Validus 8-K Results of Operations and Financial Condition

Validus Holdings, Ltd. September 30, 2012 GAAP fixed maturity portfolio in Schedule D format
1	2	Codes			6	7		9	10	CHANGE IN BOOK/ADJUSTED CARRYING VALUE						INTEREST						DATES
		3	4	5			8			11		12		13	14	15	16		17	18	19	20	21
			FOREIGN	BOND	NAIC		GAAP FAIR		GAAP			CURRENT YEAR			TOTAL FX CHG	INTEREST	EFFECTIVE		HOW	ACCRUED	GROSS REC'D
CUSIP	DESCRIPTION	*	CODE	CHAR	DESIG	ACTUAL COST	MARKET VALUE	PAR VALUE	BOOK VALUE	UGL		AMORTIZATION		IMPAIRMENTS	IN B/A. C.V.	RATE	RATE OF		PAID	INTEREST	DURING YEAR	ACQUIRED	MATURITY
88579EAD7	3M COMPANY CORP BND					3,587,548.5	3,379,781.5	3,350,000	3,364,857.58	14,923.92		(61,125.06	)	—	—	4.65	2.459		JD	45,867.08	95,211.98	7/20/2009	12/15/2012
88579YAD3	3M COMPANY CORP BND					5,032,167.00	5,195,450.71	5,075,000.00	5,040,517.35	154,933.36		10,711.05		—	—	1.375	1.551		MS	387.67	136,098.29	9/26/2011	9/29/2016
00037BAA0	ABB FINANCE USA INC SENIOR CORP BND					2,879,700.00	2,937,997.45	2,900,000.00	2,881,247.58	56,749.87		2,512.9		—	—	1.625	1.772		MN	18,719.1	11,663.89	5/3/2012	5/8/2017
002824AX8	ABBOTT LABORATORIES CORP BND					2,822,118.50	2,987,979.14	2,825,000.00	2,823,421.98	164,557.16		425.28		—	—	2.7	2.722		MN	26,272.5	38,137.50	5/24/2010	5/27/2015
00432CCM1	ACCESS GROUP INC ACCSS_05-2 ABS 05-2			2		2,434,375	2,482,425.00	2,500,000.00	2,434,474.4	47,950.6		99.4		—	—	0.614	1.049		FMAN	1,704.17	404.28	8/8/2012	11/22/2024
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND		F			1,337,331.00	1,402,384.61	1,338,000.00	1,337,707.47	64,677.14		100.09		—	—	3.2	3.211		MN	17,602.13	21,408	10/26/2009	11/3/2014
BRSBHT2D4	ACOSTA INC TERM LOAN			2		4,428,216.29	4,426,994.53	4,414,413.45	4,411,044.74	15,949.79		(15,339.93	)	—	—	—	(0.427	)	FMAN	—	175,677.59	2/29/2012	3/1/2018
BRSF3YZG6	ACOSTA INC TERM NOTES					1,405,028.62	1,428,208.03	1,426,425.00	1,405,724.86	22,483.17		749.86		—	—	—	0.266		MJSD	—	28,756.02	6/22/2012	3/1/2018
BRSFTQM53	ADS WASTE ESCROW SENIOR SECURED TERM					9,900,000	10,043,800.00	10,000,000.00	9,900,000	143,800		—		—	—	—	0.146		MJSD	—	—	9/25/2012	9/11/2019
00101JAA4	ADT CORP SENIOR CORP BND 144A					2,397,504.00	2,445,924.50	2,400,000.00	2,397,615.77	48,308.73		(596.4	)	—	—	2.25	2.272		JJ	12,900	9,543.75	6/27/2012	7/15/2017
BRSAQNGR3	ADVANCE PIERRE FOODS TERM LOAN			2		1,960,087.50	1,969,421.25	1,965,000.00	1,961,596.30	7,824.95		668.98		—	—	—	0.043		MJSD	—	106,340.34	12/14/2010	9/30/2016
BRSB9FG89	ADVANTAGE SALES & MARKETING IN TERM LOAN					3,665,593.26	3,738,245.42	3,728,923.11	3,673,972.61	64,272.81		6,265.69		—	—	—	0.279		MJSD	—	81,920.5	6/15/2012	12/18/2017
BRSC10473	AEROFLEX INCORPORATED TERM LOAN			2		4,516,586.73	4,519,600.37	4,531,745.45	4,517,122.8	2,477.57		3,430.05		—	—	—	0.057		FMAN	—	151,891.25	7/20/2012	5/9/2018
00828EAJ8	AFRICAN DEVELOPMENT BANK CORP BND		F			5,979,360.00	6,025,182.78	6,000,000.00	5,997,464.1	27,718.68		5,218.74		—	—	1.625	1.743		FA	13,541.67	97,560.00	2/2/2010	2/11/2013
00432CAZ4	AGSL_03-1 ABS 03-1-2003-1			2		360,500	339,634.8	400,000	366,834.06	(27,199.26	)	2,678.31		—	—	1.703	2.581		MON	390.85	2,947.8	3/29/2010	3/25/2024
00432CAY7	AGSL_03-1 ABS_03-1 A2			2		1,704,910.31	1,710,883.40	1,718,876.17	1,711,629.34	(745.94	)	8,964.43		—	—	0.629	1.143		MJSD	180.27	13,284.66	3/31/2011	12/26/2013
00432CBB6	AGSL_03-1 ABS_03-1-2003-1					311,937.50	297,139.15	350,000.00	312,503.34	(15,364.19	)	133.1		—	—	1.717	12.962		APR	431.63	3,038.41	3/29/2010	12/26/2035
00432CBP5	AGSL_03-1 ABS_04-1-2004-1			2		435,625.00	424,786.50	500,000.00	445,367.9	(20,581.4	)	(2,227.34	)	—	—	1.035	2.056		MON	258.75	4,393.4	3/29/2010	3/25/2026
009158AS5	AIR PRODUCTS AND CHEMICALS INC SENIOR					1,997,920.00	2,004,824.38	2,000,000.00	1,997,936.75	6,887.63		16.75		—	—	1.2	1.221		AO	1,200	—	9/6/2012	10/15/2017
010392EY0	ALABAMA POWER COMPANY SENIOR CORP BND					7,047,877.50	6,810,615	6,750,000.00	6,772,198.32	38,416.68		(149,417.12	)	—	—	4.85	3.226		JD	96,393.76	303,044.17	2/10/2010	12/15/2012
BRSCE52V7	ALERE INC					4,492,023.82	4,532,978.36	4,520,862.44	4,496,021.36	36,957		2,841.82		—	—	—	0.116		JD	—	164,324.41	6/26/2012	6/30/2017
BRSEF3569	ALERE INC SENIOR SEC TERM NOTES					842,217.75	853,004.94	850,725.00	842,962.09	10,042.85		787.09		—	—	—	0.19		MJSD	—	13,858.17	3/27/2012	6/30/2017
BRSDPAC33	ALERE INC SENIOR SEC TERM NOTES					983,793.86	997,654.03	994,987.46	984,326.08	13,327.95		560.42		—	—	—	0.224		MJSD	—	2,661.68	6/26/2012	6/30/2017
BRS5BXCY7	ALLISON TRANSMIS LN1 TERM LOAN			2		606,371.91	618,827.28	618,746.84	611,311.62	7,515.66		16,507.15		—	—	—	0.645		MON	—	41,052.64	6/20/2011	8/7/2014
BRSFH6DM3	ALLISON TRANSMIS TERM LOAN					5,806,279.17	5,860,107.56	5,850,337.50	5,806,675.13	53,432.43		501.21		—	—	—	0.108		FMAN	—	8,454.21	9/25/2012	8/15/2019
02005HAB9	ALLY AUTO RECEIVABLES TRUST AA ABS_10-1			2		211,574.45	210,579.27	210,064.61	210,385.63	193.64		(3,067.49	)	—	—	1.45	0.704		MON	135.37	5,577.54	5/10/2011	2/15/2013
02006AAD9	ALLY AUTO RECEIVABLES TRUST AL ABS 12-2			2		5,148,818.08	5,211,924.01	5,150,000.00	5,149,001.31	62,922.7		183.23		—	—	1	1.009		MON	2,288.89	25,893.07	3/7/2012	9/15/2015
02005MAE2	ALLYA _10-3 ABS _10-3 A4			2		799,714.32	810,995.97	800,000	799,890.03	11,105.94		62.93		—	—	1.55	1.566		MON	551.11	9,299.97	8/12/2010	7/15/2014

02005TAD9	ALLYA _11-1 ABS_11-1 A4		2	5,999,457.60	6,169,513.98	6,000,000.00	5,999,626.87	169,887.11		81.51		—	—	2.23	2.242	MON	5,946.67	100,350.00		2/4/2011	1/15/2015
02005RAB7	ALLYA_10-5 ABS 10-5 A3		2	2,407,387.11	2,419,166.52	2,409,960.47	2,409,295.9	9,870.62		1,469.87		—	—	1.11	1.166	MON	1,188.91	29,969.48		12/6/2010	9/15/2013
02005XAC2	ALLYA_11-4 ABS_11-4 A3		2	5,429,662.25	5,454,867.77	5,430,000.00	5,429,795.73	25,072.04		120.06		—	—	0.79	0.794	MON	1,906.53	40,006.06		9/8/2011	6/15/2014
02005EAC4	ALLYA_12-3 ABS 12-3		2	2,999,894.7	3,023,157.57	3,000,000.00	2,999,903.19	23,254.38		8.49		—	—	0.85	0.852	MON	1,133.33	7,437.5		5/22/2012	6/15/2015
021441AD2	ALTERA CORPORATION SENIOR CORP BND			4,018,841.75	4,073,265.19	4,025,000.00	4,019,312.61	53,952.58		470.86		—	—	1.75	1.782	MN	27,979.34	—		5/1/2012	5/15/2017
02209SAC7	ALTRIA GROUP INC. CORP BND			8,735,072.00	8,032,584.49	7,400,000.00	7,943,819.49	88,765		(429,460.92	)	—	—	8.5	1.774	MN	246,358.33	434,172.92		3/22/2011	11/10/2013
BRSB9YU33	AMC ENTERTAINMENT INC. TERM LOAN			567,987.69	608,882.79	605,853.52	574,491.6	34,391.19		5,717.41		—	—	—	1.25	JAJO	—	40,673.97		9/6/2011	12/15/2016
BRSE0V753	AMC ENTERTAINMENT INC. TERM LOAN		2	7,122,850.61	7,225,123.23	7,168,349.9	7,127,086.9	98,036.33		4,627.6		—	—	—	0.105	MJSD	—	125,180.39		6/12/2012	2/22/2018
BRSCB4WP3	AMC NETWORKS INC TERM LOAN		2	4,519,649.93	4,552,424.61	4,552,424.61	4,524,216.3	28,208.31		3,303.68		—	—	—	0.098	MJSD	—	129,176.79		3/16/2012	12/31/2018
03064RAB3	AMCAR_11-4 ABS_11-4 A2		2	2,023,595.04	2,027,907.98	2,023,718.88	2,023,660.42	4,247.56		120.18		—	—	0.92	0.926	MON	1,189.5	20,544.69		9/8/2011	8/8/2013
03064TAB9	AMCAR_11-5 ABS_11-5-A2		2	1,847,771.94	1,855,669.67	1,847,853.25	1,847,803.72	7,865.95		61.28		—	—	1.19	1.195	MON	1,404.88	21,817.14		10/26/2011	12/8/2013
02582JCU2	AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2		2	5,007,812.50	5,008,400.00	5,000,000.00	5,004,436.18	3,963.82		(2,049.31	)	—	—	0.391	0.337	MON	759.79	16,210.92		7/1/2011	5/15/2014
02666QL43	AMERICAN HONDA FINANCE CORPORA UNSECURED			7,459,377.25	7,496,099.83	7,475,000.00	7,459,663.55	36,436.28		286.3		—	—	1	1.073	FA	4,152.78	—		9/4/2012	8/11/2015
BRSBW6C87	AMERISTAR CASINOS INC. TERM LOAN		2	1,837,020.15	1,894,439.91	1,885,483.86	1,844,785.94	49,653.97		5,467.81		—	—	—	0.387	JAJO	—	60,775.73		8/15/2011	4/16/2018
BRSEGDRJ4	AMN HEALTHCARE SENIOR SECURED TERM NOTE			2,344,672.44	2,395,000.01	2,368,356.00	2,346,388.85	48,611.16		5,632.85		—	—	—	0.167	MJSD	—	67,160.97		4/3/2012	4/5/2018
02005ACC0	AMOT_10-3 ABS 12-1		2	2,499,806.75	2,535,650	2,500,000.00	2,499,824.79	35,825.21		18.04		—	—	1.44	1.446	MON	1,600.00	20,300.00		2/15/2012	2/15/2015
02005AAA6	AMOT_10-3 ABS_10-1 A		2	15,919,609.38	15,672,228	15,600,000.00	15,653,456.61	18,771.39		(115,814.05	)	—	—	1.971	0.807	MON	11,955.89	240,227.68		5/11/2011	1/15/2013
02582JFV7	AMXCA ABS_09-2 A		2	13,104,761.72	12,972,102	12,675,000.00	12,937,441.51	34,660.49		(104,806.95	)	—	—	1.471	0.376	MON	7,249.57	146,421.45		7/18/2011	8/15/2014
034863AA8	ANGLO AMERICAN CAPITAL PLC CORP BND 144A	F		5,570,775	5,005,744.65	4,500,000.00	4,979,968.48	25,776.17		(230,573.09	)	—	—	9.375	2.197	AO	202,734.37	210,937.51		10/19/2010	4/8/2014
034863AE0	ANGLO AMERICAN CAPITAL PLC SENIOR CORP	F		4,989,050	5,009,405.5	5,000,000.00	4,990,076.79	19,328.71		1,032.38		—	—	2.625	2.672	AO	65,260.42	341.69		3/26/2012	4/3/2017
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			519,436.80	517,718.59	480,000.00	514,863.27	2,855.32		(4,573.53	)	—	—	4.125	0.91	JJ	4,180	1,815.00		6/7/2012	1/15/2015
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			12,300,000.00	12,387,207	12,300,000.00	12,300,000.00	87,207		(159.68	)	—	—	0.998	0.854	JAJO	22,507.17	153,634.02		1/24/2011	1/27/2014
03523TBM9	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR			3,493,595	3,508,690.47	3,500,000.00	3,494,037.23	14,653.24		603.04		—	—	0.8	0.862	JJ	5,833.33	2,100.00		7/11/2012	7/15/2015
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR			12,189,792.00	12,335,343.22	12,225,000.00	12,191,218.43	144,124.79		1,555.99		—	—	1.375	1.435	JJ	35,019.53	3,084.20		7/11/2012	7/15/2017
035229CY7	ANHEUSER-BUSCH SENIOR CORP BND			5,556,350.00	5,480,103.3	5,000,000.00	5,302,930.55	177,172.75		(96,037.69	)	—	—	5	2.267	JJ	52,777.78	250,000		9/23/2010	1/15/2015
BRSEXWQA3	APPLIED SYSTEMS INC SENIOR SECURED TERM			492,525.00	497,500	497,500.00	492,837.51	4,662.49		337.51		—	—	—	0.222	MJSD	—	7,621.52		5/30/2012	12/8/2016
BRS9PGQM2	ARAMARK CORP LOAN TERM		2	216,407.28	215,343.24	215,973.89	216,322	(978.76	)	(68.49	)	—	—	—	0.585	JAJO	—	1,429.93		11/1/2011	7/26/2016
BRS9PGR33	ARAMARK CORP LOAN TERM		2	3,184,500.77	3,274,436.76	3,284,026.11	3,201,232.99	73,203.77		15,702.52		—	—	—	0.66	JJ	—	93,508.57		8/19/2011	7/26/2016
039483AY8	ARCHER DANIELS MIDLAND CO CORP BND			2,747,631.25	2,733,385.97	2,275,000.00	2,746,941.04	(13,555.07	)	(690.21	)	—	—	5.45	1.478	MS	5,510.56	(4,477.33	)	9/25/2012	3/15/2018
03979GAL9	ARDEN REALTY LP SENIOR CORP BND		1	3,226,650.00	3,241,666.26	3,000,000.00	3,140,270.22	101,396.04		(46,273.52	)	—	—	5.25	3.007	MS	13,125.01	157,500.00		4/28/2011	12/1/2014
04044TAL0	ARISTOTLE HOLDING INC CORP BND 144A			4,060,025.00	4,266,847.46	4,100,000.00	4,064,863.31	201,984.15		4,838.31		—	—	2.65	2.86	FA	13,883.06	56,135.83		2/6/2012	2/15/2017
BRS9WB7G9	ARKEL_10-1 ABS_10-1 5A	D	1	918,390.00	1,075,912.17	600,000.00	918,390	157,522.17		—		—	50,490	4.681	4.677	FA	5,707.86	45,470.53		4/30/2010	2/17/2017
BRSCDQTK7	ASHLAND INC. TERM LOAN		2	1,486,111.32	1,496,928.88	1,487,971.29	1,486,173.92	10,754.96		696.8		—	—	—	0.02	MJSD	—	17,661.42		6/11/2012	8/23/2018
00206RAV4	AT&T CO CORP BND			5,989,142.50	6,042,115.47	5,750,000.00	5,943,888.56	98,226.91		(44,842.98	)	—	—	2.5	1.3	FA	18,368.06	126,302.09		1/19/2012	8/15/2015

00206RAW2	AT&T INC CORP BND			6,694,297.50	7,088,176.33	6,625,000.00	6,676,551.96	411,624.37	(10,040.13	)	—	—	2.95	2.723	MN	73,831.95	97,718.75		2/22/2012	5/15/2016
78387GAP8	AT&T INC CORP BND			1,061,005.47	1,087,557.68	1,000,000.00	1,032,061.17	55,496.51	(13,056.67	)	—	—	5.1	3.392	MS	2,266.67	85,566.67		11/12/2010	9/15/2014
00206RAT9	AT&T INC CORP BND	O		1,230,939.99	1,327,979.49	700,000.00	1,205,843.53	122,135.96	(18,757.12	)	—	38,722.36	5.875	3.404	APR	28,225.58	117,028.42		11/9/2011	4/28/2017
00206RBB7	AT&T INC SENIOR CORP BND			14,564,092.75	14,682,820.17	14,575,000	14,566,360.28	116,459.89	2,537.55		—	—	0.875	0.9	FA	17,004.16	73,736.98		2/23/2012	2/13/2015
05252EAB9	AUSTRALIA & NEW ZEALAND BANKIN LOCAL	E		9,480,810.00	9,526,125.19	9,500,000.00	9,481,139.61	44,985.58	329.61		—	—	1	1.067	AO	5,277.77	—		9/4/2012	10/6/2015
BRSEARBD9	AVIS BUDGET CAR RENTAL LLC TERM NOTES			2,388,746.25	2,430,971.56	2,412,875.00	2,390,478.02	40,493.54	1,853.02		—	—	—	0.143	MJSD	—	51,179.83		3/13/2012	3/1/2019
BRSCWX1K1	AVIS BUDGET TERM LOAN		2	331,590.00	339,879.76	338,357.15	332,493.64	7,386.12	5,825.78		—	—	—	0.288	MJSD	—	25,461.38		9/21/2011	9/22/2018
BRSEJG0V6	AXCAN INTER HLDG SENIOR SEC TERM LOAN			1,560,160	1,587,032.96	1,592,000	1,562,825.15	24,207.81	2,825.15		—	—	—	0.418	MJSD	—	35,144.39		4/11/2012	2/10/2017
BRSBHFX32	AXCAN INTER HLDG TERM LOAN		2	4,410,243.28	4,466,731.64	4,470,934.32	4,415,028.49	51,703.15	5,325.56		—	—	—	0.284	FMAN	—	131,774.79		5/18/2012	2/10/2017
BRSDP3SG3	AZ CHEM US TERM LOAN			964,495.70	1,011,726.16	994,325.46	968,049.25	43,676.91	11,613.79		—	—	—	0.506	MJSD	—	49,844.17		12/19/2011	12/22/2017
BRSDCHKT6	B&G FOODS INC TERM LOAN		1	663,238.12	675,243.41	669,937.50	664,020.17	11,223.24	766.54		—	—	—	0.142	MJSD	—	22,572.64		11/18/2011	11/30/2018
G0R53VAJ0	BAA FUNDING LTD SECURED CORP BND EMTN	D		781,905.31	833,607.4	500,000.00	782,113.84	51,493.56	208.53		—	23,369.39	3	3.093	JD	7,831.54	—		5/29/2012	6/8/2015
06052MAC9	BAAT ABS_10-2 A3		2	216,175.14	216,613.46	216,181.10	216,180.31	433.15	5.86		—	—	1.31	1.315	MON	125.87	4,855.10		6/16/2010	3/15/2013
06052YAC3	BAAT_12-1 ABS 12-1		2	6,999,750.10	7,040,320	7,000,000.00	6,999,780.06	40,539.94	29.96		—	—	0.78	0.782	MON	2,426.67	22,295		4/11/2012	3/15/2015
05522RAB4	BACCT ABS_06 A7 A7		2	4,980,664.06	4,998,199.10	5,000,000.00	4,988,705.47	9,493.63	6,121.53		—	—	0.261	0.386	MON	507.01	15,450.00		6/17/2011	7/15/2014
05523RAA5	BAE SYSTEMS PLC CORP BND 144A	F		2,182,108.50	2,274,850.47	2,145,000.00	2,175,703.57	99,146.9	(4,277.12	)	—	—	3.5	3.119	AO	35,452.08	187,629.17		10/31/2011	10/11/2016
BRSC4T6W0	BAKERCORP TERM LOAN		2	1,182,060.00	1,188,427.68	1,188,000.00	1,183,187.34	5,240.34	676.85		—	—	—	0.072	FMAN	—	44,536.46		5/19/2011	6/1/2018
BRS96AL33	BANK NEDERLANDSE GEMEENTEN CORP BND EMTN	D		2,949,500.73	3,212,228.29	1,950,000.00	2,938,908.89	273,319.40	(3,401.15	)	—	215,880.77	2.625	2.447	DEC	69,030.4	—		4/27/2010	12/10/2013
62944BAH7	BANK NEDERLANDSE GEMEENTEN UNSEC CORP	F		15,055,200.00	15,242,698.35	15,000,000.00	15,045,999.15	196,699.2	(9,200.85	)	—	—	1.375	1.249	MS	4,583.33	99,687.50		3/26/2012	3/23/2015
06052YAD1	BANK OF AMERICA AUTO TRUST BAA ABS 12-1		2	4,998,468.00	5,068,900	5,000,000.00	4,998,667.74	70,232.26	199.74		—	—	1.03	1.041	MON	2,288.89	21,029.14		4/11/2012	12/15/2015
06051GDX4	BANK OF AMERICA CORP BND			2,290,332.00	2,512,113.59	2,200,000.00	2,282,329.76	229,783.83	(11,860.79	)	—	—	5.65	4.876	MN	51,791.67	68,208.05		2/3/2012	5/1/2018
06051GEQ8	BANK OF AMERICA CORP BND			7,577,808.00	8,163,014.16	7,600,000.00	7,579,940.41	583,073.75	353.54		—	—	3.875	3.94	MS	7,362.51	171,468.75		3/19/2012	3/22/2017
060505DP6	BANK OF AMERICA SENIOR CORP BND			3,354,180.00	3,433,629.9	3,000,000.00	3,350,793.67	82,836.23	(6,613.52	)	—	—	5.75	3.271	JD	57,500	(21,243.07	)	9/6/2012	12/1/2017
06366QGN1	BANK OF MONTREAL CORP BND	A		9,350,000.00	9,407,970.94	9,350,000.00	9,350,000	57,970.94	—		—	—	0.917	0.743	JAJO	15,006.05	67,524.63		4/26/2011	4/29/2014
063679ZT4	BANK OF MONTREAL CORP BND 144A	A		2,196,150.00	2,306,479.91	2,200,000.00	2,196,645.39	109,834.52	1,064.14		—	—	1.95	1.987	JJ	7,269.17	54,405		1/23/2012	1/30/2017
06366QW86	BANK OF MONTREAL CORP BND MTN	A		2,993,850.00	3,151,793.28	3,000,000.00	2,994,692.65	157,100.63	(5,668.08	)	—	—	2.5	2.544	JJ	16,666.67	100,201.39		1/6/2012	1/11/2017
06366RHA6	BANK OF MONTREAL SENIOR CORP BND MTN	A		2,995,380.00	3,005,643.09	3,000,000.00	2,995,429.43	10,213.66	49.43		—	—	1.4	1.432	MS	2,333.33	—		9/4/2012	9/11/2017
06406HBN8	BANK OF NEW YORK CO CORP BND			2,107,880	2,115,369.12	2,000,000.00	2,086,644.95	28,724.17	(31,904.09	)	—	—	3.1	1.175	JJ	13,088.89	39,955.55		3/1/2012	1/15/2015
06406HBQ1	BANK OF NEW YORK CO CORP BND MTN			2,996,130.00	3,188,656.54	3,000,000.00	2,997,829.94	190,826.6	569.44		—	—	2.95	2.978	JD	25,320.84	44,250.00		6/11/2010	6/18/2015
06406HBE8	BANK OF NEW YORK CO CORP BND MTN			6,894,348	6,824,548	6,800,000.00	6,802,445.42	22,102.58	(34,229.41	)	—	—	4.95	4.552	MN	140,250.02	202,675.00		3/23/2009	11/1/2012
06406HCC1	BANK OF NEW YORK CO CORP BND MTN		1	9,291,537.00	9,446,745.72	9,300,000.00	9,293,238.05	153,507.67	1,701.05		—	—	1.2	1.231	FA	12,710	55,490.00		2/13/2012	2/20/2015
064058AA8	BANK OF NEW YORK CO SENIOR CORP BND			5,023,120.00	5,168,764.5	5,000,000.00	5,021,689.17	147,075.33	(1,430.83	)	—	—	1.969	1.872	JD	27,620.69	7,930.70		5/10/2012	6/20/2017
06406HCA5	BANK OF NEW YORK MELLON CORP BND MTN		1	2,994,570	3,156,282.58	3,000,000	2,995,389.12	160,893.46	745.08		—	—	2.4	2.438	JJ	14,800	46,800		11/17/2011	1/17/2017
06406HBW8	BANK OF NEW YORK MELLON/THE CORP BND			3,350,000.00	3,357,001.5	3,350,000.00	3,350,000	7,001.5	—		—	—	0.717	0.523	JAJO	4,204.00	19,278.15		7/21/2011	7/28/2014

06417FBG4	BANK OF NOVA SCOTIA (HOUSTON B SENIOR			5,000,000	4,991,450	5,000,000	5,000,000	(8,550	)	—		—	—	0.848	0.848		MJSD	2,354.86	(941.94	)	9/14/2012	9/11/2015
064159AL0	BANK OF NOVA SCOTIA CORP BND	A		1,696,035.00	1,690,584.19	1,650,000.00	1,694,653.73	(4,069.54	)	(1,381.27	)	—	—	1.85	0.653		JJ	6,698.54	(4,493.96	)	8/30/2012	1/12/2015
064149B97	BANK OF NOVA SCOTIA CORP BND	A		2,989,500	3,068,192.62	3,000,000.00	2,996,268.24	71,924.38		2,256.00		—	—	2.375	2.48		JD	20,583.34	35,625.00		6/10/2010	12/17/2013
064149D87	BANK OF NOVA SCOTIA CORP BND	A		4,121,760.00	4,241,845.72	4,000,000.00	4,100,601.43	141,244.29		(20,489	)	—	—	2.9	2.149		MS	644.44	116,000		12/20/2011	3/29/2016
064159AM8	BANK OF NOVA SCOTIA CORP BND	A		4,491,000	4,737,176.64	4,500,000	4,492,229.1	244,947.54		1,322.36		—	—	2.55	2.593		JJ	25,181.25	63,750.00		1/5/2012	1/12/2017
06415CAA7	BANK OF NOVA SCOTIA CORP BND 144A	A		1,140,524.00	1,160,346	1,100,000.00	1,137,350.46	22,995.54		(3,173.54	)	—	—	2.15	1.242		FA	3,810.28	4,138.75		5/24/2012	8/3/2016
06415CAD1	BANK OF NOVA SCOTIA SECURED CORP BND	A		4,200,824.8	4,261,026.14	4,200,000.00	4,200,731.95	60,294.19		(38.78	)	—	—	1.05	1.043		MS	1,347.51	29,262.9		4/12/2012	3/20/2015
06415CAE9	BANK OF NOVA SCOTIA SECURED LOCAL BND	A		2,197,580.00	2,288,528.05	2,200,000.00	2,197,824.16	90,703.89		244.16		—	—	1.75	1.773		MS	962.5	19,250		3/15/2012	3/22/2017
G089B6CD0	BARCLAYS BANK PLC - GTD SENIOR CORP BND	D		2,994,579.49	3,150,998.51	1,900,000.00	2,996,204.28	154,794.23		1,624.79		—	56,236.13	1.5	1.612		APR	23,113.80	—		3/28/2012	4/4/2017
06739FGP0	BARCLAYS BANK PLC CORP BND	F		3,006,193.35	3,018,270	3,000,000.00	3,000,691.63	17,578.37		(1,657.91	)	—	—	2.5	2.425		JJ	14,166.67	75,000		2/19/2010	1/23/2013
06739FFZ9	BARCLAYS BANK PLC LOCAL BND	F		528,417.00	533,731.16	500,000.00	511,302.35	22,428.81		(4,559.76	)	—	—	5.2	3.869		JJ	5,850	26,000		10/21/2009	7/10/2014
G089A2LK4	BARCLAYS BANK PLC LOCAL BND EMTN	D		1,188,441.14	1,236,710.32	750,000	1,186,975.03	49,735.29		(1,466.11	)	—	29,840.15	2.283	2.378		JAJO	5,707.36	13,021.56		2/10/2012	1/20/2015
06741CAB0	BARCLAYS PLC SENIOR LOCAL BND 144A	F		1,393,294	1,450,385.99	1,400,000.00	1,393,791.64	56,594.35		497.64		—	—	2.25	2.352		MN	12,337.5	—		5/2/2012	5/10/2017
067901AF5	BARRICK GOLD CORP CORP BND	A		2,747,701.82	2,875,642.69	2,750,000.00	2,748,247.85	127,394.84		336.15		—	—	2.9	2.137		MN	26,804.86	39,875.00		9/8/2011	5/30/2016
BRSEL02X2	BAUSCH & LOMB INCORPORATED SENIOR		1	6,320,160.00	6,449,180.64	6,384,000.00	6,322,706.44	126,474.2		2,706.44		—	—	—	0.144		FMAN	—	91,466.67		5/10/2012	5/17/2019
071813BD0	BAXTER INTERNATIONAL INC CORP BND			2,668,424.70	2,738,878.71	2,670,000.00	2,668,674.8	70,203.91		246.73		—	—	1.85	1.862		JJ	10,427.83	28,264.92		12/14/2011	1/15/2017
071813AZ2	BAXTER INTERNATIONAL INC CORP BND			4,010,640.00	4,189,221.49	4,000,000.00	4,003,226.33	185,995.16		(1,631.69	)	—	—	4	3.941		MS	13,333.34	160,000.00		2/23/2009	3/1/2014
07385TAJ5	BEAR STEARNS CO INC CORP BND			325,959.90	328,931.42	300,000.00	311,528.62	17,402.8		(16,799.19	)	—	—	5.7	3.797		MN	6,460.00	65,550.00		10/29/2009	11/15/2014
075887BB4	BECTON DICKINSON AND COMPANY CORP BND			1,249,587.50	1,279,436.21	1,250,000.00	1,249,658.88	29,777.33		94.9		—	—	1.75	1.757		MN	8,689.24	27,222.22		11/3/2011	11/8/2016
079860AG7	BELLSOUTH CORPORATION CORP BND			1,257,904.09	1,245,959.67	1,149,000.00	1,208,898.38	37,061.29		(22,219	)	—	—	5.2	2.449		MS	2,655.47	59,748		7/6/2011	9/15/2014
05541VAD8	BG ENERGY CAPITAL CORP BND 144A	F		4,292,819	4,560,302.99	4,300,000	4,294,136.43	266,166.56		1,021.52		—	—	2.875	2.911		AO	57,004.86	62,842.71		10/6/2011	10/15/2016
055451AA6	BHP BILLITON FINANCE (USA) LTD CORP BND	F		1,040,771.32	1,023,310	1,000,000.00	1,009,309.77	14,000.23		(12,694.89	)	—	—	4.8	3.042		AO	22,133.33	24,000		11/12/2010	4/15/2013
055451AK4	BHP BILLITON FINANCE (USA) LTD CORP BND	F		2,586,194.00	2,683,381.82	2,600,000.00	2,588,477.6	94,904.22		2,438.14		—	—	1.875	1.987		MN	17,604.17	36,979.17		11/16/2011	11/21/2016
055451AG3	BHP BILLITON FINANCE (USA) LTD CORP BND	F		4,503,517.00	4,361,636.95	4,070,000.00	4,236,405.6	125,231.35		(117,100.88	)	—	—	5.5	2.7		AO	111,925.00	220,825.00		4/16/2010	4/1/2014
055451AM0	BHP BILLITON FINANCE (USA) LTD SENIOR	F		3,650,000.00	3,664,235.25	3,650,000.00	3,650,000	14,235.25		—		—	—	0.704	0.735		FMAN	2,995.73	13,283.87		2/21/2012	2/18/2014
055451AN8	BHP BILLITON FINANCE (USA) LTD SENIOR	F		4,989,550	5,028,461.05	5,000,000.00	4,991,625.31	36,835.74		2,270.26		—	—	1	1.071		FA	5,138.89	27,960.00		2/21/2012	2/24/2015
055451AP3	BHP BILLITON FINANCE (USA) LTD SENIOR	F		6,706,708.00	6,852,702.24	6,725,000.00	6,708,835.79	143,866.45		2,588.35		—	—	1.625	1.682		FA	11,231.69	69,089.59		2/21/2012	2/24/2017
BRSFBH0G2	BIOMET INC SENIOR SECURED TERM LOAN		1	6,160,725.21	6,196,957.89	6,178,607.42	6,160,502.59	36,455.30		(198.59	)	—	—	—	(0.028	)	MJSD	—	43,984.92		8/16/2012	7/25/2017
09247XAK7	BLACKROCK CREDIT (OFFSHORE) CORP BND			2,746,837.5	2,812,928.66	2,750,000.00	2,747,198.51	65,730.15		361.01		—	—	1.375	1.414		JD	13,234.38	—		5/22/2012	6/1/2015
09657MAC2	BMWLT_10-1 ABS 10-1 A3		2	240,457.99	241,157.86	240,462.92	240,462.28	695.58		4.38		—	—	1.39	1.395		MON	55.71	5,497.86		4/15/2010	3/25/2013
05948XYC9	BOAMS WHOLE CMO 03-J-2A1		2	48,142.27	49,477.4	48,840.52	48,190.13	1,287.27		85.59		—	—	2.849	3.161		MON	115.96	1,124.71		11/30/2007	11/25/2033
097014AN4	BOEING CAPITAL CORPORATION CORP BND		1	5,034,707.25	5,205,213.30	4,975,000.00	5,025,515.16	179,698.14		(9,311.77	)	—	—	2.125	1.845		FA	13,508.50	86,601.13		1/5/2012	7/15/2016
097023BB0	BOEING CO CORP BND			526,825.3	531,123.65	530,000.00	529,852.47	1,271.18		847.03		—	—	1.875	2.082		MN	3,616.15	5,660.42		11/17/2009	11/20/2012
BRS9GBGH5	BORDENINC. TERM LOAN			1,163,178.96	1,145,538.44	1,165,349.38	1,163,985.12	(18,446.68	)	413.3		—	—	—	0.045		FMAN	—	38,129.71		5/13/2011	5/5/2015

10138MAD7	BOTTLING GROUP LLC CORP BND			1,530,340.01	1,636,395.00	1,500,000.00	1,516,187.21	120,207.79		(4,209.34	)	—	—		4.125	3.702	JD	18,218.75	30,937.50	2/19/2010	6/15/2015
10138MAH8	BOTTLING GROUP LLC CORP BND			9,826,255.00	9,275,791.68	8,500,000.00	8,903,480.52	372,311.16		(199,089.68	)	—	—		6.95	3.574	MS	26,255.56	590,750	2/5/2009	3/15/2014
G1279MKC9	BP CAPITAL MARKET PLC CORP BND MTN	D		688,967.43	773,665.63	425,000.00	688,933.17	84,732.46		(38.11	)	—	(3,459.63	)	4.325	4.339	DEC	24,793.62	—	3/7/2011	12/10/2018
05565QBN7	BP CAPITAL MARKETS PLC CORP BND	F		2,991,480.00	3,198,066.57	3,000,000.00	2,994,727.3	203,339.27		1,238		—	—		3.125	3.187	AO	46,875	46,875	9/28/2010	10/1/2015
05565QBF4	BP CAPITAL MARKETS PLC CORP BND	F		6,015,009.00	5,744,741.74	5,460,000.00	5,623,251.08	121,490.66		(119,303.92	)	—	—		5.25	2.478	MN	114,660.00	169,279.69	12/21/2009	11/7/2013
05565QBS6	BP CAPITAL MARKETS PLC CORP BND	F		1,490,000.00	1,500,981.3	1,490,000.00	1,490,000	10,981.3		—		—	—		1.008	0.91	MJSD	834.19	12,403.24	3/8/2011	3/11/2014
05565QBL1	BP CAPITAL MARKETS PLC CORP BND	F		1,555,770.00	1,572,510.11	1,500,000.00	1,521,148.16	51,361.95		(29,817.08	)	—	—		3.625	2.72	MN	21,598.96	103,503.82	12/15/2009	5/8/2014
05565QBQ0	BP CAPITAL MARKETS PLC CORP BND	F		2,997,240.00	3,205,994.34	3,000,000.00	2,998,051.97	207,942.37		530.56		—	—		3.2	3.22	MS	5,333.33	160,355.56	3/8/2011	3/11/2016
05565QBH0	BP CAPITAL MARKETS PLC CORP BND	F		3,182,550.00	3,219,591.3	3,000,000	3,138,150.98	81,440.32		(40,970.18	)	—	—		3.875	1.935	MS	6,781.25	116,250	12/6/2011	3/10/2015
05565QBT4	BP CAPITAL MARKETS PLC CORP BND	F		4,773,490.00	4,955,410.19	4,750,000.00	4,769,399.12	186,011.07		(3,376.48	)	—	—		2.248	2.143	MN	44,491.67	94,603.33	11/1/2011	11/1/2016
05565QBX5	BP CAPITAL MARKETS PLC CORP BND	F		7,224,566.50	7,385,600.7	7,225,000.00	7,224,681.9	160,918.8		110.06		—	—		1.7	1.702	JD	39,576.95	65,675.49	12/1/2011	12/5/2014
05565QBW7	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		2,016,000.00	2,014,080.04	2,000,000.00	2,014,079.18	0.86		(1,920.82	)	—	—		1.037	0.502	MJSD	1,440.07	2,062.39	7/31/2012	12/6/2013
05565QBY3	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		8,000,000.00	8,158,021.28	8,000,000.00	8,000,000.00	158,021.28		—		—	—		1.846	1.846	MN	59,072	—	5/2/2012	5/5/2017
10778XAA4	BRFKREDIT AS CORP BND 144A	F		5,094,390.00	5,135,440.92	5,100,000.00	5,098,967.92	36,473		2,552.27		—	—		2.05	2.088	AO	48,209.17	147,508.89	4/8/2010	4/15/2013
10620NCG1	BRHEA_05-2 ABS 11-1 A2		2	3,748,794.81	3,830,438	3,800,000.00	3,759,693.84	70,744.16		6,531.33		—	—		1.227	1.43	FMAN	4,532.53	37,459.88	3/10/2011	11/26/2021
10620NAC2	BRHEA_05-2 ABS_05--2 A10		2	4,224,000	4,364,274.20	4,400,000.00	4,279,744.18	84,530.02		34,547.22		—	—		0.489	1.558	MJSD	358.78	20,841.20	2/22/2012	9/26/2016
10620NAH1	BRHEA_05-3A ABS 05-3 A14		2	1,613,537.08	1,632,129.09	1,637,680.83	1,619,256.1	12,872.99		12,306.79		—	—		0.479	0.841	MJSD	130.81	10,193.94	5/26/2011	9/25/2018
110122AL2	BRISTOL MYERS SQUIBB CO CORP BND			6,916,260.00	6,775,340.00	6,500,000.00	6,587,293.12	188,046.88		(76,458.06	)	—	—		5.25	3.67	FA	43,604.17	363,562.50	3/5/2009	8/15/2013
110122AS7	BRISTOL-MYERS SQUIBB COMPANY SENIOR CORP			743,182.50	743,109.8	750,000.00	743,406.72	(296.92	)	316.16		—	—		0.875	1.062	FA	1,111.98	463.02	7/26/2012	8/1/2017
1107098Z8	BRITISH COLUMBIA PROVINCE OF CORP BND	A		6,998,670	7,395,640	7,000,000.00	6,999,020.7	396,619.3		192.9		—	—		2.1	2.104	MN	54,308.33	73,500	5/11/2011	5/18/2016
1107098W5	BRITISH COLUMBIA PROVINCE OF CORP BND	A		10,569,800.00	10,668,900.3	10,000,000.00	10,401,115.65	267,784.65		(108,543.02	)	—	—		2.85	1.335	JD	83,916.67	142,500	7/27/2011	6/15/2015
11070TAA6	BRITISH COLUMBIA PROVINCE OF SENIOR CORP	A		4,996,350	5,114,799.9	5,000,000.00	4,996,658.56	118,141.34		308.56		—	—		1.2	1.215	AO	26,000	—	4/18/2012	4/25/2017
111021AG6	BRITISH TELECOMMUNICATIONS PLC SENIOR	F		724,898.5	743,650.09	725,000.00	724,907.61	18,742.48		10.75		—	—		2	2.005	JD	3,987.5	733.33	6/19/2012	6/22/2015
07384M3D2	BSARM CMO 04-9 22A1		2	1,050,401.69	1,080,810.86	1,070,745.85	1,051,556.67	29,254.19		3,513.99		—	—		3.399	3.774	MON	3,033.1	28,819.51	8/13/2007	11/25/2034
07387AAW5	BSARM CMO_05-3 2A1		2	1,255,949.39	1,107,609.01	1,279,540.92	1,257,534.43	(149,925.42	)	2,246.65		—	—		2.998	3.28	MON	3,196.2	29,083.30	8/10/2007	5/1/2035
BRSF7TCE3	BSN MEDICAL SENIOR SECURED TERM LOAN		2	2,089,500	2,110,500.00	2,100,000.00	2,089,635.37	20,864.63		135.37		—	—		—	0.073	MJSD	—	2,433.48	7/16/2012	6/11/2019
Z918CTYG7	BUMP_12-5 ABS_12-5 A2	D	2	1,281,160	1,302,039.08	800,000.00	1,281,160.00	20,879.08		—		—	10,680		1.918	1.926	MON	744.33	11,347.89	4/2/2012	11/20/2014
BRSFW2WH5	BURGER KING CORP SENIOR SECURED TERM			2,184,525	2,190,000	2,190,000.00	2,184,525	5,475		—		—	—		—	0.035	MJSD	—	—	9/26/2012	9/28/2019
BRSBRMC88	BWAY CORPORATION TERM LOAN			245,270.83	248,241.69	247,993.69	245,678.44	2,563.25		304.92		—	—		—	0.165	MJSD	—	6,602.80	9/1/2011	2/23/2018
BRSBN8RA2	BWAY HOLDING			2,488,625.86	2,526,076.9	2,523,553.35	2,493,109.04	32,967.86		3,974.75		—	—		—	0.218	FA	—	72,041.34	8/26/2011	2/23/2018
BRS9U2FN7	CABLEVISION SYSTEMS CORPORATIO TERM LOAN		2	1,377,341.75	1,477,310.12	1,481,012.65	1,401,560.76	75,749.36		17,248.87		—	—		—	1.563	FMAN	—	29,615.96	8/11/2011	3/29/2016
BRS8ABJG2	CABLEVISION SYSTEMS CORPORATIO TERM LOAN		2	6,803,446.81	6,816,092.32	6,819,297.39	6,806,273.44	9,818.88		2,753.31		—	—		—	0.053	FMAN	—	218,120.48	12/2/2011	3/29/2016
126802BS5	CABMT_10-IA ABS_11-2A A2		2	3,500,000.00	3,530,695	3,500,000.00	3,500,000.00	30,695		—		—	—		0.821	0.822	MON	1,117.13	22,940.84	6/22/2011	6/15/2016
12800UAK6	CAISSE CENTRALE CORP BND 144A	A		397,592.00	425,544.04	400,000.00	398,268.93	27,275.11		350.91		—	—		2.55	2.681	MS	198.33	10,200	4/18/2011	3/24/2016

