The Goldman Sachs Group, Inc. (GS) 11-K Annual report of employee stock purchases

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, D.C. 20549

FORM 11-K

ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

þ Annual report pursuant to Section 15(d) of the Securities Exchange Act of 1934

     For the fiscal year ended December 31, 2011.

Or

¨ Transition report Pursuant to Section 15(d) of the Securities Exchange Act of 1934

     For the transition period from                     to                     

Commission file number 001-14965

A. Full title of the plan and the address of the plan, if different from that of issuer named below:

THE GOLDMAN SACHS 401(k) PLAN

B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:

THE GOLDMAN SACHS GROUP, INC

200 West Street

New York, NY 10282

The Goldman Sachs 401(k) Plan

Financial Statements and Supplemental Schedules

December 31, 2011 and 2010

(With Independent Registered Public Accounting Firm’s Report Thereon)

The Goldman Sachs 401(k) Plan

Index

December 31, 2011 and 2010

	Page(s)
Report of Independent Registered Public Accounting Firm		1
Financial Statements
Statements of Net Assets Available for Benefits		2
Statements of Changes in Net Assets Available for Benefits		3
Notes to Financial Statements		4–25
Supplemental Schedules*
Schedule H, Line 4i — Schedule of Assets (Held at End of Year)		26–82
Schedule H, Line 4i — Schedule of Assets (Acquired and Disposed of Within the Plan Year)		83
Schedule G, Part 1 — Schedule of Loans or Fixed Income Obligations in Default or Classified as Uncollectible		84-86
Signatures
Index to Exhibits
Consent of PricewaterhouseCoopers, LLP
EX-23: Consent of PricewaterhouseCoopers, LLP

* All other schedules required by 29 CFR §2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974, as amended, are not included because they are not applicable.

Report of Independent Registered Public Accounting Firm

To the Participants and Administrator of

The Goldman Sachs 401(k) Plan

In our opinion, the accompanying statements of net assets available for benefits and the related statements of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of The Goldman Sachs 401(k) Plan (the Plan) as of December 31, 2011 and 2010, and the changes in net assets available for benefits for the years then ended in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year), schedule of assets (acquired and disposed of within the plan year), and schedule of loans or fixed income obligations in default or classified as uncollectible are presented for the purpose of additional analysis and are not a required part of the basic financial statements, but are supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974, as amended. The supplemental schedules are the responsibility of the Plan’s management. The supplemental schedules have been subjected to the auditing procedures applied in the audit of the basic financial statements and, in our opinion, are fairly stated in all material respects in relation to the basic financial statements taken as a whole.

/s/ PricewaterhouseCoopers LLP

New York, NY

June 28, 2012

1

The Goldman Sachs 401(k) Plan

Statements of Net Assets Available for Benefits

December 31, 2011 and 2010

(in thousands)	As of December
	2011			2010
Assets
Net investments at fair value (Note 3)	$	4,769,381		$	4,843,692
Employee contributions		4,842			5,407
Employer contributions, net		94,812			93,252
Notes receivable from participants		26,308			24,326
Interest and dividends		4,707			6,197
Due from brokers		78,562			99,416
Total receivables		209,231			228,598
Total assets		4,978,612			5,072,290
Liabilities
Due to brokers and other payables		36,169			64,325
Accrued expenses		2,498			14,000
Total liabilities		38,667			78,325
Net assets available for benefits at fair value		4,939,945			4,993,965
Adjustment from fair value to contract value for fully benefit-responsive investment contracts		(818	)		13,461
Net assets available for benefits	$	4,939,127		$	5,007,426

The accompanying notes are an integral part of these financial statements.

2

The Goldman Sachs 401(k) Plan

Statements of Changes in Net Assets Available for Benefits

December 31, 2011 and 2010

(in thousands)	Year Ended December
	2011			2010
Additions
Investment income:
Net appreciation in fair value of investments (Note 3)	$	—		$	453,706
Interest and dividends		58,490			37,265
Total investment income		58,490			490,971
Interest income on notes receivable from participants		1,141			1,338
Contributions:
Employee		185,932			180,291
Employer, net		94,896			92,947
Total contributions		280,828			273,238
Total additions		340,459			765,547
Deductions
Net depreciation in fair value of investments (Note 3)		175,758			—
Benefits paid		233,000			288,400
Total deductions		408,758			288,400
Net (decrease)/increase		(68,299	)		477,147
Net assets available for benefits
Beginning of year		5,007,426			4,530,279
End of year	$	4,939,127		$	5,007,426

The accompanying notes are an integral part of these financial statements.

3

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

1. Plan Description

The following description of The Goldman Sachs 401(k) Plan (the Plan) is provided for general information purposes only. Participants should refer to the Plan document, as most recently amended December 20, 2011, for a more complete description of the Plan’s provisions. Items referenced “as defined” are defined in the Plan document or separate provisions to the Plan.

The Plan became effective on January 1, 1945 and is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (ERISA). Effective January 1, 2008, the Goldman Sachs Employees’ Profit Sharing Retirement Income Plan was amended to incorporate a 401(k) safe harbor design, and was renamed “The Goldman Sachs 401(k) Plan.” The Plan has been subsequently amended for various reasons, including to reflect changes in law.

General

The Plan is a defined contribution plan to which participants, in addition to rolling over contributions from other qualified plans, may elect to make pre-tax 401(k) and after-tax Roth 401(k) contributions each year based on their compensation, as determined under the Plan. The Plan’s “Plan Year” is the 12-month period commencing on January 1 and ending on the following December 31. The Plan offers a dollar-for-dollar “Firm Matching Contribution” of up to 4% of an eligible participant’s total compensation, capped by applicable statutory limitations. If 4% of an eligible participant’s total compensation is less than $6,000, The Goldman Sachs Group, Inc. (the Firm) will allocate a “Supplemental Contribution” equal to the difference. In addition to these contributions, the Firm will also allocate to each eligible participant an “Additional Retirement Contribution” up to $4,000. Collectively, the Firm Matching Contribution, Supplemental Contribution and Additional Retirement Contribution are herein referred to as the “Firm Contributions.” The Plan’s Retirement Committee, as defined (the Committee), monitors the investment objectives and performance of the Plan’s individual investment options. The Committee consists of employees of the Firm or its affiliates, including, in some cases, senior management of the Firm or its affiliates. Participants direct their contributions and the Firm Contributions into various investment options offered by the Plan through the Goldman Sachs Profit Sharing Master Trust (the Master Trust). The Plan is the sole investor in the Master Trust. Participants’ directed investments are managed in mutual funds, collective trusts and managed accounts. Hewitt Associates, LLC is the recordkeeper of the Plan.

The Plan also offers participants the option to invest in the Stock Fund, as defined (the Company Stock Fund), a separately managed account, which primarily invests in shares of the Firm’s common stock. In accordance with a policy adopted by the Committee, no more than 20% of any contribution made on behalf of each participant can be invested in the Company Stock Fund. When a participant reallocates his or her total investment balance, he or she is limited to reallocating 20% of his or her total investment balance into the Company Stock Fund. In addition, participants are restricted from transferring into or out of the Company Stock Fund during the “black-out” periods that are part of the Firm’s compliance procedures designed to avoid violations of applicable securities laws.

4

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

Eligibility

Employees become eligible to make pre-tax 401(k) and after-tax Roth 401(k) contributions to the Plan as of the first day of the month after they join the Firm as employees. In addition, employees are eligible, as determined under the Plan document, to participate in the Firm Matching Contributions and Supplemental Contributions generally as of the first day of the month after they complete one Year of Service, as defined, and attain age 21. In addition, to be eligible for the Supplemental Contribution, the employee must be employed on the last day of the Firm’s fiscal year that ends with or within the Plan Year. Generally, to be eligible for the Additional Retirement Contribution, employees must have been (i) eligible for benefits under the Goldman Sachs Employees’ Pension Plan as of November 26, 2004, (ii) age 46 or older as of November 26, 2004, and (iii) employed by the Firm as of the last day of the current fiscal year.

Vesting

Participants are immediately fully vested in their own 401(k) contributions, the Firm Matching Contributions and Supplemental Contributions, and the earnings thereon. Participants became fully vested after three Years of Service in the Firm Profit Sharing Contributions (which were discretionary profit sharing contributions made by the Firm prior to January 1, 2008) and Additional Retirement Contributions, and the earnings thereon. Additionally, upon the earliest to occur of the following: (i) attainment of age 65 while employed by the Firm, (ii) disability retirement, (iii) death or (iv) Plan termination, each participant or beneficiary will be 100% vested and may receive a lump-sum amount equal to the value of the funds allocated to the participant’s account or may receive periodic distributions from the Plan. Forfeitures of terminated participants’ nonvested Firm Profit Sharing and Additional Retirement Contributions can be used to reduce Firm Contributions. For the years ended December 31, 2011 and 2010, forfeited nonvested accounts totaled $118,533 and $180,405, respectively, and, in part, have been used to reduce employer contributions.

Benefits

Any benefits provided by the Plan are paid from net assets available for benefits. The benefit to which a Plan participant is entitled equals the amount that can be provided by the vested contributions and net earnings thereon (including net realized and unrealized investment gains and losses) allocated to such participant’s account.

Notes Receivable from Participants

A participant in the Plan is permitted to borrow between $1,000 and $50,000, reduced by (i) the highest outstanding balance of loans to such participant from the Plan during the one-year period ending on the day before the date on which such new loan is made, less (ii) the outstanding balance of loans to such participant from the Plan on the date of such new loan, subject to an overall cap of the lesser of (a) one-half of the participant’s total vested account balance (including Firm Contributions) or (b) the balance in the participant’s pre-tax 401(k) and rollover contribution accounts. A participant may not borrow any amounts attributable to after-tax Roth 401(k) contributions or to the Firm Contributions. Interest on loans is fixed at the U.S. prime rate plus one percent for the life of the respective loan. Loans generally must be repaid within five years or in some cases ten years. Loans are repaid (principal and interest) and added back to participants’ account balances generally through regular after-tax payroll deductions.

5

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

Trust Agreement

The Plan’s investments are included in the Master Trust, which is subject to a trust agreement (the Trust Agreement) with State Street Bank & Trust Company (the Trustee).

2. Summary of Significant Accounting Policies

Basis of Accounting

These financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) using the accrual basis of accounting.

Use of Estimates

U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the dates of the financial statements, and the reported amounts of additions and deductions during the reporting periods. The most important of these estimates and assumptions relate to fair value measurements of the Plan investments. These and other estimates and assumptions are based on the best available information but actual results could be materially different from those estimates.

Reclassifications

Certain prior year amounts have been reclassified to conform with the current year presentation.

Employer Contributions

The employer contributions receivable is presented on the Statements of Net Assets Available for Benefits, net of forfeited non-vested account balances as of December 31, 2011 and 2010.

Payment of Benefits

Benefits are recorded when paid.

Notes Receivable from Participants

Notes receivable from participants equals the outstanding principal balances plus accrued interest.

Risks and Uncertainties

The Plan provides for various investment options, which include investments in any combination of equities, fixed income securities, individual guaranteed investment contracts, currency and commodities, futures, forwards, options, derivative contracts and real estate investment trusts. Investments are exposed to various risks, such as interest rate, market and credit risk. Due to the level of risk associated with certain investments and the level of uncertainty related to changes in the value of investments, it is possible that changes in risks in the near term could materially affect participants’ account balances and the amounts reported in the Statements of Net Assets Available for Benefits and the Statements of Changes in Net Assets Available for Benefits.

6

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

Expenses

Investment advisory expenses incurred by the managed accounts and collective trusts of the Plan are borne by the Plan participants through the Plan and are included in net appreciation/(depreciation) of investments. The investment managers of the Multi-Market Hedge Fund Option, Multi-Strategy Hedge Fund Option and Global Equity Long-Short Hedge Fund Option (each of which is a separate account managed on behalf of the Plan), charge fixed asset-based management fees plus annual incentive fees of 15% to 20% of the net investment income earned, if any, by each fund. Other administrative and custodial fees are paid by the Plan, unless paid by the Firm.

Investments

The investments of the Plan are reported at fair value. The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

Mutual funds and collective trusts represent investments with various investment managers. The respective fair values of these investments are determined by reference to the funds’ underlying assets, which are principally marketable equity and fixed income securities. Mutual funds are valued at the quoted net asset value of shares held as of December 31, 2011 and 2010. Units held in collective trusts are valued at the unit value as reported by the investment managers as of December 31, 2011 and 2010.

Investments in managed accounts are described below:

Cash and short-term investments include cash and short-term interest-bearing investments with initial maturities of three months or less. Such amounts are recorded at cost, plus accrued interest.

Common stock, preferred stock, fixed income securities, real estate investment trusts, options and futures traded in active markets on national and international securities exchanges are valued at closing prices on the last business day of each period presented. Securities traded in markets that are not considered active are valued based on quoted market prices, broker or dealer quotations, or alternative pricing sources with reasonable levels of price transparency. Securities that trade infrequently and therefore have little or no price transparency are valued using the investment managers’ (or independent third parties on behalf of the investment managers’) best estimate of fair value (as defined in Note 4).

Forward foreign currency contracts are valued at fair value, as determined by the investment managers (or independent third parties on behalf of the investment managers), using quoted forward foreign currency exchange rates. At the end of each period presented, open contracts are valued at the current forward foreign currency exchange rates and the change in market value is recorded as an unrealized gain or loss. When the contract is closed or delivery taken, the Plan records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

7

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

Swap contracts are valued at fair value, as determined by the investment managers (or independent third parties on behalf of the investment managers) utilizing their proprietary models and taking into consideration exchange quotations on underlying instruments, dealer quotations and other market information (see Note 10).

Investments denominated in currencies other than the U.S. dollar are converted using exchange rates prevailing at the end of the periods presented. Purchases and sales of these investments are translated at the rate of exchange on the respective dates of such transactions.

