Validus 8K Results of Operations and Financial Condition | SEC 31 Jan 13



Validus Holdings, Ltd. December 31, 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
03979GAL9	ARDEN REALTY LP SENIOR CORP BND			1		3,226,650.00	3,214,581.06	3,000,000.00	3,124,279.96	90,301.10	(21,737.34	)	—	—	5.25	3.007	MS	52,500.00	36,139.67	11/27/2012	3/1/2015
31292KJH1	FHLMC GOLD POOL # C02964			2		2,269.24	2,435.82	2,183.92	2,266.15	169.67	(91.04	)	—	—	6	4.854	MON	10.92	817.79	2/4/2009	7/1/2037
3128M4ZG1	FHLMC GOLD POOL # G03143			2		4,764.78	5,114.54	4,585.63	4,758.19	356.35	(160.25	)	—	—	6	4.896	MON	22.93	1,707.14	2/4/2009	7/1/2037
31403KDB6	FNMA POOL # 750798			2		5,227.52	5,448.67	5,308.73	5,231.46	217.21	1,957.04		—	—	2.55	2.935	MON	11.28	20,254.76	4/2/2007	12/1/2033
31400QJ87	FNMA POOL # 694287			2		10,158.31	10,894.53	10,249.02	10,162.83	731.70	127.26		—	—	2.728	2.924	MON	23.30	1,592.29	4/2/2007	3/1/2033
31402YSV7	FNMA POOL # 742232			2		12,397.08	13,511.14	12,589.70	12,406.17	1,104.97	116.29		—	—	3	3.39	MON	31.47	2,883.21	4/2/2007	9/1/2033
36202E5P0	GNMA POOL # 004454			2		13,663.05	13,804.91	12,842.34	13,589.97	214.94	(13,412.32	)	—	—	4.5	2.597	MON	48.16	74,337.47	10/7/2010	6/20/2024
312930RV4	FHLMC GOLD POOL # A84100			2		13,060.23	14,019.01	12,569.25	13,042.54	976.47	(291.62	)	—	—	6	5.054	MON	62.85	2,067.67	2/4/2009	1/1/2039
312929CM2	FHLMC GOLD POOL # A82776			2		13,346.61	14,326.40	12,844.85	13,329.99	996.41	(3,231.81	)	—	—	6	4.864	MON	64.22	20,790.78	2/4/2009	1/1/2039
31405UTZ2	FNMA POOL # 799868			2		14,585.80	15,657.28	14,700.44	14,591.04	1,066.24	49.64		—	—	2.53	2.69	MON	30.99	1,443.66	4/2/2007	11/1/2034
312930TB6	FHLMC GOLD POOL # A84146			2		17,298.84	18,568.79	16,648.52	17,276.46	1,292.33	(221.89	)	—	—	6	4.981	MON	83.24	930.59	2/4/2009	1/1/2039
3128KWBZ5	FHLMC GOLD POOL # A65456			2		19,022.31	20,418.78	18,307.20	18,996.45	1,422.33	274.17		—	—	6	4.877	MON	91.54	10,398.46	2/4/2009	9/1/2037
31394BPP3	FNMA AGENCY CMO_04-88 HA			2		21,049.27	21,597.56	20,355.90	20,633.90	963.66	(5,829.52	)	—	—	6.5	5.194	MON	110.26	4,357.14	1/14/2008	7/25/2034
36202EVU0	GNMA POOL # 004227			2		22,259.86	22,816.05	20,922.75	22,173.39	642.66	(297.61	)	—	—	4.5	2.293	MON	78.46	679.58	10/7/2010	7/20/2023
36202FBR6	GNMA POOL # 004548			2		27,179.80	27,465.59	25,547.17	27,040.12	425.47	(1,079.67	)	—	—	4.5	2.618	MON	95.80	2,177.81	10/7/2010	10/20/2024
312930LH1	FHLMC GOLD POOL # A83928			2		27,241.76	29,241.63	26,217.65	27,203.72	2,037.91	(26.30	)	—	—	6	5.11	MON	131.09	153.69	2/4/2009	1/1/2039
3128KYXE4	FHLMC GOLD POOL # A67877			2		28,097.18	30,159.85	27,040.91	28,056.93	2,102.92	(455.67	)	—	—	6	4.943	MON	135.20	2,529.81	2/4/2009	4/1/2037
31404CLB4	FNMA POOL # 764522			2		29,929.44	32,520.17	30,535.37	29,961.62	2,558.55	(11,463.18	)	—	—	2.397	2.874	MON	60.99	40,651.90	9/30/2008	6/1/2034
31410GD83	FNMA POOL # 888527			2		31,310.30	33,973.17	31,900.08	31,342.40	2,630.77	(70.38	)	—	—	2.435	2.861	MON	64.73	3,335.90	6/18/2007	4/1/2034
312930RC6	FHLMC GOLD POOL # A84083			2		32,032.50	34,384.06	30,828.28	31,983.37	2,400.69	(294.70	)	—	—	6	5.208	MON	154.14	3,606.91	2/4/2009	1/1/2039
3128KWT29	FHLMC GOLD POOL # A65969			2		33,256.07	35,697.44	32,005.84	33,210.72	2,486.72	(796.82	)	—	—	6	4.903	MON	160.03	3,815.10	2/4/2009	9/1/2037
3128KWTZ6	FHLMC GOLD POOL # A65968			2		36,022.14	38,666.58	34,667.93	35,972.99	2,693.59	(857.92	)	—	—	6	4.895	MON	173.34	3,291.06	2/4/2009	9/1/2037
31295NXK9	FHLMC POOL # 789682			2		37,368.71	39,862.84	37,584.54	37,376.80	2,486.04	(68.94	)	—	—	2.401	2.482	MON	75.20	1,083.64	8/10/2006	9/1/2032
36202FAE6	GNMA POOL # 004505			2		42,320.73	42,765.73	39,778.62	42,095.64	670.09	(917.26	)	—	—	4.5	2.636	MON	149.17	1,026.65	10/7/2010	8/20/2024
3128KWFX6	FHLMC GOLD POOL # A65582			2		40,812.79	43,808.91	39,278.47	40,757.05	3,051.86	(124.95	)	—	—	6	4.907	MON	196.39	1,171.13	2/4/2009	9/1/2037
3128KWTP8	FHLMC GOLD POOL # A65958			2		41,849.66	44,921.92	40,276.38	41,793.11	3,128.81	(868.42	)	—	—	6	4.89	MON	201.38	3,646.11	2/4/2009	9/1/2037
3620A9MU2	GNMA POOL # 723171			2		44,760.19	45,211.65	42,059.20	44,580.92	630.73	(10,195.22	)	—	—	4.5	2.034	MON	157.72	22,885.18	10/7/2010	10/15/2024
3620AKR57	GNMA POOL # 732308			2		46,681.88	47,172.63	43,864.94	46,527.48	645.15	(3,735.93	)	—	—	4.5	1.601	MON	164.49	11,511.86	10/7/2010	4/15/2025



05948XYC9	BOAMS WHOLE CMO 03-J-2A1	2	45,983.06	47,371.39	46,649.99	46,030.40	1,340.99		—		—	—	3.172	3.516	MON	123.31	15,135.69		11/30/2007	11/25/2033
47787AAD9	JDOT_10-A ABS 10-A-A3	2	48,427.27	48,448.79	48,434.26	48,433.83	14.96		(66.84	)	—	—	1.32	1.331	MON	28.41	159.37		4/15/2010	5/15/2014
36297DP35	GNMA POOL # 708842	2	48,600.19	49,090.39	45,667.49	48,400.41	689.98		(406.31	)	—	—	4.5	1.932	MON	171.25	3,195.13		10/7/2010	5/15/2024
3128KWTK9	FHLMC GOLD POOL # A65954	2	49,457.10	53,087.82	47,597.81	49,389.69	3,698.13		(582.95	)	—	—	6	4.92	MON	237.99	2,531.38		2/4/2009	9/1/2037
36241K6L7	GNMA POOL # 782675	2	56,323.25	56,891.35	52,924.51	56,097.10	794.25		(4,154.20	)	—	—	4.5	1.897	MON	198.47	9,153.51		10/7/2010	6/15/2024
3128KWFY4	FHLMC GOLD POOL # A65583	2	53,978.67	57,941.34	51,949.41	53,903.72	4,037.62		(429.15	)	—	—	6	4.95	MON	259.75	2,848.88		2/4/2009	9/1/2037
312930LQ1	FHLMC GOLD POOL # A83935	2	56,773.35	60,941.17	54,639.02	56,693.93	4,247.24		(594.37	)	—	—	6	5.12	MON	273.20	2,191.90		2/4/2009	1/1/2039
31405UMM8	FNMA POOL # 799664	2	57,018.75	61,182.93	57,467.00	57,040.93	4,142.00		44.97		—	—	2.622	2.772	MON	125.57	3,436.32		4/2/2007	10/1/2034
36296DR67	GNMA POOL # 688209	2	61,680.35	63,361.91	58,760.69	61,424.34	1,937.57		(3,063.78	)	—	—	5	2.933	MON	244.84	11,163.85		7/29/2009	7/15/2023
31400PG58	FNMA POOL # 693320	2	60,713.25	64,840.50	61,246.78	60,745.42	4,095.08		678.13		—	—	2.278	2.474	MON	116.27	5,306.55		8/10/2006	1/1/2033
31410GDY6	FNMA POOL # 888519	2	61,068.52	66,186.85	62,117.18	61,127.62	5,059.23		103.42		—	—	2.538	2.887	MON	131.38	3,300.07		6/18/2007	1/1/2035
31396CLF5	FHLMC AGENCY CMO_3054 DW	2	64,703.83	67,380.32	64,947.39	64,755.66	2,624.66		(384.40	)	—	—	5.5	5.66	MON	297.68	9,874.33		6/17/2008	5/15/2034
31406GLK3	FNMA POOL # 809530	2	63,229.08	67,860.49	63,676.86	63,257.22	4,603.27		573.95		—	—	2.603	2.723	MON	138.13	10,557.92		9/28/2006	2/1/2035
02005HAB9	ALLY AUTO RECEIVABLES TRUST AA ABS_10-1	2	71,093.21	70,646.93	70,585.87	70,647.67	(0.74	)	—		—	—	1.45	0.734	MON	45.49	1,125.75		5/10/2011	5/15/2014
3128JLHB8	FHLMC POOL # 1B1225	2	66,011.62	71,805.84	67,037.28	66,055.11	5,750.73		2,813.23		—	—	2.875	3.209	MON	160.61	20,359.22		4/2/2007	9/1/2033
36297CV22	GNMA POOL # 708133	2	72,747.46	73,481.21	68,357.62	72,450.50	1,030.71		(1,954.89	)	—	—	4.5	1.751	MON	256.34	4,101.62		10/7/2010	1/15/2024
466247E74	JPMMT CMO_06-A1 2A2	2	88,107.36	74,458.96	88,038.56	88,075.61	(13,616.65	)	1,273.71		—	—	2.856	2.827	MON	209.53	5,747.34		2/6/2008	2/25/2036
06052MAC9	BAAT ABS_10-2 A3	2	78,699.60	78,763.95	78,701.77	78,701.62	62.33		(65,578.79	)	—	—	1.31	1.315	MON	45.82	79,797.24		6/16/2010	7/15/2014
36297AKC6	GNMA POOL # 705991	2	80,004.15	80,811.09	75,176.41	79,688.94	1,122.15		(10,042.80	)	—	—	4.5	1.625	MON	281.91	16,907.54		10/7/2010	1/15/2024
3620A32R4	GNMA POOL # 718184	2	85,695.69	86,596.57	80,524.51	85,368.52	1,228.05		(16,785.71	)	—	—	4.5	2.065	MON	301.97	39,473.73		10/7/2010	3/15/2025
31400SA33	FNMA POOL # 695826	2	82,859.75	90,387.60	83,538.51	82,976.51	7,411.09		588.66		—	—	5	5.25	MON	348.08	10,551.87		12/14/2007	4/1/2018
31417BZA8	FNMA POOL # AB5236	2	90,458.51	91,395.36	86,498.50	90,361.55	1,033.81		(7,502.53	)	—	—	3	0.689	MON	216.25	13,496.16		6/6/2012	5/1/2027
3128JMW45	FHLMC POOL # 1B2566	2	84,818.74	91,923.61	85,485.52	84,841.49	7,082.12		70.61		—	—	2.972	3.081	MON	211.72	1,789.90		4/2/2007	11/1/2034
36296A5Y6	GNMA POOL # 685863	2	91,558.63	93,229.32	86,033.65	91,112.75	2,116.57		(1,453.05	)	—	—	4.5	1.975	MON	322.63	2,905.80		10/7/2010	5/15/2023
31410GDQ3	FNMA POOL # 888511	2	89,584.34	96,508.31	90,398.04	89,622.35	6,885.96		1,014.57		—	—	2.647	2.847	MON	199.40	18,166.03		6/18/2007	12/1/2033
BRSC3CCP6	MANITOWOC CO INC. TERM LOAN		96,714.00	98,080.63	97,200.00	96,835.37	1,245.26		91.60		—	—	—	0.076	FMAN	—	20,742.06		5/9/2011	11/13/2017
78442GHW9	SLM STUDENT LOAN TR 03-10 ABS_03-10A A1A	2	100,000.00	100,000.00	100,000.00	100,000.00	—		(89.64	)	—	—	1.703	1.707	MON	122.89	9,347.25		11/7/2011	12/15/2016
09657MAC2	BMWLT_10-1 ABS 10-1 A3	2	100,924.67	101,087.42	100,926.74	100,926.59	160.83		6.50		—	—	1.39	1.395	MON	23.38	5,410.92		4/15/2010	4/25/2014
36962G3T9	GENERAL ELECTRIC CAPITAL CORP CORP BND		104,630.90	101,437.00	100,000.00	100,460.67	976.33		22.69		—	—	4.8	3.387	MN	800.00	(3,003.33	)	10/29/2009	5/1/2013
31404LRF9	FNMA POOL # 771886	2	94,125.11	102,161.39	95,698.94	94,207.35	7,954.04		2.98		—	—	2.648	3.097	MON	211.18	134.17		8/10/2006	2/1/2034
36296XHH0	GNMA POOL # 704132	2	100,825.77	102,839.72	95,371.69	100,428.51	2,411.21		(23,024.55	)	—	—	5	2.481	MON	397.38	59,970.11		9/29/2009	12/15/2023
31405AQ71	FNMA POOL # 783578	2	100,241.25	107,721.60	102,642.93	100,392.45	7,329.15		(8,803.59	)	—	—	2.335	2.856	MON	199.73	28,542.26		2/22/2012	12/1/2034
3620AFY35	GNMA POOL # 728930	2	108,108.12	109,198.54	101,584.50	107,666.12	1,532.42		(16,004.57	)	—	—	4.5	2.158	MON	380.94	41,374.99		10/7/2010	12/15/2024
31402RB81	FNMA POOL # 735463	2	101,908.86	109,704.79	102,751.78	101,960.06	7,744.73		(56.31	)	—	—	2.778	2.928	MON	237.87	88.21		9/28/2006	3/1/2035



31385XK48	FNMA POOL # 555715	2	103,360.97	110,720.79	104,283.87	103,407.57	7,313.22		(37,447.62	)	—	—	2.359	2.556	MON	205.09	131,001.87		4/2/2007	7/1/2033
31349UJL3	FHLMC GOLD POOL # 782967	2	102,739.99	110,952.02	104,288.02	102,812.34	8,139.68		(3,782.19	)	—	—	2.375	2.662	MON	206.40	14,117.67		9/30/2008	1/1/2035
36295KAT0	GNMA POOL # 672418	2	101,481.38	111,454.95	97,315.08	101,303.89	10,151.06		(2,423.20	)	—	—	6.5	5.17	MON	527.12	14,972.89		1/31/2008	12/15/2037
31410GDX8	FNMA POOL # 888518	2	105,826.25	113,435.27	106,166.28	105,835.28	7,599.99		131.22		—	—	2.768	2.813	MON	244.89	3,634.60		6/18/2007	4/1/2035
36295TVQ4	GNMA POOL # 680223	2	104,567.85	114,844.74	100,274.82	104,386.30	10,458.44		(7,511.54	)	—	—	6.5	5.148	MON	543.16	12,679.61		1/31/2008	1/15/2038
3128JMY68	FHLMC POOL # 1B2632	2	108,358.28	117,434.96	109,210.13	108,387.23	9,047.73		140.56		—	—	2.902	3.014	MON	264.11	2,580.72		4/3/2007	11/1/2034
BRSAGFDE3	CHEMTURA CORPORATION SECURED TERM LOAN	2	120,000.00	121,912.80	120,000.00	120,000.00	1,912.80		1,055.51		—	—	—	—	FMAN	—	54,191.30		9/12/2012	8/29/2016
3128M6UB2	FHLMC GOLD POOL # G04778	2	113,670.11	122,014.80	109,396.80	113,515.50	8,499.30		(38.04	)	—	—	6	4.999	MON	546.98	307.29		2/4/2009	7/1/2038
BRS448NT2	COMMUNITY HLTH SYST INC TERM LOAN	2	119,295.05	123,174.81	122,197.23	120,913.25	2,261.56		10,842.54		—	—	—	0.668	JAJO	—	21,036.30		12/14/2010	00/00/0000
31410GC50	FNMA POOL # 888492	2	118,656.16	124,733.37	118,430.72	118,631.61	6,101.76		83.69		—	—	2.34	2.26	MON	230.94	6,452.51		6/18/2007	5/1/2033
31404NBP0	FNMA POOL # 773246	2	117,902.03	126,742.11	118,888.79	117,950.39	8,791.72		60.95		—	—	2.601	2.762	MON	257.79	2,523.26		4/2/2007	2/1/2035
31410GDF7	FNMA POOL # 888502	2	121,078.38	127,980.80	122,652.18	121,170.51	6,810.29		128.07		—	—	2.11	2.395	MON	215.66	6,482.92		6/18/2007	6/1/2033
478160AW4	JOHNSON & JOHNSON CORP BND		122,861.25	133,427.56	125,000.00	123,309.68	10,117.88		(16,215.65	)	—	—	2.95	3.15	MS	1,229.17	(9,250.00	)	8/12/2010	9/1/2020
36210B4Q5	GNMA POOL # 487831	2	133,812.95	136,584.93	126,574.49	133,337.69	3,247.24		(459.98	)	—	—	5	2.389	MON	527.39	(6,613.55	)	9/29/2009	4/15/2024
31410GDS9	FNMA POOL # 888513	2	135,219.81	144,791.34	135,927.89	135,248.09	9,543.25		56.35		—	—	2.413	2.517	MON	273.33	2,372.06		6/18/2007	2/1/2034
31401DVW8	FNMA POOL # 705429	2	136,516.39	146,506.91	138,107.88	136,613.28	9,893.63		17.62		—	—	2.335	2.607	MON	268.73	287.20		8/10/2006	4/1/2033
36962GZY3	GENERAL ELEC CAP CO CORP BND MTN		159,667.65	150,235.50	150,000.00	150,119.90	115.60		(3,071.22	)	—	—	5.45	3.314	JJ	3,769.59	(11,510.75	)	10/29/2009	1/15/2013
3138E9KT6	FNMA POOL # AK4805	2	149,700.24	151,635.79	143,511.31	149,536.17	2,099.62		(50,093.12	)	—	—	3	0.973	MON	358.78	110,360.46		4/24/2012	3/1/2027
36295PZJ4	GNMA POOL # 676745	2	147,591.30	152,409.03	141,341.37	146,983.91	5,425.12		(5,876.98	)	—	—	5	2.883	MON	588.92	21,414.56		3/26/2009	3/15/2023
31394DA42	FNMA CMO_05-48 AR	2	150,547.66	163,883.20	149,473.33	150,077.37	13,805.83		—		—	—	5.5	5.252	MON	685.09	4,267.92		12/20/2007	2/25/2035
362341RT8	GSAA WHOLE CMO 05-AR6 1A1	2	160,654.60	164,153.68	162,251.76	160,872.57	3,281.11		116.39		—	—	2.654	2.956	MON	358.86	1,500.93		11/21/2007	9/25/2035
31398WV35	FHLMC_3629 AGENCY CMO 3654	2	167,454.50	166,986.59	156,043.80	164,982.95	2,003.64		252.98		—	—	5	0.543	MON	650.18	7,787.43		2/1/2012	11/15/2028
BRSBBKBD9	UCI INTERNATIONAL TL B TERM LOAN	2	166,600.00	168,161.88	166,600.00	166,600.00	1,561.88		1,246.87		—	—	—	—	JAJO	—	4,857.10		1/20/2011	7/26/2017
31405PAG5	FNMA POOL # 794807	2	159,224.93	168,279.87	158,791.45	159,183.17	9,096.70		603.62		—	—	2.58	2.493	MON	341.40	13,463.24		6/30/2007	10/1/2034
31397B7F2	FHLMC_3221 CMO_3211 QD	2	168,378.74	168,683.67	168,029.16	167,737.29	946.38		1,287.85		—	—	5.5	5.356	MON	770.13	36,716.34		4/19/2007	12/15/2030
31349UCW6	FHLMC POOL # 782785	2	160,654.68	171,220.49	161,917.67	160,703.25	10,517.24		123.41		—	—	2.28	2.407	MON	307.64	2,309.01		4/2/2007	10/1/2034
3128JMZG5	FHLMC POOL # 1B2642	2	158,508.95	171,786.57	159,755.09	158,549.90	13,236.67		200.34		—	—	2.912	3.026	MON	387.67	3,397.09		4/2/2007	11/1/2034
31406BEZ9	FNMA POOL # 804852	2	161,021.24	173,296.82	162,287.10	161,081.24	12,215.58		267.92		—	—	2.515	2.67	MON	340.13	5,074.42		4/2/2007	12/1/2034
36241KGU6	GNMA POOL # 782011	2	163,602.26	175,478.35	160,099.97	163,487.73	11,990.62		(15,332.65	)	—	—	5	4.318	MON	667.08	90,599.69		7/14/2009	12/15/2035
587682AC9	MBART_10-A ABS 10-A-A3	2	175,106.41	175,690.06	175,140.11	175,135.31	554.75		—		—	—	1.42	1.433	MON	110.53	7,173.70		4/13/2010	8/15/2014
31406MYP5	FNMA POOL # 814418	2	166,276.93	177,094.56	167,761.64	166,348.39	10,746.17		67.90		—	—	2.494	2.674	MON	348.66	1,787.95		4/2/2007	3/1/2035
429827AB4	HEF_10-401 ABS 04-1 A2 144A	2	164,000.00	178,563.60	200,000.00	197,942.53	(19,378.93	)	—		—	—	1.711	7.724	MON	172.15	3,568.03		9/10/2009	1/1/2044
429827AE8	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1	2	164,000.00	178,563.60	200,000.00	170,678.33	7,885.27		26,671.49		—	—	1.441	2.95	MON	160.08	2,741.85		9/10/2009	1/1/2044
429827AF5	HEF_10-401 ABS 04-1 A6 144A	2	164,000.00	178,563.60	200,000.00	170,067.18	8,496.42		354.24		—	—	1.74	3.186	MON	56.61	2,733.30		9/10/2009	1/1/2044



429827AJ7	HIGHER EDUCATION FUNDING HEF_0 ABS 04-1		2	164,224.00	178,563.60	200,000.00	169,883.82	8,679.78		417.61		—	—	1.727	3.111	MON	283.89	2,743.13		9/10/2009	1/1/2044
429827AK4	HIGHER EDUCATION FUNDING HEF_0 ABS_04-1		2	164,196.00	178,563.60	200,000.00	170,099.71	8,463.89		281.68		—	—	1.714	3.939	MON	234.79	2,658.80		9/10/2009	1/1/2044
429827AN8	HEF_04-1 ABS 04-1 A13 144A		2	164,000.00	178,563.60	200,000.00	168,795.42	9,768.18		1,192.35		—	—	1.74	2.98	MON	47.67	2,622.39		9/10/2009	1/1/2044
31406BJF8	FNMA POOL # 804962		2	172,577.08	182,827.87	173,933.77	172,640.29	10,187.58		219.52		—	—	2.564	2.72	MON	371.64	4,244.28		4/2/2007	1/1/2035
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND	F		176,911.50	185,324.30	177,000.00	176,965.85	8,358.45		(29,992.35	)	—	—	3.2	3.211	MN	912.53	105,000.00		10/26/2009	11/3/2014
94980RAC1	WFMBS_04-Z CMO 04-Z-2A1		2	181,544.96	185,402.76	183,147.48	181,704.38	3,698.38		(362.20	)	—	—	2.623	2.809	MON	400.34	15,701.01		1/14/2008	12/25/2034
3620AWE63	GNMA POOL # 741857		2	183,913.20	185,846.59	172,815.23	183,196.31	2,650.28		(3,767.85	)	—	—	4.5	2.187	MON	648.06	10,861.31		10/7/2010	5/15/2025
31400EGH7	FNMA POOL # 685200		2	170,619.09	186,119.86	172,016.70	170,868.15	15,251.71		684.01		—	—	5	5.246	MON	716.73	11,570.03		12/14/2007	3/1/2018
3128JNAL9	FHLMC POOL # 1B2810		2	172,980.84	187,944.18	174,781.07	173,048.78	14,895.40		182.08		—	—	2.867	3.043	MON	417.58	4,669.04		4/2/2007	2/1/2035
46625HCE8	JPMORGAN CHASE & CO CORP BND			182,024.50	188,626.45	175,000.00	178,025.59	10,600.86		—		—	—	4.75	3.908	MS	2,770.83	64,730.42		10/29/2009	3/1/2015
3128MTB72	FHLMC GOLD POOL # H00962		2	178,963.64	192,168.15	175,521.78	178,829.30	13,338.85		(8,202.11	)	—	—	6.5	5.745	MON	950.74	30,101.81		10/31/2007	7/1/2037
31406BB90	FNMA POOL # 804764		2	180,735.43	194,101.33	182,156.25	180,802.18	13,299.15		18.43		—	—	2.492	2.648	MON	378.28	352.02		4/2/2007	1/1/2035
31401A3C9	FNMA POOL # 702895		2	180,762.47	197,184.81	182,243.21	181,047.64	16,137.17		443.53		—	—	5	5.224	MON	759.35	5,594.00		12/14/2007	4/1/2018
34529LAD6	FORDO_10-A ABS 10-A-A3		2	199,350.29	199,576.12	199,386.70	199,384.51	191.61		—		—	—	1.32	1.333	MON	116.97	12,442.42		4/21/2010	6/15/2014
78442GQN9	SLMA_05-8 ABS 05-8 A2		2	199,894.96	199,912.75	199,914.35	199,898.11	14.64		(4.49	)	—	—	0.405	0.424	JAJO	153.03	(38.85	)	11/30/2012	7/25/2022
912828RB8	UNITED STATES TREASURY GOVT BND			201,063.17	200,871.99	200,000.00	200,576.17	295.82		(18,585.32	)	—	—	0.5	0.322	FA	377.72	55,500.00		8/10/2011	8/15/2014
31385XEW3	FNMA POOL # 555549		2	184,704.73	201,485.20	186,217.74	184,968.42	16,516.78		(1,591.86	)	—	—	5	5.239	MON	775.90	89,113.07		12/14/2007	6/1/2018
36202FET9	GNMA POOL # 004646		2	202,925.40	205,181.65	190,736.17	201,923.72	3,257.93		(27,022.47	)	—	—	4.5	2.658	MON	715.26	62,334.60		10/7/2010	3/20/2025
784423AD7	SLCLT_04-1 ABS 04-1 A4		2	208,130.01	208,142.29	208,113.15	208,125.66	16.63		(3,036.25	)	—	—	0.42	0.396	FMAN	114.12	4,274.63		11/30/2012	8/15/2019
31406VHE9	FNMA POOL # 821129		2	197,883.98	213,363.89	199,650.87	197,971.65	15,392.24		445.52		—	—	2.794	2.962	MON	464.85	11,552.10		4/2/2007	5/1/2035
92857WAF7	VODAFONE GROUP PLC CORP BND	F		216,414.40	213,600.70	205,000.00	213,834.84	(234.14	)	7.36		—	—	5	0.476	JD	427.08	6,357.29		9/18/2012	12/16/2013
31405UR84	FNMA POOL # 799811		2	205,046.54	216,045.34	204,510.73	204,993.17	11,052.17		(17.95	)	—	—	2.339	2.26	MON	398.62	1,531.16		6/30/2007	11/1/2034
BRS9PGQM2	ARAMARK CORP LOAN TERM		2	216,407.28	216,686.61	215,973.89	216,299.00	387.61		11,174.09		—	—	—	0.586	JAJO	—	2,007.35		11/1/2011	7/26/2016
31414GD22	FNMA POOL # 965521		2	216,213.66	220,481.29	203,975.16	214,931.80	5,549.49		(64,104.35	)	—	—	5.5	3.006	MON	934.89	162,950.38		9/29/2009	12/1/2022
36292DWW8	GNMA POOL # 646061		2	206,101.46	226,357.09	197,640.01	205,737.60	20,619.49		(16,251.38	)	—	—	6.5	5.199	MON	1,070.55	59,227.07		1/31/2008	11/15/2037
3620AWE48	GNMA POOL # 741855		2	226,087.62	228,464.36	212,444.68	225,170.99	3,293.37		(8,874.48	)	—	—	4.5	2.288	MON	796.67	20,118.19		10/7/2010	5/15/2025
949797AA2	WFMBS WHOLE CMO 07-15 A1		2	231,072.88	228,471.72	229,619.82	230,935.24	(2,463.52	)	437.38		—	—	6	5.792	MON	1,148.10	8,211.32		1/17/2008	11/25/2037
38376GZ29	GNMA CMBS_11-096 AB		2	3,786,641.87	3,829,160.97	3,749,150.35	3,772,398.28	56,762.69		929.8		—	—	2.161	1.609	MON	6,750.03	68,023.24		7/7/2011	11/16/2036
36211V6Q8	GNMA POOL # 524779		2	224,029.76	231,510.58	214,542.94	223,063.22	8,447.36		(11,128.58	)	—	—	5	3.26	MON	893.93	24,736.16		3/26/2009	1/15/2024
3128NCB37	FHLMC POOL # 1G0058		2	223,377.53	235,186.99	223,902.31	223,365.51	11,821.48		(791.06	)	—	—	2.787	2.778	MON	520.01	12,466.46		9/17/2008	1/1/2035
3620AQHC0	GNMA POOL # 736527		2	242,992.14	245,546.59	228,329.13	241,996.98	3,549.61		(9,078.89	)	—	—	4.5	2.284	MON	856.23	27,690.16		10/7/2010	4/15/2025
78442GSC1	SLM STUDENT LOAN TRUST SLMA_06		2	246,395.48	246,143.03	246,784.68	246,414.01	(270.98	)	3.17		—	—	0.395	0.484	JAJO	184.25	(83.27	)	11/30/2012	7/25/2019
78442GHX7	SLMA ABS 03-10A A1B 144A		2	249,968.75	250,000.00	250,000.00	249,992.63	7.37		1,886.51		—	—	1.699	1.708	MON	318.57	26,248.63		11/7/2011	12/15/2016
78442GJD9	SLM STUDENT LOAN TR 2003-10A ABS_03-10A		2	250,000	250,000	250,000	250,000	—		67.52		—	—	1.6	1.604	MON	211.11	16,999.28		11/7/2011	12/15/2016



31403VBR9	FNMA POOL # 758848		2	229,241.52	250,068.18	231,119.37	229,517.42	20,550.76		4,456.59		—	—	5	5.25		MON	963	75,033.45	12/14/2007	1/1/2019
3134G3W55	FHLMC UNSECURED AGENCY BND			249,972.5	250,347.50	250,000	249,972.85	374.65		(690.47	)	—	—	0.45	0.454		MN	171.88	824.65	12/18/2012	11/24/2015
31416B7J1	FNMA POOL # 995597		2	247,218.09	252,097.7	233,224.64	246,013.66	6,084.04		(91,508.7	)	—	—	5.5	3.017		MON	1,068.95	308,731.95	9/29/2009	3/1/2024
3620AKQR0	GNMA POOL # 732264		2	251,072.23	253,711.62	235,921.63	250,034.64	3,676.98		(1,418.84	)	—	—	4.5	2.307		MON	884.71	4,960.47	10/7/2010	4/15/2025
949746NA5	WELLS FARGO & COMPANY CORP BND			253,705.26	254,710.13	257,000	254,006.36	703.77		449.96		—	—	0.513	1.061		JAJO	234.5	4,116.27	9/13/2012	10/28/2015
31406BQQ6	FNMA POOL # 805163		2	241,275.57	258,768.98	243,294.94	241,371.81	17,397.17		298.9		—	—	2.662	2.827		MON	539.51	5,174.6	4/2/2007	1/1/2035
31410GC35	FNMA POOL # 888490		2	243,959.73	259,329.34	244,512.38	243,968.18	15,361.16		1,252.14		—	—	2.522	2.548		MON	513.88	30,928.18	6/18/2007	5/1/2035
3128QJLG9	FHLMC POOL # 1G1227		2	253,139.4	260,215.94	248,175.9	252,870.95	7,344.99		(27,210.76	)	—	—	2.95	2.422		MON	610.1	121,353.01	1/4/2008	10/1/2036
36296UUL2	GNMA POOL # 701787		2	251,894.55	262,268.04	243,046.16	250,991.41	11,276.63		(2,914.39	)	—	—	5	3.63		MON	1,012.69	14,362.79	6/11/2009	3/15/2024
31371NE35	FNMA POOL # 256754		2	258,536.17	263,639.16	243,902.06	256,868.06	6,771.1		(128.64	)	—	—	5.5	3.004		MON	1,117.88	19,712.2	9/29/2009	6/1/2022
36179MK82	GNMA POOL # MA0319		2	266,051.88	264,208.62	242,174.94	265,829.39	(1,620.77	)	(3,667.03	)	—	—	4	1.579		MON	807.25	22,737.34	10/4/2012	8/20/2042
36204J4C7	GNMA POOL # 371719		2	248,020.75	266,387.85	233,431.30	245,603.07	20,784.78		(6,511.51	)	—	—	6.5	4.99		MON	1,264.42	14,039.11	9/11/2008	4/15/2024
429827AQ1	HEF_04-1 ABS 04-1 A15 144A			246,000	271,018.2	300,000.00	249,671.77	21,346.43		325.61		—	—	1.394	2.144		MON	217.72	2,746.15	9/10/2009	1/1/2044
36225BPY8	GNMA POOL # 781339		2	260,454.11	271,108.24	235,972	258,824.70	12,283.54		(54,336.86	)	—	—	8	5.49		MON	1,573.15	111,806.14	3/7/2008	9/15/2031
BRSEY9A02	RGIS SERVICES LLC SENIOR SECURED TERM			273,207.85	276,293.01	274,236.24	273,248.4	3,044.61		627.83		—	—	—	0.094		MJSD	—	12,300.07	9/18/2012	10/18/2016
36296UC73	GNMA POOL # 701294		2	270,515.52	279,256.08	258,789.13	269,330.36	9,925.72		(4,338.09	)	—	—	5	3.204		MON	1,078.29	4,943.17	3/27/2009	1/15/2024
00432CBB6	AGSL_03-1 ABS_03-1-2003-1			311,937.5	290,635.8	350,000	312,592.03	(21,956.23	)	6,732.78		—	—	1.709	12.901		APR	98.33	5,039.82	3/29/2010	12/26/2035
31402DQB9	FNMA POOL # 725950		2	269,161.98	294,592.34	271,623.56	269,498.59	25,093.75		214.86		—	—	5	5.27		MON	1,131.76	3,373.60	7/17/2008	11/1/2019
31412LMG2	FNMA POOL # 928359		2	291,884.66	297,645.86	275,362.88	290,065.84	7,580.02		(7,863.14	)	—	—	5.5	2.874		MON	1,262.08	19,885.5	9/29/2009	5/1/2022
45950VBV7	INTERNATIONAL FINANCE CO UNSECURED CORP	E		299,595.00	300,353.99	300,000.00	299,683.05	670.94		(2,232.83	)	—	—	0.5	0.545		MN	191.67	3,389.13	4/26/2012	5/15/2015
912828QE3	UNITED STATES TREASURY GOVT BND			299,872.10	300,516	300,000.00	299,978.82	537.18		(293.64	)	—	—	0.625	0.647		AO	321.13	2,867.45	4/27/2011	4/30/2013
36962G4D3	GENERAL ELECTRIC CAPITAL CORP CORP BND			261,337.5	303,825.91	250,000	258,305.85	45,520.06		(1,364.14	)	—	—	6	5.395		FA	6,000	4,800	10/29/2009	8/7/2019
12668AZL2	CWALT CMO_05-64CB 1A		2	350,646.33	306,901.94	357,460.43	350,365.85	(43,463.91	)	—		—	—	5.5	5.855		MON	1,638.36	149.55	1/2/2008	00/00/0000
31406PKU2	FNMA POOL # 815807		2	289,862.24	312,296.25	292,628.40	290,046.63	22,249.62		246.22		—	—	2.548	2.721		MON	621.35	4,446.03	9/28/2006	2/1/2035
136375BH4	CANADIAN NATIONAL RAILWAY CORP BND	A		325,323.3	312,408.73	310,000	310,951.61	1,457.12		75.59		—	—	4.4	2.856		MS	4,016.22	—	10/22/2009	3/15/2013
36225DAS3	GNMA POOL # 080916		2	297,791.03	313,262.65	299,240.47	297,894.4	15,368.25		(3,806.36	)	—	—	1.75	1.819		MON	436.39	25,222.18	4/17/2008	5/20/2034
38376YG96	GNMA CMO_10-47 TA		2	317,042.08	313,403.06	309,309.35	314,090.53	(687.47	)	(2,644.91	)	—	—	3	(0.349	)	MON	773.27	4,821.84	6/4/2012	11/16/2030
BRSAHW6G8	LAS VEGAS SANDS LLC TERM LOAN		2	306,860.81	313,424.39	312,340.57	308,316.59	5,107.8		1,714.36		—	—	—	0.329		FMAN	—	23,535.28	5/16/2011	11/23/2016
BRSE9K3Z6	WCA WASTE SECURED TERM LOAN			309,511.12	314,982.28	312,637.5	309,907.15	5,075.13		—		—	—	—	0.166		MJSD	—	4,405.36	3/9/2012	3/23/2018
31411LEA5	FNMA POOL # 911029		2	310,030.06	316,149.41	292,481.18	307,895.67	8,253.74		(5,104.33	)	—	—	5.5	3.194		MON	1,340.54	51,068.82	9/29/2009	7/1/2022
BRS5BXCY7	ALLISON TRANSMIS LN1 TERM LOAN		2	311,289.62	319,561.03	317,642.47	314,343.02	5,218.01		525.22		—	—	—	0.646		FMAN	—	22,686.89	6/20/2011	8/7/2014
07385TAJ5	BEAR STEARNS CO INC CORP BND			325,959.9	325,776.15	300,000	310,205.98	15,570.17		72.14		—	—	5.7	3.797		MN	2,185	6,351.66	10/29/2009	11/15/2014
36204SV60	GNMA POOL # 378737		2	305,072.43	326,855.74	287,126.97	302,399.84	24,455.9		(52,092.07	)	—	—	6.5	4.743		MON	1,555.27	112,312.97	9/11/2008	1/15/2024
31349ULB2	FHLMC POOL # 783022		2	306,022.68	328,498.2	308,755.16	306,140.17	22,358.03		511.9		—	—	2.372	2.511		MON	610.31	8,293.9	4/2/2007	2/1/2035



36296UXG0	GNMA POOL # 701879	2	325,269.74	328,550.49	305,641.79	324,007.88	4,542.61		(4,153.21	)	—	—	4.5	1.743		MON	1,146.16	5,599.08		10/7/2010	5/15/2024
00432CAZ4	AGSL_03-1 ABS 03-1-2003-1	2	360,500	332,135.6	400,000	370,888.53	(38,752.93	)	—		—	—	1.682	2.886		MON	75.13	17,453.22		3/29/2010	12/26/2035
31349UEJ3	FHLMC POOL # 782837	2	310,768.06	333,160.15	313,211.11	310,865.41	22,294.74		217.15		—	—	2.378	2.497		MON	620.68	3,967.96		4/2/2007	11/1/2034
BRSETKJX2	TAMINCO GLOBAL CHEMICAL CORPOR TERM	2	330,833.34	333,728.13	330,833.34	330,833.34	2,894.79		1,384.4		—	—	—	—		FMAN	—	60,196.31		5/11/2012	2/15/2019
3128M7AZ9	FHLMC GOLD POOL # G05124	2	313,834.19	336,873.23	302,035.93	313,418.07	23,455.16		(1,267.46	)	—	—	6	5.012		MON	1,510.18	7,575.41		2/4/2009	12/1/2038
3620AQ5X7	GNMA POOL # 737162	2	335,467.08	338,993.68	315,223.81	334,086.48	4,907.20		(14,478.86	)	—	—	4.5	2.297		MON	1,182.09	25,889.68		10/7/2010	4/15/2025
3620A9WW7	GNMA POOL # 723461	2	337,618.78	341,024.10	317,245.66	336,262.6	4,761.5		(8,938.82	)	—	—	4.5	2.11		MON	1,189.67	30,191.65		10/7/2010	12/15/2024
30249UAA9	FMC TECHNOLOGIES INC. SENIOR CORP BND		349,184.5	352,109	350,000	349,227.94	2,881.06		(23,337.98	)	—	—	2	2.049		AO	1,944.44	54,667.53		9/18/2012	10/1/2017
36296E5H5	GNMA POOL # 689448	2	346,311.86	357,616.29	331,646.87	344,820.56	12,795.73		(1,771.05	)	—	—	5	3.105		MON	1,381.86	8,356.14		3/26/2009	7/15/2023
38376WSP1	GNMA_10-24 AGENCY CMO 10-24	2	361,827.00	361,324.83	359,468.00	361,833.05	(508.22	)	(32,516.05	)	—	—	0.731	0.422		MON	80.26	37,965.72		12/5/2012	12/20/2038
BRSGV88K1	MEDASSETS INC SENIOR SECURED TERM LOAN	1	363,175	366,003.75	365,000	363,184.30	2,819.45		—		—	—	—	0.071		MJSD	—	—		12/11/2012	12/7/2019
38374C3K5	GOVERNMENT NATIONAL MORTGAGE A CMO_03-85	2	387,877.29	368,765.58	366,164.86	368,648.9	116.68		(22,066.03	)	—	—	4.5	(0.798	)	MON	1,373.12	27,559.57		4/26/2011	7/20/2024
3128NCMS0	FHLMC POOL # 1G0369	2	359,125.35	377,183.11	357,338.67	358,980.86	18,202.25		55.69		—	—	2.747	2.58		MON	818.01	2,428.56		8/27/2008	10/1/2035
3128JRPZ3	FHLMC POOL # 847640	2	349,637.86	377,184.2	351,553.82	349,682.07	27,502.13		15.53		—	—	2.874	2.931		MON	841.97	3,328.78		11/13/2006	5/1/2036
BRSCC0RV3	DUCOMMUN INC TERM LOAN		372,839.22	379,429.81	376,605.27	373,772.88	5,656.93		4,987.44		—	—	—	0.166		MJSD	—	41,980.79		6/17/2011	6/28/2017
36210B4N2	GNMA POOL # 487829	2	368,432.54	382,654.67	355,973.47	367,194.44	15,460.23		(20,092.18	)	—	—	4.5	3.122		MON	1,334.9	38,570.6		3/26/2009	4/15/2024
36210BZJ7	GNMA POOL # 487745	2	377,359.34	385,176.42	356,946.46	375,984.83	9,191.59		(7,548.11	)	—	—	5	2.411		MON	1,487.28	34,624.76		9/29/2009	3/15/2024
BRSC4TTL9	SENSUS METERING TERM LOAN		386,147.08	388,978.16	388,087.5	386,674.11	2,304.05		900.41		—	—	—	0.083		FMAN	—	64,092.12		5/5/2011	5/9/2017
31342A6F1	FHLMC POOL # 780870	2	361,985.63	390,491.21	367,610.06	362,261.29	28,229.92		345.57		—	—	2.409	2.726		MON	737.98	12,196.09		2/22/2012	9/1/2033
43813BAC6	HAROT_2010-3 ABS_10-3 A3	2	392,526.25	392,224.25	391,883.32	392,006.65	217.6		—		—	—	0.7	0.559		MON	76.2	22,767.87		8/18/2011	4/21/2014
36225CD29	GNMA POOL # 080120	2	376,855.42	392,560.5	373,008.78	376,504.24	16,056.26		(5,098.01	)	—	—	1.625	1.334		MON	505.12	12,443.89		3/18/2009	10/20/2027
3620A7R64	GNMA POOL # 721509	2	391,113.27	395,224.86	367,512.12	389,485.66	5,739.2		(1,558.4	)	—	—	4.5	2.265		MON	1,378.17	4,014.02		10/7/2010	2/15/2025
31412LQN3	FNMA POOL # 928461	2	389,393.78	397,079.62	367,352.62	386,997.17	10,082.45		(8,133.38	)	—	—	5.5	2.88		MON	1,683.7	19,401.4		9/29/2009	6/1/2022
3620AQXC2	GNMA POOL # 736975	2	394,437.30	398,583.83	370,635.56	392,862.16	5,721.67		(5,319.63	)	—	—	4.5	2.158		MON	1,389.88	12,061.67		10/7/2010	2/15/2025
31406DG67	FNMA POOL # 806721	2	370,326.6	399,081.61	373,237.87	370,457.45	28,624.16		270.37		—	—	2.775	2.933		MON	863.11	6,963.64		4/2/2007	11/1/2034
31406TLC3	FNMA POOL # 819423	2	370,650.15	401,862.71	373,959.71	370,808.95	31,053.76		373.08		—	—	2.933	3.104		MON	914.02	7,539.3		4/2/2007	4/1/2035
423074AN3	HEINZ H. J. COMPANY SENIOR CORP BND		399,388.00	403,776.49	400,000.00	399,486.95	4,289.54		69,282.78		—	—	1.5	1.532		MS	2,000	62,555.62		2/28/2012	3/1/2017
92976WBJ4	WACHOVIA CORPORATION CORP BND MTN		427,674.4	406,684	400,000	402,753.03	3,930.97		3,285.45		—	—	5.5	3.389		MN	3,666.67	99,833.34		10/29/2009	5/1/2013
BRSB98L97	CENVEO CORP TERM LOAN		402,741.03	409,279.93	406,233.18	403,532.82	5,747.11		2,131.15		—	—	—	0.166		MJSD	—	62,954.97		11/1/2011	12/21/2016
41283KAC1	HDMOT_10-1 ABS 10-1 A3	2	409,891.44	410,556.06	409,949.32	409,943.73	612.33		93.77		—	—	1.16	1.169		MON	211.35	24,640.21		11/17/2010	2/15/2015
BRSFUHEJ0	KINDRED HEALTHCARE INC. SENIOR SECURED		409,500	411,600	420,000	409,913.1	1,686.9		524		—	—	—	0.443		MJSD	—	(1,814.61	)	9/19/2012	6/1/2018
36205BKY7	GNMA POOL # 385611	2	383,322.81	411,709.67	360,774.42	379,744.02	31,965.65		(3,001.09	)	—	—	6.5	4.919		MON	1,954.19	16,538.7		9/11/2008	4/15/2024
00432CBP5	AGSL_03-1 ABS_04-1-2004-1	2	435,625	415,408	500,000	449,892.81	(34,484.81	)	221.79		—	—	1.713	3.109		MON	617.14	4,413.49		3/29/2010	12/27/2032
47787BAB1	JDOT_12-A ABS 12-A	2	416,186.94	416,479.68	416,192.51	416,189.41	290.27		12.66		—	—	0.59	0.591		MON	109.13	1,744.17		2/22/2012	6/16/2014