12800UAL4	CAISSE CENTRALE SECURED LOCAL BND 144A	A		2,699,352.00	2,788,830.02	2,700,000.00	2,699,423.19	89,406.83		71.28		—	—	1.6	1.605	MS	3,000	21,600.00	2/28/2012	3/6/2017
BRSFW2S64	CALPINE CORPORATION SENIOR SECURED TERM			1,492,500.00	1,505,625	1,500,000.00	1,492,500	13,125		—		—	—	—	0.071	MJSD	—	—	9/28/2012	9/27/2019
BRSCAHX41	CALPINE CORPORATION TERM LOAN		2	4,018,384.37	4,052,555.83	4,048,750.00	4,023,894.04	28,661.79		3,592.6		—	—	—	0.11	MJSD	—	138,863.16	6/10/2011	4/1/2018
BRSBQ1JW5	CALPINE CORPORATION TERM LOAN		2	4,852,367.65	4,939,538.11	4,932,367.65	4,866,256.38	73,281.73		7,964.81		—	—	—	0.248	MJSD	—	165,225.88	5/18/2012	4/1/2018
427028AA3	CANADA GOVERNMENT GOVT BND	A		2,550,398.50	2,581,161.00	2,550,000.00	2,550,523.87	30,637.13		125.37		—	—	0.875	0.87	FA	2,913.02	10,068.58	8/8/2012	2/14/2017
136069DF5	CANADIAN IMPERIAL BANK OF COMM CORP BND	A		1,999,520.00	2,012,100	2,000,000.00	1,999,943.96	12,156.04		(5,449.72	)	—	—	2	2.008	FA	6,333.33	62,458.33	1/27/2010	2/4/2013
136069EH0	CANADIAN IMPERIAL BANK OF COMM CORP BND	A		5,234,372.73	5,326,256.47	5,200,000.00	5,228,583.8	97,672.67		(7,560.89	)	—	—	1.5	1.245	JD	23,616.67	31,908.33	4/16/2012	12/12/2014
136069ET4	CANADIAN IMPERIAL BANK OF COMM SENIOR	A		5,023,492.50	5,050,125	5,025,000.00	5,023,492.50	26,632.5		—		—	—	0.9	0.91	AO	—	—	9/24/2012	10/1/2015
136375BH4	CANADIAN NATIONAL RAILWAY CORP BND	A		325,323.30	315,428.10	310,000.00	312,150.9	3,277.2		(3,467.34	)	—	—	4.4	2.856	MS	606.22	13,640.00	10/22/2009	3/15/2013
136375BU5	CANADIAN NATIONAL RAILWAY CORP BND	A	1	3,721,350.00	3,803,702.85	3,750,000.00	3,726,155.84	77,547.01		4,114.38		—	—	1.45	1.607	JD	16,010.41	31,718.75	11/7/2011	12/15/2016
BRSCJS5P2	CAPSUGEL HEALTHCARE LTD TERM LOAN		2	1,949,714.29	1,958,488	1,949,714.29	1,949,714.29	8,773.71		—		—	—	—	—	MAT	—	5,541.68	8/13/2012	8/1/2018
14170TAF8	CAREFUSION CORP CORP BND			6,453,470.60	6,254,726.9	5,860,000.00	6,170,153.22	84,573.68		(123,445.61	)	—	—	5.125	2.165	FA	50,054.17	300,325	9/12/2011	8/1/2014
BRSE4J2V4	CATALENT PHARMA SOLUTIONS INC SENIOR			5,962,389.88	6,047,348.81	6,017,262.50	5,967,758.66	79,590.15		5,796.16		—	—	—	0.164	MJSD	—	167,251.76	4/24/2012	9/15/2017
14912L4J7	CATERPILLAR FINL SERV CORP CORP BND			649,226.50	652,132	650,000.00	649,944.44	2,187.56		196.55		—	—	1.9	1.941	JD	3,567.78	6,175.00	12/10/2009	12/17/2012
14912L4U2	CATERPILLAR FINL SERV CORP CORP BND GMTN			4,219,068.00	4,219,404.00	4,200,000.00	4,210,563.64	8,840.36		(5,252.68	)	—	—	0.751	0.37	JAJO	7,968.88	24,300.3	7/12/2011	4/1/2014
14912L3N9	CATERPILLAR FINL SERV CORP CORP BND MTN			1,124,403.75	1,134,090.00	1,125,000.00	1,124,975.75	9,114.25		97.89		—	—	4.85	4.862	JD	17,278.12	27,281.25	12/3/2007	12/7/2012
14912L3S8	CATERPILLAR FINL SERV CORP CORP BND MTN			5,268,195.25	5,346,687.25	5,275,000.00	5,274,472.17	72,215.08		1,098.62		—	—	4.25	4.279	FA	33,005.38	224,187.50	2/4/2008	2/8/2013
149123BY6	CATERPILLAR INC SENIOR CORP BND			7,198,488.00	7,256,537.28	7,200,000.00	7,198,619.99	57,917.29		131.99		—	—	0.95	0.957	JD	18,050	—	6/21/2012	6/26/2015
BRSD7SFZ0	CB RICHARD ELLIS SERV INC. TERM NOTES			1,975,000.00	1,984,090.94	1,984,924.61	1,975,585.69	8,505.25		635.95		—	—	—	0.067	MJSD	—	35,880.54	3/15/2012	9/4/2019
BRSB8N999	CCC INFORMATION SERVICES GROUP TERM LOAN			255,587.46	257,515.09	257,772.86	256,117.92	1,397.17		476.21		—	—	—	0.204	MJSD	—	65,239.99	10/1/2011	11/11/2015
17305EEH4	CCCIT ABS 08-A5 A5		2	1,608,339.84	1,538,820	1,500,000.00	1,536,215.46	2,604.54		(48,484.96	)	—	—	4.85	0.513	AO	32,131.25	36,375	8/16/2011	4/22/2013
17305ECH6	CCCIT ABS_04-A8 A8		2	2,116,867.19	2,083,694.17	1,900,000.00	2,060,654.67	23,039.5		(54,207.84	)	—	—	4.9	0.99	JD	28,705.83	46,550.00	12/14/2011	12/10/2014
92344SAJ9	CELLCO PARTNERSHIP/VERIZON WIR CORP BND			6,369,194.90	5,943,369.58	5,529,000.00	5,801,161.18	142,208.4		(177,069.52	)	—	—	7.375	2.882	MN	154,044.09	203,881.88	4/20/2010	11/15/2013
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR CORP BND			15,246,234.80	16,006,447.52	15,050,000.00	15,135,696.22	870,751.3		(74,757.6	)	—	—	5.55	5.094	FA	139,212.50	937,321.77	2/22/2012	2/1/2014
BRSB98L97	CENVEO CORP TERM LOAN			403,768.42	406,589.34	407,269.48	404,391.07	2,198.27		1,020.2		—	—	—	0.166	MJSD	—	23,444.56	11/1/2011	12/21/2016
BRSDYT4C1	CEQUEL COMMUNICATIONS LLC TERM LOAN		1	7,487,690.00	7,606,244.73	7,581,000.00	7,494,457.74	111,786.99		6,957.74		—	—	—	0.177	MJSD	—	175,052.43	6/4/2012	2/14/2019
165182BA3	CF_09-2A ABS 12-1A 144A		2	3,200,000.00	3,207,904	3,200,000.00	3,200,000	7,904		—		—	—	0.978	0.98	MON	2,086.4	9,966.12	5/10/2012	10/7/2014
161571FL3	CHAIT_12-A5 ABS_12-A5 A5		2	4,999,816	5,009,534.85	5,000,000.00	4,999,818.65	9,716.2		2.65		—	—	0.59	0.592	MON	1,475	—	9/6/2012	8/15/2017
BRSEFGMT1	CHARTER COM OPER SECURED TERM LOAN		1	2,583,965.25	2,606,143.2	2,596,950.00	2,584,807.16	21,336.04		907.16		—	—	—	0.07	MJSD	—	47,784.02	4/4/2012	5/15/2019
BRS9NN9D8	CHARTER COMMUNICATIONS HOLDING TERM LOAN		2	4,576,933.14	4,630,693.08	4,627,407.62	4,587,203.82	43,489.26		23,245.81		—	—	—	0.214	MJSD	—	144,630.85	8/15/2011	9/6/2016
161630BD9	CHASE CMO_07-A1 11M1		2	3,226,717.04	2,397,096.79	3,196,129.05	3,224,060.27	(826,963.48	)	(3,545.36	)	—	—	2.914	2.755	MON	7,761.67	71,985.53	1/18/2008	2/1/2037
161571FH2	CHASE ISSUANCE TRUST ABS_12-A2 A2		2	7,000,000.00	7,022,722.56	7,000,000.00	7,000,000	22,722.56		—		—	—	0.491	0.491	MON	1,335.93	10,359.17	5/29/2012	5/15/2017
BRSAGFDE3	CHEMTURA CORPORATION LN1 TERM LOAN		2	120,000.00	121,012.80	120,000.00	120,000.00	1,012.80		—		—	—	—	—	FMAN	—	—	9/12/2012	8/29/2016
166751AH0	CHEVRONTEXACO CORPORATION CORP BND			7,390,303.50	7,395,274.73	7,050,000.00	7,171,150.08	224,124.65		(68,064.74	)	—	—	3.95	2.71	MS	21,659.17	314,562.64	1/6/2010	3/3/2014

BRSC8XG48	CHG HEALTHCARE TERM LOAN			699,653.53	696,377.20	700,460.89	699,803.55	(3,426.35	)	379.3		—	—	—	0.023	JAJO	—	35,000.64		11/1/2011	10/7/2016
167562LV7	CHICAGO ILL MIDWAY ARPT REV MUNI BND REV			3,083,400.00	3,070,350	3,000,000.00	3,081,332.4	(10,982.4	)	(1,281.17	)	—	—	3.532	3.382	JJ	26,490.00	105,960.00		7/5/2011	1/1/2041
BRS9LY573	CINEMARK USA INC. TERM LOAN		2	942,880.7	991,012.06	987,309.65	952,772.22	38,239.84		7,406.96		—	—	—	0.982	JAJO	—	27,892.59		8/26/2011	4/30/2016
17275RAJ1	CISCO SYSTEMS INC CORP BND			509,680	509,303.02	500,000.00	505,656.74	3,646.28		(2,882.86	)	—	—	1.625	0.84	MS	383.68	8,125.00		9/12/2011	3/14/2014
17275RAG7	CISCO SYSTEMS INC CORP BND			3,989,840.00	4,208,157.96	4,000,000.00	3,995,495.18	212,662.78		1,519.9		—	—	2.9	2.955	MN	43,177.78	58,000		11/9/2009	11/17/2014
17275RAL6	CISCO SYSTEMS INC CORP BND			18,250,000.00	18,327,929.33	18,250,000.00	18,250,000	77,929.33		—		—	—	0.644	0.559	MJSD	5,552.19	116,369.89		3/9/2011	3/14/2014
17305EDL6	CITIBANK CREDIT CARD ISSUANCE ABS_06-A8		2	2,588,682.81	2,603,449.09	2,620,000.00	2,595,176	8,273.09		3,955.58		—	—	0.495	0.703	JAJO	2,774.49	10,296.97		7/6/2011	12/15/2016
17314JAT0	CITIBANK NA CORP BND GOVT GUAR			18,115,174.02	17,816,740.00	17,750,000.00	17,804,730.82	12,009.18		(196,134.73	)	—	—	1.75	0.465	JD	80,244.79	215,881.94		6/7/2011	12/28/2012
17313YAN1	CITIGROUP FUNDING INC - GTD CORP BND			3,017,959.95	3,006,030	3,000,000.00	3,000,819.07	5,210.93		(9,417.94	)	—	—	1.875	1.65	MN	21,250	89,062.50		2/19/2010	11/15/2012
17313YAL5	CITIGROUP FUNDING INC - GTD CORP BND			15,058,950.00	15,013,951.50	15,000,000.00	15,001,161.4	12,790.1		(15,100.09	)	—	—	1.875	1.739	AO	124,218.75	140,625		3/8/2011	10/22/2012
172967FM8	CITIGROUP INC CORP BND			1,800,000	1,803,510	1,800,000.00	1,800,000	3,510		—		—	—	1.285	1.307	FMAN	3,018.58	33,350.16		1/5/2012	2/15/2013
172967CK5	CITIGROUP INC CORP BND			2,449,252.84	2,646,015.69	2,509,000.00	2,480,152.67	165,863.02		19,793.7		—	—	5.125	5.891	MN	52,148.87	130,730.64		11/12/2010	5/5/2014
172967FH9	CITIGROUP INC CORP BND			5,734,954.68	5,949,340.37	5,486,000.00	5,711,021.74	238,318.63		(23,932.94	)	—	—	4.587	3.229	JD	74,094.83	16,776.19		5/16/2012	12/15/2015
172967FD8	CITIGROUP INC CORP BND			7,263,772.50	7,374,672.13	6,850,000.00	7,116,381.57	258,290.56		(78,262.64	)	—	—	4.75	3.197	MN	119,304.17	190,831.25		5/24/2011	5/19/2015
12591AAC1	CNH_12-B ABS 12-B		2	2,099,925.87	2,111,844	2,100,000.00	2,099,929.38	11,914.62		3.51		—	—	0.86	0.862	MON	802.67	4,264.17		6/12/2012	9/15/2017
12624FAC1	CNH_12-C ABS_12-C A3		2	8,539,300.58	8,539,146	8,540,000.00	8,539,303.73	(157.73	)	3.15		—	—	0.57	0.574	MON	676.09	—		9/19/2012	12/15/2017
191216AP5	COCA-COLA COMPANY THE CORP BND			997,700	1,025,917.97	1,000,000.00	998,543.19	27,374.78		339.02		—	—	1.5	1.548	MN	5,666.67	7,500.00		11/4/2010	11/15/2015
191216AN0	COCA-COLA COMPANY THE CORP BND			2,049,036.50	2,058,945.3	2,050,000.00	2,049,637.03	9,308.27		240.43		—	—	0.75	0.766	MN	5,808.33	7,687.50		11/4/2010	11/15/2013
191216AU4	COCA-COLA COMPANY THE CORP BND			6,956,079.93	7,157,253.39	6,900,000.00	6,946,953.32	210,300.07		(8,559.63	)	—	—	1.8	1.649	MS	10,350.00	156,045.00		12/14/2011	9/1/2016
191216AL4	COCA-COLA COMPANY THE CORP BND			11,074,381.25	11,630,213.51	11,125,000.00	11,109,390.90	520,822.61		7,904.14		—	—	3.625	3.725	MS	17,923.62	417,126.75		2/22/2012	3/15/2014
191216AX8	COCA-COLA COMPANY THE SENIOR CORP BND			6,992,160.00	7,040,873.00	7,000,000.00	6,993,576.92	47,296.08		1,416.92		—	—	0.75	0.788	MS	2,625	26,104.16		3/9/2012	3/13/2015
19416QDW7	COLGATE PALMOLIVE CO. CORP BND MTN			4,433,134.50	4,466,905.46	4,450,000.00	4,438,108.80	28,796.66		6,978.92		—	—	0.6	0.727	MN	10,086.66	31,045.41		11/3/2011	11/15/2014
19648CAE1	COLORADO HSG & FIN AUTH MUNITAX BND REV			5,030,400.00	5,098,750	5,000,000.00	5,028,411.46	70,338.54		(1,988.54	)	—	—	1.6	1.438	MN	20,666.67	—		6/21/2012	5/15/2016
20030NAE1	COMCAST CORPORATION CORP BND			2,507,017.50	2,381,343.28	2,250,000.00	2,348,602.22	32,741.06		(92,500.62	)	—	—	5.3	1.84	JJ	25,175.00	213,104.17		8/10/2010	1/15/2014
20030NAP6	COMCAST CORPORATION CORP BND			3,543,450.00	3,637,375.02	3,000,000.00	3,453,218.79	184,156.23		(74,065.3	)	—	—	6.5	2.741	JJ	41,166.67	195,000		10/27/2011	1/15/2017
31331KEF3	FEDERAL FARM CREDIT BANK AGENCY BND			1,999,640	1,999,676	2,000,000.00	1,999,894.9	(218.9	)	145.3		—	—	0.191	0.177	MON	148.36	3,387.42		6/7/2011	4/17/2013
20030NAB7	COMCAST CORPORATION CORP BND			5,868,400.00	5,625,545.51	5,000,000.00	5,472,961.58	152,583.93		(150,013.11	)	—	—	6.5	2.235	JJ	68,611.12	325,000.00		9/24/2010	1/15/2015
14041NDB4	COMET ABS 06-A11 A11		2	5,248,035.16	5,289,679.58	5,300,000.00	5,260,809.97	28,869.61		7,512.55		—	—	0.311	0.501	MON	640.49	13,940.44		6/17/2011	8/15/2016
14041NCK5	COMET ABS_05-A9 A		2	5,826,577.15	5,869,608.75	5,875,000.00	5,840,815.22	28,793.53		8,371.61		—	—	0.311	0.502	MON	709.98	15,451.82		6/17/2011	10/15/2015
2027A0DG1	COMMONWEALTH BANK OF AUSTRALIA CORP BND	F		6,949,374.5	6,954,746.91	6,950,000.00	6,949,991.75	4,755.16		166.03		—	—	2.75	2.753	AO	88,129.85	102,580.73		10/8/2009	10/15/2012
2027A0FP9	COMMONWEALTH BANK OF AUSTRALIA CORP BND	F		15,429,116.00	15,490,556.71	15,425,000.00	15,427,263.08	63,293.63		(1,155.24	)	—	—	1.119	1.009	MJSD	6,710.95	143,902.03		7/12/2011	3/17/2014
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA SENIOR	F		2,149,183.00	2,193,680.74	2,150,000.00	2,149,326.97	44,353.77		205.13		—	—	1.95	1.963	MS	1,746.88	30,306.25		3/5/2012	3/16/2015
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA SENIOR	F		4,611,321.60	4,683,660.71	4,480,000.00	4,553,598.79	130,061.92		(27,315.07	)	—	—	2.9	2.041	MS	5,052.44	129,920		2/22/2011	9/17/2014
202795HH6	COMMONWEALTH EDISON COMPANY SECURED CORP			3,126,706.5	3,124,261.63	2,850,000	3,099,309.37	24,952.26		(27,397.13	)	—	—	4.7	1.191	AO	61,765.83	(23,813.33	)	6/14/2012	4/15/2015

BRS448NT2	COMMUNITY HLTH SYST INC TERM LOAN		2	119,295.05	122,554.05	122,197.23	120,707.39	1,846.66		30,912.88		—	—		—	0.668	JD	—	32,873.35		12/14/2010	7/25/2014
BRSAZTC86	COMMUNITY HLTH SYST INC TERM LOAN		2	7,730,573.15	7,826,000.44	7,799,171.29	7,745,632.76	80,367.68		8,400.21		—	—		—	0.156	FMAN	—	201,218.58		8/9/2012	1/25/2017
17308BAN8	COMNI_09-A13 ABS_09-A17 A17 144A		2	950,033.2	948,308.7	870,000	944,279.15	4,029.55		(5,754.05	)	—	—		4.9	0.832	MN	16,104.67	(8,999.67	)	7/26/2012	11/15/2014
20825CAE4	CONOCOPHILLIPS CORP BND			1,062,372.2	1,001,479.9	1,000,000	1,001,252.41	227.49		(24,443.8	)	—	—		4.75	1.452	AO	21,902.78	23,750		11/12/2010	10/15/2012
20825CAT1	CONOCOPHILLIPS CORP BND			6,767,478.00	7,135,257.32	6,550,000	6,654,427.25	480,830.07		(32,764.37	)	—	—		4.6	3.86	JJ	63,607.78	301,300		1/27/2010	1/15/2015
BRSF5Z020	CONSOLIDATED CONTAINER CO LLC TERM NOTES			2,286,900	2,334,555.3	2,310,000	2,287,631.64	46,923.66		731.64		—	—		—	0.142	JAJO	—	31,112.81		6/28/2012	6/30/2019
209111EW9	CONSOLIDATED EDISON CO OF NY CORP BND			436,497.6	429,272.61	400,000	412,990.51	16,282.1		(6,239.35	)	—	—		5.55	3.313	AO	11,100	11,100.00		10/29/2009	4/1/2014
G2551TAP3	COVENTRY BLDG SOC LOCAL BND EMTN	D		1,220,911.03	1,233,289.9	750,000	1,219,714.29	13,575.61		(1,196.74	)	—	(981.15	)	2.31	2.333	FMAN	4,098.93	7,536.82		5/10/2012	2/10/2015
224044BM8	COX COMMUNICATIONS INC. CORP BND			2,649,672	2,641,242.36	2,400,000	2,622,244.41	18,997.95		(27,427.59	)	—	—		5.45	1.182	JD	38,513.33	(2,543.33	)	6/19/2012	12/15/2014
BRSFHNFP7	CPM HOLDINGS INC TERM LOAN			1,400,850.00	1,411,462.5	1,415,000	1,400,983.21	10,479.29		133.21		—	—		—	0.201	FMAN	—	—		8/16/2012	8/16/2017
22546QAE7	CREDIT SUISSE FIRST BOSTON CORP BND	E		1,996,820	2,103,936.62	2,000,000	1,998,354.56	105,582.06		468.37		—	—		3.5	3.535	MS	1,555.56	70,000		3/18/2010	3/23/2015
22541LBK8	CREDIT SUISSE FIRST BOSTON SENIOR CORP			4,276,160.00	4,428,734.44	4,000,000.00	4,212,586.72	216,147.72		(52,398.92	)	—	—		5.125	3.174	FA	26,194.44	205,000		10/28/2011	8/15/2015
225448AL3	CREDIT SUISSE GG LOCAL BND 144A	F		1,993,480	2,037,299.8	2,000,000	1,994,691.45	42,608.35		1,211.45		—	—		1.625	1.737	MS	2,256.94	16,250		3/1/2012	3/6/2015
22546QAA5	CREDIT SUISSE GROUP CORP BND	F		2,186,460	2,139,697.72	2,000,000	2,077,654.81	62,042.91		(35,428.09	)	—	—		5.5	2.972	MN	45,833.33	55,000		5/19/2010	5/1/2014
22546QAH0	CREDIT SUISSE NEW YORK NY CORP BND	E		1,997,580	2,025,690.3	2,000,000	1,998,943.87	26,746.43		603.14		—	—		2.2	2.242	JJ	9,411.11	44,000		1/11/2011	1/14/2014
22546QAG2	CREDIT SUISSE NEW YORK NY CORP BND	F		5,800,000	5,834,103.83	5,800,000	5,800,000	34,103.83		—		—	—		1.415	1.263	JAJO	17,555.11	63,886.05		1/11/2011	1/14/2014
BRSDTEYU7	CROWN CASTLE OPERATING CO TERM LOAN		2	2,063,407.5	2,086,646.89	2,084,250	2,065,343.23	21,303.66		2,093.23		—	—		—	0.142	JAJO	—	54,674.09		1/25/2012	1/31/2019
BRSCHJ8S5	CUMULUS MED INC. TERM LOAN		2	6,039,543.02	6,174,167.66	6,148,528.3	6,055,139.85	119,027.81		12,111.17		—	—		—	0.251	MJSD	—	278,930.32		9/27/2011	9/17/2018
126650AV2	CVS CAREMARK CORP CORP BND			1,772,741.6	1,771,412.58	1,640,000	1,770,362.25	1,050.33		(21,306.55	)	—	—		4.875	0.772	MS	3,553.33	89,825.94		9/13/2012	9/15/2014
12668AZL2	CWALT CMO_05-64CB 1A		2	368,456.44	291,102.9	375,616.64	368,139.53	(77,036.63	)	(9,906.92	)	—	—		5.5	5.847	MON	1,721.58	17,092.22		1/2/2008	12/25/2035
233851AH7	DAIMLER FINANCE NORTH AMERICA CORP BND			4,967,500	5,199,472.8	5,000,000	4,973,940.89	225,531.91		5,157.15		—	—		2.625	2.765	MS	5,833.33	159,031.25		9/7/2011	9/15/2016
233851AM6	DAIMLER FINANCE NORTH AMERICA SENIOR			2,000,000	2,006,979.98	2,000,000	2,000,000	6,979.98		—		—	—		1.238	1.249	JAJO	5,706.71	6,315.15		4/2/2012	4/10/2014
233851AN4	DAIMLER FINANCE NORTH AMERICA SENIOR			1,998,840	2,024,321.28	2,000,000.00	1,999,020.03	25,301.25		180.03		—	—		1.65	1.67	AO	15,675	—		4/2/2012	4/10/2015
233851AQ7	DAIMLER FINANCE NORTH AMERICA SENIOR			5,989,080	6,023,344.56	6,000,000	5,989,676.42	33,668.14		596.42		—	—		1.3	1.362	JJ	13,000	—		7/25/2012	7/31/2015
N3114HAY0	DAIMLER INTERNATIONAL FINANCE SENIOR	D		956,732.04	979,225.8	600,000	956,873.4	22,352.4		112.73		—	11,878.43		2.125	2.135	DEC	17,194.4	—		11/9/2011	12/10/2013
235851AJ1	DANAHER CORPORATION CORP BND			2,975,000	2,980,652.8	2,975,000	2,975,000	5,652.8		—		—	—		0.626	0.496	MJSD	517.12	20,686.61		6/20/2011	6/21/2013
235851AL6	DANAHER CORPORATION CORP BND			3,993,600.00	4,177,728.56	4,000,000	3,995,160.84	182,567.72		923.54		—	—		2.3	2.334	JD	25,044.45	46,000		6/20/2011	6/23/2016
BRSAUE236	DAVITA INC TERM LOAN		2	4,959,746.84	4,988,662.4	4,974,683.54	4,960,681.9	27,980.5		998.36		—	—		—	0.069	JAJO	—	60,815.48		6/15/2012	10/20/2016
254683AT2	DCENT ABS 12-A1		2	4,998,866	5,036,537.15	5,000,000	4,999,082.64	37,454.51		216.64		—	—		0.81	0.818	MON	1,800	24,412.5		2/1/2012	2/15/2015
254683AQ8	DCENT ABS_11-2A A		2	1,400,000	1,402,044	1,400,000	1,400,000	2,044		—		—	—		0.431	0.431	MON	234.52	4,973.55		5/26/2011	5/15/2013
254683AC9	DCENT_07-A1 ABS 07-A1 A1		2	5,448,691.41	5,495,478.39	4,500,000	5,341,140.72	154,337.67		(107,550.69	)	—	—		5.65	1.719	MON	11,300	158,200		1/26/2012	9/15/2017
254683AV7	DCENT_12-A3 ABS 12-A3		2	434,956.76	438,557.24	435,000	434,961.14	3,596.1		4.38		—	—		0.86	0.865	MON	166.27	956.03		6/5/2012	5/15/2015
254683AW5	DCENT_12-A4 ABS 12-A4		2	4,000,000	4,016,662.6	4,000,000	4,000,000.00	16,662.6		—		—	—		0.591	0.591	MON	918.94	6,537.64		6/5/2012	5/15/2017
BRSABN708	DEAN FOODS COMPANY TERM LOAN		2	2,898,252.66	2,931,299.3	2,944,786.42	2,912,597.19	18,702.11		7,164		—	—		—	0.309	MJSD	—	75,350.96		5/16/2011	4/2/2016

BRSAD09Q7	DEAN FOODS TERM LOAN		2	1,375,635.09	1,374,779	1,380,813.15	1,378,258.94	(3,479.94	)	2,708.12		—	—		—	0.122		JAJO	—	41,338.23		2/1/2011	4/2/2014
BRSBGXH81	DEL MONTE FOODS CO TERM LOAN		2	6,179,764.76	6,208,266.99	6,219,399.72	6,184,974.45	23,292.54		4,175.59		—	—		—	0.099		FMAN	—	203,210.56		7/27/2012	3/8/2018
24702RAP6	DELL INC CORP BND			6,668,948	6,910,520.84	6,550,000	6,637,580.42	272,940.42		(17,670.93	)	—	—		3.1	2.697		AO	101,525	101,525		5/24/2011	4/1/2016
BRSC106K2	DELPHI CORP LN1 TERM LOAN		2	811,650	815,043.06	813,684.21	812,120.74	2,922.32		260.6		—	—		—	0.042		FMAN	—	22,873.57		5/13/2011	3/31/2017
BRSBWG6S8	DELTA AIR LINES INC. TERM LOAN		2	5,357,169.14	5,458,283.34	5,436,212.32	5,373,143.58	85,139.76		10,117.74		—	—		—	0.253		JAJO	—	207,599.87		2/29/2012	4/20/2017
2515A0T45	DEUTSCHE BK LDN CORP BND	F		999,020	1,004,820.00	1,000,000.00	999,906.73	4,913.27		250.18		—	—		2.375	2.409		JJ	5,277.78	23,750		1/5/2010	1/11/2013
25243YAR0	DIAGEO CAPITAL PLC SENIOR CORP BND	F		9,444,640	9,547,100.22	9,400,000	9,446,304.82	100,795.40		1,685.58		—	—		1.5	1.388		MN	54,833.33	(22,458.33	)	9/25/2012	5/11/2017
BRSBNH1C6	DINEEQUITY INC		2	3,178,723.2	3,198,798.82	3,180,890.41	3,176,990.2	21,808.62		(6,816.71	)	—	—		—	0.024		AO	—	84,649.51		6/12/2012	10/19/2017
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN CORP BND			3,569,208.75	3,709,007.75	3,525,000	3,553,782.99	155,224.76		(6,062.02	)	—	—		3.125	2.868		FA	14,075.52	110,156.26		10/15/2010	2/15/2016
25459HBE4	DIRECTV HOLDINGS LLC/DIRECTV F SENIOR			2,996,986.1	3,079,257.42	3,000,000	2,997,264.15	81,993.27		286.43		—	—		2.4	2.422		MS	3,200	45,120.01		5/15/2012	3/15/2017
25459HAY1	DIRECTV HOLDINGS LLC/DIRECTV F SENIOR			2,994,330	3,195,930.63	3,000,000.00	2,995,985.66	199,944.97		815.75		—	—		3.5	3.542		MS	8,750	105,000		3/7/2011	3/1/2016
25600WAA8	DNB NOR BLGKRDIT CORP BND 144A	F		9,152,069.51	9,440,431.48	9,100,000.00	9,131,467.55	308,963.93		(8,947.68	)	—	—		2.1	1.982		AO	88,649.16	113,983.33		7/26/2011	10/14/2015
25600WAB6	DNB NOR BLGKRDIT CORP BND 144A	F		20,478,622.00	21,301,800.6	20,000,000	20,444,647.13	857,153.47		(34,948.22	)	—	—		2.9	2.231		MS	3,222.23	334,402.22		6/12/2012	3/29/2016
BRS4QJJM4	DOLLAR GENERAL CORPORATION LN1 TERM LOAN		2	2,000,000.00	2,007,080	2,000,000	2,000,000	7,080		—		—	—		—	—		MON	—	54,073.34		6/21/2011	7/7/2014
26138EAM1	DR PEPPER SNAPPLE GROUP INC CORP BND			1,423,418.25	1,492,024.53	1,425,000	1,423,938.92	68,085.61		228.43		—	—		2.9	2.924		JJ	8,724.17	41,325		1/6/2011	1/15/2016
BRSCC0RV3	DUCOMMUN INC TERM LOAN			407,228.69	414,427.18	411,342.11	408,075.51	6,351.67		745.84		—	—		—	0.166		MJSD	—	18,214.03		6/17/2011	6/28/2017
26442CAL8	DUKE ENERGY CAROLINAS LLC CORP BND			4,033,414.8	4,159,315.5	4,040,000	4,034,449.9	124,865.6		956.98		—	—		1.75	1.784		JD	20,817.22	36,724.72		12/5/2011	12/15/2016
264399EM4	DUKE ENERGY CORP CORP BND			5,868,267.80	5,804,298.53	5,095,000.00	5,746,349.25	57,949.28		(121,918.55	)	—	—		5.3	0.966		AO	135,017.5	19,304.52		3/1/2012	10/1/2015
26441CAG0	DUKE ENERGY CORP CORP BND			4,999,750.00	5,163,800.05	5,000,000.00	4,999,789.17	164,010.88		33.98		—	—		2.15	2.151		MN	40,611.11	53,152.78		11/14/2011	11/15/2016
26442EAB6	DUKE ENERGY OHIO INC CORP BND			2,874,511.25	2,909,126.25	2,875,000.00	2,874,898.24	34,228.01		233.92		—	—		2.1	2.105		JD	17,777.08	90,737.50		12/14/2009	6/15/2013
BRSC529Z8	DUNKIN BRANDS INC TERM LOAN		2	5,233,251.55	5,217,215.52	5,228,666.30	5,230,433.14	(13,217.62	)	(1,495.41	)	—	—		—	(0.007	)	FMAN	—	139,253.3		8/6/2012	11/23/2017
273323AB1	EAST LANE RE IV LTD CORP BND 144A	F		2,000,000.00	2,095,760	2,000,000.00	2,000,000	95,760		—		—	—		6.65	6.704		MJSD	5,172.22	102,382.58		3/1/2011	3/13/2017
273323AA3	EAST LANE RE LTD CORP BND	F		5,000,000.00	5,143,650	5,000,000.00	5,000,000	143,650		—		—	—		5.75	5.912		MJSD	11,180.56	221,331.45		3/1/2011	3/14/2016
277432AM2	EASTMAN CHEMICAL COMPANY SENIOR CORP BND			822,228.00	862,880.18	825,000.00	822,396.55	40,483.63		252.11		—	—		2.4	2.472		JD	6,380	3,217.33		5/29/2012	6/1/2017
278642AB9	EBAY INC. CORP BND			3,801,381.76	3,918,390.53	3,808,000.00	3,806,092.95	112,297.58		1,658.49		—	—		1.625	1.641		AO	28,533.56	28,207.83		8/1/2012	10/15/2015
278642AG8	EBAY INC. SENIOR CORP BND			1,973,874.25	1,985,936.84	1,975,000.00	1,973,914.58	12,022.26		40.33		—	—		1.35	1.362		JJ	4,962.19	—		7/19/2012	7/15/2017
G3157R8G6	EBRD CORP BND	D		2,188,451.06	2,204,494.91	1,344,000.00	2,190,493.68	14,001.23		1,095.66		—	(21,956.64	)	1.875	1.935		DEC	33,984.21	—		4/7/2011	12/10/2013
G29330DW7	EDF ENRGYNET LPN LOCAL BND	D		911,019.43	1,001,708.87	550,000	911,929.6	89,779.27		250.16		—	(25,311.55	)	5.375	5.107		NOV	42,571	—		11/6/2009	11/11/2016
281379AA5	EDUSA_10-1 ABS 10-1-A1 144A		2	731,293.58	734,503.96	731,293.58	731,293.58	3,210.38		—		—	—		1.301	1.303		JAJO	1,797.25	8,310.56		2/23/2010	4/26/2021
263534BU2	EI DUPONT DE NEMOURS & CO CORP BND			5,332,122.00	5,464,530.75	5,275,000.00	5,290,215.66	174,315.09		(53,674.95	)	—	—		5	4.621		JJ	55,680.55	426,138.89		12/21/2009	7/15/2013
263534CH0	EI DUPONT DE NEMOURS & CO CORP BND			11,692,469.2	11,736,023.2	11,660,000.00	11,683,067.01	52,956.19		(7,200.86	)	—	—		0.789	0.627		MJSD	1,533.77	82,688.16		6/25/2012	3/25/2014
28140DAA1	ELAB_12-1 ABS 12-1		2	5,650,000.00	5,650,000	5,650,000.00	5,650,000	—		—		—	—		0.669	0.669		MON	419.68	—		9/19/2012	6/25/2022
268317AA2	ELECTRICITE DE FRANCE CORP BND 144A	F		9,449,250.00	9,107,052.39	8,600,000.00	8,887,697.96	219,354.43		(159,112.46	)	—	—		5.5	2.893		JJ	85,402.78	473,000.00		1/6/2010	1/26/2014
285661AD6	ELECTRONIC DATA SYSTEMS CORP BND			7,877,170	7,293,650	7,000,000.00	7,231,245.73	62,404.27		(204,857.86	)	—	—		6	1.985		FA	70,000	420,000		4/30/2010	8/1/2013

29079DAB2	EMBARCADERO REINSURANCE LTD CORP BND	F		6,500,000	6,558,370	6,500,000	6,500,000	58,370		—		—	—	5	5.249	JAJO	55,054.64	—		7/26/2012	2/7/2017
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP TERM LOAN		2	5,946,103.72	6,007,715.97	5,975,983.5	5,949,442.43	58,273.54		5,730.58		—	—	—	0.078	JAJO	—	205,536.39		6/25/2012	5/25/2018
BRSC8PGF0	ENDO PHARMACEUTICALS HLDGS INC TERM LOAN		2	688,071.45	689,619.61	688,071.45	688,071.45	1,548.16		—		—	—	—	—	MJSD	—	35,903.98		6/7/2011	6/17/2018
29268BAD3	ENEL FINANCE INTERNATIONAL SA CORP BND	F		1,241,598.75	1,260,604.18	1,225,000	1,232,754.87	27,849.31		(2,738.81	)	—	—	3.875	3.547	AO	22,943.23	23,734.38		3/30/2010	10/7/2014
BRSECN1K1	ENNIS-FLINT SENIOR SEC TERM NOTES		1	2,747,131.71	2,758,575.32	2,765,489.04	2,748,358.22	10,217.1		1,369.18		—	—	—	0.111	MJSD	—	45,729.02		8/6/2012	3/30/2018
BRSDALFV0	ENTERCOM RADIO LLC TERM LOAN			1,103,956.94	1,136,343.43	1,126,486.67	1,106,633.09	29,710.34		3,758.13		—	—	—	0.286	FMAN	—	44,986.59		11/17/2011	11/17/2018
293791AN9	ENTERPRISE PROD OPER LP CORP BND			3,639,560	3,544,743.74	3,250,000	3,448,299.71	96,444.03		(123,093.65	)	—	—	5.6	2.51	AO	83,922.22	221,277.78		10/15/2010	10/15/2014
29379VAX1	ENTERPRISE PROD OPER LP SENIOR CORP BND			5,475,819.75	5,504,299.79	5,475,000.00	5,475,783.75	28,516.04		3.98		—	—	1.25	1.245	FA	9,125.01	2,556.42		8/6/2012	8/13/2015
BRSC4H8Q7	EPICOR SOFTWARE CORP TERM LOAN			6,574,119.2	6,676,021.84	6,641,155.77	6,583,342.16	92,679.68		6,850.78		—	—	—	0.152	FMAN	—	193,017.47		8/6/2012	5/31/2018
26884TAC6	ERAC USA FINANCE COMPANY CORP BND 144A			1,247,587.50	1,263,527.3	1,250,000.00	1,248,954.17	14,573.13		602.06		—	—	2.25	2.317	JJ	6,328.13	28,125		1/4/2011	1/10/2014
26882PAS1	ERAC USA FINANCE COMPANY CORP BND 144A			1,640,475.00	1,650,829.7	1,500,000.00	1,576,715.39	74,114.31		(20,947.19	)	—	—	5.6	3.512	MN	35,000	42,000.00		5/27/2010	5/1/2015
BRS9ND148	EUROPEAN INVESTMENT BANK CORP BND	D		2,615,296.23	2,918,544.31	1,700,000.00	2,594,734.06	323,810.25		(11,275.65	)	—	184,594.37	3	2.571	DEC	69,441.43	37,772.97		7/12/2010	12/7/2015
298785FB7	EUROPEAN INVESTMENT BANK CORP BND	F		5,272,500.00	5,271,649.95	5,000,000.00	5,266,801.24	4,848.71		(5,698.76	)	—	—	2.875	0.527	JJ	30,347.22	(23,159.72	)	9/12/2012	1/15/2015
298785EK8	EUROPEAN INVESTMENT BANK SENIOR CORP BND	F		4,684,950	4,538,959.11	4,500,000.00	4,548,482.27	(9,523.16	)	(149,381.69	)	—	—	2.875	0.505	MS	5,750	272,326.39		6/14/2011	3/15/2013
BRSDRTRZ3	EXPORT DEVELOPMENT CANADA(LT)G CORP BND	T		3,070,723.61	3,260,884.17	2,000,000.00	3,070,781.82	190,102.35		66.78		—	158,588.73	1	1.001	DEC	23,791.47	3,171.68		1/11/2012	12/8/2014
31394CGZ9	FANNIE MAE FNR_05-13 CMO_05-13 PC		2	19,496.73	18,668.54	18,662.74	18,733.27	(64.73	)	(6,128.88	)	—	—	5	0.145	MON	77.76	8,114.02		2/4/2011	12/1/2012
3133EAK31	FEDERAL FARM CREDIT BANK AGENCY BND		1	499,140.63	500,840.61	500,000.00	499,170.87	1,669.74		30.24		—	—	0.47	0.528	FA	267.64	(19.58	)	8/22/2012	8/20/2015
31331KHV5	FEDERAL FARM CREDIT BANK AGENCY BND			998,457.50	999,285.69	1,000,000.00	998,839.39	446.3		243.56		—	—	0.289	0.289	MON	88.15	2,453.77		7/28/2011	4/20/2016
31331K2T6	FEDERAL FARM CREDIT BANK AGENCY BND			1,800,000	1,804,328.75	1,800,000.00	1,800,000.00	4,328.75		—		—	—	0.4	0.35	MJSD	371	4,534.5		1/27/2012	6/13/2014
3133EAQP6	FEDERAL FARM CREDIT BANK AGENCY BND			2,000,380.00	1,998,820.04	2,000,000.00	2,000,349.37	(1,529.33	)	(30.63	)	—	—	0.32	0.309	MN	2,400	(1,475.56	)	8/8/2012	5/16/2014
31331GVD8	FEDERAL FARM CREDIT BANK AGENCY BND			2,284,046.00	2,313,957.98	2,290,000.00	2,289,177.72	24,780.26		1,513.54		—	—	2.2	2.27	AO	24,210.39	41,995.56		5/4/2009	4/8/2013
3133EAYZ5	FEDERAL FARM CREDIT BANK AGENCY BND			2,524,312.44	2,524,061.86	2,525,000	2,524,363.77	(301.91	)	51.33		—	—	0.244	0.282	MON	187.87	1,181.74		7/16/2012	3/20/2015
31331JG49	FEDERAL FARM CREDIT BANK AGENCY BND			4,994,150	5,001,484.4	5,000,000	4,999,266.42	2,217.98		1,970.62		—	—	0.261	0.347	MON	579.44	11,880.15		9/17/2010	1/15/2013
3133EAX29	FEDERAL FARM CREDIT BANK AGENCY BND		1	5,000,000	5,004,100	5,000,000	5,000,000	4,100		—		—	—	0.98	0.98	MS	1,769.44	—		9/12/2012	9/18/2017
313380AG2	FEDERAL HOME LOAN BANKS AGENCY BND		1	1,117,407.37	1,118,055.45	1,117,407.37	1,117,407.37	648.08		—		—	—	0.6	0.572	FA	1,024.29	1,596.30		7/20/2012	8/6/2015
3133XWKV0	FEDERAL HOME LOAN BANKS AGENCY BND			1,809,325	1,804,074.93	1,750,000.00	1,800,405.24	3,669.69		(9,610.23	)	—	—	2.375	0.385	MS	1,962.67	9,598.96		6/27/2012	3/14/2014
313376GY5	FEDERAL HOME LOAN BANKS AGENCY BND			2,002,860.00	2,001,460.20	2,000,000.00	2,001,500.92	(40.72	)	(1,359.08	)	—	—	0.33	0.23	MN	2,218.33	2,273.33		1/25/2012	7/1/2013
313376UF0	FEDERAL HOME LOAN BANKS AGENCY BND			2,274,545.00	2,279,049.52	2,275,000.00	2,274,701.8	4,347.72		163.99		—	—	0.375	0.385	JJ	1,469.27	4,763.29		1/19/2012	1/29/2014
313380L96	FEDERAL HOME LOAN BANKS AGENCY BND			2,999,040.00	3,010,409.76	3,000,000.00	2,999,070.16	11,339.6		30.16		—	—	0.5	0.51	MN	1,583.33	—		8/22/2012	11/20/2015
313373JR4	FEDERAL HOME LOAN BANKS AGENCY BND			3,265,491.27	3,269,288.96	3,210,000.00	3,242,328.48	26,960.48		(16,708.01	)	—	—	1.375	0.762	MN	15,080.31	28,179.86		7/18/2011	5/28/2014
3133XSP93	FEDERAL HOME LOAN BANKS AGENCY BND			3,612,678.3	3,584,127.08	3,465,000.00	3,510,041.25	74,085.83		(27,593.83	)	—	—	3.125	2.022	JD	32,484.38	54,140.63		11/25/2009	12/13/2013
3133XX7F8	FEDERAL HOME LOAN BANKS AGENCY BND			6,987,260.00	7,046,760	7,000,000	6,998,013.75	48,746.25		4,023.14		—	—	1.625	1.686	MS	3,475.7	151,937.5		2/18/2010	3/20/2013
3133XWE70	FEDERAL HOME LOAN BANKS AGENCY BND			7,454,591.35	7,675,713.47	7,395,000	7,449,931.08	225,782.39		(7,842.90	)	—	—	2.5	2.048	JD	55,462.5	70,504.17		6/22/2012	6/13/2014
3133XXYX9	FEDERAL HOME LOAN BANKS AGENCY BND			9,188,566.41	9,032,367.75	8,925,000	9,027,458.66	4,909.09		(109,738.38	)	—	—	1.875	0.281	JD	46,484.38	94,921.88		8/10/2011	6/21/2013