Money market mutual funds typically value their investments using the amortized cost method as permitted by Rule 2a-7 under the Investment Company Act of 1940, which approximates fair value.

The fair value of asset-backed securities is estimated based on analyses which incorporate comparisons to recent data for the same or similar asset backed securities and loan portfolios. Significant inputs include the amount and timing of expected future cash flows and market yields implied by transactions of similar or related assets.

Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis.

Purchases and sales of the investments within the Plan are reflected on a trade-date basis.

Due from brokers and Due to brokers and other payables may include cash or securities maintained with brokers and counterparties for margin account balances, collateral held in conjunction with the Plan’s investment portfolio, and the amounts due to brokers for the settlement of purchase and sale transactions. These balances are not considered cash and short-term investments of the Plan. As of December 31, 2011, the Plan’s Due from brokers and Due to brokers and other payables balances were $78,561,819 and $36,169,336, respectively. As of December 31, 2010, the Plan’s Due from brokers and Due to brokers and other payables balances were $99,416,482 and $64,325,174, respectively. As of December 31, 2011 and 2010, Due from brokers primarily included margin account balances, receivables for unsettled trades and collateral paid. As of December 31, 2011 and 2010, Due to brokers and other payables included margin account balances, payables for unsettled trades and collateral received. Certain of the Plan’s securities held by the clearing brokers or prime brokers are pledged to the brokers on terms that permit them to repledge the securities to others, subject to certain limitations. Securities held at custodians under custody agreements cannot be repledged to others by the custodian.

Note 3 presents the Net (depreciation)/appreciation in the fair value of investments, which consists of realized gains or losses and unrealized (depreciation)/appreciation on those investments.

8

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

New Accounting Pronouncements

Improving Disclosures about Fair Value Measurements (FASB Accounting Standards Codification (ASC) 820)

In January 2010, the Financial Accounting Standards Board (FASB) issued Accounting Standard Update (ASU) No. 2010-06, “Fair Value Measurements and Disclosures (Topic 820) — Improving Disclosures about Fair Value Measurements.” ASU No. 2010-06 provides amended disclosure requirements related to fair value measurements. Certain of these disclosure requirements became effective for the Plan beginning in the first quarter of 2010, while others became effective for the Plan beginning in the first quarter of 2011. Since these amended principles require only additional disclosures concerning fair value measurements, adoption did not affect the Plan’s Statements of Net Assets Available for Benefits or Statements of Changes in Net Assets Available for Benefits.

Amendments to Achieve Common Fair Value Measurements and Disclosure Requirements in U.S. GAAP and IFRSs (ASC 820)

In May 2011, the FASB issued ASU No. 2011-04, “Fair Value Measurements (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs.” ASU No. 2011-04 clarifies the application of existing fair value measurement and disclosure requirements and changes certain principles related to measuring fair value and requires additional disclosures about fair value measurements. ASU No. 2011-01 is effective for periods beginning after December 15, 2011, and adoption is not expected to have a significant impact on the Plan’s Statement of Net Assets Available for Benefits or Statement of Changes in Net Assets Available for Benefits.

Disclosures about Offsetting Assets and Liabilities (ASC 210)

In December 2011, the FASB issued ASU No. 2011-11, “Balance Sheet (Topic 210) — Disclosures about Offsetting Assets and Liabilities.” ASU No. 2011-11 will require disclosure of the effect or potential effect of offsetting arrangements on the Plan’s financial position as well as enhanced disclosure of the rights of setoff associated with the Plan’s recognized assets and recognized liabilities. ASU No. 2011-11 is effective for periods beginning on or after January 1, 2013. Since these amended principles require only additional disclosures concerning offsetting and related arrangements, adoption will not affect the Plan’s Statement of Net Assets Available for Benefits or Statement of Changes in Net Assets Available for Benefits.

9

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

3. Net Investments at Fair Value

The following is a summary of the fair value of the Plan’s net investments:

(in thousands)	As of December
	2011		2010
Assets
Investments at fair value:
Collective trusts	$	1,233,198	$	1,074,798
Mutual funds		1,759,918		1,893,583
Managed accounts:
Cash and short-term investments		72,028		66,589
Collective trusts		598,397		618,979
Fixed income securities		324,341		333,512
Common and preferred stocks		864,265		1,013,478
Derivative contracts		24,783		19,803
Real estate investment trusts		8,474		6,414
Asset-backed securities		4,217		7,277
Total investment assets at fair value		4,889,621		5,034,433
Liabilities
Cash and short-term investments		1,557		392
Derivative contracts		16,898		20,223
Investments sold, but not yet purchased, at fair value:
Managed accounts:
Fixed income securities		7,659		20,410
Common and preferred stocks		93,069		147,883
Real estate investment trusts		1,057		1,833
Total investment liabilities at fair value		120,240		190,741
Net investments at fair value	$	4,769,381	$	4,843,692

10

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

The Plan’s investments (depreciated)/appreciated (including gains and losses on investments bought, sold, and held during the year) as follows:

(in thousands)	Year Ended December
	2011			2010
Net (depreciation)/appreciation in fair value of investments
Collective trusts	$	(21,525	)	$	146,938
Mutual funds		(57,644	)		139,184
Managed accounts:
Cash and short-term investments		(227	)		(1,442	)
Collective trusts		(188	)		813
Fixed income and asset-backed securities		5,816			23,082
Common and preferred stocks		(112,149	)		143,197
Derivative contracts		10,159			1,934
Total net (depreciation)/appreciation of investments	$	(175,758	)	$	453,706

The following presents the fair value of investments that represent 5% or more of the Plan’s net assets available for benefits:

(in thousands)	As of December
	2011		2010
Goldman Sachs Asset Management, L.P. Financial Square Money Market Fund	$	388,741	$	411,599
State Street Global Advisors S&P 500 Index Fund		439,018		337,651
Goldman Sachs Asset Management, L.P. Mid Cap Value Equity Fund		—		275,741

4. Fair Value Measurements

The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets are marked at closing prices. Fair value measurements do not include transaction costs.

The best evidence of fair value is a quoted price in an active market. If quoted prices in active markets are not available, fair value is determined by reference to prices for similar instruments, quoted prices or recent transactions in less active markets, or internally developed models that primarily use market-based or independently sourced parameters, as inputs, including but not limited to interest rates, volatilities, equity or debt prices, foreign exchange rates, commodities prices, and credit spreads.

11

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

U.S. GAAP has a three-level fair value hierarchy for disclosure of fair value measurements. The fair value hierarchy prioritizes inputs to the valuation techniques used to measure fair value, giving the highest priority to level 1 inputs and the lowest priority to level 3 inputs. A financial instrument’s level in the fair value hierarchy is based on the lowest level of input that is significant to its fair value measurement.

The fair value hierarchy is as follows:

Level 1	Inputs are unadjusted quoted prices in active markets to which the Plan had access at the measurement date for identical, unrestricted assets or liabilities;
Level 2	Inputs to valuation techniques are observable, either directly or indirectly;
Level 3	One or more inputs to valuation techniques are significant and unobservable.

Level 1 instruments are valued using quoted market prices for identical unrestricted instruments in active markets. The Plan defines active markets for equity instruments based on the average daily trading volume both in absolute terms and relative to the market capitalization for the instrument. The Plan defines active markets for debt instruments based on both average daily trading volume and the number of days with trading activity.

Valuations of Level 2 instruments can be verified to quoted prices, recent trading activity for identical or similar instruments, broker or dealer quotations (e.g., indicative or firm), or alternative pricing sources with reasonable levels of price transparency.

Level 3 instruments have one or more significant valuation inputs that are not observable. Absent evidence to the contrary, Level 3 instruments are initially valued at transaction price, which is considered to be the best initial estimate of fair value. Subsequently, the Plan uses other methodologies to determine fair value, which vary based on the type of instrument. Valuation inputs and assumptions are changed when corroborated by substantive observable evidence, including values realized on sales of Level 3 instruments.

Total Plan investment assets at fair value classified within Level 3 as of December 31, 2011 and 2010 were $635,119,711 and $660,384,655, respectively, which primarily consisted of the Plan’s Stable Value Fund collective trusts holdings (see Note 5). As of both December 31, 2011 and 2010, such amounts were approximately 13%, of “Total investment assets at fair value” (see Note 3).

12

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

Investment Assets and Investment Liabilities by Level

The tables below present, by level within the fair value hierarchy, investment assets and investment liabilities of the Plan accounted for at fair value (see Note 3).

(in thousands)	Investment Assets at Fair Value as of December 2011
	Level 1		Level 2		Level 3			Total
Collective trusts:
Large cap	$	577,679	$	—	$	—		$	577,679
Asset allocation		286,835		—		—			286,835
International		—		133,780		—			133,780
Small cap		93,321		—		—			93,321
Mid cap		92,597		—		—			92,597
Fixed income		48,986		—		—			48,986
Total collective trusts		1,099,418		133,780		—			1,233,198
Mutual funds:
Fixed income		935,410		—		—			935,410
Mid cap		310,045		—		—			310,045
International		164,988		—		—			164,988
Large cap		138,893		—		—			138,893
Real estate investment trusts		—		136,223		—			136,223
Commodities		74,359		—		—			74,359
Total mutual funds		1,623,695		136,223		—			1,759,918
Managed accounts:
Cash and short-term investments		69,927		2,101		—			72,028
Collective trusts		2,202		—		596,195	1		598,397
Fixed income securities		58,586		228,867		36,888	2		324,341
Common and preferred stocks		848,650		15,615		—			864,265
Derivative contracts		—		24,783		—			24,783
Real estate investment trusts		8,474		—		—			8,474
Asset-backed securities		—		2,180		2,037			4,217
Total managed accounts		987,839		273,546		635,120			1,896,505
Total investment assets at fair value	$	3,710,952	$	543,549	$	635,120		$	4,889,621

1. Principally consists of investments in non-public investment vehicles.

2. Principally consists of mortgage-backed securities and collateralized debt obligations.

13

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

		$120,240		$120,240		$120,240		$120,240
(in thousands)	Investment Liabilities at Fair Value as of December  2011
	Level 1		Level 2		Level 3		Total
Cash and short-term investments	$	1,557	$	—	$	—	$	1,557
Derivative contracts		—		16,898		—		16,898
Managed accounts:
Fixed income securities		—		7,659		—		7,659
Common and preferred stocks		92,217		852		—		93,069
Real estate investment trusts		1,057		—		—		1,057
Total investment liabilities at fair value	$	94,831	$	25,409	$	—	$	120,240

14

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

(in thousands)	Investment Assets at Fair Value as of December 2010
	Level 1		Level 2		Level 3			Total
Collective trusts:
Large cap	$	454,206	$	—	$	—		$	454,206
Asset allocation		233,391		—		—			233,391
International		171,952		—		—			171,952
Small cap		99,569		—		—			99,569
Mid cap		83,606		—		—			83,606
Fixed income		32,074		—		—			32,074
Total collective trusts		1,074,798		—		—			1,074,798
Mutual funds:
Fixed income		926,166		—		—			926,166
Mid cap		353,150		—		—			353,150
Large cap		243,757		—		—			243,757
International		185,211		—		—			185,211
Real estate investment trusts		117,624		—		—			117,624
Commodities		67,675		—		—			67,675
Total mutual funds		1,893,583		—		—			1,893,583
Managed accounts:
Cash and short-term investments		49,421		17,168		—			66,589
Collective trusts		10,385		—		608,594	1		618,979
Fixed income securities		38,706		245,245		49,561	2		333,512
Common and preferred stocks		998,090		15,388		—			1,013,478
Derivative contracts		—		19,803		—			19,803
Real estate investment trusts		6,414		—		—			6,414
Asset-backed securities		—		5,047		2,230			7,277
Total managed accounts		1,103,016		302,651		660,385			2,066,052
Total investment assets at fair value	$	4,071,397	$	302,651	$	660,385		$	5,034,433

1. Principally consists of investments in non-public investment vehicles.

2. Principally consists of mortgage-backed securities and collateralized debt obligations.

15

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

(in thousands)	Investment Liabilities at Fair Value as of December  2010
	Level 1			Level 2			Level 3			Total
Cash and short-term investments	$	392		$	—		$	—		$	392
Derivative contracts		—			20,223			—			20,223
Managed accounts:
Fixed income securities		11,723			8,687			—			20,410
Common and preferred stocks		145,192			2,691			—			147,883
Real estate investment trusts		1,833			—			—			1,833
Total investment liabilities at fair value	$	159,140		$	31,601		$	—		$	190,741
The tables below present a summary of changes in the fair value of the Plan’s Level 3 investment assets:
(in thousands)	Year Ended December 2011
	Collective Trusts			Fixed Income Securities			Asset- Backed Securities			Total
Balance, beginning of year	$	608,594		$	49,561		$	2,230		$	660,385
Net realized gains/(losses)		—			1,274			20			1,294
Net unrealized gains/(losses) relating to instruments still held at the reporting date		14,279			(1,228	)		(26	)		13,025
Purchases		211,902			16,838			124			228,864
Sales		(238,580	)		(13,879	)		(557	)		(253,016	)
Net transfers in and/or (out) of Level 3		—			(15,678	)		246			(15,432	)
Balance, end of year	$	596,195		$	36,888		$	2,037		$	635,120

Transfers between levels are reported at the beginning of the reporting period in which they occur. Net fixed income security transfers out of Level 3 of $15.7 million are principally due to transfers to Level 2 of certain residential mortgage-backed securities due to improved transparency of market prices used to value these securities, as well as unobservable inputs no longer being significant to the valuation of these securities.

