTPAC BANKING CORP CORP BND 144A | F | 2,702,241.00 | 100.034 | 2,700,917.92 | 2,700,000.00 | 2,701,454.48 | (536.56 | ) | (410.64 | ) | — | — | 1.191 | 0.945 | MJSD | 178.60 | 17,121.26 | 7/12/2011 | 3/31/2014 | |||||||||||||||
9612EAAB1 | WESTPAC SECURITIES NZ LTD CORP BND GOVT | F | 3,130,512.81 | 105.397 | 3,267,306.88 | 3,100,000.00 | 3,117,545.91 | 149,760.97 | (4,055.89 | ) | — | — | 3.45 | 3.166 | JJ | 45,453.75 | 53,475.00 | 11/12/2010 | 7/28/2014 | ||||||||||||||||
9612EMAH2 | WESTPAC BANKING CORP - GTD CORP BND GOVT | F | 10,104,800.00 | 104.536 | 10,453,601.10 | 10,000,000.00 | 10,054,378.52 | 399,222.58 | (11,890.54 | ) | — | — | 2.9 | 2.643 | MS | 89,416.67 | 145,000.00 | 4/28/2010 | 9/10/2014 | ||||||||||||||||
981464BD1 | WORLD FINANCIAL NETWORK CREDIT ABS_06-A | 2 | 12,301,269.53 | 99.782 | 12,472,750.00 | 12,500,000.00 | 12,426,344.26 | 46,405.74 | 46,228.61 | — | — | 0.372 | 1.115 | MON | 2065.28 | 24,152.17 | 2/16/2011 | 4/15/2013 | |||||||||||||||||
98158KAD1 | WORLD OMNI AUTO RECEIVABLES TR ABS 11-A | 2 | 4,599,795.30 | 102.261 | 4,704,006.09 | 4,600,000.00 | 4,599,816.79 | 104,189.30 | 7.34 | — | — | 1.91 | 1.918 | MON | 3,904.89 | 43,930.02 | 3/2/2011 | 4/15/2015 | |||||||||||||||||
98158PAC2 | WOART_11-B ABS_11-B A3 | 2 | 5,999,988.61 | 100.55 | 6,033,000.00 | 6,000,000.00 | 5,999,968.10 | 33,031.90 | (16.97 | ) | — | — | 0.96 | 0.961 | MON | 2,559.99 | 28,800.00 | 11/2/2011 | 2/15/2015 |
983024AE0 | WYETH CORP BND | 13,352,757.70 | 107.441 | 13,054,030.71 | 12,150,000.00 | 12,955,488.72 | 98,541.99 | (242,306.87 | ) | — | — | 5.5 | 1.258 | FA | 278,437.50 | 324,958.33 | 3/26/2012 | 2/1/2014 | |||||||||||||||||
984121CF8 | XEROX CORPORATION SENIOR CORP BND | 2,721,593.75 | 100.963 | 2,751,240.01 | 2,725,000.00 | 2,721,780.65 | 29,459.36 | 186.90 | — | — | 2.95 | 2.977 | MS | 23,669.65 | 23,669.65 | 3/8/2012 | 3/15/2017 | ||||||||||||||||||
BRS1D0A10 | SUNGARD DATA SYSTEMS INC. TERM LOAN | 2 | 1,431,483.70 | 99.406 | 1,455,827.61 | 1,464,526.90 | 1,441,705.56 | 14,122.05 | 18,627.88 | — | — | — | 0.932 | MON | — | 26,622.24 | 9/30/2011 | 2/28/2014 | |||||||||||||||||
BRS29NQV0 | HELIX ENERGY SOLUTIONS TERM LOAN | 1,404,472.52 | 99.407 | 1,399,175.32 | 1,407,529.00 | 1,406,316.26 | (7,140.94 | ) | 637.18 | — | — | — | 0.085 | JAJO | — | 11,653.49 | 2/22/2011 | 7/1/2013 | |||||||||||||||||
BRS35M3Y3 | TPF GENERATION HOLDINGS LLC TERM LOAN | 2 | 173,619.45 | 99.25 | 172,488.06 | 173,791.50 | 173,673.38 | (1,185.32 | ) | 387.52 | — | — | — | 0.046 | MJSD | — | 4,243.49 | 11/1/2011 | 12/15/2013 | ||||||||||||||||
BRS38FMB4 | UNITED AIR LINES INC. TERM LOAN | 2,877,125.40 | 96.5 | 2,852,565.15 | 2,956,026.06 | 2,911,100.39 | (58,535.24 | ) | 14,305.80 | — | — | — | 0.95 | FMAN | — | 28,550.50 | 5/13/2011 | 2/1/2014 | |||||||||||||||||
BRS3D32G6 | GRAY TELEVISION INC. TERM LOAN | 2 | 3,551,843.78 | 98.75 | 3,573,453.63 | 3,618,687.22 | 3,569,841.54 | 3,612.09 | 9,575.91 | — | — | — | 0.531 | MJSD | — | 62,676.93 | 8/22/2011 | 12/31/2014 | |||||||||||||||||
BRS448NT2 | COMMUNITY HLTH SYST INC TERM LOAN | 2 | 1,492,469.71 | 98.556 | 1,506,702.64 | 1,528,778.20 | 1,507,565.00 | (862.36 | ) | 11,189.52 | — | — | — | 0.668 | JD | — | 18,375.08 | 12/14/2010 | 7/25/2014 | ||||||||||||||||
BRS47V6P5 | BIOMET INC LN1 TERM LOAN | 2 | 6,170,074.89 | 93.239 | 6,111,153.75 | 6,194,092.65 | 6,175,344.37 | (64,190.62 | ) | 3,372.69 | — | — | — | 0.107 | MON | — | 104,278.52 | 8/15/2011 | 3/25/2015 | ||||||||||||||||
BRS4BYYF5 | MILLENNIUM INORGANIC CHEMICALS TERM LOAN | 955,323.06 | 99.575 | 953,647.05 | 957,717.35 | 956,294.63 | (2,647.58 | ) | 1,398.80 | — | — | — | 0.078 | FMAN | — | 19,173.18 | 3/8/2011 | 5/15/2014 | |||||||||||||||||
BRS4QJJM4 | DOLLAR GENERAL CORPORATION LN1 TERM LOAN | 2 | 2,000,000.00 | 94.875 | 2,001,040.00 | 2,000,000.00 | 2,000,000.00 | 1,040.00 | — | — | — | — | — | MON | — | 6,598.63 | 6/21/2011 | 7/7/2014 | |||||||||||||||||
BRS4QJKV2 | FREESCALE SEMICONDUCTOR INC. TERM LOAN | 2 | 4,894,780.36 | 94.5 | 4,694,325.48 | 4,967,540.19 | 4,907,904.60 | (213,579.12 | ) | 6,624.34 | — | — | — | 0.267 | MON | — | 74,522.63 | 8/5/2011 | 12/1/2016 | ||||||||||||||||
BRS4QJRM5 | PINNACLE FOODS FINANCE TERM LOAN | 2 | 4,895,649.99 | 99.594 | 4,930,817.63 | 4,950,918.36 | 4,920,591.63 | 10,226.00 | 8,903.93 | — | — | — | 0.35 | AO | — | 45,921.38 | 3/8/2011 | 4/2/2014 | |||||||||||||||||
BRS4QJTT8 | SORENSON COMMUNICATIONS INC LN1 TERM | 2,057,340.23 | 90.875 | 2,049,117.80 | 2,130,325.82 | 2,096,408.39 | (47,290.59 | ) | 16,622.95 | — | — | — | 1.411 | MON | — | 66,520.47 | 3/8/2011 | 8/16/2013 | |||||||||||||||||
BRS5BXCY7 | ALLISON TRANSMIS LN1 TERM LOAN | 2 | 1,325,822.05 | 98.625 | 1,334,277.54 | 1,352,879.64 | 1,334,422.06 | (144.52 | ) | 5,218.42 | — | — | — | 0.645 | MON | — | 18,458.51 | 6/20/2011 | 8/7/2014 | ||||||||||||||||
BRS748CX8 | FEDERAL MOGUL TL B TERM LOAN | 2 | 4,200,795.51 | 95 | 4,189,261.31 | 4,409,748.75 | 4,257,449.70 | (68,188.39 | ) | 30,018.76 | — | — | — | 1.381 | MJSD | — | 33,999.93 | 8/23/2011 | 12/29/2014 | ||||||||||||||||
BRS748CY6 | FEDERAL MOGUL CORP TERM LOAN | 2 | 2,143,263.04 | 95 | 2,137,378.23 | 2,249,871.82 | 2,165,669.76 | (28,291.53 | ) | 11,922.04 | — | — | — | 1.07 | MJSD | — | 24,219.12 | 8/23/2011 | 12/28/2015 | ||||||||||||||||
BRS7AQH73 | SUNGARD DATA SYSTEMS INC. LN1 TERM LOAN | 2 | 2,317,574.65 | 99.2 | 2,301,911.44 | 2,320,475.24 | 2,318,690.96 | (16,779.52 | ) | 1,213.82 | — | — | — | 0.046 | MON | — | 34,761.36 | 6/8/2011 | 2/28/2014 | ||||||||||||||||
BRS8ABJG2 | CABLEVISION SYSTEMS CORPORATIO TERM LOAN | 2 | 7,873,955.90 | 98.969 | 7,808,462.58 | 7,889,806.48 | 7,875,856.30 | (67,393.72 | ) | 1,827.08 | — | — | — | 0.046 | FMAN | — | 114,138.17 | 12/2/2011 | 3/29/2016 | ||||||||||||||||
BRS8CFLV5 | SUNGARD DATA SYSTEMS INC. TERM LOAN | 2 | 482,301.86 | 98.667 | 493,132.41 | 499,794.67 | 485,487.04 | 7,645.37 | 8,414.36 | — | — | — | 0.784 | MJSD | — | 7,956.68 | 8/9/2011 | 2/28/2016 | |||||||||||||||||
BRS8R3U20 | HUNTSMAN INTL LLC TERM LOAN | 5,886,658.16 | 97.821 | 5,809,369.59 | 5,938,775.51 | 5,898,291.56 | (88,921.97 | ) | 5,355.56 | — | — | — | 0.169 | FMAN | — | 28,268.65 | 5/13/2011 | 6/30/2016 | |||||||||||||||||
BRS8ZGYZ5 | MICHAELS STORES INC. TERM LOAN | 2 | 3,985,000.00 | 99.833 | 3,993,320.00 | 4,000,000.00 | 3,987,919.46 | 5,400.54 | 1,472.12 | — | — | — | 0.073 | FMAN | — | 77,395.25 | 6/22/2011 | 7/31/2016 | |||||||||||||||||
BRS96AL33 | BANK NEDERLANDSE GEMEENTEN CORP BND EMTN | D | 2,949,500.73 | 102.02 | 3,120,256.30 | 1,950,000.00 | 2,940,050.90 | 180,205.40 | (2,259.14 | ) | — | 125,376.76 | 2.625 | 2.447 | DEC | 44,930.21 | 39,761.54 | 4/27/2010 | 12/10/2013 | ||||||||||||||||
BRS9GBGH5 | BORDENINC. TERM LOAN | 1,166,278.79 | 96.281 | 1,125,002.06 | 1,168,456.98 | 1,166,954.89 | (41,952.83 | ) | 275.47 | — | — | — | 0.045 | FMAN | — | 25,576.91 | 5/13/2011 | 5/5/2015 | |||||||||||||||||
BRS9GBTB4 | HEXION SPECIALTY CHEMICALS TL TERM LOAN | 2,737,575.86 | 96.281 | 2,640,675.39 | 2,742,675.49 | 2,739,158.03 | (98,482.64 | ) | 673.23 | — | — | — | 0.045 | FMAN | — | 28,960.95 | 5/13/2011 | 5/5/2015 | |||||||||||||||||
BRS9LY573 | CINEMARK USA INC. TERM LOAN | 2 | 945,304.56 | 99.475 | 984,651.02 | 989,847.72 | 952,830.25 | 31,820.77 | 4,926.92 | — | — | — | 0.982 | JAJO | — | 16,459.43 | 8/26/2011 | 4/30/2016 | |||||||||||||||||
BRS9M4ZE0 | SOLUTIA INC LN1 TERM LOAN | 2,873,203.12 | 99.983 | 2,854,857.45 | 2,855,357.14 | 2,869,395.94 | (14,538.49 | ) | (1,489.53 | ) | — | — | — | (0.103 | ) | MJSD | — | 33,312.49 | 3/1/2011 | 3/17/2017 | |||||||||||||||
BRS9ND148 | EUROPEAN INVESTMENT BANK CORP BND | D | 4,153,705.78 | — | 4,419,410.59 | 2,700,000.00 | 4,124,859.96 | 294,550.63 | (7,540.63 | ) | — | 166,630.60 | 3 | 2.571 | DEC | 72,095.81 | 63,307.80 | 7/12/2010 | 12/7/2015 | ||||||||||||||||
BRS9NN9D8 | CHARTER COMMUNICATIONS HOLDING TERM LOAN | 2 | 4,588,665.22 | 99.167 | 4,600,657.87 | 4,639,303.27 | 4,596,473.74 | 4,184.13 | 20,620.08 | — | — | — | 0.214 | MJSD | — | 103,621.98 | 8/15/2011 | 9/6/2016 | |||||||||||||||||
BRS9PGQM2 | ARAMARK CORP LOAN TERM | 2 | 216,407.28 | 99.094 | 214,017.16 | 215,973.89 | 216,344.99 | (2,327.83 | ) | (45.50 | ) | — | — | — | 0.583 | JAJO | — | 1,381.33 | 11/1/2011 | 7/26/2016 | |||||||||||||||