313372VR2	FEDERAL HOME LOAN BANKS AGENCY BND		10,112,500	10,116,586.9	10,000,000	10,058,309.78	58,277.12		(34,800.09	)	—	—	1.2	0.729		JD	30,333.33	60,000		7/29/2011	12/30/2013
313371PC4	FEDERAL HOME LOAN BANKS UNSEC AGENCY BND		2,524,200	2,529,400.08	2,500,000	2,521,443.23	7,956.85		(2,756.77	)	—	—	0.875	0.482		JD	6,623.26	(425.35	)	6/18/2012	12/12/2014
3136G0FF3	FEDERAL NATIONAL MTG ASSN AGENCY BND	1	4,748,812.5	4,754,417.98	4,750,000	4,748,999.81	5,418.17		187.31		—	—	0.5	0.51		AO	9,961.81	(725.69	)	5/9/2012	10/30/2014
3137EACX5	FHLMC AGENCY AGENCY BND		7,975,120	8,012,240.64	8,000,000	7,986,200.15	26,040.49		9,545.54		—	—	0.375	0.536		AO	12,583.33	15,000		11/17/2011	10/30/2013
3134G2WG3	FHLMC AGENCY BND		1,704,960.6	1,714,228.83	1,700,000	1,703,197.04	11,031.79		(1,198.81	)	—	—	0.75	0.654		MS	318.75	12,750		8/24/2011	9/22/2014
3134G3LA6	FHLMC AGENCY BND		2,100,663.18	2,103,884.96	2,100,000	2,100,448.33	3,436.63		(347.96	)	—	—	0.375	0.36		FA	743.75	7,901.04		1/26/2012	2/27/2014
3137EACV9	FHLMC AGENCY BND		5,068,250	5,067,850.5	5,000,000	5,042,871.96	24,978.54		(16,757.71	)	—	—	1	0.547		FA	4,722.22	50,000		8/9/2011	8/27/2014
3137EABX6	FHLMC AGENCY BND		5,007,563.09	5,142,850.1	5,000,000	5,002,566.94	140,283.16		(1,485.52	)	—	—	2.5	2.459		JJ	29,166.67	125,000		2/19/2010	1/7/2014
3134G3NL0	FHLMC AGENCY BND	1	5,991,600	6,008,850	6,000,000	5,993,278.41	15,571.59		1,678.41		—	—	0.5	0.547		FA	3,083.33	15,000		2/6/2012	2/24/2015
3134G3ZA1	FHLMC AGENCY BND		6,010,680.00	6,026,099.88	6,000,000	6,010,055.13	16,044.75		(624.87	)	—	—	0.5	0.442		FA	2,750	2,666.67		7/25/2012	8/28/2015
3134G2U42	FHLMC AGENCY BND		6,743,392.79	6,769,260.72	6,760,000	6,751,382.56	17,878.16		6,184.74		—	—	0.375	0.498		AO	11,689.18	12,675		10/18/2011	10/15/2013
3134G3J76	FHLMC AGENCY BND		7,002,107	7,008,189.23	7,000,000.00	7,002,079.80	6,109.43		(27.2	)	—	—	0.45	0.44		MS	2,712.5	(1,487.5	)	9/14/2012	9/4/2015
3137EACH0	FHLMC AGENCY BND		8,563,258.24	8,483,120.08	8,000,000.00	8,407,511.7	75,608.38		(128,377.54	)	—	—	2.875	0.691		FA	33,222.22	230,000		11/2/2011	2/9/2015
3134G2MJ8	FHLMC AGENCY BND		14,685,125.07	14,698,985.56	14,700,000	14,694,722.07	4,263.49		5,576.28		—	—	0.171	0.185		MON	976.11	22,651.67		6/9/2011	6/17/2013
3137EACY3	FHLMC AGENCY BND		17,056,310.00	17,161,840.51	17,000,000	17,045,707.89	116,132.62		(10,643.06	)	—	—	0.75	0.624		MN	44,625	55,104.17		4/4/2012	11/25/2014
3134G2UA8	FHLMC AGENCY BND		19,167,610	19,246,429.44	19,000,000	19,116,085.52	130,343.92		(45,189.04	)	—	—	1	0.673		FA	21,638.88	191,199.99		1/17/2012	8/20/2014
31396UWM8	FHLMC AGENCY CMO 3184 FA	2	1,435,120.23	1,436,691.6	1,436,691.6	1,435,795.57	896.03		762.31		—	—	0.371	0.434		MON	236.73	5,623.36		4/23/2010	1/15/2015
31398EXU3	FHLMC AGENCY CMO 3566-DE	2	1,096,470.34	1,060,650.25	1,053,981.71	1,064,224.91	(3,574.66	)	(68,874.19	)	—	—	4	(0.889	)	MON	3,513.27	62,598.52		4/6/2011	3/1/2013
31396CLF5	FHLMC AGENCY CMO_3054 DW	2	80,363.00	84,085.72	80,665.50	80,422.27	3,663.45		160.18		—	—	5.5	5.664		MON	369.72	4,404.26		6/17/2008	2/1/2015
3133TJP56	FHLMC CMO AGENCY CMO_2130 QS	2	1,501,727.36	1,633,545.88	1,480,902.18	1,499,219.6	134,326.28		(5,963.6	)	—	—	6	5.537		MON	7,404.51	77,350.60		2/6/2007	7/1/2026
31393RDQ0	FHLMC CMO_2613 BV	2	1,889,594.71	1,850,205.49	1,802,967.74	1,846,863.27	3,342.22		(83,045.86	)	—	—	5	0.62		MON	7,512.37	104,440.35		2/24/2011	2/1/2014
31397Y5H0	FHLMC CMO_3484 DA	2	1,944,510.75	1,933,134.07	1,869,160.20	1,905,898.98	27,235.09		(32,044.41	)	—	—	5	2.503		MON	7,788.17	90,631.10		6/1/2009	11/1/2014
3137A7SR2	FHLMC CMO_3824 FA	2	3,344,733.00	3,339,508.53	3,344,733.00	3,344,733	(5,224.47	)	—		—	—	0.371	0.371		MON	551.14	12,083.36		2/28/2011	12/15/2017
31397G7M6	FHLMC CMO_R011 AB	2	1,038,159.9	1,054,664.83	1,029,473.71	1,030,245.96	24,418.87		(5,534.74	)	—	—	5.5	4.836		MON	4,718.42	72,951.82		9/4/2008	8/1/2013
31349UJL3	FHLMC GOLD POOL # 782967	2	106,719.03	115,964.07	108,327.02	106,792.28	9,171.79		147.7		—	—	2.375	2.652		MON	214.4	2,051.76		9/30/2008	1/1/2035
3128KWBZ5	FHLMC GOLD POOL # A65456	2	19,119.13	20,710.32	18,400.37	19,094.49	1,615.83		(120.08	)	—	—	6	4.865		MON	92	895.59		2/4/2009	9/1/2037
3128KWFX6	FHLMC GOLD POOL # A65582	2	47,432.43	51,379.98	45,649.25	47,372.21	4,007.77		(184.77	)	—	—	6	4.841		MON	228.25	2,172.12		2/4/2009	9/1/2037
3128KWFY4	FHLMC GOLD POOL # A65583	2	58,991.9	63,901.51	56,774.17	58,916.24	4,985.27		(609.06	)	—	—	6	4.884		MON	283.87	2,992.27		2/4/2009	9/1/2037
3128KWNV1	FHLMC GOLD POOL # A65804	2	1,856,327.08	2,057,615.46	1,835,250.38	1,855,434.63	202,180.83		(12,812.43	)	—	—	6	5.641		MON	9,176.25	104,613.41		11/2/2007	9/1/2037
3128KWNX7	FHLMC GOLD POOL # A65806	2	2,095,197.29	2,322,387.27	2,071,408.48	2,094,186.89	228,200.38		(4,595.19	)	—	—	6	5.653		MON	10,357.04	99,179.95		11/2/2007	9/1/2037
3128KWTK9	FHLMC GOLD POOL # A65954	2	53,757.92	58,231.91	51,736.94	53,689.48	4,542.43		(707.76	)	—	—	6	4.874		MON	258.68	2,881.32		2/4/2009	9/1/2037
3128KWTP8	FHLMC GOLD POOL # A65958	2	51,153.79	55,411.07	49,230.73	51,088.91	4,322.16		(516.47	)	—	—	6	4.85		MON	246.15	2,599.16		2/4/2009	9/1/2037
3128KWTZ6	FHLMC GOLD POOL # A65968	2	41,288.56	44,724.81	39,736.37	41,235.82	3,488.99		(261.28	)	—	—	6	4.849		MON	198.68	1,964.22		2/4/2009	9/1/2037
3128KWT29	FHLMC GOLD POOL # A65969	2	39,697.66	43,001.5	38,205.27	39,647.16	3,354.34		(345.94	)	—	—	6	4.848		MON	191.03	1,988.27		2/4/2009	9/1/2037

3128KW5Q2	FHLMC GOLD POOL # A66255	2	1,436,948.81	1,587,435.1	1,420,633.73	1,436,248.38	151,186.72	(6,694.6	)	—	—	6	5.654	MON	7,103.17	79,617.97	11/2/2007	9/1/2037
3128KYXE4	FHLMC GOLD POOL # A67877	2	28,293.64	30,648.39	27,229.98	28,256.11	2,392.28	(150.14	)	—	—	6	4.887	MON	136.15	1,299.58	2/4/2009	4/1/2037
312929CM2	FHLMC GOLD POOL # A82776	2	13,454.46	14,574.19	12,948.64	13,438.59	1,135.6	(86.23	)	—	—	6	4.83	MON	64.74	624.08	2/4/2009	1/1/2039
312930LH1	FHLMC GOLD POOL # A83928	2	34,091.26	36,928.51	32,809.64	34,048.02	2,880.49	(342.06	)	—	—	6	5.049	MON	164.05	1,733.85	2/4/2009	1/1/2039
312930LQ1	FHLMC GOLD POOL # A83935	2	60,842.31	65,905.91	58,555.01	60,764.28	5,141.63	(140.34	)	—	—	6	5.077	MON	292.78	2,754.76	2/4/2009	1/1/2039
312930RC6	FHLMC GOLD POOL # A84083	2	33,828.73	36,644.13	32,556.98	33,781.63	2,862.5	(222.06	)	—	—	6	5.169	MON	162.78	1,582.67	2/4/2009	1/1/2039
312930RV4	FHLMC GOLD POOL # A84100	2	13,108.68	14,199.66	12,615.88	13,092.88	1,106.78	(218.18	)	—	—	6	4.919	MON	63.08	741.59	2/4/2009	1/1/2039
312930TB6	FHLMC GOLD POOL # A84146	2	18,778	20,340.81	18,072.07	18,755.27	1,585.54	(13.68	)	—	—	6	4.944	MON	90.36	819.68	2/4/2009	1/1/2039
31292KJH1	FHLMC GOLD POOL # C02964	2	2,473.7	2,679.56	2,380.69	2,470.54	209.02	(18.68	)	—	—	6	4.813	MON	11.9	119.35	2/4/2009	7/1/2037
3128M4HY2	FHLMC GOLD POOL # G02647	2	1,506,746.74	1,660,715.27	1,527,511.36	1,507,376.3	153,338.97	9,048.7		—	—	5.5	6.1	MON	7,001.09	79,438.07	4/9/2007	2/1/2037
3128M4ZG1	FHLMC GOLD POOL # G03143	2	5,026.50	5,444.8	4,837.51	5,020	424.80	(28.11	)	—	—	6	4.847	MON	24.19	236.1	2/4/2009	7/1/2037
3128M5HK9	FHLMC GOLD POOL # G03534	2	9,739,211.07	10,663,653.61	9,477,109.71	9,729,074.42	934,579.19	(49,073.91	)	—	—	6.5	5.666	MON	51,334.34	508,188.85	11/6/2007	10/1/2037
3128M6UB2	FHLMC GOLD POOL # G04778	2	121,120.64	131,200.89	116,567.23	120,967.62	10,233.27	(985.77	)	—	—	6	4.954	MON	582.84	5,857.78	2/4/2009	7/1/2038
3128M7AZ9	FHLMC GOLD POOL # G05124	2	333,762.44	361,539.79	321,214.99	333,351.89	28,187.9	(2,477.05	)	—	—	6	4.964	MON	1,606.07	16,078.79	2/4/2009	12/1/2038
3128MJQ37	FHLMC GOLD POOL # G08473	2	1,277,717.97	1,324,218.31	1,234,696.51	1,276,450.34	47,767.97	(5,757.43	)	—	—	3.5	1.921	MON	3,601.2	26,402.57	2/3/2012	1/1/2042
3128MBBR7	FHLMC GOLD POOL # G12548	2	1,163,787.59	1,261,337.35	1,161,247.36	1,163,043.91	98,293.44	(831.16	)	—	—	5.5	5.374	MON	5,322.39	56,762.75	3/30/2007	1/1/2022
3128MCRQ0	FHLMC GOLD POOL # G13895	2	4,544,892.52	4,585,426.99	4,221,670.86	4,518,988.59	66,438.4	(125,498.54	)	—	—	5	1.914	MON	17,590.3	186,447.31	11/10/2011	11/1/2019
3128MTB72	FHLMC GOLD POOL # H00962	2	185,767.5	201,361.87	182,194.79	185,631.04	15,730.83	(662.33	)	—	—	6.5	5.795	MON	986.89	9,575.79	10/31/2007	7/1/2037
3128MTEE4	FHLMC GOLD POOL # H01033	2	3,960,025.59	4,292,452.04	3,883,865.4	3,957,116.65	335,335.39	(43,696.29	)	—	—	6.5	5.795	MON	21,037.61	260,316.91	10/31/2007	7/1/2037
3128MTF29	FHLMC GOLD POOL # H01085	2	1,204,339.15	1,305,438.05	1,181,177.01	1,203,378.35	102,059.7	(31,956.58	)	—	—	6.5	5.937	MON	6,398.04	108,360.08	10/31/2007	7/1/2037
3128PVWH9	FHLMC GOLD POOL # J16048	2	8,469,844.42	8,708,660.88	8,017,601.59	8,451,673.81	256,987.07	(54,433.83	)	—	—	4	2.231	MON	26,725.35	255,314.2	8/2/2011	7/1/2026
3128PV4J6	FHLMC GOLD POOL # J16225	2	2,925,142.32	3,007,619.88	2,768,955.9	2,919,084.23	88,535.65	(22,212.9	)	—	—	4	2.151	MON	9,229.85	89,738.68	8/2/2011	8/1/2026
3132GLQP2	FHLMC GOLD POOL # Q05262	2	4,755,983.82	4,919,845.17	4,595,847.27	4,751,632.8	168,212.37	(14,738.15	)	—	—	3.5	2.053	MON	13,404.55	107,519.79	2/3/2012	12/1/2041
3128JLHB8	FHLMC POOL # 1B1225	2	66,636.26	72,532.71	67,671.63	66,677.64	5,855.07	58.79		—	—	2.656	3.004	MON	149.78	1,317.29	4/2/2007	9/1/2033
3128JMW45	FHLMC POOL # 1B2566	2	90,995.79	98,917.03	91,711.13	91,019.74	7,897.29	93.2		—	—	2.651	2.77	MON	202.61	1,960.39	4/2/2007	11/1/2034
3128JMXM4	FHLMC POOL # 1B2583	2	1,558,959.41	1,651,612.4	1,576,266.85	1,559,711.78	91,900.62	2,237.26		—	—	2.671	2.875	MON	3,508.5	33,857.08	9/17/2008	10/1/2034
3128JMY68	FHLMC POOL # 1B2632	2	114,822.7	125,829.84	115,725.37	114,851.24	10,978.6	149.11		—	—	2.75	2.87	MON	265.2	2,606.02	4/3/2007	11/1/2034
3128JMZG5	FHLMC POOL # 1B2642	2	166,717.44	181,059.45	168,028.11	166,758.83	14,300.62	117.99		—	—	2.688	2.81	MON	376.38	3,509.57	4/2/2007	11/1/2034
3128JNAL9	FHLMC POOL # 1B2810	2	178,202.9	194,126.46	180,057.48	178,264.7	15,861.76	178.33		—	—	2.862	3.048	MON	429.44	3,957.05	4/2/2007	2/1/2035
3128NCB37	FHLMC POOL # 1G0058	2	235,643.14	248,974.97	236,196.73	235,631.56	13,343.41	72.95		—	—	2.753	2.744	MON	541.87	5,251.92	9/17/2008	1/1/2035
3128NCD68	FHLMC POOL # 1G0125	2	2,053,168.79	2,235,352.3	2,097,076.33	2,055,694.24	179,658.06	3,642.92		—	—	2.729	3.13	MON	4,769.1	43,769.05	12/13/2005	3/1/2035
3128NCMS0	FHLMC POOL # 1G0369	2	397,165.82	424,248.12	395,189.89	397,019.03	27,229.09	(208.93	)	—	—	2.48	2.32	MON	816.73	7,560.95	8/27/2008	10/1/2035
3128QJLG9	FHLMC POOL # 1G1227	2	283,197.83	289,258.63	277,644.94	282,921.32	6,337.31	(1,598.59	)	—	—	2.642	2.113	MON	611.28	6,589.46	1/4/2008	10/1/2036
3128QJRN8	FHLMC POOL # 1G1393	2	1,837,109.83	1,843,918.86	1,763,334.48	1,835,502.93	8,415.93	(30,884.47	)	—	—	2.816	1.686	MON	4,137.96	39,294.02	3/9/2012	12/1/2036

3128QJ3B0	FHLMC POOL # 1G1694		2	1,714,927.13	1,839,980.04	1,740,697.61	1,715,739.45	124,240.59		6,033.43		—	—	2.769	3.07	MON	4,016.66	60,298.19	8/10/2007	4/1/2037
31342AZE2	FHLMC POOL # 780741		2	561,145.54	582,306.42	543,893.91	560,464.37	21,842.05		(2,860.19	)	—	—	2.375	1.486	MON	1,076.46	10,954.16	11/16/2009	7/1/2033
31342A6F1	FHLMC POOL # 780870		2	378,615.84	415,189.9	384,498.67	378,884.33	36,305.57		785.75		—	—	2.365	2.688	MON	757.78	7,348.78	2/22/2012	9/1/2033
31349SJK0	FHLMC POOL # 781166		2	814,169.76	885,883.7	827,651.42	814,915.66	70,968.04		1,912.87		—	—	2.355	2.686	MON	1,624.27	15,638.19	1/9/2006	1/1/2034
31349UCW6	FHLMC POOL # 782785		2	164,893.11	177,221.35	166,189.42	164,940.03	12,281.32		182.18		—	—	2.232	2.362	MON	309.11	3,040.88	4/2/2007	10/1/2034
31349UEJ3	FHLMC POOL # 782837		2	329,706.6	359,866.65	332,298.53	329,800.84	30,065.81		359.91		—	—	2.375	2.498	MON	657.67	6,357.61	4/2/2007	11/1/2034
31349ULB2	FHLMC POOL # 783022		2	320,714.76	346,865.46	323,578.42	320,826.84	26,038.62		438.87		—	—	2.372	2.516	MON	639.61	6,406.22	4/2/2007	2/1/2035
31295NXK9	FHLMC POOL # 789682		2	40,670.53	43,711.04	40,905.42	40,679.04	3,032		6.69		—	—	2.352	2.434	MON	80.17	732.26	8/10/2006	9/1/2032
3128JRJS6	FHLMC POOL # 847473		2	2,007,817.75	2,127,089.82	2,016,007.79	2,007,945.84	119,143.98		805.31		—	—	2.355	2.391	MON	3,956.42	37,890.95	9/26/2007	12/1/2035
3128JRKQ8	FHLMC POOL # 847503		2	995,567.72	1,084,300.92	1,019,379.8	996,581.26	87,719.66		2,532.57		—	—	2.754	3.295	MON	2,339.48	21,244.89	5/31/2006	12/1/2035
3128JRPZ3	FHLMC POOL # 847640		2	357,367.12	386,649.79	359,325.43	357,407.1	29,242.69		227.59		—	—	2.869	2.929	MON	859.09	7,839.03	11/13/2006	5/1/2036
3128JRP26	FHLMC POOL # 847641		2	549,264.66	593,407.48	553,694.21	549,425.08	43,982.40		202.04		—	—	2.58	2.716	MON	1,190.44	10,987.45	2/22/2012	12/1/2033
3128JR6Z4	FHLMC POOL # 848088		2	8,559,231.56	8,821,168.29	8,145,588.42	8,548,459.03	272,709.26		(55,723.96	)	—	—	2.37	1.227	MON	16,087.54	157,798.48	3/8/2011	4/1/2035
31395CQZ7	FHLMC_2825 AGENCY CMO 2825		2	1,652,387.58	1,646,648.17	1,604,016.46	1,645,178.89	1,469.28		(19,569.74	)	—	—	5.5	0.93	MON	7,351.74	17,479.95	6/25/2012	2/1/2014
31397B7F2	FHLMC_3221 CMO_3211 QD		2	456,571.62	460,073.40	455,623.73	454,943.56	5,129.84		90.36		—	—	5.5	5.352	MON	2,088.27	37,096.22	4/19/2007	5/1/2013
31397JAB0	FHLMC_3346A AGNECY CMO_3335-AF		2	474,038.63	473,643.73	474,001.6	474,034.72	(390.99	)	(19.9	)	—	—	0.371	0.367	MON	78.1	2,274.05	7/22/2011	9/15/2018
31398WV35	FHLMC_3629 AGENCY CMO 3654		2	189,635.46	190,471.31	176,713.3	187,401.7	3,069.61		(4,319.76	)	—	—	5	0.514	MON	736.31	5,568.42	2/1/2012	12/1/2016
BRSE9BMN2	FIFTH THIRD PROCESSING SOLUTIO SENIOR			809,699.01	815,126.85	813,767.86	809,985.78	5,141.07		307.21		—	—	—	0.071	MJSD	—	15,059.86	3/7/2012	3/27/2019
31737UAE8	FINANCE FOR DANISH IND SENIOR CORP BND	F		6,417,600	6,401,279.3	6,400,000.00	6,401,772.36	(493.06	)	(12,628.42	)	—	—	0.642	0.382	MJSD	2,852.67	65,292.17	2/14/2011	12/6/2012
BRSBT2DD8	FIRST DATA CORPORATION TERM LOAN		2	1,635,000	1,899,160	2,000,000	1,685,790.44	213,369.56		48,657.6		—	—	—	3.084	MJSD	—	91,258.59	10/4/2011	3/26/2018
BRSDH9178	FLEETPRIDE TERM LOAN			1,029,718.38	1,060,208.08	1,047,119.09	1,031,998.61	28,209.47		2,231.44		—	—	—	0.277	FMAN	—	50,348.6	5/25/2012	12/6/2017
341081EN3	FLORIDA POWER & LIGHT CO CORP BND			2,779,404.8	2,759,603.2	2,720,000	2,724,582.3	35,020.9		(10,088.34	)	—	—	4.85	4.335	FA	21,986.67	131,920	4/25/2008	2/1/2013
30249UAA9	FMC TECHNOLOGIES INC. SENIOR CORP BND			349,184.50	353,658.21	350,000	349,187.84	4,470.37		3.34		—	—	2	2.049	AO	194.44	—	9/18/2012	10/1/2017
BRSF8V463	FMS WERTMANAGEMENT ANSTALT DES SENIOR	D		2,179,374.25	2,264,819.36	1,400,000	2,179,765.42	85,053.94		391.17		—	73,898.63	1	1.098	DEC	4,465.57	—	7/16/2012	12/1/2015
D2R6KTMR2	FMS WERTMANAGEMENT ANSTALT DES SENIOR	D		2,668,745	2,744,102.05	1,700,000	2,668,745	75,357.05		—		—	76,415	0.986	0.988	FMAN	4,561.48	—	7/26/2012	8/3/2015
31398AE24	FNMA AGENCY BND			2,995,680	3,018,629.7	3,000,000	2,999,439.95	19,189.75		1,063.47		—	—	1.75	1.798	FA	5,687.5	52,500	1/14/2010	2/22/2013
31359MRK1	FNMA AGENCY BND			3,126,550.66	3,076,710	3,000,000	3,024,084.76	52,625.24		(30,208.57	)	—	—	4.625	3.225	MN	57,812.5	69,375	2/19/2010	5/1/2013
3135G0NW9	FNMA AGENCY BND		1	3,999,600	4,003,479.92	4,000,000.00	3,999,609.86	3,870.06		9.86		—	—	0.625	0.628	MS	1,875	—	8/17/2012	9/4/2015
31398AJ94	FNMA AGENCY BND			4,991,950.00	5,046,850	5,000,000	4,998,420.35	48,429.65		1,945.66		—	—	1.75	1.803	MN	35,000.00	43,750	3/11/2010	5/7/2013
31398AU34	FNMA AGENCY BND			5,234,460	5,547,412.55	5,250,000	5,241,159.19	306,253.36		2,432.03		—	—	2.375	2.437	JJ	21,820.31	147,546.88	6/10/2010	7/28/2015
31359MZC0	FNMA AGENCY BND			5,904,904.9	5,934,357.48	5,300,000	5,658,781.45	275,576.03		(84,974.26	)	—	—	4.375	2.065	AO	106,920.14	115,937.50	7/16/2010	10/15/2015
3135G0EL3	FNMA AGENCY BND		1	6,399,360	6,401,976.96	6,400,000	6,399,657.69	2,319.27		239.26		—	—	0.6	0.605	AO	16,640	19,200	10/25/2011	10/25/2013
3136FRX73	FNMA AGENCY BND		1	6,999,930	7,049,354.48	7,000,000	6,999,948.3	49,406.18		12.91		—	—	1	1	MS	4,277.78	70,000	8/31/2011	9/9/2015
31398AT44	FNMA AGENCY BND			7,145,600.00	7,065,240	7,000,000	7,053,502.48	11,737.52		(257,397.01	)	—	—	1.5	0.457	JD	27,708.33	353,333.33	6/23/2011	6/26/2013

31398AHZ8	FNMA AGENCY BND		8,242,536	8,048,960	8,000,000	8,007,113.67	41,846.33		(39,593.44	)	—	—	4.75	4.069	MN	139,333.34	190,000		11/30/2007	11/19/2012
3135G0KM4	FNMA AGENCY BND		10,030,200	10,038,600.2	10,000,000	10,029,833.74	8,766.46		(366.26	)	—	—	0.5	0.387	MN	17,222.22	(15,555.56	)	9/18/2012	5/27/2015
3135G0BJ1	FNMA AGENCY BND		10,151,200	10,148,101.00	10,000,000	10,147,024.21	1,076.79		(4,175.79	)	—	—	1.125	0.277	JD	29,375	(23,750	)	9/12/2012	6/27/2014
31359MA45	FNMA AGENCY BND		10,962,357.43	11,184,800	10,000,000	10,492,245.01	692,554.99		(138,179.58	)	—	—	5	2.972	AO	230,555.56	250,000		2/19/2010	4/15/2015
3135G0CL5	FNMA AGENCY BND		14,292,278	14,308,656.79	14,300,000	14,297,238.95	11,417.84		3,309.92		—	—	0.345	0.406	FMAN	6,157.94	41,942.19		12/14/2011	5/17/2013
31394BPP3	FNMA AGENCY CMO_04-88 HA	2	24,524.95	25,250.14	23,717.09	24,070.72	1,179.42		(322.72	)	—	—	6.5	5.194	MON	128.47	1,485.87		1/14/2008	12/1/2015
31398T6X4	FNMA CMO 10-113 FA	2	3,298,296.71	3,308,095.01	3,306,045.26	3,299,390.17	8,704.84		3,435.6		—	—	0.617	0.702	MON	339.7	19,479.68		8/10/2011	5/25/2033
31394DA42	FNMA CMO_05-48 AR	2	163,731.96	178,693.47	162,563.54	163,251.70	15,441.77		(300.28	)	—	—	5.5	5.252	MON	745.08	7,700.05		12/20/2007	11/1/2019
31396L5J5	FNMA CMO_06-129 FA	2	1,019,630.92	1,014,878.62	1,020,268.6	1,019,804.66	(4,926.04	)	512.78		—	—	0.417	0.448	MON	70.82	4,826.76		3/23/2011	12/25/2015
31397MTX5	FNMA CMO_08-81 KA	2	1,895,904.31	1,985,746.85	1,902,443.94	1,896,000.87	89,745.98		(838.92	)	—	—	5	5.058	MON	7,926.85	106,107.16		7/29/2008	2/1/2015
31371NAC9	FNMA POOL # 256603	2	713,479.38	773,294.83	712,811.12	713,097.17	60,197.66		(230.34	)	—	—	5.5	5.363	MON	3,267.05	34,755.27		7/17/2008	2/1/2022
31371NE35	FNMA POOL # 256754	2	283,180.74	289,820.11	267,151.66	281,617.15	8,202.96		(4,882.65	)	—	—	5.5	2.828	MON	1,224.45	12,925.37		9/29/2009	6/1/2022
31385W2S7	FNMA POOL # 555285	2	3,255,032.40	3,297,478.45	2,954,085.00	3,246,088.39	51,390.06		(82,339.02	)	—	—	6	2.497	MON	14,770.43	152,636.36		1/5/2011	3/1/2033
31385XAZ0	FNMA POOL # 555424	2	4,147,724.99	4,202,962.88	3,810,441.39	4,139,823.94	63,138.94		(101,257.68	)	—	—	5.5	1.912	MON	17,464.52	132,263.62		1/25/2012	5/1/2033
31385XEW3	FNMA POOL # 555549	2	204,184.24	223,226.51	205,856.82	204,452.36	18,774.15		528.87		—	—	5	5.242	MON	857.73	9,077.67		12/14/2007	6/1/2018
31385XK48	FNMA POOL # 555715	2	107,203.4	116,518.84	108,160.61	107,248.57	9,270.27		68.55		—	—	2.36	2.56	MON	212.72	2,015.35		4/2/2007	7/1/2033
31400EGH7	FNMA POOL # 685200	2	187,235.08	204,696.65	188,768.81	187,486.64	17,210.01		455.04		—	—	5	5.249	MON	786.53	8,267.55		12/14/2007	3/1/2018
31400GJN6	FNMA POOL # 687069	2	31,197.69	33,834.3	31,261.2	31,150.18	2,684.12		567.11		—	—	5.5	5.5	MON	143.28	5,062.45		4/21/2006	1/1/2013
31400PG58	FNMA POOL # 693320	2	61,292.15	64,864.71	61,830.76	61,322.65	3,542.06		120.51		—	—	2.278	2.478	MON	117.38	1,241.25		8/10/2006	1/1/2033
31400QJ87	FNMA POOL # 694287	2	10,257.24	11,058.97	10,348.83	10,261.36	797.61		16.34		—	—	2.728	2.932	MON	23.53	216.85		4/2/2007	3/1/2033
31400SA33	FNMA POOL # 695826	2	94,244.46	103,033.72	95,016.47	94,366.73	8,666.99		355.79		—	—	5	5.253	MON	395.91	4,459.44		12/14/2007	4/1/2018
31401A3C9	FNMA POOL # 702895	2	206,492.18	225,749.72	208,183.70	206,798.96	18,950.76		490.53		—	—	5	5.223	MON	867.43	9,070.72		12/14/2007	4/1/2018
31401DVW8	FNMA POOL # 705429	2	137,880.57	145,825.13	139,487.96	137,971.76	7,853.37		573.36		—	—	2.335	2.615	MON	271.42	3,205.78		8/10/2006	4/1/2033
31401MKS9	FNMA POOL # 712305	2	1,201,144.41	1,212,677.72	1,127,835.13	1,200,166.82	12,510.9		(4,829.92	)	—	—	2.925	1.103	MON	2,749.1	17,099.31		2/23/2012	5/1/2033
31402DQB9	FNMA POOL # 725950	2	299,515.7	328,568.64	302,254.88	299,858.01	28,710.63		878.37		—	—	5	5.274	MON	1,259.4	13,288.63		7/17/2008	11/1/2019
31402HD32	FNMA POOL # 729222	2	1,522,811.01	1,622,228.25	1,539,644.81	1,523,767.26	98,460.99		5,691.22		—	—	2.336	2.554	MON	2,997.17	32,640.8		9/17/2008	7/1/2035
31402RB81	FNMA POOL # 735463	2	102,779.88	111,376.85	103,630	102,827.38	8,549.47		105.39		—	—	2.778	2.935	MON	239.9	2,165.45		9/28/2006	3/1/2035
31402RF87	FNMA POOL # 735591	2	7,883,382.59	8,288,076.48	7,596,188.80	7,873,886.88	414,189.6		(103,005.13	)	—	—	5	3.181	MON	31,650.79	342,372.12		4/30/2010	6/1/2035
31402YSV7	FNMA POOL # 742232	2	12,508.62	13,633.96	12,702.97	12,516.74	1,117.22		5.29		—	—	3	3.414	MON	31.76	279.31		4/2/2007	9/1/2033
31403C2L4	FNMA POOL # 745179	2	693,556.29	758,237.52	699,237.59	694,332.5	63,905.02		1,878.4		—	—	5	5.24	MON	2,913.49	31,107.56		12/14/2007	4/1/2019
31403DCE7	FNMA POOL # 745369	2	493,003.03	540,312.97	497,041.45	493,540.57	46,772.4		1,163.63		—	—	5	5.22	MON	2,071.01	21,638.09		12/14/2007	12/1/2019
31403DCZ0	FNMA POOL # 745388	2	1,255,120.31	1,372,173.14	1,265,401.68	1,256,690	115,483.14		3,330.27		—	—	5	5.234	MON	5,272.5	55,734.72		12/14/2007	11/1/2018
31403H3P3	FNMA POOL # 749706	2	737,933.28	802,481.45	747,215.1	738,406.89	64,074.56		1,459.11		—	—	2.745	3.043	MON	1,709.25	15,182.56		5/15/2006	11/1/2033
31403KDB6	FNMA POOL # 750798	2	5,269.97	5,633.31	5,351.84	5,273.49	359.82		1.90		—	—	2.574	2.983	MON	11.48	99.93		4/2/2007	12/1/2033

31403VBR9	FNMA POOL # 758848	2	244,730.43	267,554.06	246,735.16	244,998.24	22,555.82	468.65		—	—	5	5.256	MON	1,028.07	10,452.3	12/14/2007	1/1/2019
31404CLB4	FNMA POOL # 764522	2	30,216.77	32,832.37	30,828.52	30,248.31	2,584.06	130.75		—	—	2.397	2.859	MON	61.58	674.01	9/30/2008	6/1/2034
31404LRF9	FNMA POOL # 771886	2	94,898.44	103,599.22	96,485.2	94,975.56	8,623.66	42.9		—	—	2.592	3.06	MON	208.41	1,893.01	8/10/2006	2/1/2034
31404NBP0	FNMA POOL # 773246	2	124,300.44	133,901.10	125,340.76	124,345.77	9,555.33	126.53		—	—	2.601	2.771	MON	271.68	2,617.47	4/2/2007	2/1/2035
31404VGA0	FNMA POOL # 779693	2	602,352.97	652,061.06	608,053.46	602,680.83	49,380.23	149.63		—	—	2.632	2.817	MON	1,333.66	11,395.02	2/24/2006	7/1/2034
31405AQ71	FNMA POOL # 783578	2	372,828.17	398,452.8	381,760.77	373,464.27	24,988.53	5,947.82		—	—	2.335	2.793	MON	742.84	9,526.53	2/22/2012	12/1/2034
31405PAG5	FNMA POOL # 794807	2	167,587.87	178,268.72	167,131.61	167,548.65	10,720.07	(20.04	)	—	—	2.561	2.47	MON	356.68	2,814.11	6/30/2007	10/1/2034
31405UMM8	FNMA POOL # 799664	2	58,816.52	63,768.71	59,278.91	58,837.69	4,931.02	34.49		—	—	2.455	2.611	MON	121.27	1,067.36	4/2/2007	10/1/2034
31405UR84	FNMA POOL # 799811	2	207,187.69	220,220.18	206,646.29	207,141	13,079.18	(23.62	)	—	—	2.147	2.065	MON	369.72	3,378.63	6/30/2007	11/1/2034
31405UTZ2	FNMA POOL # 799868	2	14,745.57	15,858.42	14,861.47	14,750.47	1,107.95	16.83		—	—	2.295	2.464	MON	28.42	261.29	4/2/2007	11/1/2034
31406BB90	FNMA POOL # 804764	2	196,084.6	213,010.6	197,626.08	196,148.94	16,861.66	144.85		—	—	2.491	2.656	MON	410.24	3,875.45	4/2/2007	1/1/2035
31406BEZ9	FNMA POOL # 804852	2	165,569.05	179,635.6	166,870.66	165,624.63	14,010.97	179.35		—	—	2.459	2.622	MON	341.95	3,216.5	4/2/2007	12/1/2034
31406BJF8	FNMA POOL # 804962	2	188,158.66	202,751.96	189,637.84	188,219.51	14,532.45	174.05		—	—	2.573	2.738	MON	406.62	3,969.77	4/2/2007	1/1/2035
31406BQQ6	FNMA POOL # 805163	2	253,211.87	274,908.19	255,331.14	253,301.2	21,606.99	163.56		—	—	2.664	2.838	MON	566.84	5,282.56	4/2/2007	1/1/2035
31406DG67	FNMA POOL # 806721	2	391,780.07	424,167.31	394,859.99	391,907.91	32,259.4	402.29		—	—	2.583	2.748	MON	849.94	7,960	4/2/2007	11/1/2034
31406GLK3	FNMA POOL # 809530	2	63,802.82	69,233.66	64,254.66	63,827.98	5,405.68	60.86		—	—	2.603	2.733	MON	139.38	1,371.12	9/28/2006	2/1/2035
31406MYP5	FNMA POOL # 814418	2	170,996.87	181,876.28	172,523.72	171,061.65	10,814.63	197.4		—	—	2.489	2.68	MON	357.84	3,388.61	4/2/2007	3/1/2035
31406PKU2	FNMA POOL # 815807	2	290,006.72	314,199.86	292,774.26	290,175.94	24,023.92	356.53		—	—	2.548	2.73	MON	621.66	5,674.57	9/28/2006	2/1/2035
31406TLC3	FNMA POOL # 819423	2	381,774.15	415,179.39	385,183.03	381,919.17	33,260.22	332.42		—	—	2.933	3.113	MON	941.45	8,735.06	4/2/2007	4/1/2035
31406TTE1	FNMA POOL # 819649	2	2,860,311.32	2,949,836.45	2,765,255.64	2,856,726.97	93,109.48	(6,824.11	)	—	—	2.609	1.785	MON	6,012.13	54,325.41	12/4/2009	3/1/2035
31406VHE9	FNMA POOL # 821129	2	199,718.24	216,787.04	201,501.5	199,796.83	16,990.21	204.48		—	—	2.794	2.971	MON	469.16	4,253.31	4/2/2007	5/1/2035
31407D5R2	FNMA POOL # 828056	2	836,413.69	877,912.54	822,400.51	835,658.89	42,253.65	(3,851.43	)	—	—	2.752	2.343	MON	1,886.04	18,742.99	2/20/2009	6/1/2035
31407E6W8	FNMA POOL # 828985	2	465,049.78	508,729.35	481,060.07	466,015.04	42,714.31	2,584.67		—	—	2.249	2.989	MON	901.59	9,128.26	3/16/2006	8/1/2035
31407GC22	FNMA POOL # 829989	2	1,235,043.58	1,301,420.43	1,246,780.85	1,235,571.42	65,849.01	3,513.74		—	—	2.799	3.01	MON	2,908.12	30,909.09	1/20/2006	4/1/2035
31408C6D3	FNMA POOL # 847868	2	1,380,771.02	1,483,765.24	1,395,599.25	1,381,516.8	102,248.44	2,147.57		—	—	2.497	2.717	MON	2,904.01	26,150.27	5/12/2006	11/1/2035
31409UBQ7	FNMA POOL # 878547	2	1,051,115.65	1,144,703.63	1,059,600.74	1,051,470.01	93,233.62	909.39		—	—	2.862	3.027	MON	2,527.15	23,440.3	5/4/2006	3/1/2036
31410FU60	FNMA POOL # 888105	2	553,908.01	605,565.6	558,445.37	554,424.59	51,141.01	1,535.14		—	—	5	5.226	MON	2,326.86	24,751.1	12/14/2007	8/1/2020
31410GC35	FNMA POOL # 888490	2	249,777.79	268,004.62	250,343.62	249,785.45	18,219.17	69.72		—	—	2.525	2.552	MON	526.76	4,885.1	6/18/2007	5/1/2035
31410GC50	FNMA POOL # 888492	2	128,135.35	135,196.11	127,891.9	128,110.91	7,085.2	(52.26	)	—	—	2.34	2.257	MON	249.39	2,607.28	6/18/2007	5/1/2033
31410GDC4	FNMA POOL # 888499	2	1,004,371.27	1,072,974.66	1,010,014.36	1,004,599.91	68,374.75	1,004.73		—	—	2.347	2.462	MON	1,975.42	20,229.27	2/22/2012	8/1/2033
31410GDF7	FNMA POOL # 888502	2	126,437.27	136,650.89	128,080.72	126,522.87	10,128.02	232.77		—	—	2.165	2.464	MON	231.08	2,142.29	6/18/2007	6/1/2033
31410GDL4	FNMA POOL # 888507	2	546,452.66	595,851.06	556,018.32	546,946.94	48,904.12	1,616.03		—	—	2.321	2.692	MON	1,075.43	10,760.71	6/18/2007	2/1/2035
31410GDM2	FNMA POOL # 888508	2	639,626.67	696,798.91	648,569.32	640,022.68	56,776.23	662.74		—	—	2.788	3.125	MON	1,506.84	13,738.77	6/18/2007	3/1/2034
31410GDQ3	FNMA POOL # 888511	2	90,404.2	97,927.15	91,225.35	90,438.97	7,488.18	45.66		—	—	2.538	2.749	MON	192.94	1,785.01	6/18/2007	12/1/2033