16

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

(in thousands)	Year Ended December 2010
	Collective Trusts			Fixed Income Securities			Asset- Backed Securities			Common and Preferred Stocks			Total
Balance, beginning of year	$	653,343		$	14,378		$	2,719		$	27		$	670,467
Net realized gains/(losses)		—			6,034			25			—			6,059
Net unrealized gains/(losses) relating to instruments still held at the reporting date		25,202			1,198			(62	)		—			26,338
Purchases		—			32,776			765			—			33,541
Sales		(69,951	)		(4,825	)		(1,217	)		(27	)		(76,020	)
Net transfers in and/or (out) of Level 3		—			—			—			—			—
Balance, end of year	$	608,594		$	49,561		$	2,230		$	—		$	660,385

5. Description of the Plan’s Investment Contracts

Fully benefit-responsive investment contracts held by a defined contribution plan are required to be reported at fair value rather than contract value with an offsetting asset or liability in the Statements of Net Assets Available for Benefits.

The Plan’s Stable Value Fund (the Fund) invests in a variety of stable value products, including synthetic guaranteed investment contracts (GICs) with similar characteristics and, prior to October 1, 2010, a stable value collective investment trust. A synthetic GIC, also known as a wrap contract, is an investment contract issued by an insurance company or other financial institution, designed to provide a contract value “wrapper” around a portfolio of bonds or other fixed income securities that are owned by the Fund. As of December 31, 2011, the assets underlying the Fund’s wrap contracts were interests in fixed income collective investment funds (Dwight Term Funds 2012-2015), and separate account bond portfolios (managed by PIMCO and BlackRock, respectively). Prior to April, 2011, the underlying assets included units in the Dwight Target 2 Fund and the Dwight Target 5 Fund, each a fixed income collective investment trust. The wrap contracts are obligated to provide an interest crediting rate not less than zero. These contracts provide that realized and unrealized gains and losses on the underlying assets are not reflected immediately in the net assets of the Fund, but rather are amortized over the duration of the underlying assets or other amortization period agreed upon by the investment manager and wrap provider, through adjustments to the future interest crediting rate. The issuer guarantees that all qualified participant withdrawals will occur at contract value.

A stable value collective investment trust is a commingled investment vehicle that provides liquidity at contract value for all qualified participant withdrawals. The Fund owned units of the SEI Stable Asset Fund, which served as the Fund’s short-term liquidity vehicle. Effective October 1, 2010, the Fund discontinued its use of the SEI Stable Asset Fund, but continues to use the Financial Square Money Market Fund to manage short-term liquidity.

17

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

Variables that Impact Future Crediting Rates

Primary variables impacting future crediting rates of wrap contracts include:

- current yield of the underlying assets within the wrap contract

- duration of the underlying assets covered by the wrap contract or other amortization period agreed upon by the investment manager and the wrap provider

- existing difference between the market value of the underlying assets within the wrap contract and contract value of the wrap contract

Crediting Rate Calculation Methodology

The Fund uses the following formula to calculate future crediting rates for the wrap contracts:

CR = [(1+Y)*(MV/CV) ^ (1/D)]-1-Fees

CR = crediting rate

MV = market value of underlying assets

CV = contract value

D = weighted average duration of the portfolio or other amortization period agreed upon by the investment manager and the wrap provider

Y = weighted average annual effective yield to maturity of the underlying portfolio

The net crediting rate reflects fees paid to wrap contract issuers and other fees agreed upon by the investment manager and the wrap provider.

Basis and Frequency of Determining Interest Crediting Rates

Prior to July 1, 2011, the wrap contract crediting rates were reset on a staggered, quarterly basis. On and after July 1, 2011, the wrap contract crediting rates are reset on a monthly basis.

Minimum Crediting Rates

Wrap contracts provide an interest rate floor of zero percent.

Relationship between Future Crediting Rates and Adjustment between Fair Value (Market Value) and Contract Value

The crediting rate of the wrap contracts will track current market yields on a trailing basis. The rate reset allows the contract value of the underlying assets to converge to the market value over time, assuming the market value continues to earn the current portfolio yield for a period of time equal to the current portfolio duration.

Limitations on the Ability of the Fund to Transact At Contract Value

The benefit-responsive investment contracts (i.e., wrap contracts) which are agreements with insurance companies and other financial institutions, are designed to help preserve principal and provide a stable crediting rate. These contracts are fully benefit-responsive and provide that Plan participant-initiated withdrawals permitted under the Plan will be paid at contract value. In addition to certain wrap agreement termination provisions discussed below, wrap contracts provide for withdrawals associated with certain events which are not in the ordinary course of Plan operations, and that the issuer determines will have a material adverse effect on the issuer’s financial interest, to be paid with a market value adjustment to the contract value amount of such withdrawal as defined in such contracts.

18

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

While each contract issuer specifies the events which may trigger such a market value adjustment, such events include all or some of the following: (i) amendments to the Plan documents or Plan’s administration; (ii) changes to the Plan’s prohibition on competing investment options or deletion of equity wash provisions; (iii) complete or partial termination of the Plan or its merger with another plan; (iv) failure of the Plan or its trust to qualify for exemption from federal income taxes or any required prohibited transaction exemption under ERISA; (v) any change in law, regulation, ruling, administrative or judicial position or accounting requirement, in any case applicable to the Plan or Fund; (vi) the delivery of any communication to Plan participants designed to influence a participant not to invest in the Fund; (vii) the establishment of a defined contribution plan that competes with the Plan for participant contributions; and (viii) unless made in accordance with the withdrawal provisions of the Plan, the withdrawal from the wrap contract at the direction of the Plan sponsor (“market-value event¹”). At this time, the Plan sponsor does not believe that the occurrence of any such market-value event, which would limit the Fund’s ability to transact at contract value with participants, is probable.

In addition, wrap contracts typically provide for an adjustment to contract value if a security that is part of the underlying assets defaults or otherwise becomes impaired as defined in the wrap contract. In the event of an impairment, contract value is generally decreased by the amortized cost of the impaired security and, if such security is subsequently sold, contract value is increased by the amount of such sales proceeds.

Terminations at Other than Contract Value

Wrap contracts held in the Fund are evergreen contracts that contain termination provisions. Wrap agreements permit the Fund’s investment manager to terminate upon notice at any time at market value and provide for automatic termination of the wrap contract if the contract value or the market value of the contract equals zero due to qualified participant withdrawals. The issuer is not excused from paying the excess contract value when the market value equals zero. Wrap contracts permit the issuer to terminate at market value and provide that the Fund may elect to convert such termination to an Amortization Election as described below. In addition, if the Fund defaults in its

1. For purposes of the Plan’s contracts, “market-value events” are defined as follows: (i) a change of employment status due to (a) the transfer or other change of employment from an employer to a parent, subsidiary or any company under common ownership or control with the employer or (b) a spin-off, sale or merger of any unit of the employer where a withdrawal is the result of a transfer to another plan unless, in any of these cases, there is a cessation of employment constituting a “separation from service” for purposes of Section 401(k) or Section 402 of the Internal Revenue Code of 1986, as amended (the Internal Revenue Code); (ii) a partial or full Plan termination which is not the result of financial hardship, such as a court ordered liquidation under applicable bankruptcy or insolvency statutes; (iii) any change in law, regulation, ruling, administrative or judicial position or accounting requirement, in any case applicable to the Plan or Fund; and (iv) the delivery of any communication to Plan participants designed to influence a participant not to invest in the Fund.

19

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

obligations under the agreement (including the issuer’s determination that the agreement constitutes a nonexempt prohibited transaction as defined under ERISA) and such default is not cured within the time permitted by any cure period, then the wrap contract may be terminated by the issuer and the Fund will receive the market value as of the date of termination. Wrap contracts also define certain termination events that permit the issuer to terminate the contract at market value. Termination events typically include all or some of the following: (i) termination or replacement of the investment manager without the issuer’s consent or the investment manager ceases to be a “qualified professional asset manager” within the meaning of PTE 84-14 under ERISA, (ii) the Plan or its trust is fully or partially terminated or fails to be exempt from federal income taxation, (iii) the Plan merges with another plan, (iv) a security is sold or subject to a lien other than as permitted under the contract, (v) the contract holder engages in fraud or other action that materially and adversely affects the risk profile of the contract, (vi) there is any change in law, regulation, ruling, or accounting requirement applicable to the Plan or Fund that could cause substantial withdrawals from the Fund, or (vii) performance of the issuer’s obligations under the contract becomes illegal. The wrap contracts permit the issuer or investment manager to elect at any time to convert the underlying assets to a declining duration strategy whereby the contract would terminate at a date which corresponds to the duration of the underlying assets on the date of the amortization election (Amortization Election) or such other date agreed upon by the investment manager and wrap provider. After the effective date of an Amortization Election, the underlying assets must conform to the guidelines agreed upon by the wrap issuer and the investment manager for the Amortization Election period. Such guidelines are intended to result in contract value equaling market value of the underlying assets by such termination date.

Average Yield Calculation

Average yields for Stable Value Fund:

	Year Ended December
	2011		2010
Based on actual earnings1		1.00%		1.82%
Based on interest rate credited to participants2		0.78%		1.41%

1. Computed by dividing the annualized one-day actual earnings of the Fund on the last day of the Plan Year by the fair value of the investments of the Fund on the same date.

2. Computed by dividing the annualized one-day earnings credited to participants in the Fund on the last day of the Plan Year by the fair value of the investments of the Fund on the same date.

20

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

6. Related Party Transactions

An affiliate of the Firm manages several mutual fund investment options within the Plan. These investments include the Goldman Sachs Financial Square Treasury Obligations Fund, Goldman Sachs Financial Square Money Market Fund, Goldman Sachs Short Duration Government Fund, Goldman Sachs Core Fixed Income Fund, Goldman Sachs High Yield Fund, Goldman Sachs Structured US Equity Fund, Goldman Sachs Large Cap Value Fund, Goldman Sachs Capital Growth Fund, Goldman Sachs Growth Opportunities Fund, Goldman Sachs Mid Cap Value Fund, and Goldman Sachs Real Estate Securities Fund, each of which is an investment company registered under the Investment Company Act of 1940. No fees were paid, or were payable by the Plan for investment management services relating to these funds for the years ended December 31, 2011 and 2010; however, investment advisory fees may be paid from the funds to the Firm or its affiliates. Effective May 15, 2012, an affiliate of the Firm manages the Plan’s stable value option (see Note 11).

In addition, an affiliate of the Trustee manages several investment options within the Plan. These investments include the S&P 500 Flagship Securities Non-Lending Fund, S&P 500 Mid Cap Index Securities Non-Lending Fund, Russell 2000 Index Non-Lending Fund, and Emerging Markets Index Non-Lending Fund, each of which is a bank collective trust fund. Fees associated with the management of these funds qualify as party-in-interest transactions. An affiliate of the Trustee also served as a counterparty to one of the Plan’s synthetic GICs at December 31, 2011 and 2010.

The Plan has invested in the Company Stock Fund, which primarily invests in shares of the Firm’s common stock. As of December 31, 2011 and 2010, the Plan’s interest in the Company Stock Fund represented 679,502 and 619,639 shares of the Firm’s common stock with a fair market value of $61,447,366 and $104,198,494, respectively. Purchases of $10,596,126 and $9,632,836 and sales of $2,918,262 and $4,937,481 of the Firm’s common stock were made through the Company Stock Fund during the years ended December 31, 2011 and 2010, respectively. The Company Stock Fund is managed by an affiliate of the Trustee.

7. Plan Termination

The Firm intends to continue the Plan indefinitely but reserves the right to discontinue or amend the Plan at any time subject to the provisions of ERISA. In the event of discontinuance, affected participants will become fully vested in the Firm Contributions and the related investment income as required by ERISA.

8. Income Tax Status

The Internal Revenue Service has determined and informed the Firm by a letter dated September 23, 2002, that the Plan and Master Trust are designed in accordance with applicable sections of the Internal Revenue Code. Although the Plan has been amended since the receipt of the letter, Plan management believes that the Plan continues to be designed and operated in all material respects in compliance with the applicable requirements of the Internal Revenue Code.

On January 28, 2011, a new application was submitted to the Internal Revenue Service to re-affirm that the Plan is and continues to be designed in accordance with applicable sections of the Internal Revenue Code.

21

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

9. Reconciliation of Financial Statements to Form 5500

The following is a reconciliation of net assets available for benefits from the Plan’s financial statements to the Form 5500:

(in thousands)	As of December
	2011			2010
Net assets available for benefits, per Statements of Net Assets Available for Benefits	$	4,939,127		$	5,007,426
Add/(reduce) adjustment from contract value to fair value		818			(13,461	)
Add/(reduce) by amounts allocated to withdrawing participants		(29,732	)		(18,065	)
Net assets available for benefits, per the Form 5500	$	4,910,213		$	4,975,900
The following is a reconciliation of benefits paid to participants from the Plan’s financial statements to the Form 5500:
(in thousands)	Year Ended December
	2011			2010
Benefits paid to participants, per Statements of Changes in Net Assets Available for Benefits	$	233,000		$	288,400
Add/(reduce) amounts allocated to withdrawing participants, end of year		29,732			18,065
Add/(reduce) for amounts allocated to withdrawing participants, beginning of year		(18,065	)		(19,442	)
Benefits paid to participants, per the Form 5500	$	244,667		$	287,023

Amounts allocated to withdrawing participants are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, 2011 and 2010, but had not yet been paid as of that date.

22

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

The following is a reconciliation of investment income from the Plan’s financial statements to the Form 5500:

(in thousands)	Year Ended December
	2011			2010
Total net (depreciation)/appreciation, per Statements of Changes in Net Assets Available for Benefits	$	(175,758	)	$	453,706
Add/(reduce) prior year adjustments from fair value to contract value for fully benefit-responsive investment contracts		13,461			38,664
Add/(reduce) adjustments from contract value to fair value for fully benefit-responsive investment contracts		818			(13,461	)
Total investment (loss)/gain, per the Form 5500	$	(161,479	)	$	478,909

10. Financial Instruments with Off-Balance-Sheet Risk

In accordance with the investment strategy of the managed accounts, the Plan’s investment managers execute transactions in various financial instruments that may give rise to varying degrees of off-balance-sheet market and credit risk. These instruments can be executed on an exchange or negotiated in the over-the-counter market. These financial instruments include futures, forward settlement contracts, and swap and option contracts.