BRS9PGR33 | ARAMARK CORP LOAN TERM | 2 | 3,184,500.77 | 99.094 | 3,254,272.84 | 3,284,026.11 | 3,195,961.30 | 58,311.54 | 10,430.83 | — | — | — | 0.659 | JJ | — | 1915.23 | 8/19/2011 | 7/26/2016 | |||||||||||||||||
BRS9SHAY8 | HCA INC LN1 TERM LOAN | 2 | 5,890,000.00 | 97.15 | 5,829,000.00 | 6,000,000.00 | 5,891,194.57 | (62,194.57 | ) | 399.00 | — | — | — | 0.39 | FMAN | — | 7,880.67 | 6/28/2012 | 3/31/2017 | ||||||||||||||||
BRS9U2FN7 | CABLEVISION SYSTEMS CORPORATIO TERM LOAN | 2 | 1,380,873.40 | 98.589 | 1,463,859.45 | 1,484,810.12 | 1,399,574.62 | 64,284.83 | 11,465.26 | — | — | — | 1.563 | FMAN | — | 14,283.88 | 8/11/2011 | 3/29/2016 | |||||||||||||||||
BRS9W7N54 | MCC IOWA LLC TERM LOAN | 2 | 1,950,175.42 | 98.938 | 1,944,044.92 | 1,964,912.29 | 1,953,055.45 | (9,010.53 | ) | 1,174.82 | — | — | — | 0.112 | JAJO | — | 14,547.00 | 12/17/2010 | 10/23/2017 |
BRS9WB7G9 | ARKEL_10-1 ABS_10-1 5A | D | 1 | 918,390.00 | 106.66 | 1,003,745.26 | 600,000.00 | 918,390.00 | 85,355.26 | — | — | 22,680.00 | 4.681 | 4.677 | FA | 16,202.37 | 22,415.17 | 4/30/2010 | 2/17/2017 | ||||||||||||||||
BRS9YCJN7 | BUFFETS INC TERM LOAN | 1,929,317.27 | 42.75 | 864,634.37 | 2,022,536.54 | 1,958,607.34 | (1,093,972.97 | ) | 10,179.36 | — | — | — | 1.11 | JAJO | — | 25,842.14 | 3/28/2012 | 4/22/2015 | |||||||||||||||||
BRS9YEPB2 | UPC FINANCING PARTNERSHIP TERM LOAN | 2 | 1,992,500.00 | 97.25 | 1,945,000.00 | 2,000,000.00 | 1,993,719.45 | (48,719.45 | ) | 567.71 | — | — | — | 0.056 | JAJO | — | 18,961.68 | 5/27/2011 | 12/31/2017 | ||||||||||||||||
BRSABN708 | DEAN FOODS COMPANY TERM LOAN | 2 | 2,905,652.28 | 98.225 | 2,899,914.20 | 2,952,317.84 | 2,917,734.76 | (17,820.56 | ) | 4,770.15 | — | — | — | 0.309 | MJSD | — | 34,578.36 | 5/16/2011 | 4/4/2016 | ||||||||||||||||
BRSAD09Q7 | DEAN FOODS TERM LOAN | 2 | 1,510,943.46 | 99.094 | 1,502,890.16 | 1,516,630.84 | 1,513,354.93 | (10,464.77 | ) | 1986.42 | — | — | — | 0.122 | JAJO | — | 9,647.31 | 2/1/2011 | 4/2/2014 | ||||||||||||||||
BRSAG8QE5 | VNU GROUP B.V. CORP BND | 2 | 1,969,874.05 | 99.25 | 1,960,000.02 | 1,974,811.10 | 1,970,917.67 | (10,917.65 | ) | 527.36 | — | — | — | 0.051 | FMAN | — | 30,422.25 | 6/9/2011 | 5/2/2016 | ||||||||||||||||
BRSAHW6G8 | LAS VEGAS SANDS LLC TERM LOAN | 2 | 803,157.67 | 97.042 | 793,053.18 | 817,226.75 | 806,033.57 | (12,980.39 | ) | 1,702.67 | — | — | — | 0.309 | FMAN | — | 6,698.61 | 5/16/2011 | 11/23/2016 | ||||||||||||||||
BRSAHW876 | LAS VEGAS SANDS LLC TERM LOAN | 2 | 4,186,778.47 | 97.042 | 4,136,663.88 | 4,262,756.21 | 4,202,448.35 | (65,784.47 | ) | 9,022.68 | — | — | — | 0.319 | FMAN | — | 34,940.68 | 5/16/2011 | 11/23/2016 | ||||||||||||||||
BRSAPKET8 | GENON ENERGY LOAN TERM | 2 | 994,968.28 | 98.875 | 986,240.48 | 997,461.93 | 995,036.33 | (8,795.85 | ) | 74.40 | — | — | — | 0.045 | MS | — | 5,953.57 | 4/20/2012 | 12/4/2017 | ||||||||||||||||
BRSAQNGR3 | ADVANCE PIERRE FOODS TERM LOAN | 2 | 1,965,075.00 | 100.292 | 1,975,752.40 | 1,970,000.00 | 1,966,372.81 | 9,379.59 | 445.49 | — | — | — | 0.043 | MJSD | — | 71,496.14 | 12/14/2010 | 9/30/2016 | |||||||||||||||||
BRSAR9KL1 | GRIFOLS SA LN1 TERM LOAN | R | 2 | 2,743,271.29 | 98.604 | 2,718,568.06 | 2,757,056.57 | 2,744,105.67 | (25,537.61 | ) | 924.16 | — | — | — | 0.094 | JAJO | — | 39,441.80 | 2/13/2012 | 6/1/2017 | |||||||||||||||
BRSAUE236 | DAVITA INC TERM LOAN | 2 | 4,972,373.42 | 99.699 | 4,972,329.87 | 4,987,341.77 | 4,972,439.62 | (109.75 | ) | 97.85 | — | — | — | 0.069 | JAJO | — | 4,084.46 | 6/15/2012 | 10/20/2016 | ||||||||||||||||
BRSAWQ120 | UNIVISION COMMUNICATIONS INC. TERM LOAN | 2 | 3,294,470.66 | 94.563 | 3,276,458.26 | 3,464,841.70 | 3,322,527.13 | (46,068.87 | ) | 14,955.79 | — | — | — | 0.863 | MJSD | — | 33,481.95 | 8/5/2011 | 3/31/2017 | ||||||||||||||||
BRSAZMN71 | MEDASSETS INC LN1 TERM LOAN | 2 | 924,977.18 | 100.188 | 967,849.75 | 966,033.61 | 931,577.29 | 36,272.46 | 4,973.47 | — | — | — | 0.819 | FMAN | — | 20,729.77 | 8/19/2011 | 11/16/2016 | |||||||||||||||||
BRSAZTC86 | COMMUNITY HLTH SYST INC TERM LOAN | 2 | 5,730,573.15 | 98.411 | 5,707,022.46 | 5,799,171.29 | 5,742,542.05 | (35,519.59 | ) | 5,309.50 | — | — | — | 0.211 | FMAN | — | 120,419.50 | 6/20/2011 | 1/25/2017 | ||||||||||||||||
BRSB5PYE8 | INTELSAT JACKSON TERM LOAN | F | 2 | 3,535,849.66 | 99.771 | 3,601,883.18 | 3,610,150.42 | 3,546,052.64 | 55,830.54 | 5,531.81 | — | — | — | 0.305 | MJSD | — | 96,711.49 | 8/17/2011 | 4/2/2018 | ||||||||||||||||
BRSB5UM91 | TW TELECOM INC TERM LOAN | 981,818.20 | 99.625 | 978,136.38 | 981,818.20 | 981,818.20 | (3,681.82 | ) | — | — | — | — | — | FMAN | — | 8,445.10 | 1/18/2011 | 12/30/2016 | |||||||||||||||||
BRSB8N999 | CCC INFORMATION SERVICES GROUP TERM LOAN | 255,587.46 | 99.531 | 256,563.91 | 257,772.86 | 255,984.74 | 579.17 | 343.03 | — | — | — | 0.204 | MJSD | — | 3,716.21 | 10/1/2011 | 11/11/2015 | ||||||||||||||||||
BRSB98L97 | CENVEO CORP TERM LOAN | 404,795.82 | 99.25 | 405,243.50 | 408,305.79 | 405,248.53 | (5.03 | ) | 841.35 | — | — | — | 0.166 | MJSD | — | 14,996.69 | 11/1/2011 | 12/21/2016 | |||||||||||||||||
BRSB9FG89 | ADVANTAGE SALES & MARKETING IN TERM LOAN | 3,675,038.00 | 99.125 | 3,705,700.37 | 3,738,411.47 | 3,680,822.24 | 24,878.13 | 3,626.96 | — | — | — | 0.28 | MJSD | (1,987.78 | ) | 15,730.46 | 6/15/2012 | 12/18/2017 | |||||||||||||||||
BRSB9YU33 | AMC ENTERTAINMENT INC. TERM LOAN | 569,510.44 | 99.688 | 605,582.46 | 607,477.79 | 574,200.82 | 31,381.64 | 3,802.36 | — | — | — | 1.25 | JAJO | — | 5,281.75 | 9/6/2011 | 12/15/2016 | ||||||||||||||||||
BRSBAXKS9 | REMY INTERNATIONAL INC TERM LOAN | 1,110,314.15 | 99.75 | 1,136,472.39 | 1,139,320.69 | 1,114,619.15 | 21,853.24 | 3,676.47 | — | — | — | 0.484 | MJSD | — | 36,491.21 | 9/29/2011 | 12/16/2016 | ||||||||||||||||||
BRSBBKBD9 | UCI INTERNATIONAL TL B TERM LOAN | 2 | 167,450.00 | 99.333 | 166,333.11 | 167,450.00 | 167,450.00 | (1,116.89 | ) | — | — | — | — | — | JAJO | — | 4,673.77 | 1/20/2011 | 7/26/2017 | ||||||||||||||||
BRSBDPXK6 | JPMORGAN CHASE & CO CORP BND EMTN | O | 663,398.78 | 105.176 | 659,855.64 | 400,000.00 | 660,574.51 | (718.87 | ) | (2,256.59 | ) | — | (10,995.77 | ) | 4.25 | 3.407 | JJ | 11,646.83 | 13,269.11 | 11/9/2011 | 1/25/2017 | ||||||||||||||
BRSBGXH81 | DEL MONTE FOODS CO TERM LOAN | 2 | 5,688,514.76 | 98.438 | 5,630,062.70 | 5,719,399.72 | 5,692,321.47 | (62,258.77 | ) | 2,772.61 | — | — | — | 0.08 | FMAN | — | 67,517.34 | 8/29/2011 | 3/8/2018 | ||||||||||||||||
BRSBH14P6 | HOUGHTON INTERNATIONAL INC LN1 TERM LOAN | 1,830,374.79 | 100.25 | 1,823,589.66 | 1,819,042.06 | 1,827,179.75 | (3,590.09 | ) | (1,303.52 | ) | — | — | — | (0.123 | ) | JAJO | — | 66,999.06 | 9/19/2011 | 1/29/2016 | |||||||||||||||
BRSBH1FB5 | TWCC HOLDING CORP TERM LOAN | 2 | 5,740,587.03 | 99.75 | 5,798,429.32 | 5,812,961.72 | 5,749,060.40 | 49,368.92 | 5,580.89 | — | — | — | 0.234 | FMAN | — | 41,663.85 | 6/1/2012 | 2/13/2017 | |||||||||||||||||
BRSBH8VK2 | VERTAFORE INC TERM LOAN | 2 | 3,962,335.62 | 99.417 | 3,946,672.66 | 3,969,816.69 | 3,962,601.62 | (15,928.96 | ) | 266.00 | — | — | — | 0.044 | JAJO | — | 39,616.59 | 3/13/2012 | 7/29/2016 | ||||||||||||||||
BRSBHFX32 | AXCAN INTER HLDG TERM LOAN | 2 | 4,421,363.74 | 96.7 | 4,334,394.50 | 4,482,310.75 | 4,422,969.64 | (88,575.14 | ) | 1,890.28 | — | — | — | 0.284 | FMAN | — | 69,458.22 | 5/18/2012 | 2/10/2017 | ||||||||||||||||
BRSBHPM99 | TRANSUNION CORP TERM LOAN | 2 | 2,870,062.36 | 99.875 | 2,955,113.84 | 2,958,812.36 | 2,881,083.06 | 74,030.78 | 6,772.86 | — | — | — | 0.466 | FMAN | — | 75,030.29 | 8/29/2011 | 2/12/2018 | |||||||||||||||||
BRSBHT2D4 | ACOSTA TERM LOAN | 2 | 4,428,216.29 | 99.625 | 4,397,859.40 | 4,414,413.45 | 4,425,285.18 | (27,425.78 | ) | (1,099.49 | ) | — | — | — | (0.043 | ) | FMAN | — | 70,652.15 | 2/29/2012 | 3/1/2018 | ||||||||||||||
BRSBHYHD7 | SAVERS INC TERM LOAN | 2 | 288,232.61 | 99.844 | 287,782.97 | 288,232.61 | 288,232.61 | (449.64 | ) | — | — | — | — | — | FMAN | — | 3,096.50 | 3/3/2011 | 3/4/2017 | ||||||||||||||||
BRSBJK2P4 | REYNOLDS GROUP HOLDINGS INC TERM LOAN | 2 | 6,176,071.05 | 100.391 | 6,249,141.28 | 6,224,802.30 | 6,181,195.49 | 67,945.79 | 3,748.85 | — | — | — | 0.12 | FMAN | — | 206,595.46 | 8/16/2011 | 2/9/2018 | |||||||||||||||||
BRSBK2348 | GYMBOREE CORP TERM LOAN | 2 | 1,617,745.70 | 94.444 | 1,625,520.20 | 1,721,147.13 | 1,630,916.48 | (5,396.28 | ) | 7,677.78 | — | — | — | 0.925 | FMAN | — | 74,302.88 | 8/15/2011 | 2/23/2018 |