31410GDS9	FNMA POOL # 888513	2	141,353.63	154,030.71	142,093.83	141,381.03	12,649.68	98.22		—	—	2.413	2.519	MON	285.73	2,789.17	6/18/2007	2/1/2034
31410GDX8	FNMA POOL # 888518	2	108,492.98	114,201.5	108,841.58	108,501.13	5,700.37	93.97		—	—	2.773	2.82	MON	251.51	2,549.05	6/18/2007	4/1/2035
31410GDY6	FNMA POOL # 888519	2	67,798.90	73,841.27	68,963.13	67,857.75	5,983.52	101.32		—	—	2.486	2.853	MON	142.87	1,338.77	6/18/2007	1/1/2035
31410GDZ3	FNMA POOL # 888520	2	866,414.78	937,114.24	871,937.05	866,639.96	70,474.28	175.86		—	—	2.609	2.743	MON	1,895.74	16,090.52	6/18/2007	7/1/2033
31410GD83	FNMA POOL # 888527	2	32,196.64	35,336.84	32,803.11	32,227.47	3,109.37	89.56		—	—	2.436	2.868	MON	66.59	663.31	6/18/2007	4/1/2034
31410GFD0	FNMA POOL # 888564	2	9,042,675.25	9,537,898.78	8,773,972.35	9,008,237.87	529,660.91	(89,553.1	)	—	—	5	3.588	MON	36,558.22	384,757.58	2/26/2009	10/1/2021
31410GPR8	FNMA POOL # 888832	2	4,915,899.46	5,315,136.3	4,727,536.64	4,908,944.25	406,192.05	(41,660.04	)	—	—	6.5	5.145	MON	25,607.49	261,046.96	1/25/2008	11/1/2037
31411DA33	FNMA POOL # 904626	2	1,061,811.95	1,098,518.39	1,056,775.75	1,061,466.43	37,051.96	(1,317.78	)	—	—	2.724	2.58	MON	2,398.88	24,217.9	12/13/2006	12/1/2036
31411GUY6	FNMA POOL # 907899	2	1,697,655.22	1,764,002.97	1,683,711.98	1,696,822.91	67,180.06	(1,722.68	)	—	—	2.404	2.178	MON	3,373.04	31,869.01	12/14/2006	1/1/2037
31411KCZ4	FNMA POOL # 910088	2	4,481,859.93	4,955,208.38	4,440,232.76	4,480,516.78	474,691.6	(7,472.21	)	—	—	6	5.598	MON	22,201.16	217,239.56	3/29/2007	3/1/2037
31411LEA5	FNMA POOL # 911029	2	344,554.97	352,633.27	325,051.85	342,476.52	10,156.75	(5,852.96	)	—	—	5.5	3.094	MON	1,489.82	15,576.47	9/29/2009	7/1/2022
31411WPJ0	FNMA POOL # 916725	2	1,372,722.85	1,401,654.62	1,297,316.33	1,371,803.85	29,850.77	(6,277.62	)	—	—	2.466	1.264	MON	2,665.99	17,528.87	2/14/2012	10/1/2036
31412LMG2	FNMA POOL # 928359	2	342,469.30	350,498.7	323,084.24	340,623.94	9,874.76	(5,296.64	)	—	—	5.5	2.716	MON	1,480.80	15,192.39	9/29/2009	5/1/2022
31412LQN3	FNMA POOL # 928461	2	442,502.62	452,877.37	417,455.3	440,141.62	12,735.75	(7,508.43	)	—	—	5.5	2.729	MON	1,913.34	20,166.27	9/29/2009	6/1/2022
31412LVF4	FNMA POOL # 928614	2	2,552,462.95	2,605,777.25	2,401,964.84	2,539,784.84	65,992.41	(63,977.91	)	—	—	5.5	2.606	MON	11,009.01	120,479.25	10/21/2009	8/1/2022
31412SRH0	FNMA POOL # 933488	2	941,585.83	973,934.64	897,015.39	937,569.7	36,364.94	(24,439.23	)	—	—	5	2.863	MON	3,737.56	44,317.58	9/29/2009	3/1/2023
31414ARA2	FNMA POOL # 960481	2	1,588,058.57	1,641,248.54	1,512,886.99	1,581,420.72	59,827.82	(20,702.78	)	—	—	5	2.722	MON	6,303.7	64,564.58	9/29/2009	12/1/2022
31414CRJ9	FNMA POOL # 962289	2	1,991,084.77	2,059,489.78	1,896,835.74	1,982,384.59	77,105.19	(28,241.24	)	—	—	5	2.916	MON	7,903.48	82,525.57	9/29/2009	3/1/2023
31414GD22	FNMA POOL # 965521	2	236,568.03	242,114.53	223,177.4	235,328.57	6,785.96	(3,327.67	)	—	—	5.5	2.914	MON	1,022.9	10,468.64	9/29/2009	12/1/2022
31414NB45	FNMA POOL # 970859	2	2,178,606.55	2,250,104.63	2,072,396.24	2,171,149.11	78,955.52	(32,981.6	)	—	—	5	2.71	MON	8,634.98	91,057.25	10/21/2009	12/1/2023
31414RB79	FNMA POOL # 973562	2	1,661,787.73	1,702,222.14	1,567,724.28	1,653,120.49	49,101.65	(44,679.41	)	—	—	5.5	3.012	MON	7,185.4	83,133.11	9/29/2009	3/1/2023
31415MDG7	FNMA POOL # 984003	2	2,739,301.14	3,115,845.71	2,821,749.11	2,741,409.31	374,436.4	47,948.15		—	—	5.5	6.469	MON	12,933.02	155,811.68	7/25/2008	6/1/2038
31415MFS9	FNMA POOL # 984077	2	1,315,310.06	1,360,498.4	1,253,049.18	1,309,808.61	50,689.79	(28,326.3	)	—	—	5	2.908	MON	5,221.04	57,880.83	9/29/2009	6/1/2023
31416BLV8	FNMA POOL # 995040	2	1,206,731.81	1,246,334.65	1,147,901.84	1,202,358.14	43,976.51	(27,822.26	)	—	—	5	2.654	MON	4,782.92	53,027.46	10/21/2009	6/1/2023
31416BSE9	FNMA POOL # 995217	2	2,269,227.99	2,320,439.08	2,138,944.56	2,259,565.73	60,873.35	(45,867.47	)	—	—	5.5	2.79	MON	9,803.49	105,140.97	10/21/2009	12/1/2023
31416BSX7	FNMA POOL # 995234	2	3,744,067.5	3,781,124.69	3,486,908.04	3,722,792.49	58,332.2	(134,106.57	)	—	—	5	1.787	MON	14,528.78	205,636.68	11/10/2011	7/1/2019
31416B4M7	FNMA POOL # 995528	2	2,841,877.5	2,968,654.25	2,735,451.33	2,829,752.21	138,902.04	(46,054.24	)	—	—	5	3.224	MON	11,397.71	125,818.63	3/20/2009	12/1/2021
31416B4N5	FNMA POOL # 995529	2	4,912,542.64	5,132,890.06	4,731,418.02	4,893,274.93	239,615.13	(66,033.91	)	—	—	5.5	3.772	MON	21,685.67	233,395.48	2/27/2009	11/1/2022
31416B4P0	FNMA POOL # 995530	2	2,443,639.69	2,546,503.43	2,343,316.47	2,431,900.45	114,602.98	(37,291.73	)	—	—	5.5	3.598	MON	10,740.2	115,118.04	3/20/2009	12/1/2021
31416B7J1	FNMA POOL # 995597	2	274,861.22	281,305.54	259,303.06	273,693.18	7,612.36	(5,854.02	)	—	—	5.5	2.875	MON	1,188.47	12,822.02	9/29/2009	3/1/2024
31416CME3	FNMA POOL # 995957	2	5,018,524.35	5,178,413.09	4,769,433.24	5,003,449.78	174,963.31	(103,086.36	)	—	—	5	2.633	MON	19,872.64	217,459.3	9/28/2009	6/1/2024
31416TL49	FNMA POOL # AA9346	2	10,801,536.98	11,796,564.41	10,686,561.33	10,797,544.02	999,020.39	(21,310.72	)	—	—	4.5	4.072	MON	40,074.61	399,061.45	2/2/2010	8/1/2039
31417BZA8	FNMA POOL # AB5236	2	99,038.58	100,447.98	94,702.97	98,949.23	1,498.75	(473.76	)	—	—	3	0.782	MON	236.76	960.5	6/6/2012	5/1/2027
31419BBT1	FNMA POOL # AE0949	2	5,252,311.7	5,330,823.38	4,954,280.75	5,245,648.52	85,174.86	(34,272.98	)	—	—	4	1.203	MON	16,514.27	62,507.12	5/2/2012	2/1/2041

31419ESP5	FNMA POOL # AE4125		2	4,842,160.15	5,026,403.34	4,671,363.42	4,836,120.26	190,283.08		(60,974.85	)	—	—	4	1.983		MON	15,571.21	168,240.76		11/5/2010	10/1/2040
3138A9YZ1	FNMA POOL # AH7927		2	3,297,621.93	3,390,219.04	3,185,627.23	3,293,622.94	96,596.1		(51,129.41	)	—	—	3.5	1.552		MON	9,291.41	100,429.68		8/3/2011	8/1/2026
3138E9KT6	FNMA POOL # AK4805		2	152,001.2	154,556.86	145,717.15	151,861.4	2,695.46		(264.9	)	—	—	3	1.06		MON	364.29	1,277.22		4/24/2012	3/1/2027
3138E9L40	FNMA POOL # AK4846		2	3,168,735.9	3,222,013.04	3,037,733.64	3,165,895.29	56,117.75		(6,142.95	)	—	—	3	1.138		MON	7,594.33	26,690.77		4/24/2012	5/1/2027
3138EJPG7	FNMA POOL # AL2222		2	1,046,815.64	1,047,779.73	987,853.15	1,045,929.42	1,850.31		(1,295.88	)	—	—	3	1.06		MON	2,469.63	1,243.39		8/7/2012	8/1/2027
3138M8YB3	FNMA POOL # AP5205		2	7,227,242.21	7,328,342.95	6,968,115.42	7,223,770.99	104,571.96		(3,471.22	)	—	—	2.5	1.082		MON	14,516.91	(8,226.25	)	9/6/2012	9/1/2027
3138ATD31	FNMA POOL# AJ1921		2	709,629.06	720,950.41	665,001.25	709,103.02	11,847.39		(4,752.48	)	—	—	4.5	1.783		MON	2,493.75	23,862.49		9/20/2011	9/1/2041
3138EBG33	FNMA POOL#AK6517		2	1,725,740.66	1,757,195.5	1,650,932.77	1,724,225.2	32,970.3		(4,280.99	)	—	—	3	1.669		MON	4,127.33	14,648.78		4/24/2012	3/1/2027
31398TX22	FNMA_10-87 AGENCY CMO_10-103 MA		2	5,339,444.17	5,144,145.87	5,077,628.93	5,173,572.79	(29,426.92	)	(118,060.35	)	—	—	4	(1.075	)	MON	16,925.43	170,174.23		9/7/2011	10/1/2013
3136A7QW5	FNMA_12-86 AGENCY CMO 12-86		2	2,782,656.25	2,806,129.7	2,750,000	2,780,758.69	25,371.01		(1,897.56	)	—	—	2	0.75		MON	4,583.33	(1,527.78	)	9/6/2012	1/1/2015
3136A4ZN2	FNMA_12-M2 AGENCY CMO 12-25		2	1,716,097.01	1,690,111.27	1,663,086.12	1,691,599.15	(1,487.88	)	(76,674.47	)	—	—	6.5	1.569		MON	9,008.38	82,623.28		2/16/2012	7/1/2013
31394FQ81	FNW_05-W3 AGENCY CMO 05-87		2	3,058,065.09	2,897,560.24	2,860,093.02	2,886,920.81	10,639.43		(345,416.33	)	—	—	5	0.103		MON	11,917.05	187,648		4/8/2011	3/1/2013
34528QAJ3	FORDF ABS 10-1 A 144A		2	4,591,757.81	4,515,570.00	4,500,000	4,511,050.01	4,519.99		(39,195.98	)	—	—	1.871	0.722		MON	3,273.81	65,834.83		2/22/2012	12/17/2012
34529QAC7	FORDL_11-A ABS_11-A A3		2	3,599,883	3,613,824.00	3,600,000.00	3,599,933.47	13,890.53		27.16		—	—	1.03	1.033		MON	1,648	27,810		6/29/2011	9/15/2013
34529LAD6	FORDO_10-A ABS 10-A-A3		2	464,592.51	465,620.66	464,677.36	464,667.12	953.54		70.51		—	—	1.32	1.333		MON	272.61	10,011.59		4/21/2010	3/15/2013
34529RAC5	FORDO_11-B ABS_11-B A3		2	6,498,915.8	6,525,155.00	6,500,000	6,499,514.22	25,640.78		411.27		—	—	0.84	0.849		MON	2,426.67	44,067.1		7/19/2011	2/15/2014
34529UAD6	FORDO_12-A ABS 12-A		2	2,339,403.3	2,380,872.17	2,340,000	2,339,515.55	41,356.62		112.25		—	—	1.15	1.16		MON	1,196	17,192.5		1/18/2012	12/15/2015
34529WAC4	FORDO_12-B ABS_12-B A3		2	2,502,148.44	2,511,565.03	2,500,000	2,501,888.94	9,676.09		(259.5	)	—	—	0.72	0.681		MON	800	3,900		6/22/2012	6/15/2015
BRSFQ6PR9	FOXCO ACQSTN SUB SENIOR SECURED TERM		1	676,600	684,032.4	680,000	676,609.58	7,422.82		9.58		—	—	—	0.102		MJSD	—	—		9/14/2012	7/31/2017
35177PAU1	FRANCE TELECOM CORP BND	F		996,600	1,027,396.32	1,000,000.00	997,943.6	29,452.72		498.58		—	—	2.125	2.197		MS	885.42	21,250		9/7/2010	9/16/2015
35177PAS6	FRANCE TELECOM CORP BND	F		6,246,739.39	6,211,109.48	5,881,000	6,039,598.77	171,510.71		(65,015.46	)	—	—	4.375	2.801		JJ	59,320.5	257,293.78		4/14/2010	7/8/2014
354613AE1	FRANKLIN RESOURCES INC. CORP BND			1,974,114.25	1,994,256.25	1,975,000.00	1,974,808.53	19,447.72		222.33		—	—	2	2.015		MN	14,373.61	19,750		5/19/2010	5/20/2013
354613AH4	FRANKLIN RESOURCES INC. SENIOR CORP BND			2,834,467.50	2,869,742.27	2,850,000.00	2,834,525.73	35,216.54		58.23		—	—	1.375	1.489		MS	761.98	—		9/19/2012	9/15/2017
BRSEHTXV4	FREEDOM GROUP INC SENIOR SEC TERM NOTES		1	3,889,900.00	3,934,437.5	3,910,000.00	3,891,078.95	43,358.55		1,178.95		—	—	—	0.073		MJSD	—	5,209.11		7/27/2012	4/19/2019
35671DAW5	FREEPORT-MCMORAN COPPER & GOLD SENIOR			3,345,980.00	3,380,965.62	3,350,000.00	3,346,479.02	34,486.6		499.02		—	—	2.15	2.175		MS	6,002.09	39,613.75		2/8/2012	3/1/2017
BRS4QJKV2	FREESCALE SEMICONDUCTOR INC. TERM LOAN		2	4,894,780.36	4,846,481.24	4,967,540.19	4,911,260.82	(64,779.58	)	9,980.56		—	—	—	0.268		MON	—	191,397.10		8/5/2011	12/1/2016
36156HAV0	GCOE_06-1 ABS 06-1		2	1,675,975.09	1,802,602.25	1,867,381.72	1,748,712.61	53,889.64		73,001.03		—	—	0.557	5.895		FMAN	1,010.97	9,389.32		2/22/2012	8/25/2015
36830HAC6	GE EQUIPMENT SMALL TICKET LLC ABS 11-1		2	1,699,745.68	1,709,979	1,700,000.00	1,699,897.73	10,081.27		73.81		—	—	1.45	1.46		MON	684.72	18,487.53		2/1/2011	2/21/2014
36162RAC2	GEEST_12-1A ABS 12-1A 144A		2	2,999,393.10	3,015,210	3,000,000.00	2,999,480.73	15,729.27		87.63		—	—	1.04	1.051		MON	866.67	9,620		5/22/2012	1/21/2015
BRSEW6RB8	GENERAC POWER SYSTEMS INC SENIOR SEC			842,800.00	863,766.80	860,000.00	843,703.14	20,063.66		903.14		—	—	—	0.33		MJSD	—	3,881.94		5/22/2012	6/22/2018
369550AM0	GENERAL DYNAMICS CORPORATION CORP BND			4,489,680.00	4,514,914.56	4,000,000.00	4,266,338.98	248,575.58		(65,965.42	)	—	—	5.375	2.94		FA	27,472.22	215,000		2/17/2010	8/15/2015
369550AN8	GENERAL DYNAMICS CORPORATION CORP BND			7,012,114.50	6,749,405.35	6,350,000.00	6,723,076.17	26,329.18		(208,006.01	)	—	—	5.25	0.813		FA	55,562.5	333,375.00		9/12/2011	2/1/2014
36962GZY3	GENERAL ELEC CAP CO CORP BND MTN			159,667.65	152,155.50	150,000.00	150,907.82	1,247.68		(2,334.2	)	—	—	5.45	3.314		JJ	1,725.84	8,175.00		10/29/2009	1/15/2013
36962G4D3	GENERAL ELECTRIC CAPITAL CORP CORP BND			261,337.5	303,223.25	250,000.00	258,566.37	44,656.88		(762.42	)	—	—	6	5.395		FA	2,250	15,000.00		10/29/2009	8/7/2019

36962G3T9	GENERAL ELECTRIC CAPITAL CORP CORP BND			104,630.90	102,536	100,000.00	100,809.96	1,726.04		(1,014.85	)	—	—	4.8	3.387		MN	2,000.00	2,400.00		10/29/2009	5/1/2013
36962GK86	GENERAL ELECTRIC CAPITAL CORP CORP BND			1,589,400.00	1,608,958.97	1,500,000.00	1,542,153.04	66,805.93		(15,409.96	)	—	—	4.75	3.255		MS	3,166.67	71,250.00		5/19/2010	9/15/2014
36962G5M2	GENERAL ELECTRIC CAPITAL CORP CORP BND			1,648,284.00	1,697,788.86	1,650,000.00	1,648,690.71	49,098.15		495.67		—	—	2.15	2.186		JJ	8,080.41	23,291.67		1/4/2012	1/9/2015
36962G5B6	GENERAL ELECTRIC CAPITAL CORP CORP BND			2,938,680.00	3,013,049.94	3,000,000.00	2,958,241.54	54,808.4		28,645.37		—	—	1.09	2.136		JAJO	7,627.2	65,786.62		1/5/2012	4/7/2014
36962GU51	GENERAL ELECTRIC CAPITAL CORP CORP BND			4,811,750.00	4,896,049.90	5,000,000.00	4,828,840.9	67,209		17,090.9		—	—	0.66	1.737		JAJO	7,603.72	3,624.57		5/25/2012	1/8/2016
36962G5D2	GENERAL ELECTRIC CAPITAL CORP CORP BND			5,000,000.00	5,003,049.85	5,000,000.00	5,000,000	3,049.85		—		—	—	1.308	1.138		FMAN	9,627.23	51,200.84		5/4/2011	5/9/2016
36962G4T8	GENERAL ELECTRIC CAPITAL CORP CORP BND			7,243,470.00	7,823,758.33	7,550,000.00	7,347,644.94	476,113.39		45,881.38		—	—	2.25	3.162		MN	67,006.26	84,937.50		2/22/2012	11/9/2015
BRSDVRW37	GENESYS TELECOMMUNICATIONS LAB TERM LOAN			1,257,879	1,298,631.71	1,283,550.00	1,260,056.59	38,575.12		2,306.59		—	—	—	0.288		JAJO	—	37,265.06		1/25/2012	1/25/2019
BRSAPKET8	GENON ENERGY LOAN TERM		2	493,692.99	497,716.77	494,930.31	493,781.05	3,935.72		165.88		—	—	—	0.045		MS	—	22,325.19		4/20/2012	12/4/2017
BRSFGD3F5	GENPACT LTD SENIOR SECURED TERM NOTES	F	2	935,300	942,350	940,000.00	935,300	7,050		—		—	—	—	0.072		MJSD	—	—		8/17/2012	8/6/2019
373334JV4	GEORGIA POWER COMPANY CORP BND			3,399,082.00	3,619,885.11	3,400,000.00	3,399,329.13	220,555.98		133		—	—	3	3.006		AO	47,033.33	51,000		4/12/2011	4/15/2016
373334JM4	GEORGIA POWER COMPANY CORP BND			13,105,434.50	12,336,100.54	11,650,000.00	12,107,406.22	228,694.32		(332,743.84	)	—	—	6	2.311		MN	291,250	404,078.33		4/9/2010	11/1/2013
BRSED9GW9	GETTY IMAGES INC. TERM NOTES			1,309,668.75	1,315,341.79	1,316,250	1,310,469.83	4,871.96		969.83		—	—	—	0.14		MON	—	23,428.64		3/22/2012	11/5/2015
377372AC1	GLAXOSK CAP INC CORP BND			2,574,349.5	2,543,854.5	2,475,000	2,491,179.2	52,675.3		(167,046.4	)	—	—	4.85	3.776		MN	45,347.5	526,130.7		6/5/2009	5/15/2013
377373AB1	GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP	F		2,698,644	2,715,341.78	2,700,000	2,699,068.45	16,273.33		424.45		—	—	0.75	0.763		MN	7,987.5	(1,137.5	)	7/24/2012	5/8/2015
377373AC9	GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP	F		6,277,383	6,398,416.33	6,300,000	6,279,103.08	119,313.25		1,720.08		—	—	1.5	1.575		MN	37,275	—		5/2/2012	5/8/2017
BRSBKZS71	GNC CORPORATION SENIOR SEC TERM LOAN		2	4,567,419.54	4,594,092.83	4,597,909.09	4,569,705.04	24,387.79		2,156.18		—	—	—	0.112		MJSD	—	94,515.28		7/27/2012	3/2/2018
36297A3K7	GNMA		2	435,785.58	450,989.44	417,331.69	434,213.97	16,775.47		(7,913.75	)	—	—	5	3.038		MON	1,738.88	22,035.4		3/26/2009	1/15/2024
38374H7F1	GNMA AGENCY CMO 04-69-FG		2	1,401,897.99	1,401,985.53	1,400,584.95	1,400,972.89	1,012.64		(1,138.45	)	—	—	0.519	0.432		MON	221.9	8,872.98		5/21/2010	5/20/2013
38376JSV7	GNMA AGENCY CMO 09-103		2	1,505,824.18	1,491,915.18	1,432,838.94	1,479,973.9	11,941.28		(43,483.76	)	—	—	4.5	(2.297	)	MON	5,373.15	40,995.46		2/6/2012	11/1/2013
38376GZ29	GNMA CMBS_11-096 AB		2	3,817,514.23	3,868,691.59	3,779,717.05	3,805,660.76	63,030.83		(23,475.26	)	—	—	2.161	1.618		MON	6,805.07	73,950.5		7/7/2011	12/1/2015
38375PXQ9	GNMA CMO 08-11 FB		2	1,369,302.22	1,354,923.52	1,365,887.5	1,369,264.72	(14,341.2	)	(1,090.66	)	—	—	0.819	0.708		MON	341.6	10,400.83		3/8/2010	8/20/2037
383742TU7	GNMA CMO 08-17 EH		2	1,527,481.72	1,507,169.82	1,454,095.34	1,482,158.61	25,011.21		(65,516.6	)	—	—	5.25	(0.457	)	MON	6,361.67	76,627.42		3/15/2011	7/1/2013
38374CQ53	GNMA CMO_03-86 VJ		2	2,561,998.79	2,469,957.3	2,435,649.47	2,458,638.46	11,318.84		(154,865.94	)	—	—	5.5	(0.369	)	MON	11,163.40	174,319.63		5/13/2011	2/1/2013
38374GRG9	GNMA CMO_04-38 VA		2	1,237,933.96	1,205,392.32	1,162,720.48	1,185,756.59	19,635.73		(43,573.34	)	—	—	5	(2.023	)	MON	4,844.67	50,019.56		1/7/2011	5/1/2013
38374JUS3	GNMA CMO_04-82 MA		2	4,194,453.95	4,083,189.49	3,945,110.62	4,070,183.9	13,005.59		(195,939.9	)	—	—	5	(1.293	)	MON	16,437.96	192,940.6		3/9/2011	12/1/2013
38374VKJ7	GNMA CMO_09-45 BA		2	4,835,685.16	4,664,694.22	4,504,859.55	4,591,206.59	73,487.63		(134,814.59	)	—	—	5	(0.273	)	MON	18,770.25	203,826.29		3/7/2011	8/1/2013
38376CUM9	GNMA CMO_09-79 PA		2	11,078,606.32	10,804,351.22	10,426,156.97	10,739,319.73	65,031.49		(393,753.81	)	—	—	4.5	(2.712	)	MON	39,098.09	417,222.99		8/2/2011	9/1/2013
38377MC61	GNMA CMO_10-147 MG		2	1,331,592.37	1,334,393.7	1,259,189.01	1,330,182.86	4,210.84		(4,519.65	)	—	—	2	0.117		MON	2,098.65	2,442.22		7/24/2012	9/1/2025
38376YG96	GNMA CMO_10-47 TA		2	367,698.46	363,832.07	358,730.21	365,360.95	(1,528.88	)	(3,706.75	)	—	—	3	(0.694	)	MON	896.83	2,747.97		6/4/2012	11/1/2013
36202EVU0	GNMA POOL # 004227		2	22,661.79	23,276.17	21,300.54	22,587.04	689.13		(881.40	)	—	—	4.5	2.298		MON	79.88	788.43		10/7/2010	7/20/2023
36202E5P0	GNMA POOL # 004454		2	15,003.79	15,198.21	14,102.54	14,931.16	267.05		(216.62	)	—	—	4.5	2.637		MON	52.88	525.22		10/7/2010	6/20/2024
36202FAE6	GNMA POOL # 004505		2	46,472.09	47,074.99	43,680.62	46,249.47	825.52		(827.84	)	—	—	4.5	2.666		MON	163.8	1,699.81		10/7/2010	8/20/2024
36202FBR6	GNMA POOL # 004548		2	29,974.68	30,363.54	28,174.16	29,835.87	527.67		(521.24	)	—	—	4.5	2.648		MON	105.65	1,087.29		10/7/2010	10/20/2024

36202FD78	GNMA POOL # 004626	2	1,324,174.42	1,341,648.98	1,244,634.49	1,318,186.46	23,462.52	(22,930.67	)	—	—	4.5	2.695	MON	4,667.38	48,526.84	10/7/2010	2/20/2025
36202FET9	GNMA POOL # 004646	2	223,233.24	226,179.16	209,824.17	222,241.05	3,938.11	(3,229.39	)	—	—	4.5	2.685	MON	786.84	7,816.77	10/7/2010	3/20/2025
36202FFH4	GNMA POOL # 004668	2	868,311.68	879,770.41	816,154.31	864,554.7	15,215.71	(12,515.95	)	—	—	4.5	2.656	MON	3,060.58	30,499.66	10/7/2010	4/20/2025
36202FF43	GNMA POOL # 004687	2	600,530.58	608,455.52	564,458.17	598,619.23	9,836.29	(9,562.2	)	—	—	4.5	2.689	MON	2,116.72	21,816.35	10/7/2010	5/20/2025
36202FZV1	GNMA POOL # 005256	2	6,296,127.78	6,288,424.18	5,872,226.43	6,283,678.35	4,745.83	(55,548.04	)	—	—	3.5	1.787	MON	17,127.33	132,328.25	1/18/2012	12/20/2026
36202KME2	GNMA POOL # 008457	2	450,463.6	455,855.28	444,216.80	449,621.61	6,233.67	(742.37	)	—	—	1.625	1.255	MON	601.54	5,685.17	3/18/2009	7/20/2024
36225CD29	GNMA POOL # 080120	2	386,876.42	392,500.69	382,927.50	386,531.57	5,969.12	(405.63	)	—	—	1.625	1.342	MON	518.55	5,025.11	3/18/2009	10/20/2027
36225C5S1	GNMA POOL # 080856	2	8,577,351.16	8,725,893.28	8,378,364.98	8,569,985.02	155,908.26	(19,294.19	)	—	—	1.625	1.228	MON	11,345.70	110,414.15	3/2/2011	3/20/2034
36225C6Y7	GNMA POOL # 080886	2	8,758,687.68	8,973,170.24	8,545,061.14	8,750,825.93	222,344.31	(22,904.15	)	—	—	1.75	1.333	MON	12,461.55	117,626.86	3/2/2011	4/20/2034
36225DAS3	GNMA POOL # 080916	2	305,254.33	318,051.13	306,740.09	305,351.05	12,700.08	148.72		—	—	1.75	1.821	MON	447.33	4,202.81	4/17/2008	5/20/2034
36225DJA3	GNMA POOL # 081156	2	814,254.52	851,595.09	811,970.91	814,062.9	37,532.19	(213.41	)	—	—	1.625	1.57	MON	1,099.55	10,338.35	3/18/2009	11/20/2034
36225DJZ8	GNMA POOL # 081179	2	794,077.23	800,988.09	791,850.14	793,882.43	7,105.66	(227.36	)	—	—	1.625	1.572	MON	1,072.3	10,154.76	3/18/2009	12/20/2034
36225DLE2	GNMA POOL # 081224	2	495,751.64	523,214.78	498,086.44	495,871.51	27,343.27	274.93		—	—	1.625	1.694	MON	674.49	6,662.83	3/18/2009	1/20/2035
36225EVZ2	GNMA POOL # 082431	2	2,823,109.04	2,963,783.00	2,788,255.85	2,819,990.35	143,792.65	(10,183.77	)	—	—	3	2.908	MON	6,970.64	74,289.15	10/28/2009	12/20/2039
36225EWE8	GNMA POOL # 082444	2	566,604.29	581,617.32	554,814.48	566,323.94	15,293.38	(2,789.25	)	—	—	3.75	3.154	MON	1,733.8	17,776.19	11/3/2009	12/20/2039
36204J4C7	GNMA POOL # 371719	2	255,454.80	279,197.07	240,428.05	253,226.14	25,970.93	(2,374.77	)	—	—	6.5	4.92	MON	1,302.32	12,667.53	9/11/2008	4/15/2024
36204SV60	GNMA POOL # 378737	2	310,372.80	338,488.91	292,115.56	308,176.54	30,312.37	(2,478.04	)	—	—	6.5	4.46	MON	1,582.29	15,257.49	9/11/2008	1/15/2024
36205BKY7	GNMA POOL # 385611	2	399,670.45	436,816.3	376,160.43	396,550.3	40,266	(2,386.09	)	—	—	6.5	4.726	MON	2,037.54	19,232.74	9/11/2008	4/15/2024
36210BZH1	GNMA POOL # 487744	2	691,975.56	707,332.72	654,543.84	689,448.41	17,884.31	(4,627.8	)	—	—	5	2.611	MON	2,727.27	26,660.16	9/29/2009	3/15/2024
36210BZJ7	GNMA POOL # 487745	2	491,650.4	502,561.68	465,055.05	489,846.35	12,715.33	(5,375.65	)	—	—	5	2.62	MON	1,937.73	19,347.50	9/29/2009	3/15/2024
36210B4N2	GNMA POOL # 487829	2	390,098.30	406,189.7	376,906.57	388,849.34	17,340.36	(4,155.91	)	—	—	4.5	3.161	MON	1,413.4	14,460.79	3/26/2009	4/15/2024
36210B4Q5	GNMA POOL # 487831	2	152,946.91	156,341.31	144,673.42	152,420.84	3,920.47	(549.39	)	—	—	5	2.522	MON	602.81	5,574.63	9/29/2009	4/15/2024
36210B4R3	GNMA POOL # 487832	2	517,301.47	534,949.07	495,025.34	515,363.98	19,585.09	(2,231.66	)	—	—	5	3.135	MON	2,062.61	19,641.29	3/26/2009	4/15/2024
36211V6Q8	GNMA POOL # 524779	2	228,349.22	236,315.95	218,679.48	227,415.18	8,900.77	(4,882.59	)	—	—	5	3.302	MON	911.16	9,727.57	3/26/2009	1/15/2024
36201YER3	GNMA POOL # 606844	2	1,212,403.14	1,286,410.28	1,157,037.11	1,211,420.87	74,989.41	(6,649.51	)	—	—	5	2.957	MON	4,820.99	47,072.5	4/23/2010	9/15/2033
36290SJB8	GNMA POOL # 615958	2	6,970,904.63	7,396,420.39	6,652,568.80	6,965,225.8	431,194.59	(64,097.72	)	—	—	5	2.97	MON	27,719.04	276,594.16	4/23/2010	9/15/2033
36292DWW8	GNMA POOL # 646061	2	224,000.85	248,103.96	214,804.54	223,622.6	24,481.36	(1,702.73	)	—	—	6.5	4.925	MON	1,163.52	11,487.38	1/31/2008	11/15/2037
36295KAT0	GNMA POOL # 672418	2	101,879.63	112,842.16	97,696.98	101,708.69	11,133.47	(3,169.43	)	—	—	6.5	4.98	MON	529.19	6,901.71	1/31/2008	12/15/2037
36295PZJ4	GNMA POOL # 676745	2	245,261.18	253,621.17	234,875.30	244,214.73	9,406.44	(3,814.65	)	—	—	5	3.137	MON	978.65	10,169.13	3/26/2009	3/15/2023
36295P4L3	GNMA POOL # 676827	2	601,255.62	621,378.09	575,450.25	598,811.25	22,566.84	(8,321.12	)	—	—	5	3.033	MON	2,397.71	25,429.26	3/26/2009	5/15/2023
36295QJE1	GNMA POOL # 677161	2	1,128,177.96	1,160,814.23	1,075,015.11	1,123,893.15	36,921.08	(18,703.85	)	—	—	5	2.901	MON	4,479.23	46,807.97	4/27/2009	8/15/2023
36295TVQ4	GNMA POOL # 680223	2	129,013.84	142,896.05	123,717.17	128,796.62	14,099.43	(803.08	)	—	—	6.5	4.877	MON	670.13	6,382.06	1/31/2008	1/15/2038
36296A5Y6	GNMA POOL # 685863	2	102,038.44	103,371.78	95,881.07	101,585.74	1,786.04	(3,527.64	)	—	—	4.5	2.04	MON	359.55	4,569.85	10/7/2010	5/15/2023
36296DR67	GNMA POOL # 688209	2	63,065.59	64,875.48	60,080.35	62,834.21	2,041.27	(4,247.88	)	—	—	5	2.883	MON	250.33	4,197.65	7/29/2009	7/15/2023

36296E5H5	GNMA POOL # 689448	2	354,156.71	366,228.51	339,159.51	352,754.31	13,474.2	(1,182.76	)	—	—	5	3.086	MON	1,413.16	13,185.68	3/26/2009	7/15/2023
36296TPY3	GNMA POOL # 700739	2	538,129.49	551,992.25	509,660.19	535,390.15	16,602.1	(12,529.88	)	—	—	5.5	3.04	MON	2,335.94	26,544.96	6/3/2009	10/15/2023
36296UC73	GNMA POOL # 701294	2	277,300.19	286,674.47	265,279.70	276,211.13	10,463.34	(2,524.19	)	—	—	5	3.133	MON	1,105.33	11,074.52	3/27/2009	1/15/2024
36296URS1	GNMA POOL # 701697	2	838,951.12	857,570.13	793,568.90	835,785.14	21,784.99	(12,698.02	)	—	—	5	2.645	MON	3,306.54	34,547.94	9/29/2009	2/15/2024
36296UUL2	GNMA POOL # 701787	2	421,330.76	439,317.15	406,530.52	420,071.85	19,245.3	(16,071.74	)	—	—	5	3.457	MON	1,693.88	21,446.94	6/11/2009	3/15/2024
36296UXG0	GNMA POOL # 701879	2	356,915.82	361,434.89	335,378.24	355,625.23	5,809.66	(8,161.9	)	—	—	4.5	1.873	MON	1,257.67	13,233.50	10/7/2010	5/15/2024
36296U3C2	GNMA POOL # 701995	2	487,146.37	503,751.24	466,517.54	485,455.65	18,295.59	(13,853.41	)	—	—	5	2.943	MON	1,943.82	20,353.44	3/26/2009	1/15/2024
36296XHH0	GNMA POOL # 704132	2	163,076.04	166,565.95	154,254.58	162,494.65	4,071.3	(2,236.11	)	—	—	5	2.477	MON	642.73	6,676.60	9/29/2009	12/15/2023
36296XLY8	GNMA POOL # 704243	2	580,124.5	604,889.7	559,746.24	578,311.74	26,577.96	(1,348.19	)	—	—	5	3.494	MON	2,332.28	21,571.71	6/11/2009	1/15/2024
36296XWP5	GNMA POOL # 704554	2	2,585,168.71	2,697,154.69	2,495,863.61	2,577,777.14	119,377.55	(21,842.56	)	—	—	5	3.495	MON	10,399.43	106,138.03	6/11/2009	6/15/2024
36297AKC6	GNMA POOL # 705991	2	89,233.81	90,363.63	83,849.11	88,904.28	1,459.35	(1,412.25	)	—	—	4.5	1.781	MON	314.43	3,206.95	10/7/2010	1/15/2024
36297AKF9	GNMA POOL # 705994	2	663,689.5	678,418.89	627,787.88	661,344.17	17,074.72	(8,207.86	)	—	—	5	2.489	MON	2,615.78	26,324.09	9/29/2009	1/15/2024
36297CV22	GNMA POOL # 708133	2	74,065.35	75,003.12	69,595.98	73,788.37	1,214.75	(306.80	)	—	—	4.5	1.825	MON	260.98	2,416.81	10/7/2010	1/15/2024
36297DFF9	GNMA POOL # 708566	2	1,566,223.00	1,600,982.49	1,481,499.73	1,560,010.81	40,971.68	(16,276.34	)	—	—	5	2.79	MON	6,172.92	62,351.20	9/29/2009	4/15/2024
36297DP35	GNMA POOL # 708842	2	49,395.13	50,020.55	46,414.46	49,216.26	804.29	(1,373.05	)	—	—	4.5	1.877	MON	174.05	2,143.20	10/7/2010	5/15/2024
36297DTR8	GNMA POOL # 708960	2	708,668.88	733,393.20	678,659.41	705,808.12	27,585.08	(24,829.75	)	—	—	5	3.323	MON	2,827.74	33,419.01	3/26/2009	3/15/2024
36297GCD0	GNMA POOL # 711168	2	890,821.36	902,564.06	837,066.03	887,764.52	14,799.54	(12,074.6	)	—	—	4.5	2.038	MON	3,139	31,348.3	10/7/2010	2/15/2025
36297G2R0	GNMA POOL # 711884	2	2,255,465.80	2,305,521.81	2,133,458.65	2,247,559.61	57,962.2	(9,891.51	)	—	—	5	2.56	MON	8,889.41	82,554.29	9/29/2009	4/15/2024
36297JJ54	GNMA POOL # 713184	2	1,449,557.17	1,481,727.48	1,371,144.83	1,443,569.5	38,157.98	(11,701.34	)	—	—	5	2.862	MON	5,713.1	57,295.23	9/29/2009	4/15/2024
36297KZF1	GNMA POOL # 714542	2	445,400.86	464,274.77	429,625.53	443,881.99	20,392.78	(3,322.9	)	—	—	5	3.701	MON	1,790.11	17,394.95	6/11/2009	6/15/2024
3620A2KC9	GNMA POOL # 716791	2	1,304,325.89	1,333,273.03	1,233,769.67	1,299,544.65	33,728.38	(26,299.2	)	—	—	5	2.645	MON	5,140.71	55,349.63	9/29/2009	4/15/2024
3620A32R4	GNMA POOL # 718184	2	87,026.94	88,174.12	81,775.43	86,729.19	1,444.93	(1,448.65	)	—	—	4.5	2.064	MON	306.66	3,098.72	10/7/2010	3/15/2025
3620A5FJ3	GNMA POOL # 719369	2	977,960.24	987,950.55	916,256.12	974,592.68	13,357.87	(21,552.83	)	—	—	4.5	1.884	MON	3,435.96	37,773.80	8/31/2010	4/15/2025
3620A6AC1	GNMA POOL # 720103	2	748,304.18	828,316.51	735,434.07	747,834.80	80,481.71	(872.51	)	—	—	4.5	4.143	MON	2,757.87	25,803.66	6/18/2009	6/15/2039
3620A6DZ7	GNMA POOL # 720220	2	1,345,304.47	1,384,162.41	1,280,861.13	1,340,175.23	43,987.18	(9,407.38	)	—	—	5	3.18	MON	5,336.92	53,135.37	7/29/2009	7/15/2024
3620A7RQ0	GNMA POOL # 721495	2	495,578.56	502,111.19	465,673.56	493,672.06	8,439.13	(7,245.97	)	—	—	4.5	2.324	MON	1,746.28	17,757.75	10/7/2010	1/15/2025
3620A7R64	GNMA POOL # 721509	2	419,780.37	425,313.88	394,449.34	418,221.57	7,092.31	(5,052.93	)	—	—	4.5	2.264	MON	1,479.19	15,084.7	10/7/2010	2/15/2025
3620A9MU2	GNMA POOL # 723171	2	48,733.01	49,350.05	45,792.29	48,556.12	793.93	(780.48	)	—	—	4.5	2.07	MON	171.72	1,749.23	10/7/2010	10/15/2024
3620A9QJ3	GNMA POOL # 723257	2	695,976.39	704,788.47	653,978.69	693,392.26	11,396.21	(11,037.27	)	—	—	4.5	2.103	MON	2,452.42	24,840.74	10/7/2010	9/15/2024
3620A9WS6	GNMA POOL # 723457	2	666,791.92	675,234.51	626,555.34	664,259.37	10,975.14	(7,443.69	)	—	—	4.5	2.262	MON	2,349.58	23,200.34	10/7/2010	12/15/2024
3620A9WW7	GNMA POOL # 723461	2	363,479.52	368,081.71	341,545.87	362,163.25	5,918.46	(5,118.45	)	—	—	4.5	2.131	MON	1,280.8	13,016.48	10/7/2010	12/15/2024
3620A9ZN4	GNMA POOL # 723549	2	911,149.56	923,160.22	856,167.55	907,684.33	15,475.89	(11,746.24	)	—	—	4.5	2.295	MON	3,210.63	32,029.19	10/7/2010	1/15/2025
3620ADCM2	GNMA POOL # 726476	2	9,340,177.59	9,555,239	8,866,380.38	9,304,942.79	250,296.21	(111,192.6	)	—	—	4.5	2.446	MON	33,248.93	336,579.73	12/8/2009	11/15/2024
3620AFY35	GNMA POOL # 728930	2	109,865.87	111,256.94	103,236.18	109,463.30	1,793.64	(1,273.34	)	—	—	4.5	2.165	MON	387.14	3,805.22	10/7/2010	12/15/2024