BRSF9BJL7	KLOECKNER HOLDINGS GP S.A. TERM LOAN	E		404,568.50	417,985.31	412,825.00	405,386.21	12,599.1		2,023.58		—	—	—	0.452		MJSD	—	14,148.75		7/16/2012	12/21/2016
12800UAK6	CAISSE CENTRALE DESJARDN CORP BND 144A	A		397,592.00	423,848.02	400,000.00	398,390.31	25,457.71		(1,830.42	)	—	—	2.55	2.681		MS	2,748.33	(1,100	)	4/18/2011	3/24/2016
209111EW9	CONSOLIDATED EDISON CO OF NY CORP BND			436,497.6	424,603.12	400,000	410,837.49	13,765.63		139.38		—	—	5.55	3.313		AO	5,550	—		10/29/2009	4/1/2014
31397JAB0	FHLMC_3346A AGNECY CMO_3335-AF		2	433,211.46	433,053.3	433,177.62	433,207.25	(153.95	)	(5,199.15	)	—	—	0.359	0.355		MON	69.12	15,633.21		7/22/2011	10/15/2020
31407E6W8	FNMA POOL # 828985		2	401,104.82	434,364.83	414,913.68	402,018.54	32,346.29		229.93		—	—	2.251	2.96		MON	777.96	5,656.61		3/16/2006	8/1/2035
254683AV7	DCENT_12-A3 ABS 12-A3		2	434,956.76	438,310.36	435,000	434,964.8	3,345.56		(962.99	)	—	—	0.86	0.865		MON	166.27	7,093.14		6/5/2012	11/15/2017
36297A3K7	GNMA		2	428,774.58	443,092.24	410,617.58	427,060.23	16,032.01		(37,175.77	)	—	—	5	3.106		MON	1,710.91	135,121.18		3/26/2009	1/15/2024
31398EXU3	FHLMC AGENCY CMO 3566-DE		2	460,512.18	443,885.38	442,667.16	444,532	(646.62	)	(24,731.83	)	—	—	4	(0.871	)	MON	1,475.56	70,063.21		4/6/2011	12/15/2022
36202KME2	GNMA POOL # 008457		2	433,328.38	444,235.2	427,319.2	432,480.39	11,754.81		(26,046.05	)	—	—	1.75	1.366		MON	623.17	56,156.49		3/18/2009	7/20/2024
3620A7RQ0	GNMA POOL # 721495		2	446,771.33	451,467.99	419,811.54	444,860.79	6,607.2		(6,851.62	)	—	—	4.5	2.303		MON	1,574.29	19,359.35		10/7/2010	1/15/2025
36297KZF1	GNMA POOL # 714542		2	438,428.93	456,346.62	422,900.53	436,812.86	19,533.76		(8,967.89	)	—	—	5	3.7		MON	1,762.09	12,766.30		6/11/2009	6/15/2024
71722TAF1	PHEAA_04-1 ABS_04-1-A2		2	452,730	463,854.5	500,000.00	464,117.65	(263.15	)	112.09		—	—	0.091	0.985		MON	23.68	15,987.00		3/9/2010	4/25/2044
62888VAB4	NCUA GUARANTEED NOTES AGENCY CMO_10-R1		2	465,451.77	473,127.89	465,493.8	465,465.58	7,662.31		(141,547.88	)	—	—	1.84	1.85		MON	642.38	235,790.2		9/7/2011	10/7/2020
BRSCAXFG9	US SILICA CO TERM LOAN			487,584.20	491,250.25	488,806.22	487,896.71	3,353.54		4,787.57		—	—	—	0.041		MJSD	—	186,435.97		6/8/2011	6/8/2017
BRSFQ43Z0	FIRST DATA CORPORATION SENIOR SEC TERM		2	490,000	491,607.50	500,000	490,089.11	1,518.39		(330.93	)	—	—	—	0.345		MJSD	—	1,040.44		11/15/2012	9/24/2018
31403DCE7	FNMA POOL # 745369		2	450,364.13	492,448.5	454,053.27	450,895.77	41,552.73		2,437.17		—	—	5	5.218		MON	1,891.89	39,553.5		12/14/2007	12/1/2019
36296U3C2	GNMA POOL # 701995		2	479,139.10	494,779.29	458,849.35	477,355.24	17,424.05		(14,170.03	)	—	—	5	2.94		MON	1,911.87	33,467.52		3/26/2009	1/15/2024
617446B99	MORGAN STANLEY CORP BND			469,255.00	496,470	500,000.00	492,267.51	4,202.49		140.38		—	—	0.651	2.096		JAJO	759.79	1,101.65		10/22/2009	1/9/2014
BRSEXWQA3	APPLIED SYSTEMS INC SENIOR SECURED TERM			491,287.50	499,971.88	496,250.00	491,877.83	8,094.05		1,296.06		—	—	—	0.222		MJSD	—	16,052.91		5/30/2012	12/8/2016
78442GJC1	SLMA ABS_03-10A AIG 144A		2	500,000	500,000	500,000.00	500,000	—		—		—	—	1.703	1.707		MON	614.03	14,310.26		11/7/2011	12/15/2016
3133EAK31	FEDERAL FARM CREDIT BANK AGENCY BND		1	499,140.63	500,113.95	500,000.00	499,242.19	871.76		—		—	—	0.47	0.528		FA	855.14	110.18		8/22/2012	8/20/2015
BRSE9BNJ0	PINNACLE ENTERTAINMENT INC. SENIOR SEC			491,287.5	501,212.5	496,250	491,820.58	9,391.92		462.95		—	—	—	0.143		MJSD	—	14,968.27		3/8/2012	3/8/2019
BRS8CFLV5	SUNGARD DATA SYSTEMS INC. TERM LOAN		2	482,301.86	502,111.22	499,794.67	487,431.51	14,679.71		5,194.72		—	—	—	0.783		FMAN	—	34,005.93		8/9/2011	2/28/2016
BRSDU55R3	PRESTIGE BRANDS HOLDINGS INC TERM LOAN		1	488,395.85	502,291.55	495,833.32	489,344.07	12,947.48		4,000		—	—	—	0.214		MJSD	—	8,025.44		1/27/2012	1/31/2019
BRSGECMG4	NPC INTL INC. SENIOR SECURED TERM LOAN			500,000.00	505,207.5	500,000	500,000	5,207.5		477.83		—	—	—	—		FMAN	—	1,036.93		11/21/2012	12/28/2018
36225DLE2	GNMA POOL # 081224		2	487,990.10	506,277.62	490,288.35	488,117.91	18,159.71		(273.81	)	—	—	1.625	1.694		MON	663.93	10,954.43		3/18/2009	1/20/2035
17275RAJ1	CISCO SYSTEMS INC CORP BND			509,680	507,143.75	500,000.00	504,671.63	2,472.12		(2,899.22	)	—	—	1.625	0.84		MS	2,414.93	13,927.6		9/12/2011	3/14/2014
BRSCL92L3	OM GROUP INC. TERM LOAN			503,476.87	513,012.42	508,562.50	504,663.44	8,348.98		29,737.03		—	—	—	0.166		FMAN	—	220,559.74		7/28/2011	8/2/2017
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			519,436.8	513,905.71	480,000	511,091.64	2,814.07		(14,815.82	)	—	—	4.125	0.91		JJ	9,130	41,812.5		6/7/2012	1/15/2015
36210B4R3	GNMA POOL # 487832		2	498,218.57	514,470.22	476,764.19	496,206.6	18,263.62		(4,877.71	)	—	—	5	3.138		MON	1,986.52	18,620.93		3/26/2009	4/15/2024
92976WBA3	WACHOVIA CORPORATION CORP BND MTN			527,500	515,205	500,000	503,256.89	11,948.11		2,758.01		—	—	5.7	4.556		FA	11,875	115,162.5		1/31/2008	8/1/2013
3620AL5N0	GNMA POOL # 733553		2	510,868.62	516,239.12	480,040.99	508,916.22	7,322.9		(2,770.52	)	—	—	4.5	2.101		MON	1,800.15	2,383.36		10/7/2010	4/15/2025
36296TPY3	GNMA POOL # 700739		2	508,495.61	516,975.89	481,594.06	505,683.87	11,292.02		(1,603.87	)	—	—	5.5	3.103		MON	2,207.31	17,396.14		6/3/2009	10/15/2023
478160AY0	JOHNSON & JOHNSON SENIOR CORP BND			526,270	524,178.16	500,000	523,659.78	518.38		192.58		—	—	2.15	0.726		MN	1,373.61	3,687.5		8/13/2012	5/15/2016



36225EWE8	GNMA POOL # 082444		2	514,178.41	525,557.44	503,479.47	513,897.16	11,660.28	(3,279.52	)	—	—	3.75	3.177	MON	1,573.37	22,761.17		11/3/2009	12/20/2039
BRSBDPXK6	JPMORGAN CHASE & CO CORP BND EMTN	O		497,549.09	528,312.65	300,000.00	493,698.91	34,613.74	(19,008.51	)	—	433.23	4.25	3.407	JJ	18,451.57	80,656.83		11/9/2011	1/25/2017
06739FFZ9	BARCLAYS BANK PLC LOCAL BND	F		528,417	531,681.67	500,000	509,761.04	21,920.63	1,664.85		—	—	5.2	3.869	JJ	12,350	93,750		10/21/2009	7/10/2014
31410FU60	FNMA POOL # 888105		2	494,797.65	539,750.17	498,850.81	495,300.28	44,449.89	(63.3	)	—	—	5	5.223	MON	2,078.54	6,878.93		12/14/2007	8/1/2020
31410GDL4	FNMA POOL # 888507		2	503,612.54	539,988.21	512,428.28	504,110.93	35,877.28	308.95		—	—	2.32	2.679	MON	990.69	2,823.67		6/18/2007	2/1/2035
31342AZE2	FHLMC POOL # 780741		2	530,787.05	548,873.85	514,468.75	530,117.21	18,756.64	(1,140.05	)	—	—	2.375	1.449	MON	1,018.22	13,379.92		11/16/2009	7/1/2033
BRS9XUH75	LIVE NATION INC TERM LOAN			539,508.28	548,997.12	542,219.38	539,729.27	9,267.85	2,351.07		—	—	—	0.118	FMAN	—	29,018.8		8/29/2012	11/6/2016
717081DA8	PFIZER INC. CORP BND			555,530.00	551,343.16	500,000	525,160.12	26,183.04	1,259.19		—	—	5.35	2.971	MS	7,876.39	17,108.33		2/17/2010	3/15/2015
36202FF43	GNMA POOL # 004687		2	558,897.70	565,111.85	525,326.07	556,834.08	8,277.77	(4,458.72	)	—	—	4.5	2.679	MON	1,969.97	10,102.94		10/7/2010	5/20/2025
74456QAW6	PUBLIC SERVICE ELECTRIC & GAS CORP BND			549,021	574,725.07	550,000	549,520.04	25,205.03	37.04		—	—	2.7	2.739	MN	2,475	—		5/17/2010	5/1/2015
3128JRP26	FHLMC POOL # 847641		2	533,560.35	575,456.66	537,863.25	533,727.85	41,728.81	(71,757.11	)	—	—	2.69	2.818	MON	1,205.71	233,537.45		2/22/2012	12/1/2033
63946BAB6	NBC UNIVERSAL MEDIA LLC CORP BND			577,289.62	576,649.96	542,000	570,585.22	6,064.74	—		—	—	3.65	1.34	AO	3,352.12	8,609.12		6/7/2012	4/30/2015
N28183AC0	DUTCH MOR LN III ABS III	D	2	569,060.91	576,876.2	437,887.53	569,064.89	7,811.31	(1.96	)	—	4.01	0.441	0.45	FMAN	8,085.24	(497.23	)	11/30/2012	11/20/2035
BRSGV1XL6	MISSION BROADCASTING INC. SENIOR SEC			576,531.43	586,671.43	579,428.57	576,531.43	10,140	—		—	—	—	0.073	MJSD	—	—		11/19/2012	12/3/2019
36297AKF9	GNMA POOL # 705994		2	576,433	588,373.94	545,251.44	574,250.96	14,122.98	(15,145.91	)	—	—	5	2.43	MON	2,271.88	44,230.24		9/29/2009	1/15/2024
31397G7M6	FHLMC CMO_R011 AB		2	586,851.94	590,150.85	581,941.8	581,931	8,219.85	(790.88	)	—	—	5.5	4.852	MON	2,667.23	28,153.89		9/4/2008	12/15/2020
BRSC0XRZ5	NORTEK INC TERM LOAN			585,210.28	590,580.45	585,942.71	585,395.04	5,185.41	1,707.79		—	—	—	0.021	JAJO	—	80,569.72		7/8/2011	4/26/2017
36296XLY8	GNMA POOL # 704243		2	570,230.3	593,713.44	550,199.6	568,297.16	25,416.28	(21,667.82	)	—	—	5	3.502	MON	2,292.5	25,183.45		6/11/2009	1/15/2024
3620AQG72	GNMA POOL # 736522		2	588,827.79	595,017.83	553,295.82	586,518.27	8,499.56	(25,208.15	)	—	—	4.5	2.173	MON	2,074.86	60,197.55		10/7/2010	4/15/2025
BRSFXW3C1	PROGRESSIVE WASTE SOLUTIONS LT SENIOR	I	1	587,050	595,162.5	590,000	587,112.54	8,049.96	1,859.81		—	—	—	0.071	JAJO	—	3,040.14		10/22/2012	10/24/2019
949781AC2	WFMBS CMO 05-AR1 2A1		2	589,015.73	597,295.91	603,731.69	589,995.12	7,300.79	(62,819.68	)	—	—	2.61	3.263	MON	1,313.28	251,794.58		5/27/2008	2/25/2035
N7277KAG6	RABOBANK NEDERLAND NV CORP BND MTN	D		569,164.74	608,218.83	350,000.00	570,539.06	37,679.77	(572.3	)	—	106.19	4	4.047	SEP	4,181.62	1,111.17		9/3/2009	9/10/2015
W5818PAC4	NORDEA BANK AB CORP BND MTN	D		534,825.15	608,297.91	350,000	536,119.88	72,178.03	74.86		—	8.53	3.875	3.951	DEC	32,044.02	—		4/13/2010	12/15/2015
89235YAC9	TAOT_10-B ABS_10-B A3		2	608,143.87	608,737.7	608,196.42	608,192.06	545.64	186.89		—	—	1.04	1.047	MON	281.12	39,240		7/14/2010	2/18/2014
36295P4L3	GNMA POOL # 676827		2	590,326.75	609,231.69	564,990.43	587,731.79	21,499.9	(19,540.24	)	—	—	5	3.04	MON	2,354.12	75,482.86		3/26/2009	5/15/2023
BRSB9YU33	AMC ENTERTAINMENT INC. TERM LOAN			566,464.94	609,763.99	604,229.25	574,778.4	34,985.59	1,586.93		—	—	—	1.25	JAJO	—	36,383.6		9/6/2011	12/15/2016
BRSFDBBL0	PILOT TRAVEL CENTERS LLC SENIOR SEC TERM		2	603,911.44	612,783	608,475	604,171.29	8,611.71	545.81		—	—	—	0.106	MJSD	—	13,840.96		8/2/2012	8/7/2019
36297DTR8	GNMA POOL # 708960		2	597,370.33	617,317.75	572,073.93	594,930.09	22,387.66	(28,507.79	)	—	—	5	3.202	MON	2,383.65	55,915.13		3/26/2009	3/15/2024
78442GJB3	SLMA ABS 03-10A A1F 144A		2	625,000	625,000	625,000	625,000	—	—		—	—	1.699	1.703	MON	825.9	7,543.56		11/7/2011	12/15/2016
94982BAG5	WFMBS CMO 05-AR8 3A2		2	619,076.22	629,220.61	629,802.55	620,952.15	8,268.46	10,658.87		—	—	2.703	3.074	MON	1,418.86	51,398.41		12/15/2005	6/25/2035
3620A9QJ3	GNMA POOL # 723257		2	631,190.96	637,557.34	593,102.65	628,604.23	8,953.11	(1,022.59	)	—	—	4.5	2.066	MON	2,224.13	2,249.97		10/7/2010	9/15/2024
W91297AA4	SVENSKA HANDELSBANKEN AB CORP BND	D		605,546.39	641,516.64	350,000	593,258.09	48,258.55	863.66		—	718.79	5.5	3.16	MAY	36,273.1	35,787.39		11/17/2011	5/26/2016
31404VGA0	FNMA POOL # 779693		2	596,954.28	647,074.18	602,603.68	597,285.12	49,789.06	(70,023.5	)	—	—	2.632	2.821	MON	1,321.71	208,249.12		2/24/2006	7/1/2034
36210BZH1	GNMA POOL # 487744		2	637,065.03	650,261.98	602,603.64	634,587.9	15,674.08	(3,127.89	)	—	—	5	2.543	MON	2,510.85	25,795.79		9/29/2009	3/15/2024



3620A9WS6	GNMA POOL # 723457		2	645,523.53	652,034.49	606,570.36	642,779.26	9,255.23	(14,949.26	)	—	—		4.5	2.259	MON	2,274.64	31,971.83	10/7/2010	12/15/2024
BRSFC7S57	PANTRY INC(THE) TERM LOAN			641,891.25	658,100.63	648,375.00	642,249.76	15,850.87	—		—	—		—	0.143	JAJO	—	11,316.31	7/26/2012	7/26/2019
W57996JD8	NORDEA BANK AB SENIOR CORP BND EMTN	D		651,067.61	659,104.67	410,000.00	651,142.47	7,962.20	113.74		—	31.99		2.125	2.212	NOV	13,044.57	—	11/6/2012	11/13/2019
BRSDFK6A3	NOVELIS INC/GA TERM LOAN		2	640,270.30	663,668.09	656,687.5	643,525.69	20,142.4	3,086.36		—	—		—	0.477	MJSD	—	79,025.71	12/2/2011	3/10/2017
31410GDM2	FNMA POOL # 888508		2	616,840.90	667,469.96	625,464.98	617,270.17	50,199.79	2,370.06		—	—		2.786	3.105	MON	1,452.12	13,886.11	6/18/2007	3/1/2034
883556BA9	THERMO FISHER SCIENTIFIC CORP BND			648,869.00	671,856.32	650,000.00	649,167.43	22,688.89	—		—	—		2.25	2.287	FA	5,525	4,314.89	8/9/2011	8/15/2016
BRSDCHKT6	B&G FOODS INC TERM LOAN		2	661,567.5	672,637.06	668,250	662,587.79	10,049.27	4,889.87		—	—		—	0.142	FMAN	—	83,908.84	11/18/2011	11/30/2018
3128MTF29	FHLMC GOLD POOL # H01085		2	632,864.58	679,559.29	620,693.17	632,366.97	47,192.32	(23,306.76	)	—	—		6.5	5.862	MON	3,362.09	155,231.14	10/31/2007	7/1/2037
281379AA5	EDUSA_10-1 ABS 10-1-A1 144A		2	670,467.80	679,859.71	670,467.8	670,467.80	9,391.91	16.74		—	—		1.165	1.167	JAJO	1,475.72	12,837.5	2/23/2010	7/25/2023
31403C2L4	FNMA POOL # 745179		2	623,533	680,181.17	628,640.72	624,294.4	55,886.77	679.7		—	—		5	5.236	MON	2,619.33	11,592.17	12/14/2007	4/1/2019
3138ATD31	FNMA POOL# AJ1921		2	676,599.64	686,458.82	634,049.01	676,071.53	10,387.29	(11,212.86	)	—	—		4.5	1.926	MON	2,377.68	23,147.74	9/20/2011	9/1/2041
BRSFQ6PR9	FOXCO ACQSTN SUB SENIOR SECURED TERM		1	674,908.5	688,755.99	678,300	675,095.83	13,660.16	89.11		—	—		—	0.103	MJSD	—	1,906.7	9/14/2012	7/14/2017
BRSC8PGF0	ENDO PHARMACEUTICALS HLDGS INC TERM LOAN		2	688,071.45	695,805.37	688,071.45	688,071.45	7,733.92	697.74		—	—		—	—	MJSD	—	64,358.93	6/7/2011	6/18/2018
BRSEVCW87	RPI FINANCE TRUST SENIOR SEC TERM NOTES		1	683,331.61	702,194.33	693,737.67	684,271.93	17,922.4	—		—	—		—	0.231	FMAN	—	10,806.37	5/24/2012	11/9/2018
31371NAC9	FNMA POOL # 256603		2	671,595.87	725,262.97	670,966.83	671,193.79	54,069.18	(42,506.72	)	—	—		5.5	5.371	MON	3,075.26	140,786.48	7/17/2008	2/1/2022
620062AC3	MOTOR_12A ABS 12A 144A	F	2	740,000.00	742,096.42	740,000.00	740,000	2,096.42	(32.69	)	—	—		1.286	1.288	MON	158.61	54,240	9/12/2012	2/25/2020
761713AV8	REYNOLDS AMERICAN INC SENIOR CORP BND			748,942.5	749,736.1	750,000.00	749,002.05	734.05	—		—	—		1.05	1.098	AO	1,334.38	28,251.88	10/24/2012	10/30/2015
BRSFMJM98	SERVICEMASTER CO SENIOR SECURED TERM			747,185.15	751,393.33	748,120.30	747,185.15	4,208.18	1,241.38		—	—		—	0.031	FMAN	—	3,768.66	11/20/2012	1/31/2017
89236PAD5	TAOT_12-A ABS 12-A		2	749,928.68	757,004.99	750,000	749,942.04	7,062.95	31.15		—	—		0.99	0.995	MON	330	8,264.67	4/11/2012	8/15/2017
31403H3P3	FNMA POOL # 749706		2	699,501.49	759,728.15	708,299.91	699,989.63	59,738.52	7.99		—	—		2.844	3.131	MON	1,678.67	374.3	5/15/2006	11/1/2033
BRSGEJ3J4	E_CARAT_12 ABS CARAT	D	2	758,716.4	767,236	472,000	758,716.4	8,519.6	—		—	4.25		1.3	1.303	MON	8,902.16	—	12/10/2012	6/18/2020
36225DJZ8	GNMA POOL # 081179		2	763,248.55	769,807.39	761,107.93	763,050.21	6,757.18	(42,365.81	)	—	—		1.625	1.572	MON	1,030.67	87,698.75	3/18/2009	12/20/2034
30250GAA6	SSGN_10-S1 CMO_10-S1-1A 144A		2	772,951.16	776,042.96	772,951.16	772,951.16	3,091.8	(68,596.74	)	—	—		0.76	0.761	MON	16.3	116,013.24	3/5/2010	00/00/0000
31407D5R2	FNMA POOL # 828056		2	750,331.94	789,404.23	737,760.96	749,623.68	39,780.55	(13,050.28	)	—	—		2.752	2.336	MON	1,691.94	82,657.65	2/20/2009	6/1/2035
78446XAA3	SLM STUDENT LOAN TRUST ABS 12-B 144A		2	783,855.58	789,859.91	783,855.58	783,855.58	6,004.33	—		—	—		1.309	1.313	MON	427.53	25,441	4/4/2012	1/18/2022
78442GJA5	SLM STUDENT LOAN TR 2003-10A 03-10A A1E		2	799,906.25	800,000	800,000	799,977.66	22.34	1,398.92		—	—		1.6	1.607	MON	533.33	29,772.08	11/7/2011	12/15/2016
36225DJA3	GNMA POOL # 081156		2	767,258.30	801,984.62	765,106.49	767,062.5	34,922.12	(322.55	)	—	—		1.625	1.57	MON	1,036.08	12,107.96	3/18/2009	11/20/2034
949746NY3	WELLS FARGO & COMPANY CORP BND			797,552	802,351.92	800,000	799,956.02	2,395.9	1,238.22		—	—		4.375	4.444	JJ	14,680.56	110,984.13	1/25/2008	1/31/2013
3620A5FJ3	GNMA POOL # 719369		2	798,369.86	804,400.65	747,996.94	795,508.06	8,892.59	(3,266.15	)	—	—		4.5	1.668	MON	2,804.99	19,977.45	8/31/2010	4/15/2025
G9141GAA6	TURBO FINANCE PLC TURBF_12-2 ABS 12-2	D	2	775,531.28	805,228.05	491,567.59	774,565.72	30,662.33	(617.62	)	—	(0.17	)	1.894	1.269	MON	29,375.88	43,481.19	8/15/2012	2/20/2019
36202FFH4	GNMA POOL # 004668		2	798,381.89	807,258.77	750,425.03	794,555.66	12,703.11	(12,215.25	)	—	—		4.5	2.624	MON	2,814.09	28,005.54	10/7/2010	4/20/2025
BRSGFBZT3	ALLIANCE LAUNDRY SYST LLC SENIOR SECURED		1	796,000	808,000	800,000.00	796,034.65	11,965.35	—		—	—		—	0.082	MJSD	—	—	12/7/2012	12/10/2018
02005MAE2	ALLYA _10-3 ABS _10-3 A4		2	799,714.32	808,487.98	800,000.00	799,913.66	8,574.32	(3,326.71	)	—	—		1.55	1.566	MON	551.11	6,167.31	8/12/2010	8/17/2015
BRSG13DW3	TRIMAS CO LLC SENIOR SECURED TERM LOAN			805,955.06	809,994.94	807,975	806,011.36	3,983.58	286.81		—	—		—	0.035	JAJO	—	1,856.25	10/10/2012	10/10/2019



80705WAA7	SCHOL_12-B ABS 12-B 144A		2	811,658.91	811,695.54	813,988.55	811,725.66	(30.12	)	(129.07	)	—	—	0.61	0.673	MON	55.15	5,940.46		9/19/2012	10/28/2025
36296URS1	GNMA POOL # 701697		2	795,421.55	811,898.88	752,394.02	792,162.37	19,736.51		(71,005.41	)	—	—	5	2.617	MON	3,134.98	290,988.21		9/29/2009	2/15/2024
3620A6AC1	GNMA POOL # 720103		2	732,785.09	812,342.43	720,181.89	732,191.82	80,150.61		(6,232.9	)	—	—	4.5	4.209	MON	2,700.68	27,329.08		6/18/2009	6/15/2039
BRSE9BMN2	FIFTH THIRD PROCESSING SOLUTIO SENIOR			807,664.59	813,245.2	811,723.22	808,096.88	5,148.32		4,173.55		—	—	—	0.071	MJSD	—	36,766.68		3/7/2012	3/27/2019
BRSFTR0V8	INFOR US INC SENIOR SECURED TERM NOTES		2	799,251.63	815,548.18	806,690.72	799,604.32	15,943.86		2,968.22		—	—	—	0.166	JAJO	—	109,375.01		9/27/2012	4/5/2018
31349SJK0	FHLMC POOL # 781166		2	755,904.84	818,079.86	768,421.71	756,586.31	61,493.55		(14,857.77	)	—	—	2.355	2.703	MON	1,508.03	126,897.82		1/9/2006	1/1/2034
BRSC106K2	DELPHI CORP LN1 TERM LOAN		2	811,650	819,530.53	813,684.21	812,208.26	7,322.27		1,127.43		—	—	—	0.042	MJSD	—	10,374.46		5/13/2011	3/31/2017
709599AG9	PENSKE TRUCK LEASING CO SENIOR CORP BND			824,678.25	833,827.5	825,000	824,751.72	9,075.78		(30,572.8	)	—	—	2.5	2.52	JJ	9,625	103,369.79		7/10/2012	7/11/2014
31396L5J5	FNMA CMO_06-129 FA		2	838,260.43	834,547.39	838,784.68	838,428.43	(3,881.04	)	(358,578.61	)	—	—	0.41	0.441	MON	57.28	212,588.02		3/23/2011	1/25/2037
36297GCD0	GNMA POOL # 711168		2	827,976.96	836,681.06	778,013.88	824,835.45	11,845.61		(1,441.93	)	—	—	4.5	2.013	MON	2,917.55	2,662.56		10/7/2010	2/15/2025
G0R53VAJ0	BAA FUNDING LTD SECURED CORP BND EMTN	D		781,905.31	839,551.49	500,000	782,281.6	57,269.89		(9,524.11	)	—	23.2	3	3.093	JD	30,320.48	(5,552.31	)	5/29/2012	6/8/2015
78447CAA8	SLM_12-D ABS 12-D 144A		2	833,622.51	839,874.68	833,622.51	833,622.51	6,252.17		474.65		—	—	1.259	1.26	MON	437.3	9,213.27		7/23/2012	6/15/2023
62951MAY6	NOMURA ASSET ACCEPTANCE CORPOR WHOLE CMO		2	820,994.52	843,498.63	812,614.41	820,067.98	23,430.65		180.39		—	—	6.5	6.288	MON	4,401.66	270.17		10/3/2007	2/25/2035
71645WAT8	PETROBRAS INTERNATIONAL FINANC CORP BND	F		797,304	844,632.26	800,000	798,282.65	46,349.61		(43,602.83	)	—	—	3.875	3.95	JJ	13,261.11	164,000		1/20/2011	1/27/2016
3620A9ZN4	GNMA POOL # 723549		2	841,640.34	850,488.08	790,852.77	838,111.22	12,376.86		(6,718.89	)	—	—	4.5	2.255	MON	2,965.7	16,781.37		10/7/2010	1/15/2025
BRSEF3569	ALERE INC SENIOR SEC TERM NOTES			840,101.62	853,585.68	848,587.50	841,253.38	12,332.3		2,926.14		—	—	—	0.19	MJSD	—	43,580.02		3/27/2012	6/30/2017
277432AM2	EASTMAN CHEMICAL COMPANY SENIOR CORP BND			822,228	854,584.87	825,000.00	822,529.00	32,055.87		(61,696.4	)	—	—	2.4	2.472	JD	1,650	206,523.89		5/29/2012	6/1/2017
G92435JR1	UNITED KINGDOM GILT GOVT BND	D		875,090.93	858,670.38	500,000	814,013.9	44,656.48		(1,135.11	)	—	67.36	8	0.321	MS	61,739.66	4,450		12/14/2011	9/27/2013
31412SRH0	FNMA POOL # 933488		2	838,607.75	865,221.72	798,911.83	834,552.33	30,669.39		(11,324.45	)	—	—	5	2.945	MON	3,328.8	282,724.23		9/29/2009	3/1/2023
61746REV9	MSAC ABS 04-H1		2	941,018.19	893,917.14	939,550.15	940,489.06	(46,571.92	)	1,250.58		—	—	0.95	0.937	MON	148.72	6,531.27		3/23/2006	1/25/2034
31410GDZ3	FNMA POOL # 888520		2	840,501.69	898,851	845,858.79	840,745.79	58,105.21		217.14		—	—	2.608	2.736	MON	1,838.33	1,766.84		6/18/2007	7/1/2033
38374H7F1	GNMA AGENCY CMO 04-69-FG		2	904,596.66	904,020.52	903,749.40	903,936.07	84.45		15.96		—	—	0.511	0.427	MON	141.03	32.56		5/21/2010	10/20/2032
742651DE9	PRIVATE EXPORT FUNDING CORP AGENCY BND			915,990.00	905,400.01	750,000.00	906,203.04	(803.03	)	—		—	—	5.45	0.914	MS	12,035.42	21,498.75		9/13/2012	9/15/2017
BRSGF9UP1	SUNGARD DATA SYSTEMS INC. SENIOR SECURED		2	920,000	929,200	920,000.00	920,000	9,200		26.39		—	—	—	—	MJSD	—	—		12/14/2012	1/31/2020
U75000AU0	ROCHE HOLDINGS INC SENIOR CORP BND	O		742,348.77	932,809.72	525,000.00	745,431.03	187,378.69		(4,261.3	)	—	956.42	5.5	5.634	MAR	144,653.36	27,931		2/25/2009	3/4/2015
G8162ZAD4	SILVERSTONE MASTER ISSUER PLC ABS_09-1	D	1	833,161.5	933,448.19	510,000.00	833,161.5	100,286.69		—		—	118.5	5.063	5.059	AO	4,145.76	94,308.64		10/27/2009	1/21/2055
525ESC133	LEHMAN BROS HOLDINGS INC SENIOR CORP BND			402,094.52	935,000	4,000,000.00	402,094.52	532,905.48		2,169.85		—	—	—	—	JD	—	75,598.62		4/9/2012	12/31/2049
17308BAN8	COMNI_09-A13 ABS_09-A17 A17 144A		2	950,033.2	938,521.19	870,000	935,595.68	2,925.51		—		—	—	4.9	0.832	MN	5,447.17	3,615.48		7/26/2012	11/15/2018
76111XYJ6	RES FUND MTG SEC I CMO_05-SA4 2A2		2	1,020,191.74	948,509.79	1,057,193.51	1,024,609.4	(76,099.61	)	255.29		—	—	3.232	4.029	MON	2,847.09	5,550.93		8/16/2007	9/25/2035
BRS4BYYF5	MILLENNIUM INORGANIC CHEMICALS TERM LOAN			950,321.38	954,789.55	952,703.13	951,668.93	3,120.62		1,661.39		—	—	—	0.078	FMAN	—	267.4		3/8/2011	5/15/2014
3137ACKA6	FHLMC_3876 AGENCY CMO 3876		2	967,259.38	961,309.24	928,801.20	964,496.21	(3,186.97	)	(482.8	)	—	—	2.75	0.663	MON	2,128.5	1,638.72		10/1/2012	6/15/2026
BRSFUUMM5	SBA SENIOR FINANCE II LLC SENIOR SECURED			967,575.00	975,960.65	970,000.00	967,653.35	8,307.3		1,018.44		—	—	—	0.036	MJSD	—	6,141.55		9/21/2012	9/20/2019
BRSFD9W24	LEVEL 3 COMMUNICATIONS INC. SENIOR SEC		1	960,300.00	981,518.75	970,000.00	960,845.81	20,672.94		1,987.34		—	—	—	0.142	MJSD	—	26,394.34		8/2/2012	8/1/2019
BRSB5UM91	TW TELECOM INC TERM LOAN			976,623.4	983,742.98	976,623.4	976,623.4	7,119.58		150.09		—	—	—	—	MJSD	—	20,999.89		1/18/2011	00/00/0000



BRSCJU296	NUANCE COMMUNICATIONS INC TERM LOAN			968,499.99	984,054.88	977,457.04	970,864.61	13,190.27		—		—	—	—	0.206	MJSD	—		47,960.46		11/1/2011	3/31/2016
U89233TU1	TOYOTA MOTOR CREDIT CORP CORP BOND	O		890,072.82	986,241.63	550,000	890,302.03	95,939.6		(1,530.87	)	—	35.33	4	3.99	DEC	5,003.53		(24,884.37	)	12/4/2011	12/7/2017
BRSABN7U2	DEAN FOODS COMPANY SENIOR SECURED TERM			992,455.25	997,756.65	997,442.46	992,622.43	5,134.22		2,584.47		—	—	—	0.112	MJSD	—		—		11/1/2012	4/2/2017
BRSDPAC33	ALERE INC SENIOR SEC TERM NOTES			981,315.79	998,326.9	992,481.19	982,408.34	15,918.56		12,927.72		—	—	—	0.224	MJSD	—		56,399.75		6/26/2012	6/30/2017
31331KHV5	FEDERAL FARM CREDIT BANK AGENCY BND			998,457.5	998,670.48	1,000,000.00	998,921.25	(250.77	)	322.32		—	—	0.281	0.289	MON	93.57		1,934.67		7/28/2011	4/20/2016
78442GHY5	SLMA ABS 03-10A-A1C			999,944.44	1,000,000	1,000,000.00	999,967.44	32.56		168.77		—	—	1.703	1.705	****	566.34		14,856.15		11/7/2011	12/15/2016
G29330DW7	EDF ENRGYNET LPN LOCAL BND	D		911,019.43	1,000,138.53	550,000.00	912,016.27	88,122.26		(1,998.83	)	—	142.71	5.375	5.107	NOV	(12,724.12	)	14,538.55		11/6/2009	11/11/2016
882117V27	TEXAS A & M UNIV MUNITAX BND REV			1,000,000.00	1,000,310.00	1,000,000.00	1,000,000	310		—		—	—	1.239	1.239	JJ	5,609.92		—		6/26/2012	7/1/2016
2515A0T45	DEUTSCHE BK LDN CORP BND	F		999,020.00	1,000,400.1	1,000,000.00	999,990.86	409.24		820.7		—	—	2.375	2.409	JJ	11,215.28		15,750.00		1/5/2010	1/11/2013
565849AJ5	MARATHON OIL CORP SENIOR CORP BND			999,880.00	1,000,764.48	1,000,000.00	999,886.82	877.66		(26,163.19	)	—	—	0.9	0.904	MN	1,550		97,799.4		10/24/2012	11/1/2015
BRSF6FJZ0	CERIDIAN CORP SENIOR SECURED TERM NOTES		1	997,500.00	1,001,250.00	1,000,000.00	997,529.50	3,720.50		3,082.4		—	—	—	0.056	MJSD	—		74,753.97		11/19/2012	5/9/2017
914713G63	UNIVERSITY N C CHAPEL HILL MUNITAX BND			1,000,000	1,004,650	1,000,000	1,000,000	4,650		—		—	—	1.225	1.225	JD	1,020.83		—		6/28/2012	12/1/2016
BRSDP3SG3	AZ CHEM US TERM LOAN			962,066.24	1,006,281.61	991,820.86	966,858.58	39,423.03		—		—	—	—	0.506	MJSD	—		19,393.81		12/19/2011	12/22/2017
BRSG13FY7	PRO MACH INC TL B SENIOR SECURED TERM			993,050.24	1,009,685.33	1,000,927.22	993,401.76	16,283.57		931.11		—	—	—	0.224	MJSD	—		10,697.93		10/12/2012	7/6/2017
BRSF33TK2	US RENAL CARE INC SENIOR SECURED TERM		2	980,075.00	1,009,925.00	995,000.00	981,076.20	28,848.80		1,921.84		—	—	—	0.214	FMAN	—		35,263.41		7/2/2012	7/3/2019
BRSBH14P6	HOUGHTON INTERNATIONAL INC LN1 TERM LOAN			990,000	1,010,315.00	1,000,000.00	990,000	20,315		(8,790.74	)	—	—	—	0.331	JAJO	—		128,141.34		12/13/2012	1/29/2016
055451AA6	BHP BILLITON FINANCE (USA) LTD CORP BND	F		1,040,771.32	1,012,260.00	1,000,000.00	1,004,947.07	7,312.93		3,042.76		—	—	4.8	3.042	AO	10,133.33		131,250		11/12/2010	4/15/2013
BRSFV16D6	ADVANCE PIERRE FOODS SENIOR SECURED TERM		2	992,500.00	1,012,500	1,000,000	992,808.12	19,691.88		78.35		—	—	—	0.157	JAJO	—		8,184.38		10/2/2012	7/10/2017
07384M3D2	BSARM CMO 04-9 22A1		2	991,977.6	1,015,335.08	1,011,190.21	993,335.75	21,999.33		1,845.88		—	—	3.472	3.86	MON	2,925.88		39,908.57		8/13/2007	11/25/2034
3138EJPG7	FNMA POOL # AL2222		2	1,019,993.92	1,017,033.70	962,542.18	1,018,802.87	(1,769.17	)	(6,831.73	)	—	—	3	1.198	MON	2,406.36		31,246.08		8/7/2012	8/1/2027
912828KJ8	UNITED STATES TREASURY GOVT BND			1,021,350.61	1,019,060	1,000,000	1,018,567.72	492.28		(1,693.4	)	—	—	1.75	0.255	MS	4,471.16		(3,637.84	)	10/23/2012	3/31/2014
31410GDC4	FNMA POOL # 888499		2	956,344.06	1,020,859.08	961,717.31	956,580.6	64,278.48		12,056.39		—	—	2.347	2.46	MON	1,880.96		8,308.64		2/22/2012	8/1/2033
191216AP5	COCA-COLA COMPANY THE CORP BND			997,700	1,024,649.66	1,000,000	998,658.26	25,991.40		214.97		—	—	1.5	1.548	MN	1,916.67		13,845.49		11/4/2010	11/15/2015
31411DA33	FNMA POOL # 904626		2	996,494.27	1,025,190.45	991,767.87	996,144.15	29,046.3		(10,051.93	)	—	—	2.73	2.59	MON	2,256.27		86,238.92		12/13/2006	12/1/2036
35177PAU1	FRANCE TELECOM CORP BND	F		996,600.00	1,027,201.39	1,000,000.00	998,115.40	29,085.99		(376.8	)	—	—	2.125	2.197	MS	6,197.92		60,000		9/7/2010	9/16/2015
796269UF3	SAN ANTONIO TEX INDPT SCH DIST MUNI BND			1,000,000	1,029,230	1,000,000	1,000,000	29,230.00		—		—	—	2.235	2.235	FA	8,443.33		—		12/15/2010	8/15/2014
3136A4ZN2	FNMA_12-M2 AGENCY CMO 12-25		2	1,048,398.77	1,030,154.31	1,016,013.34	1,027,277.41	2,876.9		(59,782.12	)	—	—	6.5	1.573	MON	5,503.41		82,431.18		2/16/2012	6/25/2030
594918AG9	MICROSOFT CORPORATION CORP BND			995,610.00	1,030,430.3	1,000,000.00	997,554.89	32,875.41		(35,696.52	)	—	—	1.625	1.717	MS	4,333.33		134,961.8		9/22/2010	9/25/2015
438516AY2	HONEYWELL INTERNATIONAL INC CORP BND			1,061,080.00	1,036,539.76	1,000,000.00	1,024,724.32	11,815.44		(6,616.25	)	—	—	3.875	1.64	FA	14,638.88		33,172.32		10/20/2011	2/15/2014
3128JRKQ8	FHLMC POOL # 847503		2	945,639.6	1,037,821.96	968,257.5	946,699.98	91,121.98		238.82		—	—	2.785	3.301	MON	2,247.16		5,224.39		5/31/2006	12/1/2035
31416BLV8	FNMA POOL # 995040		2	1,012,453.48	1,043,031.99	963,094.87	1,008,146.68	34,885.31		(297.77	)	—	—	5	2.785	MON	4,012.9		(8,636.52	)	10/21/2009	6/1/2023
91159HGX2	US BANCORP CORP BND			999,020.00	1,044,464.8	1,000,000.00	999,481.21	44,983.59		(18,851.58	)	—	—	2.45	2.471	JJ	10,480.56		107,684.59		7/22/2010	7/27/2015
931142CR2	WAL-MART STORES INC CORP BND			993,090	1,051,855.77	1,000,000	996,767.00	55,088.77		(30,208.58	)	—	—	2.875	3.025	AO	7,187.5		130,484.13		3/24/2010	4/1/2015
36295QJE1	GNMA POOL # 677161		2	1,037,050.54	1,065,560.89	988,181.86	1,032,739.2	32,821.69		(25,176.57	)	—	—	5	2.903	MON	4,117.42		107,291.04		4/27/2009	8/15/2023



