Validus 8-K Results of Operations and Financial Condition

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	)