3620AKQR0	GNMA POOL # 732264	2	255,603.98	258,973.31	240,179.92	254,667.47	4,305.84		(3,361.39	)	—	—	4.5	2.289		MON	900.67	8,825.45		10/7/2010	4/15/2025
3620AKR57	GNMA POOL # 732308	2	47,375.31	47,999.81	44,516.52	47,232.32	767.49		(2,717.26	)	—	—	4.5	1.634		MON	166.94	1,885.02		10/7/2010	4/15/2025
3620AL5N0	GNMA POOL # 733553	2	552,069.98	559,347.31	518,756.12	550,155.15	9,192.16		(11,955.06	)	—	—	4.5	2.138		MON	1,945.34	20,233.67		10/7/2010	4/15/2025
3620AQG72	GNMA POOL # 736522	2	612,699.11	620,775.63	575,726.66	610,523.62	10,252.01		(7,504.38	)	—	—	4.5	2.205		MON	2,158.97	21,309.13		10/7/2010	4/15/2025
3620AQHC0	GNMA POOL # 736527	2	273,937.81	277,548.83	257,407.43	272,937.79	4,611.04		(3,457.12	)	—	—	4.5	2.279		MON	965.28	9,291.07		10/7/2010	4/15/2025
3620AQXC2	GNMA POOL # 736975	2	438,654.54	444,436.84	412,184.57	437,078.17	7,358.67		(6,207.48	)	—	—	4.5	2.175		MON	1,545.69	15,596.85		10/7/2010	2/15/2025
3620AQ5X7	GNMA POOL # 737162	2	352,609.89	357,257.97	331,332.17	351,297.98	5,959.99		(3,421.29	)	—	—	4.5	2.328		MON	1,242.50	12,057.56		10/7/2010	4/15/2025
3620AQ6A6	GNMA POOL # 737165	2	1,307,380.78	1,324,614.52	1,228,488.77	1,302,816.02	21,798.5		(18,764.33	)	—	—	4.5	2.158		MON	4,606.83	46,790.24		10/7/2010	4/15/2025
3620ASPY9	GNMA POOL # 738539	2	5,521,044.40	5,666,380.83	5,139,590.44	5,515,000.46	151,380.37		(86,085.57	)	—	—	4	0.734		MON	17,131.96	174,851.33		10/3/2011	7/15/2041
3620AWE48	GNMA POOL # 741855	2	239,632.5	242,791.29	225,172.21	238,757.35	4,033.94		(2,909.02	)	—	—	4.5	2.31		MON	844.4	8,384.19		10/7/2010	5/15/2025
3620AWE63	GNMA POOL # 741857	2	195,509.55	198,086.75	183,711.82	194,826.28	3,260.47		(3,420.82	)	—	—	4.5	2.192		MON	688.92	7,098.19		10/7/2010	5/15/2025
36225BPY8	GNMA POOL # 781339	2	269,415.74	277,043.57	244,091.25	268,036.82	9,006.75		(2,991.9	)	—	—	8	5.141		MON	1,627.28	15,650.46		3/7/2008	9/15/2031
36241KBP2	GNMA POOL # 781846	2	4,366,144.48	4,952,924.31	4,228,711.36	4,361,069.32	591,854.99		(21,983.56	)	—	—	6.5	5.538		MON	22,905.51	223,914.48		8/15/2008	9/15/2034
36241KEC8	GNMA POOL # 781931	2	3,001,234.38	3,394,582.81	2,906,764.55	2,997,873.30	396,709.51		(16,377.82	)	—	—	6.5	5.563		MON	15,744.98	155,109.93		8/15/2008	5/15/2035
36241KEH7	GNMA POOL # 781936	2	2,162,553.79	2,299,195.13	2,091,634.34	2,160,957.10	138,238.03		(22,658.27	)	—	—	4.5	3.022		MON	7,843.63	83,749.19		6/3/2010	6/15/2035
36241KGU6	GNMA POOL # 782011	2	178,829.72	193,590.29	175,001.46	178,727.58	14,862.71		(771.1	)	—	—	5	4.022		MON	729.17	7,294.35		7/14/2009	12/15/2035
36241KKB3	GNMA POOL # 782090	2	3,551,557.87	3,950,921.28	3,417,013.00	3,545,108.43	405,812.85		(25,089.49	)	—	—	6.5	5.418		MON	18,508.82	186,226.31		11/30/2007	5/15/2036
36241K6L7	GNMA POOL # 782675	2	61,830.88	62,613.76	58,099.79	61,607.85	1,005.91		(1,117.58	)	—	—	4.5	1.904		MON	217.87	2,268.44		10/7/2010	6/15/2024
36241LHQ2	GNMA POOL # 782939	2	6,055,261.74	6,415,967.43	5,778,739.99	6,051,305.78	364,661.65		(56,775.13	)	—	—	5	3.05		MON	24,078.08	242,763.87		4/23/2010	9/15/2036
36241LN36	GNMA POOL # 783110	2	1,381,318.53	1,423,120.53	1,275,676.58	1,380,104.28	43,016.25		(20,058.36	)	—	—	5.5	2.337		MON	5,846.85	58,156.95		9/23/2010	4/15/2036
36179MEL0	GNMA POOL # MA0139	2	5,199,891.46	5,253,764.41	4,907,728.25	5,199,369.57	54,394.84		(6,014.93	)	—	—	3	1.72		MON	12,269.32	28,559.05		6/19/2012	6/20/2027
38375XTH7	GNMA_08-72 CMO_08-72 V	2	902,179.04	995,001.35	851,112.30	856,051	138,950.35		(102,728.33	)	—	—	6	(0.749	)	MON	4,255.56	118,426.32		8/18/2010	12/1/2012
38376YC58	GNMA_10-47 AGENCY CMO 10-47	2	3,936,100.11	3,921,994.96	3,812,203.50	3,907,703.15	14,291.81		(56,219.32	)	—	—	3	(0.213	)	MON	9,530.51	74,505.27		3/21/2012	7/1/2014
38374YGV9	GNMA_10-86 AGENCY CMO 10-86	2	2,423,421.52	2,381,774.59	2,297,762.64	2,399,410.28	(17,635.69	)	(38,145.32	)	—	—	3.5	(1.755	)	MON	6,701.81	45,034.39		2/15/2012	12/1/2014
38377WZ56	GNMA_11-99 CMO_11-99	2	6,234,943.38	6,249,951.58	6,224,245.46	6,234,524.8	15,426.78		(975.18	)	—	—	0.621	0.575		MON	1,609.88	11,570.71		5/31/2012	4/16/2039
BRSBZZDX4	GOLDEN LIVING LN1 TERM LOAN	2	4,893,254.28	4,891,650.33	5,086,620.49	4,922,942.38	(31,292.05	)	21,186.6		—	—	—	0.562		JAJO	—	193,867.87		10/4/2011	5/4/2018
38141EA74	GOLDMAN SACHS GROUP INC CORP BND		1,739,374.40	1,814,251.59	1,720,000.00	1,732,355.42	81,896.17		(3,080.73	)	—	—	3.7	3.432		FA	10,606.67	63,640.00		1/5/2011	8/1/2015
38144LAC4	GOLDMAN SACHS GROUP INC CORP BND		5,092,400	5,019,200.00	5,000,000.00	5,001,923.32	17,276.68		(16,897.66	)	—	—	5.45	4.982		MN	113,541.67	136,250		5/13/2008	11/1/2012
38141EA33	GOLDMAN SACHS GROUP INC CORP BND		5,133,795.5	5,198,876.46	4,850,000.00	5,058,770.39	140,106.07		(43,238.85	)	—	—	6	3.19		MN	121,250	(10,300	)	6/14/2012	5/1/2014
38143USC6	GOLDMAN SACHS GROUP INC CORP BND		6,840,980	6,855,524.26	6,500,000	6,837,431.6	18,092.66		(4,891.6	)	—	—	3.625	2.014		FA	35,343.75	(16,916.66	)	9/14/2012	2/7/2016
38141GEA8	GOLDMAN SACHS GROUP INC CORP BND		7,048,286.00	7,337,848.18	6,825,000.00	6,972,542.61	365,305.57		(63,791.37	)	—	—	5.125	4.123		JJ	73,842.7	524,184.29		1/19/2012	1/15/2015
38141GGT5	GOLDMAN SACHS GROUP INC SENIOR CORP BND		1,374,023.75	1,430,125.68	1,375,000.00	1,374,151.84	55,973.84		301.44		—	—	3.3	3.325		MN	18,654.17	25,483.33		4/30/2012	5/3/2015
38143USB8	GOLDMAN SACHS GROUP INC SENIOR CORP BND		11,471,774.50	11,444,160.16	11,450,000	11,460,356.66	(16,196.5	)	(6,512.85	)	—	—	1.439	1.24		FMAN	25,178.64	146,899.54		7/12/2011	2/7/2014
38374C3K5	GOVERNMENT NATIONAL MORTGAGE A CMO_03-85	2	702,533.20	671,597.39	663,207.09	670,633.26	964.13		(44,080.18	)	—	—	4.5	(0.965	)	MON	2,487.03	37,114		4/26/2011	3/1/2013

BRS3D32G6	GRAY TELEVISION INC. TERM LOAN	2	3,542,418.15	3,601,310.04	3,609,214.22	3,565,227.22	36,082.82		14,912.96		—	—	—	0.533	MJSD	—	116,541.37	8/22/2011	12/31/2014
BRSDWEX75	GRIFOLS INC SECURED TERM LOAN	2	5,208,163.76	5,262,931.65	5,233,467.23	5,209,358.14	53,573.51		1,301.24		—	—	—	0.098	MJSD	—	53,769.54	8/6/2012	6/1/2017
362341RT8	GSAA WHOLE CMO 05-AR6 1A1	2	164,277.73	165,861.13	165,910.90	164,456.57	1,404.56		182.97		—	—	2.646	2.927	MON	365.82	3,595.58	11/21/2007	4/1/2023
BRSBK2348	GYMBOREE CORP TERM LOAN	2	2,385,745.70	2,454,563.63	2,521,147.13	2,403,357.76	51,205.87		12,119.06		—	—	—	0.865	FMAN	—	100,153.09	8/24/2012	2/23/2018
41283NAC5	HARLEY DAVIDSON MOTORCYCLE TRU ABS_11-1	2	2,876,039.89	2,876,643.86	2,876,039.89	2,876,039.89	603.97		—		—	—	0.421	0.421	MON	470.59	20,392.32	8/4/2011	3/15/2013
41283LAA3	HARLEY-DAVIDSON FINANCIAL CORP BND 144A		5,354,250	5,517,672.2	5,250,000	5,333,716.62	183,955.58		(16,971.14	)	—	—	3.875	3.38	MS	9,041.67	203,437.5	10/27/2011	3/15/2016
43813TAD5	HAROT_11-1 ABS_11-1 A4	2	2,199,414.14	2,243,660.78	2,200,000.00	2,199,689.16	43,971.62		130.22		—	—	1.8	1.815	MON	1,760	29,700	2/17/2011	3/15/2015
43813UAC4	HAROT_12-1 ABS 12-1	2	2,749,835.00	2,766,210.65	2,750,000	2,749,868.58	16,342.07		33.58		—	—	0.77	0.773	MON	941.11	11,881.51	2/14/2012	3/15/2015
43813BAC6	HAROT_2010-3 ABS_10-3 A3	2	667,343.05	667,082.79	666,249.98	666,577.57	505.22		(1,239.32	)	—	—	0.7	0.559	MON	129.55	6,080.43	8/18/2011	5/21/2013
44923WAD3	HART ABS 10-A 4	2	8,149,863.9	8,378,526	8,150,000	8,149,763.54	228,762.46		(29.53	)	—	—	2.45	2.462	MON	8,874.44	149,756.22	5/5/2010	8/15/2015
44923YAC1	HART_10-B ABS 10-B A3	2	2,400,170.99	2,408,809.19	2,400,599.14	2,400,488.34	8,320.85		201.07		—	—	0.97	0.979	MON	1,034.92	24,808.8	8/19/2010	12/15/2013
44923YAD9	HART_10-B ABS_10-B A4	2	7,549,294.08	7,715,496	7,550,000	7,549,644.16	165,851.84		124.6		—	—	1.63	1.638	MON	5,469.56	92,298.78	8/19/2010	9/15/2015
44890GAD7	HART_12-A ABS 12-A	2	4,259,591.04	4,311,120	4,260,000	4,259,655.59	51,464.41		64.55		—	—	0.95	0.955	MON	1,798.67	21,134.33	2/28/2012	9/15/2015
419791YG7	HAWAII ST MUNI BND GO		2,007,940	2,103,780	2,000,000	2,003,873.7	99,906.3		(1,191.02	)	—	—	3	2.914	FA	10,000.00	60,000	2/10/2010	2/1/2015
BRS9SHAY8	HCA INC LN1 TERM LOAN	2	5,890,000	6,005,640	6,000,000	5,896,098.11	109,541.89		5,302.54		—	—	—	0.382	FMAN	—	96,943.11	6/28/2012	3/31/2017
BRSC106T3	HCA INC Term loan	2	3,927,500.00	4,002,520.00	4,000,000.00	3,936,124.20	66,395.80		7,843.83		—	—	—	0.283	FMAN	—	86,599.96	1/10/2012	5/1/2018
41283KAC1	HDMOT_10-1 ABS 10-1 A3	2	665,755.32	667,367.47	665,849.33	665,824.16	1,543.31		55.5		—	—	1.16	1.169	MON	343.28	8,895.42	11/17/2010	6/15/2013
40414LAB5	HEALTH CARE PROPERTY INVESTORS CORP BND		2,982,845.25	3,032,234.33	2,975,000	2,978,548.88	53,685.45		(3,300.58	)	—	—	2.7	2.608	FA	13,387.5	165,262.5	1/20/2011	2/1/2014
BRSD9CAS4	HEALTH MANAGEMENT ASSOCIATES I TERM	1	7,440,823.32	7,549,213.51	7,498,300.06	7,445,253.04	103,960.47		5,103.11		—	—	—	0.114	MJSD	—	170,399.03	6/11/2012	11/16/2018
429827AN8	HEF_04-1 ABS 04-1 A13 144A	2	164,000.00	174,066.6	200,000.00	169,989.91	4,076.69		1,520.1		—	—	1.727	3.696	MON	235.93	1,929.41	9/10/2009	8/27/2029
429827AQ1	HEF_04-1 ABS 04-1 A15 144A		246,000	273,675.9	300,000.00	249,160.8	24,515.1		(141.75	)	—	—	1.744	2.543	MON	157.25	3,365.52	9/10/2009	1/1/2044
429827AB4	HEF_10-401 ABS 04-1 A2 144A	2	164,000.00	174,066.6	200,000.00	197,837.84	(23,771.24	)	26,566.8		—	—	1.728	10.192	MON	249.60	1,917.91	9/10/2009	12/27/2012
429827AF5	HEF_10-401 ABS 04-1 A6 144A	2	164,000.00	174,066.6	200,000.00	171,828.59	2,238.01		2,179.02		—	—	1.743	4.038	MON	261.45	1,908.44	9/10/2009	2/25/2026
423074AJ2	HEINZ H. J. COMPANY CORP BND		3,203,550.00	3,113,580	3,000,000.00	3,110,838.21	2,741.79		(92,711.79	)	—	—	5.35	0.641	JJ	33,883.33	72,225.00	1/31/2012	7/15/2013
423074AN3	HEINZ H. J. COMPANY SENIOR CORP BND		1,472,743.25	1,485,685.41	1,475,000.00	1,472,996.39	12,689.02		253.14		—	—	1.5	1.532	MS	1,843.75	11,001.04	2/28/2012	3/1/2017
BRS29NQV0	HELIX ENERGY SOLUTIONS TERM LOAN		1,371,412.55	1,370,783.66	1,374,219.21	1,373,385.97	(2,602.31	)	1,016.68		—	—	—	0.08	JAJO	—	39,504.16	2/22/2011	7/1/2013
427866AS7	HERSHEY FOODS CORPORATION CORP BND		3,117,718.75	3,174,708.84	3,125,000.00	3,118,964.13	55,744.71		1,134.35		—	—	1.5	1.549	MN	19,531.25	34,036.46	11/8/2011	11/1/2016
BRSBNUWH2	HERTZ CORPORATION TERM LOAN	2	7,907,584.28	7,998,604.21	8,027,583.79	7,922,674.68	75,929.53		11,448.71		—	—	—	0.236	FMAN	—	170,760.28	9/17/2012	3/11/2018
428236AT0	HEWLETT-PACKARD COMPANY CORP BND		6,576,217.00	6,374,801.47	5,975,000.00	6,157,412.49	217,388.98		(92,317.97	)	—	—	6.125	3.889	MS	30,497.4	365,968.76	10/26/2009	3/1/2014
428236BJ1	HEWLETT-PACKARD COMPANY CORP BND		8,105,000.00	8,038,539.00	8,105,000.00	8,105,000	(66,461	)	—		—	—	0.823	0.654	FMAN	5,927.47	55,105.18	5/25/2011	5/30/2014
428236AV5	HEWLETT-PACKARD COMPANY CORP BND		8,728,518.65	8,518,397.91	8,079,000.00	8,343,076.96	175,320.95		(123,347.48	)	—	—	4.75	2.733	JD	126,851.53	219,584.58	4/9/2010	6/2/2014
428236BW2	HEWLETT-PACKARD COMPANY UNSEC CORP BND		1,874,718.75	1,885,377.08	1,875,000	1,874,747.59	10,629.49		67.34		—	—	2.6	2.603	MS	2,166.67	61,484.59	3/7/2012	9/15/2017
BRS9GBTB4	HEXION SPECIALTY CHEMICALS TL TERM LOAN		2,723,243.96	2,681,926.44	2,728,307.67	2,725,123.87	(43,197.43	)	1,006.89		—	—	—	0.044	FMAN	—	76,278.85	5/13/2011	5/5/2015
429827AE8	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1	2	164,000	174,066.6	200,000	172,278.42	1,788.18		1,954.33		—	—	1.742	4.178	MON	125.81	2,234.81	9/10/2009	3/25/2025

429827AJ7	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		2	164,224.00	174,066.6	200,000.00	171,357.21	2,709.39	1,755.07		—	—	1.742	3.967		MON	276.05	1,870.52	9/10/2009	12/28/2026
429827AK4	HIGHER EDUCATION FUNDING HEF_0 ABS_04-1		2	164,196	174,066.6	200,000.00	169,480.6	4,586	573.24		—	—	1.731	3.94		MON	160.78	1,835.32	9/10/2009	1/25/2028
BRSF89UY2	HOLOGIC INC. SENIOR SECURED TERM NOTES		2	3,395,700.00	3,470,028.10	3,430,000.00	3,396,409.97	73,618.13	709.97		—	—	—	0.142		MJSD	—	21,437.50	7/19/2012	8/1/2019
43813EAD8	HONDA AUTO RECEIVABLES OWNER T ABS 12-2		2	1,599,694.08	1,617,386.6	1,600,000.00	1,599,729.98	17,656.62	35.9		—	—	0.91	0.917		MON	647.1	5,662.22	4/18/2012	4/15/2016
438516AY2	HONEYWELL INTERNATIONAL INC CORP BND			1,061,080	1,046,656.34	1,000,000.00	1,030,183.59	16,472.75	(16,262.05	)	—	—	3.875	1.638		FA	4,951.38	38,750	10/20/2011	2/15/2014
BRSBH14P6	HOUGHTON INTERNATIONAL INC LN1 TERM LOAN			1,639,214.75	1,639,960.78	1,629,774.69	1,636,046.5	3,914.28	(3,148.58	)	—	—	—	(0.114	)	JAJO	—	97,090.46	9/19/2011	1/29/2016
44328MAB0	HSBC BANK PLC CORP BND 144A	F		3,497,130.00	3,710,590.66	3,500,000.00	3,498,365.84	212,224.82	420.65		—	—	3.5	3.518		JD	31,645.83	61,250.00	6/21/2010	6/28/2015
44328MAD6	HSBC BANK PLC CORP BOND 144A	F		3,046,706.00	3,065,147.06	3,050,000.00	3,049,034.81	16,112.25	1,105.88		—	—	1.625	1.662		FA	6,746.01	87,479.17	8/5/2010	8/12/2013
40429CFV9	HSBC FINANCE CORP CORP BND			5,844,575.25	6,036,423.63	6,075,000.00	5,993,309.02	43,114.61	70,211.63		—	—	0.705	1.592		JAJO	9,161.89	55,763.4	4/26/2010	1/15/2014
40428HPG1	HSBC USA INC SENIOR CORP BND			11,720,292.00	11,928,043.94	11,600,000.00	11,697,678.78	230,365.16	(26,235.5	)	—	—	2.375	2.009		FA	36,733.34	163,710.07	3/2/2012	2/13/2015
BRSBXUEK4	HUBBARD RADIO TERM LOAN		2	1,377,222.15	1,439,975.35	1,429,255.93	1,385,538.15	54,437.2	7,845.79		—	—	—	0.668		JAJO	—	61,432.00	9/30/2011	4/28/2017
BRS8R3U20	HUNTSMAN INTL LLC TERM LOAN			5,825,816.32	5,855,510.2	5,877,551.02	5,839,884.27	15,625.93	8,172.76		—	—	—	0.169		FMAN	—	125,594.40	5/13/2011	6/30/2016
4488148U0	HYDRO-QUEBEC SENIOR CORP BND	A		4,994,200.00	5,077,149.95	5,000,000.00	4,994,519.38	82,630.57	319.38		—	—	1.375	1.399		JD	19,479.17	—	6/12/2012	6/19/2017
44890FAC1	HYUNDAI AUTO LEASE SECURITIZAT ABS_12-A		2	3,499,626.55	3,519,915.00	3,500,000.00	3,499,674.26	20,240.74	47.71		—	—	0.92	0.927		MON	1,431.11	7,602.77	6/13/2012	10/15/2014
44890HAC7	HYUNDAI AUTO RECEIVABLES TRUST ABS 12-B		2	9,998,296.00	10,042,504.9	10,000,000.00	9,998,442.26	44,062.64	146.26		—	—	0.62	0.628		MON	2,755.56	9,644.44	7/10/2012	5/15/2015
44923QAB0	HYUNDAI CAPITAL AMERICA CORP BND 144A			1,991,020.00	2,165,864.26	2,000,000.00	1,992,228.35	173,635.91	1,111.8		—	—	4	4.092		JD	25,111.11	40,000	12/1/2011	6/8/2017
44923QAD6	HYUNDAI CAPITAL AMERICA SENIOR CORP BND			2,296,849	2,306,768.46	2,300,000.00	2,296,849	9,919.46	—		—	—	2.125	2.154		AO	—	—	9/24/2012	10/2/2017
44920UAC2	HYUNDAI CAPITAL SERVICES INC CORP BND	F		2,982,210.00	3,234,242.07	3,000,000.00	2,987,192.11	247,049.96	2,271.22		—	—	4.375	4.498		JJ	23,333.33	131,250	1/20/2011	7/27/2016
BRSBZZFY0	IASIS HLTHCARE CORP TERM LOAN		2	7,220,744.39	7,358,919.51	7,349,732.34	7,231,699.33	127,220.18	8,207.29		—	—	—	0.285		JAJO	—	176,769.59	6/28/2012	5/3/2018
459200GN5	IBM CORP CORP BND			1,250,026.5	1,195,950.48	1,125,000.00	1,156,363.92	39,586.56	(39,550.89	)	—	—	6.5	3.737		AO	33,718.75	109,421.18	6/11/2009	10/15/2013
459200GT2	IBM CORP CORP BND			3,291,708.00	3,319,338	3,300,000.00	3,297,626.35	21,711.65	2,861.47		—	—	1	1.086		FA	5,133.33	47,425.00	9/15/2010	8/5/2013
459200GZ8	IBM CORP CORP BND			3,995,520.00	4,044,328.60	4,000,000.00	3,996,947.78	47,380.82	1,570.05		—	—	0.875	0.912		AO	14,680.56	40,833.34	10/27/2011	10/31/2014
459200HB0	IBM CORP CORP BND			5,122,023.50	5,160,821.64	5,150,000.00	5,126,184.48	34,637.16	4,183.17		—	—	0.55	0.749		FA	4,327.43	7,467.78	5/1/2012	2/6/2015
459200HC8	IBM CORP CORP BND			5,928,619.35	6,023,122.76	5,955,000.00	5,931,962.9	91,159.86	4,087.7		—	—	1.25	1.342		FA	11,372.39	48,160.42	2/22/2012	2/6/2017
459200HD6	IBM CORP SENIOR CORP BND			8,535,807.00	8,580,982.89	8,550,000.00	8,537,626.97	43,355.92	1,913.75		—	—	0.75	0.806		MN	24,937.50	1,291.67	5/8/2012	5/11/2015
44924EAB6	IBM INTL GROUP CAPITAL CORP BND			6,015,244.20	6,035,351.00	6,020,000.00	6,019,939.08	15,411.92	786.87		—	—	5.05	5.068		AO	134,271.08	152,005.00	10/17/2007	10/22/2012
4521518V8	ILLINOIS ST MUNI BND GO			2,300,000.00	2,433,538.17	2,300,000.00	2,300,000	133,538.17	—		—	—	4.421	4.421		JJ	25,420.75	101,683	1/8/2010	1/1/2015
4521518T3	ILLINOIS ST MUNI BND GO			3,144,919.00	3,121,638	3,100,000.00	3,103,921.5	17,716.5	(11,655.87	)	—	—	3.321	2.808		JJ	25,737.75	102,951.00	1/12/2010	1/1/2013
452227FG1	ILLINOIS ST SALES TAX REV MUNITAX BND			4,100,000.00	4,126,732	4,100,000.00	4,100,000	26,732	—		—	—	1.56	1.56		JD	23,807.33	—	5/10/2012	6/15/2017
BRSCQ2G46	IMMUCOR INC. TERM LOAN		2	2,851,254.00	2,999,756.81	2,970,056.25	2,869,422.53	130,334.28	13,328.38		—	—	—	0.578		MJSD	—	159,398.44	8/17/2011	8/19/2018
BRSBQFU50	IMS HEALTH INCORPORATED		2	9,413,535.83	9,468,463.83	9,429,144.29	9,414,274.41	54,189.42	738.58		—	—	—	0.032		FA	—	208,934.81	6/28/2012	8/26/2017
449786AN2	ING BANK NV CORP BND 144A	F		2,375,000.00	2,383,336.20	2,375,000.00	2,375,000	8,336.2	—		—	—	1.808	1.652		MJSD	2,505.32	34,471.99	6/1/2011	6/9/2014
449786AR3	ING BANK NV CORP BND 144A	F		3,714,234.75	3,723,935.40	3,725,000.00	3,714,292.68	9,642.72	57.93		—	—	2	2.1		MS	1,241.67	—	9/18/2012	9/25/2015
458140AH3	INTEL CORPORATION CORP BND			1,797,246.00	1,886,379.32	1,800,000.00	1,797,794.21	88,585.11	399.24		—	—	1.95	1.982		AO	17,550	18,720	9/14/2011	10/1/2016

BRSFVFMJ4	INTELSAT JACKSON SENIOR SECURED TERM	F		2,690,000.00	2,696,052.5	2,690,000.00	2,690,000	6,052.5		—		—	—	—	—	MJSD	—	—		9/26/2012	4/2/2018
BRSB5PYE8	INTELSAT JACKSON TERM LOAN	F	2	3,526,778.70	3,603,302.53	3,601,033.88	3,539,733.19	63,569.34		8,328.9		—	—	—	0.306	MJSD	—	144,621.2		8/17/2011	4/2/2018
4581X0AT5	INTER-AMERICAN DEV BK CORP BND	E		6,399,162.94	6,011,278.2	6,000,000.00	6,007,537.81	3,740.39		(114,252.83	)	—	—	4.75	2.168	AO	128,250.00	142,500.00		2/19/2010	10/19/2012
45818WAE6	INTER-AMERICAN DEV BK CORP BND	E		10,232,329.30	10,193,020.80	10,100,000.00	10,180,751.42	12,269.38		(33,261.08	)	—	—	0.884	0.359	FMAN	10,410.58	59,874.00		2/22/2012	5/20/2014
4581X0AF5	INTER-AMERICAN DEV BK CORP BND EMTN	E		7,418,582.14	7,372,404	7,200,000.00	7,264,664.93	107,739.07		(62,081.23	)	—	—	3.5	2.314	JJ	58,100	252,000		11/12/2010	7/8/2013
45950KAT7	INTERNATIONAL FINANCE CO CORP BND	E		4,683,362.00	4,783,401.93	4,700,000.00	4,697,796.93	85,605		2,589.96		—	—	3.5	3.576	MN	62,144.45	82,250.00		12/14/2011	5/15/2013
45950KAZ3	INTERNATIONAL FINANCE CO CORP BND	E		8,216,320.00	8,339,520.24	8,000,000.00	8,080,015.31	259,504.93		(41,797.99	)	—	—	3	2.342	AO	106,000.00	149,750		12/11/2009	4/22/2014
45950VBV7	INTERNATIONAL FINANCE CO UNSECURED CORP	E		299,595.00	299,883	300,000.00	299,649.54	233.46		54.54		—	—	0.5	0.545	MN	616.67	—		4/26/2012	5/15/2015
BRSC095F6	IPAYMENT INC. TERM LOAN		2	2,920,300.02	2,903,250.01	2,940,000.01	2,921,445.62	(18,195.61	)	735.44		—	—	—	0.136	JAJO	—	41,412.15		9/19/2012	5/8/2017
BRSE47ZL6	JARDEN CORP SENIOR SECUREDTERM LOAN			1,772,027.43	1,775,566.04	1,774,004.91	1,772,211.30	3,354.74		206.39		—	—	—	0.018	MJSD	—	24,195.78		3/30/2012	3/31/2018
47787AAD9	JDOT_10-A ABS 10-A-A3		2	167,260.74	167,567.59	167,284.88	167,282.37	285.22		30.98		—	—	1.32	1.331	MON	98.14	4,121.64		4/15/2010	2/15/2013
47787BAB1	JDOT_12-A ABS 12-A		2	499,993.3	500,540	500,000.00	499,994.75	545.25		1.45		—	—	0.59	0.591	MON	131.11	1,589.71		2/22/2012	10/15/2013
47787BAD7	JDOT_12-A ABS 12-A		2	3,999,112.40	4,044,840	4,000,000.00	3,999,238.99	45,601.01		126.59		—	—	0.99	0.998	MON	1,760	21,340.00		2/22/2012	9/15/2016
BRSBR4P35	JO-ANN STORES TERM LOAN		2	2,584,527.81	2,610,634.15	2,610,634.15	2,590,218.09	20,416.06		3,489.99		—	—	—	0.142	JAJO	—	95,359.89		3/15/2011	3/16/2018
24422EQY8	JOHN DEERE CAPITAL CORPORATION CORP BND			1,123,807.50	1,187,228.03	1,125,000.00	1,124,397.00	62,831.03		176.2		—	—	2.95	2.973	MS	2,028.13	33,187.5		3/3/2010	3/9/2015
24422ERD3	JOHN DEERE CAPITAL CORPORATION CORP BND			1,900,780.90	1,903,191.98	1,900,000.00	1,900,306.47	2,885.51		(291.15	)	—	—	0.605	0.328	JAJO	2,459.06	9,052.18		7/7/2011	7/15/2013
24422EQM4	JOHN DEERE CAPITAL CORPORATION CORP BND			2,009,980.00	2,019,080.20	2,000,000.00	2,000,530.01	18,550.19		(1,820.67	)	—	—	4.95	4.821	JD	28,600	61,675.63		7/24/2008	12/17/2012
24422ERS0	JOHN DEERE CAPITAL CORPORATION CORP BND			3,998,920.00	4,031,504.52	4,000,000.00	3,999,011.35	32,493.17		91.35		—	—	0.95	0.959	JD	9,711.11	—		6/26/2012	6/29/2015
24422ERU5	JOHN DEERE CAPITAL CORPORATION CORP BND			5,000,000.00	5,010,100.15	5,000,000.00	5,000,000	10,100.15		—		—	—	0.606	0.699	JAJO	8,849.39	—		6/26/2012	4/25/2014
24422ERN1	JOHN DEERE CAPITAL CORPORATION SENIOR			10,272,020.25	10,417,420.34	10,275,000.00	10,272,384.49	145,035.85		364.24		—	—	1.4	1.406	MS	6,393.33	79,117.50		2/22/2012	3/15/2017
478160AW4	JOHNSON & JOHNSON CORP BND			122,861.25	134,243.34	125,000.00	123,260.2	10,983.14		143.1		—	—	2.95	3.15	MS	307.29	3,687.50		8/12/2010	9/1/2020
478160AX2	JOHNSON & JOHNSON CORP BND			3,995,320.00	4,049,082.64	4,000,000.00	3,997,435.4	51,647.24		2,009.32		—	—	1.2	1.24	MN	18,133.33	54,600.00		5/17/2011	5/15/2014
478160AY0	JOHNSON & JOHNSON SENIOR CORP BND			526,270.00	523,491.94	500,000.00	525,406.11	(1,914.17	)	(863.89	)	—	—	2.15	0.726	MN	4,061.11	(2,717.36	)	8/13/2012	5/15/2016
478366AY3	JOHNSON CONTROLS INC CORP BND			3,025,000.00	3,036,706.78	3,025,000.00	3,025,000	11,706.78		—		—	—	0.852	0.721	FMAN	4,008.43	39,095.46		2/1/2011	2/4/2014
479403AB3	JOHNSTON RE LTD CORP BND 144A	E		1,500,000.00	1,540,320	1,500,000.00	1,500,000.00	40,320		—		—	—	6.5	6.551	MJSD	5,687.5	162,878.04		4/30/2010	5/8/2013
466247E74	JPMMT CMO_06-A1 2A2		2	91,441.73	74,649.56	91,370.33	91,409.68	(16,760.12	)	(33.04	)	—	—	2.791	2.764	MON	212.48	6,555.45		2/6/2008	2/25/2036
46625HHP8	JPMORGAN CHASE & CO CORP BND			10,689,530.00	11,128,868.84	10,500,000.00	10,651,573.59	477,295.25		(14,234.02	)	—	—	3.7	3.039	JJ	76,620.83	305,250.00		8/30/2012	1/20/2015
46625HCE8	JPMORGAN CHASE & CO CORP BND			182,024.50	189,928.17	175,000.00	178,365.44	11,562.73		(978.66	)	—	—	4.75	3.908	MS	692.71	8,312.50		10/29/2009	3/1/2015
46625HHN3	JPMORGAN CHASE & CO CORP BND			1,257,456.00	1,273,436.46	1,200,000.00	1,221,986.35	51,450.11		(29,793.07	)	—	—	4.65	3.508	JD	18,600	98,683.33		10/29/2009	6/1/2014
46625HJA9	JPMORGAN CHASE & CO CORP BND			1,353,620	1,403,119.22	1,325,000.00	1,349,557.44	53,561.78		(8,781.13	)	—	—	3.15	2.629	JJ	9,970.63	49,822.50		1/31/2012	7/5/2016
46625HGT1	JPMORGAN CHASE & CO CORP BND			5,222,250.00	5,000,000	5,000,000.00	5,000,000.00	—		(38,746.57	)	—	—	5.375	4.31	AO	134,375	134,375		1/30/2008	10/1/2012
46625HHX1	JPMORGAN CHASE & CO CORP BND			5,088,650	5,326,868.45	5,000,000.00	5,064,752.76	262,115.69		(13,294.75	)	—	—	3.45	3.048	MS	14,375	172,500		5/16/2011	3/1/2016
46625HHB9	JPMORGAN CHASE & CO CORP BND			7,647,350	7,685,850.00	7,500,000.00	7,530,443.28	155,406.72		(38,390.62	)	—	—	4.75	4.039	MN	148,437.5	178,125		2/22/2012	5/1/2013
BRSBDPXK6	JPMORGAN CHASE & CO CORP BND EMTN	O		497,549.09	528,990.12	300,000.00	494,565.57	34,424.55		(3,216.8	)	—	6,139.44	4.25	3.407	JJ	3,963.35	66,420.02		11/9/2011	1/25/2017

46623EJF7	JPMORGAN CHASE & CO CORP BND MTN			5,775,000.00	5,812,768.03	5,775,000.00	5,775,000	37,768.03		—		—	—		1.252	1.103	JAJO	13,859.18	56,284.72		1/14/2011	1/24/2014
46623EJH3	JPMORGAN CHASE & CO CORP BND MTN			7,454,277.80	7,503,118.88	7,450,000.00	7,452,601.24	50,517.64		(1,131.7	)	—	—		1.139	1.065	MJSD	3,299.21	76,913.88		2/9/2012	5/2/2014
48126EAA5	JPMORGAN CHASE & CO SENIOR CORP BND			6,987,470.00	7,038,727.71	7,000,000.00	6,987,741.71	50,986		271.71		—	—		2	2.038	FA	15,944.45	—		8/13/2012	8/15/2017
46623EJP5	JPMORGAN CHASE & CO SENIOR CORP BND MTN			9,918,052.50	10,121,664.47	9,925,000.00	9,919,245.44	202,419.03		1,385.93		—	—		1.875	1.899	MS	5,686.19	108,467.44		3/14/2012	3/20/2015
BRSC103Q2	KAR HOLDINGS TERM LOAN		2	4,217,631.08	4,252,092.72	4,238,825.2	4,222,368.42	29,724.3		2,805.74		—	—		—	0.083	FMAN	—	161,479.65		5/16/2011	5/19/2017
487836BH0	KELLOGG COMPANY SENIOR CORP BND			2,312,398.50	2,366,521.92	2,325,000.00	2,313,298.09	53,223.83		906.65		—	—		1.75	1.864	MN	15,144.79	121.53		5/14/2012	5/17/2017
487836BG2	KELLOGG COMPANY SENIOR CORP BND			2,646,899.5	2,677,142.92	2,650,000.00	2,647,279.01	29,863.91		379.51		—	—		1.125	1.165	MN	11,096.88	—		5/14/2012	5/15/2015
494550BG0	KINDER MORGAN ENERGY PARTNERS CORP BND			1,149,793.00	1,231,063.19	1,150,000	1,149,852.50	81,210.69		29.99		—	—		3.5	3.504	MS	3,354.17	40,250		2/23/2011	3/1/2016
BRSFUHEJ0	KINDRED HEALTHCARE INC. SENIOR SECURED			409,500	415,800	420,000.00	409,500	6,300		—		—	—		—	0.451	MJSD	—	—		9/19/2012	6/1/2018
BRSBUXKY4	KINDRED HEALTHCARE INC. TERM LOAN			3,490,568.75	3,458,509.40	3,505,625.00	3,493,392.43	(34,883.03	)	1,826.07		—	—		—	0.061	MJSD	—	140,072.45		5/19/2011	6/1/2018
BRSD4PTL5	KINETIC CONCEPTS INC. TERM LOAN		1	1,819,748.75	1,909,717.88	1,885,750	1,828,771.06	80,946.82		8,751.65		—	—		—	0.542	MJSD	—	109,893.45		10/20/2011	5/4/2018
BRSF9BJL7	KLOECKNER HOLDINGS GP S.A. TERM LOAN	E		425,234.25	436,355.43	433,912.5	425,602.41	10,753.02		389.91		—	—		—	0.452	JAJO	—	5,515.35		7/16/2012	12/21/2016
50048MAT7	KOMMUNALBANKEN AS SENIOR GOVT BND	F		2,292,065.00	2,300,529.23	2,300,000.00	2,292,086.39	8,442.84		21.39		—	—		1	1.071	MS	319.45	—		9/19/2012	9/26/2017
50075NAX2	KRAFT FOODS INC. CORP BND			1,362,577	1,272,851.89	1,175,000	1,250,343.56	22,508.33		(63,053.19	)	—	—		6.75	2.024	FA	9,253.13	140,385.94		8/10/2010	2/19/2014
50075NBB9	KRAFT FOODS INC. CORP BND			5,709,690	5,757,055.24	5,250,000	5,547,427.35	209,627.89		(78,307.26	)	—	—		4.125	2.359	FA	31,281.25	297,000		10/14/2010	2/9/2016
50076QAA4	KRAFT FOODS INC. SENIOR CORP BND 144A			3,718,183.25	3,854,051.21	3,725,000.00	3,718,604.30	135,446.91		201.19		—	—		2.25	2.289	JD	27,239.07	10,418.75		5/30/2012	6/5/2017
D4085B7T2	KREDITANSTALT FUER WIDERAUFBAU CORP BND	D		3,496,559	3,590,537.19	2,000,000	3,442,410.3	148,126.89		(46,089.34	)	—	42,733.37		3.75	1.649	SEP	8,023.07	119,625		11/9/2011	9/7/2016
500769AX2	KREDITANSTALT FUER WIDERAUFBAU CORP BND	F		6,356,400.60	6,451,799.94	6,000,000.00	6,148,056.05	303,743.89		(127,389.12	)	—	—		4.125	2.87	AO	114,125.00	469,218.75		8/31/2009	10/15/2014
500769EP5	KREDITANSTALT FUER WIDERAUFBAU CORP BND	F		7,500,000	7,500,449.77	7,500,000.00	7,500,000	449.77		—		—	—		0.231	0.2	MON	673.02	23,457.77		6/8/2011	6/17/2013
500769FC3	KREDITANSTALT FUER WIDERAUFBAU SENIOR	F		4,984,150.00	5,026,249.70	5,000,000.00	4,986,438.61	39,811.09		2,288.61		—	—		0.625	0.732	AO	13,628.47	—		4/17/2012	4/24/2015
D4085DTN7	KREDITANSTALT FUER WIEDERAUFBA CORP BND	D		1,004,438.49	1,025,650.75	600,000.00	993,733.33	31,917.42		(9,111.55	)	—	12,336		2.75	1.4	SEP	1,765.06	26,317.5		11/9/2011	9/7/2015
BRSDR1PS2	KREDITANSTALT FUER WIEDERAUFBA CORP BND	D		3,183,652.29	3,328,540.41	2,000,000.00	3,182,031.78	146,508.63		(1,620.51	)	—	58,803.87		1.75	1.634	JAN	40,723.25	(10,767.43	)	3/20/2012	1/22/2016
D4085CCP2	KREDITANSTALT FUER WIEDERAUFBA CORP BND	D		3,688,345.49	3,631,912.11	2,200,000.00	3,658,196.82	(26,284.71	)	(8,155.2	)	—	(95,423.55	)	3	2.668	SEP	6,471.93	104,907		11/11/2009	9/9/2013
51218TAA5	LAKESIDE RE II LTD CORP BND 144A	F		9,750,000	9,812,887.5	9,750,000	9,750,000	62,887.5		—		—	—		7.75	7.824	MJSD	191,005.21	385,687.82		12/18/2009	1/8/2013
515110BG8	LANDWIRTSCHAFTLICHE RENTENBANK SENIOR	F		2,993,280.00	3,002,790.3	3,000,000.00	2,993,349.09	9,441.21		69.09		—	—		0.875	0.921	MS	1,385.42	—		9/5/2012	9/12/2017
BRSAHW6G8	LAS VEGAS SANDS LLC TERM LOAN		2	801,117.37	811,102.88	815,178.77	804,627.3	6,475.58		2,344.38		—	—		—	0.31	FMAN	—	19,503.94		5/16/2011	11/23/2016
BRSAHW876	LAS VEGAS SANDS LLC TERM LOAN		2	4,176,136.01	4,230,813.32	4,252,073.69	4,195,221.97	35,591.35		12,478.82		—	—		—	0.32	FMAN	—	101,734.76		5/16/2011	11/23/2016
BRSECQ3T3	LAWSON SOFTWARE INC. SENIOR SECURED TERM		2	800,625.37	812,149.53	808,712.50	801,269.5	10,880.03		2,046.92		—	—		—	0.166	MJSD	—	31,427.07		3/30/2012	4/5/2018
525ESC133	LEHMAN BROS HOLDINGS INC SENIOR CORP BND			555,606.76	1,030,000	4,000,000.00	555,606.76	474,393.24		—		—	—		—	—	JD	—	—		4/9/2012	12/31/2049
BRSCTV4V2	LENDER PROCESSING SERVICES INC TERM			1,459,031.25	1,488,656.25	1,481,250.00	1,462,474.63	26,181.62		2,544.07		—	—		—	0.214	FMAN	—	62,093.29		8/12/2011	8/14/2018
BRSBPKAQ6	LESLIES POOLMART INC. TERM LOAN			6,833,940.25	6,886,924.79	6,934,565.25	6,847,542.98	39,381.81		8,978.49		—	—		—	0.238	FMAN	—	157,025.51		8/14/2012	11/30/2017
BRSFD9W24	LEVEL 3 COMMUNICATIONS INC. SENIOR SEC		1	960,300.00	974,248.60	970,000.00	960,497.06	13,751.54		197.06		—	—		—	0.142	MJSD	—	—		8/2/2012	8/1/2019
BRS9XUH75	LIVE NATION INC TERM LOAN			540,919.31	545,224.92	543,637.50	540,977.8	4,247.12		65.30		—	—		—	0.118	FMAN	—	2,043.75		8/29/2012	11/6/2016
G5577Y5Y2	LLYODS TSB BANK PLC - LT GTD SENIOR	D		3,363,326.11	3,484,945.09	2,100,000.00	3,364,971.12	119,973.97		1,645.01		—	7,309.25		1.5	1.62	MAY	21,228.55	—		4/25/2012	5/2/2017