78446XAB1	SLM STUDENT LOAN TRUST ABS_12-B A2 144A		2	999,897.3	1,066,880	1,000,000.00	999,905.83	66,974.17		—		—	—	3.48	3.507		MON	1,546.67	63,602.54	4/4/2012	10/15/2030
69373UAA5	PACCAR INC CORP BND			1,117,070.86	1,068,278.05	1,000,000.00	1,034,659.3	33,618.75		—		—	—	6.875	3.692		FA	25,972.22	5,181.90	2/19/2010	2/15/2014
78387GAP8	AT&T INC CORP BND			1,061,005.47	1,076,189.73	1,000,000.00	1,028,001.82	48,187.91		901.8		—	—	5.1	3.392		MS	15,016.67	65,625	11/12/2010	9/15/2014
BRSGGZLV9	MGM RESORTS INTERNATIONAL SENIOR SECURED		1	1,059,675	1,077,380.63	1,065,000	1,059,675	17,705.63		34.65		—	—	—	0.072		MJSD	—	—	12/13/2012	12/20/2019
38374GRG9	GNMA CMO_04-38 VA		2	1,126,472.93	1,083,212.67	1,058,031.52	1,072,840.97	10,371.70		(25,137.1	)	—	—	5	(1.692	)	MON	4,408.46	29,658.19	1/7/2011	5/20/2015
07387AAW5	BSARM CMO_05-3 2A1		2	1,202,794.89	1,085,748.88	1,225,387.97	1,204,397.18	(118,648.3	)	597.08		—	—	2.987	3.292		MON	3,050.32	3,988.55	8/10/2007	6/25/2035
BRS9WB7G9	ARKEL_10-1 ABS_10-1 5A	D	1	918,390	1,088,356.78	600,000	918,390	169,966.78		(36.46	)	—	604.87	4.681	4.677		FA	73,906.11	1,618.07	4/30/2010	5/17/2060
31409UBQ7	FNMA POOL # 878547		2	1,012,211.78	1,093,801.4	1,020,382.82	1,012,594.84	81,206.56		2,245.09		—	—	2.862	3.018		MON	2,433.61	34,993.14	5/4/2006	3/1/2036
50048MAT7	KOMMUNALBANKEN AS SENIOR GOVT BND	F		1,096,205	1,100,351.98	1,100,000	1,096,403.52	3,948.46		293		—	—	1	1.071		MS	2,902.78	10,695.83	9/19/2012	9/26/2017
65475HAB7	NALT_11-A ABS_11-A A2A		2	1,110,570.87	1,110,902.49	1,110,583.75	1,110,583.29	319.2		62.57		—	—	0.7	0.701		MON	345.51	17,542.35	7/14/2011	1/15/2014
69362BAS1	PSE&G POWER LLC CORP BND			1,099,885.31	1,115,452.42	1,000,000	1,064,015.99	51,436.43		277.41		—	—	5.32	3.462		MS	15,664.44	114,950.69	9/15/2010	9/15/2016
BRSFKYGX1	WARNER CHILCOTT CO LLC SENIOR SECURED		2	1,085,460.17	1,117,120.87	1,105,485.63	1,086,758.04	30,362.83		1,908.54		—	—	—	0.324		FMAN	—	14,761.5	8/20/2012	3/15/2018
BRSDALFV0	ENTERCOM RADIO LLC TERM LOAN			1,085,219.34	1,118,268.69	1,107,366.67	1,088,644.83	29,623.86		1,684.11		—	—	—	0.286		FMAN	—	56,419.64	11/17/2011	11/17/2018
BRSFWQSC8	TRANSTAR HOLDING COMPANY SENIOR SECURED		1	1,096,152.75	1,118,297.25	1,107,225	1,096,507.04	21,790.21		378.5		—	—	—	0.166		MJSD	—	2,668.85	10/2/2012	10/9/2018
3128MBBR7	FHLMC GOLD POOL # G12548		2	1,051,165.12	1,135,152.17	1,048,870.72	1,050,424.34	84,727.83		(55,102.76	)	—	—	5.5	5.383		MON	4,807.32	587,780.08	3/30/2007	1/1/2022
G1279MKC9	BP CAPITAL MARKET PLC CORP BND MTN	D		1,051,672.84	1,136,981.38	625,000.00	1,050,714.91	86,266.47		(1,457.6	)	—	29.41	4.325	3.526		DEC	7,610.35	47,749.26	10/30/2012	12/10/2018
369550AQ1	GENERAL DYNAMICS CORPORATION CORP BND			1,149,579.4	1,142,441.95	1,090,000	1,146,590.29	(4,148.34	)	(50,010.65	)	—	—	2.25	0.76		JJ	11,308.75	89,578.13	10/18/2012	7/15/2016
31401MKS9	FNMA POOL # 712305		2	1,135,372.81	1,143,060.29	1,066,077.75	1,134,196.34	8,863.95		(3,386.78	)	—	—	2.925	1.178		MON	2,598.56	18,126.73	2/23/2012	5/1/2033
BRSBAXKS9	REMY INTERNATIONAL INC TERM LOAN			1,104,567.75	1,143,784.15	1,133,396.57	1,111,589.32	32,194.83		13,789.35		—	—	—	0.484		MJSD	—	85,445.24	9/29/2011	12/16/2016
02587UAB6	AMXCA_12-5 ABS 12-5		2	1,149,890.64	1,150,310.5	1,150,000	1,149,894.82	415.68		23.85		—	—	0.59	0.594		MON	301.56	7,833.31	11/1/2012	5/15/2018
383742TU7	GNMA CMO 08-17 EH		2	1,178,374.08	1,151,935.59	1,121,760.24	1,139,947.82	11,987.77		(1,801.67	)	—	—	5.25	(0.097	)	MON	4,907.7	22,041.54	3/15/2011	1/16/2032
06415CAA7	BANK OF NOVA SCOTIA CORP BND 144A	A		1,140,524.00	1,155,109.95	1,100,000.00	1,134,973.07	20,136.88		568.75		—	—	2.15	1.242		FA	9,722.78	32,955	5/24/2012	8/3/2016
BRSG12QG6	WARNER MUSIC GROUP CORP SECURED TERM		1	1,133,550	1,161,104.43	1,145,000	1,133,836.81	27,267.62		259.73		—	—	—	0.166		FMAN	—	6,299.02	10/25/2012	11/1/2018
BRS9GBGH5	BORDENINC. TERM LOAN			1,160,079.13	1,167,332.4	1,162,241.78	1,161,014.44	6,317.96		1,842.85		—	—	—	0.045		FMAN	—	156,702.36	5/13/2011	00/00/0000
61205PAJ8	MHESA_12-1 ABS 12-1		2	1,168,670.16	1,170,540.04	1,168,670.16	1,168,670.16	1,869.88		(24,873.97	)	—	—	0.811	0.812		MON	315.82	41,739.30	4/27/2012	9/20/2022
3128MJQ37	FHLMC GOLD POOL # G08473		2	1,144,002.29	1,176,167.5	1,105,483.11	1,142,954.8	33,212.7		(158,210.28	)	—	—	3.5	2.1		MON	3,224.32	254,809.6	2/3/2012	1/1/2042
900212AG6	TURLOCK CORPORATION SENIOR CORP BND 144A			1,173,719.25	1,176,826.71	1,175,000.00	1,173,747.54	3,079.17		(18,685.26	)	—	—	1.5	1.523		MN	2,007.30	94,798.27	11/14/2012	11/2/2017
459200GN5	IBM CORP CORP BND			1,250,026.5	1,177,965	1,125,000.00	1,148,819.15	29,145.85		(45,894.48	)	—	—	6.5	3.737		AO	15,437.5	133,898.40	6/11/2009	10/15/2013
31396UWM8	FHLMC AGENCY CMO 3184 FA		2	1,184,637.59	1,185,567.06	1,185,934.7	1,185,280.88	286.18		(35,609.25	)	—	—	0.359	0.423		MON	189.22	37,531.2	4/23/2010	2/15/2033
31415MFS9	FNMA POOL # 984077		2	1,152,026.17	1,188,586.74	1,097,494.42	1,146,527.73	42,059.01		60,556.43		—	—	5	3.002		MON	4,572.89	192,850.47	9/29/2009	6/1/2023
62888VAA6	NCUA GUARANTEED NOTES NGN_10-R CMO_10-R1		2	1,185,160.13	1,191,832.58	1,185,160.13	1,185,160.13	6,672.45		2,269.18		—	—	0.663	0.664		MON	589.19	19,011.84	6/10/2011	10/7/2020
41283NAC5	HARLEY DAVIDSON MOTORCYCLE TRU ABS_11-1		2	1,191,786.68	1,191,909.43	1,191,786.68	1,191,786.68	122.75		75.08		—	—	0.409	0.409		MON	203.1	10,569.90	8/4/2011	10/15/2014
31407GC22	FNMA POOL # 829989		2	1,130,676.20	1,192,698.18	1,141,421.61	1,131,162.93	61,535.25		151.92		—	—	2.839	3.056		MON	2,683.29	14,677.1	1/20/2006	4/1/2035
BRSGWZFG1	SAGE PRODUCTS INC SENIOR SECURED TERM			1,173,150.00	1,195,368.75	1,185,000.00	1,173,150.00	22,218.75		—		—	—	—	0.143		MJSD	—	—	12/13/2012	12/13/2019



BRSC4T6W0	BAKERCORP TERM LOAN		2	1,179,075	1,195,742.03	1,185,000	1,180,410.90	15,331.13		49.65		—	—	—	0.071	MJSD	—	7,558.56		5/19/2011	6/1/2018
31394FQ81	FNW_05-W3 AGENCY CMO 05-87		2	1,278,631.49	1,201,117.61	1,195,855.84	1,200,439.7	677.91		(20,247.56	)	—	—	5	0.11	MON	4,982.73	7,562.65		4/8/2011	7/25/2030
BRSFZGGS5	GARDA WORLD SEC SENIOR SECURED TERM LOAN	A	1	1,184,050	1,201,531.1	1,190,000	1,184,130.33	17,400.77		62.54		—	—	—	0.072	FMAN	—	—		10/24/2012	10/15/2019
36201YER3	GNMA POOL # 606844		2	1,144,924.08	1,202,932.79	1,092,639.57	1,143,486.91	59,445.88		(919.39	)	—	—	5	3.539	MON	4,552.66	1,829.57		4/23/2010	9/15/2033
31395CQZ7	FHLMC_2825 AGENCY CMO 2825		2	1,215,274.90	1,204,593.95	1,179,699.58	1,204,822.5	(228.55	)	(398.35	)	—	—	5.5	0.95	MON	5,406.96	1,852.59		6/25/2012	9/15/2032
71722TAG9	PHEAA_04-1 ABS_04-1-A3		2	1,177,098.00	1,206,452.00	1,300,000.00	1,200,850.28	5,601.72		4,994.84		—	—	1.619	2.496	MON	59.98	6,366.84		3/9/2010	4/25/2044
BRSGCCH31	NSG HOLDINGS SENIOR SECURED TERM LOAN		1	1,178,100	1,210,825	1,190,000	1,178,118.76	32,706.24		127.82		—	—	—	0.143	MJSD	—	—		12/7/2012	11/27/2019
3620AQ6A6	GNMA POOL # 737165		2	1,201,944.88	1,214,580.32	1,129,415.25	1,197,298.68	17,281.64		(4,524.43	)	—	—	4.5	2.133	MON	4,235.31	15,734.40		10/7/2010	4/15/2025
494550BG0	KINDER MORGAN ENERGY PARTNERS CORP BND			1,149,793	1,229,465.39	1,150,000.00	1,149,862.89	79,602.5		(12,717	)	—	—	3.5	3.504	MS	13,416.67	55,800		2/23/2011	3/1/2016
079860AG7	BELLSOUTH CORPORATION CORP BND			1,257,904.09	1,234,403.93	1,149,000	1,201,244.22	33,159.71		32.67		—	—	5.2	2.45	MS	17,592.47	15,555.56		7/6/2011	9/15/2014
38377MC61	GNMA CMO_10-147 MG		2	1,235,078.47	1,239,404.7	1,167,922.91	1,232,362.56	7,042.14		(12,300.83	)	—	—	2	0.005	MON	1,946.54	17,629.91		7/24/2012	11/16/2025
31403DCZ0	FNMA POOL # 745388		2	1,141,008.81	1,244,669.78	1,150,355.42	1,142,554.77	102,115.01		1,291.72		—	—	5	5.232	MON	4,793.14	23,719.19		12/14/2007	11/1/2018
G2551TAP3	COVENTRY BLDG SOC LOCAL BND EMTN	D		1,220,911.03	1,245,123.18	750,000.00	1,218,912.20	26,210.98		(1,028.45	)	—	84.57	2.124	2.333	FMAN	10,637.55	1,444.35		5/10/2012	2/10/2015
63968AQE8	NEBRASKA PUB PWR DIST MUNITAX BND REV			1,329,837.5	1,250,000	1,250,000	1,250,000.00	—		—		—	—	4.135	1.95	JJ	25,843.75	137,963.76		12/17/2009	1/1/2013
BRSEQ0HG8	ARCH COAL INC. SENIOR SECURED TERM		1	1,224,524.48	1,251,680.47	1,236,893.41	1,224,740.30	26,940.17		2,956.67		—	—	—	0.181	MJSD	—	33,850.89		11/16/2012	5/16/2018
BRSG8U0V2	WESCO DISTRIBUTION INC SENIOR SECURED		1	1,237,500	1,258,856.25	1,250,000.00	1,237,500	21,356.25		78.91		—	—	—	0.144	MJSD	—	—		12/4/2012	11/26/2019
29268BAD3	ENEL FINANCE INTERNATIONAL SA CORP BND	F		1,241,598.75	1,259,200.87	1,225,000.00	1,231,809.38	27,391.49		80.24		—	—	3.875	3.547	AO	11,076.04	2,884.38		3/30/2010	10/7/2014
46625HHN3	JPMORGAN CHASE & CO CORP BND			1,257,456.00	1,264,024.1	1,200,000.00	1,218,747.97	45,276.13		(1,318.51	)	—	—	4.65	3.508	JD	4,650	17,561.90		10/29/2009	6/1/2014
26884TAC6	ERAC USA FINANCE COMPANY CORP BND 144A			1,247,587.5	1,266,501.71	1,250,000	1,249,156.55	17,345.16		(28,161.67	)	—	—	2.25	2.317	JJ	13,359.38	84,000		1/4/2011	1/10/2014
36202FD78	GNMA POOL # 004626		2	1,262,787.84	1,276,828.27	1,186,935.25	1,256,395.42	20,432.85		(690	)	—	—	4.5	2.683	MON	4,451.01	1,395.19		10/7/2010	2/20/2025
075887BB4	BECTON DICKINSON AND COMPANY CORP BND			1,249,587.50	1,280,726.81	1,250,000.00	1,249,679.18	31,047.63		(22,502.77	)	—	—	1.75	1.757	MN	3,220.49	143,600		11/8/2012	11/8/2016
BRSGXX576	TRIBUNE COMPANY SENIOR SECURED TERM LOAN			1,287,000.00	1,287,000	1,300,000.00	1,287,000	—		—		—	—	—	0.154	MJSD	—	—		12/17/2012	7/30/2019
BRSDVRW37	GENESYS TELECOMMUNICATIONS LAB TERM LOAN			1,254,718.50	1,294,735.06	1,280,325.00	1,258,413.74	36,321.32		4,010.75		—	—	—	0.288	JAJO	—	65,436.9		1/25/2012	1/31/2019
115637AN0	BROWN-FORMAN CORPORATION SENIOR CORP BND			1,295,697	1,295,762.44	1,300,000.00	1,295,739.81	22.63		(1,051.91	)	—	—	1	1.067	JJ	686.11	16,103.65		12/10/2012	1/15/2018
G92087EB0	UNILEVER PLC LOCAL BND EMTN	D		1,267,394.98	1,297,924.33	700,000.00	1,238,253.61	59,670.72		(3,220.69	)	—	1,109.43	4.75	2.143	JUN	53,145.39	14,977.72		11/9/2011	6/16/2017
91412GFC4	UNIVERSITY CALIF REVS MUNI BND REV			1,300,000	1,302,717	1,300,000.00	1,300,000	2,717		—		—	—	0.887	0.887	JJ	5,893.62	30,947		7/20/2011	7/1/2013
BRSFMMQE6	MOTOR_12X ABS 12X	O	2	1,272,457.03	1,305,965.71	800,000	1,272,420.57	33,545.14		—		—	1.09	1.245	1.14	MON	33,060.97	8,089.57		11/16/2012	2/25/2020
3620A2KC9	GNMA POOL # 716791		2	1,280,121.87	1,306,639.85	1,210,874.94	1,274,890.2	31,749.65		(1,109.46	)	—	—	5	2.667	MON	5,045.31	9,413.72		9/29/2009	4/15/2024
31411WPJ0	FNMA POOL # 916725		2	1,300,395.17	1,308,264.2	1,228,961.76	1,299,262.58	9,001.62		359.95		—	—	2.431	1.25	MON	2,489.67	21,722.96		2/14/2012	10/1/2036
36241LN36	GNMA POOL # 783110		2	1,290,843.38	1,315,026.97	1,192,120.88	1,289,118.4	25,908.57		(18,635.82	)	—	—	5.5	3.033	MON	5,463.89	72,596.72		9/23/2010	4/15/2036
00206RAT9	AT&T INC CORP BND	O		1,230,939.99	1,320,419.3	700,000.00	1,200,083.09	120,336.21		(5,392.09	)	—	48.9	5.875	3.406	APR	92,226.22	56,110.61		11/9/2011	4/28/2017
31393RDQ0	FHLMC CMO_2613 BV		2	1,357,773.86	1,323,640.75	1,295,527.80	1,321,707.63	1,933.12		—		—	—	5	0.652	MON	5,398.03	8,951.97		2/24/2011	7/15/2032
G4122RAP3	BCARD_11-4X ABS 11-4X	D	2	1,309,457.09	1,327,892.48	1,000,000	1,309,038.37	18,854.11		(4,899.35	)	—	0.8	0.86	0.483	MON	18,387.91	(8,452.7	)	11/30/2012	9/15/2016
BRSBXUEK4	HUBBARD RADIO TERM LOAN		2	1,263,091.97	1,330,162.54	1,314,552.23	1,273,610.11	56,552.43		4,765.95		—	—	—	0.72	JAJO	—	112,929.58		9/30/2011	4/28/2017



767201AJ5	RIO TINTO FINANCE USA LIMITED CORP BND	F		1,298,947	1,332,733.48	1,300,000	1,299,391.07	33,342.41	615.32		—	—		1.875	1.892		MN	3,994.79	40,000	10/28/2010	11/2/2015
38374CQ53	GNMA CMO_03-86 VJ		2	1,394,415.71	1,335,789.87	1,325,647.74	1,331,765.99	4,023.88	(55,077.24	)	—	—		5.5	(0.143	)	MON	6,075.89	51,118.19	5/13/2011	6/20/2022
38376JSV7	GNMA AGENCY CMO 09-103		2	1,354,389.76	1,337,168.78	1,288,744.34	1,327,827.16	9,341.62	(150,657.78	)	—	—		4.5	(1.352	)	MON	4,832.79	175,907.84	2/6/2012	12/20/2032
806854AA3	SCHLUMBERGER INVESTMENT SA CORP BND 144A	F		1,297,725	1,337,751.79	1,300,000	1,298,295.8	39,455.99	876.41		—	—		1.95	1.987		MS	7,534.59	26,252.5	9/7/2011	9/14/2016
3128KW5Q2	FHLMC GOLD POOL # A66255		2	1,228,326.94	1,344,582.26	1,214,380.54	1,227,684.98	116,897.28	935.61		—	—		6	5.674		MON	6,071.9	23,972.99	11/2/2007	9/1/2037
BRSFZ6L02	REXNORD CORP SENIOR SECURED TERM NOTES		1	1,331,575.22	1,344,751.16	1,331,575.22	1,331,575.22	13,175.94	134.04		—	—		—	—		MJSD	—	6,810.54	10/17/2012	4/1/2018
3620A6DZ7	GNMA POOL # 720220		2	1,320,285.41	1,356,456.58	1,257,040.55	1,314,677.63	41,778.95	(985.99	)	—	—		5	3.204		MON	5,237.67	7,558.69	7/29/2009	7/15/2024
L28424AD8	ECAR_10-1 ABS 10-1	D	2	1,339,658.34	1,356,812.45	1,026,793.54	1,339,044.83	17,767.62	(1,212.63	)	—	(1.58	)	1.36	0.311		MON	19,042.12	2,889.08	11/30/2012	10/18/2018
03064RAB3	AMCAR_11-4 ABS_11-4 A2		2	1,365,676.18	1,367,426.01	1,365,759.76	1,365,734.21	1,691.8	(44,203.02	)	—	—		0.92	0.926		MON	802.76	61,010.29	9/8/2011	3/9/2015
BRS29NQV0	HELIX ENERGY SOLUTIONS TERM LOAN			1,367,726.3	1,372,218.23	1,370,505.10	1,369,957.94	2,260.29	26,810.69		—	—		—	0.079		JAJO	—	79,377.83	2/22/2011	7/1/2013
10620NAH1	BRHEA_05-3A ABS 05-3 A14		2	1,356,741.25	1,373,893.20	1,377,042.50	1,362,182.99	11,710.21	6,164.39		—	—		0.42	0.781		MJSD	96.39	12,535.63	5/26/2011	9/25/2023
BRSG6Z2D1	TURBF_12-3 SENIOR ABS 12-3	D	2	1,352,324.1	1,384,344.9	851,000	1,352,324.1	32,020.80	—		—	38.62		1.11	1.112		MON	32,701.17	245.02	11/13/2012	11/20/2019
BRSGBCQJ7	NEXSTAR BROADCASTING INC. SENIOR SECURED			1,363,718.57	1,387,703.57	1,370,571.43	1,363,718.57	23,985	—		—	—		—	0.072		FMAN	—	—	11/19/2012	12/3/2019
03064TAB9	AMCAR_11-5 ABS_11-5-A2		2	1,389,013.11	1,393,699.85	1,389,074.23	1,389,047.94	4,651.91	153.09		—	—		1.19	1.195		MON	1,056.08	24,693.59	10/26/2011	8/8/2015
31414ARA2	FNMA POOL # 960481		2	1,354,876.87	1,397,376.30	1,290,743.07	1,348,369.01	49,007.29	(70,987.32	)	—	—		5	2.842		MON	5,378.1	123,681.03	9/29/2009	12/1/2022
78442GHZ2	SLMA ABS 03-10A A1D 144A		2	1,396,718.75	1,400,000	1,400,000.00	1,399,261.35	738.65	—		—	—		1.708	1.773		MON	1,262.02	15,655.4	11/7/2011	12/15/2016
254683AQ8	DCENT ABS_11-2A A		2	1,400,000.00	1,400,938.02	1,400,000.00	1,400,000.00	938.02	4,047.59		—	—		0.419	0.419		MON	244.42	4,305.77	5/26/2011	11/16/2015
235851AJ1	DANAHER CORPORATION CORP BND			1,400,000.00	1,401,315.92	1,400,000.00	1,400,000.00	1,315.92	1,850.05		—	—		0.56	0.496		MJSD	239.56	41,800.00	6/20/2011	6/21/2013
46625HJA9	JPMORGAN CHASE & CO CORP BND			1,353,620	1,403,400.15	1,325,000	1,348,003.1	55,397.05	(42,407.3	)	—	—		3.15	2.629		JJ	20,405	225,937.5	1/31/2012	7/5/2016
3128M4HY2	FHLMC GOLD POOL # G02647		2	1,289,426.05	1,410,029.02	1,307,195.76	1,289,977.58	120,051.44	(5,740.47	)	—	—		5.5	6.082		MON	5,991.31	130,208.99	4/9/2007	2/1/2037
BRSEDF0S1	LPL HOLDINGS INC TL SENIOR SECURED TERM			1,392,427.87	1,415,168.53	1,399,425	1,393,179.47	21,989.06	6,750		—	—		—	0.071		MJSD	—	50,503.4	3/23/2012	3/22/2019
BRSDWEH16	TRANSDIGM INC. TERM LOAN		1	1,403,322.9	1,422,539.26	1,410,374.78	1,404,338.1	18,201.16	4,897.78		—	—		—	0.103		FMAN	—	63,366.01	10/12/2012	2/14/2017
BRSFHNFP7	CPM HOLDINGS INC TERM LOAN			1,397,347.87	1,423,812.8	1,411,462.50	1,398,200.02	25,612.78	—		—	—		—	0.201		FMAN	—	18,670.14	8/16/2012	8/16/2017
38141GGT5	GOLDMAN SACHS GROUP INC SENIOR CORP BND			1,374,023.75	1,431,574.82	1,375,000	1,374,231.55	57,343.27	(36,849.36	)	—	—		3.3	3.325		MN	7,310.42	201,085.07	4/30/2012	5/3/2015
00432CAY7	AGSL_03-1 ABS_03-1 A2		2	1,441,022.54	1,452,957.5	1,452,826.75	1,447,962.18	4,995.32	—		—	—		0.57	1.12		MJSD	138.02	1,615.23	3/31/2011	12/27/2016
36297JJ54	GNMA POOL # 713184		2	1,425,034.05	1,454,553.94	1,347,948.26	1,418,661.95	35,891.99	(12,657.13	)	—	—		5	2.832		MON	5,616.45	109,071.57	9/29/2009	4/15/2024
06741CAB0	BARCLAYS PLC SENIOR LOCAL BND 144A	F		1,393,294.00	1,456,363.9	1,400,000.00	1,394,114.70	62,249.2	(2,082.6	)	—	—		2.25	2.352		MN	4,462.5	103,541.67	5/2/2012	5/10/2017
BRSBK71J6	SEAWORLD PARKS & ENTERTAINMENT LN1 TERM		2	1,447,622.10	1,460,780.98	1,447,622.10	1,447,622.10	13,158.88	2,031.72		—	—		—	—		MJSD	—	18,241.34	8/15/2012	8/17/2017
BRSBRMD53	WARNER CHILCOTT CORP TERM LOAN	E	2	1,436,995.3	1,470,782.26	1,455,463.50	1,439,505.2	31,277.06	3,701.43		—	—		—	0.208		MJSD	—	57,306.78	8/15/2012	3/15/2018
G9853MHT3	YORKSHIRE BUILDING SOCIETY LOCAL BND	D		1,390,156.29	1,471,659.17	800,000.00	1,380,632.18	91,026.99	(30,938.4	)	—	256.99		4.75	3.298		APR	52,469.78	86,392.03	5/10/2012	4/12/2018
BRS1D0A10	SUNGARD DATA SYSTEMS INC. TERM LOAN		2	1,431,483.70	1,475,042.20	1,464,526.90	1,448,585.61	26,456.59	—		—	—		—	0.933		FMAN	—	21,062.08	9/30/2011	2/28/2014
BRSH02032	CONSOLIDATED PRECISION PRODUCT SENIOR			1,460,250	1,482,375	1,475,000	1,460,250	22,125	—		—	—		—	0.145		MJSD	—	—	12/21/2012	12/31/2019
31408C6D3	FNMA POOL # 847868		2	1,380,286.52	1,486,192.07	1,395,109.55	1,381,124.62	105,067.45	4,734.56		—	—		2.565	2.772		MON	2,980.88	11,699.36	5/12/2006	11/1/2035
BRS9U2FN7	CABLEVISION SYSTEMS CORPORATIO TERM LOAN		2	1,373,810.10	1,486,447.77	1,477,215.18	1,403,540.19	82,907.58	5,018.34		—	—		—	1.563		FMAN	—	21,925.24	8/11/2011	3/29/2016



05565QBS6	BP CAPITAL MARKETS PLC CORP BND	F		1,490,000.00	1,498,388.76	1,490,000.00	1,490,000.00	8,388.76	1.97		—	—	0.91	0.91	MJSD	790.51	7,815.26		3/8/2011	00/00/0000
637071AL5	NATIONAL OILWELL VARCO INC. SENIOR CORP			1,488,554.7	1,498,744.33	1,490,000	1,488,585.6	10,158.73	(7,342.11	)	—	—	1.35	1.37	JD	2,290.88	104,823.1		11/15/2012	12/1/2017
BRSCDQTK7	ASHLAND INC. TERM LOAN		2	1,480,014.82	1,500,108.94	1,481,867.16	1,480,153.64	19,955.30	1,018.23		—	—	—	0.02	MJSD	—	77,387.11		6/11/2012	8/23/2018
69371RK70	PACCAR FINANCIAL CORP UNSECURED CORP BND			1,500,000.00	1,503,195.00	1,500,000.00	1,500,000	3,195	223.96		—	—	0.561	0.718	MJSD	630.56	11,161.11		6/5/2012	6/5/2014
BRSGC5B08	NATIONAL CINEMEDIA LLC SENIOR SECURED			1,488,750	1,503,750	1,500,000.00	1,488,877.82	14,872.18	23.97		—	—	—	0.107	FMAN	—	4,036.67		11/20/2012	11/20/2019
784442AC9	SLMA ABS 08_2 A3		2	1,484,824.22	1,504,199.99	1,500,000.00	1,486,451.55	17,748.44	—		—	—	1.065	1.22	JAJO	3,018.21	2,621.72		3/27/2012	4/25/2023
26138EAM1	DR PEPPER SNAPPLE GROUP INC CORP BND			1,423,418.25	1,505,111.02	1,425,000.00	1,424,015.91	81,095.11	276.29		—	—	2.9	2.924	JJ	19,055.42	—		1/6/2011	1/15/2016
BRSGC58P7	UPC FINANCING PARTNERSHIP SENIOR SECURED			1,496,250.00	1,506,165.00	1,500,000.00	1,496,273.97	9,891.03	—		—	—	—	0.03	MJSD	—	—		11/20/2012	1/31/2021
76541VKB2	RICHMOND VA MUNITAX BND GO			1,500,000	1,508,160	1,500,000.00	1,500,000	8,160	(26,915.05	)	—	—	1.207	1.207	JJ	9,203.38	51,687.5		6/14/2012	7/15/2016
BRSFW2S64	CALPINE CORPORATION SENIOR SECURED TERM			1,488,768.75	1,512,222.47	1,496,250.00	1,488,991.35	23,231.12	308.12		—	—	—	0.071	MJSD	—	—		9/28/2012	10/9/2019
438670Q20	HONOLULU HAWAII CITY & CNTY MUNITAX BND			1,500,000	1,520,415	1,500,000	1,500,000	20,415	(3,927.7	)	—	—	1.259	1.259	MN	2,150.79	30,444.44		10/26/2012	11/1/2017
31414RB79	FNMA POOL # 973562		2	1,491,957.24	1,521,103.26	1,407,506.83	1,483,223.77	37,879.49	(1,386.25	)	—	—	5.5	3.08	MON	6,451.07	5,930.9		9/29/2009	3/1/2023
83714RAX1	SOUTH CAROLINA STUDENT LN MUNI BND REV		2	1,503,407.21	1,521,245.7	1,520,272.73	1,514,293.77	6,951.93	—		—	—	0.411	1.13	MJSD	502.72	11,324.66		3/30/2011	12/3/2018
17305EEH4	CCCIT ABS 08-A5 A5		2	1,608,339.84	1,521,284.99	1,500,000.00	1,520,004.04	1,280.95	5,446.53		—	—	4.85	0.513	AO	13,943.75	13,575.91		8/16/2011	4/22/2015
479403AB3	JOHNSTON RE LTD CORP BND 144A	E		1,500,000	1,523,775	1,500,000.00	1,500,000	23,775	140.07		—	—	6.5	6.551	MJSD	5,958.33	4,640.77		4/30/2010	00/00/0000
G4097MAG5	GFUND_11-1 ABS 11-1	D	2	1,519,474.64	1,538,178.72	1,163,780	1,518,519.33	19,659.39	(2,306.96	)	—	59.72	1.504	0.768	JAJO	25,205.4	(4,158.45	)	11/30/2012	4/24/2047
3133TJP56	FHLMC CMO AGENCY CMO_2130 QS		2	1,399,392.28	1,554,397.86	1,379,986.23	1,396,987.42	157,410.44	213.94		—	—	6	5.531	MON	6,899.93	5,869.94		2/6/2007	3/15/2029
BRSFZCHP9	GRAY TELEVISION INC. SENIOR SEC TERM		1	1,534,630.63	1,555,513.94	1,542,342.34	1,534,755.89	20,758.05	—		—	—	—	0.072	JAJO	—	5,172.79		10/11/2012	10/12/2019
BRSG12397	OSI RESTAURANT PARTNERS INC SENIOR		2	1,524,600.00	1,557,740.8	1,540,000.00	1,524,859.73	32,881.07	—		—	—	—	0.143	JAJO	—	40,811.71		10/23/2012	10/31/2019
05565QBL1	BP CAPITAL MARKETS PLC CORP BND	F		1,555,770	1,560,980.76	1,500,000.00	1,517,875.68	43,105.08	(53,696.55	)	—	—	3.625	2.72	MN	8,005.21	240,905.21		12/15/2009	5/8/2014
BRSESZBW0	VOLKSWAGEN FIN SERV N.V. CORP BND EMTN	D		1,535,202.78	1,568,526.32	950,000	1,534,898.7	33,627.62	467.68		—	95.91	2	1.767	AO	25,005.63	21,707.61		10/30/2012	10/23/2015
36297DFF9	GNMA POOL # 708566		2	1,537,404.13	1,569,251.79	1,454,239.79	1,530,684.95	38,566.84	(12,764.63	)	—	—	5	2.791	MON	6,059.33	33,975.49		9/29/2009	4/15/2024
36830HAC6	GE EQUIPMENT SMALL TICKET LLC ABS 11-1		2	1,563,175.65	1,570,866.95	1,563,409.53	1,563,327.22	7,539.73	102.22		—	—	1.45	1.46	MON	629.71	11,613.31		2/1/2011	1/21/2018
06406HCA5	BANK OF NEW YORK MELLON CORP BND MTN		1	1,497,285.00	1,571,469.05	1,500,000.00	1,497,822.09	73,646.96	(1,313.69	)	—	—	2.4	2.438	JJ	16,400	85,817.78		11/17/2011	1/17/2017
064159AM8	BANK OF NOVA SCOTIA CORP BND	A		1,497,000.00	1,575,413.01	1,500,000	1,497,553.71	77,859.3	(24,127.62	)	—	—	2.55	2.593	JJ	17,956.25	212,766.67		1/5/2012	1/12/2017
31397Y5H0	FHLMC CMO_3484 DA		2	1,595,160	1,578,888.87	1,533,346.93	1,559,579.93	19,308.94	(11,327.19	)	—	—	5	2.479	MON	6,388.94	126,164.5		6/1/2009	9/15/2022
31402HD32	FNMA POOL # 729222		2	1,468,380.49	1,583,035.99	1,484,612.59	1,469,304.61	113,731.38	(3,994	)	—	—	2.336	2.562	MON	2,890.05	84,314.18		9/17/2008	7/1/2035
BRSEJG0V6	AXCAN INTER HLDG SENIOR SEC TERM LOAN			1,556,240.00	1,598,591.96	1,588,000.00	1,560,564.53	38,027.43	89.93		—	—	—	0.418	MJSD	—	—		4/11/2012	2/10/2017
36962GK86	GENERAL ELECTRIC CAPITAL CORP CORP BND			1,589,400.00	1,601,408.27	1,500,000.00	1,536,810.35	64,597.92	99.96		—	—	4.75	3.255	MS	20,979.17	8,628.76		11/27/2012	9/15/2014
91913YAQ3	VALERO ENERGY CORPORATION CORP BND			1,531,485	1,604,662.64	1,500,000.00	1,514,762.75	89,899.89	—		—	—	4.5	4.003	FA	28,125	13,571.7		5/20/2010	2/1/2015
912828RL6	UNITED STATES TREASURY GOVT BND			1,601,755.36	1,607,199.82	1,600,000.00	1,601,053.51	6,146.31	(687.2	)	—	—	0.5	0.463	AO	1,714.29	29,579.23		10/20/2011	10/15/2014
43813EAD8	HONDA AUTO RECEIVABLES OWNER T ABS 12-2		2	1,599,694.08	1,615,344	1,600,000.00	1,599,761.58	15,582.42	79.44		—	—	0.91	0.918	MON	647.10	14,713.39		4/18/2012	5/15/2018
BRSGE3X31	DAIMLERCHRYSLER AG CORP BND	D		1,603,903.55	1,624,069.61	1,000,000.00	1,604,017.29	20,052.32	(760.59	)	—	13.14	1.375	1.492	DEC	17,141.70	6,733.42		12/3/2012	12/10/2015
10138MAD7	BOTTLING GROUP LLC CORP BND			1,530,340.01	1,626,585	1,500,000	1,514,751.75	111,833.25	(13,097.02	)	—	—	4.125	3.702	JD	2,750	43,958.77		2/19/2010	6/15/2015



3128JMXM4	FHLMC POOL # 1B2583		2	1,544,520.54	1,630,537.21	1,561,667.67	1,545,253.17	85,284.04		(42,644.29	)	—	—	2.955	3.156		MON	3,845.61	121,724.37	9/17/2008	10/1/2034
891145TN4	TORONTO-DOMINION BANK SECURED LOCAL BND	A		1,594,560.00	1,639,072.02	1,600,000.00	1,595,406.65	43,665.37		5,494.95		—	—	1.5	1.571		MS	7,200.00	58,906.25	3/5/2012	3/13/2017
26882PAS1	ERAC USA FINANCE COMPANY CORP BND 144A			1,640,475.00	1,653,125.04	1,500,000.00	1,569,500.91	83,624.13		38.46		—	—	5.6	3.512		MN	14,000	16,275.00	5/27/2010	5/1/2015
931142DC4	WAL-MART STORES INC CORP BND			1,664,281.5	1,655,819.97	1,550,000	1,657,942.85	(2,122.88	)	(15,649.9	)	—	—	2.8	0.654		AO	9,162.22	36,627.5	10/17/2012	4/15/2016
BRSG20AV3	PILOT TRAVEL CENTERS LLC SENIOR SECURED			1,573,821.58	1,656,001.47	1,643,502.63	1,576,849.12	79,152.35		386.95		—	—	—	(0.056	)	JAJO	—	10,469.26	10/4/2012	3/30/2018
771196AQ5	ROCHE HOLDINGS INC CORP BND 144A			1,714,530.4	1,656,436.46	1,576,000.00	1,616,087.65	40,348.81		(23,231.67	)	—	—	5	2.761		MS	26,266.66	107,359.97	12/21/2009	3/1/2014
80685PAC2	SCHLUMBERGER NORGE AS CORP BND 144A	F		1,622,156.25	1,672,189.74	1,625,000	1,622,869.74	49,320.00		871.74		—	—	1.95	1.987		MS	9,418.23	50,250	9/7/2011	9/14/2016
3128QJ3B0	FHLMC POOL # 1G1694		2	1,565,518.12	1,673,764.85	1,589,043.41	1,566,319.55	107,445.3		(28,791.28	)	—	—	2.771	3.066		MON	3,669.37	161,254.74	8/10/2007	4/1/2037
BRSGWY6Y5	CCC INFORMATION SERVICES GROUP SENIOR			1,656,675.00	1,676,097.23	1,665,000.00	1,656,675	19,422.23		—		—	—	5.25	5.367		MJSD	—	—	12/14/2012	12/14/2019
74977RCE2	RABOBANK NEDERLAND NV CORP BND 144A	F		1,598,896	1,677,893.78	1,600,000	1,599,494.79	78,398.99		1,122.58		—	—	3.2	3.215		MS	15,644.44	19,718.75	3/4/2010	3/11/2015
3128QJRN8	FHLMC POOL # 1G1393		2	1,677,471.87	1,679,180.93	1,610,107.32	1,675,824.45	3,356.48		(42,481.64	)	—	—	2.84	1.749		MON	3,810.58	202,823.29	3/9/2012	12/1/2036
064159AL0	BANK OF NOVA SCOTIA CORP BND	A		1,696,035.00	1,683,059.8	1,650,000.00	1,689,766.16	(6,706.36	)	—		—	—	1.85	0.653		JJ	14,329.79	36,450.00	8/30/2012	1/12/2015
060505DP6	BANK OF AMERICA SENIOR CORP BND			1,621,187	1,687,390.93	1,450,000	1,611,955.51	75,435.42		(6,751.77	)	—	—	5.75	3.271		JD	6,947.92	44,873.6	9/6/2012	12/1/2017
31397MTX5	FNMA CMO_08-81 KA		2	1,621,460.95	1,690,456.76	1,627,053.93	1,621,551.61	68,905.15		(14,783.44	)	—	—	5	5.058		MON	6,779.39	94,428.99	7/29/2008	10/25/2022
66989HAA6	NOVARTIS CAPITAL CORP CORP BND			1,623,326.25	1,690,895.49	1,625,000.00	1,624,598.99	66,296.5		(74,688.86	)	—	—	4.125	4.148		FA	26,253.91	204,231.7	2/4/2009	2/10/2014
742651DB5	PRIVATE EXPORT FUNDING CORP SECURED			1,646,955.00	1,690,950.04	1,500,000.00	1,576,893.79	114,056.25		2,580.51		—	—	4.95	3.07		MN	9,487.5	87,486.76	11/27/2012	11/15/2015
36962G5M2	GENERAL ELECTRIC CAPITAL CORP CORP BND			1,648,284	1,692,828.85	1,650,000.00	1,648,831.37	43,997.48		48,272.32		—	—	2.15	2.186		JJ	16,949.16	149,250.00	12/28/2012	1/9/2015
02005RAB7	ALLYA_10-5 ABS 10-5 A3		2	1,698,851.93	1,704,596.49	1,700,667.90	1,700,315.44	4,281.05		—		—	—	1.11	1.166		MON	839	1,501	12/6/2010	1/15/2015
3134G2WG3	FHLMC AGENCY BND			1,704,960.6	1,711,355.98	1,700,000.00	1,702,787.71	8,568.27		(17,718.38	)	—	—	0.75	0.654		MS	3,506.25	8,774.31	8/24/2011	9/22/2014
D4085DTN7	KREDITANSTALT FUER WIEDERAUFBA CORP BND	D		1,685,172.12	1,711,673.6	1,000,000	1,669,210.39	42,463.21		(21,783.66	)	—	179.86	2.75	1.108		SEP	40,427.86	150,931.12	10/30/2012	9/7/2015
3138EBG33	FNMA POOL#AK6517		2	1,683,285.96	1,712,782.83	1,610,318.41	1,681,290.58	31,492.25		(9,103.28	)	—	—	3	1.644		MON	4,025.8	49,309.6	4/24/2012	3/1/2027
931142CX9	WAL-MART STORES INC CORP BND			1,665,938.25	1,717,865.78	1,675,000	1,669,812.97	48,052.81		(89,630.8	)	—	—	1.5	1.613		AO	4,606.25	339,103.58	10/18/2010	10/25/2015
94981NAH8	WFMBS_05-AR4 CMO 05-AR4 2A2		2	1,655,210.87	1,720,624.63	1,703,042.42	1,661,352.24	59,272.39		932.97		—	—	2.698	3.355		MON	3,829.4	16,146.61	7/19/2006	4/25/2035
BRSFX7D35	DAVIDS BRIDAL INC SENIOR SECURED TERM		2	1,721,450.00	1,736,850.8	1,730,000.00	1,721,652.64	15,198.16		579.15		—	—	—	0.07		JAJO	—	8,987.92	11/13/2012	10/11/2019
780099CC9	ROYAL BANK OF SCOTLAND PLC THE SENIOR	F		1,699,031	1,738,028.61	1,700,000.00	1,699,121.72	38,906.89		415.21		—	—	2.55	2.57		MS	12,402.92	6,432.29	9/11/2012	9/18/2015
73328WAC5	PILOT_12-1 ABS 12-1 144A		2	1,749,708.45	1,750,577.45	1,750,000	1,749,741.65	835.8		42.98		—	—	0.54	0.55		MON	262.5	5,673.33	10/10/2012	12/21/2015
BRSAHW876	LAS VEGAS SANDS LLC TERM LOAN		2	1,718,381.91	1,755,789.31	1,749,717.79	1,726,816.18	28,973.13		10,724.61		—	—	—	0.334		FMAN	—	124,722.64	5/16/2011	11/23/2016
126650AV2	CVS CAREMARK CORP CORP BND			1,772,741.6	1,757,245.01	1,640,000	1,753,523.76	3,721.25		(123,396.99	)	—	—	4.875	0.772		MS	23,540.83	408,736.67	9/13/2012	9/15/2014
31411GUY6	FNMA POOL # 907899		2	1,697,033.02	1,763,063.02	1,683,094.89	1,696,171.02	66,892		(1,632.18	)	—	—	2.404	2.176		MON	3,371.8	31,204.21	12/14/2006	1/1/2037
36156HAV0	GCOE_06-1 ABS 06-1		2	1,649,426.47	1,766,564.23	1,837,801.08	1,689,369.17	77,195.06		(50,245.99	)	—	—	0.442	2.725		FMAN	811.39	87,037.71	2/22/2012	5/25/2025
BRSGVDRB9	METALDYNE LLC SENIOR SECURED TERM LOAN			1,741,250	1,767,500	1,750,000	1,741,250	26,250		9.3		—	—	—	0.086		MJSD	—	—	12/4/2012	11/9/2018
BRSE47ZL6	JARDEN CORP SENIOR SECUREDTERM LOAN			1,767,536.14	1,782,083.52	1,769,502.36	1,767,800.63	14,282.89		10,298.27		—	—	—	0.018		MJSD	—	45,074.16	3/30/2012	3/31/2018
3133XWKV0	FEDERAL HOME LOAN BANKS AGENCY BND			1,809,325.00	1,794,695.02	1,750,000.00	1,791,606.62	3,088.4		(17,573.38	)	—	—	2.375	0.385		MS	12,353.30	19,306.8	6/27/2012	3/14/2014
172967FM8	CITIGROUP INC CORP BND			1,800,000.00	1,800,180.04	1,800,000.00	1,800,000.00	180.04		(43,417.07	)	—	—	1.16	1.307		FMAN	2,726.00	113,284.89	1/5/2012	2/15/2013