BRSBK9AU7 | TRANSDIGM GROUP INC TERM LOAN | 2 | 2,947,387.44 | 99.792 | 3,049,667.84 | 3,056,024.37 | 2,962,858.88 | 86,808.96 | 9,829.31 | — | — | — | 0.658 | FMAN | — | 62,034.88 | 8/29/2011 | 2/14/2017 | |||||||||||||||||
BRSBK9U01 | MOMENTIVE PERFORMANCE MATERIAL TERM LOAN | 2 | 2,613,121.40 | 96.571 | 2,541,818.11 | 2,632,071.85 | 2,618,437.28 | (76,619.17 | ) | 9,299.60 | — | — | — | 0.18 | MJSD | — | 9,635.42 | 5/13/2011 | 5/5/2015 | ||||||||||||||||
BRSBKZS71 | GNC CORPORATION TERM LOAN | 2 | 3,972,500.00 | 99.45 | 3,978,000.00 | 4,000,000.00 | 3,973,535.27 | 4,464.73 | 895.50 | — | — | — | 0.115 | FMAN | — | 38,249.99 | 6/11/2012 | 3/2/2018 | |||||||||||||||||
BRSBL01Z4 | PHILLIPS-VAN HEUSEN CORP TERM LOAN | 2 | 2,974,781.25 | 99.714 | 2,954,027.26 | 2,962,500.00 | 2,972,166.23 | (18,138.97 | ) | (1,341.68 | ) | — | — | — | (0.083 | ) | FMAN | — | 17,397.19 | 6/21/2011 | 5/6/2016 | ||||||||||||||
BRSBL1YL7 | BURGER KING CORP TERM LOAN | 6,072,041.11 | 99.412 | 6,031,366.91 | 6,067,041.11 | 6,070,888.59 | (39,521.68 | ) | (447.89 | ) | — | — | — | (0.015 | ) | FMAN | — | 140,074.70 | 5/16/2011 | 10/19/2016 | |||||||||||||||
BRSBLLNC5 | REGAL CINEMAS CORP | 2 | 3,343,182.09 | 99.021 | 3,311,224.89 | 3,343,962.28 | 3,342,254.13 | (31,029.24 | ) | (314.91 | ) | — | — | — | 0.01 | JJ | — | 23,157.02 | 3/1/2012 | 8/23/2017 | |||||||||||||||
BRSBLUUU7 | MICHAEL FOODS INC. TERM LOAN | 2 | 2,183,710.78 | 99.958 | 2,163,859.85 | 2,164,769.05 | 2,180,169.56 | (16,309.71 | ) | (1,464.74 | ) | — | — | — | (0.124 | ) | FMAN | — | — | 3/2/2011 | 2/23/2018 | ||||||||||||||
BRSBLZKK9 | NBTY INC. TERM LOAN | 2 | 2,963,040.48 | 99.772 | 3,014,604.18 | 3,021,493.18 | 2,971,154.71 | 43,449.47 | 4,690.12 | — | — | — | 0.313 | JAJO | — | 4,365.63 | 8/17/2011 | 10/2/2017 | |||||||||||||||||
BRSBMD3R1 | PETCO ANIMAL SUPPLIES INC. TERM LOAN | 2 | 4,884,558.08 | 99.1 | 4,904,949.50 | 4,949,494.95 | 4,893,143.21 | 11,806.29 | 5,119.68 | — | — | — | 0.205 | FMAN | — | 8,841.99 | 8/15/2011 | 11/24/2017 | |||||||||||||||||
BRSBN61P1 | TOMKINS PLC TERM LOAN | R | 2 | 3,346,647.65 | 99.85 | 3,446,457.92 | 3,451,635.37 | 3,363,048.69 | 83,409.23 | 10,794.15 | — | — | — | 0.614 | FMAN | — | 74,444.57 | 8/17/2011 | 9/29/2016 | ||||||||||||||||
BRSBN8RA2 | BWAY HOLDING | 2,488,625.86 | 98.938 | 2,496,753.21 | 2,523,553.35 | 2,491,753.09 | 5,000.12 | 2,618.80 | — | — | — | 0.217 | FA | — | 29,689.07 | 8/26/2011 | 2/23/2018 | ||||||||||||||||||
BRSBNH1C6 | DINEEQUITY INC | 2 | 3,867,853.50 | 99.458 | 3,843,100.02 | 3,864,043.13 | 3,864,771.34 | (21,671.32 | ) | (2,188.29 | ) | — | — | — | (0.004 | ) | AO | — | 17,146.67 | 6/12/2012 | 10/19/2017 | ||||||||||||||
BRSBNUWH2 | HERTZ CORPORATION TERM LOAN | 2 | 7,426,017.06 | 98.764 | 7,453,412.25 | 7,546,689.33 | 7,436,435.11 | 16,977.14 | 6,728.60 | — | — | — | 0.255 | FMAN | — | 79,747.29 | 6/12/2012 | 3/11/2018 | |||||||||||||||||
BRSBPKAQ6 | LESLIES POOLMART INC. TERM LOAN | 6,352,210.45 | 98.083 | 6,328,521.58 | 6,452,210.45 | 6,361,673.97 | (33,152.39 | ) | 4,839.28 | — | — | — | 0.254 | FMAN | — | 46,066.31 | 6/11/2012 | 11/30/2017 | |||||||||||||||||
BRSBPZM15 | NOVELIS INC/GA TERM LOAN | 2 | 4,455,481.13 | 97.917 | 4,499,664.30 | 4,595,386.19 | 4,470,672.90 | 28,991.40 | 9,049.27 | — | — | — | 0.583 | MJSD | — | 52,061.05 | 6/28/2012 | 3/10/2017 | |||||||||||||||||
BRSBQ1JW5 | CALPINE CORPORATION TERM LOAN | 2 | 5,867,424.42 | 99.194 | 5,899,488.18 | 5,947,424.42 | 5,875,712.64 | 23,775.54 | 4,895.95 | — | — | — | 0.205 | MJSD | — | 97,573.93 | 5/18/2012 | 3/30/2018 | |||||||||||||||||
BRSBQFU50 | IMS HEALTH INCORPORATED | 2 | 9,442,779.46 | 99.292 | 9,391,441.52 | 9,458,407.04 | 9,442,831.41 | (51,389.89 | ) | 51.95 | — | — | — | 0.033 | FA | (2,847.08 | ) | 104,829.90 | 6/28/2012 | 8/25/2017 | |||||||||||||||
BRSBR4P35 | JO-ANN STORES TERM LOAN | 2 | 2,591,210.31 | 98.5 | 2,578,123.39 | 2,617,384.15 | 2,595,973.83 | (17,850.44 | ) | 2,495.73 | — | — | — | 0.142 | JAJO | — | 63,977.64 | 3/15/2011 | 3/16/2018 | ||||||||||||||||
BRSBRMC88 | BWAY CORPORATION TERM LOAN | 245,270.83 | 98.938 | 245,360.00 | 247,993.69 | 245,575.32 | (215.32 | ) | 201.80 | — | — | — | 0.165 | MJSD | — | 3,074.81 | 9/1/2011 | 2/23/2018 | |||||||||||||||||
BRSBRMCQ8 | WARNER CHILCOTT CORP TERM LOAN | 2 | 2,699,485.88 | 99.453 | 2,735,037.11 | 2,750,080.05 | 2,703,913.12 | 31,123.99 | 3,211.26 | — | — | — | 0.29 | MJSD | — | 23,181.77 | 6/11/2012 | 3/15/2018 | |||||||||||||||||
BRSBRMD53 | WARNER CHILCOTT CORP TERM LOAN | E | 2 | 2,339,736.65 | 99.453 | 2,359,537.14 | 2,372,514.80 | 2,341,950.26 | 17,586.88 | 1,605.62 | — | — | — | 0.224 | MJSD | — | 11,590.89 | 6/11/2012 | 3/15/2018 | ||||||||||||||||
BRSBRMD95 | WARNER CHILCOTT CORP TERM LOAN | E | 2 | 1,402,149.43 | 99.453 | 1,425,662.86 | 1,433,504.12 | 1,405,172.99 | 20,489.87 | 2,209.40 | — | — | — | 0.342 | MJSD | — | 15,937.47 | 6/11/2012 | 3/15/2018 | ||||||||||||||||
BRSBRMFR3 | METROPCS WIRELESS INC TERM LOAN | 2 | 7,053,188.56 | 97.547 | 6,994,770.45 | 7,170,666.91 | 7,067,125.34 | (72,354.89 | ) | 8,262.05 | — | — | — | 0.248 | MJSD | — | 82,616.18 | 3/8/2012 | 3/19/2018 | ||||||||||||||||
BRSBRN2H7 | MEG ENERGY CORP TERM LOAN | A | 2 | 7,236,769.39 | 99.25 | 7,164,897.43 | 7,219,040.23 | 7,218,025.22 | (53,127.79 | ) | (5,009.39 | ) | — | — | — | (0.317 | ) | MJSD | — | 148,650.81 | 5/29/2012 | 3/18/2018 | |||||||||||||
BRSBS9GD1 | NTELOS INC TERM LOAN | 1,803,292.59 | 98.8 | 1,810,452.12 | 1,832,441.42 | 1,807,800.34 | 2,651.78 | 5,534.99 | — | — | — | 0.431 | FMAN | — | 33,730.14 | 11/16/2011 | 8/7/2015 | ||||||||||||||||||
BRSBT2DD8 | FIRST DATA CORPORATION TERM LOAN | 2 | 2,513,750.00 | 91.588 | 2,747,640.00 | 3,000,000.00 | 2,566,127.10 | 181,512.90 | 34,423.27 | — | — | — | 2.691 | MJSD | — | 66,828.86 | 10/4/2011 | 3/23/2018 | |||||||||||||||||
BRSBT4DY8 | SERENA SOFTWARE TERM LOAN | 2,983,750.00 | 97 | 2,910,000.00 | 3,000,000.00 | 2,987,401.46 | (77,401.46 | ) | 1,696.74 | — | — | — | 0.112 | MJSD | — | 34,411.27 | 6/2/2011 | 3/10/2016 | |||||||||||||||||
BRSBTMS22 | WESCO AIRCRAFT LN1 TERM LOAN | 2 | 258,376.83 | 99.875 | 258,700.61 | 259,024.39 | 258,508.29 | 192.32 | 53.90 | — | — | — | 0.041 | MJSD | — | 1,865.33 | 4/4/2011 | 4/7/2017 | |||||||||||||||||
BRSBU37B5 | PILOT TRAVEL CENTERS LLC TERM LOAN | 2 | 1,564,383.57 | 100.167 | 1,650,373.21 | 1,647,621.68 | 1,574,699.03 | 75,674.18 | 6,149.85 | — | — | — | 0.777 | MJSD | — | — | 8/24/2011 | 3/30/2018 | |||||||||||||||||
BRSBU8QR8 | TRANSTAR HOLDING COMPANY LN1 TERM LOAN | 768,240.00 | 98.625 | 757,676.70 | 768,240.00 | 768,240.00 | (10,563.30 | ) | — | — | — | — | — | MJSD | — | 9,009.00 | 3/10/2011 | 12/21/2016 | |||||||||||||||||
BRSBUXKY4 | KINDRED HEALTHCARE INC. TERM LOAN | 3,499,355.00 | 94.75 | 3,329,988.75 | 3,514,500.00 | 3,501,650.51 | (171,661.76 | ) | 1,209.15 | — | — | — | 0.061 | MJSD | — | 47,376.78 | 5/19/2011 | 6/1/2018 | |||||||||||||||||
BRSBW6C87 | AMERISTAR CASINOS INC. TERM LOAN | 2 | 1,837,020.15 | 99.875 | 1,883,127.01 | 1,885,483.86 | 1,842,965.06 | 40,161.95 | 3,646.93 | — | — | — | 0.387 | JAJO | — | 33,892.52 | 8/15/2011 | 4/16/2018 | |||||||||||||||||
BRSBWG6S8 | DELTA AIR LINES INC. TERM LOAN | 2 | 5,370,725.26 | 99.688 | 5,432,970.96 | 5,449,974.88 | 5,383,272.04 | 49,698.92 | 6,483.64 | — | — | — | 0.253 | JAJO | — | 131,682.90 | 2/29/2012 | 4/20/2017 | |||||||||||||||||
BRSBXUEK4 | HUBBARD RADIO TERM LOAN | 2 | 1,419,270.11 | 99.75 | 1,467,836.40 | 1,471,515.19 | 1,425,271.03 | 42,565.37 | 5,319.41 | — | — | — | 0.65 | JAJO | — | 27,654.80 | 9/30/2011 | 4/28/2017 |
BRSBYALT0 | EMERGENCY MEDICAL SVCS CORP TERM LOAN | 2 | 6,205,031.19 | 98.781 | 6,160,192.70 | 6,236,212.12 | 6,207,495.26 | (47,302.56 | ) | 3,554.79 | — | — | — | 0.078 | JAJO | — | 60,134.25 | 6/25/2012 | 5/25/2018 | ||||||||||||||||
BRSBZBVS8 | RANPAK CORP TERM LOAN | 2,725,994.58 | 98.833 | 2,682,888.41 | 2,714,567.41 | 2,723,880.75 | (40,992.34 | ) | (23.02 | ) | — | — | — | (0.07 | ) | JAJO | — | 22,209.40 | 5/19/2011 | 4/20/2017 | |||||||||||||||
BRSBZZDX4 | GOLDEN LIVING LN1 TERM LOAN | 2 | 4,906,311.55 | 94.25 | 4,806,570.60 | 5,099,809.65 | 4,928,989.75 | (122,419.15 | ) | 14,044.81 | — | — | — | 0.56 | JAJO | — | 63,967.44 | 10/4/2011 | 5/4/2018 | ||||||||||||||||
BRSBZZFY0 | IASIS HLTHCARE CORP TERM LOAN | 2 | 7,239,305.26 | 97.917 | 7,214,902.97 | 7,368,386.47 | 7,245,604.05 | (30,701.08 | ) | 3,457.87 | — | — | — | 0.286 | JAJO | — | 85,724.96 | 6/28/2012 | 5/3/2018 | ||||||||||||||||