541502AB6	LOMA REINSURANCE CORP BND 144A	F		4,000,000.00	4,213,520	4,000,000.00	4,000,000.00	213,520		—		—	—	18	18.421		MJSD	54,000	502,021.84	12/22/2011	1/9/2014
BRSEDF0S1	LPL HOLDINGS INC TL SENIOR SECURED TERM			1,395,935.25	1,406,457.38	1,402,950.00	1,396,435.69	10,021.69		535.69		—	—	—	0.071		MJSD	—	28,007.69	3/23/2012	3/22/2019
502441AA6	LVMH MOET HENNESSY LOUIS VUITT SENIOR	F		3,041,246.50	3,065,909.93	3,050,000.00	3,041,679.34	24,230.59		432.84		—	—	1.625	1.685		JD	12,665.98	—	6/26/2012	6/29/2017
55608PAA2	MACQUARIE BANK LTD CORP BND 144A	F		5,996,040.00	6,393,286.74	6,000,000.00	5,996,472.08	396,814.66		443.41		—	—	5	5.015		FA	32,500	154,859.86	2/14/2012	2/22/2017
55607EAA8	MACQUARIE GROUP LTD -GTD CORP BND GOVT	F		4,678,890.29	4,697,910.14	4,500,000.00	4,558,788.01	139,122.13		(35,373.24	)	—	—	4.1	2.992		JD	53,300	92,250	2/19/2010	12/17/2013
BRSC3CCP6	MANITOWOC CO INC. TERM LOAN			396,408.00	400,642.99	398,400.00	396,828.26	3,814.73		231.25		—	—	—	0.076		FMAN	—	12,322.73	5/9/2011	11/13/2017
57583PEM7	MASSACHUSETTS ST MUNITAX BND REV			4,625,000.00	4,947,270.00	4,625,000.00	4,625,000	322,270		—		—	—	2.983	2.983		JD	40,622.66	68,981.88	12/15/2010	12/15/2015
58768TAC0	MBALT_12-A ABS 12-A		2	1,999,889.6	2,006,580.00	2,000,000.00	1,999,912.35	6,667.65		22.75		—	—	0.88	0.884		MON	782.22	8,457.79	3/15/2012	3/15/2014
587682AC9	MBART_10-A ABS 10-A-A3		2	267,063.52	268,231.47	267,114.93	267,104.87	1,126.6		32.81		—	—	1.42	1.433		MON	168.58	4,890.18	4/13/2010	8/15/2013
BRS9W7N54	MCC IOWA LLC TERM LOAN		2	1,945,200.48	1,946,827.23	1,959,899.76	1,948,632.39	(1,805.16	)	1,764.29		—	—	—	0.112		JAJO	—	67,223.7	12/17/2010	10/23/2017
BRSFHP193	MCC IOWA LLC TERM LOAN			2,925,000.00	2,970,000	3,000,000.00	2,925,582.90	44,417.1		582.9		—	—	—	0.342		FMAN	—	6,000	8/15/2012	1/1/2020
BRSAZMN71	MEDASSETS INC LN1 TERM LOAN		2	796,325.84	835,206.51	831,671.90	803,685.68	31,520.83		11,443.57		—	—	—	0.819		FMAN	—	38,369.36	8/19/2011	11/16/2016
BRSBRN2H7	MEG ENERGY CORP TERM LOAN	A	2	7,218,585.41	7,221,090.66	7,200,856.25	7,199,885.9	21,204.76		(4,964.73	)	—	—	—	(0.318	)	MJSD	—	221,643.32	5/29/2012	3/18/2018
589331AK3	MERCK & CO INC CORP BND			8,701,862.50	8,773,025.54	8,000,000.00	8,348,509.35	424,516.19		(103,019.33	)	—	—	4.75	2.871		MS	31,666.67	380,000.00	2/17/2010	3/1/2015
58933YAC9	MERCK & CO INC SENIOR CORP BND			4,989,850.00	5,020,592.10	5,000,000.00	4,989,938.64	30,653.46		88.64		—	—	1.1	1.139		JJ	2,750	—	9/10/2012	1/31/2018
BRSCEALQ6	MERCURY PAYMENT SYSTEMS TERM LOAN			3,226,162.50	3,258,750	3,258,750.00	3,232,868.67	25,881.33		4,279.01		—	—	—	0.168		JAJO	—	185,798.84	6/29/2011	6/30/2017
59018YM40	MERRILL LYNCH & CO INC CORP BND			2,027,689.55	2,030,700	2,000,000.00	2,003,429.88	27,270.12		(7,289.08	)	—	—	5.45	4.941		FA	16,955.56	109,000.00	2/19/2010	2/5/2013
59018YN56	MERRILL LYNCH & CO INC CORP BND MTN			3,256,943.51	3,140,280	3,050,000.00	3,091,822.54	48,457.46		(54,073.07	)	—	—	6.15	3.676		AO	81,282.50	93,787.50	11/12/2010	4/25/2013
BRSBRMFR3	METROPCS WIRELESS INC TERM LOAN		2	7,035,110.48	7,145,774.64	7,152,497.99	7,053,493.46	92,281.18		12,799.09		—	—	—	0.248		MJSD	—	200,284.95	3/8/2012	3/19/2018
61205PAJ8	MHESA_12-1 ABS 12-1		2	1,428,303.66	1,428,303.66	1,428,303.66	1,428,303.66	—		—		—	—	0.819	0.819		MON	357.22	6,213.76	4/27/2012	2/20/2015
BRSBLUUU7	MICHAEL FOODS INC. TERM LOAN		2	2,183,710.78	2,174,683.69	2,164,769.05	2,179,481.44	(4,797.75	)	(2,152.86	)	—	—	—	(0.123	)	FMAN	—	74,729.62	3/2/2011	2/25/2018
BRS8ZGYZ5	MICHAELS STORES INC. TERM LOAN		2	3,985,000.00	4,032,840	4,000,000.00	3,988,663.82	44,176.18		2,216.48		—	—	—	0.073		FMAN	—	175,830.59	6/22/2011	7/31/2016
BRSD1YF59	MICROSEMI CORPORATION TERM LOAN		1	3,870,032.70	3,937,992.7	3,918,400.70	3,876,035.04	61,957.66		6,407.57		—	—	—	0.2		MJSD	—	106,705.93	7/25/2012	2/2/2018
594918AB0	MICROSOFT CORPORATION CORP BND			2,254,225.19	2,235,615.82	2,141,000.00	2,227,982.51	7,633.31		(26,242.68	)	—	—	2.95	0.499		JD	21,053.17	10,877.47	3/26/2012	6/1/2014
594918AG9	MICROSOFT CORPORATION CORP BND			3,395,238.00	3,472,651.76	3,352,000.00	3,385,275.15	87,376.61		(8,167.82	)	—	—	1.625	1.284		MS	907.83	54,470.00	9/29/2011	9/25/2015
594918AF1	MICROSOFT CORPORATION CORP BND			4,023,730.00	4,024,280.08	4,000,000.00	4,010,739.15	13,540.93		(8,778.34	)	—	—	0.875	0.602		MS	388.89	45,948.44	7/13/2011	9/27/2013
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO CORP BND			14,515,750.75	14,213,381.44	13,255,000.00	13,863,106.54	350,274.9		(220,676.42	)	—	—	4.65	2.289		AO	308,178.75	308,178.75	7/29/2010	10/1/2014
BRS4BYYF5	MILLENNIUM INORGANIC CHEMICALS TERM LOAN			952,822.22	953,777.42	955,210.24	953,982.27	(204.85	)	1,593.55		—	��	—	0.078		FMAN	—	25,735.26	3/8/2011	5/15/2014
60871RAB6	MOLSON COORS BREWING SENIOR CORP BND			1,346,179.5	1,383,984.43	1,350,000.00	1,346,478.46	37,505.97		50.21		—	—	2	2.06		MN	11,100.00	14,013.89	4/26/2012	5/1/2017
BRSBK9U01	MOMENTIVE PERFORMANCE MATERIAL TERM LOAN		2	1,271,370.33	1,237,206.65	1,280,977.66	1,274,605.09	(37,398.44	)	4,455.29		—	—	—	0.19		MJSD	—	131,866.77	5/13/2011	5/5/2015
BRSEBGYC9	MONITRON INTL SENIOR SECURED TERM NOTES			2,639,934	2,689,932.75	2,666,600.00	2,642,144.98	47,787.77		2,344.98		—	—	—	0.167		JAJO	—	72,787.96	3/16/2012	3/16/2018
61747WAE9	MORGAN STANLEY CORP BND			6,716,242.50	6,697,361.19	6,675,000.00	6,693,719.59	3,641.6		(10,483.45	)	—	—	2.052	1.69		JAJO	26,254.05	110,696.95	2/11/2011	1/24/2014
617446B99	MORGAN STANLEY CORP BND			469,255.00	493,305.02	500,000.00	490,371.18	2,933.84		5,531.74		—	—	0.76	2.096		JAJO	886.2	2,951.39	10/22/2009	1/9/2014
6174467N3	MORGAN STANLEY CORP BND			2,400,983.75	2,457,403.29	2,375,000.00	2,390,964.1	66,439.19		(5,042.4	)	—	—	4	3.745		JJ	17,680.56	119,444.44	10/15/2010	7/24/2015

61746SBQ1	MORGAN STANLEY CORP BND			2,851,710	2,858,459.94	3,000,000.00	2,903,784.9	(45,324.96	)	32,301.36		—	—		0.935	1.841	JAJO	6,000.23	36,023.87		1/5/2011	10/15/2015
61747YCF0	MORGAN STANLEY CORP BND			2,928,431.00	2,864,666.79	2,700,000.00	2,813,725.74	50,941.05		(56,749.29	)	—	—		6	3.302	MN	62,100	99,900.00		1/6/2011	5/13/2014
61747YDC6	MORGAN STANLEY CORP BND			10,800,000.00	10,812,096	10,800,000.00	10,800,000	12,096		—		—	—		1.427	1.3	JAJO	26,972.19	184,937.58		1/5/2012	4/29/2013
61747YDT9	MORGAN STANLEY SENIOR CORP BND			4,149,000.00	4,277,139.6	4,000,000.00	4,147,373.07	129,766.53		(585.78	)	—	—		4.75	3.846	MS	4,750.00	29,608.34		9/6/2012	3/22/2017
620062AC3	MOTOR_12A ABS 12A 144A	F	2	740,000.00	740,000	740,000.00	740,000	—		—		—	—		1.286	1.289	MON	317.21	—		9/12/2012	2/25/2020
61746REV9	MSAC ABS 04-H1		2	941,018.20	868,651.7	939,550.16	940,504.45	(71,852.75	)	(74.26	)	—	—		0.957	0.944	MON	149.78	7,062.54		3/23/2006	8/25/2025
65475HAB7	NALT_11-A ABS_11-A A2A		2	2,224,128.61	2,226,778.91	2,224,154.41	2,224,138.24	2,640.67		33.55		—	—		0.7	0.701	MON	691.96	20,488.96		7/14/2011	3/15/2013
65475UAC6	NAROT_12-A ABS 12-A		2	2,699,638.74	2,713,653.68	2,700,000.00	2,699,718.04	13,935.64		79.3		—	—		0.73	0.736	MON	876	11,059.50		2/15/2012	5/15/2015
63254AAA6	NATIONAL AUSTRALIA BANK LIMITE CORP BND	E		3,199,072.00	3,264,455.33	3,200,000.00	3,199,241.35	65,213.98		170.62		—	—		2	2.01	MS	3,911.11	32,000		3/1/2012	3/9/2015
6325C0AV3	NATIONAL AUSTRALIA BANK LIMITE CORP BND	F		8,188,453.32	8,406,160.24	8,000,000.00	8,093,457.77	312,702.47		(38,413.48	)	—	—		3.375	2.694	JJ	62,250	270,000		11/12/2010	7/8/2014
63254AAC2	NATIONAL AUSTRALIA BANK LIMITE SENIOR	E		3,297,888	3,331,308.35	3,300,000.00	3,297,991.1	33,317.25		103.1		—	—		1.6	1.622	FA	7,920	—		7/26/2012	8/7/2015
63253WAA9	NATIONAL AUSTRALIA BANK SECURED LOCAL	F		3,993,960	4,111,120.32	4,000,000.00	3,994,284.7	116,835.62		324.7		—	—		2	2.032	JD	22,444.44	—		6/12/2012	6/20/2017
6325C0CA7	NATIONAL AUSTRALIA BANK SENIOR CORP BND	F		4,600,000	4,629,164.14	4,600,000.00	4,600,000	29,164.14		—		—	—		1.178	1.01	JAJO	12,338.63	66,175.11		4/6/2011	4/11/2014
63307EAA5	NATIONAL BK OF CANADA CORP BND 144A	A		2,499,350.00	2,543,750.2	2,500,000.00	2,499,708.21	44,041.99		161.97		—	—		1.65	1.659	JJ	6,989.58	41,250		1/24/2011	1/30/2014
63307A2A2	NATIONAL BK OF CANADA SENIOR CORP BND	A		2,493,950	2,543,174.55	2,500,000.00	2,494,474	48,700.55		524		—	—		1.5	1.583	JD	9,895.83	—		6/19/2012	6/26/2015
62889KAA9	NATIONAL CREDIT UNION ADMINIST AGENCY			3,200,000.00	3,200,288	3,200,000.00	3,200,000	288		—		—	—		0.248	0.205	MON	418.84	6,674.02		6/8/2011	6/12/2013
637432MP7	NATIONAL RURAL UTILITIES CORP BND			2,462,145.4	2,483,703.24	2,470,000.00	2,463,859.82	19,843.42		1,714.42		—	—		1	1.108	FA	4,048.06	12,350		1/26/2012	2/2/2015
G6398AAM9	NATIONWIDE BUILDING SOCIETY LOCAL BND	D		1,229,044.05	1,244,319.15	750,000.00	1,226,699.22	17,619.93		(2,344.83	)	—	(986.77	)	2.375	2.078	JAJO	5,734.53	5,990.38		5/10/2012	1/23/2015
63946BAB6	NBC UNIVERSAL MEDIA LLC CORP BND			577,289.62	579,790.88	542,000.00	573,635.66	6,155.22		(3,653.96	)	—	—		3.65	1.34	AO	8,297.87	(2,308.02	)	6/7/2012	4/30/2015
63946BAA8	NBC UNIVERSAL MEDIA LLC CORP BND			1,174,884.03	1,200,568.93	1,175,000.00	1,174,938.91	25,630.02		64.38		—	—		2.1	1.33	AO	12,337.5	41,348.13		8/22/2011	4/1/2014
BRSBLZKK9	NBTY INC. TERM LOAN		2	1,897,464.06	1,960,821.29	1,954,371.86	1,907,601.5	53,219.79		7,054.06		—	—		—	0.476	JAJO	—	92,263.17		8/17/2011	10/2/2017
62889AAA1	NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A		2	2,298,103.10	2,305,778.76	2,298,103.10	2,298,103.1	7,675.66		—		—	—		0.569	0.569	MON	774.84	11,210.96		6/10/2011	11/7/2020
62888VAB4	NCUA GUARANTEED NOTES AGENCY CMO_10-R1		2	514,187.7	523,233.24	514,234.14	514,201.4	9,031.84		15.59		—	—		1.84	1.85	MON	709.65	8,145.99		9/7/2011	1/4/2016
62889GAA8	NCUA GUARANTEED NOTES CMO 11-R5 1A		2	3,691,221.28	3,707,130.45	3,691,221.28	3,691,221.28	15,909.17		—		—	—		0.608	0.609	MON	1,620.86	21,086.62		6/10/2011	4/6/2020
62889JAA2	NCUA GUARANTEED NOTES CMO_11-R6 1A		2	3,250,340.8	3,257,450.92	3,250,340.80	3,250,340.80	7,110.12		—		—	—		0.608	0.609	MON	1,317.47	20,058.53		6/10/2011	5/7/2020
62888VAA6	NCUA GUARANTEED NOTES NGN_10-R CMO_10-R1		2	1,237,560.48	1,243,129.5	1,237,560.48	1,237,560.48	5,569.02		—		—	—		0.678	0.679	MON	605.99	7,324.47		6/10/2011	10/7/2020
62888XAC8	NCUA_10-C1 CMBS_10-C1 A-PT		2	4,599,569.36	4,875,826.69	4,608,706.09	4,602,398.53	273,428.16		1,217.78		—	—		2.65	2.735	MON	1,357.01	93,053.18		9/7/2011	7/1/2016
63968AQE8	NEBRASKA PUB PWR DIST MUNITAX BND REV			1,329,837.50	1,262,462.50	1,250,000.00	1,256,761.41	5,701.09		(20,153.64	)	—	—		4.135	1.95	JJ	12,921.88	51,687.5		12/17/2009	1/1/2013
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE TERM LOAN		2	4,987,500	5,022,750	5,000,000.00	4,989,933.82	32,816.18		1,341.93		—	—		—	0.035	FMAN	—	181,423.6		5/10/2011	5/16/2018
G6459EAB1	NETWORK RAIL INFRA FIN CORP BND GOVT	D		4,366,114.51	4,594,860.05	2,800,000.00	4,367,248.68	227,611.37		1,134.17		—	150,662.32		1.25	1.284	JAN	42,334.85	—		1/4/2012	1/22/2015
G6459BCU3	NETWORK RAIL INFRASTRUCTURE FI CORP BND	F		3,097,697.05	3,067,209.72	3,000,000.00	3,021,487.73	45,721.99		(24,082.23	)	—	—		3.5	2.451	JUN	30,333.33	186,666.67		2/19/2010	6/17/2013
64127WAF0	NETWORK RAIL INFRASTRUCTURE FI CORP BND	F		4,988,500	5,056,399.55	5,000,000.00	4,991,148.95	65,250.6		2,648.95		—	—		0.875	0.953	JJ	8,628.47	21,900.00		1/11/2012	1/20/2015
G6459FAE2	NETWORK RAIL INFRASTRUCTURE FI LOCAL BND	D		2,735,751.98	2,742,971.46	1,500,000.00	2,662,280.56	80,690.9		(62,548.54	)	—	33,049.01		4.875	1.207	NOV	103,791.7	—		11/9/2011	11/27/2015
651229AL0	NEWELL RUBBERMAID INC. SENIOR CORP BND			2,492,050	2,529,016.5	2,500,000.00	2,492,818.1	36,198.4		768.1		—	—		2	2.11	JD	14,861.11	—		6/11/2012	6/15/2015

302570BC9	NEXTERA ENERGY CAPITAL HOLDING CORP BND			7,402,175.00	7,229,366.43	6,050,000.00	6,829,787.04	399,579.39	(169,937.29	)	—	—	7.875	3.581	JD	140,284.38	238,218.75		2/17/2010	12/15/2015
65339KAF7	NEXTERA ENERGY CAPITAL HOLDING SENIOR			2,197,558	2,219,691.28	2,200,000.00	2,197,581.17	22,110.11	45.47		—	—	1.2	1.242	JD	669.17	705.83		9/18/2012	6/1/2015
62888UAA8	NGN_10-R2 CMBS_10-R2 1A		2	3,812,970.9	3,822,503.33	3,812,970.90	3,812,970.9	9,532.43	—		—	—	0.598	0.599	MON	1,586.89	20,167.39		6/10/2011	11/6/2017
62888YAA0	NGN_11-R1 CMO_11-R1 IA		2	3,780,386.2	3,798,672.29	3,778,833.42	3,780,087.72	18,584.57	(272.77	)	—	—	0.678	0.668	MON	1,921.54	21,484.04		6/10/2011	1/8/2020
62889EAA3	NGN_11-R3 NGN_11-R3 1A		2	9,148,385.56	9,187,956.31	9,136,608.58	9,147,897.83	40,058.48	(1,085.54	)	—	—	0.628	0.598	MON	3,187.66	29,977.22		6/15/2012	3/11/2020
62889FAA0	NGN_11-R4 CMO_11R4-1A		2	3,927,768.11	3,931,695.88	3,927,768.11	3,927,768.11	3,927.77	—		—	—	0.608	0.609	MON	1,658.4	21,712.74		6/10/2011	3/6/2020
654624AE5	NIPPON TELEGRAPH AND TELEPHONE SENIOR	F		4,459,748.50	4,495,407.18	4,450,000.00	4,459,416.26	35,990.92	(332.24	)	—	—	1.4	1.354	JJ	12,633.05	(606.67	)	7/23/2012	7/18/2017
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO		2	848,715.45	851,414.94	840,052.39	847,798.59	3,616.35	(894.36	)	—	—	6.5	6.293	MON	4,550.28	42,710.67		10/3/2007	2/25/2035
BRSE58QX7	NORANDA ALUMINUM ACQUISITION TERM LOAN			1,975,075	2,007,412.50	1,990,000.00	1,976,263.24	31,149.26	1,287.1		—	—	—	0.107	MJSD	—	66,962.74		2/24/2012	2/24/2019
65557CAG8	NORDEA BANK AB CORP BND 144A	F		6,975,000	7,010,712.07	6,975,000.00	6,975,000	35,712.07	—		—	—	1.355	1.203	JAJO	20,216.4	73,585.56		1/11/2011	1/14/2014
W5818PAC4	NORDEA BANK AB CORP BND MTN	D		534,825.15	607,089.63	350,000.00	535,985.96	71,103.67	729.74		—	27,277.18	3.875	3.951	DEC	18,136.43	14,796.71		4/13/2010	12/15/2015
65557FAC0	NORDEA BANK AB SENIOR CORP BND 144A	F		3,118,343.75	3,180,850.75	3,125,000.00	3,119,487.58	61,363.17	1,143.83		—	—	2.25	2.324	MS	2,148.44	35,156.25		3/14/2012	3/20/2015
65558AAA4	NORDEA EIENDOMSKREDITT CORP BND 144A	F		19,454,208	19,761,228	19,400,000.00	19,433,856.85	327,371.15	(16,590.5	)	—	—	1.875	1.757	AO	175,812.5	181,875		12/12/2011	4/7/2014
BRSC0XRZ5	NORTEK INC TERM LOAN			2,168,577.65	2,179,169.9	2,171,937.35	2,169,301.34	9,868.56	506.19		—	—	—	0.026	JAJO	—	87,589.75		7/8/2011	4/26/2017
665859AJ3	NORTHERN TRUST CORPORATION CORP BND			6,612,205	6,786,455.00	6,500,000.00	6,524,345.6	262,109.4	(24,366.17	)	—	—	5.5	5.055	FA	45,680.56	401,194.44		3/23/2009	8/15/2013
66989HAB4	NOVARTIS CAPITAL CORP CORP BND			998,670	1,008,809.9	1,000,000.00	999,755.27	9,054.63	(2,029.12	)	—	—	1.9	1.944	AO	8,286.11	71,738.19		3/9/2010	4/24/2013
66989HAA6	NOVARTIS CAPITAL CORP CORP BND			1,623,326.25	1,704,863.06	1,625,000.00	1,624,511.04	80,352.02	258.71		—	—	4.125	4.148	FA	9,496.09	67,031.26		2/4/2009	2/10/2014
66989HAC2	NOVARTIS CAPITAL CORP CORP BND			4,976,100	5,290,848.15	5,000,000.00	4,987,621.58	303,226.57	4,072.66		—	—	2.9	3.001	AO	63,236.11	103,594.44		3/9/2010	4/24/2015
BRSDFK6A3	NOVELIS INC/GA TERM LOAN		1	641,891.24	659,172.94	658,350.00	644,369.42	14,803.52	2,457.25		—	—	—	0.477	MJSD	—	19,886.55		12/2/2011	3/10/2017
BRSBPZM15	NOVELIS INC/GA TERM LOAN		2	5,451,731.13	5,591,189.65	5,595,386.19	5,473,415.23	117,774.42	15,541.6		—	—	—	0.487	MJSD	—	100,684.4		7/24/2012	3/10/2017
BRSC9TBB5	NRG ENERGY INC TERM LOAN			7,208,471.39	7,356,150.58	7,328,668.07	7,226,267.12	129,883.46	12,325.76		—	—	—	0.24	MJSD	—	170,308.76		7/24/2012	7/1/2018
BRSCJU296	NUANCE COMMUNICATIONS INC TERM LOAN			970,927.31	987,256.11	979,906.81	972,786.63	14,469.48	1,586.14		—	—	—	0.206	MJSD	—	24,520.92		11/1/2011	3/31/2016
BRSE3GXH8	NXP BV AND NXP FUNDING LLC TERM LOAN	E	2	1,994,987.47	2,018,687.92	1,994,987.47	1,994,987.47	23,700.45	—		—	—	—	—	MJSD	—	16,357.59		7/24/2012	3/19/2019
674599CA1	OCCIDENTAL PETROLEUM CORPORATI CORP BND			6,542,205.50	6,633,030.88	6,550,000.00	6,546,833.29	86,197.59	1,949.53		—	—	1.45	1.491	JD	28,492.50	47,487.50		12/13/2010	12/13/2013
BRSCL92L3	OM GROUP INC. TERM LOAN			504,751.50	512,083.14	509,850.00	505,727.11	6,356.03	680.3		—	—	—	0.166	JAJO	—	23,587.33		7/28/2011	8/2/2017
68268NAF0	ONEOK PARTNERS LP CORP BND		1	2,673,395.00	2,811,573.54	2,675,000.00	2,673,910.98	137,662.56	229.36		—	—	3.25	3.263	FA	14,489.58	86,937.50		1/21/2011	2/1/2016
6832348Y7	ONTARIO PROVINCE CORP BND	A		5,224,450.00	5,295,100.40	5,000,000.00	5,158,316.69	136,783.71	(42,677.08	)	—	—	2.7	1.502	JD	39,375	67,500		7/28/2011	6/16/2015
6832348A9	ONTARIO PROVINCE CORP BND	A		8,113,059.69	8,243,675.78	7,750,000.00	7,898,874.01	344,801.77	(92,190.8	)	—	—	4.1	2.938	JD	92,677.08	278,458.33		2/19/2010	6/16/2014
68323ABJ2	ONTARIO PROVINCE SENIOR CORP BND	A		4,898,971.00	4,958,799.85	4,900,000.00	4,899,090.72	59,709.13	119.72		—	—	0.95	0.957	MN	16,421.81	—		5/16/2012	5/26/2015
68389XAD7	ORACLE CORPORATION CORP BND			3,148,866	3,227,490	3,150,000.00	3,149,868.52	77,621.48	(46,698.25	)	—	—	4.95	4.958	AO	71,898.75	201,795		4/2/2008	4/15/2013
68389XAF2	ORACLE CORPORATION CORP BND			5,306,790.00	5,293,191.15	5,000,000.00	5,285,958.51	7,232.64	(24,836.42	)	—	—	3.75	0.499	JJ	43,229.17	(13,562.49	)	9/25/2012	7/8/2014
69371RK70	PACCAR FINANCIAL CORP UNSECURED CORP BND			1,500,000.00	1,503,795	1,500,000.00	1,500,000	3,795	—		—	—	0.664	0.718	MJSD	719.72	2,656.65		6/5/2012	6/5/2014
69371RK54	PACCAR FINANCIAL CORP UNSECURED CORP BND			4,999,050.00	5,064,614.5	5,000,000.00	4,999,161.26	65,453.24	111.26		—	—	1.6	1.604	MS	3,555.56	42,000		3/1/2012	3/15/2017
69373UAA5	PACCAR INC CORP BND			1,117,070.86	1,083,305.82	1,000,000.00	1,042,193.02	41,112.8	(22,195.72	)	—	—	6.875	3.692	FA	8,784.72	68,750		2/19/2010	2/15/2014

694308GD3	PACIFIC GAS AND ELECTRIC CO CORP BND			2,108,259.00	2,009,889.71	1,900,000.00	1,989,107.29	20,782.42		(88,099.86	)	—	—	4.8	1.444		MS	7,600	202,800.00		10/19/2010	3/1/2014
BRSFC7S57	PANTRY INC(THE) TERM LOAN			643,500.00	654,875.00	650,000.00	643,624.88	11,250.12		124.88		—	—	—	0.143		JAJO	—	4,775.69		7/26/2012	7/26/2019
BRSFFAX44	PATRIOT COAL CORP TERM LOAN			2,396,350	2,401,974.7	2,410,000.00	2,398,088.3	3,886.4		1,738.3		—	—	—	0.441		FMAN	—	—		9/19/2012	10/2/2013
70659PAB7	PENAR_11-1-A1 ABS_11-1 A1 144A	F	2	3,200,000	3,197,504	3,200,000.00	3,200,000.00	(2,496	)	—		—	—	0.87	0.872		MON	1,005.34	39,016.5		12/19/2011	5/20/2013
709599AG9	PENSKE TRUCK LEASING CO SENIOR CORP BND			824,678.25	831,534	825,000	824,712.42	6,821.58		105.93		—	—	2.5	2.52		JJ	4,468.75	9,375		7/10/2012	7/11/2014
709599AK0	PENSKE TRUCK LEASING COMPANY L SENIOR			4,991,400	4,998,672.1	5,000,000	4,991,414.99	7,257.11		14.99		—	—	3.375	3.41		MS	1,875	—		9/24/2012	3/15/2018
709599AJ3	PENSKE TRUCK LEASING COMPANY L SENIOR			8,937,534	8,853,311.18	8,950,000.00	8,937,569.78	(84,258.6	)	35.78		—	—	2.5	2.542		MS	2,486.11	(135.42	)	9/25/2012	3/15/2016
709599AC8	PENSKE TRUCK LEASING COMPANY L UNSECURED			2,497,575.00	2,545,174.98	2,500,000.00	2,497,876.93	47,298.05		301.93		—	—	3.125	3.159		MN	30,381.94	—		5/8/2012	5/11/2015
BRSFWC4C5	PEP BOYS - MANNY MOE & JACK TH SENIOR			1,806,350.00	1,831,375.00	1,820,000.00	1,806,350	25,025		—		—	—	—	0.127		MJSD	—	—		9/27/2012	10/1/2018
713448BQ0	PEPSICO INC CORP BND			3,998,240.00	4,020,628.96	4,000,000.00	3,999,368.91	21,260.05		507.94		—	—	0.875	0.89		AO	15,166.67	23,187.5		10/19/2010	10/25/2013
713448BK3	PEPSICO INC CORP BND			15,367,352.00	16,096,656.43	15,400,000.00	15,390,110.08	706,546.35		5,778.77		—	—	3.75	3.797		MS	48,125.01	695,760.42		2/25/2009	3/1/2014
713448BX5	PEPSICO INC SENIOR CORP BND			3,838,310.40	3,852,945.98	3,840,000.00	3,838,629.54	14,316.44		371.25		—	—	0.75	0.765		MS	2,080	17,108.33		2/29/2012	3/5/2015
G7014VBF9	PERMM 2010-1 ABS_10-1 3A	D	1	2,003,000.00	2,258,499.65	1,250,000.00	2,003,000	255,499.65		—		—	15,500	4.805	4.792		JJ	21,323.19	94,308.64		1/29/2010	1/17/2017
BRSBMD3R1	PETCO ANIMAL SUPPLIES INC. TERM LOAN		2	4,884,558.08	4,964,986.87	4,949,494.95	4,895,710.49	69,276.38		7,686.96		—	—	—	0.206		FMAN	—	169,078.20		8/15/2011	11/24/2017
71645WAT8	PETROBRAS INTERNATIONAL FINANC CORP BND	F		797,304.00	843,664.06	800,000.00	798,151.96	45,512.10		385.62		—	—	3.875	3.95		JJ	5,511.11	31,000.00		1/20/2011	1/27/2016
71645WAV3	PETROBRAS INTERNATIONAL FINANC CORP BND	F		1,790,982	1,849,286.32	1,800,000.00	1,792,875.70	56,410.62		1,929.03		—	—	2.875	3.051		FA	7,906.25	26,513.89		2/1/2012	2/6/2015
BRSEDXCH3	PETROLOGISTICS LP SENIOR SEC TERM LOAN			975,100	1,006,193.75	995,000	977,066.53	29,127.22		2,066.53		—	—	—	0.401		MJSD	—	22,958.55		3/23/2012	3/23/2017
717081DA8	PFIZER INC. CORP BND			555,530.00	557,675.86	500,000.00	527,968.27	29,707.59		(11,314.01	)	—	—	5.35	2.971		MS	1,188.89	48,038.54		2/17/2010	3/15/2015
BRSFMRGY2	PHARMACEUTICAL RSRCE INC SENIOR SECURED			1,435,500.00	1,446,737.5	1,450,000.00	1,435,500	11,237.5		—		—	—	—	0.145		MJSD	—	—		9/18/2012	8/2/2019
71722TAF1	PHEAA_04-1 ABS_04-1-A2		2	452,730.00	463,700.00	500,000.00	462,377.46	1,322.54		3,254.65		—	—	1.739	2.733		MON	619.37	4,942.75		3/9/2010	4/25/2023
71722TAG9	PHEAA_04-1 ABS_04-1-A3		2	1,177,098.00	1,205,812.4	1,300,000.00	1,200,923.64	4,888.76		1,959.87		—	—	0.07	0.861		MON	62.16	14,035.34		3/9/2010	10/25/2022
718172AG4	PHILIP MORRIS INTERNATIONAL IN CORP BND			6,485,183.00	6,170,197.25	5,650,000.00	5,972,951.43	197,245.82		(165,400.2	)	—	—	6.875	2.856		MS	15,105.9	414,934.92		2/22/2012	3/17/2014
718172AB5	PHILIP MORRIS INTERNATIONAL IN CORP BND			6,108,095	6,296,316.25	6,125,000	6,122,658.87	173,657.38		2,716.86		—	—	4.875	4.938		MN	111,972.66	149,296.88		5/13/2008	5/16/2013
718546AG9	PHILLIPS 66 SENIOR CORP BND 144A			3,249,415	3,409,209.38	3,250,000	3,249,559.47	159,649.91		150.86		—	—	2.95	2.953		MN	52,997.57	10,636.39		3/7/2012	5/1/2017
718546AD6	PHILLIPS 66 SENIOR CORP BND 144A			5,472,481.5	5,591,486.59	5,475,000	5,472,929.55	118,557.04		495.3		—	—	1.95	1.966		MS	7,710.62	57,588.63		3/7/2012	3/5/2015
BRSBL01Z4	PHILLIPS-VAN HEUSEN CORP TERM LOAN		2	2,967,234.37	2,966,701.8	2,955,000	2,963,999.4	2,702.4		(2,008.51	)	—	—	—	(0.083	)	FMAN	—	80,602.82		6/21/2011	5/6/2016
BRSBU37B5	PILOT TRAVEL CENTERS LLC TERM LOAN		2	1,564,383.57	1,650,916.92	1,647,621.68	1,577,822.39	73,094.53		9,273.21		—	—	—	0.777		MJSD	—	56,909.51		8/24/2011	3/30/2018
BRSFDBBL0	PILOT TRAVEL CENTERS LLC SENIOR SEC TERM			605,425	613,812.5	610,000	605,521.57	8,290.93		96.57		—	—	—	0.106		MJSD	—	—		8/2/2012	8/1/2019
BRSEC7EU0	PINACLE FOOD FIN SENIOR SEC TERM NOTES		2	2,228,831.29	2,241,243.73	2,241,243.73	2,229,627.32	11,616.41		883.59		—	—	—	0.085		MJSD	—	26,667.53		8/15/2012	10/17/2018
BRSFJDVK0	PINACLE FOOD FIN TERM LOAN			4,643,187.94	4,681,222.31	4,678,275.00	4,643,377.00	37,845.31		277		—	—	—	0.122		FMAN	—	41,363.19		8/17/2012	10/17/2018
BRSE9BNJ0	PINNACLE ENTERTAINMENT INC. SENIOR SEC			492,525.00	498,121.88	497,500.00	492,879.26	5,242.62		379.26		—	—	—	0.143		MJSD	—	14,839.58		3/8/2012	3/8/2019
BRS4QJRM5	PINNACLE FOODS FINANCE TERM LOAN		2	4,883,489.84	4,939,744.67	4,938,510.04	4,912,626.12	27,118.55		13,346.74		—	—	—	0.35		AO	—	138,641.65		3/8/2011	4/2/2014
69353UAB7	PPL WEM HOLDINGS PLC CORP BND 144A	F		3,397,355	3,447,348.39	3,250,000.00	3,378,856.18	68,492.21		(18,498.82	)	—	—	3.9	2.731		MN	52,812.5	16,547.91		3/9/2012	5/1/2016
BRSDU55R3	PRESTIGE BRANDS HOLDINGS INC TERM LOAN		1	590,253.81	605,049.09	599,242.43	591,077.15	13,971.94		2,334.72		—	—	—	0.214		MJSD	—	21,683.76		1/27/2012	1/31/2019