Swap contracts include equity, credit default and interest rate swap contracts. Equity swaps involve an agreement to exchange cash flows based on the total return of underlying securities. Credit default swaps involve the exchange of cash flows based on the creditworthiness of the underlying issuer of securities. Interest rate swaps involve an agreement to exchange periodic interest payment streams (typically fixed vs. variable) calculated on an agreed upon periodic interest rate multiplied by a predetermined notional principal amount.

Market risk arises from the potential for changes in value of financial instruments resulting from fluctuations in interest and foreign exchange rates and in prices of debt and equity securities. In many cases, these financial instruments serve to reduce, rather than increase, the Plan’s exposure to losses from market or other risks. In addition, the measurement of market risk is meaningful only when all related and offsetting transactions are identified. The investment managers generally limit the Plan’s market risk by holding or purchasing offsetting positions.

As a writer of option contracts, the Plan receives a premium to become obligated to buy or sell financial instruments for a period of time at the holder’s option. During this period, the Plan bears the risk of an unfavorable change in the market value of the financial instrument underlying the option, but has no credit risk, as the counterparty has no performance obligation to the Plan once it has paid its cash premium.

23

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

The Plan is subject to credit risk of counterparty nonperformance on derivative contracts in a gain position, except for written options, which obligate the Plan to perform and do not give rise to any counterparty credit risk.

All derivative financial instruments are carried at fair value. The fair values of the Plan’s derivative financial instruments (see Notes 3 and 4) are presented below:

(in thousands, except number of contracts)

	December 2011
Type of Derivative Exposure	Assets Fair Value		Liabilities Fair Value		Number of Contracts
Equity	$	12,462	$	11,403	716
Credit		6,153		1,468	237
Currency		3,349		1,861	252
Interest rate		2,811		2,166	102
Commodities		8		—	2
Total	$	24,783	$	16,898	1,309
(in thousands, except number of contracts)
	December 2010
Type of Derivative Exposure	Assets Fair Value		Liabilities Fair Value		Number of Contracts
Equity	$	13,392	$	13,043	503
Credit		3,933		3,124	209
Currency		1,761		3,008	165
Interest rate		717		1,026	78
Commodities		—		22	3
Total	$	19,803	$	20,223	958

24

The Goldman Sachs 401(k) Plan

Notes to Financial Statements

December 31, 2011 and 2010

The following presents the Plan’s (depreciation)/appreciation of derivatives:

(in thousands)	(Depreciation)/Appreciation for the  Years Ended December
Type of Derivative Exposure	2011			2010
Equity	$	8,055		$	(1,699	)
Credit		408			9
Currency		(2,668	)		1,910
Interest rate		1,520			1,750
Commodities		2,844			(36	)
Total	$	10,159		$	1,934

The Plan’s investment managers enter into various derivative transactions that are considered credit derivatives under U.S. GAAP. The Plan’s written and purchased credit derivatives include credit default swaps and total return swaps. All of the Plan’s written and purchased credit derivative transactions are with financial institutions and are subject to stringent collateral thresholds. As of December 31, 2011 and 2010, the Plan had purchased credit derivatives with total gross notional amounts of $89.5 million and $101.9 million, respectively.

Investments sold, but not yet purchased as of December 31, 2011 and 2010, involve obligations to deliver specified securities at contracted prices and thereby create a liability to purchase the securities at prevailing future market prices. Accordingly, these transactions result in off-balance sheet risk as the Plan’s ultimate obligation to satisfy the sale of financial instruments sold, but not yet purchased, may exceed the amount recognized in the financial statements.

The Plan’s investment managers typically monitor risk exposure related to financial instruments through the use of financial, credit and legal reporting systems.

11. Subsequent Events

Effective May 15, 2012, Goldman Sachs Asset Management, L.P. acquired Dwight Asset Management Company LLC (Dwight), the investment manager of the Plan’s stable value option. As of May 15, 2012, no fees are paid to Dwight for acting as the option’s stable value manager. Because this option invests in collective trust funds that are subadvised by Dwight and sponsored by Goldman Sachs Trust Company, N.A. (GSTC), these investments are classified as Related Party Transactions following the acquisition. Investment advisory fees may be paid from the trust funds to GSTC, and may be shared with Dwight and other affiliates.

25

The Goldman Sachs 401(k) Plan

Schedule H, Line 4i — Schedule of Assets (Held at End of Year)

December 31, 2011

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Current Value
Common Collectives
BLACKROCK/20+ TREASURY BOND FUND		1,367,952	$	48,986,373
BLACKROCK/EQUITY GROWTH FUND		5,427,380		61,763,579
BLACKROCK/EQUITY VALUE FUND		5,415,260		76,896,695
BLACKROCK/LIFEPATH IDX RETIREMENT FUND		828,634		9,554,146
BLACKROCK/LIFEPATH INDEX 2015 FUND		1,788,765		19,461,759
BLACKROCK/LIFEPATH INDEX 2020 FUND		2,358,902		24,815,653
BLACKROCK/LIFEPATH INDEX 2025 FUND		3,131,533		32,035,583
BLACKROCK/LIFEPATH INDEX 2030 FUND		3,648,855		36,269,616
BLACKROCK/LIFEPATH INDEX 2035 FUND		4,526,478		43,861,574
BLACKROCK/LIFEPATH INDEX 2040 FUND		4,685,074		44,320,803
BLACKROCK/LIFEPATH INDEX 2045 FUND		5,501,480		50,778,656
BLACKROCK/LIFEPATH INDEX 2050 FUND		2,806,674		25,737,203
STATE STREET GLOBAL ADVISORS/DAILY EMERGING MARKETS INDEX FUND		5,783,106		133,780,586
STATE STREET GLOBAL ADVISORS RUSSELL 200 INDEX FUND		3,519,421		93,320,979
STATE STREET GLOBAL ADVISORS/S&P 400 MIDCAP INDEX		6,068,772		92,597,320
STATE STREET GLOBAL ADVISORS/S&P 500 INDEX FUND		17,796,326		439,017,557
Total Common Collectives		74,654,612	$	1,233,198,082
Mutual Funds
ASHMORE EMERGING MARKETS LOCAL		1,553,436		14,369,283
DODGE + COX INTERNATIONAL STOCK		106,725		3,120,629
GMO INTERNATIONAL INTRINSIC VALUE FUND		8,550,850		161,867,584
GOLDMAN SACHS CAPITAL GROWTH FUND		3,009,931		65,766,984
GOLDMAN SACHS CORE FIXED INCOME FUND		5,814,066		60,001,161
GOLDMAN SACHS FINANCIAL SQUARE MONEY MKT		386,538,401		386,538,401
GOLDMAN SACHS FINANCIAL SQUARE TREASURY OBLIGATIONS FUND		53,231,757		53,231,757
GOLDMAN SACHS GROWTH OPPORTUNITIES FUND		3,101,654		68,484,520
GOLDMAN SACHS HIGH YIELD FUND		17,603,171		120,933,787
GOLDMAN SACHS LARGE CAP VALUE FUND		6,758,379		73,125,665
GOLDMAN SACHS MID CAP VALUE FUND		7,195,724		241,560,455
GOLDMAN SACHS REAL ESTATE SECURITIES FUND		9,965,141		136,223,482
GOLDMAN SACHS SHORT DURATION GOVERNMENT FUND		8,047,402		82,405,393
OPPENHEIMER COMMODITY STRATEGY FUND		22,196,684		74,358,890
VANGUARD INFLATION PROTECTED SECURITIES FUND		11,238,983		126,888,115
WESTERN ASSET CORE PLUS BOND PORTFOLIO		8,201,957		91,041,727
Total Mutual Funds		553,114,261	$	1,759,917,833
Managed Accounts
Dwight Stable Value Fund Common Collective
GOLDMAN SACHS FINANCIAL SQUARE MONEY MKT		2,222,022		2,202,686
Synthetic Investment Contracts — Dwight
IXIS FINANCIAL PRODUCTS		198,448,319		198,720,669
MONUMENTAL LIFE		198,466,226		198,738,702
STATE STREET GIC 104032		198,462,202		198,734,671
Total Dwight Stable Value Fund Common Collective		597,598,769	$	598,396,828

26

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
Common Stock
3M CO		4,745			387,809
ABBOTT LABORATORIES		10,385			583,949
ABIOMED INC		69,200			1,278,124
ABITIBIBOWATER INC		(17,532	)		(255,091)
ACCENTURE PLC CL A		48,756			2,595,282
ACCO BRANDS CORP		36,120			348,558
ACE AVIATION HOLDINGS INC-A		4,063			42,571
ACE LTD		32,100			2,250,852
ACME PACKET INC		(27,805	)		(859,453)
ACORDA THERAPEUTICS INC		7,900			188,336
ACUITY BRANDS INC		13,310			705,430
ADECCO SA-REG		(117,647	)		(4,932,775)
ADELPHIA CONTINGENT CVV 4		2,537,894			0
ADELPHIA CONTINGENT CVV 6D		620,000			0
ADELPHIA CONTINGENT CVV 6E/F		4,855,113			0
AEON CO LTD		(33,000	)		(452,941)
AEROFLEX HOLDING CORP		29,100			297,984
AEROPOSTALE INC		50,890			776,073
AFC ENTERPRISES		42,400			623,280
AGILE PROPERTY HLDGS LTD		85,000			76,174
AIA GROUP LTD		269,530			841,490
AIR CANADA-CLASS A		5,903			5,918
AIR CANADA-CLASS B		33,583			32,679
AIR CHINA LIMITED		296,000			218,768
AIR LIQUIDE SA		24,370			3,024,077
AIR PRODUCTS + CHEMICALS INC		4,340			369,725
AIRASIA BHD		934,002			1,110,785
AIXTRON SE		(63,890	)		(815,657)
AIXTRON SE — ADR		(10,612	)		(134,772)
AJISEN CHINA HOLDINGS LTD		130,910			144,102
AKFEN HOLDING AS		38,892			146,211
ALCOA INC		(54,026	)		(467,325)
ALIBABA.COM LTD		(245,476	)		(253,778)
ALKERMES PLC		31,800			552,048
ALLERGAN INC		33,813			2,966,753
ALLETE INC		15,600			654,888
ALLIANCE MEDICAL CLASS A1 ORD SHARES		129			5,009
ALLIANCE OIL COMPANY LTD-SDR		(3,976	)		(49,492)
ALLIANZ SE REG		19,700			1,890,141
ALTISOURCE PORTFOLIO SOL		81,400			4,084,652
AMAZON COM INC		3,367			582,828
AMBUJA CEMENT REG S GDR		170,446			499,577
AMBUJA CEMENTS LTD		246,937			726,326
AMDOCS LTD		45,796			1,306,560
AMERICA MOVIL ADR SERIES L		199,376			4,505,898
AMERICAN EXPRESS CO		51,474			2,428,029
AMERIGROUP CORP		(9,822	)		(580,284)
AMERIS BANCORP		27,694			284,694
AMERISTAR CASINOS INC		10,920			188,807
AMGEN CORP		2,119			136,061
AMGEN INC		4,190			269,040
AMIL PARTICIPACOES SA		88,951			783,522
ANADARKO PETROLEUM CORP		28,033			2,139,759
ANADOLU EFES BIRACILIK		103,285			1,246,901

27

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
ANALOGIC CORP		1,192			68,325
ANDHRA BANK		226,269			338,732
ANGLO AMERICAN PLC		177,525			6,508,708
ANGLO IRISH BANK CORP PLC		43,800			0
ANGLOGOLD ASHANTI-SPON ADR		353			14,985
ANHEUSER-BUSCH INBEV NV		20,554			1,260,207
ANHEUSER-BUSCH INBEV SPN ADR		4,210			256,768
ANHUI CONCH CEMENT CO LTD H		414,381			1,229,815
ANHUI CONCH CEMENT CO LTD-H		(2,000	)		(5,936)
ANN INC		28,649			709,922
ANNALY CAPITAL MANAGEMENT IN		(22,465	)		(358,541)
ANTA SPORTS PRODUCTS LTD		(358,894	)		(426,479)
AOL INC NEW		(70	)		(1,057)
AON CORP		18,300			856,440
APACHE CORP		9,671			875,999
APOLLO GROUP INC		35,562			1,915,725
APPLE COMPUTER INC		10,003			4,051,215
APPLE INC		26,822			10,862,910
APPLIED INDUSTRIAL TECH INC		14,470			508,910
APPLIED MICRO CIRCUITS CORP		93,300			626,976
ARCHIPELAGO LEARNING INC		25,326			244,902
ARDEA BIOSCIENCES INC		20,610			346,454
ARENA PHARMACEUTICALS INC		95,900			179,333
ARM HOLDINGS PLC		323,600			2,977,209
ARROW ELECTRONICS INC		(948	)		(35,465)
ARTHROCARE CORP		15,100			478,368
ARTHUR J. GALLAGHER & CO.		(25,440	)		(850,714)
ARUBA NETWORKS INC		22,100			409,292
ASAHI GLASS CO LTD		(300	)		(2,517)
ASM PACIFIC TECHNOLOGY		39,671			445,153
ASPEN TECHNOLOGY INC		40,600			704,410
AT&T INC		(20,420	)		(617,501)
ATLAS COPCO AB A SHS		68,200			1,472,379
ATLAS ENERGY LP		197,432			4,797,598
ATLAS PIPELINE PARTNERS LP		232,000			8,618,800
AUGUR RESOURCES LTD		35,592			4,734
AURORA OIL AND GAS LTD		(34,865	)		(120,969)
AUTONATION INC		(28,034	)		(1,033,614)
AUXILIUM PHARMACEUTICALS INC		10,500			209,265
AV CONCEPT HOLDINGS LTD		928,000			83,642
AVAGO TECHNOLOGIES LTD		50,660			1,462,048
AVANIR PHARMACEUTICALS INC A		39,700			81,385
AVERY DENNISON CORP		38,210			1,095,863
AVIS BUDGET GROUP INC		(32,665	)		(350,169)
AVNET INC		(1,087	)		(33,795)
AXEL SPRINGER AG		(8,190	)		(352,473)
AXIS BANK LTD		79,250			1,202,815
BAIDU INC SPON ADR		28,244			3,289,579
BAIDU INC—SPON ADR		1,503			175,054
BAJAJ AUTO LTD		12,995			389,079
BALLY TECHNOLOGIES INC		8,200			324,392
BANCO MACRO SA ADR		11,741			228,950
BANCO SANTANDER (BRASIL) SA		139,828			1,121,473

