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 | ) |