31331K2T6	FEDERAL FARM CREDIT BANK AGENCY BND			1,800,000	1,803,679.67	1,800,000	1,800,000	3,679.67		1,963.28		—	—	0.43	0.35	MJSD	407	12,105.60	1/27/2012	6/13/2014
BRSE9C0N4	PROTECTION ONE INC. SENIOR SECURED TERM		1	1,763,678.51	1,813,193.81	1,787,498.52	1,766,201.82	46,991.99		3,273.88		—	—	—	0.19	MJSD	—	87,873.5	12/19/2012	3/21/2019
BRSG9SY49	ARDENT MEDICAL SENIOR SECURED TERM LOAN			1,791,900.00	1,831,493.75	1,810,000.00	1,791,900.00	39,593.75		16.34		—	—	—	0.171	FMAN	—	3,646.17	11/19/2012	11/21/2018
BRSFWC4C5	PEP BOYS - MANNY MOE & JACK TH SENIOR			1,806,350	1,834,796.6	1,820,000	1,806,728.5	28,068.1		—		—	—	—	0.126	MJSD	—	15,040.03	9/27/2012	9/28/2018
78447AAA2	SLMA_12-3 ABS_12-3 A		2	1,823,399.76	1,836,382.32	1,823,399.76	1,823,399.76	12,982.56		1,627.33		—	—	0.86	0.861	MON	261.26	95,615.49	4/24/2012	12/26/2025
44923YAC1	HART_10-B ABS 10-B A3		2	1,832,322.28	1,838,128.82	1,832,649.13	1,832,581.49	5,547.33		397.72		—	—	0.97	0.979	MON	790.08	53,332.25	8/19/2010	4/15/2015
71645WAV3	PETROBRAS INTERNATIONAL FINANC CORP BND	F		1,790,982	1,848,142.91	1,800,000	1,793,610.08	54,532.83		441.77		—	—	2.875	3.051	FA	20,843.75	38,777.78	2/1/2012	2/6/2015
78444YAB1	SLM STUDENT LOAN TRUST SLMA_08 ABS 08-5		2	1,870,819.08	1,852,321.16	1,842,244.14	1,850,276.01	2,045.15		7,841.05		—	—	1.415	0.433	JAJO	4,924.77	9,985.99	11/30/2012	10/25/2016
458140AH3	INTEL CORPORATION CORP BND			1,797,246	1,863,006.32	1,800,000	1,797,928.82	65,077.5		(73,674.19	)	—	—	1.95	1.982	AO	8,775	384,156.26	9/14/2011	10/1/2016
BRSE9A2P1	YANKEE CANDLE CO INC SECURED TERM LOAN		1	1,847,430.42	1,888,549.74	1,866,091.33	1,849,356.7	39,193.04		1,333.79		—	—	—	0.142	JAJO	—	102,301.29	3/14/2012	4/2/2019
BRSBW6C87	AMERISTAR CASINOS INC. TERM LOAN		2	1,837,020.15	1,901,312.5	1,885,483.86	1,846,609.43	54,703.07		280.42		—	—	—	0.387	JAJO	—	40,856.45	8/15/2011	4/16/2018
24422ERD3	JOHN DEERE CAPITAL CORPORATION CORP BND			1,900,780.90	1,902,241.92	1,900,000.00	1,900,208.19	2,033.73		47.98		—	—	0.49	0.328	JAJO	2,018.2	17,239.06	7/7/2011	7/15/2013
BRSD4PTL5	KINETIC CONCEPTS INC. TERM LOAN		1	1,815,165.00	1,905,095.61	1,881,000.00	1,826,689.1	78,406.51		502.75		—	—	—	0.542	FMAN	—	11,886.91	10/20/2011	5/4/2018
BRSBT2DD8	FIRST DATA CORPORATION TERM LOAN		2	1,635,000.00	1,906,710.00	2,000,000.00	1,699,107.04	207,602.96		32,271.83		—	—	—	3.089	MJSD	—	80,954.75	10/4/2011	3/23/2018
BRSG13FM3	FIRST AMERICAN PAYMENT SYSTEMS SENIOR			1,881,000	1,906,726	1,900,000	1,881,615.81	25,110.19		61.36		—	—	—	0.166	JAJO	—	11,845.55	10/11/2012	10/11/2018
BRSBNJXW3	UNIVR TERM LOAN		2	1,896,154.48	1,913,419.23	1,915,114.11	1,897,125.33	16,293.9		1,258.82		—	—	—	0.207	MJSD	—	15,200	9/28/2012	6/30/2017
3128KWNV1	FHLMC GOLD POOL # A65804		2	1,743,568.91	1,915,053.59	1,723,772.47	1,742,679.27	172,374.32		(9,004.81	)	—	—	6	5.657	MON	8,618.86	100,871.14	11/2/2007	9/1/2037
31414CRJ9	FNMA POOL # 962289		2	1,862,310.66	1,921,412.73	1,774,157.22	1,853,077.5	68,335.23		(2,302.05	)	—	—	5	2.996	MON	7,392.32	2,895.15	9/29/2009	3/1/2023
BRSCJS5P2	CAPSUGEL HEALTHCARE LTD TERM LOAN		2	1,899,428.58	1,923,769.76	1,899,428.58	1,899,428.58	24,341.18		325.65		—	—	—	—	FMAN	—	8,599.38	8/13/2012	8/1/2018
38375PXQ9	GNMA CMO 08-11 FB		2	1,981,231.62	1,932,533.12	1,974,037.26	1,981,215.3	(48,682.18	)	(47,836.93	)	—	—	0.811	0.659	MON	488.99	77,848.29	12/3/2012	2/20/2038
BRSG7WBK1	SMART & FINAL STORES LLC TERM LOAN			1,919,450.00	1,933,001.15	1,930,000.00	1,919,561.04	13,440.11		798.28		—	—	—	0.078	FMAN	—	58.32	11/29/2012	11/15/2019
742718DX4	PROCTER & GAMBLE COMPANY CORP BND			1,960,000	1,959,000.34	1,960,000	1,960,000	(999.66	)	379.96		—	—	0.233	0.451	FMAN	709.63	29,518.12	2/1/2012	2/6/2014
BRS9W7N54	MCC IOWA LLC TERM LOAN		2	1,940,225.54	1,965,883.47	1,954,887.23	1,944,206.64	21,676.83		23,025.77		—	—	—	0.112	MJSD	—	80,304.28	12/17/2010	10/23/2017
273323AB1	EAST LANE RE IV LTD CORP BND 144A	F		2,000,000	1,975,120.00	2,000,000	2,000,000	(24,880	)	—		—	—	6.65	6.704	MJSD	5,541.67	293,953.75	3/1/2011	00/00/0000
BRSBLZKK9	NBTY INC. TERM LOAN		2	1,897,464.06	1,976,964.4	1,954,371.86	1,909,927.74	67,036.66		(3,270	)	—	—	—	0.477	FMAN	—	116,167.06	8/17/2011	10/2/2017
BRSAG8QE5	VNU GROUP B.V. CORP BND		2	1,959,823.67	1,978,095.74	1,964,735.54	1,961,370.26	16,725.48		5,262.33		—	—	—	0.051	FMAN	—	34,063.81	6/9/2011	5/2/2016
78355HJR1	RYDER SYSTEM INC. CORP BND MTN			1,871,662.50	1,979,744.78	1,875,000	1,872,493.52	107,251.26		13.61		—	—	3.5	3.533	JD	5,468.75	13,650	5/17/2011	6/1/2017
BRSD7SFZ0	CB RICHARD ELLIS SERV INC. TERM NOTES			1,970,000.00	1,985,057.12	1,979,899.48	1,970,922.31	14,134.81		—		—	—	—	0.067	MJSD	—	22,382.32	3/15/2012	9/4/2019
694308GD3	PACIFIC GAS AND ELECTRIC CO CORP BND			2,108,259	1,990,279.43	1,900,000.00	1,973,248.53	17,030.90		(27,668.55	)	—	—	4.8	1.444	MS	30,400.00	172,944.44	10/19/2010	3/1/2014
423012AC7	HEINEKEN N.V. SENIOR CORP BND 144A	F		1,993,785.13	1,996,484.78	1,995,000.00	1,993,876.68	2,608.10		464.78		—	—	0.8	0.821	AO	3,591.00	24,096.3	10/3/2012	10/1/2015
009158AS5	AIR PRODUCTS AND CHEMICALS INC SENIOR			1,997,920.00	1,996,596.06	2,000,000.00	1,998,040.26	(1,444.20	)	414.29		—	—	1.2	1.221	AO	7,200	—	9/6/2012	10/15/2017
85771PAH5	STATOIL ASA SENIOR CORP BND	F		1,997,700	1,997,390.74	2,000,000.00	1,997,742.44	(351.7	)	28,628.25		—	—	1.2	1.223	JJ	2,666.67	19,989.59	11/14/2012	1/17/2018
912828TM2	UNITED STATES TREASURY GOVT BND			1,993,053.58	1,998,280.02	2,000,000.00	1,993,078.04	5,201.98		4,154.51		—	—	0.625	0.701	FA	4,247.24	16,058.63	12/24/2012	8/31/2017
3133EAQP6	FEDERAL FARM CREDIT BANK AGENCY BND			2,000,380.00	1,999,040.06	2,000,000.00	2,000,295.49	(1,255.43	)	—		—	—	0.32	0.309	MN	800	554.08	8/8/2012	5/16/2014



3134G32F6	FHLMC UNSECURED AGENCY BND		1	2,000,000.00	2,000,000.00	2,000,000.00	2,000,000	—		(1,608.14	)	—	—	0.52	0.516		JD	86.67	12,750		12/19/2012	12/28/2015
31331KEF3	FEDERAL FARM CREDIT BANK AGENCY BND			1,999,640.00	2,000,060.00	2,000,000.00	1,999,943.72	116.28		(35,030.33	)	—	—	0.179	0.177		MON	149.16	289,295.42		6/7/2011	4/17/2013
313376GY5	FEDERAL HOME LOAN BANKS AGENCY BND			2,002,860.00	2,000,980	2,000,000.00	2,000,997.33	(17.33	)	(19,356.15	)	—	—	0.33	0.23		MN	568.33	44,137.50		1/25/2012	7/1/2013
BRSE58QX7	NORANDA ALUMINUM ACQUISITION TERM LOAN			1,970,112.50	2,001,128.13	1,985,000.00	1,971,835.14	29,292.99		7,681.9		—	—	—	0.107		MJSD	—	60,298		2/24/2012	2/24/2019
36962G6N9	GENERAL ELECTRIC CAPITAL CORP SECURED			2,000,000.00	2,002,320.10	2,000,000.00	2,000,000	2,320.1		(92,612.31	)	—	—	0.898	0.899		MJSD	998.06	165,885.42		12/5/2012	12/11/2015
BRS9YEPB2	UPC FINANCING PARTNERSHIP TERM LOAN		2	1,992,500	2,002,920	2,000,000.00	1,994,293.56	8,626.44		11,221.97		—	—	—	0.056		JAJO	—	77,206.32		5/27/2011	12/31/2017
912828UE8	UNITED STATES TREASURY GOVT BND			1,998,139.56	2,003,279.88	2,000,000.00	1,998,140.57	5,139.31		24.46		—	—	0.75	0.769		JD	41.44	(4,040.06	)	12/18/2012	12/31/2017
911312AP1	UNITED PARCEL SERVICE INC SENIOR CORP			1,996,700.00	2,005,393.68	2,000,000.00	1,996,869.25	8,524.43		(920.48	)	—	—	1.125	1.159		AO	5,875	1,562.5		9/24/2012	10/1/2017
233851AM6	DAIMLER FINANCE NORTH AMERICA SENIOR			2,000,000.00	2,005,860.14	2,000,000.00	2,000,000	5,860.14		(27,570.88	)	—	—	1.13	1.249		JAJO	5,211.71	65,823.29		4/2/2012	4/10/2014
58768TAC0	MBALT_12-A ABS 12-A		2	1,999,889.6	2,007,500	2,000,000	1,999,927.82	7,572.18		219.17		—	—	0.88	0.884		MON	782.22	27,067.81		3/15/2012	11/17/2014
BRSE3GXH8	NXP BV AND NXP FUNDING LLC TERM LOAN	F	2	1,989,974.94	2,008,133.46	1,989,974.94	1,989,974.94	18,158.52		42.39		—	—	—	—		MJSD	—	—		7/24/2012	3/19/2019
05565QBW7	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		2,016,000	2,010,479.88	2,000,000.00	2,011,077.61	(597.73	)	2.07		—	—	0.936	0.502		MJSD	1,351.28	8,203.13		7/31/2012	12/6/2013
BRSFWYTY2	VALEANT PHARMACEUTICALS INTERN SENIOR	A		1,946,921.84	2,011,019.85	1,995,000.00	1,948,781.65	62,238.2		4,800.26		—	—	—	(0.026	)	JAJO	—	200,678.02		10/2/2012	2/13/2019
91159HGZ7	US BANCORP CORP BND		1	1,997,060.00	2,011,139.8	2,000,000.00	1,999,178.01	11,961.79		39.31		—	—	1.125	1.175		AO	3,812.50	15,584.72		10/28/2010	10/30/2013
191216AX8	COCA-COLA COMPANY THE SENIOR CORP BND			1,997,760.00	2,011,251.22	2,000,000.00	1,998,353.66	12,897.56		(11,013.74	)	—	—	0.75	0.788		MS	4,500	11,414.58		3/9/2012	3/13/2015
BRS4QJJM4	DOLLAR GENERAL CORPORATION LN1 TERM LOAN		2	2,000,000.00	2,015,330.00	2,000,000.00	2,000,000.00	15,330.00		—		—	—	—	—		JAJO	—	68,297.74		6/21/2011	7/7/2014
96122WAC4	WESTPAC BANKING CORP LOCAL BND 144A	F		2,000,000.00	2,015,680	2,000,000.00	2,000,000	15,680		—		—	—	1.13	1.255		JAJO	4,772.17	11,292.5		7/10/2012	7/17/2015
22546QAH0	CREDIT SUISSE NEW YORK NY CORP BND	E		1,997,580	2,021,510.16	2,000,000	1,999,146.63	22,363.53		—		—	—	2.2	2.242		JJ	20,411.11	9,772.68		1/11/2011	1/14/2014
BRSBRMD95	WARNER CHILCOTT CORP TERM LOAN	E	2	1,961,674.47	2,022,325.59	2,001,262.31	1,967,650.79	54,674.8		4,827.15		—	—	—	0.319		MJSD	—	75,504.87		8/20/2012	3/15/2018
BRSFGBWM2	SABRE INC SENIOR SECURED TERM LOAN			1,975,050.00	2,024,516.03	1,995,000.00	1,976,390.75	48,125.28		(1,632.89	)	—	—	—	0.185		MJSD	—	41,420.08		8/22/2012	12/29/2017
233851AN4	DAIMLER FINANCE NORTH AMERICA SENIOR			1,998,840	2,026,781.32	2,000,000	1,999,116.4	27,664.92		—		—	—	1.65	1.67		AO	7,425	12,640.66		4/2/2012	4/10/2015
3128JRJS6	FHLMC POOL # 847473		2	1,923,062.39	2,033,244.77	1,930,906.71	1,923,185.01	110,059.76		566.01		—	—	2.369	2.406		MON	3,811.93	13,464.85		9/26/2007	12/1/2035
225448AL3	CREDIT SUISSE GG LOCAL BND 144A	F		1,993,480.00	2,040,189.1	2,000,000.00	1,995,236.62	44,952.48		(13,779.45	)	—	—	1.625	1.737		MS	10,381.94	247,805.56		3/1/2012	3/6/2015
92867DAD2	VALET_11-1 ABS_11-1 A4		2	2,062,187.50	2,049,080.04	2,000,000.00	2,035,076.6	14,003.44		13.36		—	—	1.98	0.901		MON	1,210	4,888.13		9/15/2011	9/20/2017
959802AQ2	WESTERN UNION CO/THE SENIOR CORP BND			2,041,237.2	2,054,978.95	2,045,000.00	2,041,310.73	13,668.22		1,480.76		—	—	2.375	2.439		JD	2,833.18	79,406.25		12/5/2012	12/10/2015
17305ECH6	CCCIT ABS_04-A8 A8		2	2,116,867.19	2,061,158.04	1,900,000.00	2,042,516.48	18,641.56		—		—	—	4.9	0.99		JD	5,430.83	14,183.76		12/14/2011	12/12/2016
942683AG8	WATSON PHARMACEUTICALS INC. SENIOR CORP			2,040,590.5	2,071,295.63	2,050,000	2,041,040.46	30,255.17		—		—	—	1.875	1.972		AO	9,502.6	—		9/27/2012	10/1/2017
BRSBLUUU7	MICHAEL FOODS INC. TERM LOAN		2	2,075,300.81	2,072,297.15	2,057,299.44	2,070,627.69	1,669.46		94.99		—	—	—	(0.124	)	MJSD	—	99,167.21		3/2/2011	00/00/0000
31414NB45	FNMA POOL # 970859		2	2,018,716.62	2,079,686.68	1,920,301.18	2,010,789.37	68,897.31		(34,869.81	)	—	—	5	2.797		MON	8,001.25	105,808.91		10/21/2009	12/1/2023
928670AP3	VOLKSWAGEN INTERNATIONAL FINAN SENIOR	F	1	2,077,535.70	2,080,450.99	2,085,000.00	2,077,702.48	2,748.51		(950.14	)	—	—	1.6	1.675		MN	3,799.33	10,000		11/13/2012	11/20/2017
89152UAE2	TOTAL CAPITAL S.A. CORP BND	F		2,033,440	2,080,742.64	2,000,000	2,020,442.3	60,300.34		(3,866.61	)	—	—	2.3	1.969		MS	13,544.44	15,805.27		11/4/2010	3/15/2016
31416BSE9	FNMA POOL # 995217		2	2,048,874.27	2,087,522.47	1,931,242.04	2,038,838.13	48,684.34		(29,476.91	)	—	—	5.5	2.928		MON	8,851.52	69,258.84		10/21/2009	12/1/2023
62889AAA1	NCUA GUARANTEED NOTES AGENCY ABS 10-A1 A		2	2,086,024.36	2,092,282.44	2,086,024.36	2,086,024.36	6,258.08		47.61		—	—	0.563	0.563		MON	815.58	37,418.09		6/10/2011	12/7/2020
BRSDTEYU7	CROWN CASTLE OPERATING CO TERM LOAN		2	2,058,210.00	2,093,979.2	2,079,000.00	2,060,887.7	33,091.50		1,148.95		—	—	—	0.142		JAJO	—	52,747.06		1/25/2012	1/31/2019



06406HBN8	BANK OF NEW YORK CO CORP BND			2,107,880.00	2,094,812.32	2,000,000.00	2,077,298.52	17,513.8		(9,839.22	)	—	—	3.1	1.175		JJ	28,588.89		79,819.27	3/1/2012	1/15/2015
419791YG7	HAWAII ST MUNI BND GO			2,007,940	2,096,660	2,000,000	2,003,471.56	93,188.44		(796.58	)	—	—	3	2.914		FA	25,000		34,797.92	2/10/2010	2/1/2015
36241KEH7	GNMA POOL # 781936		2	1,978,519.54	2,097,839.56	1,913,635.37	1,976,363.91	121,475.65		(6,661.19	)	—	—	4.5	3.675		MON	7,176.13		47,307.18	6/3/2010	6/15/2035
3134G3LA6	FHLMC AGENCY BND			2,100,663.18	2,103,296.96	2,100,000.00	2,100,368.7	2,928.26		5,933.88		—	—	0.375	0.36		FA	2,712.5		23,034.74	1/26/2012	2/27/2014
22546QAE7	CREDIT SUISSE FIRST BOSTON CORP BND	E		1,996,820	2,112,023.32	2,000,000.00	1,998,517.41	113,505.91		620.62		—	—	3.5	3.535		MS	19,055.56		—	3/18/2010	3/23/2015
12591AAC1	CNH_12-B ABS 12-B		2	2,099,925.87	2,112,537.00	2,100,000.00	2,099,936.14	12,600.86		39,336.67		—	—	0.86	0.862		MON	802.67		8,872.62	6/12/2012	9/15/2017
BRSG4MWQ0	BSN MEDICAL SENIOR SECURED TERM NOTE		1	2,089,753.83	2,115,750	2,100,000.00	2,090,016.14	25,733.86		356.01		—	—	—	(0.059	)	JAJO	—		6,921.95	10/29/2012	8/28/2019
BRSCB27N0	WARNACO GROUP INC. THE TERM LOAN			2,107,161.25	2,119,518.32	2,117,750.00	2,109,453.4	10,064.92		216.68		—	—	—	0.071		MJSD	—		65,864.98	6/16/2011	6/17/2018
89233P4B9	TOYOTA MOTOR CREDIT CORP CORP BND MTN			1,997,706.43	2,120,648.34	2,000,000.00	1,998,753.78	121,894.56		(23,455.22	)	—	—	3.2	3.227		JD	2,488.89		110,000.00	11/12/2010	6/17/2015
36179MQN3	GNMA POOL # MA0461		2	2,119,763.37	2,121,235.41	1,991,556.90	2,119,123.32	2,112.09		(2,788.29	)	—	—	3	2.05		MON	4,978.89		8,412.60	10/31/2012	10/20/2042
22546QAA5	CREDIT SUISSE GROUP CORP BND	F		2,186,460.00	2,125,706.64	2,000,000.00	2,065,488.88	60,217.76		1,756.62		—	—	5.5	2.972		MN	18,333.33		16,250	5/19/2010	5/1/2014
05565QBF4	BP CAPITAL MARKETS PLC CORP BND	F		2,258,382.50	2,131,774.50	2,050,000.00	2,097,363.75	34,410.75		(317,264.67	)	—	—	5.25	2.478		MN	16,143.75		485,796.16	12/21/2009	11/7/2013
44923QAB0	HYUNDAI CAPITAL AMERICA CORP BND 144A			1,991,020	2,154,278.1	2,000,000.00	1,992,608.62	161,669.48		41.04		—	—	4	4.092		JD	5,111.11		24,781.25	12/1/2011	6/8/2017
912828TG5	UNITED STATES TREASURY GOVT BND			2,184,108.93	2,186,822.02	2,200,000	2,185,419.7	1,402.32		(1,581.8	)	—	—	0.5	0.647		JJ	4,603.26		57,590.28	7/30/2012	7/31/2017
3128KWNX7	FHLMC GOLD POOL # A65806		2	1,994,027.59	2,190,145.56	1,971,387.46	1,993,020.59	197,124.97		(14,089.88	)	—	—	6	5.657		MON	9,856.94		131,075.24	11/2/2007	9/1/2037
BRSFMRGY2	PHARMACEUTICAL RSRCE INC SENIOR SECURED		2	2,179,742.50	2,195,652.11	2,194,500.00	2,180,255.83	15,396.28		568.33		—	—	—	0.095		MJSD	—		20,909.72	10/31/2012	9/30/2019
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA SENIOR	F		2,149,183	2,196,741.73	2,150,000	2,149,395.18	47,346.55		3,476.28		—	—	1.95	1.963		MS	12,228.13		69,089.59	3/5/2012	3/16/2015
36296XWP5	GNMA POOL # 704554		2	2,110,958.89	2,199,218.30	2,038,035.44	2,104,615.76	94,602.54		(14,285.63	)	—	—	5	3.449		MON	8,491.81		26,153.13	6/11/2009	6/15/2024
BRSFW2WH5	BURGER KING CORP SENIOR SECURED TERM			2,179,063.69	2,199,685.6	2,184,525.00	2,179,241.8	20,443.8		241.35		—	—	—	0.035		MJSD	—		14,062.5	9/26/2012	9/26/2019
44890KAC0	HART_12-C ABS 12-C		2	2,199,722.58	2,200,220.04	2,200,000	2,199,744.73	475.31		12.66		—	—	0.53	0.536		MON	518.22		1,744.17	10/10/2012	4/17/2017
78445XAA4	SLMA_10-1 ABS 10-1A		2	2,193,532.55	2,200,617.62	2,193,532.55	2,193,532.55	7,085.07		(9,925.87	)	—	—	0.61	0.61		MON	222.9		44,196.15	7/30/2010	3/25/2025
92343VBA1	VERIZON COMMUNICATIONS INC. CORP BND			2,233,397.61	2,207,805.1	2,169,000.00	2,206,447.43	1,357.67		(1,409.42	)	—	—	1.95	0.548		MS	10,926.34		2,180.38	2/7/2012	3/28/2014
G3157R8G6	EUROPEAN BK RECONSTR AND DEVLP CORP BND	D		2,188,451.06	2,211,193.67	1,344,000.00	2,190,863.53	20,330.14		(23,979.33	)	—	27.41	1.875	1.935		DEC	(5,119.77	)	162,000	4/7/2011	12/10/2013
594918AB0	MICROSOFT CORPORATION CORP BND			2,254,225.19	2,217,963.92	2,141,000.00	2,214,887.36	3,076.56		(13,534.37	)	—	—	2.95	0.499		JD	5,263.3		14,694.44	3/26/2012	6/1/2014
35177PAS6	FRANCE TELECOM CORP BND	F		2,247,594.04	2,224,981.79	2,116,000	2,165,188.70	59,793.09		(124.31	)	—	—	4.375	2.801		JJ	44,487.43		18,369.62	4/14/2010	7/8/2014
3128NCD68	FHLMC POOL # 1G0125		2	2,036,197.29	2,225,973.74	2,079,741.89	2,038,752.9	187,220.84		1,029.23		—	—	2.779	3.186		MON	4,816.34		14,170.73	12/13/2005	3/1/2035
BRSEGDRJ4	AMN HEALTHCARE SENIOR SECURED TERM NOTE			2,180,728.44	2,226,854.15	2,202,756.00	2,183,254.91	43,599.24		1,397.66		—	—	—	0.167		MJSD	—		65,385.57	4/3/2012	4/5/2018
43813TAD5	HAROT_11-1 ABS_11-1 A4		2	2,199,414.14	2,235,046.04	2,200,000	2,199,779.76	35,266.28		(1,443.58	)	—	—	1.8	1.816		MON	1,760		7,085.46	2/17/2011	4/17/2017
949781AA6	WFMBS CMO 05-AR1 1A1		2	2,222,429.27	2,254,691.73	2,276,746.57	2,228,117.86	26,573.87		9,857.21		—	—	2.613	3.05		MON	4,958.24		91,505.94	12/5/2006	2/25/2035
191219BV5	COCA-COLA ENTERPRISES INC. CORP BND			2,263,968	2,255,175.24	2,100,000	2,258,911.32	(3,736.08	)	593.66		—	—	4.25	0.719		MS	29,750		7,458.33	12/4/2012	3/1/2015
BRSBK2348	GYMBOREE CORP TERM LOAN		2	2,306,473.92	2,255,590.71	2,441,776.14	2,329,364.35	(73,773.64	)	69,165.27		—	—	—	0.895		FMAN	—		166,713.61	8/24/2012	2/23/2018
BRSEC7EU0	PINACLE FOOD FIN SENIOR SEC TERM NOTES		2	2,223,256.33	2,257,555	2,235,612.46	2,224,528.62	33,026.38		1,416.16		—	—	—	0.084		MJSD	—		43,496.32	8/15/2012	10/17/2018
38374YGV9	GNMA_10-86 AGENCY CMO 10-86		2	2,295,690.28	2,262,020.17	2,176,654.5	2,270,084.26	(8,064.09	)	(1,339.72	)	—	—	3.5	(0.944	)	MON	6,348.58		10,457.32	2/15/2012	1/20/2036
36297G2R0	GNMA POOL # 711884		2	2,217,041.16	2,262,967.67	2,097,112.55	2,208,447.89	54,519.78		(18,342.26	)	—	—	5	2.566		MON	8,737.97		80,755	9/29/2009	4/15/2024



31416B4P0	FNMA POOL # 995530		2	2,183,338.74	2,266,861.63	2,093,702.14	2,171,393.73	95,467.9		(40,615.44	)	—	—		5.5	3.675		MON	9,596.13	133,455.76		3/20/2009	12/1/2021
G7014VBF9	PERMM 2010-1 ABS_10-1 3A	D	1	2,003,000.00	2,275,849.35	1,250,000.00	2,003,000	272,849.35		(7.71	)	—	1,965.83		4.805	4.795		JJ	73,976.55	1,175.84		1/29/2010	7/15/2042
06415CAE9	BANK OF NOVA SCOTIA SECURED LOCAL BND	A		2,197,580.00	2,275,922.09	2,200,000.00	2,197,943.39	77,978.70		(60.91	)	—	—		1.75	1.773		MS	10,587.5	1,303.75		3/15/2012	3/22/2017
313376UF0	FEDERAL HOME LOAN BANKS AGENCY BND			2,274,545.00	2,279,208.7	2,275,000.00	2,274,757.9	4,450.8		(4,398.12	)	—	—		0.375	0.385		JJ	3,602.08	136,494.28		1/19/2012	1/29/2014
20030NAJ0	COMCAST CORPORATION CORP BND			2,304,900	2,279,904.18	2,000,000.00	2,282,569.26	(2,665.08	)	4,993.97		—	—		5.85	0.856		MN	14,950	24,466.67		10/3/2012	11/15/2015
BRSF8V463	FMS WERTMANAGEMENT ANSTALT DES SENIOR	D		2,179,374.25	2,281,821.63	1,400,000.00	2,180,287.84	101,533.79		(2,413.51	)	—	27.17		1	1.098		DEC	90,785.95	(10,767.43	)	7/16/2012	12/1/2015
063679ZT4	BANK OF MONTREAL CORP BND 144A	A		2,196,150.00	2,293,962.09	2,200,000.00	2,196,831.27	97,130.82		132.83		—	—		1.95	1.987		JJ	17,994.17	31,961.95		1/23/2012	1/30/2017
D2330TAA7	DRIVER GMBH ABS_9-A	D	2	2,269,593.00	2,301,090.51	1,740,058.80	2,269,367.56	31,722.95		(2,514.56	)	—	0.36		0.71	0.492		MON	31,556.24	2,993.3		11/30/2012	4/21/2017
31331GVD8	FEDERAL FARM CREDIT BANK AGENCY BND			2,284,046	2,302,551.54	2,290,000.00	2,289,577.72	12,973.82		(6,490.43	)	—	—		2.2	2.27		AO	11,615.39	8,870.42		5/4/2009	4/8/2013
3136A7QW5	FNMA_12-86 AGENCY CMO 12-86		2	2,306,900.25	2,307,017.66	2,279,827.30	2,300,736.32	6,281.34		(6,677.67	)	—	—		2	0.733		MON	3,799.71	86,492.43		9/6/2012	3/25/2041
89114QAC2	TORONTO-DOMINION BANK CORP BND	A		2,300,000	2,307,819.91	2,300,000.00	2,300,000	7,819.91		(447.85	)	—	—		0.64	0.549		JAJO	3,190.58	15,709.31		7/7/2011	7/14/2014
BRSG45CM8	CONSOLIDATED CONTAINER CO LP TERM NOTE			2,282,110.84	2,313,822.1	2,304,225	2,282,741.27	31,080.83		—		—	—		—	(0.132	)	MJSD	—	5,642.94		10/17/2012	7/3/2019
80705TAA4	SCHOL_11-A ABS 11-A A 144A		2	2,261,501.1	2,318,567.85	2,307,032.69	2,264,269.27	54,298.58		89.25		—	—		1.213	1.37		JAJO	4,976.01	3,101.16		3/22/2011	10/28/2043
G9381PAA5	VCL ABS_12 A	D	2	2,291,000.44	2,322,448.38	1,759,609.13	2,290,834.65	31,613.73		(3,098.88	)	—	0.4		0.79	0.625		MON	31,912.33	(18,483.74	)	11/30/2012	6/21/2016
38141EA74	GOLDMAN SACHS GROUP INC CORP BND			2,262,884.00	2,331,807.5	2,212,000.00	2,252,690.03	79,117.47		(20,349.59	)	—	—		3.7	2.948		FA	34,101.67	74,852.28		10/17/2012	8/1/2015
N00268AB3	DMPL_10-X ABS 10-X	D	2	2,321,754.10	2,353,789.22	1,774,060.00	2,322,005.71	31,783.51		1,856.71		—	(0.75	)	1.034	0.766		MJSD	32,047.67	1,037.46		11/30/2012	9/26/2051
34529UAD6	FORDO_12-A ABS 12-A		2	2,339,403.30	2,371,426.25	2,340,000.00	2,339,550.83	31,875.42		281.85		—	—		1.15	1.16		MON	1,196	31,920		1/18/2012	6/15/2017
BRSFWACE6	LEAP WIRELESS INTL INC SENIOR SECURED		1	2,360,675.00	2,387,775.00	2,370,000.00	2,360,748.53	27,026.47		265.33		—	—		—	(0.021	)	JAJO	—	21,957.36		11/15/2012	10/10/2019
449786AN2	ING BANK NV CORP BND 144A	F		2,375,000	2,397,277.4	2,375,000	2,375,000	22,277.4		(3,511.30	)	—	—		1.711	1.652		MJSD	2,482.6	47,913.94		6/1/2011	6/9/2014
31412LVF4	FNMA POOL # 928614		2	2,362,855.76	2,403,470.86	2,223,537.25	2,348,905.05	54,565.81		(10,550.2	)	—	—		5.5	2.795		MON	10,191.21	25,679.39		10/21/2009	8/1/2022
BRSFFAX44	PATRIOT COAL CORP TERM LOAN			2,396,350	2,428,087.05	2,410,000.00	2,401,310.64	26,776.41		6,864.82		—	—		—	0.474		JAJO	—	22,387.15		9/19/2012	10/2/2013
224044BM8	COX COMMUNICATIONS INC. CORP BND			2,439,669.57	2,429,885.1	2,223,000	2,416,497.49	13,387.61		(173,389.22	)	—	—		5.45	0.942		JD	5,384.6	280,399.17		11/21/2012	12/15/2014
BRSEARBD9	AVIS BUDGET CAR RENTAL LLC TERM NOTES			2,382,752.98	2,431,491.11	2,406,821.19	2,385,339.73	46,151.38		419.65		—	—		—	0.143		MJSD	—	13,611.95		3/13/2012	3/15/2019
4521518V8	ILLINOIS ST MUNI BND GO			2,300,000.00	2,438,344.98	2,300,000	2,300,000	138,344.98		(15,595.32	)	—	—		4.421	4.421		JJ	50,841.5	96,932.97		12/28/2012	1/1/2015
00432CCM1	ACCESS GROUP INC ACCSS_05-2 ABS 05-2		2	2,392,377.90	2,439,508.05	2,456,870.75	2,399,271.87	40,236.18		40,270.62		—	—		0.491	1.595		FMAN	1,305.52	42,145.07		8/8/2012	11/22/2024
88166DAB2	TEVA PHARMACEUTICAL FINANCE II CORP BND	F		2,450,000	2,455,995.71	2,450,000.00	2,450,000	5,995.71		241.59		—	—		0.81	0.809		MJSD	606.38	29,991.64		3/16/2011	00/00/0000
78444YAD7	SLMA ABS 08-5 A4		2	2,457,718.75	2,479,250	2,350,000.00	2,433,065.36	46,184.64		(1,130.06	)	—	—		2.015	1.456		JAJO	8,945.47	11,448.26		1/11/2011	7/25/2023
637432MP7	NATIONAL RURAL UTILITIES CORP BND			2,462,145.4	2,482,624.76	2,470,000.00	2,464,508.94	18,115.82		249.53		—	—		1	1.108		FA	10,223.06	29,718.75		1/26/2012	2/2/2015
6174467N3	MORGAN STANLEY CORP BND			2,400,983.75	2,489,918.75	2,375,000.00	2,389,605.65	100,313.1		(2,806.19	)	—	—		4	3.745		JJ	41,430.56	78,431.94		10/15/2010	7/24/2015
34529WAC4	FORDO_12-B ABS_12-B A3		2	2,502,148.44	2,509,099.95	2,500,000.00	2,501,585.61	7,514.34		125.27		—	—		0.72	0.676		MON	800.00	14,186.67		6/22/2012	12/15/2016
912828TB6	UNITED STATES TREASURY GOVT BND			2,515,195.88	2,514,925	2,500,000.00	2,513,801.4	1,123.6		32,163.96		—	—		0.75	0.625		JD	51.8	43,082.5		7/13/2012	6/30/2017
377372AC1	GLAXOSK CAP INC CORP BND			2,574,349.5	2,515,466.25	2,475,000.00	2,484,659.29	30,806.96		(411,208.98	)	—	—		4.85	3.776		MN	15,338.12	973,673.07		6/5/2009	5/15/2013
3133EAYZ5	FEDERAL FARM CREDIT BANK AGENCY BND			2,524,312.44	2,523,591.68	2,525,000.00	2,524,428.64	(836.96	)	171.31		—	—		0.236	0.282		MON	198.38	2,878.16		7/16/2012	3/20/2015
313371PC4	FEDERAL HOME LOAN BANKS UNSEC AGENCY BND			2,524,200	2,524,175.08	2,500,000.00	2,518,999.97	5,175.11		242.29		—	—		0.875	0.482		JD	1,154.51	3,247.75		6/18/2012	12/12/2014



02005ACC0	AMOT_10-3 ABS 12-1		2	2,499,806.75	2,530,925	2,500,000.00	2,499,832.61	31,092.39		—		—	—	1.44	1.446		MON	1,600	3,377.25		2/15/2012	2/15/2017
63307EAA5	NATIONAL BK OF CANADA CORP BND 144A	A		2,499,350	2,534,099.78	2,500,000	2,499,762.6	34,337.18		226.33		—	—	1.65	1.659		JJ	17,302.08	—		1/24/2011	1/30/2014
L96319AB1	VOLKSWAGEN CAR LEASE ABS_13 A	D	2	2,506,184.75	2,540,277.84	1,922,447.52	2,505,935.04	34,342.8		(1,248.62	)	—	0.42	0.74	0.513		MON	34,869.31	976.64		11/30/2012	2/21/2017
78442GMK9	SLMA ABS_04-7 A5		2	2,529,240.06	2,540,708.74	2,544,347.11	2,533,357.97	7,350.77		182.41		—	—	0.485	0.671		JAJO	2,332.11	31,240		5/13/2011	1/27/2020
BRSG4MWN7	BWAY HOLDING SENIOR SECURED TERM LOAN			2,504,485.87	2,541,298.04	2,517,071.23	2,504,841.88	36,456.16		657.97		—	—	—	0.104		JAJO	—	11,706.04		10/24/2012	8/6/2017
BRSBZBVS8	RANPAK CORP TERM LOAN			2,567,967.12	2,545,101.16	2,555,745.84	2,564,651.52	(19,550.36	)	3,297.56		—	—	—	(0.08	)	JAJO	—	141,183.46		5/19/2011	4/20/2017
BRSG6SMY9	TOMKINS PLC SENIOR SECURED TERM NOTES	F		2,494,800	2,546,787.6	2,520,000	2,495,113.3	51,674.3		1,696.73		—	—	—	0.167		FMAN	—	26,862.22		11/5/2012	11/5/2018
BRSEYJRF9	RGIS SERVICES LLC TERM NOTES			2,499,019.85	2,549,505.12	2,524,262.49	2,501,402.26	48,102.86		2,180.66		—	—	—	0.187		MJSD	—	74,275.78		8/17/2012	10/18/2017
161630BD9	CHASE CMO_07-A1 11M1		2	3,144,117.10	2,553,735.94	3,114,312.12	3,141,403.80	(587,667.86	)	(16,065.79	)	—	—	2.9	2.711		MON	7,515.09	22,061.6		1/18/2008	3/25/2037
06051GDX4	BANK OF AMERICA CORP BND			2,290,332	2,559,863.61	2,200,000.00	2,279,055.2	280,808.41		(25,714.63	)	—	—	5.65	4.876		MN	20,716.67	138,067.15		2/3/2012	5/1/2018
87938WAL7	TELEFONICA EMISIONES SAU CORP BND	F		2,574,999.99	2,562,500.00	2,500,000.00	2,569,110.53	(6,610.53	)	—		—	—	3.729	2.494		AO	16,573.33	—		10/16/2012	4/27/2015
BRSEQLBQ6	TRICORBRAUN INC SENIOR SECURED TERM LOAN			2,540,832.00	2,571,156.00	2,553,600.00	2,542,184.4	28,971.6		246.89		—	—	—	0.083		MJSD	—	29,405.55		4/30/2012	4/30/2018
427028AA3	CANADA GOVERNMENT GOVT BND	A		2,550,398.5	2,572,312.5	2,550,000	2,550,494.07	21,818.43		(7,876.66	)	—	—	0.875	0.87		FA	8,491.15	57,595.92		8/8/2012	2/14/2017
BRSBN61P1	TOMKINS PLC TERM LOAN	R	2	2,485,034.64	2,580,189.04	2,559,927.21	2,504,132.16	76,056.88		34,567.9		—	—	—	0.581		JAJO	—	188,769.29		8/17/2011	9/29/2016
BRSGCL7G3	HAMILTON SUNDSTRAND INDUSTRIAL SENIOR	R	1	2,539,350.00	2,593,856.25	2,565,000.00	2,539,490.07	54,366.18		—		—	—	—	0.142		MJSD	—	—		12/5/2012	12/13/2019
88165FAC6	TEVA PHARMAC FIN CORP BND	F		2,501,975	2,603,925	2,500,000.00	2,501,549.69	102,375.31		414.92		—	—	2.4	2.383		MN	8,500	65,250		11/8/2011	11/10/2016
17305EDL6	CITIBANK CREDIT CARD ISSUANCE ABS_06-A8		2	2,588,682.81	2,604,437.15	2,620,000	2,596,666.95	7,770.2		—		—	—	0.38	0.59		JAJO	2,158.55	18,923.08		7/6/2011	12/17/2018
31415MDG7	FNMA POOL # 984003		2	2,312,114.95	2,608,586.26	2,381,705.39	2,313,973.87	294,612.39		(41,246.28	)	—	—	5.5	6.448		MON	10,916.15	116,450.71		7/25/2008	6/1/2038
BRSEFGMT1	CHARTER COM OPER SECURED TERM LOAN		1	2,577,472.87	2,617,300.66	2,590,425	2,578,772.66	38,528		1,215.88		—	—	—	0.07		MJSD	—	12,793.71		4/4/2012	5/15/2019
BRSBR4P35	JO-ANN STORES TERM LOAN		2	2,577,845.31	2,617,997.20	2,603,884.15	2,584,457.83	33,539.37		40.97		—	—	—	0.142		MJSD	—	—		3/15/2011	3/16/2018
911312AG1	UNITED PARCEL SERVICE INC CORP BND			2,802,555	2,628,360	2,625,000.00	2,627,152.98	1,207.02		(124,213.5	)	—	—	4.5	2.319		JJ	54,468.75	236,756.95		10/14/2009	1/15/2013
G3677PBH5	FOSSE MASTER ISSUER PLC ABS_10-1 A1	D	2	2,437,149.86	2,629,164.98	1,500,000	2,435,254.13	193,910.85		(3,090.05	)	—	122.02	1.733	0.793		JAJO	43,400.97	4,294.01		11/30/2012	10/18/2054
31416B4M7	FNMA POOL # 995528		2	2,523,189.75	2,630,472.93	2,428,698.19	2,510,755.38	119,717.55		(90,273.89	)	—	—	5	3.318		MON	10,119.58	177,979.32		3/20/2009	12/1/2021
62889JAA2	NCUA GUARANTEED NOTES CMO_11-R6 1A		2	2,646,692.16	2,655,452.71	2,646,692.16	2,646,692.16	8,760.55		(149.97	)	—	—	0.599	0.599		MON	1,100.04	17,260.48		6/10/2011	5/7/2020
278058DG4	EATON CORPORATION CORP BND			2,655,050	2,655,811.87	2,500,000	2,651,273.45	4,538.42		104.25		—	—	5.95	0.935		MS	41,732.64	44,100.00		12/18/2012	3/20/2014
78447FAA1	SLMA_12-E ABS 12-E 144A		2	2,646,661.17	2,656,347.87	2,646,661.17	2,646,661.17	9,686.7		1,582.86		—	—	0.959	0.961		MON	1,057.57	46,023.7		10/11/2012	10/16/2023
36225EVZ2	GNMA POOL # 082431		2	2,541,066.54	2,658,914.14	2,509,695.36	2,538,003.63	120,910.51		(58.29	)	—	—	3	2.908		MON	6,274.23	13,687.87		10/28/2009	12/20/2039
341099CQ0	PROGRESS ENERGY FLORIDA SECURED CORP BND			2,668,622.81	2,667,014.44	2,671,000.00	2,668,714.3	(1,699.86	)	(199,614.26	)	—	—	0.65	0.68		MN	1,977.28	417,375		11/15/2012	11/15/2015
487836BG2	KELLOGG COMPANY SENIOR CORP BND			2,646,899.5	2,673,783.51	2,650,000.00	2,647,536.93	26,246.58		(14,108.08	)	—	—	1.125	1.165		MN	3,809.38	452,530.56		5/14/2012	5/15/2015
BRSCDKB78	SBA SENIOR FINANCE II LLC TERM LOAN			2,652,851.25	2,676,401.12	2,659,500.00	2,654,257.99	22,143.13		54.87		—	—	—	0.035		MJSD	—	26,107.03		6/27/2011	00/00/0000
055451AK4	BHP BILLITON FINANCE (USA) LTD CORP BND	F		2,586,194	2,678,848.61	2,600,000.00	2,589,152.07	89,696.54		(15,433.53	)	—	—	1.875	1.987		MN	5,416.67	50,703.13		11/16/2011	11/21/2016
G3R77LAS8	FOSSM_12-1X ABS 12-1X	D	2	2,650,856.91	2,685,435.78	2,000,000.00	2,648,621.94	36,813.84		(6,764.52	)	—	97.01	1.308	0.304		JAJO	43,434.3	(3,912.86	)	11/30/2012	10/18/2054
BRSGF63V4	CINEMARK USA INC. SENIOR SECURED TERM			2,676,550	2,696,173.55	2,690,000.00	2,676,576.39	19,597.16		—		—	—	—	0.071		MJSD	—	—		12/13/2012	12/13/2019
BRSFHNFT9	SEVEN SEAS CRUISES S DE RL TERM LOAN			2,629,811.25	2,696,220.63	2,656,375.00	2,631,266.69	64,953.94		887.52		—	—	—	0.157		FMAN	—	19.65		8/16/2012	12/21/2018



377373AB1	GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP	F		2,698,644	2,708,652.96	2,700,000.00	2,699,157.93	9,495.03		1,190.07		—	—		0.75	0.763		MN	2,981.25	98,155.69		7/24/2012	5/8/2015
039483AY8	ARCHER DANIELS MIDLAND CO CORP BND			2,747,631.25	2,708,668.76	2,275,000.00	2,725,774.45	(17,105.69	)	742.67		—	—		5.45	1.478		MS	36,507.43	—		9/25/2012	3/15/2018
65475UAC6	NAROT_12-A ABS 12-A		2	2,699,638.74	2,712,690.03	2,700,000.00	2,699,750.83	12,939.2		—		—	—		0.73	0.736		MON	876	6,291.86		2/15/2012	5/16/2016
9612E0CD7	WESTPAC BANKING CORP CORP BND 144A	F		2,702,241.00	2,717,036.92	2,700,000.00	2,701,036.56	16,000.36		(414.28	)	—	—		1.041	0.945		MJSD	78.08	22,889.7		7/12/2011	3/31/2014
BRSFVFMJ4	INTELSAT JACKSON SENIOR SECURED TERM	F	2	2,690,000.00	2,717,464.90	2,690,000.00	2,690,000	27,464.9		60,385.2		—	—		—	—		JAJO	—	18,156.25		9/26/2012	4/2/2018
78355HJT7	RYDER SYSTEM INC. SENIOR CORP BND MTN		1	2,693,763	2,723,941.2	2,700,000	2,694,148.59	29,792.61		196.82		—	—		2.5	2.545		MS	24,187.5	16,625.00		8/15/2012	3/1/2018
BRS9GBTB4	HEXION SPECIALTY CHEMICALS TL TERM LOAN			2,708,912.06	2,725,826.91	2,713,939.85	2,711,085.47	14,741.44		1,079.86		—	—		—	0.044		FMAN	—	84,597		5/13/2011	5/5/2015
G6459FAE2	NETWORK RAIL INFRASTRUCTURE FI LOCAL BND	D		2,735,751.98	2,727,960.18	1,500,000.00	2,641,159.99	86,800.19		1,537.13		—	159.17		4.875	1.207		NOV	61,902.93	—		11/9/2011	11/27/2015
341081EN3	FLORIDA POWER & LIGHT CO CORP BND			2,779,404.80	2,729,166.13	2,720,000.00	2,721,154.89	8,011.24		2,246.02		—	—		4.85	4.335		FA	54,966.67	49,562.50		4/25/2008	2/1/2013
071813BD0	BAXTER INTERNATIONAL INC CORP BND			2,668,424.7	2,752,473.98	2,670,000	2,668,749.11	83,724.87		1,340.53		—	—		1.85	1.862		JJ	22,776.58	90,757.7		12/14/2011	1/15/2017
B7A0BY1D7	SWAN_06-1E ABS 06-1E	F	2	2,750,505.45	2,752,507.16	2,791,787.61	2,753,414.33	(907.17	)	(21.83	)	—	—		0.39	1.629		FMAN	1,512.22	4,497.79		11/30/2012	5/12/2037
43813UAC4	HAROT_12-1 ABS 12-1		2	2,749,835	2,762,622.5	2,750,000	2,749,882.61	12,739.89		369.22		—	—		0.77	0.773		MON	941.11	4,096.72		2/14/2012	1/15/2016
BRSECN1K1	ENNIS-FLINT SENIOR SEC TERM NOTES		1	2,740,287.48	2,763,712.84	2,758,540.58	2,742,282.96	21,429.88		2,242.38		—	—		—	0.111		MJSD	—	95,788.24		8/6/2012	3/30/2018
D2R6KTMR2	FMS WERTMANAGEMENT ANSTALT DES SENIOR	D		2,668,745.00	2,765,492.65	1,700,000.00	2,668,745	96,747.65		913.59		—	68.19		0.756	0.983		FMAN	97,465.38	7,826.32		7/26/2012	8/3/2015
12800UAL4	CAISSE CENTRALE DESJARDN SECURED LOCAL	A		2,699,352.00	2,773,440.02	2,700,000.00	2,699,455.22	73,984.8		(1,191.73	)	—	—		1.6	1.605		MS	13,800	9,200		2/28/2012	3/6/2017
BRSBL01Z4	PHILLIPS-VAN HEUSEN CORP TERM LOAN		2	2,778,562.50	2,783,440.8	2,767,500.00	2,775,103.57	8,337.23		(1,370.18	)	—	—		—	(0.081	)	FMAN	—	72,173.25		6/21/2011	5/6/2016
BRSG1PVM6	DELTA AIR LINES INC. SENIOR SECURED TERM			2,727,450.00	2,784,616.25	2,755,000.00	2,727,795.72	56,820.53		36.22		—	—		—	0.169		JAJO	—	—		10/16/2012	10/16/2018
09247XAK7	BLACKROCK CREDIT (OFFSHORE) CORP BND			2,746,837.5	2,787,598.28	2,750,000.00	2,747,459.82	40,138.46		(8,126.49	)	—	—		1.375	1.414		JD	3,151.04	26,000		5/22/2012	6/1/2015
984121CF8	XEROX CORPORATION SENIOR CORP BND			2,721,593.75	2,788,233.71	2,725,000	2,722,105	66,128.71		1,514.16		—	—		2.95	2.977		MS	23,669.65	28,843.35		3/8/2012	3/15/2017
3128PV4J6	FHLMC GOLD POOL # J16225	��	2	2,738,415.53	2,802,597.35	2,592,199.29	2,731,711.13	70,886.22		2,318.27		—	—		4	2.188		MON	8,640.66	32,945.71		8/2/2011	8/1/2026
31406TTE1	FNMA POOL # 819649		2	2,729,808.57	2,814,589.31	2,639,089.84	2,726,136.97	88,452.34		1,150.27		—	—		2.607	1.773		MON	5,733.42	16,943.48		12/4/2009	3/1/2035
354613AH4	FRANKLIN RESOURCES INC. SENIOR CORP BND			2,834,467.5	2,838,166.18	2,850,000.00	2,835,291.09	2,875.09		(26,265.36	)	—	—		1.375	1.489		MS	10,558.86	53,636.94		11/8/2012	9/15/2017
F42445AB6	LOGGI_01-1 ABS 01-1	D	2	2,815,947.45	2,853,342.3	2,202,710.00	2,815,368.12	37,974.18		(7,590.61	)	—	(0.52	)	0.434	0.935		MJSD	38,706.15	(2,843.96	)	11/30/2012	12/27/2023
61747YCF0	MORGAN STANLEY CORP BND			2,928,431	2,857,912.47	2,700,000.00	2,796,366.35	61,546.12		(46,179	)	—	—		6	3.302		MN	21,600	127,241.19		1/6/2011	5/13/2014
067901AF5	BARRICK GOLD CORP CORP BND	A		2,747,701.82	2,887,349.14	2,750,000.00	2,748,362.17	138,986.97		214.73		—	—		2.9	2.137		MN	6,867.36	11,375		9/8/2011	5/30/2016
26442EAB6	DUKE ENERGY OHIO INC CORP BND			2,874,511.25	2,896,821.25	2,875,000.00	2,874,934.36	21,886.89		(64,231.1	)	—	—		2.1	2.105		JD	2,683.33	31,220.32		12/14/2009	6/15/2013
BRSGCQN17	SEQUA CORP SENIOR SECURED TERM LOAN		1	2,865,600.00	2,902,492.8	2,880,000.00	2,865,600	36,892.8		18.76		—	—		—	0.114		MJSD	—	—		12/18/2012	6/19/2017
61746SBQ1	MORGAN STANLEY CORP BND			2,851,710.00	2,906,910.09	3,000,000.00	2,911,643.57	(4,733.48	)	(1,300.44	)	—	—		0.82	1.841		JAJO	5,331.63	21,984.16		1/5/2011	10/15/2015
709629AA7	PENTAIR FINANCE SA UNSECURED CORP BND	F		2,898,898	2,908,058.67	2,900,000.00	2,898,932.36	9,126.31		31.18		—	—		1.35	1.363		JD	3,806.25	2,170.14		11/19/2012	12/1/2015
92867KAC8	VWALT_12-A ABS_12-A A3		2	2,899,427.83	2,916,124	2,900,000.00	2,899,582.31	16,541.69		85.93		—	—		0.87	0.882		MON	770.92	15,652.76		6/13/2012	7/20/2015
893526DL4	TRANSCANADA PIPELINES LIMITED SENIOR	A		2,914,148.25	2,933,947.38	2,925,000.00	2,917,134.39	16,812.99		(1,035.86	)	—	—		0.875	1.001		MS	8,460.16	48,372.22		2/28/2012	3/2/2015
00037BAA0	ABB FINANCE USA INC SENIOR CORP BND			2,879,700.00	2,934,013.35	2,900,000.00	2,882,237.41	51,775.94		4,520.8		—	—		1.625	1.772		MN	6,937.85	86,091.00		5/3/2012	5/8/2017
90261XGX4	UBS AG CORP BND	F		2,898,753	2,935,451.28	2,900,000	2,899,544.28	35,907		(47,594.02	)	—	—		2.25	2.265		JJ	27,731.25	110,000		1/25/2011	1/28/2014
BRSC095F6	IPAYMENT INC. TERM LOAN		2	2,920,300.02	2,936,325.01	2,940,000.01	2,922,458.47	13,866.54		4,559.1		—	—		—	0.136		FMAN	—	61,968.05		9/19/2012	5/8/2017