742651DE9	PRIVATE EXPORT FUNDING CORP AGENCY BND			915,990	912,652.47	750,000.00	914,463.57	(1,811.1	)	(1,526.43	)	—	—		5.45	0.914		MS	1,816.67	113.54		9/13/2012	9/15/2017
742651DQ2	PRIVATE EXPORT FUNDING CORP AGENCY BND			2,994,030.00	3,020,010	3,000,000.00	2,994,145.73	25,864.27		115.73		—	—		1.45	1.48		FA	6,283.33	—		7/31/2012	8/15/2019
742651DH2	PRIVATE EXPORT FUNDING CORP AGENCY BND			4,868,226	4,852,402.00	4,600,000.00	4,837,859.96	14,542.04		(30,366.04	)	—	—		3.05	0.497		AO	64,693.88	(28,060.00	)	6/26/2012	10/15/2014
742651DF6	PRIVATE EXPORT FUNDING CORP AGENCY BND			7,321,566.00	7,123,340	7,000,000.00	7,119,565.79	3,774.21		(180,556.91	)	—	—		3.55	0.37		AO	114,586.11	147,916.67		11/2/2011	4/15/2013
742651DB5	PRIVATE EXPORT FUNDING CORP SECURED			1,646,955	1,700,474.97	1,500,000.00	1,583,334.94	117,140.03		(18,833.24	)	—	—		4.95	3.07		MN	28,050	37,125		2/23/2010	11/15/2015
BRSCFRW37	PRO MACH INC TL B TERM LOAN			842,417.95	846,672.58	850,927.22	844,132.43	2,540.15		1,201.64		—	—		—	0.166		JAJO	—	40,598.38		7/6/2011	7/6/2017
742718DX4	PROCTER & GAMBLE COMPANY CORP BND			1,960,000	1,961,509.42	1,960,000.00	1,960,000	1,509.42		—		—	—		0.362	0.451		FMAN	1,103.24	8,442.71		2/1/2012	2/6/2014
742718DV8	PROCTER & GAMBLE COMPANY CORP BND			4,962,622.6	5,127,428.05	5,000,000.00	4,968,599.15	158,828.9		5,870.06		—	—		1.45	1.618		FA	9,263.89	72,500		12/27/2011	8/15/2016
BRSE9C0N4	PROTECTION ONE INC. SENIOR SECURED TERM		1	1,568,120.00	1,609,910	1,592,000	1,569,790.44	40,119.56		1,790.44		—	—		—	0.214		MJSD	—	43,899.97		3/16/2012	3/21/2019
69362BAS1	PSE&G POWER LLC CORP BND			1,099,885.31	1,120,368.5	1,000,000	1,068,132.1	52,236.4		(11,857.57	)	—	—		5.32	3.462		MS	2,364.44	53,200		9/15/2010	9/15/2016
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS CORP BND			549,021	577,244.12	550,000.00	549,469.75	27,774.37		146.67		—	—		2.7	2.739		MN	6,187.5	7,425		5/17/2010	5/1/2015
74456QAY2	PUBLIC SERVICE ELECTRIC & GAS CORP BND			7,818,200.25	7,870,120.05	7,825,000	7,820,659.92	49,460.13		1,720.49		—	—		0.85	0.88		FA	8,498.82	66,327.74		9/12/2011	8/15/2014
74834LAT7	QUEST DIAGNOSTICS INC CORP BND			1,525,000	1,536,010.5	1,525,000	1,525,000	11,010.5		—		—	—		1.223	1.159		MJSD	362.65	26,749.46		3/21/2011	3/24/2014
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP. TERM LOAN		2	2,871,756.25	3,022,416.56	3,011,875.00	2,893,846.96	128,569.60		14,884.95		—	—		—	0.707		MAT	—	114,778.5		8/15/2011	6/8/2018
21685WCY1	RABOBANK NEDERLAND NV CORP BND	F		7,660,000	7,665,821.29	7,660,000	7,660,000.00	5,821.29		—		—	—		0.651	0.452		JAJO	9,420.69	39,710.63		7/20/2011	7/25/2013
74977RCE2	RABOBANK NEDERLAND NV CORP BND 144A	F		1,598,896	1,674,485.85	1,600,000	1,599,438.29	75,047.56		163.1		—	—		3.2	3.215		MS	2,844.44	51,200		3/4/2010	3/11/2015
74977RBQ6	RABOBANK NEDERLAND NV CORP BND 144A	F		5,051,420.5	5,091,015.46	4,850,000	4,928,413.34	162,602.12		(34,987.63	)	—	—		4.2	3.166		MN	78,085	101,850		1/8/2010	5/13/2014
N7277KAG6	RABOBANK NEDERLAND NV CORP BND MTN	D		569,164.74	605,565.11	350,000	570,426.6	35,138.51		457.37		—	(6,599.17	)	4	4.047		SEP	1,311.81	32,211.08		9/3/2009	9/10/2015
BRSE456U2	RAILAMERICA INC. SENIOR SECURED TERM		1	1,980,050	1,990,000	1,990,000	1,980,813.01	9,186.99		813.01		—	—		—	0.071		MJSD	—	37,309.44		2/23/2012	3/1/2019
BRSBZBVS8	RANPAK CORP TERM LOAN			2,658,813.77	2,618,381.47	2,647,049.01	2,656,129.73	(37,748.26	)	(255.64	)	—	—		—	(0.074	)	JAJO	—	100,848.59		5/19/2011	4/20/2017
BRSBLLNC5	REGAL CINEMAS CORP		2	4,828,326.3	4,835,001.81	4,831,667.96	4,827,559.97	7,441.84		(214.75	)	—	—		—	0.017		JJ	—	96,405.9		7/24/2012	8/23/2017
BRSBAXKS9	REMY INTERNATIONAL INC TERM LOAN			1,107,440.95	1,136,358.63	1,136,358.63	1,113,107.50	23,251.13		5,126.88		—	—		—	0.484		MJSD	—	54,490.9		9/29/2011	12/16/2016
76111XYJ6	RES FUND MTG SEC I CMO_05-SA4 2A2		2	1,045,495.86	983,036.96	1,083,415.4	1,049,761.2	(66,724.24	)	295.62		—	—		3.237	3.975		MON	2,922.77	41,142.89		8/16/2007	2/1/2027
76112NAB0	RESIDENTIAL REINSURANCE 2012 L	F		4,000,000	4,081,520	4,000,000	4,000,000	81,520		—		—	—		8	8.071		MJSD	22,222.22	87,122.28		5/18/2012	6/6/2016
76112NAC8	RESIDENTIAL REINSURANCE 2012 L UNSECURED	F		5,000,000.00	5,019,500.00	5,000,000.00	5,000,000	19,500		—		—	—		22	22		MJSD	76,388.89	299,458.4		5/18/2012	6/6/2018
BRSE61FE5	REXNORD CORP TERM LOAN		2	1,328,237.93	1,340,332.24	1,334,912.50	1,328,799.45	11,532.79		611.95		—	—		—	0.082		JAJO	—	33,873.91		3/13/2012	4/1/2018
BRSFRQMG1	REYNOLDS GROUP HOLDINGS INC SENIOR			3,987,879.59	4,000,680.68	3,987,879.59	3,987,879.59	12,801.09		—		—	—		—	—		MJSD	—	—		9/21/2012	9/17/2018
BRSEY9A02	RGIS SERVICES LLC SENIOR SECURED TERM			274,584.21	273,550.65	275,617.78	274,584.21	(1,033.56	)	—		—	—		—	0.094		MJSD	—	—		9/18/2012	10/18/2016
BRSEYJRF9	RGIS SERVICES LLC TERM NOTES			2,505,314.61	2,530,620.83	2,530,620.83	2,506,505.4	24,115.43		1,301.24		—	—		—	0.187		MJSD	—	34,647.21		8/17/2012	10/18/2017
76541VKB2	RICHMOND VA MUNITAX BND GO			1,500,000	1,510,665	1,500,000	1,500,000	10,665		—		—	—		1.207	1.207		JJ	4,677.13	—		6/14/2012	7/15/2016
76541VKC0	RICHMOND VA MUNITAX BND GO			5,000,000	5,047,600	5,000,000.00	5,000,000	47,600		—		—	—		1.507	1.507		JJ	19,465.42	—		6/14/2012	7/15/2017
76720AAE6	RIO TINTO FINANCE (USA) PLC SENIOR CORP	F	1	2,486,300	2,504,029.28	2,500,000	2,486,593.51	17,435.77		314.99		—	—		1.625	1.74		FA	4,513.89	338.54		8/16/2012	8/21/2017
76720AAB2	RIO TINTO FINANCE (USA) PLC SENIOR CORP	F	1	4,019,848	4,106,429.25	4,025,000	4,020,364.86	86,064.39		528.49		—	—		2	2.027		MS	2,012.5	41,222.22		3/19/2012	3/22/2017
767201AM8	RIO TINTO FINANCE LTD CORP BND	F		3,607,092.5	3,774,967.12	3,625,000	3,611,752.71	163,214.41		2,577.3		—	—		2.5	2.606		MN	32,977.43	45,312.50		5/17/2011	5/20/2016

767201AJ5	RIO TINTO FINANCE USA LIMITED CORP BND	F		1,298,947.00	1,338,092.89	1,300,000.00	1,299,338.29	38,754.6		154.65		—	—		1.875	1.892	MN	10,088.54	12,187.5		10/28/2010	11/2/2015
767201AF3	RIO TINTO FINANCE USA LIMITED CORP BND	F		4,576,294.00	4,164,642.01	3,700,000	4,103,872.96	60,769.05		(186,516.72	)	—	—		8.95	1.92	MN	137,979.17	165,575		10/28/2010	5/1/2014
771196AQ5	ROCHE HOLDINGS INC CORP BND 144A			5,142,958.9	5,016,103.53	4,726,000	4,876,106.44	139,997.09		(99,988.82	)	—	—		5	2.7	MS	19,691.66	371,504.86		2/17/2010	3/1/2014
U75000AU0	ROCHE HOLDINGS INC SENIOR CORP BND	O		742,348.77	938,890.1	525,000.00	745,217.38	193,672.72		646.84		—	100,058.51		5.5	5.634	MAR	27,441.85	46,965.19		2/25/2009	3/4/2015
78008K5X7	ROYAL BANK OF CANADA CORP BND	A		9,777,835	9,805,399.18	9,775,000	9,776,560.07	28,839.11		(752.27	)	—	—		0.755	0.565	JAJO	15,582.33	57,916.39		6/20/2011	4/17/2014
780099CC9	ROYAL BANK OF SCOTLAND PLC THE SENIOR	F		1,699,031.00	1,721,381.00	1,700,000.00	1,699,042.23	22,338.77		11.23		—	—		2.55	2.57	MS	1,565.42	—		9/11/2012	9/18/2015
BRSCL40C6	ROYALTY PHARMA FINANCE TRUST TERM LOAN		2	6,772,589.47	6,823,215.33	6,802,806.91	6,776,832.86	46,382.47		3,762.98		—	—		—	0.067	MJSD	—	207,515.45		11/1/2011	5/9/2018
BRSEVCW87	RPI FINANCE TRUST SENIOR SEC TERM NOTES		2	686,328.3	700,702.87	696,780	686,866.57	13,836.3		586.57		—	—		—	0.231	MJSD	—	9,240.81		5/24/2012	11/9/2018
78355HJR1	RYDER SYSTEM INC. CORP BND MTN			1,871,662.5	1,950,298.84	1,875,000.00	1,872,362.06	77,936.78		384.75		—	—		3.5	3.533	JD	21,875	32,812.5		5/17/2011	6/1/2017
78355HJT7	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2,693,763	2,723,120.94	2,700,000	2,693,867.3	29,253.64		104.3		—	—		2.5	2.545	MS	7,312.5	—		8/15/2012	3/1/2018
78572MAD7	SABMILLER PLC CORP BND 144A	F		6,522,239.5	6,576,706.81	5,600,000	6,291,500.9	285,205.91		(129,484.96	)	—	—		6.5	2.993	JJ	91,000	364,000		5/24/2011	7/1/2016
BRSFGBWM2	SABRE INC SENIOR SECURED TERM LOAN			1,980,000	2,011,660	2,000,000	1,980,407.26	31,252.74		407.26		—	—		—	0.185	MJSD	—	11,277.78		8/22/2012	12/29/2017
796269UF3	SAN ANTONIO TEX INDPT SCH DIST MUNI BND			1,000,000.00	1,026,440.00	1,000,000.00	1,000,000	26,440		—		—	—		2.235	2.235	FA	2,855.83	22,350		12/15/2010	8/15/2014
80105NAC9	SANOFI AVENTIS CORP BND	F		16,010,920	16,063,394.1	15,990,000	16,001,509	61,885.1		(5,785.32	)	—	—		0.672	0.554	MJSD	895.78	108,022.80		7/7/2011	3/28/2014
BRSFUUMM5	SBA SENIOR FINANCE II LLC SENIOR SECURED			967,575	972,832.4	970,000	967,575	5,257.4		—		—	—		—	0.036	MJSD	—	—		9/21/2012	9/20/2019
BRSCDKB78	SBA SENIOR FINANCE II LLC TERM LOAN			2,659,584.37	2,669,582.81	2,666,250.00	2,660,753.92	8,828.89		764.16		—	—		—	0.035	JD	—	50,931.56		6/27/2011	6/30/2018
806854AA3	SCHLUMBERGER INVESTMENT SA CORP BND 144A	F		1,297,725	1,340,558.05	1,300,000	1,298,183.02	42,375.03		327.75		—	—		1.95	1.987	MS	1,197.08	25,350		9/7/2011	9/14/2016
806854AC9	SCHLUMBERGER INVESTMENT SA SENIOR CORP	F		3,908,635	3,897,281.14	3,875,000	3,905,406.48	(8,125.34	)	(3,228.52	)	—	—		0.954	0.618	MJSD	1,951.57	6,244.93		7/12/2012	9/12/2014
80685PAC2	SCHLUMBERGER NORGE AS CORP BND 144A	F		1,622,156.25	1,675,697.56	1,625,000	1,622,728.79	52,968.77		409.71		—	—		1.95	1.987	MS	1,496.35	31,687.5		9/7/2011	9/14/2016
80685PAD0	SCHLUMBERGER NORGE AS SENIOR CORP BND	F		6,114,369.60	6,108,398.44	6,120,000.00	6,114,553.68	(6,155.24	)	184.08		—	—		1.25	1.269	FA	12,962.5	—		7/24/2012	8/1/2017
80705TAA4	SCHOL_11-A ABS 11-A A 144A		2	2,382,697.61	2,403,445.79	2,430,669.29	2,385,164.67	18,281.12		8,930.14		—	—		1.347	1.506	JAJO	5,730.12	28,793.38		3/22/2011	4/28/2038
80705WAA7	SCHOL_12-B ABS 12-B 144A		2	822,638.85	822,814.91	825,000	822,641.74	173.17		2.89		—	—		0.619	0.664	MON	42.56	—		9/19/2012	10/28/2025
BRSBK71J6	SEAWORLD PARKS & ENTERTAINMENT LN1 TERM		2	1,451,374.90	1,455,308.13	1,451,374.9	1,451,374.9	3,933.23		—		—	—		—	—	FMAN	—	5,156.9		8/15/2012	8/17/2017
BRSC2UZX5	SENSATA TECHNOLOGIES FINANCE C TERM LOAN		2	5,973,771.53	6,058,860.49	6,036,224.65	5,980,980.24	77,880.25		5,580.07		—	—		—	0.159	FMAN	—	127,657.83		7/23/2012	5/12/2018
BRSC4TTL9	SENSUS METERING TERM LOAN			387,129.64	389,397.93	389,075	387,576.13	1,821.8		257.04		—	—		—	0.083	FMAN	—	14,196.92		5/5/2011	5/9/2017
BRSBT4DY8	SERENA SOFTWARE TERM LOAN			2,983,750.00	2,966,250	3,000,000.00	2,988,259.53	(22,009.53	)	2,554.81		—	—		—	0.112	MJSD	—	101,954.73		6/2/2011	3/10/2016
BRSFHNFT9	SEVEN SEAS CRUISES S DE RL TERM LOAN			2,663,100	2,700,087.5	2,690,000.00	2,663,506.14	36,581.36		406.14		—	—		—	0.157	FMAN	—	—		8/16/2012	12/21/2018
822582AF9	SHELL INTERNATIONAL FIN BV CORP BND	F		4,487,580.5	4,465,337.83	4,250,000	4,339,313.65	126,024.18		(79,653.22	)	—	—		4	2.537	MS	4,722.23	342,222.22		3/2/2010	3/21/2014
822582AQ5	SHELL INTERNATIONAL FIN BV CORP BND	F		9,801,998.75	10,262,024.75	9,625,000	9,763,281.53	498,743.22		(40,515.72	)	—	—		3.1	2.545	JD	77,080.21	238,398.61		2/14/2012	6/28/2015
822582AR3	SHELL INTERNATIONAL FIN BV SENIOR CORP	F		5,027,200	5,017,696.75	5,000,000	5,026,893.03	(9,196.28	)	(145.93	)	—	—		1.125	1.012	FA	6,250	(1,375	)	9/5/2012	8/21/2017
G8162ZAD4	SILVERSTONE MASTER ISSUER PLC ABS_09-1	D	1	833,161.5	924,290.4	510,000	833,161.5	91,128.9		—		—	(9,613.5	)	5.063	5.059	AO	18,605.85	20,590.55		10/27/2009	10/21/2016
BRSDKUDY5	SIX FLAGS THEME PARKS INC TERM LOAN		1	6,971,250	7,029,960.00	7,000,000	6,972,203.81	57,756.19		953.81		—	—		—	0.063	MJSD	—	46,928.85		7/25/2012	12/20/2018
78442GHW9	SLM STUDENT LOAN TR 03-10 ABS_03-10A A1A		2	250,000	250,000	250,000	250,000	—		—		—	—		1.73	1.734	MON	192.22	4,263.98		11/7/2011	9/15/2014
78442GJA5	SLM STUDENT LOAN TR 2003-10A 03-10A A1E		2	999,875	1,000,000.00	1,000,000	999,954.2	45.8		44.06		—	—		1.6	1.609	MON	177.78	16,050.91		11/7/2011	9/15/2014

78442GJD9	SLM STUDENT LOAN TR 2003-10A ABS 03-10A		2	250,000	250,000	250,000	250,000	—		—		—	—	1.65	1.652	MON	126.04	7,989.48	11/7/2011	9/15/2014
78446XAA3	SLM STUDENT LOAN TRUST ABS 12-B 144A		2	846,743.96	852,628.83	846,743.96	846,743.96	5,884.87		—		—	—	1.321	1.324	MON	434.91	5,413.01	4/4/2012	10/15/2015
78446XAB1	SLM STUDENT LOAN TRUST ABS_12-B A2 144A		2	999,897.30	1,061,888.00	1,000,000	999,902.51	61,985.49		5.21		—	—	3.48	3.507	MON	1,546.67	14,790	4/4/2012	6/15/2018
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2		2	9,777,447.58	9,839,738.26	9,796,438	9,779,649.45	60,088.81		3,557.74		—	—	0.817	0.85	MON	1,333.13	68,015.33	5/18/2011	7/25/2023
78447CAA8	SLM_12-D ABS 12-D 144A		2	890,222.86	895,831.26	890,222.86	890,222.86	5,608.4		—		—	—	1.271	1.274	MON	439.93	1,810.08	7/23/2012	6/15/2023
78442GHX7	SLMA ABS 03-10A A1B 144A		2	349,968.75	350,000.00	350,000.00	349,991.16	8.84		22.75		—	—	1.733	1.741	MON	320.12	7,190.88	11/7/2011	9/15/2014
78442GHZ2	SLMA ABS 03-10A A1D 144A		2	1,396,718.75	1,400,000	1,400,000.00	1,399,139.51	860.49		1,277.08		—	—	1.708	1.774	MON	804.45	24,006.67	11/7/2011	9/15/2014
78442GJB3	SLMA ABS 03-10A A1F 144A		2	625,000	625,000	625,000	625,000	—		—		—	—	1.25	1.252	MON	754.34	8,704.56	11/7/2011	9/15/2014
78442GHY5	SLMA ABS 03-10A-A1C			1,399,850.69	1,400,000	1,400,000	1,399,907.16	92.84		84.27		—	—	1.68	1.684	****	261.34	19,222.04	11/7/2011	12/15/2016
784442AC9	SLMA ABS 08_2 A3		2	1,484,824.22	1,504,199.99	1,500,000	1,485,834.67	18,365.32		1,010.45		—	—	1.201	1.348	JAJO	3,403.12	6,028.61	3/27/2012	4/25/2023
78444YAB1	SLMA ABS 08-5 A2		2	2,437,050.02	2,414,173.36	2,397,344.01	2,414,013.15	160.21		(19,717.36	)	—	—	1.551	0.706	JAJO	7,023.87	40,955.53	8/10/2010	4/25/2014
78444YAC9	SLMA ABS 08-5 A3		2	13,936,144.69	14,004,129.20	13,691,000	13,865,092.71	139,036.49		(51,468.98	)	—	—	1.751	1.222	JAJO	45,284.81	185,600.37	11/29/2011	10/26/2015
78444YAD7	SLMA ABS 08-5 A4		2	2,457,718.75	2,474,832	2,350,000	2,436,883.3	37,948.7		(8,934.27	)	—	—	2.151	1.604	JAJO	9,548.5	46,530.3	1/11/2011	7/25/2023
78442GJC1	SLMA ABS_03-10A AIG 144A		2	600,000	600,000	600,000	600,000	—		—		—	—	1.713	1.717	MON	732.4	8,108.79	11/7/2011	9/15/2014
78442GMK9	SLMA ABS_04-7 A5		2	2,751,407.80	2,769,890.05	2,767,841.85	2,755,385.88	14,504.17		4,686.05		—	—	0.621	0.815	JAJO	3,247.2	15,777.8	5/13/2011	4/25/2017
78442GQP4	SLMA ABS_05-8 A3		2	3,741,725	3,791,932.22	3,810,000	3,761,771.83	30,160.39		11,043.61		—	—	0.561	0.976	JAJO	4,038.05	17,141.79	6/13/2011	4/25/2017
78445XAA4	SLMA_10-1 ABS 10-1A		2	2,309,639.16	2,317,584.32	2,309,639.16	2,309,639.16	7,945.16		—		—	—	0.617	0.617	MON	237.32	12,709.63	7/30/2010	7/25/2022
78446JAB2	SLMA_11-2 ABS 11-2		2	6,575,000	6,532,394.00	6,575,000	6,575,000.00	(42,606.00	)	—		—	—	1.417	1.421	MON	1,552.24	72,359.69	5/18/2011	6/25/2031
78447AAA2	SLMA_12-3 ABS_12-3 A		2	1,866,878.32	1,875,185.92	1,866,878.32	1,866,878.32	8,307.6		—		—	—	0.867	0.868	MON	269.6	7,248.88	4/24/2012	3/27/2023
78447EAB2	SLMA_12-5 ABS 12-5		2	5,291,230.62	5,300,265	5,300,000	5,291,662.31	8,602.69		431.69		—	—	0.517	0.558	MON	456.24	6,635.56	7/10/2012	12/26/2017
78446VAA7	SLMA_12-A ABS 12-A 144A		2	5,978,160.4	6,042,903.88	5,978,160.4	5,978,160.4	64,743.48		—		—	—	1.621	1.625	MON	3,767.99	65,060.93	2/2/2012	7/15/2017
BRSCPUN39	SNL FINANCIAL LC TERM LOAN			2,764,500	2,835,750.00	2,850,000	2,777,928.73	57,821.27		12,260.32		—	—	—	0.43	MJSD	—	194,136.47	8/11/2011	8/17/2018
83714RAX1	SOUTH CAROLINA STUDENT LN MUNI BND REV	R	2	1,879,766.95	1,897,917.35	1,900,854.55	1,890,727.37	7,189.98		17,547.79		—	—	0.521	1.13	MJSD	742.4	13,517.12	3/30/2011	3/3/2014
84650WAA4	SPAREBNK 1 BOLIG LOCAL BND 144A	F		5,021,355	5,033,549.5	5,000,000.00	5,021,553.01	11,996.49		(5,678.74	)	—	—	1.25	0.843	AO	27,083.33	115,246.54	9/11/2012	10/25/2013
84650WAD8	SPAREBNK 1 BOLIG LOCAL BND 144A	F		5,486,580	5,738,920.11	5,500,000	5,487,698.35	251,221.76		1,118.35		—	—	2.3	2.35	JD	31,976.38	30,570.84	3/29/2012	6/30/2017
84650WAB2	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A	F		9,295,908	9,837,818.73	9,300,000	9,296,786.73	541,032		499.96		—	—	2.625	2.633	MN	84,087.49	122,087.5	5/23/2011	5/26/2017
30250GAA6	SSGN_10-S1 CMO_10-S1-1A 144A		2	866,722.72	869,322.88	866,722.72	866,722.72	2,600.16		—		—	—	0.765	0.765	MON	18.4	6,262.58	3/5/2010	1/29/2016
790849AE3	ST. JUDE MEDICAL INC. CORP BND			6,365,893.24	6,294,128.43	5,996,000	6,182,550.01	111,578.42		(76,392.24	)	—	—	3.75	1.97	JJ	47,468.33	224,850	12/1/2010	7/15/2014
85235XAA3	STADSHYPOTEK AB CORP BND 144A	F		7,868,143.26	7,868,250.00	7,800,000.00	7,825,444.73	42,805.27		(32,455.9	)	—	—	1.45	1.12	MS	314.17	198,601.67	6/9/2011	9/30/2013
BRSC51AB1	STAR WEST GENERATION LLC TERM LOAN			3,035,923.08	3,038,538.47	3,046,153.85	3,037,890.9	647.57		1,100.36		—	—	—	0.048	FMAN	—	139,107.69	5/18/2011	5/17/2018
857477AJ2	STATE STREET CORPORATION CORP BND			5,000,000	5,023,497.15	5,000,000	5,000,000	23,497.15		—		—	—	0.76	0.66	MJSD	2,532.83	32,157.74	3/2/2011	3/7/2014
85771SAB2	STATOIL ASA CORP BND	F		8,220,819	8,296,960.07	7,900,000	8,027,106.22	269,853.85		(59,883	)	—	—	3.875	2.799	AO	141,157.63	153,062.51	4/6/2010	4/15/2014
85771PAD4	STATOIL ASA SENIOR CORP BND	F		2,995,140.00	3,099,597.93	3,000,000.00	2,995,941.30	103,656.63		701.38		—	—	1.8	1.834	MN	19,200	27,000.00	11/16/2011	11/23/2016
BRS7AQH73	SUNGARD DATA SYSTEMS INC. LN1 TERM LOAN		2	2,317,574.65	2,317,574.65	2,320,475.24	2,318,961.3	(1,386.65	)	1,484.16		—	—	—	0.046	MON	—	75,773.31	6/8/2011	2/28/2014

BRS8CFLV5	SUNGARD DATA SYSTEMS INC. TERM LOAN		2	482,301.86	499,794.67	499,794.67	486,458.3	13,336.37		9,385.62		—	—		—	0.784	MJSD	—	22,323.48	8/9/2011	2/28/2016
BRS1D0A10	SUNGARD DATA SYSTEMS INC. TERM LOAN		2	1,431,483.7	1,462,081.14	1,464,526.9	1,445,141.48	16,939.66		22,063.8		—	—		—	0.932	MON	—	42,377.95	9/30/2011	2/28/2014
W91297AA4	SVENSKA HANDELSBANKEN AB CORP BND	D		605,546.39	639,522.82	350,000	596,103.57	43,419.25		(10,559.1	)	—	13,457.3		5.5	3.16	MAY	11,246.97	44,614.55	11/17/2011	5/26/2016
86959LAA1	SVENSKA HANDELSBANKEN AB CORP BND 144A	F		7,060,839	7,304,961.21	6,900,000	6,960,887.26	344,073.95		(25,618.64	)	—	—		4.875	4.328	JD	103,715.63	168,187.5	8/31/2009	6/10/2014
87020LAB2	SWEDBANK HYPOTEK AB CORP BND 144A	F		8,200,000	8,145,432.44	8,200,000	8,200,000	(54,567.56	)	—		—	—		0.812	0.758	MJSD	555.03	59,636.85	3/21/2011	3/28/2014
BRSEM91J4	SYNIVERSE HLDGS SENIOR SEC TERM NOTES			2,923,074	2,956,290.75	2,952,600	2,924,827.75	31,463		1,827.75		—	—		—	0.142	MJSD	—	33,779.97	4/20/2012	4/23/2019
871829AP2	SYSCO CORPORATION CORP BND			3,380,346	3,399,100.68	3,400,000	3,382,322.83	16,777.85		2,603.31		—	—		0.55	0.745	JD	5,661.95	718.06	9/26/2012	6/12/2015
874060AB2	TAKEDA PHARMACEUTICAL CO LTD UNSECURED	F		9,786,622.5	9,873,956.33	9,750,000	9,785,368.42	88,587.91		(1,254.08	)	—	—		1.625	1.54	MS	6,161.46	22,975.69	7/31/2012	3/17/2017
BRSETKJX2	TAMINCO GLOBAL CHEMICAL CORPOR TERM		2	331,666.67	334,671.57	331,666.67	331,666.67	3,004.9		—		—	—		—	—	MJSD	—	6,259.77	5/11/2012	2/15/2019
89235YAC9	TAOT_10-B ABS_10-B A3		2	1,179,990.3	1,181,897.8	1,180,092.26	1,180,077.44	1,820.36		89.62		—	—		1.04	1.047	MON	545.46	19,244.14	7/14/2010	4/15/2013
89236PAD5	TAOT_12-A ABS 12-A		2	749,928.68	762,187.50	750,000	749,937.16	12,250.34		8.48		—	—		0.99	0.995	MON	330	3,031.88	4/11/2012	1/15/2016
89231NAC7	TAOT_12-B ABS 12-B		2	3,999,619.60	4,001,016.00	4,000,000	3,999,622.06	1,393.94		2.46		—	—		0.54	0.545	MON	300	—	9/18/2012	7/15/2016
BRSCDUPD8	TEAM HLTH INC. TERM LOAN			3,831,993.76	3,774,225.01	3,851,250.01	3,835,357.78	(61,132.77	)	2,208.11		—	—		—	0.071	MJSD	—	110,074.45	6/28/2011	6/29/2018
BRSE99EZ9	TELESAT CANADA / TELESAT LLC SENIOR	A	2	8,932,612.5	9,035,853.75	8,977,500	8,935,643.84	100,209.91		3,247.88		—	—		—	0.071	MJSD	—	185,262.32	3/26/2012	3/28/2019
88165FAC6	TEVA PHARMAC FIN CORP BND	F		2,501,975.00	2,629,250	2,500,000.00	2,501,646.3	127,603.7		(280.19	)	—	—		2.4	2.383	MN	23,500	30,000.00	11/8/2011	11/10/2016
88166DAB2	TEVA PHARMACEUTICAL FINANCE II CORP BND	F		2,450,000.00	2,455,509.66	2,450,000.00	2,450,000	5,509.66		—		—	—		0.876	0.809	MJSD	596	18,748.38	3/16/2011	3/21/2014
88166CAA6	TEVA PHARMACEUTICAL FINANCE II CORP BND	F		4,993,891.79	5,313,299.85	5,000,000	4,996,531.51	316,768.34		1,044.67		—	—		3	3.027	JD	44,166.66	96,562.5	11/12/2010	6/15/2015
882117V27	TEXAS A & M UNIV MUNITAX BND REV			1,000,000.00	1,001,420.00	1,000,000.00	1,000,000	1,420		—		—	—		1.239	1.239	JJ	2,512.42	—	6/26/2012	7/1/2016
882508AS3	TEXAS INSTRUMENTS INCORPORATED CORP BND			4,225,000.00	4,233,957.26	4,225,000.00	4,225,000	8,957.26		—		—	—		0.615	0.58	FMAN	3,389.57	56,311.76	2/22/2012	5/15/2013
882508AT1	TEXAS INSTRUMENTS INCORPORATED SENIOR			4,530,638	4,535,938.13	4,550,000	4,531,612.12	4,326.01		988.41		—	—		0.45	0.594	FA	3,128.13	30.62	8/2/2012	8/3/2015
883556BA9	THERMO FISHER SCIENTIFIC CORP BND			648,869	671,234.5	650,000	649,112.46	22,122.04		163.03		—	—		2.25	2.287	FA	1,868.75	14,584.38	8/9/2011	8/15/2016
88732JAV0	TIME WARNER CABLE INC CORP BND			9,960,678	9,927,165.08	9,400,000	9,822,771.35	104,393.73		(73,331.52	)	—	—		3.5	1.527	FA	54,833.34	246,361.12	9/25/2012	2/1/2015
BRSBN61P1	TOMKINS PLC TERM LOAN	R	2	3,338,182.82	3,450,036.05	3,442,874.87	3,359,677.77	90,358.28		16,183.73		—	—		—	0.613	FMAN	—	114,977.32	8/17/2011	9/29/2016
89114QAC2	TORONTO-DOMINION BANK CORP BND	A		2,300,000	2,311,086.05	2,300,000	2,300,000	11,086.05		—		—	—		0.755	0.549	JAJO	3,714.67	13,696.12	7/7/2011	7/14/2014
89114QAB4	TORONTO-DOMINION BANK CORP BND MTN	A		3,486,945	3,697,165.01	3,500,000	3,489,966.35	207,198.66		1,876.86		—	—		2.5	2.58	JJ	18,715.28	87,500	7/7/2011	7/14/2016
891145TN4	TORONTO-DOMINION BANK SECURED LOCAL BND	A		1,594,560	1,646,624.02	1,600,000	1,595,137.67	51,486.35		2,966.77		—	—		1.5	1.571	MS	1,200	66,591.66	3/5/2012	3/13/2017
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA CORP BND	F		3,310,503.00	3,373,036.61	3,325,000	3,312,246.31	60,790.3		1,743.31		—	—		1.5	1.591	FA	6,095.84	24,937.5	2/14/2012	2/17/2017
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA CORP BND	F		7,985,040.00	8,135,883.21	8,000,000.00	7,985,789.24	150,093.97		749.24		—	—		1.55	1.589	JD	32,033.34	—	6/21/2012	6/28/2017
89153VAD1	TOTAL CAPITAL INTERNATIONAL SA SENIOR	F		7,119,870	7,143,706.19	7,125,000	7,119,894.44	23,811.75		24.44		—	—		0.75	0.772	JJ	890.63	—	9/18/2012	1/25/2016
89152UAE2	TOTAL CAPITAL S.A. CORP BND	F		2,033,440.00	2,094,320.52	2,000,000.00	2,022,013.41	72,307.11		(4,566.51	)	—	—		2.3	1.969	MS	2,044.44	46,000	11/4/2010	3/15/2016
89235UAD5	TOYOTA AUTO RECEIVABLES OWNER TAOT		2	3,599,430.48	3,626,208.00	3,600,000	3,599,802.87	26,405.13		167.23		—	—		1.09	1.098	MON	1,744	37,271.96	9/22/2010	3/15/2014
89233P4B9	TOYOTA MOTOR CREDIT CORP CORP BND MTN			1,997,706.43	2,133,481.44	2,000,000.00	1,998,632.01	134,849.43		357.85		—	—		3.2	3.227	JD	18,488.89	32,000	11/12/2010	6/17/2015
89233P5E2	TOYOTA MOTOR CREDIT CORP CORP BND MTN			3,481,835	3,631,186.97	3,500,000	3,485,473.47	145,713.5		2,610.74		—	—		2	2.11	MS	3,111.11	70,000	9/8/2011	9/15/2016
U89233TU1	TOYOTA MOTOR CREDIT CORP CORP BOND	O		890,072.82	986,007.17	550,000	890,248.78	95,758.39		(819.82	)	—	(3,322.95	)	4	3.99	DEC	29,873.28	17,207.69	12/4/2011	12/7/2017

89233P6D3	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			4,981,700.00	5,128,224.95	5,000,000.00	4,982,959.76	145,265.19		1,927.81		—	—		1.75	1.827	MN	31,354.17	16,673.61		5/17/2012	5/22/2017
BRS35M3Y3	TPF GENERATION HOLDINGS LLC TERM LOAN		2	173,619.45	172,922.54	173,791.5	173,693.8	(771.26	)	407.94		—	—		—	0.046	MJSD	—	5,314.75		11/1/2011	12/15/2013
893526DH3	TRANSCANADA PIPELINES LIMITED CORP BND	A		3,673,161.75	3,930,623.22	3,675,000	3,673,981.89	256,641.33		269.79		—	—		3.4	3.411	JD	41,650	62,475		5/27/2010	6/1/2015
893526DL4	TRANSCANADA PIPELINES LIMITED SENIOR	A		2,914,148.25	2,940,076.45	2,925,000	2,916,221.99	23,854.46		3,067.79		—	—		0.875	1.001	MS	2,061.72	19,982.58		2/28/2012	3/2/2015
BRSBK9AU7	TRANSDIGM GROUP INC TERM LOAN		2	2,939,631.03	3,061,405.99	3,048,267.96	2,960,086.43	101,319.56		14,813.27		—	—		—	0.66	FMAN	—	92,934.68		8/29/2011	2/14/2017
BRSDWEH16	TRANSDIGM INC. TERM LOAN		1	1,103,170.17	1,114,722.98	1,108,713.75	1,103,842.58	10,880.4		714.29		—	—		—	0.099	MJSD	—	21,553.35		2/14/2012	2/14/2017
893830BD0	TRANSOCEAN INC SENIOR CORP BND	F		3,190,848	3,225,580.32	3,200,000.00	3,190,910.88	34,669.44		62.88		—	—		2.5	2.56	AO	4,000	—		9/10/2012	10/15/2017
BRSBU8QR8	TRANSTAR HOLDING COMPANY LN1 TERM LOAN			768,240	765,681.76	768,240	768,240	(2,558.24	)	—		—	—		—	—	MJSD	—	26,543.26		3/10/2011	12/21/2016
BRSBHPM99	TRANSUNION CORP TERM LOAN		2	2,862,571.7	2,983,284.51	2,951,321.7	2,877,023.52	106,260.99		10,203.98		—	—		—	0.468	FMAN	—	119,139.79		8/29/2011	2/10/2018
BRSEQLBQ6	TRICORBRAUN INC SENIOR SECURED TERM LOAN			2,547,200	2,568,806.4	2,560,000	2,548,015.73	20,790.67		815.73		—	—		—	0.083	MJSD	—	46,151.11		4/30/2012	4/30/2018
BRSCC2H73	TRIMAS CORP TERM LOAN			883,615.28	886,945.49	888,055.56	884,556.65	2,388.84		684.32		—	—		—	0.082	MJSD	—	27,011.46		6/17/2011	6/21/2017
G9141GAA6	TURBO FINANCE PLC TURBF_12-2 ABS 12-2	D	2	947,019.67	975,582.59	600,264.85	946,569.13	29,013.46		(945.98	)	—	28,829.31		1.918	1.294	MON	556.97	2,139.71		8/15/2012	9/22/2014
BRSB5UM91	TW TELECOM INC TERM LOAN			979,220.80	979,632.07	979,220.80	979,220.8	411.27		—		—	—		—	—	FMAN	—	26,163.76		1/18/2011	12/30/2016
BRSBH1FB5	TWCC HOLDING CORP TERM LOAN		2	4,719,865.33	4,815,164.63	4,791,208.59	4,731,559.05	83,605.58		8,991.52		—	—		—	0.281	FMAN	—	158,354.13		6/1/2012	2/13/2017
902674MY3	UBS AG LONDON BRANCH CORP BND 144A	F		4,975,000.00	5,120,650.10	5,000,000.00	4,980,603.71	140,046.39		5,603.71		—	—		1.875	2.048	JJ	17,708.33	46,614.58		1/19/2012	1/23/2015
90261XGX4	UBS AG CORP BND	F		2,898,753.00	2,944,113.99	2,900,000	2,899,439.79	44,674.2		310.43		—	—		2.25	2.265	JJ	11,418.75	65,250		1/25/2011	1/28/2014
BRSBBKBD9	UCI INTERNATIONAL TL B TERM LOAN		2	167,025	168,068.91	167,025	167,025	1,043.91		—		—	—		—	—	JAJO	—	7,001.79		1/20/2011	7/26/2017
904764AN7	UNILEVER CAPITAL CORP SENIOR CORP BND			2,988,090.00	2,989,915.71	3,000,000.00	2,988,737.13	1,178.58		647.13		—	—		0.45	0.584	JJ	2,212.5	—		7/30/2012	7/30/2015
904764AP2	UNILEVER CAPITAL CORP SENIOR CORP BND			8,102,912.00	8,111,158.33	8,200,000	8,106,000.76	5,157.57		3,088.76		—	—		0.85	1.094	FA	11,423.06	—		7/30/2012	8/2/2017
G92087EB0	UNILEVER PLC LOCAL BND EMTN	D		1,267,394.98	1,304,376.44	700,000	1,244,818.04	59,558.4		(24,373.97	)	—	15,452.91		4.75	2.143	JUN	16,232.12	86,392.03		11/9/2011	6/16/2017
BRS38FMB4	UNITED AIR LINES INC. TERM LOAN			2,855,688.1	2,893,696.05	2,934,039.09	2,896,426.52	(2,730.47	)	21,618.9		—	—		—	0.95	FMAN	—	50,825.75		5/13/2011	2/1/2014
G92435JR1	UNITED KINGDOM GILT GOVT BND	D		875,090.93	869,327.58	500,000.00	829,004.21	40,323.37		(43,986.95	)	—	39,560.91		8	0.321	MS	711.81	62,759		12/14/2011	9/27/2013
G924502M9	UNITED KINGDOM GILT GOVT BND	D		2,328,509.33	2,320,697.71	1,175,000.00	2,327,976.32	(7,278.61	)	(31,598.09	)	—	(6,254.33	)	4.5	0.913	MS	5,645.46	45,646.65		9/27/2012	3/7/2019
G9T44MEB4	UNITED KINGDOM GILT GOVT BND	D		3,282,340.88	3,275,460.32	2,000,000.00	3,282,268.26	(6,807.94	)	(72.62	)	—	(8,818.12	)	1	0.719	MS	2,135.42	(1,878.57	)	9/27/2012	9/7/2017
G92450K80	UNITED KINGDOM GILT GOVT BND	D		4,455,051.69	4,552,670.23	2,300,000	4,418,069.02	134,601.21		(122,552.99	)	—	123,115.16		5	0.803	MS	12,404	116,904.66		7/26/2012	3/7/2018
G92451GE0	UNITED KINGDOM GILT GOVT BND	D		4,520,360.42	4,752,485.58	2,800,000.00	4,506,027.50	246,458.08		(14,332.92	)	—	221,473.53		1.75	0.675	JJ	15,753.35	9,530.9		5/31/2012	1/22/2017
G92451CZ7	UNITED KINGDOM GILT GOVT BND	D		4,685,611.03	4,850,237.5	2,850,000	4,659,094.20	191,143.3		3,889.82		—	54,223.96		2	1.247	JJ	18,325.3	274,279.76		11/9/2011	1/22/2016
G924507Q5	UNITED KINGDOM GILT GOVT BND	D		6,191,431.13	6,236,462.56	3,650,000.00	6,089,283.83	147,178.73		(101,854.61	)	—	75,591.11		2.75	0.737	JJ	32,270.25	246,146.4		11/9/2011	1/22/2015
G924504Y1	UNITED KINGDOM GILT GOVT BND	D		10,422,550.58	10,642,694.65	6,400,000.00	10,345,554.30	297,140.35		(59,247.42	)	—	108,501.28		2.25	1.431	MS	15,531.94	263,632.02		11/9/2011	3/7/2014
G92450NU8	UNITED KINGDOM GILT GOVT BND	D		15,103,090.83	14,825,801.76	8,400,000.00	14,548,800.2	277,001.56		(448,415.38	)	—	18,772.82		5	1.121	MS	45,301.53	944,314.83		11/9/2011	9/7/2014
911312AG1	UNITED PARCEL SERVICE INC CORP BND			2,802,555.00	2,656,027.5	2,625,000.00	2,641,301.12	14,726.38		(78,770.41	)	—	—		4.5	2.319	JJ	24,937.5	375,481.25		10/14/2009	1/15/2013
911312AL0	UNITED PARCEL SERVICE INC CORP BND			12,414,426	12,414,450.44	11,800,000	12,041,099.22	373,351.22		(116,918.4	)	—	—		3.875	2.478	AO	228,625.01	228,625.01		12/14/2011	4/1/2014
911312AP1	UNITED PARCEL SERVICE INC SENIOR CORP			1,996,700	2,009,187.62	2,000,000.00	1,996,706.4	12,481.22		6.4		—	—		1.125	1.159	AO	250	—		9/24/2012	10/1/2017
912828RB8	UNITED STATES TREASURY GOVT BND			201,063.17	200,960.02	200,000.00	200,664.7	295.32		(4,004.54	)	—	—		0.5	0.322	FA	127.72	26,693.69		8/10/2011	8/15/2014