28

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
BANCO SANTANDER BRASIL ADS		229,484			1,868,000
BANCO SANTANDER CHILE — ADR		4,680			354,276
BANCOLOMBIA S.A. SPONS ADR		16,751			997,690
BANCOLOMBIA SA		24,800			364,356
BANK DANAMON INDONESIA TBK		893,567			404,039
BANK OF AMERICA CORP		11,442			63,618
BANK OF AYUDHYA PCL FOREIGN		1,057,027			737,071
BANK OF AYUDHYA PUBLIC NVDR		387,107			272,386
BANK OF KENTUCKY FINL CORP		11,200			224,560
BANK PEKAO SA REG S GDR		14,600			600,334
BANK RAKYAT INDONESIA PERSER		2,888,868			2,150,522
BANKRATE INC.		4,360			93,740
BAXTER INTERNATIONAL INC		4,960			245,421
BAXTER INTL INC		(5,650	)		(279,562)
BBMG CORPORATION—H		56,500			37,539
BEADELL RESOURCES LTD		44,221			27,146
BECTON DICKINSON & CO		(3,827	)		(285,953)
BERRY COMPANY EQUITY		120			1,800
BG GROUP PLC		96,200			2,057,929
BHP BILLITON LTD-SPON ADR COR GBP		(1,699	)		(120,000)
BIDVEST GROUP LTD		75,759			1,452,609
BIOGEN IDEC INC		25,849			2,844,682
BLACKSTONE GROUP LP/THE		9,070			127,071
BLUE NILE INC		(2,070	)		(84,622)
BONANZA CREEK ENERGY INC		15,400			192,500
BORGWARNER INC		(57,431	)		(3,660,652)
BOSIDENG INTL HLDGS LTD		190,000			53,822
BOSTON PRIVATE FINL HOLDING		110,900			880,546
BOSTON SCIENTIFIC CORP		785,700			4,195,638
BRIDGE BANCORP INC		14,100			280,590
BRISTOL MYERS SQUIBB CO		57,146			2,013,825
BRITISH SKY BROADCASTING GRO		176,732			2,011,879
BROADCOM CORP-CL A		2,092			61,421
BROADRIDGE FINANCIAL SOLUTIO		155,000			3,495,250
BROADSOFT INC		12,400			374,480
BROADSOFT INC.		(1,730	)		(52,246)
BRUNSWICK CORP		78,300			1,414,098
BUILDERS FIRSTSOURCE INC		35,036			71,473
BUNGE LTD		16,800			960,960
BURU ENERGY LTD		216,400			271,214
CABLEVISION SYSTEMS-NY GRP-A		239,500			3,405,690
CABOT CORP		12,700			408,178
CACI INTERNATIONAL INC CL A		4,760			266,179
CACI INTERNATIONAL INC — CL A		(2,270	)		(126,938)
CADENCE DESIGN SYS INC		134,400			1,397,760
CADENCE PHARMACEUTICALS INC		12,200			48,190
CALIX NETWORKS INC		61,965			400,914
CALLAWAY GOLF COMPANY		71,300			394,289
CAMPBELL SOUP CO		(7,602	)		(252,690)
CANADIAN NATL RAILWAY CO		21,400			1,681,184
CANON INC		11,300			500,364
CAPITAL ONE FINANCIAL CORP.		8,778			371,222
CAPMARK EQUITY		28,128			466,925

29

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
CAREFUSION CORP		136,512			3,468,770
CARIBOU COFFEE CO INC		1,219			17,005
CARNIVAL CORP		24,230			790,867
CARRIZO OIL + GAS INC		4,870			128,325
CAVIUM INC		6,280			178,540
CBS CORP-CLASS B NON VOTING		(2,194	)		(59,545)
CELADON GROUP INC		36,400			429,884
CENTRAL PATTANA PUB CO FOREI		813,156			972,952
CERNER CORP		(8,606	)		(527,118)
CERRO RESOURCES NL		315,968			33,943
CHANGSHA ZOOMLION HEAVY IN-H		387,800			417,440
CHARMING SHOPPES		585,303			2,867,985
CHARTER COMMUNICATION-A		4,479			255,034
CHARTER INTERNATIONAL PLC		65,477			959,693
CHEESECAKE FACTORY INC/THE		25,550			749,893
CHEMED CORP		(175	)		(8,962)
CHEUNG KONG HOLDINGS LTD		27,000			321,230
CHILDREN S PLACE		10,000			531,200
CHINA ALL ACCESS HOLDINGS		70,000			14,872
CHINA FOODS LTD		325,460			253,526
CHINA HIGH PRECISION AUTOMATION GROUP LTD		154,000			28,554
CHINA LIFE INSURANCE CO H		235,000			581,554
CHINA LODGING GROUP-SPON ADS		11,740			166,708
CHINA MARINE FOOD GROUP LTD		(569	)		(677)
CHINA MEDICAL TECH-SPON ADR		11,191			31,782
CHINA MENGNIU DAIRY CO		45,000			105,223
CHINA MERCHANTS BANK — H		(196,000	)		(396,220)
CHINA MERCHANTS BANK CO.		(97,820	)		(197,723)
CHINA MERCHANTS BANK H		855,445			1,729,262
CHINA MERCHANTS HOLDINGS INTL		254,454			738,730
CHINA MINSHENG BANKING — H-SHRS		(177,100	)		(153,467)
CHINA MINSHENG BANKING-H		(643,830	)		(557,848)
CHINA MOBILE LTD		284,698			2,782,244
CHINA NATURAL GAS INC		(7,717	)		(14,894)
CHINA NEW TOWN DEVELOPMENT		1,426,651			55,028
CHINA OVERSEAS LAND + INVEST		593,251			991,476
CHINA RESOURCES CEMENT		427,709			318,306
CHINA RESOURCES ENTERPRISE		955,377			3,265,941
CHINA RESOURCES GAS GROUP LT		279,484			399,438
CHINA SHENHUA ENERGY CO H		335,235			1,456,774
CHINA UNICOM HONG KONG LTD		(32,000	)		(67,326)
CHINA YURUN FOOD GROUP LTD		(437,394	)		(574,385)
CHINA ZHENGTONG AUTO SERVICES HOLDINGS LTD		309,000			303,175
CHINALCO YUNNAN COPPER RESOURCES LTD		82,333			15,162
CHIPOTLE MEXICAN GRILL INC		5,183			1,750,506
CHIQUITA BRANDS INTL		9			75
CHROMA ATE INC		97,268			190,816
CHUBB CORP		6,115			423,280
CIGNA CORP		47,554			1,997,268
CIMB GROUP HOLDINGS BHD		388,001			910,640
CISCO SYSTEMS INC		20,113			363,643
CITIC SECURITIES CO LTD-H		495,500			815,370
CITIGROUP INC		56,546			1,487,725

30

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
CITIGROUP INC		(8,062	)		(212,111)
CITRIX SYSTEMS INC		70,300			4,268,616
CITY NATIONAL CORP		(9,990	)		(441,358)
CLEAN ENERGY FUELS CORP		6,800			84,728
CLECO CORPORATION		4,700			179,070
CME GROUP INC		2,789			679,596
CMS ENERGY CORP		(71,692	)		(1,582,959)
CNINSURE INC ADR		15,900			110,028
COALBANK LTD		949,378			67,992
COCA COLA HELLENIC BOTTLING		42,997			728,406
COCA COLA ICECEK AS		50,820			608,139
COCHLEAR LTD		22,490			1,429,519
COGNIZANT TECHNOLOGY SOLUTIO		5,795			372,676
COLFAX CORP		15,000			427,200
COLFAX CORP (COR GBP)		1,000			28,480
COLLECTIVE BRANDS INC		5,578			80,156
COLRUYT SA		(2,100	)		(79,613)
COMCAST CORP- CL A		36,890			874,662
COMCAST CORP NEW		33,480			788,789
COMCAST CORP-CL A		16,733			396,739
COMCAST CORP-SPECIAL CL A		(12,929	)		(304,607)
COMPANHIA DE BEBIDAS DAS AME		4,245			153,202
COMPASS GROUP PLC		92,500			876,643
COMVERSE TECHNOLOGY INC		104,865			719,374
CONAGRA FOODS INC		14,310			377,784
CONSTELLATION BRANDS INC-A		(27,490	)		(568,218)
CORNING INC		155,241			2,015,028
CORP MOCTEZUMA SER		142,622			298,727
COTT CORPORATION		199,800			1,250,748
COVENTRY HEALTH CARE INC		(4,184	)		(127,068)
CREDICORP LTD		4,290			469,626
CROWN CASTLE INTL CORP		50,206			2,249,229
CSL LTD		32,500			1,066,208
CST MINING GROUP LTD		3,360,000			27,256
CTRIP.COM INTERNATIONAL — ADR		(22,030	)		(515,502)
CTRIP.COM INTERNATIONAL ADR		19,515			456,651
CTRIP.COM INTERNATIONAL-ADR		(14,430	)		(337,662)
CULLEN/FROST BANKERS INC		(2,231	)		(118,042)
CUMMINS INC		26,801			2,359,024
CURTISS WRIGHT CORP		9,900			349,767
CVS CAREMARK CORP		99,770			4,068,621
CYTEC INDUSTRIES INC		(2,789	)		(124,529)
DABUR INDIA LTD		257,533			483,981
DAEWOO INTERNATIONAL CORP		4,767			118,760
DANA HOLDING CORP		21,900			266,085
DANAHER CORP		48,906			2,300,538
DANSKE BANK A/S		1,431			18,175
DASSAULT SYSTEMES SA		45,700			3,674,025
DBS GROUP HOLDINGS LTD		85,000			755,177
DDR CORP		(10,008	)		(121,797)
DELUXE CORP		(3,040	)		(69,190)
DENA CO LTD		2,700			80,954
DENBURY RESOURCES INC		203,000			3,065,300

31

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
DENTSPLY INTERNATIONAL INC		(24,550	)		(859,005)
DEUTSCHE POST AG-REG		1,764			27,122
DEVON ENERGY CORP		27,892			1,729,304
DEVON ENERGY CORPORATION		10,340			641,080
DFC GLOBAL CORP		78,484			1,417,421
DIALOG AXIATA PLC		1,673,770			116,091
DIAMOND FOODS INC		30,950			998,757
DIRECTV-CLASS A		(4,184	)		(178,908)
DISCOVERY COMMUNICATIONS-C		78,500			2,959,450
DISH NETWORK CORP-A		80,600			2,295,488
DJ STOXX 600 OPTIMISED BANKS		(165	)		(9,641)
DOLBY LABORATORIES INC-CL A		(19,091	)		(582,466)
DOLE FOOD CO INC		(83,022	)		(718,140)
DOLLAR GENERAL CORP		155,008			6,377,029
DOLLAR GENERAL CORP		(8,510	)		(350,101)
DOMTAR CORP		11,300			903,548
DONGFENG MOTOR GRP CO LTD-H		(22,000	)		(37,732)
DOVER CORP		7,045			408,962
DOW CHEMICAL CO/THE		55,102			1,584,734
DR HORTON INC		5,579			70,351
DREAMWORKS ANIMATION SKG-A		(3,762	)		(62,430)
DULUTH METALS LTD		50,900			104,750
E*TRADE FINANCIAL CORP		543,120			4,323,235
EATON CORP		46,468			2,022,752
EBAY INC		112,600			3,415,158
ECHOSTAR CORP-A		24,900			521,406
EL PASO CORP		268,595			7,136,569
EL PASO ELECTRIC CO		11,420			395,589
ELEKTA AB-B SHS		(16,170	)		(700,828)
ELIZABETH ARDEN INC		3,400			125,936
ELPIDA MEMORY INC		(7,900	)		(36,725)
ELSWEDY ELECTRIC CO		62,215			211,484
EMBOTELLADORA ANDINA ADR B		17,423			453,521
ENDO PHARMACEUT HLDGS INC		21,822			753,514
ENERGY XXI BERMUDA		182,740			5,825,751
ENN ENERGY HOLDINGS LTD		246,457			790,150
ENTERGY CORP		(5,578	)		(407,473)
ENVESTNET INC		26,000			310,960
EOG RESOURCES INC		4,850			477,774
EQUINIX INC		27,961			2,835,245
EQUINIX INC		(69	)		(6,997)
ERSTE GROUP BANK AG		46,600			821,808
ESPRIT HOLDINGS LTD		730,800			942,858
ESSILOR INTERNATIONAL		(7,060	)		(499,158)
ESTEE LAUDER COMPANIES-CL A		(9,590	)		(1,077,149)
ESTERLINE TECHNOLOGIES CORP		10,050			562,499
ETALON GROUP-GDR REG S W/I		77,012			361,956
EURASIA DRILLIN GDR REGS		11,634			273,399
EUROPEAN GOLDFIELDS LTD		17,157			200,339
EXELIS INC		(17,633	)		(159,579)
EXELIXIS INC		54,500			258,058
EXELON CORP		(11,157	)		(483,879)
EXLSERVICE HOLDINGS INC		77,559			1,734,995