BRSC095F6 | IPAYMENT INC. TERM LOAN | 2 | 935,300.02 | 100.063 | 940,592.21 | 940,000.01 | 936,195.28 | 4,396.93 | 485.10 | — | — | — | 0.082 | JAJO | — | 14,070.90 | 5/3/2011 | 5/8/2017 | |||||||||||||||||
BRSC0XRZ5 | NORTEK INC TERM LOAN | 2,174,062.62 | 99.75 | 2,172,006.26 | 2,177,449.88 | 2,174,646.37 | (2,640.11 | ) | 338.69 | — | — | — | 0.026 | JAJO | — | 58,400.89 | 7/8/2011 | 4/26/2017 | |||||||||||||||||
BRSC103Q2 | KAR HOLDINGS TERM LOAN | 2 | 4,228,308.63 | 100.375 | 4,265,492.24 | 4,249,556.40 | 4,232,162.19 | 33,330.05 | 1,868.31 | — | — | — | 0.083 | FMAN | — | 71,139.57 | 5/16/2011 | 5/19/2017 | |||||||||||||||||
BRSC10473 | AEROFLEX INCORPORATED TERM LOAN | 2 | 3,714,473.97 | 96.75 | 3,594,796.30 | 3,715,551.73 | 3,714,676.52 | (119,880.22 | ) | 2,177.49 | — | — | — | 0.004 | FMAN | — | 96,400.65 | 5/19/2011 | 5/9/2018 | ||||||||||||||||
BRSC106K2 | DELPHI CORP LN1 TERM LOAN | 2 | 811,650.00 | 99.75 | 811,650.00 | 813,684.21 | 812,033.23 | (383.23 | ) | 173.09 | — | — | — | 0.042 | FMAN | — | 12,340.88 | 5/13/2011 | 3/31/2017 | ||||||||||||||||
BRSC106T3 | HCA INC Term loan | 2 | 3,927,500.00 | 96.969 | 3,878,760.00 | 4,000,000.00 | 3,933,281.08 | (54,521.08 | ) | 5,000.71 | — | — | — | 0.283 | FMAN | — | 5,068.42 | 1/10/2012 | 5/1/2018 | ||||||||||||||||
BRSC2UZX5 | SENSATA TECHNOLOGIES FINANCE C TERM LOAN | 2 | 4,990,303.11 | 99.203 | 5,011,245.73 | 5,051,506.23 | 4,995,098.64 | 16,147.09 | 3,166.89 | — | — | — | 0.186 | FMAN | — | 81,270.85 | 6/11/2012 | 5/14/2018 | |||||||||||||||||
BRSC3CCP6 | MANITOWOC CO INC. TERM LOAN | 396,408.00 | 99.436 | 396,153.02 | 398,400.00 | 396,751.06 | (598.04 | ) | 154.05 | — | — | — | 0.076 | FMAN | — | 8,042.70 | 5/9/2011 | 11/13/2017 | |||||||||||||||||
BRSC3G4F8 | NEIMAN MARCUS GROUP INC. THE TERM LOAN | 2 | 4,987,500.00 | 98.7 | 4,935,000.00 | 5,000,000.00 | 4,989,483.21 | (54,483.21 | ) | 891.32 | — | — | — | 0.035 | FMAN | — | 60,034.72 | 5/10/2011 | 5/16/2018 | ||||||||||||||||
BRSC4H8Q7 | EPICOR SOFTWARE CORP TERM LOAN | 5,589,507.80 | 98.525 | 5,572,019.48 | 5,655,437.18 | 5,596,250.89 | (24,231.41 | ) | 4,228.10 | — | — | — | 0.175 | FMAN | — | 121,539.02 | 2/22/2012 | 5/31/2018 | |||||||||||||||||
BRSC4T6W0 | BAKERCORP TERM LOAN | 2 | 1,185,045.00 | 99.25 | 1,182,067.50 | 1,191,000.00 | 1,185,962.72 | (3,895.22 | ) | 452.23 | — | — | — | 0.072 | FMAN | — | 30,079.04 | 5/19/2011 | 6/1/2018 | ||||||||||||||||
BRSC4TTL9 | SENSUS METERING TERM LOAN | 388,112.20 | 99.281 | 387,257.95 | 390,062.50 | 388,477.75 | (1,219.80 | ) | 171.16 | — | — | — | 0.083 | FMAN | — | 4,712.60 | 5/5/2011 | 5/9/2017 | |||||||||||||||||
BRSC51AB1 | STAR WEST GENERATION LLC TERM LOAN | 3,035,923.08 | 96.417 | 2,937,010.16 | 3,046,153.85 | 3,037,521.38 | (100,511.22 | ) | 730.84 | — | — | — | 0.048 | FMAN | — | 92,400.00 | 5/18/2011 | 5/17/2018 | |||||||||||||||||
BRSC529Z8 | DUNKIN BRANDS INC TERM LOAN | 2 | 4,257,321.66 | 98.55 | 4,181,216.73 | 4,242,736.41 | 4,254,874.16 | (73,657.43 | ) | (1,124.50 | ) | — | — | — | (0.052 | ) | FMAN | — | 42,588.06 | 6/1/2011 | 11/23/2017 | ||||||||||||||
BRSC5RFN3 | CHRYSLER GROUP LLC SENIOR SECURED TERM | 1,934,506.17 | 100.625 | 2,139,049.83 | 2,125,763.81 | 1,961,142.15 | 177,907.68 | 18,133.10 | — | — | — | 1.639 | FMAN | — | 219,518.86 | 8/19/2011 | 5/24/2017 | ||||||||||||||||||
BRSC6D3K2 | QUINTILES TRANSNATIONAL CORP. TERM LOAN | 2 | 2,879,305.00 | 98.749 | 2,981,726.06 | 3,019,500.00 | 2,896,457.84 | 85,268.22 | 9,870.83 | — | — | — | 0.705 | MAT | — | 76,615.37 | 8/15/2011 | 6/8/2018 | |||||||||||||||||
BRSC71P72 | XERIUM TECHNOLOGIES INC TERM LOAN | 671,702.85 | 96 | 648,075.11 | 675,078.24 | 672,306.74 | (24,231.63 | ) | 464.42 | — | — | — | 0.083 | MJSD | — | 21,211.16 | 5/25/2011 | 5/26/2017 | |||||||||||||||||
BRSC8PGF0 | ENDO PHARMACEUTICALS HLDGS INC TERM LOAN | 2 | 999,642.88 | 99.917 | 998,813.18 | 999,642.88 | 999,642.88 | (829.70 | ) | — | — | — | — | — | MJSD | — | 3,886.01 | 6/7/2011 | 6/18/2018 | ||||||||||||||||
BRSC8XG48 | CHG HEALTHCARE TERM LOAN | 768,698.28 | 98.844 | 760,688.90 | 769,585.31 | 768,817.83 | (8,128.93 | ) | 269.16 | — | — | — | 0.023 | JAJO | — | 24,787.60 | 11/1/2011 | 10/7/2016 | |||||||||||||||||
BRSC9TBB5 | NRG ENERGY INC TERM LOAN | 6,228,228.60 | 99.194 | 6,296,063.05 | 6,347,221.66 | 6,241,631.34 | 54,431.71 | 7,886.39 | — | — | — | 0.274 | MJSD | — | 71,608.54 | 5/29/2012 | 7/1/2018 | ||||||||||||||||||
BRSCAHX41 | CALPINE CORPORATION TERM LOAN | 2 | 4,028,557.50 | 99.194 | 4,026,284.46 | 4,059,000.00 | 4,032,943.65 | (6,659.19 | ) | 2,392.21 | — | — | — | 0.11 | MJSD | — | 92,692.03 | 6/10/2011 | 4/1/2018 | ||||||||||||||||
BRSCAXFG9 | US SILICA CO TERM LOAN | 490,059.26 | 99 | 486,374.61 | 491,287.48 | 490,269.58 | (3,894.97 | ) | 108.29 | — | — | — | 0.041 | MJSD | — | 13,076.82 | 6/8/2011 | 6/8/2017 | |||||||||||||||||
BRSCB27N0 | WARNACO GROUP INC. THE TERM LOAN | 2,117,857.50 | 99.75 | 2,123,178.75 | 2,128,500.00 | 2,119,393.09 | 3,785.66 | 809.42 | — | — | — | 0.071 | MJSD | — | 40,572.85 | 6/16/2011 | 6/17/2018 | ||||||||||||||||||
BRSCB4WP3 | AMC NETWORKS INC TERM LOAN | 2 | 4,531,117.43 | 99.156 | 4,525,430.00 | 4,563,949.74 | 4,534,564.56 | (9,134.56 | ) | 2,126.81 | — | — | — | 0.097 | MJSD | — | 65,722.01 | 3/16/2012 | 12/31/2018 | ||||||||||||||||
BRSCC0RV3 | DUCOMMUN INC TERM LOAN | 431,244.00 | 99.5 | 433,422.00 | 435,600.00 | 431,957.68 | 1,464.32 | 370.12 | — | — | — | 0.166 | MJSD | — | 12,157.98 | 6/17/2011 | 6/28/2017 | ||||||||||||||||||
BRSCC2H73 | TRIMAS CORP TERM LOAN | 885,903.78 | 99 | 881,452.00 | 890,355.56 | 886,660.77 | (5,208.77 | ) | 488.44 | — | — | — | 0.082 | MJSD | — | 11,091.78 | 6/17/2011 | 6/21/2017 | |||||||||||||||||
BRSCD57K7 | HUSKY INTERNATIONAL LTD TERM LOAN | F | 4,729,940.22 | 100.4 | 4,796,828.26 | 4,777,717.39 | 4,736,578.46 | 60,249.80 | 5,238.42 | — | — | — | 0.142 | MJSD | — | 81,742.01 | 6/24/2011 | 6/29/2018 | |||||||||||||||||
BRSCDKB78 | SBA SENIOR FINANCE II LLC TERM LOAN | 2,666,317.50 | 99 | 2,646,270.00 | 2,673,000.00 | 2,667,248.64 | (20,978.64 | ) | 508.88 | — | — | — | 0.035 | JD | — | 50,867.58 | 6/27/2011 | 6/30/2018 | |||||||||||||||||
BRSCDQTK7 | ASHLAND INC. TERM LOAN | 1 | 1,992,837.97 | 100.115 | 1,997,626.77 | 1,995,332.14 | 1,992,837.97 | 4,788.80 | — | — | — | — | 0.021 | MJSD | — | — | 6/11/2012 | 8/23/2018 | |||||||||||||||||
BRSCDUPD8 | TEAM HLTH INC. TERM LOAN | 3,841,695.01 | 97.125 | 3,749,996.26 | 3,861,000.01 | 3,844,370.06 | (94,373.80 | ) | 1,470.39 | — | — | — | 0.071 | MJSD | — | 73,475.39 | 6/28/2011 | 6/29/2018 |
BRSCE52V7 | ALERE INC | 4,492,023.82 | 98.725 | 4,463,221.45 | 4,520,862.44 | 4,494,748.52 | (31,527.07 | ) | 1,568.98 | — | — | — | 0.118 | JD | — | 70,887.94 | 6/26/2012 | 6/30/2017 | |||||||||||||||||
BRSCEALQ6 | MERCURY PAYMENT SYSTEMS TERM LOAN | 3,234,330.00 | 99.75 | 3,258,832.50 | 3,267,000.00 | 3,239,692.10 | 19,140.40 | 2,852.44 | — | — | — | 0.168 | JAJO | — | 139,968.30 | 6/29/2011 | 6/30/2017 | ||||||||||||||||||
BRSCFRW37 | PRO MACH INC TL B TERM LOAN | 842,417.95 | 99 | 842,417.95 | 850,927.22 | 843,774.48 | (1,356.53 | ) | 843.69 | — | — | — | 0.166 | JAJO | — | 13,676.07 | 7/6/2011 | 7/6/2017 | |||||||||||||||||
BRSCG0YH2 | NORIT HOLDING BVTERM TL TERM LOAN | 1,295,336.57 | 100 | 1,315,062.50 | 1,315,062.50 | 1,298,468.80 | 16,593.70 | 1,726.19 | — | — | — | 0.249 | MJSD | — | 45,046.06 | 7/6/2011 | 7/10/2017 | ||||||||||||||||||
BRSCHJ8S5 | CUMULUS MED INC. TERM LOAN | 1 | 6,058,072.83 | 99.482 | 6,135,298.95 | 6,167,245.28 | 6,069,806.87 | 65,492.08 | 8,061.21 | — | — | — | 0.251 | MJSD | — | 154,745.00 | 9/27/2011 | 9/17/2018 | |||||||||||||||||
BRSCHUN87 | SUNCOKE ENERGY INC TERM LOAN | 1 | 1,578,815.01 | 99.5 | 1,581,440.03 | 1,589,386.96 | 1,580,009.61 | 1,430.42 | 803.56 | — | — | — | 0.096 | MJSD | — | 31,039.83 | 12/13/2011 | 7/26/2018 | |||||||||||||||||
BRSCJU296 | NUANCE COMMUNICATIONS INC TERM LOAN | 973,360.71 | 99.583 | 978,266.27 | 982,362.72 | 974,712.45 | 3,553.82 | 1,056.05 | — | — | — | 0.206 | MJSD | — | 10,859.54 | 11/1/2011 | 3/31/2016 | ||||||||||||||||||
BRSCL40C6 | ROYALTY PHARMA FINANCE TRUST TERM LOAN | 1 | 6,789,735.27 | 98.875 | 6,743,303.88 | 6,820,029.21 | 6,792,820.83 | (49,516.95 | ) | 2,528.65 | — | — | — | 0.067 | MJSD | — | 138,557.38 | 11/1/2011 | 5/9/2018 | ||||||||||||||||