912828QE3	UNITED STATES TREASURY GOVT BND	299,872.1	300,798	300,000	299,962.55	835.45		51.56		—	—	0.625	0.647	AO	784.65	1,148.7		4/27/2011	4/30/2013
912828JT8	UNITED STATES TREASURY GOVT BND	880,663.04	877,870.89	860,000.00	877,400.78	470.11		(9,537.85	)	—	—	2	0.258	MN	5,780.33	5,211.47		7/12/2012	11/30/2013
912828RL6	UNITED STATES TREASURY GOVT BND	1,601,755.36	1,608,127.94	1,600,000.00	1,601,201.87	6,926.07		(2,796.52	)	—	—	0.5	0.463	AO	3,693.99	46,943.99		10/20/2011	10/15/2014
912828TA8	UNITED STATES TREASURY GOVT BND	2,000,162.95	2,000,319.98	2,000,000.00	2,000,159.53	160.45		(3.42	)	—	—	0.25	0.245	JD	1,263.59	(1,073.37	)	9/17/2012	6/30/2014
912828TG5	UNITED STATES TREASURY GOVT BND	2,184,108.93	2,189,176.07	2,200,000	2,184,636.64	4,539.43		1,688.54		—	—	0.5	0.647	JJ	1,853.26	4,545.93		7/30/2012	7/31/2017
912828TB6	UNITED STATES TREASURY GOVT BND	2,515,195.88	2,519,075	2,500,000	2,514,556.36	4,518.64		(639.52	)	—	—	0.75	0.625	JD	4,738.45	(766.31	)	7/13/2012	6/30/2017
912828TL4	UNITED STATES TREASURY GOVT BND	2,999,531.25	3,000,539.94	3,000,000.00	2,999,533.94	1,006		2.69		—	—	0.25	0.258	FA	642.27	(559.39	)	9/24/2012	8/31/2014
912828SZ4	UNITED STATES TREASURY GOVT BND	2,998,359.36	3,006,239.79	3,000,000.00	2,998,502.48	7,737.31		143.12		—	—	0.375	0.394	JD	3,319.67	(399.59	)	6/25/2012	6/15/2015
912828SY7	UNITED STATES TREASURY GOVT BND	2,987,578.11	3,007,649.91	3,000,000.00	2,988,223.79	19,426.12		744.19		—	—	0.625	0.711	MN	6,301.23	(85.39	)	6/25/2012	5/31/2017
912828KF6	UNITED STATES TREASURY GOVT BND	3,090,820.31	3,070,139.70	3,000,000.00	3,036,364.6	33,775.1		(29,374.63	)	—	—	1.875	1.01	FA	4,816.99	102,870.24		8/3/2010	2/28/2014
912828RW2	UNITED STATES TREASURY GOVT BND	3,242,890.63	3,246,587.4	3,250,000	3,245,405.26	1,182.14		2,514.63		—	—	0.125	0.239	JD	1,026.66	1,752.23		1/20/2012	12/31/2013
912828LZ1	UNITED STATES TREASURY GOVT BND	4,200,000.00	4,160,799.88	4,000,000.00	4,106,036.65	54,763.23		(86,311.92	)	—	—	2.125	0.885	MN	28,565.57	168,490.44		10/14/2010	11/30/2014
912828TP5	UNITED STATES TREASURY GOVT BND	4,488,046.88	4,492,079.87	4,500,000.00	4,488,061.66	4,018.21		14.78		—	—	0.25	0.34	MS	517.96	(476.52	)	9/27/2012	9/15/2015
912828TF7	UNITED STATES TREASURY GOVT BND	4,989,079.25	4,989,450.05	5,000,000.00	4,989,499.16	(49.11	)	419.91		—	—	0.125	0.24	JJ	1,052.99	(594.43	)	8/31/2012	7/31/2014
912828PL8	UNITED STATES TREASURY GOVT BND	5,034,587.06	5,032,399.75	5,000,000.00	5,029,283.74	3,116.01		(5,303.32	)	—	—	0.75	0.263	JD	11,065.57	(2,868.85	)	7/12/2012	12/15/2013
912828SL5	UNITED STATES TREASURY GOVT BND	6,001,895.10	6,001,680	6,000,000.00	6,001,806.75	(126.75	)	(88.35	)	—	—	0.25	0.23	MS	41.21	1,065.57		8/31/2012	3/31/2014
912828RJ1	UNITED STATES TREASURY GOVT BND	5,960,625	6,127,079.34	6,000,000.00	5,968,145.01	158,934.33		5,472.19		—	—	1	1.136	MS	164.84	95,803.28		10/11/2011	9/30/2016
912828TK6	UNITED STATES TREASURY GOVT BND	6,777,679.67	6,789,256.21	6,800,000.00	6,778,436.44	10,819.77		756.77		—	—	0.25	0.361	FA	2,171.2	(458.56	)	8/27/2012	8/15/2015
912828SK7	UNITED STATES TREASURY GOVT BND	7,311,251.02	7,317,811.70	7,300,000.00	7,311,129.68	6,682.02		3,808.08		—	—	0.375	0.313	MS	1,209.94	10,048.59		9/26/2012	3/15/2015
912828LK4	UNITED STATES TREASURY GOVT BND	7,774,804.69	7,804,649.7	7,500,000.00	7,630,661.46	173,988.24		(80,543.79	)	—	—	2.375	1.449	FA	15,253.8	382,271.74		7/28/2010	8/31/2014
912828QU7	UNITED STATES TREASURY GOVT BND	7,922,921.87	7,903,693.84	7,850,000.00	7,894,669.82	9,024.02		(22,925.79	)	—	—	0.625	0.306	JJ	10,399.11	79,453.98		8/9/2011	7/15/2014
912828RG7	UNITED STATES TREASURY GOVT BND	8,060,458.32	8,080,566.49	8,080,000.00	8,067,156.59	13,409.9		5,425.88		—	—	0.25	0.332	MS	892.82	22,920.38		9/21/2011	9/15/2014
912828RZ5	UNITED STATES TREASURY GOVT BND	8,378,894.21	8,397,648.00	8,400,000.00	8,383,805.75	13,842.25		5,233		—	—	0.25	0.335	JJ	4,451.09	11,215.67		1/25/2012	1/15/2015
912828JW1	UNITED STATES TREASURY GOVT BND	8,649,289.07	8,636,424.66	8,500,000.00	8,632,038.14	4,386.52		(17,250.93	)	—	—	1.5	0.252	JD	32,221.46	(11,351.91	)	8/29/2012	12/31/2013
912828RK8	UNITED STATES TREASURY GOVT BND	9,981,674.13	9,993,100.00	10,000,000	9,985,641.78	7,458.22		3,967.65		—	—	0.125	0.269	MS	34.34	3,415.30		6/21/2012	9/30/2013
912828RD4	UNITED STATES TREASURY GOVT BND	9,985,580.38	9,994,500	10,000,000.00	9,993,261.38	1,238.62		4,594.86		—	—	0.125	0.197	FA	1,070.44	15,896.74		9/6/2011	8/31/2013
912828RV4	UNITED STATES TREASURY GOVT BND	9,967,578.13	9,998,200.20	10,000,000.00	9,976,029.66	22,170.54		9,234.11		—	—	0.25	0.359	JD	7,377.05	15,420.08		12/19/2011	12/15/2014
912828SW1	UNITED STATES TREASURY GOVT BND	10,000,424.13	10,002,800	10,000,000.00	10,000,355.01	2,444.99		(69.12	)	—	—	0.25	0.248	MN	8,401.64	(273.22	)	6/1/2012	5/31/2014
912828QW3	UNITED STATES TREASURY GOVT BND	10,012,533.5	10,017,200	10,000,000.00	10,009,559.33	7,640.67		(2,974.17	)	—	—	0.375	0.26	JJ	6,317.93	3,399.73		6/27/2012	7/31/2013
912828MT4	UNITED STATES TREASURY GOVT BND	10,182,846	10,055,099	10,000,000	10,054,239.01	859.99		(88,850.72	)	—	—	1.375	0.184	MS	6,077.35	137,500		8/31/2011	3/15/2013
912828PQ7	UNITED STATES TREASURY GOVT BND	10,123,517.88	10,101,600.00	10,000,000.00	10,087,822.77	13,777.23		(32,478.63	)	—	—	1	0.316	JJ	21,195.66	47,076.92		6/22/2012	1/15/2014
912828RX0	UNITED STATES TREASURY GOVT BND	10,077,377.25	10,155,500.00	10,000,000.00	10,072,979.17	82,520.83		(10,833.29	)	—	—	0.875	0.7	JD	22,229.73	91,335.18		6/21/2012	12/31/2016
912828JQ4	UNITED STATES TREASURY GOVT BND	10,331,674.13	10,274,800.1	10,000,000.00	10,266,245.93	8,554.17		(65,428.20	)	—	—	2.75	0.283	AO	115,081.52	(41,847.83	)	6/22/2012	10/31/2013
912828NZ9	UNITED STATES TREASURY GOVT BND	12,191,496.9	12,230,344.12	11,900,000.00	12,117,504.73	112,839.39		(53,946.84	)	—	—	1.25	0.633	MS	408.66	149,634.56		9/16/2011	9/30/2015

912828SC5	UNITED STATES TREASURY GOVT BND		12,223,868.99	12,386,780.91	12,200,000.00	12,220,898.3	165,882.61		(7,260.63	)	—	—	0.875	0.835	JJ	17,985.05	95,983.43		2/13/2012	1/31/2017
912828SB7	UNITED STATES TREASURY GOVT BND		12,972,070.31	13,006,239.61	13,000,000.00	12,979,870.65	26,368.96		7,800.34		—	—	0.25	0.367	JJ	5,475.54	11,339.29		3/21/2012	1/31/2014
912828MN7	UNITED STATES TREASURY GOVT BND		13,336,972.78	13,367,812.99	13,307,000.00	13,311,261.10	56,551.89		(9,331.79	)	—	—	1.375	1.288	FA	23,368.62	215,774.83		9/9/2010	2/15/2013
912828MH0	UNITED STATES TREASURY GOVT BND		12,914,223.24	13,597,220.26	13,000,000.00	12,958,724.50	638,495.76		12,806.71		—	—	2.25	2.391	JJ	49,279.89	292,500		1/29/2010	1/31/2015
912828QH6	UNITED STATES TREASURY GOVT BND		15,232,667.44	15,211,050.75	15,000,000.00	15,200,783.51	10,267.24		(31,883.93	)	—	—	1.25	0.272	FA	23,947.01	16,998.63		7/12/2012	2/15/2014
912828JZ4	UNITED STATES TREASURY GOVT BND		15,224,439.51	15,714,161.38	15,400,000	15,326,003.87	388,157.51		40,805.28		—	—	1.75	2.118	JJ	45,404.89	269,500		11/12/2010	1/31/2014
912828MR8	UNITED STATES TREASURY GOVT BND		15,789,698.69	15,756,150	15,000,000	15,721,771.54	34,378.46		(67,927.15	)	—	—	2.375	0.371	FA	30,507.6	51,307.75		7/30/2012	2/28/2015
912828TD2	UNITED STATES TREASURY GOVT BND		16,270,781.60	16,276,201.35	16,300,000.00	16,272,659.68	3,541.67		1,895.04		—	—	0.25	0.31	JJ	8,637.23	(1,146.06	)	8/2/2012	7/15/2015
912828RS1	UNITED STATES TREASURY GOVT BND		20,003,158.50	20,009,599.4	20,000,000.00	20,001,875.94	7,723.46		(1,203.56	)	—	—	0.25	0.242	MN	16,803.28	25,000		12/13/2011	11/30/2013
912828RN2	UNITED STATES TREASURY GOVT BND		20,257,083.99	20,261,341.42	20,250,000.00	20,253,904.21	7,437.21		(2,632.61	)	—	—	0.25	0.232	AO	21,185.46	18,150.41		4/16/2012	10/31/2013
912828LC2	UNITED STATES TREASURY GOVT BND		20,597,062.5	20,556,948.24	19,700,000	20,162,655.82	394,292.42		(218,824.44	)	—	—	2.625	1.323	JJ	87,124.33	658,637.02		12/23/2010	7/31/2014
912828RU6	UNITED STATES TREASURY GOVT BND		23,472,893.44	23,878,820.00	23,500,000.00	23,477,468.66	401,351.34		9,339.36		—	—	0.875	0.898	MN	69,103.49	194,175.89		12/19/2011	11/30/2016
912828TM2	UNITED STATES TREASURY GOVT BND		25,727,339.86	25,740,177.24	25,725,000.00	25,727,347.34	12,829.90		2.71		—	—	0.625	0.623	FA	13,932.58	(12,716.66	)	9/28/2012	8/31/2017
912828SP6	UNITED STATES TREASURY GOVT BND		28,041,955.38	28,062,441.96	28,000,000.00	28,041,619.52	20,822.44		(335.86	)	—	—	0.375	0.316	AO	48,483.61	(41,885.24	)	9/27/2012	4/15/2015
912828RA0	UNITED STATES TREASURY GOVT BND		33,341,625.00	33,347,948.67	33,300,000.00	33,324,370.65	23,578.02		(19,287.06	)	—	—	0.375	0.277	JD	31,558.08	42,457.32		3/20/2012	6/30/2013
912828RM4	UNITED STATES TREASURY GOVT BND		38,429,512.68	39,004,108.47	38,200,000.00	38,389,264.56	614,843.91		(39,681.13	)	—	—	1	0.876	AO	159,858.7	284,966.08		11/18/2011	10/31/2016
912828RF9	UNITED STATES TREASURY GOVT BND		40,817,768.16	41,256,077.22	40,400,000.00	40,769,429.96	486,647.26		(37,308.4	)	—	—	1	0.761	FA	34,596.69	371,305.43		9/6/2012	8/31/2016
912828RQ5	UNITED STATES TREASURY GOVT BND		52,383,231.34	52,526,806.44	52,400,000.00	52,388,296.06	138,510.38		5,012.41		—	—	0.375	0.386	MN	74,221.46	111,584.14		12/13/2011	11/15/2014
912828SE1	UNITED STATES TREASURY GOVT BND		54,769,481.14	54,968,825.45	55,000,000.00	54,820,964.72	147,860.73		47,658.52		—	—	0.25	0.391	FA	17,561.13	67,932.69		5/21/2012	2/15/2015
912828PE4	UNITED STATES TREASURY GOVT BND		69,627,132.71	69,909,439.32	68,000,000.00	69,353,262.89	556,176.43		(296,775.34	)	—	—	1.25	0.597	AO	355,706.54	218,268.56		3/19/2012	10/31/2015
912828QX1	UNITED STATES TREASURY GOVT BND		70,268,081.36	71,355,660.64	68,600,000	69,896,875.88	1,458,784.76		(254,247.36	)	—	—	1.5	0.996	JJ	173,364.12	1,149,309.07		8/16/2011	7/31/2016
913017BY4	UNITED TECHNOLOGIES CORP SENIOR CORP BND		3,997,760	4,067,672.72	4,000,000	3,998,005.12	69,667.6		245.12		—	—	1.2	1.219	JD	16,000	—		5/24/2012	6/1/2015
913017BX6	UNITED TECHNOLOGIES CORP SENIOR CORP BND		4,611,844.43	4,648,483.11	4,593,000	4,610,054.81	38,428.3		(1,789.62	)	—	—	0.918	0.827	MJSD	3,163.15	10,803.69		6/15/2012	6/1/2015
913017BU2	UNITED TECHNOLOGIES CORP SENIOR CORP BND		9,706,645.1	10,032,229.52	9,715,000	9,707,182.72	325,046.8		541.37		—	—	1.8	1.818	JD	58,290	413.75		5/24/2012	6/1/2017
91412GFC4	UNIVERSITY CALIF REVS MUNI BND REV		1,300,000	1,304,797	1,300,000	1,300,000	4,797		—		—	—	0.887	0.887	JJ	2,946.81	10,890.39		7/20/2011	7/1/2013
914455KX7	UNIVERSITY MICH UNIV REVS MUNITAX BND		3,500,000	3,578,365	3,500,000	3,500,000	78,365		—		—	—	1.754	1.754	AO	30,695	30,695		10/28/2010	4/1/2015
914713G63	UNIVERSITY N C CHAPEL HILL MUNITAX BND		1,000,000	1,006,300	1,000,000	1,000,000	6,300		—		—	—	1.225	1.225	JD	2,756.25	—		6/28/2012	12/1/2016
BRSAWQ120	UNIVISION COMMUNICATIONS INC. TERM LOAN	2	2,617,556.67	2,733,971.4	2,769,981.15	2,648,559.56	85,411.84		36,942.49		—	—	—	0.975	MJSD	—	129,042.66		8/5/2011	3/31/2017
BRSBNJXW3	UNIVR TERM LOAN	2	1,900,992	1,909,075.2	1,920,000	1,900,992	8,083.2		—		—	—	—	0.207	FMAN	—	—		9/28/2012	6/30/2017
BRS9YEPB2	UPC FINANCING PARTNERSHIP TERM LOAN	2	1,992,500	1,991,880	2,000,000	1,994,006.49	(2,126.49	)	854.75		—	—	—	0.056	JAJO	—	60,509.24		5/27/2011	12/31/2017
91159HGX2	US BANCORP CORP BND		999,020	1,048,531.8	1,000,000	999,432.54	49,099.26		(24,141.15	)	—	—	2.45	2.471	JJ	4,355.56	74,861.11		7/22/2010	7/27/2015
91159HGZ7	US BANCORP CORP BND	1	1,997,060	2,014,750.98	2,000,000	1,998,928.54	15,822.44		735.32		—	—	1.125	1.175	AO	9,437.5	11,250		10/28/2010	10/30/2013
91159HGY0	US BANCORP CORP BND	1	4,044,775.5	4,085,857.73	4,050,000	4,048,321.33	37,536.4		1,516.73		—	—	1.375	1.419	MS	2,784.38	68,306.94		9/8/2010	9/13/2013
91159HHB9	US BANCORP CORP BND MTN	1	3,615,720	3,795,652.57	3,625,000	3,617,336.99	178,315.58		1,339.32		—	—	2.2	2.254	MN	30,127.78	42,533.33		10/27/2011	11/15/2016

91159HHD5	US BANCORP SENIOR CORP BND MTN		1	6,986,910	7,113,690.22	7,000,000	6,987,911.33	125,778.89		1,001.33		—	—	1.65	1.689	MN	45,879.17	—		5/3/2012	5/15/2017
90345AAC6	US CENTRAL CREDIT UNION - (LT) CORP BND			9,706,010.3	9,637,318.8	9,630,000	9,631,437.02	5,881.78		(24,576.89	)	—	—	1.9	1.594	AO	82,336.5	118,296.11		3/4/2010	10/19/2012
BRSF33TK2	US RENAL CARE INC SENIOR SECURED TERM		2	982,537.5	1,007,475	997,500	983,004.22	24,470.78		504.22		—	—	—	0.214	MJSD	—	50.01		7/2/2012	7/3/2019
BRSCAXFG9	US SILICA CO TERM LOAN			488,821.73	490,453.59	490,046.85	489,083.28	1,370.31		162.62		—	—	—	0.041	MJSD	—	18,975.67		6/8/2011	6/8/2017
90290FAC0	USAOT_1-1 ABS 10-1 A3		2	166,929.19	166,846.87	166,746.82	166,755.75	91.12		(339.61	)	—	—	1.3	1.24	MON	96.34	6,938.94		4/28/2010	12/15/2012
BRSEZESM3	VALEANT PHARMA SENIOR SECURED TERM NOTES		2	1,945,125	1,999,987.5	1,995,000	1,946,901.4	53,086.1		1,901.4		—	—	—	0.378	MJSD	—	18,483.7		6/18/2012	2/13/2019
91913YAQ3	VALERO ENERGY CORPORATION CORP BND			1,531,485	1,607,793.74	1,500,000	1,516,450.82	91,342.92		(4,975.86	)	—	—	4.5	4.003	FA	11,250	67,500		5/20/2010	2/1/2015
92867DAD2	VALET_11-1 ABS_11-1 A4		2	2,062,187.5	2,056,760	2,000,000	2,042,948.63	13,811.37		(14,021.14	)	—	—	1.98	1.022	MON	1,210	29,700		9/15/2011	9/20/2015
92867GAC7	VALET_12-1 ABS 12-1		2	3,919,954.53	3,946,342.4	3,920,000	3,919,956.86	26,385.54		2.33		—	—	0.85	0.852	MON	1,018.11	21,658.02		1/19/2012	8/20/2015
92869AAC8	VALET_2010-1 ABS 10-1-A3		2	15,677.67	15,599.92	15,590.58	15,604.67	(4.75	)	(1,430.7	)	—	—	1.31	0.647	MON	6.24	2,357.17		5/12/2011	12/20/2012
92343VBD5	VERIZON COMMUNICATIONS INC. CORP BND			3,974,920	4,207,222.6	4,000,000	3,979,294.77	227,927.83		7,783.81		—	—	2	2.133	MN	33,333.33	132,166.67		10/27/2011	11/1/2016
92343VBA1	VERIZON COMMUNICATIONS INC. CORP BND			2,233,397.61	2,217,641.82	2,169,000	2,214,112.05	3,529.77		(19,285.56	)	—	—	1.95	0.548	MS	352.46	26,787.15		2/7/2012	3/28/2014
92344GAW6	VERIZON COMMUNICATIONS INC. CORP BND			6,784,125	6,960,065.82	6,250,000	6,545,551.49	414,514.33		(70,386.74	)	—	—	4.9	3.21	MS	13,611.11	306,250		2/17/2010	9/15/2015
92343VAZ7	VERIZON COMMUNICATIONS INC. CORP BND FRN			11,248,168	11,326,885.54	11,240,000	11,246,979.22	79,906.32		(1,190.5	)	—	—	0.972	0.905	MJSD	910.67	108,570.97		6/25/2012	3/28/2014
BRSBH8VK2	VERTAFORE INC TERM LOAN		2	3,952,266.08	3,961,727.03	3,959,747.15	3,952,977.12	8,749.91		711.04		—	—	—	0.044	JAJO	—	116,363.93		3/13/2012	7/29/2016
BRSAG8QE5	VNU GROUP B.V. CORP BND		2	1,964,848.86	1,976,549.34	1,969,773.32	1,966,144.6	10,404.74		792.07		—	—	—	0.051	FMAN	—	54,197.44		6/9/2011	5/2/2016
92857WAF7	VODAFONE GROUP PLC CORP BND	F		216,414.4	215,995.4	205,000	216,161.62	(166.22	)	(252.78	)	—	—	5	0.476	JD	2,989.58	(2,704.86	)	9/18/2012	12/16/2013
92857WAY6	VODAFONE GROUP PLC SENIOR CORP BND	F		8,042,072.97	8,086,271.41	8,067,000	8,042,139.81	44,131.6		66.84		—	—	1.25	1.314	MS	1,400.52	—		9/19/2012	9/26/2017
BRSESZBW0	VOLKSWAGEN FIN SERV N.V. CORP BND EMTN	D		960,320.15	988,674.51	600,000	960,522.51	28,152		202.36		—	6,497.5	2	2.065	AO	6,936.11	—		5/15/2012	10/23/2015
928670AE8	VOLKSWAGEN INTERNATIONAL FINAN CORP BND	F		8,105,061.8	8,111,188.96	8,080,000	8,093,432.28	17,756.68		(6,652.64	)	—	—	1.071	0.784	JAJO	22,106.7	66,625.62		7/12/2011	4/1/2014
92867KAC8	VWALT_12-A ABS_12-A A3		2	2,899,427.83	2,926,013	2,900,000	2,899,507.47	26,505.53		79.64		—	—	0.87	0.882	MON	770.92	6,237.42		6/13/2012	10/20/2014
BRSEYKM87	VWR FUNDING INC TERM NOTES			2,954,730.08	2,992,037.28	2,984,575.84	2,956,085.68	35,951.6		1,432.72		—	—	—	0.207	MJSD	—	51,158.07		5/18/2012	4/30/2017
92976WBJ4	WACHOVIA CORPORATION CORP BND MTN			427,674.4	411,760	400,000	404,840.43	6,919.57		(6,064.85	)	—	—	5.5	3.389	MN	9,166.67	11,000		10/29/2009	5/1/2013
92976WBA3	WACHOVIA CORPORATION CORP BND MTN			527,500	521,660	500,000	504,623.88	17,036.12		(4,019.8	)	—	—	5.7	4.556	FA	4,750	28,500		1/31/2008	8/1/2013
931422AD1	WALGREEN CO CORP BND			5,777,322	6,004,392	5,800,000	5,795,880.7	208,511.3		3,788.59		—	—	4.875	4.963	FA	47,125.01	304,389.61		7/14/2008	8/1/2013
931142DA8	WAL-MART STORES INC CORP BND			2,094,330	2,144,649.36	2,100,000	2,097,048.04	47,601.32		1,408.23		—	—	1.625	1.718	AO	15,735.42	17,062.5		4/11/2011	4/15/2014
931142CR2	WAL-MART STORES INC CORP BND			3,024,810	3,183,754.11	3,000,000	3,013,267.62	170,486.49		(3,818.31	)	—	—	2.875	2.69	AO	43,125	43,125		5/20/2010	4/1/2015
931142CX9	WAL-MART STORES INC CORP BND			3,655,118.25	3,785,576.63	3,675,000	3,662,622.28	122,954.35		2,930.51		—	—	1.5	1.613	AO	23,887.5	27,562.5		10/18/2010	10/25/2015
931142CT8	WAL-MART STORES INC CORP BND			4,188,920	4,191,158.44	4,000,000	4,165,440.8	25,717.64		(23,479.2	)	—	—	2.25	0.738	JJ	20,750	15,000		5/3/2012	7/8/2015
931142BY8	WAL-MART STORES INC CORP BND			4,448,840	4,435,273.12	4,000,000	4,443,167.56	(7,894.44	)	(5,672.44	)	—	—	4.5	0.443	JJ	45,000	(38,500	)	9/13/2012	7/1/2015
92922F3N6	WAMU_05-A12 CMO_05-AR12 1A8		2	3,266,543.79	3,000,754.52	3,300,060.06	3,268,357.72	(267,603.2	)	3,371.02		—	—	2.488	2.671	MON	6,841.14	64,631		1/10/2008	9/1/2035
BRSCB27N0	WARNACO GROUP INC. THE TERM LOAN			2,112,509.37	2,123,125	2,123,125	2,114,424.18	8,700.82		1,215.51		—	—	—	0.071	MJSD	—	61,004.57		6/16/2011	6/17/2018
BRSFKYGX1	WARNER CHILCOTT CO LLC SENIOR SECURED		2	140,204	141,352.48	141,263.48	140,214.5	1,137.98		10.5		—	—	—	0.135	FMAN	—	—		8/15/2012	3/15/2018
BRSBRMD95	WARNER CHILCOTT CORP TERM LOAN	E	2	1,655,977.1	1,690,314.11	1,689,249.88	1,660,226.3	30,087.81		3,435.04		—	—	—	0.31	MJSD	—	46,923.07		8/15/2012	3/15/2018

BRSBRMD53	WARNER CHILCOTT CORP TERM LOAN	E	2	1,851,864.67	1,882,169.15	1,880,984.12	1,855,149.32	27,019.83		2,676.66		—	—	—	0.248	MJSD	—	39,208.96		8/15/2012	3/15/2018
BRSBRMCQ8	WARNER CHILCOTT CORP TERM LOAN		2	3,727,275.66	3,788,098.47	3,785,713.47	3,733,852.28	54,246.19		5,360.64		—	—	—	0.247	MJSD	—	80,695.92		8/15/2012	3/15/2018
942683AG8	WATSON PHARMACEUTICALS INC. SENIOR CORP			2,040,590.5	2,071,990.51	2,050,000	2,040,590.5	31,400.01		—		—	—	1.875	1.972	AO	—	—		9/27/2012	10/1/2017
BRSE9K3Z6	WCA WASTE SECURED TERM LOAN			310,290.75	314,208.56	313,425	310,556.34	3,652.22		281.34		—	—	—	0.166	MJSD	—	5,587.68		3/9/2012	3/23/2018
BRSE76GJ1	WEIGHT WATCHERS INTL INC SECURED TERM		2	4,034,039.62	4,079,025.28	4,074,787.5	4,036,340.03	42,685.25		2,402.53		—	—	—	0.145	MJSD	—	23,730.89		5/29/2012	3/15/2019
949746NY3	WELLS FARGO & COMPANY CORP BND			797,552	810,448	800,000	799,821.18	10,626.82		396.82		—	—	4.375	4.444	JJ	5,930.56	35,000.02		1/25/2008	1/31/2013
949746NA5	WELLS FARGO & COMPANY CORP BND			253,705.26	254,039.36	257,000	253,742.5	296.86		1,090.5		—	—	0.647	1.061	JAJO	300.27	4,905.61		9/13/2012	10/28/2015
94974BEU0	WELLS FARGO & COMPANY CORP BND			5,656,604	5,927,336.24	5,550,000	5,625,984.25	301,351.99		(25,517.54	)	—	—	3.625	3.055	AO	92,769.8	130,500		1/5/2012	4/15/2015
94974BFA3	WELLS FARGO & COMPANY CORP BND			6,021,600	6,047,659.62	6,000,000	6,020,117.32	27,542.3		(1,482.68	)	—	—	1.25	1.106	FA	10,000	3,333.33		7/24/2012	2/13/2015
94974BEZ9	WELLS FARGO & COMPANY SENIOR CORP BND			2,992,320	3,164,603.58	3,000,000	2,993,488.99	171,114.59		1,093.53		—	—	2.625	2.68	JD	23,187.5	40,031.25		12/5/2011	12/15/2016
94974BFD7	WELLS FARGO & COMPANY SENIOR CORP BND			3,996,800	4,127,898.56	4,000,000	3,997,044.23	130,854.33		244.23		—	—	2.1	2.117	MN	33,600	—		4/30/2012	5/8/2017
94974BFE5	WELLS FARGO & COMPANY SENIOR CORP BND			17,514,845.87	17,806,187.12	17,526,000	17,517,133.64	289,053.48		2,287.77		—	—	1.5	1.519	JJ	68,643.5	(3,957.21	)	9/5/2012	7/1/2015
BRSEGRYL0	WENDYS INTERNATIONAL INC. SENIOR SEC		2	2,964,549.51	3,000,502.4	2,980,000	2,965,052.37	35,450.03		502.86		—	—	—	0.075	MJSD	—	34,329.12		7/16/2012	5/15/2019
BRSBTMS22	WESCO AIRCRAFT LN1 TERM LOAN		2	258,376.83	259,288.59	259,024.39	258,535.53	753.06		81.14		—	—	—	0.041	MJSD	—	8,348.14		4/4/2011	4/7/2017
95806AAB9	WESTERN CORPORATE FEDERAL CRED CORP BND			4,010,212	4,005,000	4,000,000	4,000,329.76	4,670.24		(2,659.33	)	—	—	1.75	1.654	MN	28,972.22	46,900		1/27/2010	11/2/2012
959802AN9	WESTERN UNION CORP BND			8,100,000	8,121,384	8,100,000	8,100,000	21,384		—		—	—	0.99	0.89	MJSD	5,345.19	86,991.93		3/2/2011	3/7/2013
92924SAA6	WESTFIELD GROUP CORP BND 144A	R		2,960,718.75	3,025,413.09	3,025,000	3,025,000	413.09		11,577.22		—	—	5.4	5.929	AO	81,675	81,675		12/24/2008	10/1/2012
9612EMAH2	WESTPAC BANKING CORP - GTD CORP BND GOVT	F		6,062,880	6,270,300.3	6,000,000	6,028,993.02	241,307.28		(15,916.96	)	—	—	2.9	2.643	MS	10,150	272,600		4/28/2010	9/10/2014
961214BR3	WESTPAC BANKING CORP CORP BND	F		9,195,216	9,331,604.99	9,200,000	9,198,073.6	133,531.39		1,192.76		—	—	1.85	1.868	JD	52,951.11	85,100		12/2/2010	12/9/2013
9612E0CD7	WESTPAC BANKING CORP CORP BND 144A	F		2,702,241	2,715,201.1	2,700,000	2,701,245.52	13,955.58		(619.6	)	—	—	1.092	0.945	MJSD	245.76	25,249.09		7/12/2011	3/31/2014
96122WAC4	WESTPAC BANKING CORP LOCAL BND 144A	F		2,000,000	2,016,580	2,000,000	2,000,000	16,580		—		—	—	1.255	1.255	JAJO	5,299.31	—		7/10/2012	7/17/2015
961214BX0	WESTPAC BANKING CORP SENIOR CORP BND	F		4,000,000	4,007,120.04	4,000,000	4,000,000	7,120.04		—		—	—	1.129	1.129	MJSD	752.83	—		9/18/2012	9/25/2015
9612EAAB1	WESTPAC SECURITIES NZ LTD CORP BND GOVT	F		3,130,512.81	3,266,656.22	3,100,000	3,115,480.7	151,175.52		(6,121.1	)	—	—	3.45	3.166	JJ	18,716.25	106,950		11/12/2010	7/28/2014
949781AC2	WFMBS CMO 05-AR1 2A1		2	622,496.03	635,036.87	638,048.46	623,480.61	11,556.26		2,781.96		—	—	2.61	3.151	MON	1,387.76	13,877.36		5/27/2008	12/1/2034
949781AA6	WFMBS CMO 05-AR1 1A1		2	2,290,886.58	2,325,168.4	2,346,877.01	2,296,577.6	28,590.8		6,768.18		—	—	2.61	3.029	MON	5,105.07	49,429.82		12/5/2006	1/1/2035
94982BAG5	WFMBS CMO 05-AR8 3A2		2	642,955.08	653,185.95	654,095.14	644,731.72	8,454.23		1,756.16		—	—	2.705	3.064	MON	1,474.6	14,651.92		12/15/2005	2/1/2035
949797AA2	WFMBS WHOLE CMO 07-15 A1		2	243,852.78	239,290.37	242,319.36	243,711.75	(4,421.38	)	(285.23	)	—	—	6	5.792	MON	1,211.6	12,130.06		1/17/2008	11/1/2037
94980RAC1	WFMBS_04-Z CMO 04-Z-2A1		2	188,066.63	191,940.83	189,726.72	188,225.46	3,715.37		212.18		—	—	2.615	2.785	MON	413.42	3,991.95		1/14/2008	2/1/2031
94981NAH8	WFMBS_05-AR4 CMO 05-AR4 2A2		2	1,760,625.52	1,829,589.34	1,811,503.29	1,766,909.77	62,679.57		7,755.53		—	—	2.69	3.303	MON	4,060.26	39,444.29		7/19/2006	12/1/2028
981464DG2	WFNMT_12-C ABS 12-C		2	3,188,784.29	3,261,775	3,190,000	3,188,819	72,956		34.71		—	—	2.23	2.247	MON	3,161.65	11,065.75		7/13/2012	10/15/2018
BRSFD0DY4	WINDSTREAM CORP SENIOR SEC TERM NOTES		1	3,851,347.5	3,902,076.36	3,890,250	3,851,730.47	50,345.89		480.47		—	—	—	0.143	MJSD	—	4,778.59		8/3/2012	8/8/2019
BRSF5Z2P7	WIRECO WORLDGROUP INC TERM NOTES			3,093,750	3,171,875	3,125,000	3,095,019.43	76,855.57		1,269.43		—	—	—	0.217	MJSD	—	34,315.24		6/28/2012	2/15/2017
93934FEN8	WMALT_05-5 CMO 05-9-2A2		2	3,986,339.66	3,752,715.15	4,350,711.78	4,016,068.1	(263,352.95	)	(15,005.61	)	—	—	5.5	7.35	MON	19,940.76	192,842.59		12/17/2007	9/1/2031
98158PAC2	WOART_11-B ABS_11-B A3		2	5,999,988.61	6,051,300	6,000,000	5,999,958.7	51,341.3		(26.37	)	—	—	0.96	0.961	MON	2,559.99	43,200		11/2/2011	3/15/2015

981464BD1	WORLD FINANCIAL NETWORK CREDIT ABS_06-A		2	12,301,269.53	12,495,750	12,500,000	12,449,810.69	45,939.31	69,695.04		—	—		0.351	1.093	MON	1,705.04	36,677.66		2/16/2011	4/15/2013
98158KAD1	WORLD OMNI AUTO RECEIVABLES TR ABS 11-A		2	4,599,795.3	4,723,234	4,600,000	4,599,824.16	123,409.84	14.71		—	—		1.91	1.918	MON	3,904.89	65,895.03		3/2/2011	4/15/2015
983024AE0	WYETH CORP BND			13,352,757.7	12,935,977.19	12,150,000	12,828,845.9	107,131.29	(368,949.69	)	—	—		5.5	1.26	FA	111,375	621,270.83		3/26/2012	2/1/2014
984121CF8	XEROX CORPORATION SENIOR CORP BND			2,721,593.75	2,796,033.33	2,725,000	2,721,940.75	74,092.58	347.49		—	—		2.95	2.977	MS	3,572.77	40,193.75		3/8/2012	3/15/2017
BRSE9A2P1	YANKEE CANDLE CO INC SECURED TERM LOAN		1	2,035,798.87	2,072,299.31	2,056,362.5	2,037,181.59	35,117.72	1,719.87		—	—		—	0.142	MJSD	299.25	58,401.94		3/14/2012	4/2/2019
G9853MHT3	YORKSHIRE BUILDING SOCIETY LOCAL BND	D		1,390,156.29	1,467,771.94	800,000	1,384,425.33	83,346.61	(5,730.96	)	—	(1,113.64	)	4.75	3.298	APR	28,783.05	(5,552.31	)	5/10/2012	4/12/2018
TOTAL					4,887,622,234.5	4,726,785,019.65	4,803,217,013.08	84,405,221.42

Validus Holdings, Ltd. September 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
INTER-AMERICAN DEV BK CORP BND		4581X0B$0	1/10/2012	Various	10/22/2012	4,803,748.48	(1,335.95	)	(49,116	)	—	—	4,800,000.00	4,855,416.00	37,100		1.75	0.386	AO	32,083.33		11,813
UNITED STATES TREASURY TBILL CASH		9127955Q0	12/29/2011	J.P. MORGAN SECURITIES INC	12/13/2012	11,397,629.26	—		9,284.48		—	—	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	1,398,982.95	—		1,197.4		—	—	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	5,795,786.53	—		4,960.68		—	—	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	2,999,049.65	—		1,115.9		—	—	3,000,000.00	2,997,933.75	—		0.143	0.145	MAT	—		—
UNITED STATES TREASURY TBILL CASH		9127957B1	7/24/2012	BNP PARIBAS	1/17/2013	959,608.22	—		298.18		—	—	960,000.00	959,361.70	—		0.136	0.138	MAT	—		—
UNITED STATES TREASURY GOVT BND		912828JB7	6/22/2012	DEUTSCHE BANK AG	5/31/2013	10,216,645.16	3,254.84		(87,294.59	)	—	—	10,000,000.00	10,303,939.75	117,622.95		3.5	0.232	MN	(23,907.10	)	23,907
UNITED STATES TREASURY GOVT BND		912828QE3	7/11/2012	Various	4/30/2013	21,050,136.8	5,723.2		(20,480.43	)	—	—	21,000,000.00	21,070,617.23	54,925.27		0.625	0.214	AO	(23,658.29	)	23,658
UNITED STATES TREASURY GOVT BND		912828QK9	3/20/2012	DEUTSCHE BANK AG	2/28/2013	12,219,806.67	4,959.33		(32,675.18	)	—	—	12,200,000.00	12,244,837.75	6,529.7		0.625	0.235	FA	46,090.24		4,351
UNITED KINGDOM GILT GOVT BND		G92435NC9	5/23/2012	J.P. MORGAN SECURITIES INC	3/7/2013	1,808,456.68	72.42		(37,130.4	)	—	49,769.82	1,130,000.00	1,834,863.05	5,484.73		4.5	0.261	MS	34,251.51		17,155
CITIBANK NA CORP BND GOVT GUAR		17314JAT0	9/7/2012	BNP PARIBAS	12/28/2012	5,420,893.17	(589.17	)	(5,803.65	)	—	—	5,400,000.00	5,425,404.19	24,412.5		1.75	0.151	JD	(17,995.83	)	19,425
FLORIDA POWER & LIGHT CO CORP BND		341081EN3	4/20/2012	KEY BANK	2/1/2013	2,536,607.29	(207.29	)	(47,292.71	)	—	—	2,500,000.00	2,583,900.00	20,208.33		4.85	0.459	FA	32,333.33		28,292
GLAXOSK CAP INC CORP BND		377372AC1	6/22/2012	KEY BANK	5/15/2013	909,366.6	254.1		(10,201.5	)	—	—	885,000.00	919,568.10	16,215.17		4.85	0.415	MN	(5,007.63	)	5,008
MCDONALD'S CORPORATION CORP BND MTN		58013MED2	6/22/2012	MIZUHO INTERNATIONAL PLC	3/1/2013	2,540,977.19	(977.19	)	(25,572.81	)	—	—	2,500,000.00	2,566,550.00	8,958.33		4.3	0.363	MS	19,111.11		34,639
NOVARTIS CAPITAL CORP CORP BND		66989HAB4	6/22/2012	KEY BANK	4/24/2013	2,824,786.53	(118.81	)	(11,529.47	)	—	—	2,800,000.00	2,836,316.00	23,201.11		1.9	0.324	AO	(9,310.00	)	9,310
RESIDENTIAL REINSURANCE 2010 L CORP BND		76114WAB8	6/28/2012	RBC DOMINION SECURITIES INC.	6/6/2013	6,015,737.64	140,562.36		(5,262.36	)	—	—	6,000,000.00	6,021,000.00	27,500		6.6	6.208	MJSD	71,866.67		29,333
UNITED PARCEL SERVICE INC CORP BND		911312AG1	1/31/2012	SUSQUEHANNA PARTNERS	1/15/2013	1,725,830.58	(677.48	)	(47,829.77	)	—	—	1,705,000.00	1,773,660.35	16,197.5		4.5	0.253	JJ	34,526.25		3,836
DIAGEO CAPITAL PLC CORP BND		25243YAL3	6/22/2012	MIZUHO INTERNATIONAL PLC	1/30/2013	3,554,558.6	496.4		(43,581.4	)	—	—	3,500,000.00	3,598,140.00	30,838.89		5.2	0.449	JJ	16,683.33		74,317
RES REINSURANCE CORP BND 144A		76114WAF9	6/26/2012	RBC DOMINION SECURITIES INC.	6/6/2013	1,000,000	23,630		—		—	—	1,000,000.00	1,000,000.00	4,340.28		6.25	6.25	MJSD	11,979.16		3,993

WESTERN AST INS CSH RES	52470G205	Multi	3,890,009.97	—	—		—	—	3,890,009.97	3,890,009.97	—	6,782.25
DREYFUS UNIVERSAL LIQUIDITY PL	B0A01CHL6	Multi	496,716.05	—	—		—	—	496,716.05	496,716.05	—	59.10
CITI-INSTITUTION LIQ FUND USD	B0A0ATCJ9	Multi	5,383,537.76	—	—		—	—	5,383,537.76	5,383,537.76	—	27,445.85
BONY CASH RESERVE	BRSB6URS3	Multi	1,212,511	—	—		—	—	1,212,511.00	1,212,511.00	—	709.76
GOLDMAN SACHS USD LIQ RESERVE	BRSCL4F97	Multi	253,942.5	—	—		—	—	253,942.50	253,942.50	—	1.60
DREYFUS UNIVERSAL USD LIQ FD	DRFUNI$20	Multi	31,092,172.09	—	—		—	—	31,092,172.09	31,092,172.09	—	9,160.46
GOLDMAN SACHS	GLDSCS$03	Multi	3,723,319.94	—	—		—	—	3,723,319.94	3,723,319.94	—	9,700.83
BONY CASH RESERVE	S875996$0	Multi	99,608,967	—	—		—	—	99,608,967.00	99,608,967.00	—	5,769.13
BLACKROCK INTL $ RESERVE	S99993578	Multi	30,259,380.11	—	—		—	—	30,259,380.11	30,259,380.11	—	9,962.23
			275,099,164.42	175,046.76	(406,913.63	)	—	49,769.82	273,900,556.42	275,489,347.73	393,534.76

Validus Holdings, Ltd. September 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	4,190,476.42	4,520,751.65	4,190,476.42	330,275.23	—	—	—	—	—	—
AIG SELECT HEDGE LTD SHARE			9/4/2009	17.30	17.36	17.30	0.06	—	—	—	—	—	—
BUFFETS RESTAURANTS HOLDINGS I			7/18/2012	920,570.56	595,952.00	920,570.56	(324,618.56)	—	—	—	—	—	—
PAULSON PARTNERS ENHANCED LP			4/1/2012	125,000,000.00	131,758,563.87	125,000,000.00	6,758,563.87	—	—	—	—	—	—
PAULSON PARTNERS ADVANTAGE PLUS LP			4/1/2012	125,000,000.00	118,281,003.96	125,000,000.00	(6,718,996.04)	—	—	—	—	—	—
PAULSON PARTNERS GOLD FUND LP			4/1/2012	125,000,000.00	129,583,708.01	125,000,000.00	4,583,708.01	—	—	—	—	—	—
PAULSON PARTNERS CREDIT OPPORTUNITIES LP			6/1/2012	125,000,000.00	132,514,633.38	125,000,000.00	7,514,633.38	—	—	—	—	—	—
GUARDIAN GROWTH EQUITY			9/4/2009	6,181,301.52	8,159,906.25	6,181,301.52	1,978,604.73	—	—	—	—	—	—
MFS MERIDIAN MID CAP GROWTH FUND			9/4/2009	17,203.14	26,179.74	17,203.14	8,976.60	—	—	—	—	—	—
				511,309,568.94	525,440,716.22	511,309,568.94	14,131,147.28