31398T6X4	FNMA CMO 10-113 FA		2	2,913,251.17	2,937,014.18	2,920,095.15	2,914,308.88	22,705.3		(77,252.55	)	—	—	0.61	0.696		MON	296.73	70,986.66		8/10/2011	10/25/2040
BRS9ND148	EUROPEAN INVESTMENT BANK CORP BND	D		2,615,296.23	2,937,051.69	1,700,000.00	2,592,315.38	344,736.31		1,465.51		—	81.92	3	2.571		DEC	208,499.65	39,364.92		7/12/2010	12/7/2015
BRSABN708	DEAN FOODS COMPANY TERM LOAN		2	2,890,853.04	2,940,926.57	2,937,255	2,907,448.69	33,477.88		8,104.27		—	—	—	0.309		MJSD	—	129,942.38		5/16/2011	4/2/2016
BRSBRMCQ8	WARNER CHILCOTT CORP TERM LOAN		2	2,875,316.72	2,941,564.48	2,910,926.96	2,880,073.6	61,490.88		10,719.23		—	—	—	0.201		MJSD	—	100,825.79		8/15/2012	3/15/2018
92922F3N6	WAMU_05-A12 CMO_05-AR12 1A8		2	3,156,771.54	2,956,170.91	3,189,161.48	3,158,607.74	(202,436.83	)	(1,186.99	)	—	—	2.472	2.669		MON	6,570.63	67,453.97		1/10/2008	10/25/2035
BRSBHPM99	TRANSUNION CORP TERM LOAN		2	2,823,541.40	2,958,392.97	2,912,291.40	2,841,429.27	116,963.7		10,127.05		—	—	—	0.474		MJSD	—	160,996.89		8/29/2011	2/12/2018
BRSGD3QG1	GWF ENERGY HOLDINGS LLC SENIOR SECURED			2,925,000	2,966,265	3,000,000	2,925,477.83	40,787.17		—		—	—	—	0.42		FMAN	—	—		11/27/2012	11/27/2018
3137A7SR2	FHLMC CMO_3824 FA		2	2,978,687.04	2,972,807.11	2,978,687.04	2,978,687.04	(5,879.93	)	(17,890.18	)	—	—	0.359	0.359		MON	475.27	48,757.66		2/28/2011	3/15/2026
BRSEM91J4	SYNIVERSE HLDGS SENIOR SEC TERM NOTES			2,915,748	2,975,579.74	2,945,200	2,918,556.67	57,023.07		5,174.57		—	—	—	0.142		JAJO	—	216,708.34		4/20/2012	4/23/2019
31385W2S7	FNMA POOL # 555285		2	2,968,264.89	2,976,375.06	2,693,830.88	2,959,386.66	16,988.4		(30,103.57	)	—	—	6	2.696		MON	13,469.16	74,623.94		1/5/2011	3/1/2033
23311VAC1	DCP MIDSTREAM OPERATING LP SENIOR CORP		1	2,956,525.25	2,976,802.4	2,975,000.00	2,956,855.92	19,946.48		(2,164.72	)	—	—	2.5	2.633		JD	7,024.31	5,800		11/19/2012	12/1/2017
904764AN7	UNILEVER CAPITAL CORP SENIOR CORP BND			2,988,090.00	2,984,474.94	3,000,000.00	2,989,729.41	(5,254.47	)	15.09		—	—	0.45	0.584		JJ	5,587.50	1,096.88		7/30/2012	7/30/2015
06406HCE7	BANK OF NEW YORK CO SENIOR CORP BND		1	2,995,710	2,987,274.87	3,000,000.00	2,995,842.37	(8,567.5	)	318.2		—	—	1.3	1.328		JJ	7,150.00	—		10/18/2012	1/25/2018
G816B7AA2	SILK ROAD FINANCE NUMBER THREE ABS_12-1	D	2	2,941,311.68	2,989,401.07	1,819,920.00	2,941,848.14	47,552.93		(5,785.27	)	—	7.51	1.868	1.422		MJSD	43,604.2	7,857.60		11/30/2012	6/21/2055
021441AD2	ALTERA CORPORATION SENIOR CORP BND			2,920,524.75	2,991,230.24	2,925,000	2,921,085.8	70,144.44		(103,582.51	)	—	—	1.75	1.782		MN	6,540.62	181,875		11/8/2012	5/15/2017
BRSEYKM87	VWR FUNDING INC TERM NOTES			2,947,095.12	2,992,685.79	2,976,863.76	2,950,002.81	42,682.98		418.92		—	—	—	0.207		MJSD	—	41,624.22		5/18/2012	4/30/2017
900212AE1	TURLOCK CORPORATION SENIOR CORP BND 144A			2,997,390	2,999,784.39	3,000,000.00	2,997,490.65	2,293.74		2,147.65		—	—	0.95	0.98		MN	3,245.83	43,750		11/14/2012	11/2/2015
912828TL4	UNITED STATES TREASURY GOVT BND			2,999,531.25	3,000,930.00	3,000,000.00	2,999,595.84	1,334.16		1,634.16		—	—	0.25	0.258		FA	2,548.34	(458.56	)	9/24/2012	8/31/2014
BRSG82NP2	CONSOLIDATED COMMUNICATIONS IN SENIOR		2	2,970,000.00	3,003,750	3,000,000.00	2,970,000	33,750		8.9		—	—	—	0.168		FMAN	—	615.36		11/29/2012	12/31/2018
515110BG8	LANDWIRTSCHAFTLICHE RENTENBANK SENIOR	F		2,993,280.00	3,004,259.94	3,000,000.00	2,993,683.65	10,576.29		3,748.17		—	—	0.875	0.921		MS	7,947.92	15,625		9/5/2012	9/12/2017
06366RHA6	BANK OF MONTREAL SENIOR CORP BND MTN	A		2,995,380	3,004,533.24	3,000,000.00	2,995,656.79	8,876.45		(7,036.05	)	—	—	1.4	1.432		MS	12,833.33	28,604.17		9/4/2012	9/11/2017
912828SY7	UNITED STATES TREASURY GOVT BND			2,987,578.11	3,004,590.24	3,000,000.00	2,988,850.54	15,739.7		573.12		—	—	0.625	0.711		MN	1,648.35	2,300.13		6/25/2012	5/31/2017
912828SZ4	UNITED STATES TREASURY GOVT BND			2,998,359.36	3,004,679.94	3,000,000.00	2,998,641.23	6,038.71		1,272.43		—	—	0.375	0.394		JD	525.41	7,940.57		6/25/2012	6/15/2015
BRSFHP193	MCC IOWA LLC TERM LOAN			2,917,687.50	3,004,963.76	2,992,500.00	2,920,794.77	84,168.99		1,791.69		—	—	—	0.339		FMAN	—	67,163.19		8/15/2012	1/20/2020
BRSCQ2G46	IMMUCOR INC. TERM LOAN		2	2,844,108	3,005,762.95	2,962,612.50	2,866,457.81	139,305.14		84,331.59		—	—	—	0.579		FMAN	—	239,459.39		8/17/2011	8/17/2018
BRSBNH1C6	DINEEQUITY INC		2	2,976,187.67	3,009,689.31	2,980,111.70	2,975,123.05	34,566.26		37,456.14		—	—	—	(0.227	)	JAJO	—	141,964.34		6/12/2012	10/19/2017
BRSEGRYL0	WENDYS INTERNATIONAL INC. SENIOR SEC		2	2,957,174.01	3,009,706.88	2,972,550.00	2,958,237.54	51,469.34		8,643.68		—	—	—	0.075		FMAN	—	166,245.65		7/16/2012	5/15/2019
36162RAC2	GEEST_12-1A ABS 12-1A 144A		2	2,999,393.10	3,013,320.00	3,000,000.00	2,999,546.43	13,773.57		36.46		—	—	1.04	1.051		MON	866.67	37,230		5/22/2012	9/21/2015
BRSBT4DY8	SERENA SOFTWARE TERM LOAN			2,983,750.00	3,015,000	3,000,000.00	2,989,117.87	25,882.13		31,045.81		—	—	—	0.112		MJSD	—	112,170.25		6/2/2011	3/10/2016
02005EAC4	ALLYA_12-3 ABS 12-3		2	2,999,894.7	3,019,199.97	3,000,000.00	2,999,909.79	19,290.18		154.48		—	—	0.85	0.852		MON	1,133.33	12,544.92		5/22/2012	8/15/2016
40414LAB5	HEALTH CARE PROPERTY INVESTORS CORP BND			2,982,845.25	3,026,022.49	2,975,000.00	2,977,893.54	48,128.95		(7,549.44	)	—	—	2.7	2.608		FA	33,468.75	164,008.30		1/20/2011	2/1/2014
31359MRK1	FNMA AGENCY BND			3,126,550.66	3,042,810.00	3,000,000.00	3,013,696.81	29,113.19		(18,094.92	)	—	—	4.625	3.225		MN	23,125	(58,275.00	)	2/19/2010	5/1/2013
G6459BCU3	NETWORK RAIL INFRASTRUCTURE FI CORP BND	F		3,097,697.05	3,043,200	3,000,000.00	3,013,855.02	29,344.98		(18,134.32	)	—	—	3.5	2.451		JUN	56,583.33	174,762.5		2/19/2010	6/17/2013
064149B97	BANK OF NOVA SCOTIA CORP BND	A		2,989,500	3,055,244.28	3,000,000.00	2,997,033.7	58,210.58		2,751.06		—	—	2.375	2.48		JD	2,770.84	79,895.83		6/10/2010	12/17/2013



167562MD6	CHICAGO IL MIDWAY ARPT MUNITAX BND REV		1	3,081,036.68	3,057,570.00	3,000,000	3,080,959.74	(23,389.74	)	(1,576.89	)	—	—	3.532	3.389		JJ	52,980	150,698.67	12/3/2012	1/1/2041
BRSC51AB1	STAR WEST GENERATION LLC TERM LOAN			3,035,923.08	3,059,496	3,046,153.85	3,038,260.45	21,235.55		1,092.58		—	—	—	0.048		FMAN	—	109,695.31	5/18/2011	5/17/2018
BRSBK9AU7	TRANSDIGM GROUP INC TERM LOAN		2	2,931,874.62	3,062,631.27	3,040,511.55	2,957,324.33	105,306.94		11,564.7		—	—	—	0.663		FMAN	—	145,087.85	8/29/2011	2/14/2017
3138A9YZ1	FNMA POOL # AH7927		2	2,986,129.87	3,062,871.08	2,884,714.14	2,982,168.55	80,702.53		(139,124.36	)	—	—	3.5	1.594		MON	8,413.75	184,311.89	8/3/2011	8/1/2026
25459HBE4	DIRECTV HOLDINGS LLC/DIRECTV F SENIOR			2,996,986.10	3,070,525.35	3,000,000.00	2,997,412.72	73,112.63		401.48		—	—	2.4	2.422		MS	21,200	46,033.33	5/15/2012	3/15/2017
423074AJ2	HEINZ H. J. COMPANY CORP BND			3,203,550.00	3,075,360.00	3,000,000.00	3,075,747.12	(387.12	)	46.33		—	—	5.35	0.641		JJ	74,008.33	—	1/31/2012	7/15/2013
85771PAD4	STATOIL ASA SENIOR CORP BND	F		2,995,140.00	3,083,707.8	3,000,000.00	2,996,179.16	87,528.64		(1,495.06	)	—	—	1.8	1.834		MN	5,700	11,250	11/16/2011	11/23/2016
502441AA6	LVMH MOET HENNESSY LOUIS VUITT SENIOR	F		3,041,246.50	3,086,918.69	3,050,000.00	3,042,103.17	44,815.52		(80,354.49	)	—	—	1.625	1.685		JD	275.34	317,233.11	6/26/2012	6/29/2017
65557CAG8	NORDEA BANK AB CORP BND 144A	F		3,075,000.00	3,097,262.73	3,075,000.00	3,075,000	22,262.73		577.15		—	—	1.24	1.203		JAJO	8,263.17	1,438.63	1/11/2011	00/00/0000
202795HH6	COMMONWEALTH EDISON COMPANY SECURED CORP			3,126,706.50	3,097,991.87	2,850,000.00	3,074,817.27	23,174.6		(22,330.74	)	—	—	4.7	1.191		AO	28,278.33	11,700	6/14/2012	4/15/2015
4521518T3	ILLINOIS ST MUNI BND GO			3,144,919	3,100,000	3,100,000	3,100,000	—		(20,179	)	—	—	3.321	2.808		JJ	51,475.5	17,148.86	1/12/2010	1/1/2013
BRS9NN9D8	CHARTER COMMUNICATIONS HOLDING TERM LOAN		2	3,036,714.08	3,113,653.61	3,093,745.36	3,051,722.17	61,931.44		(5,316.45	)	—	—	—	0.362		MJSD	—	218,186.53	8/15/2011	9/6/2016
06366QW86	BANK OF MONTREAL CORP BND MTN	A		2,993,850	3,138,826.23	3,000,000	2,994,986.65	143,839.58		1,926.81		—	—	2.5	2.544		JJ	35,416.67	82,926.66	1/6/2012	1/11/2017
36241KEC8	GNMA POOL # 781931		2	2,801,280.95	3,140,583.64	2,713,105.05	2,797,585.78	342,997.86		(30,607.2	)	—	—	6.5	5.66		MON	14,695.99	285,430.53	8/15/2008	5/15/2035
3138E9L40	FNMA POOL # AK4846		2	3,109,444.01	3,149,647.58	2,980,893.00	3,106,094.32	43,553.26		(384.29	)	—	—	3	1.044		MON	7,452.23	2,364.67	4/24/2012	5/1/2027
06406HBQ1	BANK OF NEW YORK CO CORP BND MTN			2,996,130.00	3,153,091.3	3,000,000.00	2,998,023.5	155,067.80		(24,307.39	)	—	—	2.95	2.978		JD	3,195.84	181,750	6/11/2010	6/18/2015
94974BEZ9	WELLS FARGO & COMPANY SENIOR CORP BND			2,992,320	3,156,739.65	3,000,000.00	2,993,857.75	162,881.9		(32,251.99	)	—	—	2.625	2.68		JD	3,500	90,861.63	12/5/2011	12/15/2016
G089B6CD0	BARCLAYS BANK PLC - GTD SENIOR CORP BND	D		2,994,579.49	3,159,146.47	1,900,000.00	2,997,034.73	162,111.74		1,864.61		—	859.09	1.5	1.612		APR	111,006.38	261,092.08	3/28/2012	4/4/2017
BRSGZA7E7	TRANSFIRST HOLDINGS INC SENIOR SECURED			3,128,400.00	3,167,900	3,160,000.00	3,128,400	39,500		—		—	—	—	0.205		MJSD	—	—	12/20/2012	12/15/2017
06051GEG0	BANK OF AMERICA CORP BND			3,183,270.00	3,175,177.47	3,000,000.00	3,182,045.66	(6,868.19	)	(3,118.11	)	—	—	3.625	1.674		MS	31,416.67	53,689.51	12/19/2012	3/17/2016
05565QBN7	BP CAPITAL MARKETS PLC CORP BND	F		2,991,480	3,184,883.19	3,000,000.00	2,995,154.15	189,729.04		(12,836.41	)	—	—	3.125	3.187		AO	23,437.5	54,375	9/28/2010	10/1/2015
BRSF5Z2P7	WIRECO WORLDGROUP INC TERM NOTES			3,086,015.62	3,187,324.22	3,117,187.5	3,088,995.8	98,328.42		930.42		—	—	—	0.217		MJSD	—	43,138.16	6/28/2012	2/15/2017
BRS38FMB4	UNITED AIR LINES INC. TERM LOAN			3,105,063.1	3,187,366.41	3,184,039.09	3,152,853.35	34,513.06		29,054.99		—	—	—	0.892		FMAN	—	73,485.2	11/14/2012	2/1/2014
427866AS7	HERSHEY FOODS CORPORATION CORP BND			3,117,718.75	3,187,574.38	3,125,000.00	3,119,326.97	68,247.41		5,125.49		—	—	1.5	1.549		MN	7,812.50	46,372.97	11/8/2012	11/1/2016
68389XAD7	ORACLE CORPORATION CORP BND			3,148,866.00	3,190,761	3,150,000.00	3,149,930.09	40,830.91		906.54		—	—	4.95	4.958		AO	32,917.5	198,573.85	4/2/2008	4/15/2013
05565QBH0	BP CAPITAL MARKETS PLC CORP BND	F		3,182,550.00	3,196,438.29	3,000,000.00	3,124,055.23	72,383.06		(6,567.4	)	—	—	3.875	1.935		MS	35,843.75	89,802.71	12/6/2011	3/10/2015
62889KAA9	NATIONAL CREDIT UNION ADMINIST AGENCY			3,200,000.00	3,199,840.00	3,200,000.00	3,200,000.00	(160.00	)	(11,676.78	)	—	—	0.232	0.205		MON	412.44	95,000	6/8/2011	6/12/2013
70659PAB7	PENAR_11-1-A1 ABS_11-1 A1 144A	F	2	3,200,000	3,204,070.40	3,200,000.00	3,200,000	4,070.4		52,898.48		—	—	0.859	0.861		MON	1,068.98	21,869.28	12/19/2011	5/18/2015
38374JUS3	GNMA CMO_04-82 MA		2	3,329,377.85	3,209,746.3	3,131,459.80	3,219,972.05	(10,225.75	)	(48,852.62	)	—	—	5	(0.953	)	MON	13,047.75	72,639.05	3/9/2011	11/20/2032
65557FAC0	NORDEA BANK AB SENIOR CORP BND 144A	F		3,118,343.75	3,213,814.75	3,125,000.00	3,120,041.67	93,773.08		100.76		—	—	2.25	2.324		MS	19,726.56	22,743.05	3/14/2012	3/20/2015
165182BA3	CF_09-2A ABS 12-1A 144A		2	3,200,000	3,217,280	3,200,000.00	3,200,000	17,280		3,261.91		—	—	0.963	0.965		MON	2,140	4,862.53	5/10/2012	11/7/2023
BRS96AL33	BANK NEDERLANDSE GEMEENTEN CORP BND EMTN	D		2,949,500.73	3,228,071.09	1,950,000.00	2,937,759.41	290,311.68		28.71		—	55.69	2.625	2.447		DEC	241,707.56	1,954.94	4/27/2010	12/10/2013
44920UAC2	HYUNDAI CAPITAL SERVICES INC CORP BND	F		2,982,210.00	3,233,534.55	3,000,000.00	2,987,963.65	245,570.90		631.22		—	—	4.375	4.498		JJ	56,145.83	70,000	1/20/2011	7/27/2016
893830BD0	TRANSOCEAN INC SENIOR CORP BND	F		3,190,848	3,233,622.82	3,200,000	3,191,360.32	42,262.5		0.38		—	—	2.5	2.56		AO	24,000	—	9/10/2012	10/15/2017



36179MNJ5	GNMA POOL # MA0393		2	3,256,203.26	3,239,749.08	2,969,570.13	3,254,435.5	(14,686.42	)	(20,008.88	)	—	—	4	1.6	MON	9,898.56	69,327.81		10/18/2012	9/20/2042
9612EAAB1	WESTPAC SECURITIES NZ LTD CORP BND GOVT	F		3,130,512.81	3,245,390.06	3,100,000.00	3,113,412.59	131,977.47		(1,326.02	)	—	—	3.45	3.166	JJ	45,453.75	5,468.75		11/12/2010	7/28/2014
912828RW2	UNITED STATES TREASURY GOVT BND			3,242,890.63	3,247,985.13	3,250,000.00	3,246,325.06	1,660.07		(928.13	)	—	—	0.125	0.239	JD	11.22	32,812.5		1/20/2012	12/31/2013
981464DG2	WFNMT_12-C ABS 12-C		2	3,188,784.29	3,256,990	3,190,000.00	3,188,864.93	68,125.07		(11,663.2	)	—	—	2.23	2.247	MON	3,161.65	109,032.44		7/13/2012	8/15/2022
313373JR4	FEDERAL HOME LOAN BANKS AGENCY BND			3,265,491.27	3,260,525.08	3,210,000.00	3,237,449.61	23,075.47		(27,559.55	)	—	—	1.375	0.762	MN	4,045.94	47,857.15		7/18/2011	5/28/2014
63254AAA6	NATIONAL AUSTRALIA BANK LIMITE CORP BND	E		3,199,072	3,268,916	3,200,000.00	3,199,318.78	69,597.22		2,337.88		—	—	2	2.01	MS	19,911.11	54,044.27		3/1/2012	3/9/2015
BRSDRTRZ3	EXPORT DEVELOPMENT CANADA(LT)G CORP BND	T		3,070,723.61	3,275,800.25	2,000,000	3,070,803.86	204,996.39		(2,146.05	)	—	30.84	1	1.001	DEC	182,126.15	(2,714.2	)	1/11/2012	12/8/2014
62889GAA8	NCUA GUARANTEED NOTES CMO 11-R5 1A		2	3,276,382.09	3,287,226.92	3,276,382.09	3,276,382.09	10,844.83		(934.33	)	—	—	0.588	0.588	MON	1,458.4	23,567.71		6/10/2011	4/6/2020
BRS9PGR33	ARAMARK CORP LOAN TERM		2	3,184,500.77	3,294,863.4	3,284,026.11	3,206,500.23	88,363.17		19,166.37		—	—	—	0.651	JAJO	—	127,972.22		8/19/2011	7/26/2016
459200HC8	IBM CORP CORP BND			3,260,491.75	3,308,237.22	3,275,000.00	3,263,039.07	45,198.15		(23,415.96	)	—	—	1.25	1.342	FA	16,488.71	67,304.86		2/22/2012	2/6/2017
459200GT2	IBM CORP CORP BND			3,291,708	3,313,530.33	3,300,000.00	3,298,326.2	15,204.13		2,547.45		—	—	1	1.086	FA	13,383.33	48,094.07		9/15/2010	8/5/2013
BRSDR1PS2	KREDITANSTALT FUER WIEDERAUFBA CORP BND	D		3,183,652.29	3,340,344.31	2,000,000.00	3,181,238.78	159,105.53		(53,413.08	)	—	1,342.68	1.75	1.634	JAN	134,821.71	100,500		3/20/2012	1/22/2016
63254AAC2	NATIONAL AUSTRALIA BANK LIMITE SENIOR	E		3,297,888.00	3,350,464.52	3,300,000.00	3,298,163.57	52,300.95		96.97		—	—	1.6	1.622	FA	21,120	7,829.86		7/26/2012	8/7/2015
35671DAW5	FREEPORT-MCMORAN COPPER & GOLD SENIOR			3,345,980	3,357,069.21	3,350,000	3,346,672.79	10,396.42		503.08		—	—	2.15	2.175	MS	24,008.34	2,184.72		2/8/2012	3/1/2017
BRSEBGYC9	MONITRON INTL SENIOR SECURED TERM NOTES			3,301,643.11	3,368,430.32	3,328,225.36	3,304,968.11	63,462.21		6,311.29		—	—	—	0.133	MJSD	—	189,220.08		11/5/2012	3/16/2018
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA CORP BND	F		3,310,503	3,369,542.96	3,325,000.00	3,312,951.16	56,591.8		498.55		—	—	1.5	1.591	FA	18,564.59	14,421.89		2/14/2012	2/17/2017
31416BSX7	FNMA POOL # 995234		2	3,359,927.39	3,385,702.69	3,129,152.40	3,335,570.4	50,132.29		(62,298.53	)	—	—	5	1.841	MON	13,038.14	147,373.96		11/10/2011	7/1/2019
871829AP2	SYSCO CORPORATION CORP BND			3,380,346	3,391,548.26	3,400,000.00	3,383,956.47	7,591.79		(53,973.73	)	—	—	0.55	0.745	JD	986.95	241,112.64		9/26/2012	6/12/2015
912828RZ5	UNITED STATES TREASURY GOVT BND			3,392,175.46	3,398,809.86	3,400,000.00	3,394,622.35	4,187.51		(3,957.03	)	—	—	0.25	0.328	JJ	3,926.63	53,737.19		1/25/2012	1/15/2015
BRSBUXKY4	KINDRED HEALTHCARE INC. TERM LOAN			3,481,782.50	3,425,940.81	3,496,750.00	3,485,128.15	(59,187.34	)	2,524.52		—	—	—	0.061	MJSD	—	134,009.34		5/19/2011	6/1/2018
69353UAB7	PPL WEM HOLDINGS PLC CORP BND 144A	F		3,397,355.00	3,440,915.17	3,250,000.00	3,370,163.52	70,751.65		2,513.39		—	—	3.9	2.731	MN	21,125	41,766.66		3/9/2012	5/1/2016
718546AG9	PHILLIPS 66 SENIOR CORP BND 144A			3,249,415	3,441,828.39	3,250,000.00	3,249,603.26	192,225.13		(109,666.48	)	—	—	2.95	2.953	MN	15,979.17	295,740.32		3/7/2012	5/1/2017
BRSF89UY2	HOLOGIC INC. SENIOR SECURED TERM NOTES		2	3,387,210.75	3,466,622.02	3,421,425	3,389,148.58	77,473.44		253.83		—	—	—	0.142	MJSD	—	49,959.34		7/19/2012	8/1/2019
G3677PBU6	FOSSM_10-3 ABS 10-3	D	2	3,434,050.29	3,486,488.77	2,125,169.15	3,429,341.59	57,147.18		(1,958.89	)	—	204.24	2.053	0.415	JAJO	63,423.57	(5,020.69	)	11/30/2012	10/18/2054
423012AB9	HEINEKEN N.V. SENIOR CORP BND 144A	F		3,495,559.23	3,489,335.15	3,500,000.00	3,495,753.85	(6,418.7	)	811.45		—	—	1.4	1.426	AO	11,025	140,224.35		10/3/2012	10/1/2017
G5577Y5Y2	LLYODS TSB BANK PLC - LT GTD SENIOR	D		3,363,326.11	3,491,174.13	2,100,000.00	3,365,966.77	125,207.36		(4,092.18	)	—	299.02	1.5	1.62	MAY	63,892.48	52,900.65		4/25/2012	5/2/2017
651229AN6	NEWELL RUBBERMAID INC. SENIOR CORP BND			3,461,084.55	3,491,458.60	3,465,000.00	3,461,141.69	30,316.91		1,226.53		—	—	2.05	2.074	JD	5,327.44	23,750		11/29/2012	12/1/2017
03523TBC1	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			3,500,000	3,518,445.00	3,500,000.00	3,500,000	18,445		(210,536.6	)	—	—	0.863	0.854	JAJO	5,371.33	353,079.59		1/24/2011	1/27/2014
44890FAC1	HYUNDAI AUTO LEASE SECURITIZAT ABS_12-A		2	3,499,626.55	3,519,915.00	3,500,000.00	3,499,712.48	20,202.52		51.11		—	—	0.92	0.927	MON	1,431.11	5,806.69		6/13/2012	8/17/2015
BRSG4MWC1	TALLGRASS ENERGY PARTNERS LP SENIOR			3,455,100.00	3,530,728.3	3,490,000.00	3,455,757.97	74,970.33		685.85		—	—	—	0.167	JAJO	—	1,196.62		10/25/2012	10/25/2018
126802BS5	CABMT_10-IA ABS_11-2A A2		2	3,500,000.00	3,533,179.93	3,500,000.00	3,500,000	33,179.93		4.87		—	—	0.809	0.81	MON	1,179.79	6,167.63		6/22/2011	6/17/2019
BRSG8UAX7	FLEETPRIDE INC SENIOR SECURED TERM LOAN			3,508,450	3,542,690.35	3,530,000	3,508,654.93	34,035.42		188.59		—	—	—	0.087	FMAN	—	7,794.61		12/5/2012	11/15/2019
38376YC58	GNMA_10-47 AGENCY CMO 10-47		2	3,590,621.56	3,560,366.45	3,477,599.58	3,557,502.05	2,864.4		(130,254.96	)	—	—	3	0.151	MON	8,694	149,789.64		3/21/2012	11/16/2030
3133XSP93	FEDERAL HOME LOAN BANKS AGENCY BND			3,612,678.30	3,560,599.45	3,465,000.00	3,500,690.18	59,909.27		116.2		—	—	3.125	2.022	JD	5,414.06	2,674.60		11/25/2009	12/13/2013



914455KX7	UNIVERSITY MICH UNIV REVS MUNITAX BND			3,500,000	3,578,260	3,500,000	3,500,000	78,260		—		—	—		1.754	1.754		AO	15,347.5	22,350		10/28/2010	4/1/2015
62889FAA0	NGN_11-R4 CMO_11R4-1A		2	3,575,507.33	3,580,870.59	3,575,507.33	3,575,507.33	5,363.26		(448.3	)	—	—		0.563	0.564		MON	1,453.84	3,707.14		6/10/2011	3/6/2020
D4085B7T2	KREDITANSTALT FUER WIDERAUFBAU CORP BND	D		3,496,559	3,586,104.3	2,000,000	3,426,641.74	159,462.56		(16,676.51	)	—	543.45		3.75	1.649		SEP	104,269.93	(37,207.28	)	11/9/2011	9/7/2016
N3579VAP6	GLDR_10-A ABS_10-A A	D	2	3,539,145.94	3,586,758.49	2,688,711.28	3,536,247.8	50,510.69		(3,571.56	)	—	(8.12	)	1.71	(0.137	)	MON	50,417.59	3,200.45		11/30/2012	4/20/2018
93934FEN8	WMALT_05-5 CMO 05-9-2A2		2	3,798,092.70	3,597,773.12	4,145,258.08	3,827,835.32	(230,062.2	)	4,082.24		—	—		5.5	7.498		MON	18,999.1	76,638.95		12/17/2007	11/25/2035
373334JV4	GEORGIA POWER COMPANY CORP BND			3,399,082	3,600,530.03	3,400,000	3,399,374.82	201,155.21		(13,747.46	)	—	—		3	3.006		AO	21,533.33	31,416.67		4/12/2011	4/15/2016
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP. TERM LOAN		2	3,437,472.07	3,606,581.87	3,577,514.57	3,464,517.84	142,064.03		36,199.88		—	—		—	0.575		MJSD	—	223,829.7		12/14/2012	6/8/2018
34529QAC7	FORDL_11-A ABS_11-A A3		2	3,599,883.00	3,607,308.11	3,600,000.00	3,599,943.89	7,364.22		45.48		—	—		1.03	1.033		MON	1,648	8,581.82		6/29/2011	7/15/2014
89233P5E2	TOYOTA MOTOR CREDIT CORP CORP BND MTN			3,481,835	3,615,787.42	3,500,000.00	3,486,372.45	129,414.97		57.54		—	—		2	2.11		MS	20,611.11	8,173.61		9/8/2011	9/15/2016
89235UAD5	TOYOTA AUTO RECEIVABLES OWNER TAOT		2	3,599,430.48	3,620,808.11	3,600,000.00	3,599,855.92	20,952.19		46.18		—	—		1.09	1.098		MON	1,744	4,663.84		9/22/2010	12/15/2014
D40859GT7	KREDITANSTALT FUER WIDERAUFBAU CORP BND	D		3,582,188.95	3,621,708.36	1,850,000	3,565,512.44	56,195.92		—		—	1,325.76		5.625	0.923		AUG	140,875.57	7,249.32		11/13/2012	8/25/2017
62888UAA8	NGN_10-R2 CMBS_10-R2 1A		2	3,616,629.31	3,624,549.73	3,616,629.31	3,616,629.31	7,920.42		1,212.57		—	—		0.578	0.578		MON	1,522.8	15,744.31		6/10/2011	11/6/2017
62888YAA0	NGN_11-R1 CMO_11-R1 IA		2	3,642,407.51	3,644,333.86	3,640,911.41	3,642,076.26	2,257.60		(178,511.47	)	—	—		0.658	0.648		MON	1,814.54	209,560.73		6/10/2011	1/8/2020
89114QAB4	TORONTO-DOMINION BANK CORP BND MTN	A		3,486,945.00	3,655,008.88	3,500,000.00	3,490,598.08	164,410.8		1,622.94		—	—		2.5	2.58		JJ	40,590.28	37,083.33		7/7/2011	7/14/2016
055451AM0	BHP BILLITON FINANCE (USA) LTD SENIOR	F		3,650,000	3,660,001.07	3,650,000.00	3,650,000	10,001.07		(5,758.08	)	—	—		0.581	0.735		FMAN	2,533	13,061.64		2/21/2012	2/18/2014
36241KKB3	GNMA POOL # 782090		2	3,335,238.15	3,663,975.96	3,208,888.20	3,328,290.78	335,685.18		(18,750.12	)	—	—		6.5	5.578		MON	17,381.48	148,870.86		11/30/2007	5/15/2036
1107098Z8	BRITISH COLUMBIA PROVINCE OF CORP BND	A		3,499,335	3,680,494.93	3,500,000.00	3,499,543.16	180,951.77		(145,217.65	)	—	—		2.1	2.104		MN	8,779.17	285,000		5/11/2011	5/18/2016
25459HAV7	DIRECTV HOLDINGS LL/DIR TV FIN CORP BND			3,569,208.75	3,697,224.31	3,525,000	3,551,735.74	145,488.57		(8,615.05	)	—	—		3.125	2.869		FA	41,614.58	122,831.26		10/15/2010	2/15/2016
31385XAZ0	FNMA POOL # 555424		2	3,685,292.17	3,703,178.79	3,385,612.56	3,677,985.4	25,193.39		(104,319.39	)	—	—		5.5	2.16		MON	15,517.39	189,626.97		1/25/2012	5/1/2033
84650WAA4	SPAREBNK 1 BOLIG LOCAL BND 144A	F		3,711,358.00	3,720,831.64	3,700,000.00	3,709,134.95	11,696.69		(5,296.98	)	—	—		1.25	0.944		AO	8,479.16	140,319.46		9/11/2012	10/25/2013
38143USC6	GOLDMAN SACHS GROUP INC CORP BND			3,717,253.5	3,721,734.34	3,525,000	3,701,687.32	20,047.02		(9,446.82	)	—	—		3.625	1.951		FA	51,112.5	78,523.03		9/14/2012	2/7/2016
N28183AB2	DMPL_II ABS II	D	2	3,690,194.24	3,740,922.64	2,837,196.45	3,690,192.35	50,730.29		(821.39	)	—	25.98		0.441	0.441		FMAN	52,428.46	6,583.88		11/30/2012	5/20/2036
BRSB9FG89	ADVANTAGE SALES & MARKETING IN TERM LOAN			3,656,148.53	3,753,374.6	3,719,434.76	3,667,140.29	86,234.31		65,757.68		—	—		—	0.28		MJSD	—	132,285.71		6/15/2012	12/18/2017
449786AR3	ING BANK NV CORP BND 144A	F		3,714,234.75	3,759,413.45	3,725,000.00	3,715,181.01	44,232.44		—		—	—		2	2.1		MS	19,866.67	45,323.89		9/18/2012	9/25/2015
91159HHB9	US BANCORP CORP BND MTN		1	3,615,720.00	3,780,436.19	3,625,000.00	3,617,785.7	162,650.49		984.79		—	—		2.2	2.254		MN	10,190.28	22,500.00		10/27/2011	11/15/2016
767201AM8	RIO TINTO FINANCE LTD CORP BND	F		3,607,092.50	3,782,546.96	3,625,000.00	3,612,630.76	169,916.20		207.43		—	—		2.5	2.606		MN	10,321.18	24,375.00		5/17/2011	5/20/2016
78442GQP4	SLMA ABS_05-8 A3		2	3,741,725.00	3,791,864.48	3,810,000.00	3,768,029.88	23,834.6		5,644.88		—	—		0.425	0.877		JAJO	3,060.38	13,882.6		6/13/2011	10/25/2024
136375BU5	CANADIAN NATIONAL RAILWAY CORP BND	A	1	3,721,350	3,812,860.13	3,750,000	3,727,536.41	85,323.72		(3,487.63	)	—	—		1.45	1.607		JD	2,416.66	8,370.83		11/7/2011	12/15/2016
BRSD1YF59	MICROSEMI CORPORATION TERM LOAN		2	3,746,316.31	3,831,673.79	3,792,159.49	3,753,824.05	77,849.74		21,624.33		—	—		—	0.197		JAJO	—	162,733.9		7/25/2012	2/2/2018
20825CAT1	CONOCOPHILLIPS CORP BND			3,546,840.5	3,837,129.62	3,550,000	3,548,904.24	288,225.38		(46,155.33	)	—	—		4.6	4.616		JJ	75,299.45	285,967.17		5/18/2009	1/15/2015
BRSCDUPD8	TEAM HLTH INC. TERM LOAN			3,822,292.51	3,841,500.01	3,841,500.01	3,826,342.11	15,157.9		780.65		—	—		—	0.071		MJSD	—	29,027.98		6/28/2011	6/29/2018
10620NCG1	BRHEA_05-2 ABS 11-1 A2		2	3,748,794.81	3,851,718	3,800,000.00	3,764,814.22	86,903.78		11,824.42		—	—		1.112	1.361		FMAN	4,223.70	7,893.92		3/10/2011	2/25/2030
713448BX5	PEPSICO INC SENIOR CORP BND			3,838,310.4	3,854,722.56	3,840,000	3,838,771.85	15,950.71		150.39		—	—		0.75	0.765		MS	9,280	19,863.79		2/29/2012	3/5/2015
BRSEHTXV4	FREEDOM GROUP INC SENIOR SEC TERM NOTES		1	3,872,337.59	3,858,202.91	3,892,260.19	3,874,224	(16,021.09	)	2,567.14		—	—		—	0.073		MJSD	—	142,314.94		7/27/2012	4/19/2019



50076QAA4	MONDELEZ INTERNATIONAL INC SENIOR CORP			3,718,183.25	3,861,024.52	3,725,000.00	3,718,932.03	142,092.49		(65,708.46	)	—	—	2.25	2.289		JD	6,053.13	184,098.29	5/30/2012	6/5/2017
BRSFPRNH8	GETTY IMAGES INC. SENIOR SECURED TERM		1	3,847,500.00	3,885,171.88	3,875,000.00	3,847,915.3	37,256.58		746.23		—	—	—	0.004		JAJO	—	29,739.92	11/13/2012	10/18/2019
806854AC9	SCHLUMBERGER INVESTMENT SA SENIOR CORP	F		3,908,635	3,900,032.66	3,875,000.00	3,901,484.46	(1,451.8	)	(826.2	)	—	—	0.861	0.618		MJSD	1,852.46	13,178.06	7/12/2012	9/12/2014
893526DH3	TRANSCANADA PIPELINES LIMITED CORP BND	A		3,673,161.75	3,900,262.25	3,675,000.00	3,674,074.04	226,188.21		510.07		—	—	3.4	3.411		JD	10,412.5	92,036.19	5/27/2010	6/1/2015
278642AB9	EBAY INC. CORP BND			3,801,381.76	3,910,164.79	3,808,000.00	3,806,240.37	103,924.42		419.9		—	—	1.625	1.641		AO	13,063.56	53,292.61	8/1/2012	10/15/2015
BRSFD0DY4	WINDSTREAM CORP SENIOR SEC TERM NOTES		1	3,841,695	3,914,473.78	3,880,500.00	3,843,487.34	70,986.44		374.76		—	—	—	0.144		FMAN	—	20,952.57	8/3/2012	8/2/2019
92867GAC7	VALET_12-1 ABS 12-1		2	3,919,954.53	3,942,971.16	3,920,000	3,919,957.95	23,013.21		100.08		—	—	0.85	0.852		MON	1,018.11	21,808.35	1/19/2012	8/22/2016
3128MTEE4	FHLMC GOLD POOL # H01033		2	3,713,833.26	3,987,851.39	3,642,407.91	3,711,021.54	276,829.85		(42,639.21	)	—	—	6.5	5.778		MON	19,729.71	175,431.38	10/31/2007	7/1/2037
BRSBH8VK2	VERTAFORE INC TERM LOAN		2	3,942,196.54	3,990,833.26	3,949,677.61	3,943,352.72	47,480.54		1,482.45		—	—	—	0.044		FMAN	—	135,772.98	3/13/2012	7/29/2016
G92451CZ7	UNITED KINGDOM GILT GOVT BND	D		3,902,677.90	3,994,877.57	2,350,000.00	3,861,344.37	133,533.2		26,541.98		—	1,295.92	2	0.995		JJ	107,677.17	224,131.99	11/9/2011	1/22/2016
064159BE5	BANK OF NOVA SCOTIA SENIOR CORP BND	A	1	3,995,560.00	3,997,788.08	4,000,000.00	3,995,593.09	2,194.99		355.61		—	—	1.375	1.398		JD	1,986.11	23,800	12/11/2012	12/18/2017
89231NAC7	TAOT_12-B ABS 12-B		2	3,999,619.60	3,998,160.08	4,000,000.00	3,999,665.78	(1,505.70	)	—		—	—	0.46	0.465		MON	817.78	1,878.24	9/18/2012	7/15/2016
3135G0NW9	FNMA AGENCY BND		1	3,999,600.00	4,003,200.08	4,000,000.00	3,999,643.48	3,556.6		100.07		—	—	0.625	0.628		MS	8,125	12,133.33	8/17/2012	9/4/2015
94974BFG0	WELLS FARGO & COMPANY SENIOR CORP BND			3,992,800.00	4,012,288.20	4,000,000.00	3,992,818.47	19,469.73		3,267.87		—	—	1.5	1.537		JJ	833.33	—	12/18/2012	1/16/2018
BRSFSRG42	AOT BEDDING SUPER HOLDINGS LLC SENIOR			3,995,000.00	4,012,920.00	4,000,000.00	3,995,105.18	17,814.82		59.39		—	—	—	0.018		MJSD	—	41,863.84	10/4/2012	10/1/2019
BRSC106T3	HCA INC Term loan		2	3,927,500.00	4,015,540.00	4,000,000.00	3,938,970.75	76,569.25		1,410.36		—	—	—	0.283		FMAN	—	139,654.04	1/10/2012	5/1/2018
713448BQ0	PEPSICO INC CORP BND			3,998,240.00	4,016,279.6	4,000,000.00	3,999,517.94	16,761.66		640.17		—	—	0.875	0.89		AO	6,416.67	67,604.17	10/19/2010	10/25/2013
254683AW5	DCENT_12-A4 ABS 12-A4		2	4,000,000.00	4,024,519.96	4,000,000.00	4,000,000.00	24,519.96		(64,696.38	)	—	—	0.579	0.58		MON	965	72,750.00	6/5/2012	11/15/2019
961214BX0	WESTPAC BANKING CORP SENIOR CORP BND	F		4,000,000	4,025,360.12	4,000,000	4,000,000	25,360.12		3,455.35		—	—	1.07	1.129		MJSD	713.33	90,625	9/18/2012	9/25/2015
BRSFRQMG1	REYNOLDS GROUP HOLDINGS INC SENIOR		2	3,977,909.89	4,029,642.61	3,977,909.89	3,977,909.89	51,732.72		195.83		—	—	—	—		MJSD	—	9,973.33	9/21/2012	9/28/2018
47787BAD7	JDOT_12-A ABS 12-A		2	3,999,112.40	4,039,440.00	4,000,000.00	3,999,294.81	40,145.19		160.22		—	—	0.99	0.998		MON	1,760	102,690.00	2/22/2012	6/15/2018
BRS8ZGYZ5	MICHAELS STORES INC. TERM LOAN		2	3,985,000.00	4,042,780	4,000,000.00	3,989,408.32	53,371.68		8,068.66		—	—	—	0.073		JAJO	—	160,115.5	6/22/2011	7/31/2016
BRSG3S869	SNL FINANCIAL LC SENIOR SECURED TERM			4,021,500.00	4,053,381.75	4,050,000.00	4,021,856.63	31,525.12		3,359.14		—	—	—	0.118		JAJO	—	—	10/31/2012	10/22/2018
913017BY4	UNITED TECHNOLOGIES CORP SENIOR CORP BND			3,997,760	4,057,245.16	4,000,000	3,998,190.69	59,054.47		3.75		—	—	1.2	1.219		JD	4,000	413.75	5/24/2012	6/1/2015
3128MCRQ0	FHLMC GOLD POOL # G13895		2	4,077,809.86	4,061,300.07	3,787,805.97	4,048,244.26	13,055.81		(293.53	)	—	—	5	1.951		MON	15,782.52	59,534.65	11/10/2011	11/1/2019
91159HGY0	US BANCORP CORP BND		1	4,044,775.5	4,075,191	4,050,000	4,048,768.61	26,422.39		(19,224.98	)	—	—	1.375	1.419		MS	16,706.25	39,811.11	9/8/2010	9/13/2013
38374VKJ7	GNMA CMO_09-45 BA		2	4,251,053.03	4,075,721.24	3,960,224.08	4,021,238.97	54,482.27		(107,306.58	)	—	—	5	(0.151	)	MON	16,500.93	122,044.46	3/7/2011	12/20/2033
BRSCAHX41	CALPINE CORPORATION TERM LOAN		2	4,008,211.25	4,084,781.21	4,038,500.00	4,014,839.01	69,942.2		84.14		—	—	—	0.11		JAJO	—	730.36	6/10/2011	4/1/2018
BRSE76GJ1	WEIGHT WATCHERS INTL INC SECURED TERM		2	4,013,818.87	4,091,196.38	4,054,362.50	4,017,592.42	73,603.96		9,181.6		—	—	—	0.145		MJSD	—	115,744.31	5/29/2012	3/15/2019
767201AF3	RIO TINTO FINANCE USA LIMITED CORP BND	F		4,576,294.00	4,098,927.17	3,700,000.00	4,040,192.21	58,734.96		(213,815.56	)	—	—	8.95	1.92		MN	55,191.67	309,350.00	10/28/2010	5/1/2014
285661AD6	ELECTRONIC DATA SYSTEMS CORP BND			4,501,240.00	4,101,440.00	4,000,000.00	4,092,775.50	8,664.50		67.41		—	—	6	1.985		FA	100,000	3,607.50	4/30/2010	8/1/2013
76112NAB0	RESIDENTIAL REINSURANCE 2012 L	F		4,000,000.00	4,111,200.00	4,000,000.00	4,000,000.00	111,200.00		—		—	—	8	8.071		MJSD	23,111.11	682,025.60	5/18/2012	6/6/2016
452227FG1	ILLINOIS ST SALES TAX REV MUNITAX BND			4,100,000.00	4,120,008	4,100,000.00	4,100,000	20,008		(796.58	)	—	—	1.56	1.56		JD	2,842.67	30,000	5/10/2012	6/15/2017
76720AAB2	RIO TINTO FINANCE (USA) PLC SENIOR CORP	F	1	4,019,848.00	4,137,661.72	4,025,000.00	4,020,617.54	117,044.18		(32,431.43	)	—	—	2	2.027		MS	22,137.5	72,288.88	3/19/2012	3/22/2017