BRSCL92L3 | OM GROUP INC. TERM LOAN | 506,026.12 | 99.5 | 508,581.81 | 511,137.50 | 506,789.79 | 1,792.02 | 455.48 | — | — | — | 0.166 | JAJO | — | 11,744.64 | 7/28/2011 | 8/2/2017 | ||||||||||||||||||
BRSCPUN39 | SNL FINANCIAL LC TERM LOAN | 2,800,875.00 | 99.625 | 2,876,671.88 | 2,887,500.00 | 2,811,391.64 | 65,280.24 | 8,223.23 | — | — | — | 0.43 | MJSD | — | 132,095.32 | 8/11/2011 | 8/17/2018 | ||||||||||||||||||
BRSCQ2G46 | IMMUCOR INC. TERM LOAN | 1 | 2,858,400.00 | 100.375 | 2,988,665.63 | 2,977,500.00 | 2,872,372.19 | 116,293.44 | 8,834.29 | — | — | — | 0.578 | MJSD | — | 109,545.99 | 8/17/2011 | 8/19/2018 | |||||||||||||||||
BRSCTV4V2 | LENDER PROCESS TERM LOANS | 1,462,725.00 | 100.094 | 1,486,395.90 | 1,485,000.00 | 1,465,374.37 | 21,021.53 | 1,693.81 | — | — | — | 0.214 | FMAN | — | 27,835.16 | 8/12/2011 | 8/14/2018 | ||||||||||||||||||
BRSCWX1K1 | AVIS BUDGET TERM LOAN | 1 | 333,060.00 | 99.786 | 339,129.86 | 339,857.15 | 333,721.80 | 5,408.06 | 5,553.94 | — | — | — | 0.288 | MJSD | — | 20,033.11 | 9/21/2011 | 9/22/2018 | |||||||||||||||||
BRSD1YF59 | MICROSEMI CORPORATION TERM LOAN | 1 | 1,952,716.71 | 99 | 1,972,642.38 | 1,992,568.06 | 1,957,116.46 | 15,525.92 | 3,321.63 | — | — | — | 0.317 | MJSD | — | 56,232.56 | 10/7/2011 | 2/2/2018 | |||||||||||||||||
BRSD4PTL5 | KINETIC CONCEPTS INC. TERM LOAN | 1 | 1,824,332.50 | 100.625 | 1,902,315.63 | 1,890,500.00 | 1,830,843.71 | 71,471.92 | 6,074.30 | — | — | — | 0.542 | MJSD | — | 76,442.11 | 10/20/2011 | 5/4/2018 | |||||||||||||||||
BRSD7SFZ0 | CB RICHARD ELLIS SERV INC. TERM NOTES | 1,980,000.00 | 98.75 | 1,965,075.37 | 1,989,949.74 | 1,980,247.41 | (15,172.04 | ) | 272.54 | — | — | — | 0.067 | MJSD | — | 9,795.72 | 3/15/2012 | 9/4/2019 | |||||||||||||||||
BRSD9CAS4 | HEALTH MANAGEMENT ASSOCIATES I TERM | 1 | 7,853,591.36 | 99.146 | 7,847,641.35 | 7,915,237.47 | 7,856,277.67 | (8,636.32 | ) | 2,777.39 | — | — | — | 0.117 | MJSD | — | 87,387.89 | 6/11/2012 | 11/16/2018 | ||||||||||||||||
BRSDALFV0 | ENTERCOM RADIO LLC TERM LOAN | 1,116,448.68 | 99.875 | 1,137,809.30 | 1,139,233.34 | 1,118,338.08 | 19,471.22 | 2,716.45 | — | — | — | 0.286 | FMAN | — | 30,169.68 | 11/17/2011 | 11/17/2018 | ||||||||||||||||||
BRSDCHKT6 | B&G FOODS INC TERM LOAN | 1 | 664,908.75 | 100.125 | 672,464.53 | 671,625.00 | 665,451.44 | 7,013.09 | 510.31 | — | — | — | 0.142 | MJSD | — | 7,099.95 | 11/18/2011 | 11/30/2018 | |||||||||||||||||
BRSDDXAW4 | UNIFRAX HOLDING CO TERM LOAN | 1,560,160.00 | 100.667 | 1,602,618.64 | 1,592,000.00 | 1,562,754.76 | 39,863.88 | 2,415.28 | — | — | — | 0.286 | JAJO | — | 79,025.71 | 11/18/2011 | 11/18/2018 | ||||||||||||||||||
BRSDFK6A3 | NOVELIS INC/GA TERM LOAN | 1 | 643,512.18 | 98.031 | 647,016.85 | 660,012.50 | 645,210.13 | 1,806.72 | 1,635.46 | — | — | — | 0.477 | MJSD | — | 13,213.09 | 12/2/2011 | 3/10/2017 | |||||||||||||||||
BRSDH9178 | FLEETPRIDE TERM LOAN | 1,029,718.38 | 99.958 | 1,046,679.30 | 1,047,119.09 | 1,031,269.89 | 15,409.41 | 1,502.72 | — | — | — | 0.277 | FMAN | — | 32,482.13 | 5/25/2012 | 12/6/2017 | ||||||||||||||||||
BRSDKUDY5 | SIX FLAGS THEME PARKS INC TERM LOAN | 1 | 3,972,500.00 | 99.225 | 3,969,000.00 | 4,000,000.00 | 3,972,500.00 | (3,500.00 | ) | — | — | — | — | 0.108 | MJSD | — | — | 6/26/2012 | 12/20/2018 | ||||||||||||||||
BRSDP3SG3 | AZ CHEM US TERM LOAN | 1,058,049.55 | 100.403 | 1,095,168.54 | 1,090,772.73 | 1,060,577.30 | 34,591.24 | 7,694.57 | — | — | — | 0.506 | MJSD | — | 28,927.01 | 12/19/2011 | 12/22/2017 | ||||||||||||||||||
BRSDPAC33 | ALERE INC SENIOR SEC TERM NOTES | 988,750.00 | 98.725 | 987,250.00 | 1,000,000.00 | 988,750.00 | (1,500.00 | ) | — | — | — | — | 0.232 | MJSD | — | — | 6/26/2012 | 6/30/2017 | |||||||||||||||||
BRSDR1PS2 | KREDITANSTALT FUER WIEDERAUFBA CORP BND | D | 3,183,652.29 | 101.724 | 3,190,995.53 | 2,000,000.00 | 3,182,824.80 | 8,170.73 | (827.49 | ) | — | (34,227.16 | ) | 1.75 | 1.634 | JAN | 24,778.22 | 14,555.41 | 3/20/2012 | 1/22/2016 | |||||||||||||||
BRSDRTRZ3 | EXPORT DEVELOPMENT CANADA(LT)G CORP BND | T | 3,531,332.15 | 100.738 | 3,634,043.08 | 2,300,000.00 | 3,531,375.13 | 102,667.95 | 42.98 | — | 75,779.10 | 1 | 1.001 | DEC | 16,604.67 | 15,921.37 | 1/11/2012 | 12/8/2014 | |||||||||||||||||
BRSDTEYU7 | CROWN CASTLE OPERATING CO TERM LOAN | 2 | 2,068,605.00 | 98.375 | 2,055,545.63 | 2,089,500.00 | 2,069,795.25 | (14,249.62 | ) | 1,295.25 | — | — | — | 0.142 | JAJO | — | 19,116.42 | 1/25/2012 | 1/31/2019 | ||||||||||||||||
BRSDU55R3 | PRESTIGE BRANDS HOLDINGS INC TERM LOAN | 1 | 616,371.22 | 100.344 | 627,910.19 | 625,757.58 | 616,894.26 | 11,015.93 | 1,636.68 | — | — | — | 0.214 | MJSD | — | 8,005.06 | 1/27/2012 | 1/31/2019 | |||||||||||||||||
BRSDVCMH0 | GE CAPITAL UK FUNDING SENIOR CORP BND | D | 623,426.13 | 105.017 | 658,853.58 | 400,000.00 | 623,524.12 | 35,329.46 | 97.99 | — | (575.90 | ) | 4.375 | 4.445 | JUL | 11,388.58 | 11,409.66 | 1/26/2012 | 7/31/2019 | ||||||||||||||||
BRSDVRW37 | GENESYS TELECOMMUNICATIONS LAB TERM LOAN | 1,261,039.50 | 100.219 | 1,289,593.04 | 1,286,775.00 | 1,262,292.31 | 27,300.73 | 1,317.31 | — | — | — | 0.288 | JAJO | — | 15,032.52 | 1/25/2012 | 1/25/2019 | ||||||||||||||||||
BRSDWEH16 | TRANSDIGM INC. TERM LOAN | 1 | 1,105,948.94 | 100 | 1,111,506.48 | 1,111,506.48 | 1,106,342.37 | 5,164.11 | 421.35 | — | — | — | 0.099 | MJSD | — | 10,177.63 | 2/14/2012 | 2/14/2017 | |||||||||||||||||
BRSDYT4C1 | CEQUEL COMMUNICATIONS LLC TERM LOAN | 1 | 7,487,690.00 | 97.825 | 7,416,113.25 | 7,581,000.00 | 7,491,061.89 | (74,948.64 | ) | 3,561.89 | — | — | — | 0.177 | MJSD | — | 55,982.77 | 6/4/2012 | 2/14/2019 | ||||||||||||||||
BRSE0V753 | AMC ENTERTAINMENT INC. TERM LOAN | 2 | 7,148,235.75 | 99.438 | 7,153,495.14 | 7,193,925.00 | 7,150,585.46 | 2,909.68 | 2,560.46 | — | — | — | 0.106 | MJSD | — | 31,776.99 | 6/12/2012 | 2/22/2018 |
BRSE456U2 | RAILAMERICA INC. SENIOR SECURED TERM | 1 | 1,985,025.00 | 99.938 | 1,993,763.10 | 1,995,000.00 | 1,985,429.01 | 8,334.09 | 429.01 | — | — | — | 0.071 | MJSD | — | 15.56 | 2/23/2012 | 3/1/2019 | |||||||||||||||||
BRSE47ZL6 | JARDEN CORP SENIOR SECUREDTERM LOAN | 1,776,518.72 | 99.516 | 1,769,899.48 | 1,778,507.46 | 1,776,621.05 | (6,721.57 | ) | 113.59 | — | — | — | 0.018 | MJSD | — | 4,651.86 | 3/30/2012 | 3/31/2018 | |||||||||||||||||
BRSE4J2V4 | CATALENT PHARMA SOLUTIONS INC SENIOR | 5,977,357.44 | 98.979 | 5,970,790.64 | 6,032,381.25 | 5,980,229.63 | (9,438.99 | ) | 3,148.38 | — | — | — | 0.164 | MJSD | — | 87,197.04 | 4/24/2012 | 9/15/2017 | |||||||||||||||||
BRSE4T2Q3 | ENERGY TRANSFER EQUITY LP SENIOR SEC | 4,870,600.00 | 98.018 | 4,871,494.60 | 4,970,000.00 | 4,875,634.03 | (4,139.43 | ) | 5,034.03 | — | — | — | 0.4 | FMAN | — | — | 3/21/2012 | 3/23/2017 | |||||||||||||||||
BRSE58QX7 | NORANDA ALUMINUM ACQUISITION TERM LOAN | 1,985,000.00 | 100.333 | 2,006,660.00 | 2,000,000.00 | 1,985,652.91 | 21,007.09 | 676.77 | — | — | — | 0.107 | MJSD | — | 9,583.33 | 2/24/2012 | 2/24/2019 | ||||||||||||||||||
BRSE61FE5 | REXNORD CORP TERM LOAN | 2 | 1,334,929.31 | 100.458 | 1,347,782.20 | 1,341,637.50 | 1,335,212.99 | 12,569.21 | 300.49 | — | — | — | 0.082 | JAJO | — | 1.40 | 3/13/2012 | 4/2/2018 | |||||||||||||||||
BRSE76GJ1 | WEIGHT WATCHERS INTL INC SECURED TERM | 2 | 4,044,150.00 | 97.636 | 3,988,430.60 | 4,085,000.00 | 4,044,959.75 | (56,529.15 | ) | 809.75 | — | — | — | 0.145 | MJSD | — | 1,462.04 | 5/29/2012 | 3/15/2019 | ||||||||||||||||
BRSE7X6H7 | SWIFT TRANSP CO SENIOR SECURED TERM LOAN | 3,618,324.70 | 100.188 | 3,634,212.68 | 3,627,393.18 | 3,618,739.76 | 15,472.92 | 846.58 | — | — | — | 0.043 | MJSD | — | 1913.80 | 2/29/2012 | 12/21/2017 | ||||||||||||||||||
BRSE99EZ9 | TELESAT CANADA / TELESAT LLC SENIOR | A | 2 | 8,955,000.00 | 98.8 | 8,892,000.00 | 9,000,000.00 | 8,956,413.33 | (64,413.33 | ) | 1,517.37 | — | — | — | 0.071 | MJSD | — | (557.12 | ) | 3/26/2012 | 3/28/2019 | ||||||||||||||
BRSE9A2P1 | YANKEE CANDLE CO INC SECURED TERM LOAN | 1 | 2,355,247.12 | 99.625 | 2,370,116.11 | 2,379,037.50 | 2,355,991.02 | 14,125.09 | 803.52 | — | — | — | 0.142 | MJSD | — | 10,086.56 | 3/14/2012 | 4/2/2019 | |||||||||||||||||
BRSE9BMN2 | FIFTH THIRD PROCESSING SOLUTIO SENIOR | 811,733.43 | 99.792 | 814,115.61 | 815,812.50 | 811,873.96 | 2,241.65 | 150.75 | — | — | — | 0.071 | MJSD | — | 7,326.64 | 3/7/2012 | 3/27/2019 | ||||||||||||||||||