32

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
EXPEDIA INC		(9,100	)		(264,082)
EXPRESS INC		31,432			626,754
EXPRESS SCRIPTS INC		33,200			1,483,708
EXPRESS SCRIPTS INC		(37,070	)		(1,656,658)
EXXON MOBIL CORP		4,605			390,320
EZCHIP SEMICONDUCTOR LTD		4,200			118,986
FABRINET		7,300			99,864
FANUC CORP		22,745			3,482,698
FAR EASTERN NEW CENTURY CORPORATION		224,600			260,542
FASTENAL CO		(24,718	)		(1,077,952)
FINANCIAL INSTITUTIONS INC		23,941			386,408
FINISAR CORPORATION		33,200			555,934
FIRST BANCORP/NC		12,980			144,727
FIRST CITIZENS BCSHS CL A		2,200			384,978
FIRST CITY MONUMENT BANK PLC		441,600			11,373
FIRST COMMONWEALTH FINL CORP		19,100			100,466
FIRST NIAGARA FINANCIAL GRP		195,244			1,684,956
FIRST QUANTUM MINERALS LTD		165,335			3,255,553
FIRST SOLAR INC		22,296			752,713
FIRST TRACTOR CO-H		103,600			96,978
FLUOR CORP		2,905			145,976
FOMENTO ECONOMICO MEX SP ADR		21,871			1,524,627
FORD MOTOR CO		28,304			304,551
FOREST OIL CORP		156,955			2,126,740
FORRESTER RESEARCH INC		13,470			457,172
FORTINET INC.		(48,550	)		(1,058,876)
FOXCONN INTERNATIONAL HLDGS		(28,000	)		(18,062)
FREDDIE MAC		87,542			18,559
FREEPORT MCMORAN COPPER		52,523			1,932,321
FREEPORT-MCMORAN COPPER		(8,715	)		(320,625)
FRESENIUS SE + CO KGAA		25,800			2,394,027
FUJI HEAVY INDUSTRIES LTD		48,000			289,832
GALAXY ENTERTAINMENT GROUP LTD		240,000			440,049
GALLERY MEDIA GROUP LTD		139			166,800
GAMESTOP CORP NEW CLASS A		(33,860	)		(817,042)
GANNETT CO.		(40,130	)		(536,538)
GARMIN LTD		(14,579	)		(580,390)
GAZPROM OAO SPON ADR		77,600			828,846
GCL-POLY ENERGY HOLDINGS LTD		756,000			211,233
GENERAL DYNAMICS CORP		(5,665	)		(376,213)
GENERAL ELECTRIC COMPANY		(30,050	)		(538,196)
GENERAL MILLS INC		9,170			370,560
GENERAL MOTORS CO		(53,641	)		(1,087,303)
GENESEE + WYOMING INC CL A		9,300			563,394
GENOMMA LAB INTERNACIONAL B		337,304			650,421
GENTEX CORP		(17,160	)		(507,764)
GERRESHEIMER AG		4,205			175,466
GIVEN IMAGING LTD		127,693			2,225,689
GLOBAL LOGISTIC PROPERTIES L		239,670			324,403
GLOBAL PORTS INV GDR REG S		30,614			428,596
GNC HOLDINGS INC CL A		77,200			2,234,940
GOLDEN AGRI-RESOURCES LTD		(1,090,000	)		(601,211)
* GOLDMAN SACHS GROUP INC		679,502			61,447,366

33

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
GOME ELECTRICAL APPLIANCES		(838,000	)		(194,221)
GOODRICH CORP		21,226			2,625,656
GOOGLE INC		1,650			1,065,735
GOOGLE INC CL A		3,140			2,028,126
GOOGLE INC-CL A		3,792			2,449,253
GOOGLE INC-CL A		(27	)		(17,439)
GRAPHIC PACKAGING HOLDING CO		240,800			1,025,808
GREEN PLAINS RENEWABLE ENERG		60,850			593,896
GREENHILL + CO INC		4,300			156,391
GRUPO ELEKTRA SA		(548	)		(54,491)
GRUPO FINANCIERO BANORTE O		165,857			502,134
GRUPO FINANCIERO INBURSA O		524,354			964,892
GS HOLDINGS CORP		1,619			70,637
GT ADVANCED TECHNOLOGIES INC		7,500			54,300
GUARANTY TRUST BANK		774,080			67,965
GUARANTY TRUST BANK GDR REGS		148,530			675,812
H&R BLOCK INC		16,200			264,546
H3 CVR		68,400			—
HALLIBURTON CO		69,228			2,389,058
HANG SENG BANK LTD		(44,740	)		(530,788)
HANWHA SOLARONE CO LTD		5,028			4,941
HARLEY-DAVIDSON INC		45,352			1,762,832
HARLEY-DAVIDSON INC		(725	)		(28,181)
HARTE-HANKS INC		(11,688	)		(106,244)
HARTFORD FINANCIAL SVCS GRP		5,727			93,064
HAWAIIAN ELECTRIC INDS		(2,054	)		(54,390)
HAWAIIAN ELECTRIC INDUSTRIES INC		(2,789	)		(73,853)
HCA HOLDINGS INC		18,541			408,458
HEARTWARE INTERNATIONAL INC		15,970			1,101,930
HEICO CORP		5,050			295,324
HENGAN INTL GROUP CO LTD		47,500			444,334
HENNES & MAURITZ AB-B SHS		(14,720	)		(472,984)
HERITAGE COMMERCE CORP		9,931			47,073
HERSHEY CO/THE		(10,266	)		(634,233)
HERTZ GLOBAL HOLDINGS INC		(37,569	)		(440,309)
HESS CORP		25,573			1,452,546
HESS CORP		(470	)		(26,696)
HIKMA PHARMACEUTICALS PLC		8,480			81,708
HILONG HOLDING LTD		194,000			33,472
HISOFT TECHNOLOGY INT ADR		53,199			491,027
HITTITE MICROWAVE CORP		8,600			424,668
HJ HEINZ CO		(8,471	)		(457,773)
HOME DEPOT INC		43,750			1,839,250
HOME INNS & HOTELS MANAG-ADR		27,370			706,146
HON HAI PRECISION INDUSTRY		171,000			467,836
HONDA MOTOR CO LTD		32,400			987,861
HORMEL FOODS CORP		(3,346	)		(98,004)
HOST HOTELS & RESORTS INC		(31,498	)		(465,225)
HOYA CORP		70,000			1,508,448
HSN INC.		5,018			181,953
HUABAO INTERNATIONAL HOLDING		(312,330	)		(159,637)
HUMAN GENOME SCIENCES INC		4,582			33,861
HUMANIS GROUP LTD		390,651			67,945

34

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
HURON CONSULTING GROUP INC		35,400			1,371,396
HYNIX SEMICONDUCTOR INC		35,550			671,505
ICF INTERNATIONAL INC		10,800			267,624
ICICI BANK LTD SPON ADR		31,800			840,474
IDACORP INC		16,700			708,247
ILLINOIS TOOL WORKS		6,975			325,802
IMMUNOGEN INC		23,300			269,814
IMPERIAL OIL LTD		37,000			1,645,760
IMPERVA INC		4,500			156,645
INCYTE CORP		33,700			505,837
IND & COMM BK OF CHINA — H		4,708,000			2,794,587
IND + COMM BK OF CHINA H		2,242,756			1,334,114
INDOCEMENT TUNGGAL PRAKARSA		938,698			1,765,073
INFOSYS LTD		13,795			716,246
INFOSYS LTD SP ADR		19,086			980,639
INGERSOLL-RAND PLC		(54,277	)		(1,653,820)
INTEL CORP		(11,120	)		(269,660)
INTERNATIONAL BANCSHARES CRP		(608	)		(11,148)
INTL BUSINESS MACHINES CORP		2,000			367,760
INTL BUSINESS MACHINES CORP.		(3,850	)		(707,938)
INTL CONTAINER TERM SVCS INC		574,401			694,180
INTL FLAVORS & FRAGRANCES		54,389			2,851,071
INTL RECTIFIER CORP		22,700			440,834
INTUITIVE SURGICAL INC.		(1,170	)		(541,722)
INVENSENSE INC		7,400			73,704
IPG PHOTONICS CORP		(15,494	)		(524,782)
IRONWOOD PHARMACEUTICALS INC		18,100			216,657
IRONWOOD PHARMACEUTICALS, INC.		14,700			175,959
ISHARES FTSE CHINA 25 INDEX FUND		1,708			59,558
ISHARES FTSE/ XINHUA CHINA A50 IDX		(57,500	)		(76,554)
ISHARES RUSSELL 2000		(957	)		(70,579)
ISHARES SILVER TRUST		3,556			95,799
ITAU UNIBANCO HLDNG PREF ADR		134,069			2,488,321
IVANHOE MINES LTD		101,279			1,794,664
J2 GLOBAL INC		(10,640	)		(299,410)
JAMES RIVER COAL CO		15,300			105,876
JETBLUE AIRWAYS CORP		61,700			320,840
JGC CORP		43,000			1,032,805
JOHNSON & JOHNSON		(697	)		(45,709)
JOHNSON & JOHNSON COR CHF		(28,426	)		(1,864,177)
JOHNSON + JOHNSON		6,275			411,515
JPMORGAN CHASE & CO		135,350			4,500,388
JPMORGAN CHASE + CO		9,207			306,133
JUNIPER NETWORKS INC		10,120			206,549
JUPITER TELECOMMUNICATIONS		1,168			1,184,056
JYSKE BANK-REG		156			3,830
KATANGA MINING LTD		391,215			449,893
KDDI CORP		87			559,213
KENEXA CORP		8,600			229,620
KEYENCE CORP		4,800			1,157,889
KEYNOTE SYSTEMS INC		29,840			612,914
KIMBERLY CLARK CORP		3,655			268,862
KINDER MORGAN HOLDCO LLC		(5,004	)		(160,979)

35

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
KIWOOM SECURITIES CO LTD		5,806			275,684
KKR & CO LP		240,300			3,083,049
KKR FINANCIAL HOLDINGS LLC		703,755			6,143,781
KNIGHT CAPITAL GROUP INC A		25,890			306,020
KNOLL INC		66,700			990,495
KODIAK OIL + GAS CORP		13,440			127,680
KONICA MINOLTA HOLDINGS INC		(4,000	)		(29,814)
KOREA ELECTRIC POWER CORP		113,403			2,515,145
KOSMOS ENERGY LTD		(3,942	)		(48,329)
KRONOS WORLDWIDE INC		10,645			192,036
KRONOS WORLDWIDE INC		(5,042	)		(90,958)
KTB INVESTMENT + SECURITIES		20,442			36,022
L OREAL		18,300			1,917,121
L&L ENERGY INC.		(5,427	)		(14,056)
LAFARGE MALAYAN CEMENT BHD		126,397			279,110
LAKELAND BANCORP INC		30,349			261,608
LAMAR ADVERTISING CO-CL A		9,762			268,455
LANCASTER COLONY CORP		(1,111	)		(77,037)
LAS VEGAS SANDS CORP		40,173			1,716,592
LEAP WIRELESS INTL INC		126,200			1,172,398
LEH CLAIM OZGR		1			55,035
LENNAR CORP-CL A		(4,334	)		(85,163)
LEXMARK INTERNATIONAL INC-A		(917	)		(30,325)
LI + FUNG LTD		1,478,000			2,732,738
LI NING CO LTD		540,295			429,921
LIBERTY GLOBAL INC-A		(2,948	)		(120,956)
LIBERTY GLOBAL INC-SERIES C		3,051			120,576
LIBERTY MEDIA CORP — LIBERTY CAP -A		59,968			4,680,502
LINCOLN NATIONAL CORP		163,100			3,167,402
LINDSAY CORP		3,400			186,626
LINEAR TECHNOLOGY CORP		5,785			173,724
LINN ENERGY LLC-UNITS		210,400			7,976,264
LOCKHEED MARTIN CORP		(3,329	)		(269,316)
LOGITECH INTERNATIONAL-ADR		(25,269	)		(196,593)
LOGITECH INTERNATIONAL-REG		(57,890	)		(452,642)
LOJAS RENNER S.A.		22,934			595,220
LONE PINE RESOURCES INC		24,085			168,836
LONGFOR PROPERTIES		409,467			462,368
LONGTOP FINANCIAL TECHNO — ADR		38,622			386
LONZA GROUP AG REG		18,840			1,118,191
LORAL SPACE & COMMUNICATIONS		24,800			1,609,024
LOTTE SHOPPING CO		1,049			306,472
LSR GROUP OJSC GDR REGS		86,609			292,046
LUMBER LIQUIDATORS HOLDINGS		35,900			633,994
LUPIN LTD		117,833			996,272
LVMH MOET HENNESSY LOUIS VUI		7,300			1,036,729
LYONDELLBASELL INDU-CL A		44,627			1,449,931
M&T BANK CORP.		(13,920	)		(1,062,653)
M3 INC		240			1,082,402
MACYS INC		(4,017	)		(129,267)
MAGNESITA REFRATARIOS SA		44,697			138,267
MAGNIT		13,678			1,162,630
MANNING + NAPIER INC		10,800			134,892