63253WAA9	NATIONAL AUSTRALIA BANK SECURED LOCAL	F		3,993,960.00	4,137,720.04	4,000,000.00	3,994,575.32	143,144.72		613.18		—	—	2	2.032	JD	2,444.44	150,000	6/12/2012	6/20/2017
92343VBD5	VERIZON COMMUNICATIONS INC. CORP BND			3,974,920.00	4,139,856.28	4,000,000.00	3,980,525.87	159,330.41		2,594.22		—	—	2	2.133	MN	13,333.33	91,050.88	10/27/2011	11/1/2016
912828LZ1	UNITED STATES TREASURY GOVT BND			4,200,000.00	4,141,839.92	4,000,000.00	4,093,802.34	48,037.58		(108,000.39	)	—	—	2.125	0.885	MN	7,472.53	234,644.27	10/14/2010	11/30/2014
071813AZ2	BAXTER INTERNATIONAL INC CORP BND			4,010,640.00	4,155,338.77	4,000,000.00	4,002,659.64	152,679.13		1,314.33		—	—	4	3.941	MS	53,333.34	21,766.67	2/23/2009	3/1/2014
235851AL6	DANAHER CORPORATION CORP BND			3,993,600.00	4,158,248.28	4,000,000.00	3,995,473.73	162,774.55		(4,896.18	)	—	—	2.3	2.334	JD	2,044.45	21,185.47	6/20/2011	6/23/2016
541502AB6	LOMA REINSURANCE CORP BND 144A	F		4,000,000.00	4,164,920.00	4,000,000.00	4,000,000.00	164,920.00		—		—	—	18.083	18.421	MJSD	58,000.00	767,698.24	12/22/2011	1/9/2014
931142CT8	WAL-MART STORES INC CORP BND			4,188,920.00	4,166,573.2	4,000,000.00	4,150,652.6	15,920.6		(20,023.7	)	—	—	2.25	0.738	JJ	43,250	71,895.83	5/3/2012	7/8/2015
98417EAU4	XSTRATA FINANCE (CANADA) LTD SENIOR CORP	A		4,128,053.20	4,169,366.64	4,135,000.00	4,128,298.56	41,068.08		2,655.06		—	—	2.45	2.486	AO	18,573.05	11,500.01	10/18/2012	10/25/2017
17275RAG7	CISCO SYSTEMS INC CORP BND			3,989,840.00	4,186,678.76	4,000,000.00	3,996,014.37	190,664.39		(75,159.97	)	—	—	2.9	2.955	MN	14,177.78	262,500	11/9/2009	11/17/2014
14912L4U2	CATERPILLAR FINL SERV CORP CORP BND GMTN			4,219,068	4,213,172.12	4,200,000.00	4,208,786.76	4,385.36		(3,514.78	)	—	—	0.65	0.37	JAJO	6,979.36	28,662.38	7/12/2011	4/1/2014
3134G2U42	FHLMC AGENCY BND			4,200,497.09	4,215,894	4,210,000.00	4,206,290.14	9,603.86		2,483.1		—	—	0.375	0.488	AO	3,332.92	154,417.7	10/18/2011	10/15/2013
BRSG8SYA6	BASS PRO GROUP LLC SENIOR SECURED TERM			4,199,475.00	4,224,124.55	4,210,000.00	4,199,553.91	24,570.64		—		—	—	—	0.036	FMAN	—	—	11/16/2012	11/16/2019
882508AS3	TEXAS INSTRUMENTS INCORPORATED CORP BND			4,225,000.00	4,229,351.63	4,225,000.00	4,225,000	4,351.63		(172,159.97	)	—	—	0.49	0.58	FMAN	2,702.83	401,053.54	2/22/2012	5/15/2013
04044TAL0	ARISTOTLE HOLDING INC CORP BND 144A			4,060,025.00	4,251,644.2	4,100,000.00	4,066,757.08	184,887.12		2,361.55		—	—	2.65	2.86	FA	41,045.56	27,070.31	2/6/2012	2/15/2017
06415CAD1	BANK OF NOVA SCOTIA SECURED CORP BND	A		4,200,824.8	4,254,095.75	4,200,000.00	4,200,657.27	53,438.48		(5,818.25	)	—	—	1.05	1.043	MS	12,372.51	38,590.98	4/12/2012	3/20/2015
428236BW2	HEWLETT-PACKARD COMPANY UNSEC CORP BND			4,295,718.75	4,257,972.65	4,375,000.00	4,296,714.48	(38,741.83	)	(18,459.84	)	—	—	2.6	3.008	MS	33,493.06	95,171.47	12/5/2012	9/15/2017
BRSC103Q2	KAR HOLDINGS TERM LOAN		2	4,206,953.53	4,277,774.1	4,228,094	4,212,570.32	65,203.78		1,755.57		—	—	—	0.083	FMAN	—	167,403.49	5/16/2011	5/19/2017
BRSC9PVC9	PENN NTL GAMING INC. TERM LOAN		2	4,269,220.11	4,288,901.21	4,269,220.11	4,269,220.11	19,681.1		1,036.64		—	—	—	—	JAJO	—	51,843.26	10/22/2012	7/16/2018
44890GAD7	HART_12-A ABS 12-A		2	4,259,591.04	4,299,234.51	4,260,000.00	4,259,683.99	39,550.52		147.53		—	—	0.95	0.955	MON	1,798.67	23,920.00	2/28/2012	12/15/2016
055451AG3	BHP BILLITON FINANCE (USA) LTD CORP BND	F		4,503,517	4,323,095.07	4,070,000	4,208,736.97	114,358.1		(116,561.73	)	—	—	5.5	2.7	AO	55,962.5	296,600	4/16/2010	4/1/2014
31419ESP5	FNMA POOL # AE4125		2	4,200,186.72	4,340,299.91	4,052,034.22	4,195,286.72	145,013.19		(61,082.7	)	—	—	4	2.208	MON	13,506.78	110,545.98	11/5/2010	10/1/2040
10620NAC2	BRHEA_05-2 ABS_05--2 A10		2	4,224,000.00	4,367,587.84	4,400,000.00	4,291,218.29	76,369.55		(802.54	)	—	—	0.43	1.498	MJSD	315.33	27,693.16	2/22/2012	12/26/2019
BRSGVPQQ0	REDPRAIRIE CORP SENIOR SECURED TERM LOAN		2	4,287,500.00	4,381,015.63	4,375,000.00	4,287,500	93,515.63		—		—	—	—	0.34	MJSD	—	—	12/14/2012	12/14/2018
931142BY8	WAL-MART STORES INC CORP BND			4,448,840.00	4,387,297.04	4,000,000.00	4,403,024.14	(15,727.1	)	(20,409.46	)	—	—	4.5	0.443	JJ	90,000	27,750	9/13/2012	7/1/2015
BRSG7ST70	CHG HEALTHCARE SERVICES INC SENIOR SEC		2	4,364,860.50	4,416,290.9	4,408,950.00	4,365,446.14	50,844.76		262.31		—	—	—	0.142	FMAN	—	—	11/13/2012	11/19/2019
822582AF9	SHELL INTERNATIONAL FIN BV CORP BND	F		4,487,580.5	4,428,197.38	4,250,000	4,324,094.9	104,102.48		(80,904.8	)	—	—	4	2.537	MS	47,222.23	344,116.67	3/2/2010	3/21/2014
31411KCZ4	FNMA POOL # 910088		2	4,063,235.71	4,447,435.85	4,025,496.69	4,061,928.47	385,507.38		(30,946.85	)	—	—	6	5.604	MON	20,127.48	175,864.96	3/29/2007	3/1/2037
19416QDW7	COLGATE PALMOLIVE CO. CORP BND MTN			4,433,134.5	4,462,213.77	4,450,000.00	4,439,512	22,701.77		(8,461.01	)	—	—	0.6	0.727	MN	3,411.66	52,000.78	11/3/2011	11/15/2014
931422AD1	WALGREEN CO CORP BND			4,357,893.75	4,483,456.25	4,375,000.00	4,372,810.28	110,645.97		4,765.24		—	—	4.875	4.963	FA	88,867.19	274,112.5	7/14/2008	8/1/2013
654624AE5	NIPPON TELEGRAPH AND TELEPHONE SENIOR	F		4,459,748.5	4,486,002.1	4,450,000	4,458,940.54	27,061.56		652.19		—	—	1.4	1.354	JJ	28,208.05	—	7/23/2012	7/18/2017
BRSBHFX32	AXCAN INTER HLDG TERM LOAN		2	4,399,122.52	4,489,302.83	4,459,557.58	4,407,064.5	82,238.33		4,791.91		—	—	—	0.284	FMAN	—	233,693.43	5/18/2012	2/10/2017
912828TP5	UNITED STATES TREASURY GOVT BND			4,488,046.88	4,490,325.18	4,500,000.00	4,489,077.16	1,248.02		229.27		—	—	0.25	0.34	MS	3,356.35	2,664.01	9/27/2012	9/15/2015
3133EA5D6	FEDERAL FARM CREDIT BANK AGENCY BND			4,498,920.00	4,498,020	4,500,000	4,498,964.17	(944.17	)	(46,515.22	)	—	—	0.231	0.237	MON	259.54	122,049.45	11/23/2012	4/23/2015
BRSC10473	AEROFLEX INCORPORATED TERM LOAN		2	4,443,431.8	4,499,104.81	4,458,222.91	4,444,533.84	54,570.97		6,975.04		—	—	—	0.056	FMAN	—	332,094.16	7/20/2012	5/9/2018



78447KAB8	SLMA_12-7 ABS 12-7		2	4,497,041.25	4,502,835.18	4,500,000.00	4,497,130.5	5,704.68		—		—	—	0.49	0.509		MON	367.28	1,910.34		11/2/2012	9/25/2019
G92450K80	UNITED KINGDOM GILT GOVT BND	D		4,455,051.69	4,508,811.9	2,300,000.00	4,381,188.13	127,623.77		(149,957.48	)	—	840.19	5	0.803		MS	211,827.79	141,586.5		7/26/2012	3/7/2018
298785EK8	EUROPEAN INVESTMENT BANK SENIOR CORP BND	F		4,684,950	4,517,064.86	4,500,000	4,521,449.73	(4,384.87	)	(52,978.99	)	—	—	2.875	0.505		MS	38,093.75	393,063.37		6/14/2011	3/15/2013
BRSCE52V7	ALERE INC			4,469,362.58	4,524,581.05	4,498,087.32	4,474,636.42	49,944.63		38,963.44		—	—	—	0.115		MJSD	—	194,878.45		6/26/2012	6/30/2017
882508AT1	TEXAS INSTRUMENTS INCORPORATED SENIOR			4,530,638	4,526,378.36	4,550,000	4,533,217.65	(6,839.29	)	(5.87	)	—	—	0.45	0.594		FA	8,246.88	565.28		8/2/2012	8/3/2015
31416CME3	FNMA POOL # 995957		2	4,404,026.99	4,532,828.32	4,185,436.04	4,388,253.38	144,574.94		(122,718.75	)	—	—	5	2.774		MON	17,439.32	162,826.24		9/28/2009	6/1/2024
05541VAD8	BG ENERGY CAPITAL CORP BND 144A	F		4,292,819.00	4,541,932.41	4,300,000.00	4,294,484.29	247,448.12		(25,930.38	)	—	—	2.875	2.911		AO	26,098.61	56,625.00		10/6/2011	10/15/2016
14912L5J6	CATERPILLAR FINL SERV CORP SENIOR CORP			4,543,857.50	4,552,855.9	4,550,000.00	4,544,042.14	8,813.76		(3,459.93	)	—	—	1.25	1.278		MN	8,689.24	21,817.9		11/1/2012	11/6/2017
22160KAE5	COSTCO WHOLESALE CORPORATION SENIOR CORP			4,574,085	4,603,339.29	4,575,000.00	4,574,094.71	29,244.58		(94,219.28	)	—	—	1.125	1.129		JD	3,431.25	314,655.59		12/28/2012	12/15/2017
G6459EAB1	NETWORK RAIL INFRA FIN CORP BND GOVT	D		4,366,114.51	4,609,096.73	2,800,000	4,367,651.64	241,445.09		2,640.66		—	2,478.39	1.25	1.284		JAN	235,953.67	—		1/4/2012	1/22/2015
BRSFZ6AM6	GENERAL NUTRITION CENTERS INC SENIOR			4,567,637.38	4,612,960.58	4,595,818.18	4,568,930.34	44,030.24		1,167.97		—	—	—	0.112		JAJO	—	41,329.83		10/2/2012	3/2/2018
6325C0CA7	NATIONAL AUSTRALIA BANK SENIOR CORP BND	F		4,600,000	4,628,520.46	4,600,000	4,600,000	28,520.46		46.05		—	—	1.067	1.01		JAJO	11,177.17	47,125.19		4/6/2011	4/11/2014
36241KBP2	GNMA POOL # 781846		2	4,116,827.93	4,628,651.93	3,987,242.56	4,110,757.16	517,894.77		(17,644.13	)	—	—	6.5	5.698		MON	21,597.56	133,640.59		8/15/2008	9/15/2034
31416B4N5	FNMA POOL # 995529		2	4,451,355.8	4,634,167.71	4,287,235.05	4,431,509.11	202,658.6		(56,831.11	)	—	—	5.5	3.863		MON	19,649.83	161,031.21		2/27/2009	11/1/2022
3132GLQP2	FHLMC GOLD POOL # Q05262		2	4,529,826.16	4,650,965.79	4,377,304.46	4,525,885.03	125,080.76		(51,612.82	)	—	—	3.5	2.185		MON	12,767.14	99,986.66		2/3/2012	12/1/2041
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA SENIOR	F		4,611,321.6	4,664,038.49	4,480,000.00	4,544,201.53	119,836.96		(5,724.87	)	—	—	2.9	2.041		MS	37,532.44	97,898.17		2/22/2011	9/17/2014
55607EAA8	MACQUARIE GROUP LTD -GTD CORP BND GOVT	F		4,678,890.29	4,664,654.87	4,500,000.00	4,546,762.4	117,892.47		(36,913.87	)	—	—	4.1	2.992		JD	7,175	116,000		2/19/2010	12/17/2013
98158KAD1	WORLD OMNI AUTO RECEIVABLES TR ABS 11-A		2	4,599,795.3	4,686,020.14	4,600,000	4,599,829.13	86,191.01		(348.54	)	—	—	1.91	1.918		MON	3,904.89	7,208.25		3/2/2011	4/15/2016
BRSAWQ120	UNIVISION COMMUNICATIONS INC. TERM LOAN		2	4,572,556.67	4,700,673.32	4,769,981.15	4,610,824.68	89,848.64		44,852.74		—	—	—	0.783		MJSD	—	170,342.36		11/15/2012	3/31/2017
31398TX22	FNMA_10-87 AGENCY CMO_10-103 MA		2	4,916,433.43	4,716,830.62	4,675,360.18	4,749,079.15	(32,248.53	)	(9,260.59	)	—	—	4	(0.862	)	MON	15,584.53	7,176.11		9/7/2011	3/25/2030
BRSFJDVK0	PINACLE FOOD FIN TERM LOAN		2	4,631,550.88	4,718,045.38	4,666,550	4,633,185.39	84,859.99		3,294.77		—	—	—	0.122		FMAN	—	51,073.31		8/17/2012	10/17/2018
D2330RAA1	DRVON ABS_7 A	D	2	4,661,381.67	4,721,846.63	3,573,257.82	4,660,436.48	61,410.15		(185.8	)	—	0.84	0.81	0.344		MON	64,945.78	(267.53	)	11/30/2012	5/21/2016
45950KAT7	INTERNATIONAL FINANCE CO CORP BND	E		4,683,362.00	4,749,241.43	4,700,000.00	4,698,684.97	50,556.46		(18,061.78	)	—	—	3.5	3.576		MN	21,019.45	147,462.92		12/14/2011	5/15/2013
3136G0FF3	FEDERAL NATIONAL MTG ASSN AGENCY BND		1	4,748,812.5	4,756,697.45	4,750,000	4,749,120.75	7,576.7		8.28		—	—	0.5	0.51		AO	4,024.31	56,388.89		5/9/2012	10/30/2014
BRSDKUDY5	SIX FLAGS THEME PARKS INC TERM LOAN		2	4,724,444.95	4,767,073.11	4,738,735.47	4,725,450.05	41,623.06		15,474.38		—	—	—	0.046		MJSD	—	112,392.41		7/25/2012	12/20/2018
BRSBZZDX4	GOLDEN LIVING LN1 TERM LOAN		2	4,880,106.1	4,773,150.00	5,073,339.5	4,916,823.13	(143,673.13	)	6,283.28		—	—	—	0.565		FMAN	—	256,109.86		10/4/2011	5/4/2018
31410GPR8	FNMA POOL # 888832		2	4,450,457.57	4,777,036.3	4,279,929.12	4,443,909.72	333,126.58		(129,793.71	)	—	—	6.5	5.15		MON	23,182.95	536,640.74		1/25/2008	11/1/2037
3137A63Z3	FHLMC_3792 AGENCY CMO 3792		2	4,807,087.33	4,785,814.16	4,774,264.26	4,806,894.03	(21,079.87	)	(87,198.2	)	—	—	0.609	0.559		MON	1,292.23	97,918.39		11/9/2012	11/15/2040
62888XAC8	NCUA_10-C1 CMBS_10-C1 A-PT		2	4,537,914.67	4,799,078.86	4,546,928.92	4,541,090.99	257,987.87		757.61		—	—	2.65	2.735		MON	1,338.82	55,426.33		9/7/2011	10/29/2020
BRSCEALQ6	MERCURY PAYMENT SYSTEMS TERM LOAN			4,714,285.62	4,803,120.84	4,746,753.15	4,722,319.97	80,800.87		6,816.2		—	—	—	0.113		JAJO	—	253,759.45		10/23/2012	6/30/2017
31419BBT1	FNMA POOL # AE0949		2	4,763,445.80	4,812,801.89	4,493,154.48	4,757,712.53	55,089.36		(18,526.85	)	—	—	4	1.457		MON	14,977.18	44,623.94		5/2/2012	2/1/2041
742651DH2	PRIVATE EXPORT FUNDING CORP AGENCY BND			4,868,226.00	4,819,328.24	4,600,000.00	4,808,514.06	10,814.18		(236,646.52	)	—	—	3.05	0.497		AO	29,618.88	272,166.67		6/26/2012	10/15/2014
76112NAC8	RESIDENTIAL REINSURANCE 2012 L UNSECURED	F		5,000,000	4,832,400	5,000,000	5,000,000	(167,600	)	—		—	—	22	22		MJSD	79,444.44	168,018.8		5/18/2012	6/6/2018
BRSBLLNC5	REGAL CINEMAS CORP		2	4,815,970.51	4,850,362.21	4,819,373.64	4,815,429.59	34,932.62		(145.8	)	—	—	—	0.017		FMAN	—	170,974.13		7/24/2012	8/23/2017



BRSBH1FB5	TWCC HOLDING CORP TERM LOAN		2	4,719,865.33	4,851,098.7	4,791,208.59	4,734,948.85	116,149.85		11,926.01		—	—	—	0.281	FMAN	—	223,434.71		6/1/2012	2/13/2017
BRS4QJKV2	FREESCALE SEMICONDUCTOR INC. TERM LOAN		2	4,894,780.36	4,873,504.65	4,967,540.19	4,914,622.21	(41,117.56	)	2,832.59		—	—	—	0.268	MJSD	—	227,366.32		8/5/2011	12/1/2016
31394EZX9	FNMA CMO_05-65 WL		2	4,886,083.77	4,889,428.19	4,693,926.17	4,876,323.37	13,104.82		(5,966.98	)	—	—	5.5	1.482	MON	21,513.83	2,431.10		11/16/2012	7/25/2034
28140DAA1	ELAB_12-1 ABS 12-1		2	4,905,099.07	4,909,292.92	4,905,099.07	4,905,099.07	4,193.85		11,651.71		—	—	0.66	0.661	MON	539.3	66,463.7		9/19/2012	6/25/2022
BRS8ABJG2	CABLEVISION SYSTEMS CORPORATIO TERM LOAN		2	4,862,621.22	4,916,136.39	4,882,180.82	4,867,360.80	48,775.59		(1,239.38	)	—	—	—	0.092	FMAN	—	315,645.69		12/2/2011	3/29/2016
57583PEM7	MASSACHUSETTS ST MUNITAX BND REV			4,625,000.00	4,924,792.5	4,625,000.00	4,625,000	299,792.5		—		—	—	2.983	2.983	JD	6,131.72	22,758.67		12/15/2010	12/15/2015
05565QBT4	BP CAPITAL MARKETS PLC CORP BND	F		4,773,490.00	4,938,365.24	4,750,000.00	4,768,244.58	170,120.66		584.1		—	—	2.248	2.143	MN	17,796.67	255,575.56		11/1/2011	11/1/2016
034863AA8	ANGLO AMERICAN CAPITAL PLC CORP BND 144A	F		5,570,775.00	4,946,626.53	4,500,000.00	4,901,060	45,566.53		—		—	—	9.375	2.197	AO	97,265.63	76,528.54		10/19/2010	4/8/2014
68323ABJ2	ONTARIO PROVINCE SENIOR CORP BND	A		4,898,971	4,951,058	4,900,000	4,899,176.32	51,881.68		(57,104.68	)	—	—	0.95	0.957	MN	4,525.69	135,000.00		5/16/2012	5/26/2015
BRSEKC100	PINACLE FOOD FIN SENIOR SECURED TERM		2	4,900,474.55	4,959,919.41	4,926,101.72	4,902,031.09	57,888.32		6,086.15		—	—	—	—	MJSD	—	73,828.8		10/4/2012	9/30/2016
959802AR0	WESTERN UNION CO/THE SENIOR CORP BND			4,975,300.00	4,967,681.1	5,000,000.00	4,975,579.08	(7,897.98	)	1.96		—	—	2.875	2.982	JD	8,385.42	79.17		12/5/2012	12/10/2017
06406HCD9	BANK OF NEW YORK CO SENIOR CORP BND		1	4,994,850	4,971,943.65	5,000,000	4,995,168.2	(23,224.55	)	462.06		—	—	0.7	0.735	AO	6,416.67	18,553.33		10/18/2012	10/23/2015
BRSBQ1JW5	CALPINE CORPORATION SECURED TERM LOAN		2	4,842,374.17	4,979,178.37	4,922,374.17	4,856,805.91	122,372.46		9,657.73		—	—	—	0.249	MJSD	—	239,858.88		5/18/2012	3/30/2018
161571FR0	CHAIT_12-8 ABS 12-8		2	5,000,828.5	4,994,450	5,000,000	5,000,827.38	(6,377.38	)	10.27		—	—	0.54	0.533	MON	1,200	8,779.17		12/6/2012	10/16/2017
BRSBMD3R1	PETCO ANIMAL SUPPLIES INC. TERM LOAN		2	4,884,558.08	4,994,584.85	4,949,494.95	4,898,283.63	96,301.22		9,950.32		—	—	—	0.206	FMAN	—	238,101.54		8/15/2011	11/24/2017
36962G6K5	GENERAL ELECTRIC CAPITAL CORP SENIOR			4,993,550.00	4,996,103.3	5,000,000.00	4,993,694.27	2,409.03		(4,200.48	)	—	—	1.6	1.627	MN	9,111.11	12,777.78		11/14/2012	11/20/2017
928670AR9	VOLKSWAGEN INTERNATIONAL FINAN SENIOR	F		5,000,000.00	4,998,149.85	5,000,000.00	5,000,000	(1,850.15	)	(2,877.87	)	—	—	0.91	0.91	FMAN	5,308.33	16,472.6		11/13/2012	11/20/2014
74005PBC7	PRAXAIR INC. SENIOR CORP BND			4,998,050	4,998,445.15	5,000,000.00	4,998,107.86	337.29		6.39		—	—	1.05	1.058	MN	7,875	10,636.39		11/2/2012	11/7/2017
05522RAB4	BACCT ABS_06 A7 A7		2	4,980,664.06	4,998,450.10	5,000,000.00	4,990,295.27	8,154.83		104.2		—	—	0.249	0.374	MON	518.75	114,723.25		6/17/2011	12/15/2016
05565QCC0	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		4,995,900.00	4,999,617.00	5,000,000.00	4,996,022.93	3,594.07		—		—	—	1.375	1.392	MN	10,503.47	20,993.12		11/1/2012	11/6/2017
3133EA5A2	FEDERAL FARM CREDIT BANK AGENCY BND		1	5,000,000	5,002,870.2	5,000,000	5,000,000	2,870.2		81.05		—	—	0.87	0.87	AO	8,820.83	4,250		10/11/2012	10/18/2017
BRSAUE236	DAVITA INC TERM LOAN		2	4,947,120.26	5,004,128.09	4,962,025.31	4,948,920.63	55,207.46		5,070.62		—	—	—	0.069	JAJO	—	261,684.67		6/15/2012	10/20/2016
06417FBG4	BANK OF NOVA SCOTIA (HOUSTON B SENIOR			5,000,000.00	5,006,000	5,000,000.00	5,000,000.00	6,000		—		—	—	0.75	0.848	MJSD	2,186.04	—		9/14/2012	9/11/2015
24422ERU5	JOHN DEERE CAPITAL CORPORATION CORP BND			5,000,000.00	5,007,049.95	5,000,000.00	5,000,000	7,049.95		(389.43	)	—	—	0.465	0.699	JAJO	4,394.03	11,958.34		6/26/2012	4/25/2014
161571FL3	CHAIT_12-A5 ABS_12-A5 A5		2	4,999,816.00	5,007,149.90	5,000,000.00	4,999,817.94	7,331.96		19.05		—	—	0.59	0.591	MON	1,311.11	4,584.31		9/6/2012	8/15/2017
02582JCU2	AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2		2	5,007,812.50	5,007,799.90	5,000,000.00	5,003,746.88	4,053.02		98.22		—	—	0.379	0.325	MON	789.58	133,800		7/1/2011	12/15/2016
3133EAX29	FEDERAL FARM CREDIT BANK AGENCY BND		1	5,000,000.00	5,007,850.00	5,000,000.00	5,000,000.00	7,850.00		—		—	—	0.98	0.98	MS	14,019.44	—		9/12/2012	9/18/2017
857477AJ2	STATE STREET CORPORATION CORP BND			5,000,000.00	5,008,900.90	5,000,000.00	5,000,000	8,900.9		(253.96	)	—	—	0.661	0.66	MJSD	2,293.4	84,800.00		3/2/2011	3/7/2014
BRSFARX00	LCM-10X ABS LCM-10X-A	F	2	5,011,570.00	5,009,235.00	5,000,000.00	5,011,351.36	(2,116.36	)	(329.38	)	—	—	1.814	1.76	JAJO	19,150.42	(6,370	)	11/30/2012	4/15/2022
458140AL4	INTEL CORPORATION SENIOR CORP BND			4,994,700.00	5,010,383.2	5,000,000.00	4,994,757.19	15,626.01		1,590.7		—	—	1.35	1.372	JD	3,750	88,010.07		12/4/2012	12/15/2017
500769FC3	KREDITANSTALT FUER WIDERAUFBAU SENIOR	F		4,984,150	5,022,850.05	5,000,000	4,987,763.62	35,086.43		(12,391.59	)	—	—	0.625	0.732	AO	5,815.97	185,600		4/17/2012	4/24/2015
BRSG092B9	ROYALTY PHARMA FINANCE TRUST SENIOR		1	4,978,151.93	5,026,888.04	4,978,151.93	4,978,151.93	48,736.11		413.55		—	—	—	—	JAJO	—	456.45		10/11/2012	5/9/2018
31398AJ94	FNMA AGENCY BND			4,991,950.00	5,027,950.00	5,000,000.00	4,999,083.08	28,866.92		(14,849.42	)	—	—				13,125.01	133,459.37		3/11/2010	5/7/2013
273323AA3	EAST LANE RE LTD CORP BND	F		5,000,000.00	5,030,350	5,000,000.00	5,000,000	30,350.00		—		—	—	5.778	5.912	MJSD	11,979.17	303,315.21		3/1/2011	00/00/0000



136069ET4	CANADIAN IMPERIAL BANK OF COMM SENIOR	A		5,023,492.50	5,031,456.47	5,025,000.00	5,023,618.07	7,838.4		8.11		—	—	0.9	0.91	AO	11,306.25	56,458.33		9/24/2012	10/1/2015
055451AN8	BHP BILLITON FINANCE (USA) LTD SENIOR	F		4,989,550.00	5,032,699.60	5,000,000.00	4,992,489.15	40,210.45		525.93		—	—	1	1.071	FA	17,638.89	46,762.50		2/21/2012	2/24/2015
254683AT2	DCENT ABS 12-A1		2	4,998,866.00	5,032,799.9	5,000,000.00	4,999,166.64	33,633.26		(148,297.27	)	—	—	0.81	0.818	MON	1,800	221,762.5		2/1/2012	8/15/2017
BRSFXMS69	LESLIES POOLMART INC. SENIOR SECURED		2	4,965,157.50	5,034,643.63	4,988,500.00	4,965,794.74	68,848.89		700.27		—	—	—	0.066	JAJO	—	53,101.16		10/10/2012	10/16/2019
G91440AE0	TURQUOISE CARD BACKED SECURITI ABS 11-1X	F	2	5,047,495.00	5,037,650	5,000,000.00	5,045,248.72	(7,598.72	)	(1,995.79	)	—	—	0.959	0.434	MON	1,997.92	5,352.07		11/30/2012	9/15/2016
166764AA8	CHEVRONTEXACO CORPORATION SENIOR CORP		1	5,000,000.00	5,037,812.05	5,000,000.00	5,000,000.00	37,812.05		117.18		—	—	1.104	1.103	JD	3,986.67	2,718.06		11/28/2012	12/5/2017
76541VKC0	RICHMOND VA MUNITAX BND GO			5,000,000.00	5,038,500	5,000,000.00	5,000,000	38,500.00		—		—	—	1.507	1.507	JJ	38,302.91	14,196		6/14/2012	7/15/2017
64127WAF0	NETWORK RAIL INFRASTRUCTURE FI CORP BND	F		4,988,500.00	5,045,850.35	5,000,000.00	4,992,100.45	53,749.9		269.1		—	—	0.875	0.953	JJ	19,565.97	—		1/11/2012	1/20/2015
06052YAD1	BANK OF AMERICA AUTO TRUST BAA ABS 12-1		2	4,998,468.00	5,051,499.95	5,000,000.00	4,998,778.81	52,721.14		(1,909.28	)	—	—	1.03	1.041	MON	2,288.89	20,432.45		4/11/2012	12/15/2016
00287YAE9	ABBVIE INC SENIOR CORP BND 144A			5,000,000.00	5,057,650.40	5,000,000.00	5,000,000	57,650.4		698.9		—	—	1.072	1.072	FMAN	7,889.27	14,765.63		11/5/2012	11/6/2015
3137EACV9	FHLMC AGENCY BND			5,068,250.00	5,060,749.80	5,000,000.00	5,037,269.57	23,480.23		248.79		—	—	1	0.547	FA	17,222.22	2,552.08		8/9/2011	8/27/2014
4488148U0	HYDRO-QUEBEC SENIOR CORP BND	A		4,994,200.00	5,064,949.8	5,000,000.00	4,994,802.4	70,147.4		472.92		—	—	1.375	1.399	JD	2,291.67	39,833.33		6/12/2012	6/19/2017
74977RBQ6	RABOBANK NEDERLAND NV CORP BND 144A	F		5,051,420.50	5,076,873.83	4,850,000.00	4,916,433.56	160,440.27		74.41		—	—	4.2	3.166	MN	27,160	—		1/8/2010	5/13/2014
19648CAE1	COLORADO HSG & FIN AUTH MUNITAX BND REV			5,030,400	5,093,500	5,000,000.00	5,026,472.3	67,027.7		—		—	—	1.6	1.438	MN	10,222.22	(30,431.22	)	6/21/2012	5/15/2016
36179MEL0	GNMA POOL # MA0139		2	5,063,446.88	5,096,909.22	4,778,950.00	5,056,440.37	40,468.85		(15,951.52	)	—	—	3	1.67	MON	11,947.38	40,555.43		6/19/2012	6/20/2027
G4122UAV3	GMFM_11-1X ABS 11-1X	F	2	5,105,620.00	5,098,955.00	5,000,000.00	5,098,265.99	689.01		(988.78	)	—	—	1.862	0.15	FMAN	10,858.75	(2,402.94	)	11/30/2012	11/20/2056
034863AE0	ANGLO AMERICAN CAPITAL PLC SENIOR CORP	F		4,989,050.00	5,102,855.70	5,000,000.00	4,990,604.25	112,251.45		(26,822.05	)	—	—	2.625	2.672	AO	32,083.33	277,457.92		3/26/2012	4/3/2017
742718DV8	PROCTER & GAMBLE COMPANY CORP BND			4,962,622.60	5,103,795.6	5,000,000.00	4,970,567.91	133,227.69		13.92		—	—	1.45	1.618	FA	27,388.89	—		12/27/2011	8/15/2016
89233P6D3	TOYOTA MOTOR CREDIT CORP SENIOR CORP BND			4,981,700	5,109,390.65	5,000,000.00	4,983,847.65	125,543		4,076.21		—	—	1.75	1.827	MN	9,479.17	107,013.89		5/17/2012	5/22/2017
3137EABX6	FHLMC AGENCY BND			5,007,563.09	5,114,449.70	5,000,000.00	5,002,067.46	112,382.24		1,431.17		—	—	2.5	2.457	JJ	60,416.67	12,277.78		11/27/2012	1/7/2014
10778XAA4	BRFKREDIT AS CORP BND 144A	F		5,094,390.00	5,118,640.50	5,100,000.00	5,099,451.75	19,188.75		(6,863.13	)	—	—	2.05	2.088	AO	22,071.67	55,106.49		4/8/2010	4/15/2013
902674MY3	UBS AG LONDON BRANCH CORP BND 144A	F		4,975,000.00	5,125,000	5,000,000.00	4,982,657.09	142,342.91		324.41		—	—	1.875	2.048	JJ	41,145.83	90,902.78		1/19/2012	1/23/2015
459200HB0	IBM CORP CORP BND			5,122,023.50	5,142,224.63	5,150,000.00	5,128,700.23	13,524.4		1,817.55		—	—	0.55	0.749	FA	11,408.68	85,746.11		5/1/2012	2/6/2015
26441CAG0	DUKE ENERGY CORP CORP BND			4,999,750.00	5,152,958.7	5,000,000.00	4,999,801.54	153,157.16		(720.91	)	—	—	2.15	2.151	MN	13,736.11	12,500		11/14/2011	11/15/2016
38141EA33	GOLDMAN SACHS GROUP INC CORP BND			5,133,795.5	5,160,091.49	4,850,000.00	5,026,125.70	133,965.79		(33,155.24	)	—	—	6	3.191	MN	48,500	164,765.28		6/14/2012	5/1/2014
3620ASPY9	GNMA POOL # 738539		2	5,059,908.26	5,166,049.17	4,710,314.60	5,054,727.6	111,321.57		(187,532.9	)	—	—	4	1.395	MON	15,701.05	484,516.93		10/3/2011	7/15/2041
097014AN4	BOEING CAPITAL CORPORATION CORP BND		1	5,034,707.25	5,166,203.78	4,975,000.00	5,022,270.76	143,933.02		(1,648.48	)	—	—	2.125	1.845	FA	39,938.19	89,677.08		1/5/2012	8/15/2016
06406HCF4	BANK OF NEW YORK CO SENIOR CORP BND			5,175,000.00	5,172,153.75	5,175,000.00	5,175,000	(2,846.25	)	—		—	—	0.545	0.545	JAJO	5,329.82	24,950.21		10/18/2012	10/23/2015
88579YAD3	3M COMPANY CORP BND			5,032,167.00	5,183,074.1	5,075,000.00	5,042,652.33	140,421.77		(7,241.41	)	—	—	1.375	1.551	MS	17,832.99	100,335.78		9/26/2011	9/29/2016
233851AH7	DAIMLER FINANCE NORTH AMERICA CORP BND			4,967,500	5,208,110.05	5,000,000.00	4,975,534.89	232,575.16		330.67		—	—	2.625	2.765	MS	38,645.83	(15,483.12	)	9/7/2011	9/15/2016
02006AAD9	ALLY AUTO RECEIVABLES TRUST AL ABS 12-2		2	5,148,818.08	5,208,710	5,150,000.00	5,149,097.51	59,612.49		118.95		—	—	1	1.009	MON	2,288.89	41,705.42		3/7/2012	10/17/2016
89153VAD1	TOTAL CAPITAL INTERNATIONAL SA SENIOR	F		5,171,274.00	5,213,921.85	5,175,000.00	5,171,563.86	42,357.99		922.03		—	—	0.75	0.772	JJ	10,350	38,750		9/18/2012	1/25/2016
298785FB7	EUROPEAN INVESTMENT BANK CORP BND	F		5,272,500.00	5,242,599.85	5,000,000.00	5,237,674.25	4,925.60		(70,115.59	)	—	—	2.875	0.527	JJ	66,284.72	142,951.39		9/12/2012	1/15/2015
68389XAF2	ORACLE CORPORATION CORP BND			5,306,790	5,249,368.65	5,000,000.00	5,245,672.75	3,695.9		(81,136.62	)	—	—	3.75	0.499	JJ	90,104.17	121,764.48		9/25/2012	7/8/2014



88166CAA6	TEVA PHARMACEUTICAL FINANCE II CORP BND	F		4,993,891.79	5,254,552.30	5,000,000.00	4,996,841.79	257,710.51		(55,102.47	)	—	—		3	3.027	JD	6,666.66	309,243.75		11/12/2010	6/15/2015
66989HAC2	NOVARTIS CAPITAL CORP CORP BND			4,976,100.00	5,257,621	5,000,000.00	4,988,801.55	268,819.45		1,373.01		—	—		2.9	3.001	AO	26,986.11	158,791.67		3/9/2010	4/24/2015
6832348Y7	ONTARIO PROVINCE CORP BND	A		5,224,450	5,264,149.85	5,000,000	5,143,889.09	120,260.76		(70,020.92	)	—	—		2.7	1.502	JD	5,625	273,333.33		7/28/2011	6/16/2015
BRSDWEX75	GRIFOLS INC SECURED TERM LOAN		1	5,191,172.87	5,273,227.91	5,216,369.48	5,193,655.6	79,572.31		2,762.27		—	—		—	0.097	JAJO	—	115,262.78		8/6/2012	6/1/2017
14041NDB4	COMET ABS 06-A11 A11		2	5,248,035.16	5,286,485.16	5,300,000.00	5,263,339.77	23,145.39		11,190.32		—	—		0.299	0.49	MON	660.29	19,966.26		6/17/2011	6/17/2019
14912L3S8	CATERPILLAR FINL SERV CORP CORP BND MTN			5,268,195.25	5,294,412	5,275,000.00	5,274,845.71	19,566.29		(124,510.02	)	—	—		4.25	4.279	FA	89,052.25	213,138.33		2/4/2008	2/8/2013
D670AZAA5	SCGM_11-2 ABS_11-2 A	D	2	5,230,074.97	5,304,021.43	3,990,868.20	5,229,194.86	74,826.57		(5,315.86	)	—	21.52		1.06	0.695	MON	74,507.48	3,202.68		11/30/2012	11/13/2021
78447EAB2	SLMA_12-5 ABS 12-5		2	5,291,230.62	5,305,194	5,300,000.00	5,292,579.49	12,614.51		—		—	—		0.51	0.566	MON	450.24	8,155.77		7/10/2012	6/25/2019
136069EH0	CANADIAN IMPERIAL BANK OF COMM CORP BND	A		5,234,372.73	5,309,668.06	5,200,000.00	5,225,339.31	84,328.75		(5,942.61	)	—	—		1.5	1.245	JD	4,116.67	123,787.5		4/16/2012	12/12/2014
46625HHX1	JPMORGAN CHASE & CO CORP BND			5,088,650.00	5,321,706.4	5,000,000.00	5,060,157.61	261,548.79		715.76		—	—		3.45	3.048	MS	57,500	43,207.03		5/16/2011	3/1/2016
263534BU2	EI DUPONT DE NEMOURS & CO CORP BND			5,332,122.00	5,403,446.25	5,275,000.00	5,285,403.89	118,042.36		3,857.17		—	—		5	4.624	JJ	121,618.05	140,496.66		12/21/2009	7/15/2013
035229CY7	ANHEUSER-BUSCH SENIOR CORP BND			5,556,350.00	5,426,754.75	5,000,000.00	5,270,640.21	156,114.54		1,643.31		—	—		5	2.267	JJ	115,277.78	145,500		9/23/2010	1/15/2015
61747YDT9	MORGAN STANLEY SENIOR CORP BND			5,416,025	5,427,982.66	4,975,000.00	5,404,803.88	23,178.78		(12,145.23	)	—	—		4.75	2.576	MS	64,985.94	47,316.67		12/6/2012	3/22/2017
254683AC9	DCENT_07-A1 ABS 07-A1 A1		2	5,448,691.41	5,445,945.18	4,500,000	5,300,394.14	145,551.04		1.94		—	—		5.65	1.719	MON	11,300	7,538.88		1/26/2012	3/16/2020
BRSBWG6S8	DELTA AIR LINES INC. TERM LOAN		2	5,343,613.02	5,485,133.28	5,422,449.76	5,363,000.22	122,133.06		17,611.10		—	—		—	0.253	JAJO	—	275,843.26		2/29/2012	4/20/2017
29379VAX1	ENTERPRISE PROD OPER LP SENIOR CORP BND			5,475,819.75	5,514,139.36	5,475,000.00	5,475,716.12	38,423.24		(1,721	)	—	—		1.25	1.245	FA	26,234.38	17,400.34		8/6/2012	8/13/2015
31398AU34	FNMA AGENCY BND			5,234,460.00	5,520,847.34	5,250,000.00	5,241,917.08	278,930.26		(6,770.46	)	—	—		2.375	2.437	JJ	52,992.19	88,526.05		6/10/2010	7/28/2015
41283LAA3	HARLEY-DAVIDSON FINANCIAL CORP BND 144A			5,354,250.00	5,559,671.99	5,250,000.00	5,327,834.81	231,837.18		(23,056.56	)	—	—		3.875	3.38	MS	59,901.05	116,250.00		10/27/2011	3/15/2016
20030NAB7	COMCAST CORPORATION CORP BND			5,868,400	5,567,364.51	5,000,000.00	5,422,529.43	144,835.08		6,042.84		—	—		6.5	2.235	JJ	149,861.12	232,500		9/24/2010	1/15/2015
912828RG7	UNITED STATES TREASURY GOVT BND			5,566,504.63	5,581,283.96	5,580,000.00	5,572,280.03	9,003.93		216.29		—	—		0.25	0.332	MS	4,161.88	3,396.74		9/21/2011	9/15/2014
718546AD6	PHILLIPS 66 SENIOR CORP BND 144A			5,472,481.50	5,590,014.2	5,475,000.00	5,473,141.91	116,872.29		3,398.42		—	—		1.95	1.966	MS	34,401.25	512,201.26		3/7/2012	3/5/2015
713448BK3	PEPSICO INC CORP BND			5,388,552	5,603,705.88	5,400,000.00	5,397,141.7	206,564.18		(132,589.84	)	—	—		3.75	3.797	MS	67,500	431,627.5		2/25/2009	3/1/2014
G924502M9	UNITED KINGDOM GILT GOVT BND	D		5,626,894.09	5,623,396.93	2,875,000	5,596,678.27	26,718.66		(178,626.58	)	—	577.60		4.5	1.019	MS	115,705.48	394,642.36		10/30/2012	3/7/2019
F93603AB8	TTSOC_11-1 ABS_11-1 A	D	2	5,644,441.58	5,718,124.19	4,315,273.74	5,643,247.64	74,876.55		(7,567.51	)	—	(7.7	)	1.01	0.542	MON	79,148.82	7,339.96		11/30/2012	5/25/2020
50075NBB9	MONDELEZ INTERNATIONAL INC CORP BND			5,709,690.00	5,718,955.20	5,250,000.00	5,526,074.47	192,880.73		893.81		—	—		4.125	2.359	FA	85,421.88	14,740.63		10/14/2010	2/9/2016
84650WAD8	SPAREBNK 1 BOLIG LOCAL BND 144A	F		5,486,580	5,745,190	5,500,000	5,488,314.72	256,875.28		(1,238.09	)	—	—		2.3	2.35	JD	351.38	(1,327.08	)	3/29/2012	6/30/2017
78446VAA7	SLMA_12-A ABS 12-A 144A		2	5,676,081.18	5,752,594.75	5,676,081.18	5,676,081.18	76,513.57		2,452.33		—	—		1.609	1.614	MON	3,805.34	47,601.87		2/2/2012	8/15/2025
264399EM4	DUKE ENERGY CORP CORP BND			5,868,267.80	5,754,200.62	5,095,000.00	5,692,132.76	62,067.86		(135,096.53	)	—	—		5.3	0.966	AO	67,508.75	124,448.99		3/1/2012	10/1/2015
03523TAT5	ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND			5,807,754	5,766,590.02	5,400,000	5,771,780.53	(5,190.51	)	(102,662.43	)	—	—		3.625	0.588	AO	41,325	200,000.00		10/9/2012	4/15/2015
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP TERM LOAN		2	5,687,795.11	5,770,453.78	5,716,376.86	5,692,020.23	78,433.55		15,729.19		—	—		—	0.078	FMAN	—	285,392.3		6/25/2012	5/25/2018
46623EJF7	JPMORGAN CHASE & CO CORP BND MTN			5,775,000.00	5,813,749.68	5,775,000.00	5,775,000	38,749.68		745.96		—	—		1.116	1.103	JAJO	12,349.95	9,888.89		1/14/2011	1/24/2014
84650WAE6	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A	F		5,854,157.00	5,831,619.18	5,900,000.00	5,854,939.79	(23,320.61	)	1,734.72		—	—		1.75	1.869	MN	12,906.25	93,820.84		11/7/2012	11/15/2019
22546QAG2	CREDIT SUISSE NEW YORK NY CORP BND	F		5,800,000.00	5,833,582.13	5,800,000.00	5,800,000	33,582.13		(64,894.87	)	—	—		1.3	1.284	JAJO	16,339.81	163,389.58		12/28/2012	1/14/2014
92344SAJ9	CELLCO PARTNERSHIP/VERIZON WIR CORP BND			6,369,194.9	5,841,277.92	5,529,000	5,740,701.73	100,576.19		(10,140.72	)	—	—		7.375	2.884	MN	52,103.14	40,614.47		11/8/2012	11/15/2013