BRSE9BNJ0 | PINNACLE ENTERTAINMENT INC. SENIOR SEC | 493,762.50 | 99.719 | 497,348.51 | 498,750.00 | 493,937.10 | 3,411.41 | 187.10 | — | — | — | 0.143 | MJSD | — | 9,796.66 | 3/8/2012 | 3/8/2019 | ||||||||||||||||||
BRSE9C0N4 | PROTECTION ONE INC. SENIOR SECURED TERM | 1 | 1,572,060.00 | 99.438 | 1,587,030.48 | 1,596,000.00 | 1,572,873.71 | 14,156.77 | 873.71 | — | — | — | 0.214 | MJSD | — | 19,933.33 | 3/16/2012 | 3/21/2019 | |||||||||||||||||
BRSE9K3Z6 | WCA WASTE SECURED TERM LOAN | 311,070.37 | 99.688 | 313,232.16 | 314,212.50 | 311,204.89 | 2027.27 | 142.39 | — | — | — | 0.166 | MJSD | — | 1,211.19 | 3/9/2012 | 3/23/2018 | ||||||||||||||||||
BRSEARBD9 | AVIS BUDGET CAR RENTAL LLC TERM NOTES | 2,394,748.12 | 99.35 | 2,403,214.41 | 2,418,937.50 | 2,395,606.49 | 7,607.92 | 918.99 | — | — | — | 0.143 | MJSD | — | 17,177.08 | 3/13/2012 | 3/1/2019 | ||||||||||||||||||
BRSEBGYC9 | MONITRON INTL SENIOR SECURED TERM NOTES | 2,646,567.00 | 99.094 | 2,649,079.90 | 2,673,300.00 | 2,647,656.70 | 1,423.20 | 1,156.70 | — | — | — | 0.167 | JAJO | — | 35,621.67 | 3/16/2012 | 3/16/2018 | ||||||||||||||||||
BRSEC7EU0 | PINACLE FOOD FIN SENIOR SEC TERM NOTES | 2 | 1,234,406.25 | 98.75 | 1,231,289.06 | 1,246,875.00 | 1,234,721.84 | (3,432.78 | ) | 346.84 | — | — | — | 0.153 | MJSD | — | 2,314.80 | 3/29/2012 | 10/17/2018 | ||||||||||||||||
BRSECN1K1 | ENNIS-FLINT SENIOR SEC TERM NOTES | 1 | 1,007,100.94 | 98.5 | 1,007,100.94 | 1,022,437.50 | 1,007,606.13 | (505.19 | ) | 543.63 | — | — | — | 0.251 | MJSD | — | 12,456.59 | 3/30/2012 | 3/30/2018 | ||||||||||||||||
BRSECQ3T3 | LAWSON SOFTWARE INC. SENIOR SECURED TERM | 2 | 2,133,450.00 | 100.359 | 2,162,736.45 | 2,155,000.00 | 2,134,263.91 | 28,472.54 | 813.91 | — | — | — | 0.166 | MJSD | — | — | 3/30/2012 | 4/5/2018 | |||||||||||||||||
BRSED9GW9 | GETTY IMAGES INC. TERM NOTES | 1,343,250.00 | 99.905 | 1,348,717.50 | 1,350,000.00 | 1,343,587.22 | 5,130.28 | 337.22 | — | — | — | 0.139 | MON | — | — | 3/22/2012 | 11/14/2015 | ||||||||||||||||||
BRSEDF0S1 | LPL HOLDINGS INC TL SENIOR SECURED TERM | 1,399,442.62 | 98.925 | 1,391,355.39 | 1,406,475.00 | 1,399,690.67 | (8,335.28 | ) | 265.67 | — | — | — | 0.071 | MJSD | — | 4,543.34 | 3/23/2012 | 3/22/2019 | |||||||||||||||||
BRSEDXBC5 | MOMENTIVE PERFORMANCE MATERIAL SENIOR | 1,566,459.93 | 94.5 | 1,558,215.40 | 1,648,905.19 | 1,571,339.65 | (13,124.25 | ) | 5,086.35 | — | — | — | 1.678 | MJSD | — | 6,026.70 | 3/23/2012 | 5/5/2015 | |||||||||||||||||
BRSEDXCH3 | PETROLOGISTICS LP SENIOR SEC TERM LOAN | 977,550.00 | 100.75 | 1,004,981.25 | 997,500.00 | 978,518.90 | 26,462.35 | 1,018.90 | — | — | — | 0.401 | MJSD | — | 10,903.96 | 3/23/2012 | 3/23/2017 | ||||||||||||||||||
BRSEF3569 | ALERE INC SENIOR SEC TERM NOTES | 844,333.87 | 98.725 | 841,988.50 | 852,862.50 | 844,668.92 | (2,680.42 | ) | 356.42 | — | — | — | 0.19 | MJSD | — | 3,271.56 | 3/27/2012 | 6/30/2017 | |||||||||||||||||
BRSEFGMT1 | CHARTER COM OPER SECURED TERM LOAN | 1 | 2,590,457.62 | 99.232 | 2,583,480.31 | 2,603,475.00 | 2,590,839.41 | (7,359.10 | ) | 414.41 | — | — | — | 0.07 | MJSD | — | 21,460.00 | 4/4/2012 | 5/15/2019 | ||||||||||||||||
BRSEGDRJ4 | AMN HEALTHCARE SENIOR SECURED TERM NOTE | 2,672,560.44 | 100.5 | 2,713,053.78 | 2,699,556.00 | 2,673,377.52 | 39,676.26 | 1,421.52 | — | — | — | 0.167 | MJSD | — | 29,299.70 | 4/3/2012 | 4/5/2018 | ||||||||||||||||||
BRSEGRYL0 | WENDYS INTERNATIONAL INC. SENIOR SEC | 2 | 1,646,381.68 | 99.203 | 1,644,184.46 | 1,657,393.89 | 1,646,466.79 | (2,282.33 | ) | 85.11 | — | — | — | 0.096 | MJSD | — | — | 6/26/2012 | 5/15/2019 | ||||||||||||||||
BRSEHTXV4 | FREEDOM GROUP INC SENIOR SEC TERM NOTES | 1 | 3,591,400.00 | 100 | 3,610,000.00 | 3,610,000.00 | 3,591,876.56 | 18,123.44 | 476.56 | — | — | — | 0.073 | MJSD | — | 4,091.66 | 5/17/2012 | 4/19/2019 | |||||||||||||||||
BRSEJG0V6 | AXCAN INTER HLDG SENIOR SEC TERM LOAN | 1,564,080.00 | 96.75 | 1,544,130.00 | 1,596,000.00 | 1,565,079.14 | (20,949.14 | ) | 1,079.14 | — | — | — | 0.418 | MJSD | — | 12,955.56 | 4/11/2012 | 2/10/2017 | |||||||||||||||||
BRSEK97M3 | FORMULA ONE GROUP SENIOR SECURED TERM | F | 2 | 2,295,995.62 | 99.859 | 2,315,917.45 | 2,319,187.50 | 2,296,657.20 | 19,260.25 | 719.70 | — | — | — | 0.2 | MJSD | — | 10,769.27 | 4/19/2012 | 4/28/2017 | ||||||||||||||||
BRSEKNUF1 | INEOS US FINANCE LLC SENIOR SEC TERM | 2 | 1,051,315.12 | 97.778 | 1,043,609.04 | 1,067,325.00 | 1,051,637.35 | (8,028.31 | ) | 362.35 | — | — | — | 0.251 | MJSD | — | 5,602.64 | 4/27/2012 | 4/27/2018 | ||||||||||||||||
BRSEL02X2 | BAUSCH & LOMB INCORPORATED SENIOR | 1 | 6,336,000.00 | 99.35 | 6,358,400.00 | 6,400,000.00 | 6,336,230.18 | 22,169.82 | 230.18 | — | — | — | 0.145 | MJSD | — | — | 5/10/2012 | 4/17/2019 | |||||||||||||||||
BRSEM91J4 | SYNIVERSE HLDGS SENIOR SEC TERM NOTES | 2,930,400.00 | 99.208 | 2,936,556.80 | 2,960,000.00 | 2,931,093.88 | 5,462.92 | 693.88 | — | — | — | 0.142 | MJSD | — | — | 4/20/2012 | 4/23/2019 | ||||||||||||||||||
BRSEQLBQ6 | TRICORBRAUN INC SENIOR SECURED TERM LOAN | 2,547,200.00 | 99.375 | 2,544,000.00 | 2,560,000.00 | 2,547,475.80 | (3,475.80 | ) | 275.80 | — | — | — | 0.083 | MJSD | — | — | 4/30/2012 | 4/30/2018 |
BRSESZBW0 | VOLKSWAGEN FIN SERV N.V. CORP BND EMTN | D | 960,320.15 | 100.859 | 949,153.79 | 600,000.00 | 960,380.40 | (11,226.61 | ) | 60.25 | — | (21,255.97 | ) | 2 | 2.065 | AO | 1941.74 | 2031.68 | 5/15/2012 | 10/23/2015 | |||||||||||||||
BRSETKJX2 | TAMINCO GLOBAL CHEMICAL CORPOR TERM | 2 | 332,500.00 | 99.5 | 330,837.50 | 332,500.00 | 332,500.00 | (1,662.50 | ) | — | — | — | — | — | MJSD | — | 1,847.22 | 5/11/2012 | 2/15/2019 | ||||||||||||||||
BRSEV0146 | WENDYS INTERNATIONAL INC. SENIOR SEC | 2 | 883,216.83 | 99.203 | 880,580.50 | 887,655.11 | 883,216.83 | (2,636.33 | ) | — | — | — | — | 0.074 | MJSD | — | — | 6/26/2012 | 5/15/2019 | ||||||||||||||||
BRSEVCW87 | RPI FINANCE TRUST SENIOR SEC TERM NOTES | 2 | 688,063.54 | 98.938 | 691,123.16 | 698,541.67 | 688,196.20 | 2,926.96 | 154.53 | — | — | — | 0.231 | MJSD | — | 2,177.78 | 5/24/2012 | 11/9/2018 | |||||||||||||||||
BRSEW6RB8 | GENERAC POWER SYSTEMS INC SENIOR SEC | 842,800.00 | 99.5 | 855,700.00 | 860,000.00 | 842,994.96 | 12,705.04 | 194.96 | — | — | — | 0.333 | FMAN | — | — | 5/22/2012 | 5/30/2018 | ||||||||||||||||||
BRSEXWQA3 | APPLIED SYSTEMS INC SENIOR SECURED TERM | 493,762.50 | 99.125 | 494,385.94 | 498,750.00 | 493,795.95 | 589.99 | 45.95 | — | — | — | 0.222 | MJSD | — | 146.16 | 5/30/2012 | 12/8/2016 | ||||||||||||||||||
BRSEYJRF9 | RGIS SERVICES LLC TERM NOTES | 1,851,609.37 | 98.75 | 1,846,933.59 | 1,870,312.50 | 1,851,837.38 | (4,903.79 | ) | 274.88 | — | — | — | 0.185 | MJSD | — | 3,151.04 | 5/15/2012 | 10/18/2017 | |||||||||||||||||
BRSEYKM87 | VWR FUNDING INC TERM NOTES | 2,962,365.05 | 99 | 2,962,365.05 | 2,992,287.93 | 2,962,365.05 | — | — | — | — | — | 0.213 | MJSD | — | — | 6/4/2012 | 4/30/2017 | ||||||||||||||||||
BRSEZ4VS8 | ZAYO GROUP LLC SENIOR SEC TERM NOTES | 1,000,000.00 | 100.232 | 1,002,320.00 | 1,000,000.00 | 1,000,000.00 | 2,320.00 | — | — | — | — | — | MJSD | — | — | 6/26/2012 | 3/31/2019 | ||||||||||||||||||
BRSEZESM3 | VALEANT PHARMA SENIOR SECURED TERM NOTES | 1,950,000.00 | 98.563 | 1,971,260.00 | 2,000,000.00 | 1,950,000.00 | 21,260.00 | — | — | — | — | 0.39 | MJSD | — | — | 6/8/2012 | 2/1/2019 | ||||||||||||||||||
BRSF47122 | ACOSTA SENIOR SECURED TERM NOTES | 1,408,550.00 | 100.188 | 1,432,681.25 | 1,430,000.00 | 1,408,550.00 | 24,131.25 | — | — | — | — | 0.272 | MJSD | — | — | 6/22/2012 | 3/1/2018 | ||||||||||||||||||
BRSF5Z020 | CONSOLIDATED CONTAINER CO LLC TERM NOTES | 2,286,900.00 | 99 | 2,286,900.00 | 2,310,000.00 | 2,286,900.00 | — | — | — | — | — | 0.145 | JAJO | — | — | 6/28/2012 | 6/30/2019 | ||||||||||||||||||
BRSF6FJZ0 | CERIDIAN CORP SENIOR SECURED TERM NOTES | 1 | 1,324,486.62 | 96.25 | 1,324,486.62 | 1,376,090.00 | 1,324,486.62 | — | — | — | — | — | 0.798 | MJSD | — | — | 6/27/2012 | 5/31/2017 | |||||||||||||||||
D4085B7T2 | KREDITANSTALT FUER WIDERAUFBAU CORP BND | D | 3,496,559.00 | 109.911 | 3,447,802.86 | 2,000,000.00 | 3,457,941.26 | (10,138.40 | ) | (30,558.38 | ) | — | (57,560.09 | ) | 3.75 | 1.649 | SEP | 94,157.00 | 59,485.65 | 11/9/2011 | 9/7/2016 | ||||||||||||||
D4085CCP2 | KREDITANSTALT FUER WIEDERAUFBA CORP BND | D | 3,688,345.49 | 102.633 | 3,541,457.84 | 2,200,000.00 | 3,660,947.94 | (119,490.10 | ) | (5,404.08 | ) | — | (197,835.37 | ) | 3 | 2.668 | SEP | 82,595.64 | 52,166.86 | 11/11/2009 | 9/9/2013 | ||||||||||||||