36

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
MANTECH INTERNATIONAL CORP-A		(710	)		(22,180)
MARFRIG ALIMENTOS SA		37,015			169,472
MARKET VECTORS GOLD MINERS		(3,689	)		(189,725)
MARSH + MCLENNAN COS		9,400			297,228
MARTIN MARIETTA MATERIALS INC.		(6,790	)		(512,034)
MARVELL TECHNOLOGY GROUP LTD		148,281			2,053,692
MATTEL INC		10,460			290,370
MAZDA MOTOR CORP		(24,000	)		(42,384)
MB FINANCIAL INC		35,000			598,500
MBIA INC		43,800			507,642
MCDONALD S CORP		30,367			3,046,721
MCGRAW-HILL COMPANIES INC		177,257			7,971,247
MCKESSON CORP		18,475			1,439,387
MCMORAN EXPLORATION CO		69,700			1,014,135
MEAD JOHNSON NUTRITION CO		56,465			3,880,839
MEDCO HEALTH SOLUTIONS INC		65,202			3,644,792
MEDIATEK INC		63,644			583,282
MEDICINES COMPANY		15,400			287,056
MEDLEY CAPITAL CORP		5,999			62,390
MEDTRONIC INC		16,900			646,425
MEGACABLE HOLDINGS CPO		149,274			305,921
MEGASTUDY CO LTD		2,745			262,109
MELCO CROWN ENTERTAINME-ADR		36,454			350,687
MERCK + CO. INC.		15,740			593,398
MERCK CVR		68,400			—
MEREDITH CORP		(17,979	)		(587,014)
MERITOR INC		112,500			598,500
METLIFE INC		133,200			4,153,176
METLIFE INC		(32,000	)		(997,760)
MGE ENERGY INC		7,500			350,775
MGM CHINA HOLDINGS LTD		491,870			643,416
MGM RESORTS INTERNATIONAL		(2,034	)		(21,215)
MICROCHIP TECHNOLOGY INC		(4,416	)		(161,758)
MICROSEMI CORP		69,900			1,170,825
MICROSOFT CORP		83,995			2,180,510
MICROSOFT CORP		(2,155	)		(55,944)
MICROSTRATEGY INC CL A		7,200			779,904
MIDWESTONE FINANCIAL GROUP I		9,700			141,814
MISUMI GROUP INC		49,100			1,128,266
MOL HUNGARIAN OIL AND GAS PL		20,531			1,469,089
MOMENTA PHARMACEUTICALS INC		24,500			426,055
MONGOLIAN MINING CORP		255,613			193,192
MONSANTO CO		42,124			2,951,629
MOOG INC CLASS A		13,125			576,581
MOTOROLA MOBILITY HOLDINGS INC		(17,957	)		(696,732)
MOUNT GIBSON IRON LTD		7,658			8,775
MPG OFFICE TRUST INC		18,619			37,052
MSTAR SEMICONDUCTOR INC		17,000			88,644
MTN GROUP LTD		108,500			1,931,616
MTN GROUP LTD		(44,240	)		(785,985)
MURATA MANUFACTURING CO LTD		(200	)		(10,271)
MYLAN LABS INC		(50,080	)		(1,074,717)
NATIONAL ENERGY		27,154			—

37

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
NATIONAL FINANCIAL PARTNERS		37,600			508,352
NESTLE SA SPONS ADR FOR REG		57,400			3,312,554
NETAPP INC		51,060			1,851,946
NETEASE.COM INC-ADR		(2,562	)		(114,906)
NETLOGIC MICROSYSTEMS INC		(11,609	)		(575,458)
NETSPEND HOLDINGS INC		19,880			161,227
NEW GOLD INC		8,500			85,680
NEW JERSEY RESOURCES CORP		6,460			317,832
NEW WORLD DEPT STORE CHINA		383,840			218,445
NEW YORK COMMUNITY BANCORP		(86,520	)		(1,070,252)
NEWMONT MINING CORP		(2,169	)		(130,162)
NEWS CORP-CL A		84,348			1,504,768
NEXON CO LTD		9,200			132,248
NHN CORP		3,923			718,536
NIDEC CORP		(1,770	)		(153,463)
NIELSEN HOLDINGS NV		124,728			3,703,174
NIGERIAN BREWERIES PLC		863,459			502,275
NIKE INC CL B		24,872			2,396,915
NOBLE GROUP LTD		(377,371	)		(328,959)
NOKIAN RENKAAT OYJ		26,970			871,076
NOMOS BANK GDR REG S		28,238			268,261
NOMURA HOLDINGS INC		62,400			188,796
NORDSTROM INC		(2,092	)		(103,993)
NORMA GROUP		13,119			271,658
NORMA GROUP		(57	)		(1,180)
NORTHROP GRUMMAN CORP		(5,665	)		(331,289)
NORTHWEST NATURAL GAS CO		12,000			575,160
NOVARTIS AG ADR		20,244			1,157,349
NOVATEK OAO SPONS GDR REG S		13,456			1,684,691
NOVO NORDISK A/S-B		(5,235	)		(602,564)
NOVO NORDISK A/S-SPONS ADR		(1,450	)		(167,127)
NOVOROSSIYSK GDR REG S		66,811			500,414
NPS PHARMACEUTICALS INC		27,700			182,543
NRG ENERGY INC		42,300			766,476
NTT DOCOMO INC		139			255,402
NUVASIVE INC		38,781			488,253
NYSE EURONEXT		104,500			2,727,450
OCCIDENTAL PETROLEUM CORP		36,411			3,411,711
OCWEN FINANCIAL CORP		80,600			1,167,088
OFFICE DEPOT INC		39,100			84,065
OGX PETROLEO E GAS PARTICIPA		300,072			2,191,117
OLIN CORP		28,100			552,165
OLYMPUS CORP		73,000			959,304
OMEGA PROTEIN CORP		23,000			163,990
OMNICOM GROUP		(16,494	)		(735,303)
OMNOVA SOLUTIONS INC		99,100			456,851
ONYX PHARMACEUTICALS INC		11,400			501,030
OPENTABLE INC		(4,980	)		(194,867)
OPNET TECHNOLOGIES INC		4,420			162,081
OPTIMER PHARMACEUTICALS INC		16,900			206,856
OPTO CIRCUITS INDIA LTD		71,303			267,193
ORACLE CORPORATION		20,351			522,003
ORASCOM CONSTRUCTION GDR		12,297			416,868

38

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
ORASCOM CONSTRUCTION INDS		32,894			1,118,148
ORCHARD SUPPLY HARDWARE-CLA		(614	)		(15,350)
ORIENT PAPER INC		(4,735	)		(15,389)
ORIX CORP		(9,780	)		(807,698)
OSAKA SECURITIES EXCHANGE CO		165			947,020
OWENS CORNING		28,800			827,136
PACER INTERNATIONAL INC		24,030			128,561
PACIFIC BIOSCIENCES, INC		6,420			17,976
PACWEST BANCORP		17,200			325,940
PAR PHARMACEUTICAL COS INC		4,820			157,759
PAREXEL INTERNATIONAL CORP		41,400			858,636
PARKER HANNIFIN CORP		5,420			413,275
PARKSON RETAIL GROUP LTD		728,348			891,843
PEGASYSTEMS INC		8,900			261,660
PENN VIRGINIA CORP		45,600			241,224
PENNEY J C INC		14,660			515,299
PEOPLES UNITED FINANCIAL		(11,854	)		(152,324)
PEPSICO INC		8,895			590,183
PETROCHINA CO LTD-H		374,000			465,670
PETROLEO BRASILEIRO SPON ADR		57,500			1,350,675
PETROLEUM DEVELOPMENT CORP		67,290			2,362,552
PFIZER INC		95,910			2,075,492
PHH CORP		(19,706	)		(210,854)
PICK N PAY STORES LTD		96,642			557,822
PILGRIM S PRIDE CORP		18,900			108,864
PING AN INSURANCE GROUP CO-H		28,500			187,886
PIONEER NATURAL RESOURCES CO		779			69,705
PLATINUM UNDERWRITERS HLDGS		39,681			1,353,519
PNC FINANCIAL SERVICES GROUP		9,525			549,307
POLYUS GOLD INTL SPN GDR		39,564			118,692
PORTLAND GENERAL ELECTRIC CO		22,700			574,083
POSTMEDIA NETWORK CANADA CORP EXP		2,919			20,370
POWELL INDUSTRIES INC		7,500			234,600
POWER ONE INC		14,000			54,740
PPG INDUSTRIES INC		2,065			172,407
PPR		1,092			156,378
PRAXAIR INC		8,959			957,717
PRECISION CASTPARTS CORP		14,325			2,360,617
PRICELINE.COM INC		6,863			3,209,894
PRICELINE.COM INC		(3,956	)		(1,850,261)
PRIMERICA INC		32,200			748,328
PROCTER + GAMBLE CO/THE		8,150			543,687
PROGRESSIVE CORP.		64,567			1,259,702
PROSHARES ULTRASHORT EURO		(1,200	)		(24,420)
PROSPERITY BANCSHARES INC		(893	)		(36,033)
PROTECTIVE LIFE CORP		25,100			566,256
PRUDENTIAL FINANCIAL INC		7,930			397,452
PUBLICIS GROUPE		(5,978	)		(275,002)
PULTE GROUP INC		10,850			68,464
PVH CORP		17,500			1,233,575
PYI CORP LTD		4,360,786			106,684
QEP RESOURCES INC		(3,784	)		(110,871)
QIAGEN N.V.		67,900			938,738

39

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
QLIK TECHNOLOGIES INC		17,506			423,645
QLOGIC CORP.		(38,960	)		(584,400)
QUALCOMM INC		196,459			10,746,307
QUALCOMM INC		(350	)		(19,145)
QUALITY DISTRIBUTION INC		22,300			250,875
QUANTUM CORP		170,299			408,718
QUEST DIAGNOSTICS INC		5,310			308,299
RAMAYANA LESTARI SENTOSA PT		2,426,197			192,651
RASPADSKAYA		177,644			562,687
REED ELSEVIER NV		238,568			2,784,405
REGAL ENTERTAINMENT GROUP-A		196,500			2,346,210
RENREN INC-ADR		(64,436	)		(228,748)
REPUBLIC SERVICES INC		(10,487	)		(288,917)
RESEARCH IN MOTION		227,900			3,304,550
RESOLUTE ENERGY CORP		28,290			305,532
RF MICRO DEVICES INC		64,400			347,760
RHB CAPITAL BHD		277,997			655,968
RICHTEK TECHNOLOGY CORP		44,690			185,231
RIGEL PHARMACEUTICALS INC		48,800			385,032
ROBBINS + MYERS INC		10,500			509,775
ROCHE HOLDING AG GENUSSCHEIN		13,460			2,291,554
ROCKWOOD HOLDINGS INC		36,802			1,448,895
ROCKWOOD HOLDINGS INC (COR EUR)		20,123			792,243
ROGERS COMMUNICATIONS -CL B		(16,038	)		(618,726)
ROGERS COMMUNICATIONS INC-B		(8,130	)		(312,447)
ROGERS CORP		23,000			847,780
ROMARCO MINERALS INC		259,300			261,893
ROSETTA RESOURCES INC		56,630			2,463,405
ROYAL BAFOKENG PLATINUM LTD		13,031			88,774
ROYAL BANK OF CANADA		(23,673	)		(1,204,859)
RREEF CHINA COMMERCIAL TRUST		798,800			37,644
RUBY TUESDAY INC		10,392			71,705
RUE21 INC		35,900			775,440
SABMILLER PLC		112,197			3,937,612
SAFEWAY INC		(49,970	)		(1,051,369)
SAFRAN SA		58,720			1,766,063
SALIX PHARMACEUTICALS LTD		13,500			645,975
SAMSUNG ELECTRONICS 144A GDR		7,957			2,286,842
SAMSUNG ELECTRONICS CO LTD		5,176			4,753,653
SAMSUNG FIRE + MARINE INS		6,820			1,249,149
SANDERSON FARMS INC		2,450			122,819
SANDS CHINA LTD		191,600			541,515
SANOFI		22,866			1,679,413
SANOFI-ADR		13,765			502,973
SAP AG SPONSORED ADR		34,130			1,807,184
SAPIENT CORPORATION		127,558			1,607,231
SARA LEE CORP		146,740			2,776,321
SARA LEE CORP		(5,466	)		(103,417)
SARA LEE CORP (COR EUR)		33,388			631,701
SASOL LTD		25,300			1,208,060
SAUER DANFOSS INC		26,700			966,807
SBERBANK		869,815			1,957,084
SCBT FINANCIAL CORP		14,200			411,942

40

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
SCHLUMBERGER LTD		36,650			2,503,562
SCHNEIDER ELECTRIC SA		33,800			1,784,935
SCHOLASTIC CORP		(2,732	)		(81,878)
SCOTTS MIRACLE-GRO CO — CL A		(2,780	)		(129,798)
SCRIPPS NETWORKS INTER-CL A		(5,578	)		(236,619)
SEARS HOLDING CORP		(18,802	)		(597,528)
SEATTLE GENETICS INC		31,500			526,523
SEMEN GRESIK (PERSERO) PT		634,276			800,933
SEMGROUP CORP-CLASS A		10,123			263,805
SENSATA TECHNOLOGIES HOLDING		37,403			982,951
SENSATA TECHNOLOGIES HOLDING (COR EUR)		26,748			702,937
SES		46,100			1,107,897
SHERWIN-WILLIAMS		2,789			248,974
SHINHAN FINANCIAL GROUP LTD		48,435			1,671,260
SHORETEL INC		109,340			697,589
SHRIRAM TRANSPORT FINANCE		105,272			835,059
SIAM COMMERCIAL BANK FOREIGN		306,217			1,130,722
SIGNATURE BANK		11,120			667,089
SIGNATURE BANK		(1,534	)		(92,025)
SIGNET JEWELERS LTD		11,945			525,102
SIGNET JEWELERS LTD-ADR		3,195			140,452
SILGAN HOLDINGS INC		16,900			653,016
SILICON GRAPHICS INTERNATION		22,261			255,111
SILICONWARE PRECISION-SP ADR		5,981			26,077
SINGAPORE PRESS HOLDINGS LTD		(145,570	)		(414,278)
SIRIUS XM RADIO INC		(278,919	)		(507,633)
SIRONA DENTAL SYSTEMS INC		13,491			594,144
SIX FLAGS ENTERTAINMENT CORP		4,579			188,838
SKS MICROFINANCE LTD		17,515			30,723
SKYPEOPLE FRUIT JUICE INC.		(6,036	)		(11,227)
SLM CORP		900,800			12,070,720
SLM CORP.		95,148			1,274,983
SMITH (A.O.) CORP		8,700			349,044
SOLAR CAPITAL LTD		18,640			411,758
SONOVA HOLDING AG REG		15,200			1,597,048
SONY CORP		(5,100	)		(91,523)
SOTHEBY S		61,071			1,742,356
SOTHEBYS		(397	)		(11,326)
SOURCEFIRE INC		8,200			265,516
SOUTH JERSEY INDUSTRIES		10,200			579,462
SOUTHERN CROSS MEDIA GROUP LTD		167,790			184,541
SOUTHWEST GAS CORP		15,300			650,097
SPDR GOLD TRUST		53,500			8,131,465
SPREADTRUM COMMUNICATION-ADR		(7,810	)		(163,073)
SPROTT PHYSICAL SILVER TRUST		(7,381	)		(99,127)
STANDARD BANK GROUP LTD		52,742			645,115
STANDARD CHARTERED PLC		118,500			2,594,827
STARBUCKS CORP		90,303			4,154,841
STEREOTAXIS INC		161,220			132,781
STERICYCLE INC		(13,498	)		(1,051,764)
STERLING FINL CORP/SPOKANE		8,400			140,280
STEVEN MADDEN LTD		21,805			752,273
STEWART INFORMATION SERVICES		58,700			677,985