36202FZV1	GNMA POOL # 005256		2	5,903,463.65	5,860,721.91	5,505,999.33	5,888,349.66	(27,627.75	)	(12,418.63	)	—	—	3.5	1.747		MON	16,059.16	66,555.17	1/18/2012	12/20/2026
36241LHQ2	GNMA POOL # 782939		2	5,583,533.61	5,869,426.65	5,328,553.96	5,577,553.78	291,872.87		(34,505.32	)	—	—	5	3.705		MON	22,202.31	170,241.18	4/23/2010	9/15/2036
14041NCK5	COMET ABS_05-A9 A		2	5,826,577.15	5,870,065	5,875,000.00	5,843,633.93	26,431.07		—		—	—	0.299	0.49		MON	731.93	30,142.19	6/17/2011	8/15/2018
31359MZC0	FNMA AGENCY BND			5,904,904.9	5,883,954.27	5,300,000	5,629,752.27	254,202		(3,108.09	)	—	—	4.375	2.065		AO	48,951.39	5,909.38	7/16/2010	10/15/2015
BRS8R3U20	HUNTSMAN INTL LLC TERM LOAN			5,825,816.32	5,897,152.65	5,877,551.02	5,842,409.18	54,743.47		4,943.84		—	—	—	0.169		FMAN	—	126,287.03	5/13/2011	6/30/2016
BRSFH6DM3	ALLISON TRANSMIS TERM LOAN		2	5,795,921.67	5,897,302.82	5,839,838.81	5,797,887.23	99,415.59		3,549.72		—	—	—	0.107		MJSD	—	59,220.75	9/25/2012	8/15/2019
94974BEU0	WELLS FARGO & COMPANY CORP BND			5,656,604	5,904,520.08	5,550,000	5,618,589.82	285,930.26		(63,843.21	)	—	—	3.625	3.056		AO	42,472.92	545,676.82	1/5/2012	4/15/2015
BRSFUKYH5	ACOSTA INC SENIOR SECURED TERM LOAN		2	5,816,697.03	5,905,642.55	5,840,838.45	5,817,882.19	87,760.36		579.82		—	—	—	0.075		MJSD	—	44,965.78	9/25/2012	3/2/2018
38377WZ56	GNMA_11-99 CMO_11-99		2	5,919,685.63	5,936,594.28	5,909,528.64	5,919,147.22	17,447.06		211.68		—	—	0.609	0.571		MON	1,499.55	29,928.71	5/31/2012	7/16/2041
172967FH9	CITIGROUP INC CORP BND			5,734,954.68	5,976,679.58	5,486,000.00	5,694,215.42	282,464.16		(45,384.72	)	—	—	4.587	3.229		JD	11,184.13	186,450	5/16/2012	12/15/2015
00206RAV4	AT&T CO CORP BND			5,989,142.5	5,992,048.61	5,750,000	5,927,296.8	64,751.81		(13,742.44	)	—	—	2.5	1.3		FA	54,305.56	59,475.16	1/19/2012	8/15/2015
BRSBPZM15	NOVELIS INC/GA TERM LOAN		2	5,792,496.39	6,003,129.03	5,937,079.02	5,821,035.98	182,093.05		71,473.67		—	—	—	0.463		MJSD	—	176,902.09	10/18/2012	3/10/2017
3134G3NL0	FHLMC AGENCY BND		1	5,991,600	6,009,600	6,000,000	5,993,975.54	15,624.46		(22,961.4	)	—	—	0.5	0.547		FA	10,583.33	85,485.77	2/6/2012	2/24/2015
BRSC529Z8	DUNKIN BRANDS INC SENIOR SECURED TERM		2	5,970,913.23	6,018,805.09	5,962,577.98	5,967,948.56	50,856.53		(865.87	)	—	—	—	(0.018	)	FMAN	—	287,503.99	11/14/2012	11/23/2017
BRS9SHAY8	HCA INC LN1 TERM LOAN		2	5,890,000.00	6,025,290	6,000,000.00	5,901,852.42	123,437.58		7,790.86		—	—	—	0.382		FMAN	—	150,384.21	6/28/2012	3/31/2017
233851AQ7	DAIMLER FINANCE NORTH AMERICA SENIOR			5,989,080	6,037,727.52	6,000,000.00	5,990,575.94	47,151.58		3,993.95		—	—	1.3	1.362		JJ	32,500	29,292.43	7/25/2012	7/31/2015
98158PAC2	WOART_11-B ABS_11-B A3		2	5,999,988.61	6,043,200.06	6,000,000	5,999,950.36	43,249.7		71.54		—	—	0.96	0.961		MON	2,559.99	25,594.19	11/2/2011	8/15/2016
BRSC2UZX5	SENSATA TECHNOLOGIES FINANCE C TERM LOAN		2	5,958,489.95	6,062,337.05	6,020,943.07	5,968,133	94,204.05		17,550.95		—	—	—	0.16		FMAN	—	174,342.64	7/23/2012	5/14/2018
02209SAC7	ALTRIA GROUP INC. CORP BND			6,698,778.00	6,073,806	5,700,000.00	6,029,812.92	43,993.08		1,141.24		—	—	8.5	1.664		MN	68,637.5	25,740.8	3/22/2011	11/10/2013
718172AG4	PHILIP MORRIS INTERNATIONAL IN CORP BND			6,485,183	6,084,123.45	5,650,000	5,917,600.26	166,523.19		(1,574.26	)	—	—	6.875	2.856		MS	112,215.27	235,653.78	2/22/2012	3/17/2014
BRSE4J2V4	CATALENT PHARMA SOLUTIONS INC SENIOR			5,947,422.32	6,084,673.23	6,002,143.75	5,955,274.99	129,398.24		7,790.14		—	—	—	0.164		MJSD	—	240,475.35	4/24/2012	9/15/2017
40428HPH9	HSBC BANK USA INC SENIOR CORP BND			6,072,582.60	6,101,264.49	6,090,000.00	6,072,676.65	28,587.84		(2,856.65	)	—	—	1.625	1.684		JJ	3,023.85	75,661.11	12/13/2012	1/16/2018
80685PAD0	SCHLUMBERGER NORGE AS SENIOR CORP BND	F		6,114,369.60	6,101,929.29	6,120,000.00	6,114,827.74	(12,898.45	)	(2,112.04	)	—	—	1.25	1.269		FA	32,087.5	41,730.55	7/24/2012	8/1/2017
912828RJ1	UNITED STATES TREASURY GOVT BND			5,960,625.00	6,114,299.94	6,000,000.00	5,970,119.47	144,180.47		(47,206.21	)	—	—	1	1.136		MS	15,329.67	237,270.50	10/11/2011	9/30/2016
02005TAD9	ALLYA _11-1 ABS_11-1 A4		2	5,999,457.6	6,136,260.24	6,000,000	5,999,643.58	136,616.66		15.09		—	—	2.23	2.242		MON	5,946.67	13,812.5	2/4/2011	3/15/2016
BRSGZV4B0	CUMULUS MED INC. SENIOR SECURED TERM		1	6,131,004.47	6,164,541.06	6,131,004.47	6,131,004.47	33,536.59		—		—	—	—	—		MJSD	—	—	12/20/2012	9/17/2018
14170TAF8	CAREFUSION CORP CORP BND			6,453,470.60	6,209,830.87	5,860,000.00	6,128,612.78	81,218.09		(52,068.36	)	—	—	5.125	2.165		FA	125,135.42	84,115.01	9/12/2011	8/1/2014
718172AB5	PHILIP MORRIS INTERNATIONAL IN CORP BND			6,108,095	6,227,593.75	6,125,000	6,123,596.33	103,997.42		1,051.59		—	—	4.875	4.938		MN	37,324.21	90,000	5/13/2008	5/16/2013
BRSBGXH81	DEL MONTE FOODS CO TERM LOAN		2	6,179,764.76	6,239,799.35	6,219,399.72	6,186,533.96	53,265.39		5,105.45		—	—	—	0.099		MJSD	—	277,669.18	7/27/2012	3/8/2018
9612EMAH2	WESTPAC BANKING CORP - GTD CORP BND GOVT	F		6,062,880.00	6,243,900.12	6,000,000.00	6,025,275.34	218,624.78		(41,340.45	)	—	—	2.9	2.643		MS	53,650	315,656.25	4/28/2010	9/10/2014
740189AK1	PRECISION CASTPARTS SENIOR CORP BND			6,215,538	6,247,287.06	6,225,000.00	6,215,588.96	31,698.1		149.09		—	—	1.25	1.281		JJ	2,377.61	29,555.31	12/17/2012	1/15/2018
73328WAB7	PILOT_12-1 ABS 12-1 144A		2	6,249,568.75	6,251,437.69	6,250,000.00	6,249,656.8	1,780.89		(9,321.36	)	—	—	0.44	0.447		MON	763.89	18,871.25	10/10/2012	2/23/2015
428236AT0	HEWLETT-PACKARD COMPANY CORP BND			6,576,217	6,275,221.53	5,975,000.00	6,125,360.61	149,860.92		(35,838.37	)	—	—	6.125	3.889		MS	121,989.58	149,727.09	10/26/2009	3/1/2014
278642AG8	EBAY INC. SENIOR CORP BND			6,367,171.65	6,364,912.99	6,300,000.00	6,364,771.61	141.38		(6,503.41	)	—	—	1.35	1.116		JJ	37,091.25	69,949.22	11/8/2012	7/15/2017



377373AC9	GLAXOSMITHKLINE CAPITAL PLC SENIOR CORP	F		6,277,383.00	6,378,140.55	6,300,000.00	6,280,210.56	97,929.99		2,943.13		—	—	1.5	1.575	MN	13,912.49	40,500		5/2/2012	5/8/2017
500769AX2	KREDITANSTALT FUER WIDERAUFBAU CORP BND	F		6,356,400.60	6,394,560.24	6,000,000.00	6,130,128.86	264,431.38		(65,185.19	)	—	—	4.125	2.87	AO	52,250	855,823.68		8/31/2009	10/15/2014
254683AL9	DISCOVER CARD MASTER TRUST DCE ABS 10-A1		2	6,414,863.7	6,411,981.51	6,405,000	6,411,924.52	56.99		(14,736.14	)	—	—	0.859	0.326	MON	2,292.46	9,386.66		11/30/2012	9/15/2015
D2330SAA9	DRIVER GMBH ABS _8 A	D	2	6,338,196.07	6,425,580.44	4,853,387.34	6,337,216.99	88,363.45		(2,253.81	)	—	1.15	0.81	0.454	MON	88,314.78	2,271.43		11/30/2012	2/21/2017
BRSEL02X2	BAUSCH & LOMB INCORPORATED SENIOR		1	6,304,320.00	6,432,253.12	6,368,000.00	6,309,174.57	123,078.55		1,176.43		—	—	—	0.144	FMAN	—	7,874.08		5/10/2012	5/17/2019
3133EAVE5	FEDERAL FARM CREDIT BANK AGENCY BND			6,497,855.00	6,495,143	6,500,000.00	6,498,033.07	(2,890.07	)	(1,761.11	)	—	—	0.231	0.249	MON	416.54	5,553.75		10/10/2012	6/22/2015
55608PAA2	MACQUARIE BANK LTD CORP BND 144A	F		5,996,040.00	6,496,344.48	6,000,000.00	5,996,653.18	499,691.3		(4,200.04	)	—	—	5	5.015	FA	107,500.00	98,630.71		2/14/2012	2/22/2017
78446JAB2	SLMA_11-2 ABS 11-2		2	6,575,000.00	6,575,000.00	6,575,000.00	6,575,000.00	—		—		—	—	1.41	1.414	MON	1,544.80	8,098.38		5/18/2011	10/25/2034
29079DAB2	EMBARCADERO REINSURANCE LTD CORP BND	F		6,500,000	6,650,800	6,500,000	6,500,000	150,800		—		—	—	5	—	JAJO	56,986.3	187,530.45		7/26/2012	2/7/2017
BRSC4H8Q7	EPICOR SOFTWARE CORP TERM LOAN			6,554,958.52	6,665,958.32	6,621,823.86	6,566,696.17	99,262.15		9,579.62		—	—	—	0.152	FMAN	—	277,887.48		8/6/2012	5/31/2018
78572MAD7	SABMILLER PLC CORP BND 144A	F		6,725,979.00	6,673,230.48	5,700,000.00	6,567,238.64	105,991.84		(152,852.64	)	—	—	6.5	1.969	JJ	185,250	575,945.14		10/4/2012	7/1/2016
110122AL2	BRISTOL MYERS SQUIBB CO CORP BND			6,916,260.00	6,695,130.00	6,500,000.00	6,562,534.95	132,595.05		(38,663.91	)	—	—	5.25	3.67	FA	128,916.67	226,939.67		3/5/2009	8/15/2013
665859AJ3	NORTHERN TRUST CORPORATION CORP BND			6,612,205.00	6,702,995	6,500,000.00	6,517,453.21	185,541.79		1,572.88		—	—	5.5	5.055	FA	135,055.56	149,577.52		3/23/2009	8/15/2013
N7332SAA5	ARENA_11-1 ABS 11-1	D	2	6,590,790.50	6,707,953.28	5,000,000.00	6,590,371.8	117,581.48		(1,069.92	)	—	7.65	1.633	1.54	MJSD	94,681.07	(14,323.98	)	11/30/2012	12/17/2042
61747WAE9	MORGAN STANLEY CORP BND			6,716,242.5	6,718,053.56	6,675,000.00	6,690,144.76	27,908.8		(8,358.59	)	—	—	1.916	1.69	JAJO	24,509.62	99,696.49		2/11/2011	1/24/2014
912828TK6	UNITED STATES TREASURY GOVT BND			6,777,679.67	6,787,895.94	6,800,000	6,780,304.73	7,591.21		1,124.29		—	—	0.25	0.361	FA	6,421.2	380.43		8/27/2012	8/15/2015
36290SJB8	GNMA POOL # 615958		2	6,517,760.76	6,847,989.55	6,220,118.36	6,509,519.76	338,469.79		(57,015.56	)	—	—	5	3.548	MON	25,917.16	285,519.95		4/23/2010	9/15/2033
874060AB2	TAKEDA PHARMACEUTICAL CO LTD UNSECURED	F		6,786,622.50	6,848,877.98	6,750,000.00	6,783,411.92	65,466.06		—		—	—	1.625	1.503	MS	31,687.50	33,984.59		7/31/2012	3/17/2017
055451AP3	BHP BILLITON FINANCE (USA) LTD SENIOR	F		6,706,708.00	6,871,426.46	6,725,000.00	6,709,723.72	161,702.74		(27,521.11	)	—	—	1.625	1.682	FA	38,552.00	56,585		2/21/2012	2/24/2017
24702RAP6	DELL INC CORP BND			6,668,948.00	6,877,601.91	6,550,000.00	6,631,507.24	246,094.67		279.33		—	—	3.1	2.697	AO	50,762.5	46,569.81		11/8/2012	4/1/2016
92344GAW6	VERIZON COMMUNICATIONS INC. CORP BND			6,784,125.00	6,933,970.94	6,250,000.00	6,521,154.69	412,816.25		4,986.95		—	—	4.9	3.21	MS	90,173.61	28,857.75		2/17/2010	9/15/2015
3134G3J76	FHLMC AGENCY BND			7,002,107.00	7,003,289.23	7,000,000.00	7,001,901.06	1,388.17		(10,749.54	)	—	—	0.45	0.44	MS	10,587.5	14,133.33		9/14/2012	9/4/2015
00206RAW2	AT&T INC CORP BND			6,694,297.50	7,014,542.24	6,625,000.00	6,673,124.07	341,418.17		(32,505.71	)	—	—	2.95	2.723	MN	24,972.57	119,905.00		2/22/2012	5/15/2016
161571FH2	CHASE ISSUANCE TRUST ABS_12-A2 A2		2	7,000,000.00	7,018,410.00	7,000,000.00	7,000,000	18,410		(10,320.48	)	—	—	0.479	0.479	MON	1,397.08	16,824.9		5/29/2012	5/15/2019
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE TERM LOAN		2	6,977,500.00	7,020,720	7,000,000.00	6,980,480.21	40,239.79		3,230.95		—	—	—	0.051	FMAN	—	259,069.57		11/30/2012	5/16/2018
06052YAC3	BAAT_12-1 ABS 12-1		2	6,999,750.10	7,031,010.08	7,000,000.00	6,999,796.98	31,213.1		(32,301.03	)	—	—	0.78	0.782	MON	2,426.67	93,578.24		4/11/2012	6/15/2016
3136FRX73	FNMA AGENCY BND		1	6,999,930.00	7,038,856.86	7,000,000.00	6,999,952.71	38,904.15		(16,749.15	)	—	—	1	1	MS	21,777.78	54,916.67		8/31/2011	9/9/2015
06406HCC1	BANK OF NEW YORK CO CORP BND MTN		1	6,993,630.00	7,056,527.31	7,000,000.00	6,995,436.84	61,090.47		(69,383.31	)	—	—	1.2	1.231	FA	30,566.67	180,371.11		2/13/2012	2/20/2015
68389XAN5	ORACLE CORPORATION SENIOR CORP BND			7,017,838.10	7,063,823.08	7,030,000.00	7,018,279.75	45,543.33		(1,056.48	)	—	—	1.2	1.236	AO	15,466	218,159.02		10/18/2012	10/15/2017
742651DF6	PRIVATE EXPORT FUNDING CORP AGENCY BND			7,321,566.00	7,064,890.7	7,000,000.00	7,063,476.18	1,414.52		0.35		—	—	3.55	0.37	AO	52,461.11	(134.38	)	11/2/2011	4/15/2013
709599AJ3	PENSKE TRUCK LEASING COMPANY L SENIOR			6,989,640.00	7,093,562.07	7,000,000.00	6,990,385.63	103,176.44		145.23		—	—	2.5	2.545	MS	45,694.44	9,375		9/24/2012	3/15/2016
48126EAA5	JPMORGAN CHASE & CO SENIOR CORP BND			6,987,470	7,119,039.83	7,000,000	6,988,336.88	130,702.95		(240.37	)	—	—	2	2.038	FA	50,944.45	86,457.64		8/13/2012	8/15/2017
3138M8YB3	FNMA POOL # AP5205		2	7,061,330.86	7,124,862.29	6,808,152.68	7,056,218.34	68,643.95		(6,965.98	)	—	—	2.5	0.756	MON	14,183.65	20,762.14		9/6/2012	9/1/2027
91159HHD5	US BANCORP SENIOR CORP BND MTN		1	6,986,910	7,126,415.73	7,000,000.00	6,988,551.2	137,864.53		153.85		—	—	1.65	1.689	MN	14,758.33	8,915.28		5/3/2012	5/15/2017



828807CM7	SIMON PROPERTY GROUP L.P. SENIOR CORP		1	7,122,493.25	7,128,729.26	7,145,000.00	7,122,648.57	6,080.69		(15,758.27	)	—	—	1.5	1.564		FA	4,167.92	51,000		12/10/2012	2/1/2018
302570BC9	NEXTERA ENERGY CAPITAL HOLDING CORP BND			7,402,175.00	7,141,099.23	6,050,000	6,771,862.77	369,236.46		(416.98	)	—	—	7.875	3.581		JD	21,175	—		2/17/2010	12/15/2015
BRSBRMFR3	METROPCS WIRELESS INC TERM LOAN		2	7,017,032.4	7,163,651.16	7,134,329.07	7,039,863.98	123,787.18		15,133.46		—	—	—	0.249		FMAN	—	258,242.06		3/8/2012	3/17/2018
912828SG6	UNITED STATES TREASURY GOVT BND			7,175,676.38	7,178,516.04	7,175,000	7,175,609.91	2,906.13		10,963.55		—	—	0.25	0.243		FA	6,094.79	26,442.31		11/23/2012	2/28/2014
00205BAA6	ARI FLEET LEASE TRUST ARIFL_12 ABS 12-B		2	7,203,227.59	7,205,172.46	7,203,227.59	7,203,227.59	1,944.87		(114,300.16	)	—	—	0.509	0.51		MON	1,527.68	100,908.65		10/16/2012	1/15/2021
92343VAZ7	VERIZON COMMUNICATIONS INC. CORP BND FRN			7,198,746.98	7,223,511.74	7,181,000.00	7,194,969.18	28,542.56		(15,320.41	)	—	—	0.92	0.815		MJSD	734.05	145,682.07		10/10/2012	3/28/2014
BRSE0V753	AMC ENTERTAINMENT INC. TERM LOAN		2	7,104,974.87	7,231,628.19	7,150,293.60	7,111,105.2	120,522.99		6,382.41		—	—	—	0.105		MJSD	—	192,567.62		6/12/2012	2/22/2018
149123BY6	CATERPILLAR INC SENIOR CORP BND			7,198,488.00	7,243,832.74	7,200,000.00	7,198,745.25	45,087.49		34.57		—	—	0.95	0.957		JD	950	6,364.82		6/21/2012	6/26/2015
86959LAA1	SVENSKA HANDELSBANKEN AB CORP BND 144A	F		7,060,839	7,244,862.07	6,900,000.00	6,952,120.2	292,741.87		1,549.79		—	—	4.875	4.328		JD	19,621.88	86,156.25		8/31/2009	6/10/2014
913017BX6	UNITED TECHNOLOGIES CORP SENIOR CORP BND			7,227,281.74	7,246,683.68	7,176,000.00	7,220,922.53	25,761.15		144.01		—	—	0.811	0.691		MJSD	4,685.23	145,871.63		10/1/2012	6/1/2015
N92880AB4	STORM_12-1 SENIOR ABS 12-1	D	2	7,151,133.2	7,246,796.54	5,400,000	7,148,587.85	98,208.69		(590.31	)	—	332.5	1.754	1.31		JAJO	122,463.35	8,452.46		11/30/2012	1/22/2054
BRSBRN2H7	MEG ENERGY CORP TERM LOAN	A	2	7,200,401.43	7,260,496.52	7,182,672.27	7,181,746.59	78,749.93		(4,913.57	)	—	—	—	(0.319	)	MJSD	—	295,247.18		5/29/2012	3/18/2018
31402RF87	FNMA POOL # 735591		2	6,975,527.74	7,289,389.14	6,721,407.36	6,966,961.64	322,427.5		(57,580.05	)	—	—	5	3.32		MON	28,005.87	185,546.61		4/30/2010	6/1/2035
4581X0AF5	INTER-AMERICAN DEV BK CORP BND EMTN	E		7,418,582.14	7,317,489.60	7,200,000.00	7,243,800.06	73,689.54		2,165.41		—	—	3.5	2.314		JJ	121,100	42,992.22		11/12/2010	7/8/2013
38141GEA8	GOLDMAN SACHS GROUP INC CORP BND			7,048,286	7,319,563.6	6,825,000.00	6,957,094.76	362,468.84		(124,720.14	)	—	—	5.125	4.123		JJ	161,288.02	369,142.17		1/19/2012	1/15/2015
BRSBZZFY0	IASIS HLTHCARE CORP TERM LOAN		2	7,202,183.52	7,363,151.66	7,331,078.20	7,218,371.94	144,779.72		29,369.27		—	—	—	0.285		FMAN	—	270,446.38		6/28/2012	5/3/2018
05565QBX5	BP CAPITAL MARKETS PLC CORP BND	F		7,224,566.50	7,376,727.68	7,225,000.00	7,224,718.07	152,009.61		(4,918.45	)	—	—	1.7	1.702		JD	8,870.7	62,323.97		12/1/2011	12/5/2014
172967FD8	CITIGROUP INC CORP BND			7,263,772.5	7,377,141.48	6,850,000	7,091,835.4	285,306.08		(65,202.78	)	—	—	4.75	3.198		MN	37,960.42	285,352.08		5/24/2011	5/19/2015
BRSC9TBB5	NRG ENERGY INC TERM LOAN			7,189,964.18	7,401,052.3	7,310,114.48	7,212,177.53	188,874.77		16,705.62		—	—	—	0.241		MJSD	—	244,331.24		7/24/2012	7/1/2018
G05508AE9	ARRMF_11-1X ABS 11-1X	D	2	7,305,736.82	7,408,115.97	5,500,000.00	7,299,179.2	108,936.77		(11,552.15	)	—	191.89	1.641	0.565		FMAN	114,109.46	(7,944.16	)	11/30/2012	11/19/2047
02666QL43	AMERICAN HONDA FINANCE CORPORA UNSECURED			7,459,377.25	7,499,535.86	7,475,000.00	7,460,980.53	38,555.33		180.17		—	—	1	1.073		FA	22,840.28	40,421.1		9/4/2012	8/11/2015
500769EP5	KREDITANSTALT FUER WIDERAUFBAU CORP BND	F		7,500,000.00	7,500,299.25	7,500,000.00	7,500,000	299.25		(52,666.86	)	—	—	0.219	0.2		MON	684.39	147,614.44		6/8/2011	6/17/2013
20826FAB2	CONOCOPHILLIPS CO SENIOR CORP BND		1	7,492,802.10	7,500,392.46	7,510,000.00	7,493,028.42	7,364.04		(20,047.99	)	—	—	1.05	1.097		JD	5,257	89,923.61		12/4/2012	12/15/2017
46623EJH3	JPMORGAN CHASE & CO CORP BND MTN			7,454,277.8	7,501,107.38	7,450,000	7,452,189.33	48,918.05		1,802.86		—	—	1.058	1.065		MJSD	3,284.22	68,139.55		2/9/2012	5/2/2014
BRSD9CAS4	HEALTH MANAGEMENT ASSOCIATES I TERM		2	7,422,124.78	7,550,055.71	7,479,412.65	7,428,697.88	121,357.83		6,147.97		—	—	—	0.114		FMAN	—	244,400.31		6/11/2012	11/16/2018
G816APAA3	SILK ROAD FINANCE NUMBER TWO ABS_11-1 AA	D	2	7,466,200.98	7,568,978.16	5,639,688.00	7,471,110.68	97,867.48		(8,948.34	)	—	2.84	1.733	(0.121	)	MJSD	106,186.78	(23,231.97	)	11/30/2012	3/21/2054
46625HHB9	JPMORGAN CHASE & CO CORP BND			7,647,350	7,605,825.00	7,500,000.00	7,517,302.57	88,522.43		(36,602.8	)	—	—	4.75	4.042		MN	59,375	316,512.58		2/22/2012	5/1/2013
3133XWE70	FEDERAL HOME LOAN BANKS AGENCY BND			7,454,591.35	7,633,266.9	7,395,000.00	7,441,823.78	191,443.12		(36,939.99	)	—	—	2.5	2.05		JD	9,243.75	108,137.07		6/22/2012	6/13/2014
21685WCY1	RABOBANK NEDERLAND NV CORP BND	F		7,660,000	7,664,059.88	7,660,000.00	7,660,000	4,059.88		—		—	—	0.515	0.452		JAJO	7,455.1	71,158.1		7/20/2011	7/25/2013
44923YAD9	HART_10-B ABS_10-B A4		2	7,549,294.08	7,694,129.27	7,550,000	7,549,711.57	144,417.7		(42.05	)	—	—	1.63	1.638		MON	5,469.56	199,674.96		8/19/2010	3/15/2017
L9631TAA9	VCL_15 ABS 15	D	2	7,624,889.73	7,731,017.88	5,850,249.95	7,624,420.23	106,597.65		(733.7	)	—	1.09	0.64	0.498		MON	105,856.06	1,106.16		11/30/2012	1/21/2018
00101JAA4	ADT CORP SENIOR CORP BND 144A			7,895,412.57	7,740,363.77	7,863,000.00	7,894,814.69	(154,450.92	)	2,794.56		—	—	2.25	2.156		JJ	86,493	44,770.14		11/13/2012	7/15/2017
912828LK4	UNITED STATES TREASURY GOVT BND			7,774,804.69	7,765,125.83	7,500,000.00	7,613,510.99	151,614.84		(71,683.35	)	—	—	2.375	1.449		FA	60,523.14	280,687.76		7/28/2010	8/31/2014
36962G4T8	GENERAL ELECTRIC CAPITAL CORP CORP BND			7,243,470.00	7,803,622.47	7,550,000.00	7,363,375.34	440,247.13		12,165.04		—	—	2.25	3.162		MN	24,537.5	28,500.00		2/22/2012	11/9/2015



40428HPG1	HSBC USA INC SENIOR CORP BND			7,670,812	7,817,876.12	7,600,000.00	7,651,569.42	166,306.7		(21,498.95	)	—	—	2.375	2.045	FA	69,191.67	91,887.6		3/2/2012	2/13/2015
85235XAA3	STADSHYPOTEK AB CORP BND 144A	F		7,868,143.26	7,854,494.15	7,800,000	7,818,978.27	35,515.88		(28,210.33	)	—	—	1.45	1.12	MS	28,589.17	252,071.83		6/9/2011	9/30/2013
BRSAZTC86	COMMUNITY HLTH SYST INC TERM LOAN		2	7,730,573.15	7,855,208.33	7,799,171.29	7,748,727.07	106,481.26		50,924.31		—	—	—	0.157	JAJO	—	325,046.86		8/9/2012	1/25/2017
74456QAY2	PUBLIC SERVICE ELECTRIC & GAS CORP BND			7,818,200.25	7,868,859.84	7,825,000.00	7,821,235.36	47,624.48		(10,906.35	)	—	—	0.85	0.88	FA	25,126.94	38,176.53		9/12/2011	8/15/2014
912828QU7	UNITED STATES TREASURY GOVT BND			7,922,921.87	7,897,962.87	7,850,000.00	7,888,440.15	9,522.72		(62,961.47	)	—	—	0.625	0.306	JJ	22,664.74	161,641.48		8/9/2011	7/15/2014
428236BJ1	HEWLETT-PACKARD COMPANY CORP BND			8,105,000.00	7,943,953.65	8,105,000.00	8,105,000	(161,046.35	)	(192,830.14	)	—	—	0.711	0.654	FMAN	5,118.75	253,740.00		5/25/2011	5/30/2014
3137EACX5	FHLMC AGENCY AGENCY BND			7,975,120	8,011,440.8	8,000,000	7,989,420.31	22,020.49		(171,303.85	)	—	—	0.375	0.536	AO	5,083.33	230,000		11/17/2011	10/30/2013
BRSE99EZ9	TELESAT CANADA / TELESAT LLC SENIOR	A	2	7,917,718.74	8,035,091.96	7,957,506.27	7,921,843.23	113,248.73		95.16		—	—	—	0.071	MJSD	—	89,473.05		3/26/2012	3/28/2019
BRSBNUWH2	HERTZ CORPORATION TERM LOAN		2	7,885,996.44	8,042,653.87	8,005,946.60	7,905,872.41	136,781.46		17,317.95		—	—	—	0.237	MJSD	—	248,254.29		9/17/2012	3/9/2018
92857WAY6	VODAFONE GROUP PLC SENIOR CORP BND	F		8,042,072.97	8,049,770.10	8,067,000.00	8,043,369.82	6,400.28		(36,151.34	)	—	—	1.25	1.314	MS	26,609.9	(57,200	)	9/19/2012	9/26/2017
BRSFARWZ4	FRASER SULLIVAN CLO LTD FRASR_	E	2	8,064,688	8,068,496	8,000,000	8,062,785.44	5,710.56		282.17		—	—	1.962	1.677	FMAN	16,999.67	25,214.78		11/30/2012	2/23/2021
BRSDYT4C1	CEQUEL COMMUNICATIONS LLC TERM LOAN		1	7,950,076.28	8,095,181.11	8,041,743.72	7,960,188.3	134,992.81		10,836.62		—	—	—	0.164	MJSD	—	220,968.00		10/31/2012	2/14/2019
904764AP2	UNILEVER CAPITAL CORP SENIOR CORP BND			8,102,912.00	8,095,281.58	8,200,000.00	8,110,736.88	(15,455.3	)	(6,143.89	)	—	—	0.85	1.094	FA	28,848.05	30,103.2		12/28/2012	8/2/2017
928670AE8	VOLKSWAGEN INTERNATIONAL FINAN CORP BND	F		8,105,061.80	8,106,017.52	8,080,000.00	8,091,177.24	14,840.28		(58,997.1	)	—	—	0.97	0.784	JAJO	20,034.58	214,312.22		7/12/2011	4/1/2014
959802AN9	WESTERN UNION CO/THE CORP BND			8,100,000.00	8,107,046.84	8,100,000.00	8,100,000	7,046.84		(7,456.12	)	—	—	0.891	0.89	MJSD	5,009.06	12,148.85		3/2/2011	3/7/2013
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA CORP BND	F		7,985,040	8,116,264.64	8,000,000.00	7,986,515.25	129,749.39		(3,048.54	)	—	—	1.55	1.589	JD	1,033.34	98,896.88		6/21/2012	6/28/2017
G92451GE0	UNITED KINGDOM GILT GOVT BND	D		7,884,787.26	8,133,221.76	4,800,000.00	7,853,399.27	279,822.49		(62,552.25	)	—	1,618.48	1.75	0.662	JJ	348,671.8	85,674.66		10/30/2012	1/22/2017
87020LAB2	SWEDBANK HYPOTEK AB CORP BND 144A	F		8,200,000.00	8,154,923.87	8,200,000.00	8,200,000.00	(45,076.13	)	(5,866.12	)	—	—	0.76	0.758	MJSD	692.44	30,691.67		3/21/2011	3/28/2014
05565QBY3	BP CAPITAL MARKETS PLC SENIOR CORP BND	F		8,000,000	8,164,606.32	8,000,000.00	8,000,000	164,606.32		(143,543.96	)	—	—	1.846	1.846	MN	22,972.45	368,511.46		5/2/2012	5/5/2017
6832348A9	ONTARIO PROVINCE CORP BND	A		8,113,059.69	8,169,430.23	7,750,000.00	7,877,441.06	291,989.17		(33,068.48	)	—	—	4.1	2.938	JD	13,239.58	161,979.17		2/19/2010	6/16/2014
85771SAB2	STATOIL ASA CORP BND	F		8,220,819.00	8,231,361.56	7,900,000.00	8,006,557.3	224,804.26		(243,087.2	)	—	—	3.875	2.799	AO	64,626.4	588,281.26		4/6/2010	4/15/2014
06051GEQ8	BANK OF AMERICA CORP BND			7,577,808	8,233,318.49	7,600,000.00	7,580,992.31	652,326.18		(462.64	)	—	—	3.875	3.94	MS	80,987.51	49,188.11		3/19/2012	3/22/2017
3128JR6Z4	FHLMC POOL # 848088		2	8,177,445.73	8,278,784.3	7,782,253.20	8,165,317.07	113,467.23		206.76		—	—	2.372	1.263	MON	15,382.92	2,685.16		3/8/2011	4/1/2035
45950KAZ3	INTERNATIONAL FINANCE CO CORP BND	E		8,216,320	8,281,359.84	8,000,000	8,067,219.35	214,140.49		(25,457.71	)	—	—	3	2.342	AO	46,000.00	67,216.1		12/11/2009	4/22/2014
3128PVWH9	FHLMC GOLD POOL # J16048		2	8,127,049.54	8,317,527.88	7,693,110.06	8,106,580.39	210,947.49		(35,062.73	)	—	—	4	2.235	MON	25,643.7	133,605.01		8/2/2011	7/1/2026
17275RAL6	CISCO SYSTEMS INC CORP BND			8,300,000.00	8,322,576.25	8,300,000.00	8,300,000	22,576.25		34,632.72		—	—	0.56	0.559	MJSD	2,321.93	159,024.01		3/9/2011	3/14/2014
44923WAD3	HART ABS 10-A 4		2	8,149,863.9	8,344,866.42	8,150,000.00	8,149,751.02	195,115.4		189.65		—	—	2.45	2.462	MON	8,874.44	14,450.77		5/5/2010	12/15/2016
428236AV5	HEWLETT-PACKARD COMPANY CORP BND			8,728,518.65	8,370,677.83	8,079,000.00	8,304,032.12	66,645.71		(99,653.75	)	—	—	4.75	2.733	JD	30,913.4	364,951.39		4/9/2010	6/2/2014
G7805NAA2	SGOLD_12-1 ABS 12-1	D	2	8,188,499.78	8,424,478.85	5,000,000.00	8,185,208.98	239,269.87		(6,283.94	)	—	566.54	2.479	1.956	JAJO	157,004.04	(16,114.07	)	11/30/2012	10/20/2039
3137EACH0	FHLMC AGENCY BND			8,563,258.24	8,429,680.16	8,000,000.00	8,364,585.39	65,094.77		4,404.54		—	—	2.875	0.691	FA	90,722.22	66,094.25		11/2/2011	2/9/2015
44328MAB0	HSBC BANK PLC CORP BND 144A	F		8,267,792.4	8,469,216.38	7,980,000.00	8,250,648.88	218,567.5		(540.54	)	—	—	3.5	2.08	JD	2,327.5	7,743.76		10/25/2012	6/28/2015
12624FAC1	CNH_12-C ABS_12-C A3		2	8,539,300.58	8,541,366.31	8,540,000.00	8,539,344.98	2,021.33		(31.4	)	—	—	0.57	0.573	MON	2,163.47	51,662.04		9/19/2012	12/15/2017
459200HD6	IBM CORP SENIOR CORP BND			8,535,807	8,575,493.02	8,550,000	8,538,811.28	36,681.74		7,655.84		—	—	0.75	0.806	MN	8,906.25	41,341.4		5/8/2012	5/11/2015
31410GFD0	FNMA POOL # 888564		2	8,196,393.13	8,626,231.2	7,952,837.49	8,161,009.91	465,221.29		4,516.27		—	—	5	3.655	MON	33,136.82	40,177.66		2/26/2009	10/1/2021



D6708ZAA8	SCGA_10-1 ABS 10-1 A	D	2	8,523,074.54	8,643,217.77	6,514,685.45	8,521,275.5	121,942.27		(5,577.72	)	—	60.45		1.16	0.671		MON	122,157.2	5,360.55		11/30/2012	8/12/2019
3620ADCM2	GNMA POOL # 726476		2	8,479,977.14	8,653,171.08	8,049,815.14	8,445,744.22	207,426.86		(39,143.32	)	—	—		4.5	2.405		MON	30,186.81	139,722.71		12/8/2009	11/15/2024
36225C6Y7	GNMA POOL # 080886		2	8,472,507.23	8,662,250.05	8,265,860.70	8,463,764.23	198,485.82		(26,439.99	)	—	—		1.75	1.33		MON	12,054.38	185,456.43		3/2/2011	4/20/2034
589331AK3	MERCK & CO INC CORP BND			8,701,862.5	8,716,722.4	8,000,000	8,312,936.81	403,785.59		(141,637.44	)	—	—		4.75	2.871		MS	126,666.67	468,093.75		2/17/2010	3/1/2015
62889EAA3	NGN_11-R3 NGN_11-R3 1A		2	8,728,196.09	8,722,451.72	8,716,960.03	8,727,346.26	(4,894.54	)	152.55		—	—		0.612	0.582		MON	3,096.69	26,163.88		6/15/2012	3/11/2020
G7014VBG7	PERMM_10-1X ABS_10-1X 2A2	D	2	8,624,246.08	8,746,562.24	6,500,000.00	8,618,187.37	128,374.87		(437.06	)	—	366		1.46	0.615		JAJO	145,056.95	496.11		11/30/2012	7/15/2042
94974BFA3	WELLS FARGO & COMPANY CORP BND			8,853,380.00	8,873,194.62	8,800,000.00	8,846,603.08	26,591.54		(168,132.08	)	—	—		1.25	0.996		FA	42,166.67	280,780.14		10/2/2012	2/13/2015
612098AD5	MONTANA RE LTD CORP BND 144A	F		9,004,500	8,951,400	9,000,000.00	9,004,709.32	(53,309.32	)	217.08		—	—		16.711	17.115		MJSD	104,440.63	20,516.42		11/30/2012	1/8/2014
BRSFXK170	FMG RESOURCES (AUGUST 2006) PT SENIOR	F	1	8,798,847.75	8,979,668.52	8,887,725.00	8,800,532.33	179,136.19		—		—	—		—	0.203		JAJO	—	—		10/12/2012	10/18/2017
3133XXYX9	FEDERAL HOME LOAN BANKS AGENCY BND			9,188,566.41	8,997,204.15	8,925,000.00	8,991,758.59	5,445.56		(119,902.44	)	—	—		1.875	0.281		JD	4,648.44	323,078.68		8/10/2011	6/21/2013
268317AA2	ELECTRICITE DE FRANCE CORP BND 144A	F		9,449,250.00	9,034,013.53	8,600,000.00	8,834,012.45	200,001.08		(4,545.14	)	—	—		5.5	2.893		JJ	203,652.78	80,093.32		1/6/2010	1/26/2014
10138MAH8	BOTTLING GROUP LLC CORP BND			9,826,255	9,141,620.54	8,500,000.00	8,834,324.59	307,295.95		(1,146.44	)	—	—		6.95	3.574		MS	173,943.06	60,180.21		2/5/2009	3/15/2014
191216AU4	COCA-COLA COMPANY THE CORP BND			9,121,810.37	9,199,156.15	8,900,000.00	9,100,128.38	99,027.77		3,422.44		—	—		1.8	1.224		MS	53,400	377,242.19		10/5/2012	9/1/2016
BRSFBH0G2	BIOMET INC SENIOR SECURED TERM LOAN		1	9,130,321.41	9,224,328.36	9,155,660.90	9,129,654.37	94,673.99		(619.04	)	—	—		—	(0.001	)	MJSD	—	107,232.57		12/14/2012	7/25/2017
N2819GAB2	DMPL_VIII ABS VIII	D	2	9,103,367.62	9,224,499.38	6,900,000.00	9,102,337.05	122,162.33		4.12		—	360.28		1.553	1.401		JAJO	151,259.93	(80.85	)	11/30/2012	7/25/2047
961214BR3	WESTPAC BANKING CORP CORP BND	F		9,195,216.00	9,320,304.26	9,200,000.00	9,198,477.75	121,826.51		—		—	—		1.85	1.868		JD	10,401.11	84,795.73		12/2/2010	12/9/2013
06366QGN1	BANK OF MONTREAL CORP BND	A		9,350,000	9,390,391.91	9,350,000	9,350,000	40,391.91		1,182.63		—	—		0.783	0.743		JAJO	13,019.35	186,674.71		4/26/2011	4/29/2014
N3694AAA5	GLOBAL DRIVE ABS 11-AX A	D	2	9,246,904.84	9,392,768.46	7,075,829.09	9,245,286.46	147,482		(2,417.02	)	—	(10.75	)	0.86	0.459		MON	129,205.15	1,900.04		11/30/2012	4/20/2019
25243YAR0	DIAGEO CAPITAL PLC SENIOR CORP BND	F		9,444,640	9,504,787.53	9,400,000	9,443,831.8	60,955.73		(4,493.09	)	—	—		1.5	1.388		MN	19,583.33	71,590.26		9/25/2012	5/11/2017
78446JAA4	SLM STUDENT LOAN TRUST SLMA_11 ABS 11-2		2	9,444,538.43	9,521,552.41	9,462,882.26	9,447,072.79	74,479.62		(18,356.24	)	—	—		0.81	0.843		MON	1,277.01	96,483.02		5/18/2011	11/25/2027
912828TW0	UNITED STATES TREASURY GOVT BND			9,549,218.75	9,531,444.43	9,500,000.00	9,548,055.43	(16,611	)	(1,431.86	)	—	—		0.75	0.643		AO	12,203.04	5,274.81		11/28/2012	10/31/2017
05252EAB9	AUSTRALIA & NEW ZEALAND BANKIN LOCAL	E		9,480,810	9,564,600.76	9,500,000	9,482,711.9	81,888.86		(96,636.11	)	—	—		1	1.067		AO	29,027.77	189,424.69		9/4/2012	10/6/2015
38376CUM9	GNMA CMO_09-79 PA		2	9,875,088.78	9,597,702.12	9,293,517.85	9,546,293.36	51,408.76		(319,180.34	)	—	—		4.5	(1.962	)	MON	34,850.7	473,970.62		8/2/2011	9/20/2032
00206RBB7	AT&T INC SENIOR CORP BND			9,567,642.75	9,603,585.02	9,575,000.00	9,569,778.82	33,806.20		(86,004.6	)	—	—		0.875	0.901		FA	32,116.15	232,821.82		2/23/2012	2/13/2015
51218TAA5	LAKESIDE RE II LTD CORP BND 144A	F		9,750,000.00	9,747,562.5	9,750,000.00	9,750,000	(2,437.5	)	—		—	—		7.843	7.918		MJSD	2,098.96	102,705.56		12/18/2009	1/8/2013
78008K5X7	ROYAL BANK OF CANADA CORP BND	A		9,777,835	9,794,549.71	9,775,000	9,776,304.68	18,245.03		(1,643.23	)	—	—		0.63	0.565		JAJO	13,005.91	111,469.71		6/20/2011	4/17/2014
3128M5HK9	FHLMC GOLD POOL # G03534		2	9,129,377.72	9,903,884.88	8,883,688.18	9,119,357.89	784,526.99		1,128.82		—	—		6.5	5.685		MON	48,119.98	208,582.07		11/6/2007	10/1/2037
88732JAV0	TIME WARNER CABLE INC CORP BND			9,960,678	9,912,752.24	9,400,000.00	9,778,176.47	134,575.77		(27,442.53	)	—	—		3.5	1.528		FA	137,083.34	156,934.83		9/25/2012	2/1/2015
25600WAA8	DNB NOR BLGKRDIT CORP BND 144A	F		9,671,647.51	9,950,208.96	9,600,000.00	9,647,693.24	302,515.72		(26,131.1	)	—	—		2.1	1.915		AO	43,119.99	231,538.88		11/14/2012	10/14/2015
612098AC7	MONTANA RE LTD SENIOR CORP BND 144A	F		10,002,000	9,959,000.00	10,000,000.00	10,002,171.95	(43,171.95	)	—		—	—		12.211	12.481		MJSD	84,795.14	577,523.5		11/30/2012	1/8/2014
912828UA6	UNITED STATES TREASURY GOVT BND			10,003,939.76	9,966,999.8	10,000,000.00	10,003,877.86	(36,878.06	)	2,069.74		—	—		0.625	0.617		MN	5,494.50	(2,584.74	)	11/30/2012	11/30/2017
913017BU2	UNITED TECHNOLOGIES CORP SENIOR CORP BND			9,706,645.1	9,970,673.94	9,715,000.00	9,707,589.32	263,084.62		(152,622.69	)	—	—		1.8	1.818		JD	13,601	561,861.89		11/8/2012	6/1/2017
912828RK8	UNITED STATES TREASURY SENIOR GOVT BND			9,981,674.13	9,996,900.20	10,000,000.00	9,989,278.32	7,621.88		6,160.62		—	—		0.125	0.269		MS	3,193.68	12,500.00		6/21/2012	9/30/2013
912828RD4	UNITED STATES TREASURY GOVT BND			9,985,580.38	9,997,499.80	10,000,000.00	9,995,043.43	2,456.37		(20,510.1	)	—	—		0.125	0.197		FA	4,247.24	22,228.3		9/6/2011	8/31/2013