D4085DTN7 | KREDITANSTALT FUER WIEDERAUFBA CORP BND | D | 1,004,438.49 | 105.114 | 989,191.61 | 600,000.00 | 996,802.40 | (7,610.79 | ) | (6,042.48 | ) | — | (16,592.55 | ) | 2.75 | 1.4 | SEP | 20,714.54 | 13,086.85 | 11/9/2011 | 9/7/2015 | ||||||||||||||
G089A2LK4 | BARCLAYS BANK PLC LOCAL BND EMTN | D | 1,188,441.14 | 100.251 | 1,179,293.32 | 750,000.00 | 1,187,572.85 | (8,279.53 | ) | (868.29 | ) | — | (5,088.96 | ) | 2.513 | 2.378 | JAJO | 5,670.97 | 11,440.29 | 2/10/2012 | 1/20/2015 | ||||||||||||||
G089B6CD0 | BARCLAYS BANK PLC - GTD SENIOR CORP BND | D | 2,994,579.49 | 101.284 | 3,018,328.44 | 1,900,000.00 | 2,995,373.84 | 22,954.60 | 794.35 | — | (31,370.12 | ) | 1.5 | 1.612 | APR | 10,663.12 | 10,891.24 | 3/28/2012 | 4/4/2017 | ||||||||||||||||
G0R53VAJ0 | BAA FUNDING LTD SECURED CORP BND EMTN | D | 781,905.31 | 101.045 | 792,420.14 | 500,000.00 | 781,947.01 | 10,473.13 | 41.70 | — | 249.36 | 3 | 3.093 | JD | 1,478.92 | 1,477.98 | 5/29/2012 | 6/8/2015 | |||||||||||||||||
G1279MKC9 | BP CAPITAL MARKET PLC CORP BND MTN | D | 688,967.43 | 110.144 | 734,212.93 | 425,000.00 | 688,779.87 | 45,433.06 | (191.41 | ) | — | (23,129.80 | ) | 4.325 | 4.339 | DEC | 16,139.03 | 14,282.96 | 3/7/2011 | 12/10/2018 | |||||||||||||||
G2551TAP3 | COVENTRY BLDG SOC LOCAL BND EMTN | D | 1,220,911.03 | 100.779 | 1,185,500.01 | 750,000.00 | 1,220,509.28 | (35,009.27 | ) | (401.75 | ) | — | (35,986.18 | ) | 2.609 | 2.333 | FMAN | 4,239.11 | 4,071.62 | 5/10/2012 | 2/10/2015 | ||||||||||||||
G29330DW7 | EDF ENRGYNET LPN LOCAL BND | D | 911,019.43 | 111.354 | 960,589.91 | 550,000.00 | 911,845.61 | 48,744.30 | 166.17 | — | (50,755.69 | ) | 5.375 | 5.107 | NOV | 28,775.54 | 23,636.90 | 11/6/2009 | 11/11/2016 | ||||||||||||||||
G3157R8G6 | EBRD CORP BND | D | 2,188,451.06 | 101.692 | 2,143,663.98 | 1,344,000.00 | 2,190,125.81 | (46,461.83 | ) | 727.79 | — | (84,186.55 | ) | 1.875 | 1.935 | DEC | 22,119.48 | 19,574.91 | 4/7/2011 | 12/10/2013 | |||||||||||||||
G5577Y5Y2 | LLYODS TSB BANK PLC - LT GTD SENIOR | D | 3,363,326.11 | 100.862 | 3,322,120.61 | 2,100,000.00 | 3,363,975.45 | (41,854.84 | ) | 649.34 | — | (89,459.66 | ) | 1.5 | 1.62 | MAY | 7,899.68 | 8,343.44 | 4/25/2012 | 5/2/2017 | |||||||||||||||
G6398AAM9 | NATIONWIDE BUILDING SOCIETY LOCAL BND | D | 1,229,044.05 | 101.199 | 1,190,440.27 | 750,000.00 | 1,228,257.85 | (37,817.58 | ) | (786.20 | ) | — | (36,214.64 | ) | 2.614 | 2.078 | JAJO | 5,637.14 | 4,080.41 | 5/10/2012 | 1/23/2015 | ||||||||||||||
G6459BCU3 | NETWORK RAIL INFRASTRUCTURE FI CORP BND | F | 3,097,697.05 | 102.925 | 3,087,750.09 | 3,000,000.00 | 3,029,120.44 | 58,629.65 | (14,726.93 | ) | — | — | 3.5 | 2.451 | JUN | 4,083.33 | 52,500.00 | 2/19/2010 | 6/17/2013 | ||||||||||||||||
G6459EAB1 | NETWORK RAIL INFRA FIN CORP BND GOVT | D | 4,366,114.51 | 101.195 | 4,444,125.84 | 2,800,000.00 | 4,366,845.73 | 77,280.11 | 731.22 | — | 20,981.67 | 1.25 | 1.284 | JAN | 26,057.07 | 25,538.95 | 1/4/2012 | 1/22/2015 | |||||||||||||||||
G6459FAE2 | NETWORK RAIL INFRASTRUCTURE FI LOCAL BND | D | 2,735,751.98 | 105.139 | 2,670,264.25 | 1,500,000.00 | 2,683,282.26 | (13,018.01 | ) | (41,546.84 | ) | — | (44,665.29 | ) | 4.875 | 1.207 | NOV | 68,870.26 | 56,304.00 | 11/9/2011 | 11/27/2015 | ||||||||||||||
G7014VBF9 | PERMM 2010-1 ABS_10-1 3A | D | 1 | 2,003,000.00 | 107.652 | 2,110,583.57 | 1,250,000.00 | 2,003,000.00 | 107,583.57 | — | — | (42,437.50 | ) | 4.805 | 4.792 | JJ | 44,586.70 | 46,054.84 | 1/29/2010 | 1/17/2017 | |||||||||||||||
G8162ZAD4 | SILVERSTONE MASTER ISSUER PLC ABS_09-1 | D | 1 | 833,161.50 | 109.317 | 874,434.51 | 510,000.00 | 833,161.50 | 41,273.01 | — | — | (33,252.00 | ) | 5.063 | 5.059 | AO | 7,640.04 | 20,649.76 | 10/27/2009 | 10/21/2016 | |||||||||||||||
G92087EB0 | UNILEVER PLC LOCAL BND EMTN | D | 1,267,394.98 | 114.311 | 1,255,042.78 | 700,000.00 | 1,251,382.45 | 3,660.33 | (17,809.56 | ) | — | (20,830.22 | ) | 4.75 | 2.143 | JUN | 2,148.86 | 36,896.88 | 11/9/2011 | 6/16/2017 | |||||||||||||||
G92435JR1 | UNITED KINGDOM GILT GOVT BND | D | 875,090.93 | 109.58 | 859,353.75 | 500,000.00 | 843,738.08 | 15,615.67 | (29,253.08 | ) | — | 14,890.30 | 8 | 0.321 | MS | 16,071.65 | 31,226.87 | 12/14/2011 | 9/27/2013 | ||||||||||||||||
G92435NC9 | UNITED KINGDOM GILT GOVT BND | D | 3,827,521.50 | 102.88 | 3,679,056.70 | 2,280,000.00 | 3,735,486.41 | (56,429.71 | ) | (147,350.73 | ) | — | (62,180.04 | ) | 4.5 | 0.516 | MS | 50,657.79 | 159,190.14 | 11/9/2011 | 3/7/2013 | ||||||||||||||
G924502M9 | UNITED KINGDOM GILT GOVT BND | D | 1,895,883.17 | 121.59 | 1,907,078.36 | 1,000,000.00 | 1,880,281.21 | 26,797.15 | (22,545.29 | ) | — | (7,641.23 | ) | 4.5 | 1.446 | MS | 22,218.33 | 36,756.72 | 2/16/2012 | 3/7/2019 |
G924504Y1 | UNITED KINGDOM GILT GOVT BND | D | 10,422,550.58 | 103.31 | 10,370,340.45 | 6,400,000.00 | 10,366,252.29 | 4,088.16 | (38,549.43 | ) | — | (192,098.51 | ) | 2.25 | 1.429 | MS | 71,098.65 | 132,654.29 | 11/9/2011 | 3/7/2014 | |||||||||||||||
G924507Q5 | UNITED KINGDOM GILT GOVT BND | D | 6,700,315.88 | 106.01 | 6,567,719.69 | 3,950,000.00 | 6,620,948.53 | (53,228.84 | ) | (68,884.72 | ) | — | (110,210.77 | ) | 2.75 | 0.737 | JJ | 76,113.95 | 94,011.84 | 11/9/2011 | 1/22/2015 | ||||||||||||||
G92450K80 | UNITED KINGDOM GILT GOVT BND | D | 6,566,907.02 | 122.48 | 6,531,527.71 | 3,400,000.00 | 6,555,226.44 | (23,698.73 | ) | (11,680.58 | ) | — | (12,415.06 | ) | 5 | 0.897 | MS | 83,888.97 | 15,202.43 | 6/19/2012 | 3/7/2018 | ||||||||||||||
G92450NU8 | UNITED KINGDOM GILT GOVT BND | D | 19,638,944.49 | 110.29 | 19,028,278.55 | 11,000,000.00 | 19,009,259.38 | 19,019.17 | (299,696.66 | ) | — | (462,242.79 | ) | 5 | 1.492 | MS | 271,557.40 | 439,508.99 | 11/9/2011 | 9/7/2014 | |||||||||||||||
G92450QY7 | UNITED KINGDOM GILT GOVT BND | D | 443,949.36 | 113.73 | 445,949.55 | 250,000.00 | 435,637.35 | 10,312.20 | (7,754.69 | ) | — | 7,688.13 | 4.75 | 0.603 | MS | 5,863.18 | 9,197.46 | 12/14/2011 | 9/7/2015 | ||||||||||||||||
G92451CZ7 | UNITED KINGDOM GILT GOVT BND | D | 9,587,401.38 | 105.05 | 9,885,940.35 | 6,000,000.00 | 9,604,244.41 | 281,695.94 | (1,805.11 | ) | — | (181,830.88 | ) | 2 | 1.954 | JJ | 84,084.46 | 94,710.33 | 11/9/2011 | 1/22/2016 | |||||||||||||||
G92451GE0 | UNITED KINGDOM GILT GOVT BND | D | 4,520,360.42 | 104.49 | 4,588,845.53 | 2,800,000.00 | 4,517,285.37 | 71,560.16 | (3,075.05 | ) | — | 85,993.21 | 1.75 | 0.675 | JJ | 34,628.16 | 5,179.84 | 5/31/2012 | 1/22/2017 | ||||||||||||||||
G9853MHT3 | YORKSHIRE BUILDING SOCIETY LOCAL BND | D | 1,390,156.29 | 108.288 | 1,358,752.00 | 800,000.00 | 1,388,218.49 | (29,466.49 | ) | (1,937.80 | ) | — | (40,931.01 | ) | 4.75 | 3.298 | APR | 12,681.78 | 7,924.17 | 5/10/2012 | 4/12/2018 | ||||||||||||||
N3114HAY0 | DAIMLER INTERNATIONAL FINANCE SENIOR | D | 956,732.04 | 100.947 | 949,979.86 | 600,000.00 | 956,835.56 | (6,855.70 | ) | 74.89 | — | (15,927.27 | ) | 2.125 | 2.135 | DEC | 11,191.40 | 9,903.98 | 11/9/2011 | 12/10/2013 | |||||||||||||||
N7277KAG6 | RABOBANK NEDERLAND NV CORP BND MTN | D | 813,092.49 | 105.947 | 830,861.14 | 500,000.00 | 814,739.67 | 16,121.47 | 304.52 | — | (32,540.72 | ) | 4 | 4.047 | SEP | 24,944.43 | 15,808.15 | 9/3/2009 | 9/10/2015 | ||||||||||||||||
U75000AU0 | ROCHE HOLDINGS INC SENIOR CORP BND | O | 742,348.77 | 111.007 | 914,075.91 | 525,000.00 | 745,003.73 | 169,072.18 | 433.19 | — | 75,774.62 | 5.5 | 5.634 | MAR | 14,604.00 | 23,011.08 | 2/25/2009 | 3/4/2015 | |||||||||||||||||
U89233TU1 | TOYOTA MOTOR CREDIT CORP CORP BOND | O | 1,213,735.66 | 109.21 | 1,284,673.37 | 750,000.00 | 1,213,903.86 | 70,769.51 | 146.88 | — | (39,243.96 | ) | 4 | 3.99 | DEC | 26,629.19 | 24,188.40 | 12/4/2011 | 12/7/2017 | ||||||||||||||||
W5818PAC4 | NORDEA BANK AB CORP BND MTN | D | 611,228.75 | 106.275 | 666,748.47 | 400,000.00 | 612,403.54 | 54,344.93 | 578.93 | — | 12,693.64 | 3.875 | 3.951 | DEC | 13,393.14 | 22,989.80 | 4/13/2010 | 12/15/2015 | |||||||||||||||||
W91297AA4 | SVENSKA HANDELSBANKEN AB CORP BND | D | 692,053.01 | 110.985 | 696,299.64 | 400,000.00 | 684,513.23 | 11,786.41 | (7,329.19 | ) | — | (4,638.12 | ) | 5.5 | 3.16 | MAY | 3,413.96 | 20,454.84 | 11/17/2011 | 5/26/2016 | |||||||||||||||