912828RV4	UNITED STATES TREASURY GOVT BND			9,967,578.13	10,000,300.60	10,000,000.00	9,978,754.90	21,545.70		940.47		—	—		0.25	0.359	JD	1,167.58	14,108.61		12/19/2011	12/15/2014
912828RS1	UNITED STATES TREASURY GOVT BND			10,000,000	10,006,300.00	10,000,000.00	10,000,000	6,300		3,884.91		—	—		0.25	0.25	MN	2,197.80	153,750.00		12/2/2011	11/30/2013
02005AAA6	AMOT_10-3 ABS_10-1 A		2	10,209,140.63	10,006,900.00	10,000,000.00	10,014,497.83	(7,597.83	)	(47,504.88	)	—	—		1.959	0.775	MON	8,162.5	144,587.20		5/11/2011	1/15/2015
04013JAA3	ARES_11-16A ABS 2011-16A A 144A	F	2	10,012,600.00	10,011,500.00	10,000,000.00	10,012,281.32	(781.32	)	(2,318.55	)	—	—		1.911	1.878	FMAN	22,825.83	2,130		11/30/2012	5/17/2021
912828QW3	UNITED STATES TREASURY GOVT BND			10,012,533.50	10,014,100.00	10,000,000.00	10,006,687.53	7,412.47		(45,605.32	)	—	—		0.375	0.26	JJ	15,692.93	11,332.42		6/27/2012	7/31/2013
3135G0RT2	FNMA UNSECURED AGENCY BND			9,955,500	10,020,900	10,000,000.00	9,956,933.16	63,966.84		(211,150.11	)	—	—		0.875	0.964	JD	2,673.61	705,969.44		11/27/2012	12/20/2017
N0705RAB9	ARENA_09-1 ABS 09-1	D	2	9,896,135.34	10,025,838.72	7,500,000.00	9,895,343.5	130,495.22		(760.4	)	—	10.62		1.51	1.4	MON	141,648.78	(5,946.17	)	11/30/2012	11/17/2041
3135G0KM4	FNMA AGENCY BND			10,030,200.00	10,035,099.80	10,000,000.00	10,027,011.72	8,088.08		(25,518.69	)	—	—		0.5	0.387	MN	4,722.22	32,500.00		9/18/2012	5/27/2015
44890HAC7	HYUNDAI AUTO RECEIVABLES TRUST ABS 12-B		2	9,998,296	10,035,299.70	10,000,000.00	9,998,631	36,668.7		135.13		—	—		0.62	0.628	MON	2,755.56	37,065.7		7/10/2012	9/15/2016
912828PQ7	UNITED STATES TREASURY GOVT BND			10,123,517.88	10,084,400.00	10,000,000.00	10,070,808.34	13,591.66		(64,126.01	)	—	—		1	0.316	JJ	46,195.66	92,763.74		6/22/2012	1/15/2014
46623EJP5	JPMORGAN CHASE & CO SENIOR CORP BND MTN			9,918,052.50	10,092,573.70	9,925,000.00	9,919,826.34	172,747.36		2,475.13		—	—		1.875	1.899	MS	52,209.64	47,644.75		3/14/2012	3/20/2015
313372VR2	FEDERAL HOME LOAN BANKS AGENCY BND			10,112,500	10,098,945.60	10,000,000.00	10,046,594.65	52,350.95		(133.11	)	—	—		1.2	0.729	JD	333.33	3,307.29		7/29/2011	12/30/2013
912828QH6	UNITED STATES TREASURY GOVT BND			10,155,111.63	10,116,400.90	10,000,000.00	10,109,506.31	6,894.59		(18,566.08	)	—	—		1.25	0.272	FA	47,214.67	9,337.79		7/12/2012	2/15/2014
06423RAV8	BOIT ABS_03-A4 A4		2	10,121,222.10	10,119,098.60	10,110,000.00	10,119,114.56	(15.96	)	3.44		—	—		0.459	0.217	MON	1,933.54	565.83		11/30/2012	1/15/2016
3135G0BJ1	FNMA AGENCY BND			10,151,200.00	10,127,101.10	10,000,000.00	10,125,681.31	1,419.79		(19,782.21	)	—	—		1.125	0.277	JD	1,250	108,666.66		9/12/2012	6/27/2014
BRSFTQM53	ADS WASTE ESCROW SENIOR SECURED TERM		1	9,900,000	10,137,500.00	10,000,000.00	9,902,968.22	234,531.78		45.79		—	—		—	0.142	JAJO	—	6,652.99		9/25/2012	10/9/2019
912828RX0	UNITED STATES TREASURY GOVT BND			10,077,377.25	10,137,799.8	10,000,000.00	10,068,986.69	68,813.11		8,315.26		—	—		0.875	0.7	JD	244.41	102,603.83		6/21/2012	12/31/2016
45818WAE6	INTER-AMERICAN DEV BK CORP BND	E		10,232,329.3	10,171,306.91	10,100,000.00	10,168,266.31	3,040.6		(37,071.44	)	—	—		0.762	0.359	FMAN	8,973.01	95,857.03		2/22/2012	5/20/2014
822582AQ5	SHELL INTERNATIONAL FIN BV CORP BND	F		9,801,998.75	10,206,267.13	9,625,000.00	9,750,765.38	455,501.75		(41,434.87	)	—	—		3.1	2.547	JD	2,486.46	442,952.78		2/14/2012	6/28/2015
912828JQ4	UNITED STATES TREASURY GOVT BND			10,331,674.13	10,212,500	10,000,000.00	10,204,076.92	8,423.08		(112.27	)	—	—		2.75	0.283	AO	47,099.45	701.09		6/22/2012	10/31/2013
00206RBL5	AT&T INC SENIOR CORP BND			10,336,691.2	10,351,147.66	10,340,000.00	10,336,754.29	14,393.37		658.68		—	—		0.8	0.811	JD	4,595.55	57,643.33		12/6/2012	12/1/2015
24422ERN1	JOHN DEERE CAPITAL CORPORATION SENIOR			10,272,020.25	10,385,814.23	10,275,000	10,272,529.48	113,284.75		(2,155.4	)	—	—		1.4	1.406	MS	42,355.83	127,016.88		2/22/2012	3/15/2017
BRSBQFU50	IMS HEALTH INCORPORATED TERM LOAN		2	10,280,023.86	10,396,471.94	10,297,869.82	10,281,560.53	114,911.41		2,920.76		—	—		—	0.034	FMAN	—	355,464.65		10/16/2012	8/25/2017
80105NAC9	SANOFI AVENTIS CORP BND	F		10,400,920	10,418,613.81	10,380,000.00	10,389,561.1	29,052.71		(4,010.95	)	—	—		0.62	0.52	MJSD	715.07	147,197.59		7/7/2011	3/28/2014
912828SW1	UNITED STATES TREASURY GOVT BND			10,435,561.52	10,439,486.95	10,435,000.00	10,435,428.24	4,058.71		(33.75	)	—	—		0.25	0.247	MN	2,293.4	(330.75	)	11/16/2012	5/31/2014
1107098W5	BRITISH COLUMBIA PROVINCE OF CORP BND	A		10,569,800.00	10,584,500.1	10,000,000.00	10,364,441.02	220,059.08		74.56		—	—		2.85	1.335	JD	12,666.67	5,187.5		7/27/2011	6/15/2015
92343VBF0	VERIZON COMMUNICATIONS INC. SENIOR CORP			10,627,422.00	10,606,804.23	10,650,000.00	10,628,091.19	(21,286.96	)	1,858.1		—	—		1.1	1.144	MN	17,572.5	78,920.27		12/28/2012	11/1/2017
N83693AB2	STORM_10-3 ABS 10-3	D	2	10,506,246.80	10,647,292.93	8,000,000.00	10,505,682.94	141,609.99		19,131.92		—	(2.71	)	1.383	1.309	MJSD	147,022.19	496.61		11/30/2012	9/22/2052
G8162ZAC6	SMI_09-1 ABS_09-1 A2	D	2	10,610,568.70	10,753,714.69	6,500,000.00	10,601,950.61	151,764.08		(3,397.26	)	—	571.86		1.979	0.987	JAJO	191,840.07	(23,011.31	)	11/30/2012	1/21/2055
010392FH6	ALABAMA POWER COMPANY SENIOR CORP BND			10,761,854.5	10,774,233.79	10,775,000	10,762,775.3	11,458.49		(75,022.62	)	—	—		0.55	0.591	AO	12,346.35	219,635.59		11/8/2012	10/15/2015
D6423PAB2	RNBAG_12 -1 ABS 12 -1	D	2	10,631,971.51	10,778,979.66	8,121,793.82	10,630,045.35	148,934.31		(553.75	)	—	8.22		1.08	0.661	MON	150,301.2	932.31		11/30/2012	12/15/2020
61747YDC6	MORGAN STANLEY CORP BND			10,800,000.00	10,824,515.67	10,800,000.00	10,800,000	24,515.67		(18,147.68	)	—	—		1.293	1.3	JAJO	24,830.41	143,819.77		1/5/2012	4/29/2013
369550AV0	GENERAL DYNAMICS CORPORATION SENIOR CORP			10,931,360	10,913,439.79	11,000,000.00	10,933,417.57	(19,977.78	)	78,288.35		—	—		1	1.128	MN	16,805.56	461,379.31		11/1/2012	11/15/2017
31416TL49	FNMA POOL # AA9346		2	10,066,386.62	11,009,082.01	9,959,236.20	10,062,522.79	946,559.22		(171,454.49	)	—	—		4.5	4.112	MON	37,347.13	760,267.65		2/2/2010	8/1/2039



46625HHP8	JPMORGAN CHASE & CO CORP BND			10,689,530	11,052,019.02	10,500,000.00	10,635,327.2	416,691.82		(17,362.68	)	—	—		3.7	3.041	JJ	173,745.83	333,207.69		8/30/2012	1/20/2015
00287YAB5	ABBVIE INC SENIOR CORP BND 144A			10,902,166.75	11,053,939.26	10,925,000.00	10,902,820.33	151,118.93		58,240.56		—	—		1.75	1.794	MN	28,147.05	10,575.55		11/5/2012	11/6/2017
31359MA45	FNMA AGENCY BND			10,962,357.43	11,068,800.4	10,000,000.00	10,444,778.71	624,021.69		3,698.20		—	—		5	2.972	AO	105,555.56	137,810.46		11/27/2012	4/15/2015
3134G2UA8	FHLMC AGENCY BND			11,107,050	11,129,909.12	11,000,000.00	11,065,475.57	64,433.55		(57,275.4	)	—	—		1	0.634	FA	40,027.77	152,040.64		1/17/2012	8/20/2014
L0746JAA2	BSKY_3 ABS 3	D	2	11,080,305.63	11,235,312.51	8,500,000.00	11,079,166.76	156,145.75		(537.01	)	—	4.7		0.59	0.47	MON	154,384.28	1,146.18		11/30/2012	7/15/2020
912828SK7	UNITED STATES TREASURY GOVT BND			11,317,826.92	11,321,922.00	11,300,000.00	11,316,281.72	5,640.28		4,785.37		—	—		0.375	0.309	MS	12,642.27	6,596.44		11/26/2012	3/15/2015
38143USB8	GOLDMAN SACHS GROUP INC SENIOR CORP BND			11,471,774.5	11,483,434	11,450,000.00	11,458,429.7	25,004.3		(28,220.68	)	—	—		1.312	1.24	FMAN	22,946.52	243,789.63		7/12/2011	2/7/2014
191216AL4	COCA-COLA COMPANY THE CORP BND			11,074,381.25	11,535,066.27	11,125,000.00	11,112,064.23	423,002.04		—		—	—		3.625	3.725	MS	118,743.93	117,389.8		2/22/2012	3/15/2014
25468PCV6	WALT DISNEY COMPANY THE SENIOR CORP BND			11,527,452.9	11,600,815.44	11,610,000	11,528,862.85	71,952.59		(22,953.7	)	—	—		1.1	1.247	JD	10,997.26	221,175.01		12/28/2012	12/1/2017
F3375XGF3	CAR_11-G1 ABS 11-G1-A	D	2	11,467,576.25	11,616,968.94	8,772,578.35	11,464,986	151,982.94		(226.11	)	—	(12.47	)	1.26	0.738	MON	162,576.92	(11,882.19	)	11/30/2012	5/18/2024
63307AAA3	NATIONAL BK OF CANADA SENIOR CORP BND	A	1	11,657,163.00	11,633,759.17	11,670,000.00	11,657,540.32	(23,781.15	)	(3,985.98	)	—	—		1.45	1.473	MN	25,382.25	26,556.67		11/2/2012	11/7/2017
263534CH0	EI DUPONT DE NEMOURS & CO CORP BND			11,692,469.20	11,715,734.45	11,660,000.00	11,679,142.45	36,592		(24,635.07	)	—	—		0.73	0.627	MJSD	1,418.63	151,907.50		6/25/2012	3/25/2014
023135AK2	AMAZON.COM INC. SENIOR CORP BND			11,917,496	11,914,838.91	11,950,000.00	11,918,476.2	(3,637.29	)	(356,663.44	)	—	—		0.65	0.742	MN	6,904.44	454,750		11/26/2012	11/27/2015
G924507Q5	UNITED KINGDOM GILT GOVT BND	D		11,871,024.71	11,940,597.90	7,000,000.00	11,718,092.27	222,505.63		(158,171.26	)	—	3,471.5		2.75	0.529	JJ	315,171.85	218,887.22		10/30/2012	1/22/2015
373334JM4	GEORGIA POWER COMPANY CORP BND			13,105,434.50	12,162,483.50	11,650,000.00	12,001,655.68	160,827.82		1,122.31		—	—		6	2.311	MN	116,500	—		4/9/2010	11/1/2013
912828NZ9	UNITED STATES TREASURY GOVT BND			12,191,496.9	12,197,976.6	11,900,000.00	12,099,214.46	98,762.14		(13,314.05	)	—	—		1.25	0.633	MS	38,214.78	42,145.92		9/16/2011	9/30/2015
N7064SAB7	PHEHY_11-1 ABS 11-1	D	2	12,085,893.13	12,248,632.12	9,200,000.00	12,082,949.73	165,682.39		(4,582.51	)	—	464.92		1.503	1.206	JAJO	199,802.17	3,264.29		11/30/2012	10/25/2043
911312AL0	UNITED PARCEL SERVICE INC CORP BND			12,414,426	12,295,181.93	11,800,000.00	12,000,973.85	294,208.08		3,051.73		—	—		3.875	2.478	AO	114,312.5	(9,566.04	)	12/14/2011	4/1/2014
912828SC5	UNITED STATES TREASURY GOVT BND			12,223,868.99	12,363,479.52	12,200,000.00	12,219,712.88	143,766.64		6,594.53		—	—		0.875	0.835	JJ	44,672.55	120,602.84		2/13/2012	1/31/2017
912828JZ4	UNITED STATES TREASURY GOVT BND			12,036,204.62	12,378,566	12,175,000.00	12,127,353.58	251,212.42		(152.35	)	—	—		1.75	2.118	JJ	89,162.02	9,144.25		11/12/2010	1/31/2014
25459HAY1	DIRECTV HOLDINGS LLC/DIRECTV F SENIOR			12,368,532.75	12,462,443.09	11,745,000.00	12,333,133.19	129,309.9		—		—	—		3.5	1.851	MS	137,025	34,034.21		10/16/2012	3/1/2016
981464BD1	WORLD FINANCIAL NETWORK CREDIT ABS_06-A		2	12,301,269.53	12,497,812.5	12,500,000.00	12,473,334.68	24,477.82		21,770.45		—	—		0.339	1.081	MON	1,765.63	16,955.41		2/16/2011	2/15/2017
125094A$8	CDP FINANCIAL INC CORP BND 144A	A		12,675,681.00	12,649,582.85	12,100,000.00	12,653,643.14	(4,060.29	)	(17,944.29	)	—	—		3	0.572	MN	36,300.00	80,125		12/4/2012	11/25/2014
983024AE0	WYETH CORP BND			13,352,757.7	12,811,941.96	12,150,000.00	12,702,415.82	109,526.14		(145,278.35	)	—	—		5.5	1.261	FA	278,437.5	284,406.21		11/27/2012	2/1/2014
02582JFV7	AMXCA ABS_09-2 A		2	13,104,761.72	12,929,006.75	12,675,000.00	12,902,180.15	26,826.6		(98,603.90	)	—	—		1.459	0.364	MON	7,705.35	153,380.16		7/18/2011	3/15/2017
912828SB7	UNITED STATES TREASURY GOVT BND			12,972,070.31	13,008,190	13,000,000.00	12,983,642.24	24,547.76		3,927.1		—	—		0.25	0.367	JJ	13,600.54	11,106.59		3/21/2012	1/31/2014
912828MH0	UNITED STATES TREASURY GOVT BND			12,914,223.24	13,531,178.83	13,000,000.00	12,963,038.39	568,140.44		3,588.25		—	—		2.25	2.391	JJ	122,404.89	22,863.42		1/29/2010	1/31/2015
912828TS9	UNITED STATES TREASURY GOVT BND			13,731,000	13,775,297.86	13,800,000.00	13,733,791.98	41,505.88		1,561.57		—	—		0.625	0.728	MS	22,036.4	8,633.46		10/18/2012	9/30/2017
78444YAC9	SLMA ABS 08-5 A3		2	13,936,144.69	13,953,182.8	13,691,000.00	13,831,374.4	121,808.4		(87,676.79	)	—	—		1.615	0.999	JAJO	41,771.62	258,121.36		11/29/2011	1/25/2018
595620AD7	MIDAMERICAN ENERGY HOLDINGS CO CORP BND			14,515,750.75	14,180,175.15	13,255,000.00	13,787,512.96	392,662.19		(100,232.79	)	—	—		4.65	2.289	AO	154,089.39	402,553.58		11/8/2012	10/1/2014
3135G0CL5	FNMA AGENCY BND			14,292,278	14,300,626.77	14,300,000.00	14,298,353.69	2,273.08		(22,159.29	)	—	—		0.221	0.406	FMAN	3,950.38	52,065.00		12/14/2011	5/17/2013
G0535ZDA4	ARKLE_10-1X ABS 10-1X	D	2	14,261,781.32	14,386,169.86	10,740,000.00	14,250,583.08	135,586.78		3,002.41		—	329.04		1.441	0.5	FMAN	219,404.8	(544.4	)	11/30/2012	5/17/2060
3134G2MJ8	FHLMC AGENCY BND			14,685,125.07	14,695,937.21	14,700,000.00	14,696,596.26	(659.05	)	197.44		—	—		0.159	0.185	MON	973.89	4,449.31		6/9/2011	6/17/2013
G92450NU8	UNITED KINGDOM GILT GOVT BND	D		15,103,090.83	14,726,054.7	8,400,000.00	14,418,353.21	307,701.49		(292,101.6	)	—	3,068.55		5	1.121	MS	332,863.6	600,156.93		11/9/2011	9/7/2014



14041NBN0	CAPITAL ONE MULTI-ASSET EXECUT ABS 04-A4		2	15,030,315.45	15,028,800.15	15,000,000.00	15,028,545.89	254.26		(2,177.67	)	—	—		0.429	0.292	MON	2,681.25	2,058.51		11/30/2012	3/15/2017
62944BAH7	BANK NEDERLANDSE GEMEENTEN UNSEC CORP	F		15,055,200	15,246,598.5	15,000,000.00	15,041,340.36	205,258.14		35.33		—	—		1.375	1.249	MS	56,145.83	638.89		3/26/2012	3/23/2015
912828NF3	UNITED STATES TREASURY GOVT BND			15,422,061.14	15,390,149.41	14,750,000.00	15,392,170.02	(2,020.61	)	(26,163.23	)	—	—		2.125	0.312	MN	27,554.95	2,704.85		12/11/2012	5/31/2015
161571CU6	CHAIT ABS 08-A8		2	15,413,532.30	15,400,349.85	15,000,000.00	15,399,259.72	1,090.13		(1,818.15	)	—	—		1.409	0.296	MON	8,806.25	2,854.17		11/30/2012	5/15/2017
2027A0FP9	COMMONWEALTH BANK OF AUSTRALIA CORP BND	F		15,429,116.00	15,522,486.62	15,425,000.00	15,426,872.66	95,613.96		(295.24	)	—	—		1.038	1.009	MJSD	6,671.32	226,594.78		7/12/2011	3/17/2014
92344SAP5	CELLCO PARTNERSHIP/VERIZON WIR CORP BND			15,246,234.8	15,793,817.22	15,050,000.00	15,119,654.54	674,162.68		(130,051.8	)	—	—		5.55	5.099	FA	348,031.27	437,823.82		2/22/2012	2/1/2014
369604BE2	GENERAL ELECTRIC COMPANY SENIOR CORP BND			15,920,700.25	15,945,647.39	15,925,000.00	15,921,027.48	24,619.91		9,243.75		—	—		0.85	0.859	AO	30,832.57	79,814.99		12/28/2012	10/9/2015
G9T44MEB4	UNITED KINGDOM GILT GOVT BND	D		16,120,770.03	16,205,097.17	9,900,000.00	16,114,173.61	90,923.56		(13,305.52	)	—	456.21		1	0.776	MS	195,304.96	(29,719.78	)	11/30/2012	9/7/2017
G924504Y1	UNITED KINGDOM GILT GOVT BND	D		16,861,278.23	16,956,468.27	10,200,000.00	16,735,158.19	221,310.08		(97,995.59	)	—	1,474.66		2.25	0.746	MS	256,528.75	245,900.69		10/30/2012	3/7/2014
3137EACY3	FHLMC AGENCY BND			17,056,310.00	17,149,768.13	17,000,000.00	17,040,385.45	109,382.68		(15,432.24	)	—	—		0.75	0.624	MN	12,750	127,812.5		4/4/2012	11/25/2014
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE SENIOR			17,246,042.00	17,383,270.02	17,225,000.00	17,247,647.98	135,622.04		822.68		—	—		1.375	1.345	JJ	108,553.38	97,795.74		12/28/2012	7/15/2017
84650WAB2	SPAREBNK 1 BOLIG SECURED LOCAL BND 144A	F		16,909,957.5	17,416,080.32	16,500,000.00	16,903,737.96	512,342.36		(9,881.35	)	—	—		2.625	1.87	MN	40,906.25	252,879.76		12/6/2012	5/27/2016
912828RN2	UNITED STATES TREASURY GOVT BND			17,755,814.46	17,761,182.5	17,750,000.00	17,752,433.18	8,749.32		(14,556.47	)	—	—		0.25	0.233	AO	7,600.13	31,865.88		4/16/2012	10/31/2013
94974BFE5	WELLS FARGO & COMPANY SENIOR CORP BND			17,514,845.87	17,784,270.15	17,526,000.00	17,517,912.51	266,357.64		(5,132.7	)	—	—		1.5	1.519	JJ	134,366	174,672.77		11/8/2012	7/1/2015
912828LC2	UNITED STATES TREASURY GOVT BND			20,597,062.5	20,440,917.40	19,700,000.00	20,100,183.36	340,734.04		(224,149.87	)	—	—		2.625	1.322	JJ	216,405.57	527,824.77		11/27/2012	7/31/2014
912828MR8	UNITED STATES TREASURY GOVT BND			21,035,223.25	20,899,000.60	20,000,000.00	20,868,128.24	30,872.36		(56,022.93	)	—	—		2.375	0.356	FA	161,395.03	27,960.22		10/9/2012	2/28/2015
25600WAB6	DNB NOR BLGKRDIT CORP BND 144A	F		20,478,622	21,286,001.6	20,000,000.00	20,413,187.88	872,813.72		(51,272.05	)	—	—		2.9	2.232	MS	148,222.23	339,082.22		6/12/2012	3/29/2016
912828PE4	UNITED STATES TREASURY GOVT BND			22,945,251.13	23,075,999.55	22,500,000.00	22,844,022.24	231,977.31		(342,479.69	)	—	—		1.25	0.703	AO	48,169.89	779,317.83		3/19/2012	10/31/2015
912828RU6	UNITED STATES TREASURY GOVT BND			23,472,893.44	23,835,347.36	23,500,000.00	23,478,803.23	356,544.13		784.64		—	—		0.875	0.898	MN	18,076.93	57,300.61		12/19/2011	11/30/2016
912828RA0	UNITED STATES TREASURY GOVT BND			27,183,937.5	27,183,937.5	27,150,000.00	27,163,227.28	20,710.22		12,570.14		—	—		0.375	0.277	JD	281.25	15,673.6		3/20/2012	6/30/2013
912828TD2	UNITED STATES TREASURY GOVT BND			31,229,230.29	31,247,103.32	31,300,000.00	31,235,853.13	11,250.19		(474.2	)	—	—		0.25	0.331	JJ	36,148.1	16,336.73		11/6/2012	7/15/2015
912828SP6	UNITED STATES TREASURY GOVT BND			33,049,003.38	33,056,097.03	33,000,000.00	33,043,905.15	12,191.88		(4,890.76	)	—	—		0.375	0.317	AO	26,517.86	61,120.32		10/9/2012	4/15/2015
912828RF9	UNITED STATES TREASURY GOVT BND			40,817,768.16	41,174,064.00	40,400,000.00	40,745,009.62	429,054.38		(327,761.52	)	—	—		1	0.761	FA	137,270.72	1,114,103.78		9/6/2012	8/31/2016
912828RQ5	UNITED STATES TREASURY GOVT BND			52,383,231.34	52,523,664.00	52,400,000.00	52,389,680.14	133,983.86		(8,994.11	)	—	—		0.375	0.386	MN	25,512.43	247,756.65		12/13/2011	11/15/2014
912828SE1	UNITED STATES TREASURY GOVT BND			54,769,481.14	54,973,047.8	55,000,000.00	54,836,243	136,804.8		25,273.96		—	—		0.25	0.391	FA	51,936.13	186,831.7		5/21/2012	2/15/2015
912828RM4	UNITED STATES TREASURY GOVT BND			64,940,721.41	65,433,280.72	64,200,000.00	64,877,751.89	555,528.83		(50,353.96	)	—	—		1	0.719	AO	109,955.8	473,748.21		12/31/2012	10/31/2016
912828QX1	UNITED STATES TREASURY GOVT BND			70,268,081.36	71,136,141.32	68,600,000.00	69,813,870.76	1,322,270.56		(18,904.51	)	—	—		1.5	0.996	JJ	430,614.12	131,010.65		8/16/2011	7/31/2016
Z918CTYG7	BUMP_12-5 ABS_12-5 A2	D	2	1,281,160.00	1,313,438.1	800,000	1,281,160	32,278.1		(1,995.83	)	—	(0.27	)	1.894	1.901	MON	20,049.63	4,357.15		4/2/2012	6/20/2022
TOTAL					5,085,334,208.88	4,862,974,553.34	5,008,513,741.33	76,820,467.55



Validus Holdings, Ltd. December 31, 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
UNITED STATES TREASURY TBILL CASH		9127956E6	3/29/2012	MORGAN STANLEY & CO. INC	3/7/2013	1,399,578.75	—		7,343.93		—	—	1,400,000.00	1,397,785.55	0.17		0.167	0.169	MAT	—		—
UNITED STATES TREASURY TBILL CASH		9127957H8	11/16/2012	CREDIT SUISSE FIRST BOSTON COR	2/28/2013	39,795,097.30	—		2,562.50		—	—	39,800,000.00	39,792,534.80	0.32		0.087	0.088	MAT	—		—
UNITED STATES TREASURY TBILL CASH		9127957L9	12/12/2012	J.P. MORGAN SECURITIES INC	3/14/2013	21,997,359.93	—		696.59		—	—	22,000,000.00	21,996,663.34	0.12		0.06	0.061	MAT	—		—
UNITED STATES TREASURY GOVT BND		912828JB7	6/22/2012	DEUTSCHE BANK AG	5/31/2013	10,134,505.08	4,195.02		(169,434.67	)	—	—	10,000,000.00	10,303,939.75	30,769.46		3.5	0.232	MN	151,092.90		23,907.00
UNITED STATES TREASURY GOVT BND		912828QE3	7/11/2012	CREDIT SUISSE FIRST BOSTON COR	4/30/2013	4,706,483.91	1,600.09		(32,290.76	)	—	—	4,700,000.00	4,715,804.80	5,031.49		0.625	0.205	AO	43,993.61		5,827.00
UNITED STATES TREASURY GOVT BND		912828QK9	3/20/2012	DEUTSCHE BANK AG	2/28/2013	12,207,658.58	2,468.40		(44,823.27	)	—	—	12,200,000.00	12,244,837.75	25,908.62		0.625	0.235	FA	46,090.24		4,351.00
JOHANNESBURG CITY SENIOR LOCAL BND		S1782RAC6	11/30/2012	DIRECT	4/26/2013	398,173.36	350.71		(1,185.37	)	—	18,654.70	3,500,000.00	399,320.61	7,351.40		9.7	6.179	AO	(3,770.01	)	3,770.00
FLORIDA POWER & LIGHT CO CORP BND		341081EN3	4/20/2012	KEY BANK	2/1/2013	2,509,226.23	(801.48	)	(74,673.77	)	—	—	2,500,000.00	2,583,900.00	50,521.29		4.85	0.459	FA	32,333.33		28,292.00
GLAXOSK CAP INC CORP BND		377372AC1	6/22/2012	KEY BANK	5/15/2013	899,499.13	(29.38	)	(20,068.97	)	—	—	885,000.00	919,568.10	5,484.95		4.85	0.415	MN	16,453.62		5,008.00
MCDONALD'S CORPORATION CORP BND MTN		58013MED2	6/22/2012	MIZUHO INTERNATIONAL PLC	3/1/2013	2,516,010.95	(410.95	)	(50,539.05	)	—	—	2,500,000.00	2,566,550.00	35,833.69		4.3	0.363	MS	19,111.11		34,639.00
NOVARTIS CAPITAL CORP CORP BND		66989HAB4	6/22/2012	KEY BANK	4/24/2013	2,813,674.40	(178.40	)	(22,641.60	)	—	—	2,800,000.00	2,836,316.00	9,901.43		1.9	0.324	AO	17,290.00		9,310.00
RESIDENTIAL REINSURANCE 2010 L CORP BND		76114WAB8	6/28/2012	RBC DOMINION SECURITIES INC.	6/6/2013	6,009,973.67	75,226.33		(11,026.33	)	—	—	6,000,000.00	6,021,000.00	28,612.42		6.695	6.293	MJSD	172,038.47		29,333.00
UNITED PARCEL SERVICE INC CORP BND		911312AG1	1/31/2012	SUSQUEHANNA PARTNERS	1/15/2013	1,707,751.21	(568.81	)	(65,909.14	)	—	—	1,705,000.00	1,773,660.35	35,379.00		4.5	0.253	JJ	34,526.25		3,836.00
DIAGEO CAPITAL PLC CORP BND		25243YAL3	6/22/2012	MIZUHO INTERNATIONAL PLC	1/30/2013	3,513,076.03	(826.03	)	(85,063.97	)	—	—	3,500,000.00	3,598,140.00	76,339.34		5.2	0.449	JJ	16,683.33		74,317.00
RES REINSURANCE CORP BND 144A		76114WAF9	6/26/2012	RBC DOMINION SECURITIES INC.	6/6/2013	1,000,000.00	12,630.00		—		—	—	1,000,000.00	1,000,000.00	4,520.14		6.25	6.25	MJSD	27,789.74		3,993.00
SPAREBNK 1 BOLIG LOCAL BND 144A		84650WAA4	11/14/2012	J.P. MORGAN SECURITIES INC	10/25/2013	1,308,738.60	(1,419.38	)	(2,667.88	)	—	—	1,300,000.00	1,310,010.00	2,980.44		1.25	0.422	AO	1,048.61		1,083.00
MTN HOLDINGS CD CASH		BRSGVK2F1	12/5/2012	DIRECT	9/4/2013	1,455,460.20	—		2,088.38		—	51,841.03	13,000,000.00	1,453,371.82	5,869.46		5.297	7.774	MAT	—		—
EMIRA PROPERTY FUND UNSECURED LOCAL BND		S1311K123	11/30/2012	DIRECT	11/7/2013	1,013,287.88	16.45		(19.68	)	—	47,473.24	9,000,000.00	1,013,306.54	9,236.68		5.775	5.799	FMAN	(3,847.79	)	3,848.00
MERCEDES BENZ SOUTH AFRICA PTY SENIOR		S50381BW1	11/30/2012	DIRECT	5/26/2013	56,336.36	6.12		(11.98	)	—	2,639.39	500,000.00	56,348.34	350.13		5.925	5.74	FMAN	(45.69	)	46.00
TOYOTA FN SRV ZA UNSECURED LOCAL BND MTN		S87136115	11/30/2012	DIRECT	3/14/2013	111,465.19	(1,845.19	)	482.21		—	5,222.22	1,000,000.00	111,010.02	4.97		—	9.106	N/A	(1,243.67	)	1,244.00
BARLOWS PLC		BRSGAN052	Multi			1,005,698.92	—		5,333.92		—	47,117.69	9,000,000.00	1,000,365.00	6.13					(2,131.60	)



UNITED STATES TREASURY TBILL CASH	9127955V9	Multi	292,997,240.40	—		8,649.04	—	—	293,000,000.00	292,988,591.35	0.08	—
UNITED STATES TREASURY TBILL CASH	9127957B1	Multi	162,996,860.99	—		6,658.86	—	—	163,000,000.00	162,990,583.30	0.04	—
UNITED STATES TREASURY TBILL CASH	9127956Z9	Multi	149,999,760.20	—		4,620.21	—	—	150,000,000.00	149,995,923.50	0.03	—
MERCEDES BENZ SOUTH AFRICA PTY	S50381CC4	Multi	1,420,030.78	(11,798.61	)	6,098.16	—	66,529.42	12,700,000.00	1,414,189.48	4.99	(4,624.98	)
THE SOUTH AFRICAN BREWERIES (P	BRSGWAXS0	Multi	1,122,681.58	—		5,981.22	—	52,598.40	10,000,000.00	1,116,700.36	6.13	(1,712.43	)
DREYFUS UNIVERSAL USD LIQ FD	DRFUNI$20	Multi	53,633,521.26	—		—	—	—	53,633,521.26	53,633,521.26	411.20	11,230.83
UNITED STATES TREASURY	9127957C9	Multi	22,999,386.16	—		853.98	—	—	23,000,000.00	22,998,532.18	0.04	—
LAND BK S AFRICA	BRSGWAVY9	Multi	166,411.85	—		2,025.38	—	7,796.52	1,500,000.00	164,386.47	14.26	(2,774.10	)
GOLDMAN SACHS	GLDSCS$03	Multi	3,032,959.40	—		—	—	—	3,032,959.40	3,032,959.40	517.61	14,284.75
BLACKROCK INTL $ RESERVE	S99993578	Multi	30,886,868.22	—		—	—	—	30,886,868.22	30,886,868.22	175.70	12,924.64
VODACOM GROUP LTD	BRSGDH6L1	Multi	1,463,650.80	—		—	—	68,573.05	13,000,000.00	1,463,650.80	—	(623.27	)
UNITED STATES TREASURY	9127957M7	Multi	19,497,582.25	—		153.00	—	—	19,500,000.00	19,497,429.25	0.17	—
UNITED STATES TREASURY	9127957F2	Multi	43,997,058.65	—		2,138.92	—	—	44,000,000.00	43,994,919.73	0.06	—
RESILIENT PROPERTY INCOME FUND	BRSGW9GF0	Multi	1,350,721.56	356.68		169.71	—	63,282.24	12,000,000.00	1,350,551.84	6,571.21	(3,331.94	)
MACQUARIE SECURITIES SOUTH AFR	BRSF67XM1	Multi	391,212.23	—		8,841.99	—	18,328.57	3,500,000.00	382,370.24	26.57	(9,153.75	)
DREYFUS UNIVERSAL LIQUIDITY PL	B0A01CHL6	Multi	964,118.44	—		—	—	—	964,118.44	964,118.44	0.27	96.20
MACQUARIE SECURITIES SOUTH AFR	S4780QAQ3	Multi	1,086,107.95	(8,999.37	)	4,660.33	—	50,884.91	9,700,000.00	1,081,650.51	4.97	(3,534.09	)
LAND BK S AFRICA	BRSGWAWA0	Multi	218,711.85	—		3,530.41	—	10,246.80	2,000,000.00	215,181.44	19.27	(6,755.48	)
NAMPAK LTD	BRSGYQDQ9	Multi	337,541.84	(1,049.64	)	1,027.57	—	7,248.61	3,000,000.00	336,514.27	5.64	—
GOLDMAN SACHS USD LIQ RESERVE	BRSCL4F97	Multi	67,784,653.70	—		—	—	—	67,784,653.70	67,784,653.70	0.03	6.20
JPMORGAN LIQUIDITY FUNDS - US	BRS6A96T7	Multi	30,239,249.24	—		—	—	—	30,239,249.24	30,239,249.24	—	2.20
BONY CASH RESERVE	S875996$0	Multi	87,918,981.77	—		—	—	—	87,918,981.77	87,918,981.77	0.83	8,169.31
WESTERN AST INS CSH RES	52470G205	Multi	2,820,035.99	—		—	—	—	2,820,035.99	2,820,035.99	—	9,449.61
CITI-INSTITUTION LIQ FUND USD	B0A0ATCJ9	Multi	3,157,490.26	—		—	—	—	3,157,490.26	3,157,490.26	1.12	35,587.16
ABSA BANK LTD	BRSGW9L72	Multi	2,026,334.81	(29.26	)	27.96	—	94,935.18	18,000,000.00	2,026,306.85	0.02	(11,498.89	)
CHINA CONSTRN BK	BRSGW8XS5	Multi	1,125,498.10	(40.02	)	38.23	—	52,730.36	10,000,000.00	1,125,459.87	0.04	(1,706.05	)
RESILIENT PROPERTY INCOME FUND	BRSGW9HW2	Multi	112,588.52	—		—	—	5,274.85	1,000,000.00	112,588.52	557.20	(1,169.65	)



STANDARD BANK OF SOUTH AFRICA	BRSGW9U64	Multi	450,332.40	(3.65	)	3.48		—	21,098.39	4,000,000.00	450,328.92	0.01	(2,726.80	)
ABSA BANK LTD	BRSGW9KS7	Multi	337,732.45	(11.93	)	11.40		—	15,822.99	3,000,000.00	337,721.05	0.04	(2,951.97	)
NEDBANK	BRSGW9TD1	Multi	337,731.60	27.71		23.05		—	15,822.96	3,000,000.00	337,708.55	1,085.77	562.39
GROWTHPOINT PROPERTIES LTD	BRSGW9HP7	Multi	337,765.57	—		—		—	15,824.55	3,000,000.00	337,765.57	1,652.95	(147.55	)
ABSA BANK LTD	BRSGW9KP3	Multi	112,577.48	(3.98	)	3.80		—	5,274.34	1,000,000.00	112,573.68	0.04	(983.99	)
INVESTEC BANK	BRSGW9SX8	Multi	337,774.58	(110.80	)	9.99		—	15,824.97	3,000,000.00	337,764.59	602.88	1,028.11
INVESTEC BANK	BRSGW9T41	Multi	576,241.79	227.93		(224.38	)	—	16,242.45	5,000,000.00	576,466.17	982.79	(1,780.43	)
AFRICAN BANK	BRSGW9M06	Multi	112,578.95	126.84		5.73		—	5,274.41	1,000,000.00	112,573.22	544.02	36.40
ABSA BANK LTD	BRSGW9K99	Multi	337,875.35	72.51		(69.27	)	—	15,829.70	3,000,000.00	337,944.62	1,864.62	1,496.89
AFRICAN BANK	BRSGW8WQ0	Multi	900,366.74	(35.18	)	33.61		—	42,182.80	8,000,000.00	900,333.13	0.04	(1,314.58	)
GROWTHPOINT PROPERTIES LTD	BRSGW9HJ1	Multi	1,013,296.71	—		—		—	47,473.65	9,000,000.00	1,013,296.71	4,910.98	(4,686.15	)
FIRSTRAND LTD	BRSGW9PH6	Multi	450,507.36	94.70		(90.46	)	—	21,106.58	4,000,000.00	450,597.82	2,326.68	(204.51	)
NEDBANK	BRSGW9TH2	Multi	2,476,629.87	(35.94	)	34.34		—	116,031.82	22,000,000.00	2,476,595.53	0.02	(14,118.60	)
FIRSTRAND LTD	BRSGW9S34	Multi	2,026,333.53	(29.41	)	28.09		—	94,935.12	18,000,000.00	2,026,305.44	0.02	(11,551.58	)
STANDARD BANK OF SOUTH AFRICA	BRSGW9UE7	Multi	2,026,334.81	(29.26	)	27.96		—	94,935.18	18,000,000.00	2,026,306.85	0.02	(11,498.89	)
NEDBANK	BRSGWAVF0	Multi	112,674.40	39.87		(38.08	)	—	5,278.87	1,000,000.00	112,712.48	647.58	(676.69	)
FIRSTRAND LTD	BRSGW9QE2	Multi	337,775.41	(105.59	)	9.60		—	15,825.01	3,000,000.00	337,765.81	596.96	1,017.93
STANDARD BANK OF SOUTH AFRICA	BRSGW9TX7	Multi	337,850.09	32.06		(37.18	)	—	15,828.51	3,000,000.00	337,887.27	1,343.45	303.99
Total			1,112,928,693.57	69,109.16		(506,642.26	)		1,251,989.48	1,329,627,878.28	1,113,410,488.42	358,978.00



Validus Holdings, Ltd. December 31, 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	3,756,536.98	4,055,770.35	3,756,536.98	299,233.37		—	—	—	—	—	—
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	701,120.00	920,570.56	(219,450.56	)	—	—	—	—	—	—
CAIRN SPECIAL OPPORTUNITIES CR OPEN END			11/30/2012	6,539,611.89	6,766,127.40	6,539,611.89	226,515.51		—	—	—	—	—	—
GOLDENTREE DISTRESSED DEBT FUN OPEN END			11/30/2012	14,896,731.00	14,896,680.19	14,896,731.00	(50.81	)	—	—	—	—	—	—
LEAPFROG INVESTMENTS FINANCIAL OPEN END			11/30/2012	2,426,793.36	2,426,803.00	2,426,793.36	9.64		—	—	—	—	—	—
MARATHON ASSET MANAGEMENT LEGA OPEN END			11/30/2012	37,899,460.00	36,043,415.84	37,899,460.00	(1,856,044.16	)	—	—	—	—	—	—
PORT ADVISORS PRIVATE EQUITY I OPEN END			11/30/2012	6,664,475.61	6,678,252.00	6,664,475.61	13,776.39		—	—	—	—	—	—
SVG DIAMOND HOLDINGS II LTD OPEN END FU			11/30/2012	3,765,757.24	3,845,937.60	3,765,757.24	80,180.36		—	—	—	—	—	—
PAULSON PARTNERS ENHANCED LP			4/1/2012	125,000,000.00	136,608,965.82	125,000,000.00	11,608,965.82		—	—	—	—	—	—
PAULSON PARTNERS ADVANTAGE PLUS LP			4/1/2012	125,000,000.00	107,563,504.55	125,000,000.00	(17,436,495.45	)	—	—	—	—	—	—
PAULSON PARTNERS GOLD FUND LP			4/1/2012	125,000,000.00	101,670,146.98	125,000,000.00	(23,329,853.02	)	—	—	—	—	—	—
PAULSON PARTNERS CREDIT OPPORTUNITIES LP			6/1/2012	125,000,000.00	134,976,804.53	125,000,000.00	9,976,804.53		—	—	—	—	—	—
GUARDIAN GROWTH EQUITY			9/4/2009	6,181,301.52	8,188,025.02	6,181,301.52	2,006,723.50		—	—	—	—	—	—
MFS MERIDIAN MID CAP GROWTH FUND			9/4/2009	17,203.14	26,392.98	17,203.14	9,189.84		—	—	—	—	—	—
TOTAL				583,068,458.60	564,447,963.62	583,068,458.60	(18,620,494.98	)

Validus Inactive 8-KResults of Operations and Financial Condition