Z918CTYG7 | BUMP_12-5 ABS_12-5 A2 | D | 2 | 1,281,160.00 | 100.15 | 1,256,642.14 | 800,000.00 | 1,281,160.00 | (24,517.86 | ) | — | — | (26,400.00 | ) | 2.031 | 2.04 | MON | 765.35 | 5,849.93 | 4/2/2012 | 10/20/2014 | ||||||||||||||
073928X73 | BEAR STEARNS CO INC CORP BND MTN | 1,022,290.00 | 1,006,250.00 | 1,000,000.00 | 1,000,795.18 | 5,454.82 | (3,509.47 | ) | — | — | 27,220.83 | 33,977.77 | |||||||||||||||||||||||
TOTAL | 4,772,899,213.79 | 4,636,036,127.49 | 4,715,764,395.17 | 57,134,818.62 | |||||||||||||||||||||||||||||||
Validus Holdings, Ltd June 30, 2012 GAAP short-term investments portfolio in Schedule D format | |||||||||||||||||||||||||||||||
1 | 2 | 3 | 4 | 5 | 6 | 7 | CHANGE IN BOOK/ADJUSTED CARRYING VALUE | 12 | 13 | INTEREST | |||||||||||||||||||||
8 | 9 | 10 | 11 | 14 | 15 | 16 | 17 | 18 | 19 | 20 | |||||||||||||||||||||
DATE | GAAP | CURRENT YEAR | TOTAL FX CHG | PAR | ACTUAL | ACCRUED | NON-ADMITTED ACCRUED | INTEREST | EFFECTIVE RATE | HOW | GROSS REC'D | PAID FOR | |||||||||||||||||||
DESCRIPTION | * | CUSIP | ACQUIRED | NAME OF VENDOR | MATURITY DATE | BOOK VALUE | UGL | AMORTIZATION | IMPAIRMENTS | IN B/A. C.V. | VALUE | COST | INTEREST | INTEREST | RATE | OF INTEREST | PAID | DURING YEAR | ACCRUED INT | ||||||||||||
DIAGEO CAPITAL PLC CORP BND | 25243YAL3 | 6/22/2012 | MIZUHO INTERNATIONAL PLC | 1/30/2013 | 3,596,300.62 | (1,870.62 | ) | (1,839.38 | ) | — | 3,500,000.00 | 3,598,140.00 | 76,338.89 | 5.2 | 0.449 | JJ | 2022.22 | 74,316.67 | |||||||||||||
FLORIDA POWER & LIGHT CO CORP BND | 341081EN3 | 4/20/2012 | KEY BANK | 2/1/2013 | 2,563,979.00 | (1,929.20 | ) | (19,921.00 | ) | — | 2,500,000.00 | 2,583,900.00 | 50,520.83 | 4.85 | 0.459 | FA | 22,229.16 | 28,291.67 | |||||||||||||
GLAXOSK CAP INC CORP BND | 377372AC1 | 6/22/2012 | KEY BANK | 5/15/2013 | 919,143.04 | (1,105.99 | ) | (425.06 | ) | — | 885,000.00 | 919,568.10 | 5,484.54 | 4.85 | 0.415 | MN | 476.91 | 5,007.63 | |||||||||||||
INTER-AMERICAN DEV BK CORP BND | 4581X0B$0 | 1/10/2012 | Various | 10/22/2012 | 4,820,170.39 | 511.03 | (31,208.54 | ) | — | 4,800,000.00 | 4,855,416.00 | 16,100.00 | 1.75 | 0.386 | AO | 40,250.00 | (30,187.50 | ) | |||||||||||||
WESTERN AST INS CSH RES | 52470G205 | Multi | 2,201,468.79 | — | — | — | 2,201,468.79 | 2,201,468.79 | — | 743.85 | |||||||||||||||||||||
MCDONALD'S CORPORATION CORP BND MTN | 58013MED2 | 6/22/2012 | MIZUHO INTERNATIONAL PLC | 3/1/2013 | 2,565,493.54 | (1,743.54 | ) | (1,056.46 | ) | — | 2,500,000.00 | 2,566,550.00 | 35,833.33 | 4.3 | 0.363 | MS | 1,194.44 | 34,638.89 | |||||||||||||
NOVARTIS CAPITAL CORP CORP BND | 66989HAB4 | 6/22/2012 | KEY BANK | 4/24/2013 | 2,835,836.00 | (1,087.61 | ) | (480.00 | ) | — | 2,800,000.00 | 2,836,316.00 | 9,901.11 | 1.9 | 0.324 | AO | 591.11 | 9,310.00 | |||||||||||||
RESIDENTIAL REINSURANCE 2010 L CORP BND | 76114WAB8 | 6/28/2012 | RBC DOMINION SECURITIES INC. | 6/6/2013 | 6,021,000.00 | 1,380.00 | — | — | 6,000,000.00 | 6,021,000.00 | 29,333.33 | 6.685 | 6.293 | MJSD | — | 29,333.33 | |||||||||||||||
RES REINSURANCE CORP BND 144A | 76114WAF9 | 6/26/2012 | RBC DOMINION SECURITIES INC. | 6/6/2013 | 1,000,000.00 | 2,100.00 | — | — | 1,000,000.00 | 1,000,000.00 | 4,399.31 | 6.335 | 6.335 | MJSD | 406.25 | 3,993.06 |
UNITED PARCEL SERVICE INC CORP BND | 911312AG1 | 1/31/2012 | SUSQUEHANNA PARTNERS | 1/15/2013 | 1,743,950.29 | (2,309.84 | ) | (29,710.06 | ) | — | 1,705,000.00 | 1,773,660.35 | 35,378.75 | 4.5 | 0.253 | JJ | 31,542.50 | 3,836.25 | |||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127955$1 | 10/12/2011 | MERRILL LYNCH PIERCE FNNR & SM | 9/20/2012 | 2,999,375.34 | — | 1,402.90 | — | 3,000,000.00 | 2,997,356.04 | — | 0.093 | 0.094 | MAT | — | — | |||||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127955$1 | 6/11/2012 | COWEN & CO | 9/20/2012 | 5,998,751.19 | — | 408.46 | — | 6,000,000.00 | 5,998,458.33 | — | 0.093 | 0.094 | MAT | — | — | |||||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127955$1 | 6/11/2012 | COWEN & CO | 9/20/2012 | 8,998,126.78 | — | 464.97 | — | 9,000,000.00 | 8,997,687.50 | — | 0.092 | 0.094 | MAT | — | — | |||||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127955Q0 | 12/29/2011 | J.P. MORGAN SECURITIES INC | 12/13/2012 | 11,394,642.90 | — | 6,298.12 | — | 11,400,000.00 | 11,388,672.04 | — | 0.102 | 0.104 | MAT | — | — | |||||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127956E6 | 3/29/2012 | MORGAN STANLEY & CO. INC | 3/7/2013 | 1,398,387.30 | — | 601.75 | — | — | 1,400,000.00 | 1,397,785.55 | — | 0.167 | 0.169 | MAT | — | — | ||||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127956E6 | 3/29/2012 | MORGAN STANLEY & CO. INC | 3/7/2013 | 5,793,318.82 | — | 2,492.97 | — | — | 5,800,000.00 | 5,790,825.85 | — | 0.167 | 0.169 | MAT | — | — | ||||||||||||||
UNITED STATES TREASURY TBILL CASH | 9127956X4 | 6/28/2012 | CITICORP SECURITIES MARKETS | 12/20/2012 | 2,997,957.48 | — | 23.73 | — | 3,000,000.00 | 2,997,933.75 | — | 0.143 | 0.145 | MAT | — | — | |||||||||||||||
UNITED STATES TREASURY GOVT BND | 912828JB7 | 6/22/2012 | DEUTSCHE BANK AG | 5/31/2013 | 10,298,595.18 | (2,895.18 | ) | (5,344.57 | ) | — | 10,000,000.00 | 10,303,939.75 | 29,644.81 | 3.5 | 0.232 | MN | 5,737.71 | 23,907.10 | |||||||||||||
UNITED STATES TREASURY GOVT BND | 912828QE3 | 6/27/2012 | DEUTSCHE BANK AG | 4/30/2013 | 10,033,301.00 | (1,300.01 | ) | (326.00 | ) | — | 10,000,000.00 | 10,033,627.00 | 10,529.89 | 0.625 | 0.224 | AO | 509.51 | 10,020.38 | |||||||||||||
UNITED STATES TREASURY GOVT BND | 912828QK9 | 3/20/2012 | DEUTSCHE BANK AG | 2/28/2013 | 16,242,140.75 | 3,381.25 | (17,397.90 | ) | — | 16,200,000.00 | 16,259,538.65 | 33,841.72 | 0.625 | 0.235 | FA | 28,063.87 | 5,777.85 | ||||||||||||||
DREYFUS UNIVERSAL LIQUIDITY PL | B0A01CHL6 | Multi | 279,170.62 | — | — | — | 279,170.62 | 279,170.62 | — | 14.13 | |||||||||||||||||||||
CITI-INSTITUTION LIQ FUND USD | B0A0ATCJ9 | Multi | 5,837,416.92 | — | — | — | 5,837,416.92 | 5,837,416.92 | — | 4,425.58 | |||||||||||||||||||||
BONY CASH RESERVE | BRSB6URS3 | Multi | 1.78 | — | — | — | 1.78 | 1.78 | — | — | |||||||||||||||||||||
DREYFUS UNIVERSAL USD LIQ FD | DRFUNI$20 | Multi | 50,257,080.39 | — | — | — | 50,257,080.39 | 50,257,080.39 | — | 3,148.51 | |||||||||||||||||||||
UNITED KINGDOM GILT GOVT BND | G92435NC9 | 5/23/2012 | J.P. MORGAN SECURITIES INC | 3/7/2013 | 2,587,347.68 | (5,553.51 | ) | (10,688.49 | ) | (5,103.74 | ) | 1,600,000.00 | 2,598,036.17 | 35,526.63 | 4.5 | 0.261 | MS | 11,306.30 | 24,290.69 | ||||||||||||
GOLDMAN SACHS | GLDSCS$03 | Multi | 13,344,010.94 | — | — | — | 13,344,010.94 | 13,344,010.94 | — | 2,809.04 | |||||||||||||||||||||
BONY CASH RESERVE | S875996$0 | Multi | 79,384,454.12 | — | — | — | 79,384,454.12 | 79,384,454.12 | — | 545.73 | |||||||||||||||||||||
BLACKROCK INTL $ RESERVE | S99993578 | Multi | 54,603,903.58 | — | — | — | 54,603,903.58 | 54,603,903.58 | — | 4,114.93 | |||||||||||||||||||||
Total | 310,715,324.44 | (12,423.22 | ) | (106,704.56 | ) | — | (5,103.74 | ) | 308,997,507.14 | 310,825,918.22 | 372,833.14 | ||||||||||||||||||||
Validus Holdings, Ltd June 30, 2012 GAAP other investments portfolio in Schedule D format | |||||||||||||||||||||||
1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 | 14 | ||||||||||
FOREIGN | DATE | ACTUAL | GAAP FAIR | GAAP | 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 | 4,395,391.20 | 4,662,140.43 | 4,395,391.20 | 266,749.23 | — | — | — | — | — | — | ||||||||||||
AIG SELECT HEDGE LTD SHARE | 9/4/2009 | 17.30 | 17.36 | 17.30 | 0.06 | — | — | — | — | — | — | ||||||||||||
PAULSON PARTNERS ENHANCED LP | 4/1/2012 | 125,000,000.00 | 116,941,563.14 | 125,000,000.00 | (8,058,436.86 | ) | |||||||||||||||||
PAULSON PARTNERS ADVANTAGE PLUS LP | 4/1/2012 | 125,000,000.00 | 107,074,747.26 | 125,000,000.00 | (17,925,252.74 | ) | |||||||||||||||||
PAULSON PARTNERS GOLD FUND LP | 4/1/2012 | 125,000,000.00 | 102,989,930.41 | 125,000,000.00 | (22,010,069.59 | ) | |||||||||||||||||
PAULSON PARTNERS CREDIT OPPORTUNITIES LP | 6/1/2012 | 125,000,000.00 | 123,125,000.00 | 125,000,000.00 | (1,875,000.00 | ) | |||||||||||||||||
GUARDIAN GROWTH EQUITY | 9/4/2009 | 6,486,947.12 | 8,200,546.24 | 6,486,947.12 | 1,713,599.12 | — | — | — | — | — | — | ||||||||||||
MFS MERIDIAN MID CAP GROWTH FUND | 9/4/2009 | 17,203.14 | 24,379.15 | 17,203.14 | 7,176.01 | — | — | — | — | — | — | ||||||||||||
Total | 510,899,558.76 | 463,018,323.99 | 510,899,558.76 | (47,881,234.77 | ) | ||||||||||||||||||