41

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
STX OSV HOLDINGS LTD		3,442,000			3,080,089
SUFFOLK BANCORP		8,200			88,478
SUN PHARMACEUTICAL INDUS		195,987			1,831,254
SUNOCO INC		206,264			8,460,949
SUNPOWER CORP		5,310			33,081
SUPERVALU INC		(96,093	)		(780,275)
SUSQUEHANNA BANCSHARES INC		102,600			859,788
SVB FINANCIAL GROUP		(7,618	)		(363,302)
SWATCH GROUP AG/THE BR		3,300			1,240,456
SWIFT TRANSPORTATION CO		16,400			135,136
SYDBANK A/S		204			3,200
SYMANTEC CORP		5,360			83,884
SYNAPTICS INC		(8,710	)		(262,607)
SYSCO CORP		13,580			398,301
TAIWAN SEMICONDUCTOR		104,000			260,163
TAIWAN SEMICONDUCTOR MANUFAC		2,797,596			7,003,460
TAIWAN SEMICONDUCTOR SP ADR		86,700			1,119,297
TALEO CORP CLASS A		13,200			510,708
TALLINK GROUP LTD		463,066			343,846
TARGACEPT INC		13,300			74,081
TATA CONSULTANCY SVS LTD		5,552			120,956
TATA MOTORS LTD-SPON ADR		(1,232	)		(20,821)
TEAM HEALTH HOLDINGS INC		20,163			444,997
TECHNICOLOR		38,888			58,482
TECHNIP		(90	)		(8,459)
TECK RESOURCES LTD-CLS B		(9,087	)		(319,772)
TEEKAY CORP		79,300			2,119,689
TEKELEC		44,900			490,757
TELEDYNE TECHNOLOGIES INC		9,600			526,560
TELEKOMUNIKASI INDONESIA TBK		2,395,634			1,862,610
TELENET GROUP HOLDING NV		108,900			4,161,732
TENCENT HOLDINGS LTD		22,340			448,969
TENNECO INC		20,200			601,556
TERADATA CORP		15,360			745,114
TERNIUM SA SPONSORED ADR		19,663			361,603
TESCO PLC		239,910			1,504,240
TESLA MOTORS INC		18,921			540,384
TESLA MOTORS INC		(7,263	)		(207,431)
TETHYS OIL AB		18,113			115,689
TEVA PHARMACEUTICAL-SP ADR		(162	)		(6,538)
TEXAS INSTRUMENTS INC		(1,704	)		(49,603)
TEXAS ROADHOUSE INC		48,500			722,650
TEXTRON INC		(43,827	)		(810,361)
THAI BEVERAGE PCL		3,981,809			752,357
THALES SA		(6,080	)		(192,279)
THL CREDIT INC		18,300			223,443
THOMSON REUTERS CORP		(15,095	)		(404,007)
THORATEC CORP		(14,700	)		(493,332)
TIBET 5100 WATER RESOURCES		39,000			10,495
TIME WARNER CABLE		58,381			3,711,280
TIME WARNER CABLE		(697	)		(44,308)
TIME WARNER INC		75,044			2,712,090
TIME WARNER INC		(40,698	)		(1,470,826)

42

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
TOKYO ELECTRIC POWER CO INC		(9,400	)		(22,337)
TOKYO ELECTRON LTD		(1,500	)		(76,256)
TOLL BROTHERS INC		3,319			67,774
TORNIER NV		29,500			531,000
TOTVS SA		29,467			525,438
TRACTEBEL ENERGIA SA		23,454			376,723
TRANSDIGM GROUP INC		9,435			902,741
TRANSOCEAN LTD		160,800			6,173,102
TRAVELERS COS INC/THE		8,130			481,052
TREX COMPANY INC		6,000			137,460
TRICO BANCSHARES		3,000			42,660
TRINA SOLAR-ADR		45,250			302,270
TRIPADVISOR INC.		(9,100	)		(229,411)
TRIUMPH GROUP INC		8,816			515,295
TRONOX INC/NEW		5,153			618,360
TRONOX RESTRICTED SHARES		4,344			514,853
TUI AG		(149,531	)		(928,330)
TULLOW OIL PLC		166,878			3,636,020
TURKIYE GARANTI BANKASI		185,888			580,715
TURKIYE GARANTI BANKASI ADR		484,200			1,505,862
TYCO INTERNATIONAL LTD		112,228			5,242,170
TYSON FOODS CL A		(50,719	)		(1,046,840)
ULTRAPAR PARTICIPACOES SA		73,908			1,268,353
UMPQUA HOLDINGS CORP		46,100			571,179
UNICHARM CORP		46,100			2,273,843
UNICREDIT SPA		(9,494	)		(78,883)
UNILEVER PLC		33,800			1,136,194
UNION PACIFIC CORP		41,004			4,343,964
UNISOURCE ENERGY CORP CO		10,100			372,892
UNITED BANK FOR AFRICA PLC		9,199,261			146,803
UNITED BANKSHARES INC		(1,719	)		(48,596)
UNITED CONTINENTAL HOLDINGS		146,085			2,756,624
UNITED CONTINENTAL HOLDINGS		(23,135	)		(436,557)
UNITED RENTALS INC		28,200			833,310
UNITED TECH CORP		7,614			556,507
UNITED TECHNOLOGIES CORP		9,135			667,677
UNITED TECHNOLOGIES CORP (COR EUR)		1,897			138,652
UNITEDHEALTH GROUP INC		87,299			4,424,313
UNIVERSAL DISPLAY CORP		2,900			106,401
UNIVERSAL STAINLESS + ALLOY		11,400			425,904
URBAN OUTFITTERS INC		55,011			1,516,103
US AIRWAYS GROUP INC		51,550			261,359
US BANCORP		72,992			1,974,434
USG CORP		5,700			57,912
VALASSIS COMMUNICATIONS INC		107,200			2,061,456
VALASSIS COMMUNICATIONS INC		(21,651	)		(416,349)
VALE SA-SP ADR		(54,219	)		(1,162,998)
VALE SA-SP PREF ADR		(93,399	)		(1,924,019)
VALUECLICK INC.		(15,210	)		(247,771)
VANGUARD HEALTH SYSTEMS INC		61,570			629,245
VANTAGE DRILLING CO		301,175			349,363
VARIAN MEDICAL SYSTEMS INC		(8,607	)		(577,788)
VEECO INSTRUMENTS INC		(17,036	)		(354,349)

43

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
VERA BRADLEY INC		7,200			232,200
VERIZON COMMUNICATIONS INC		(11,557	)		(463,667)
VIENNA INSURANCE GROUP AG		13,703			544,685
VISA INC CLASS A SHARES		33,892			3,441,055
VISIONCHINA MEDIA INC-ADR		16,084			19,944
VITRAN CORP INC		53,652			309,036
VODAFONE GROUP PLC		1,521,400			4,221,760
VODAFONE GROUP PLC-SP ADR		28,100			787,643
VOLCANO CORP		5,730			136,317
VORNADO REALTY		851			65,408
WABASH NATIONAL CORP		30,200			236,768
WALMART DE MEXICO SPON ADR V		68,800			1,884,432
WALT DISNEY CO/THE		4,530			169,875
WANT WANT CHINA HOLDINGS LTD		904,455			903,686
WANT WANT CHINA HOLDINGS LTD		(31,000	)		(30,935)
WARNACO GROUP INC/THE		23,400			1,170,936
WASTE MANAGEMENT INC		(18,941	)		(619,560)
WATSCO INC		6,700			439,922
WATTS WATER TECHNOLOGIES A		13,300			454,993
WELLCARE HEALTH PLANS INC		34,900			1,832,250
WELLPOINT INC		51,481			3,410,616
WELLS FARGO & COMPANY		30,430			838,651
WELLS FARGO + CO		56,808			1,565,628
WELSPUN CORP LTD		53,207			84,211
WERNER ENTERPRISES INC		4,600			110,860
WESCO AIRCRAFT HOLDINGS INC		(625	)		(8,744)
WESCO INTERNATIONAL INC		7,300			386,973
WEST CHINA CEMENT LTD		1,396,938			233,824
WEST COAST BANCORP/OREGON		19,475			303,810
WEST COAST BANCORP/OREGON		(672	)		(10,483)
WESTERN ALLIANCE BANCORP		59,700			371,931
WESTPORT INNOVATIONS INC		4,400			146,256
WET SEAL INC/THE-CLASS A		15,422			50,276
WHIRLPOOL CORP		(11,372	)		(539,601)
WHOLE FOODS MARKET INC		(15,380	)		(1,070,140)
WILLIAMS COS INC		140,500			4,639,310
WINTRUST FINANCIAL CORP		16,300			457,215
WINTRUST FINANCIAL CORP		(14,824	)		(415,813)
WISDOMTREE INVESTMENTS INC		28,600			173,030
WORTHINGTON INDUSTRIES		31,500			515,970
WPP PLC		182,400			1,914,826
WRIGHT EXPRESS CORP		23,549			1,278,240
WSFS FINANCIAL CORP		8,300			298,468
WUXI PHARMATECH INC ADR		78,580			867,523
WYNN MACAU LTD		20,400			51,221
WYNN RESORTS LTD		32,489			3,589,710
WYNN RESORTS LTD		(2,350	)		(259,652)
X 5 RETAIL GROUP NV REGS GDR		39,324			898,160
XENOPORT INC		43,930			167,373
XINYI GLASS HOLDINGS LTD		1,463,000			838,250
XL GROUP PLC		231,000			4,566,870
XYLEM INC		(27,166	)		(697,895)
YAHOO JAPAN CORP		3,491			1,123,775

44

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
YAHOO! INC		131,595			2,122,627
YAHOO! INC		(24,421	)		(393,911)
YAPI VE KREDI BANKASI		405,030			576,899
YINGLI GREEN ENERGY HOLD-ADR		105,007			399,027
YOUKU INC.		66,270			1,038,451
ZHAOJIN MINING INDUSTRY — H		(2,000	)		(3,178)
ZIJIN MINING GROUP CO LTD-H		523,000			196,637
ZIJIN MINING GROUP CO LTD-H		(618,250	)		(232,422)
ZIONS BANCORPORATION		(9,065	)		(147,578)
ZIPCAR INC		7,036			94,423
Total Common Stock		114,743,764		$	756,433,741
Cash and Short Term Investments
ALCON INC WITHHOLDING RECEIVABLE		275,550			971,682
AUSTRALIAN DOLLAR		19,273			19,759
AUSTRALIAN DOLLARS		29			29
AUSTRALIAN DOLLARS		(20,438	)		(20,866)
AUSTRALIAN ENERGY TRANS & DISTRIBUTION OPTION		2,188,425			0
BANCO DO BRASIL SA		500,000			492,117
BARCLAYS CASH COLLATERAL		4,000			4,000
BEAR STEARNS COMPANIES INC ESC		26,594			—
BNP PARIBAS		(250,000	)		(250,000)
BRAZILIAN REAL		1,319			707
BRITISH POUND		(168	)		(261)
CANADIAN DOLLAR		2,944			2,892
CAPMARK CASH EXPECTED		41,300			41,300
CREDIT SUISSE FIRST BOSTON		100,000			100,000
CSFB CASH COLL CCP		3,000			3,000
DEL MONTE FOODS CO ESC		73,924			0
EGYPTIAN POUND		664			110
EURO CURRENCY		129,886			168,611
EUROPEAN MONETARY UNIT		(16,618	)		(21,539)
GREENWHICH FUTURES CASH		40,000			40,000
HONG KONG DOLLAR		92,052			11,852
HONG KONG DOLLAR 102		(589,164	)		(75,852)
INDIAN RUPEE		606,631			11,423
INDONESIAN RUPIAH		2			—
J CREW GROUP INC ESCROW		20,830			—
JAPANANESE YEN — 102		(227,600	)		(2,959)
JAPANESE YEN		3,138,555			40,792
MALAYSIAN RINGGIT		6			2
MEXICAN PESO (NEW)		365,475			26,189
MORGAN STANLEY BOC SWAP		(45,000	)		(45,000)
Morgan Stanley Prime Institutional Class		34,225,268			34,225,268
MORGAN STANLEY SWAP BOC		(60,000	)		(60,000)
NEW TAIWAN DOLLAR		216			7
NEW ZEALAND DOLLAR		30,559			23,839
NORWEGIAN KRONE		323			54
POUND STERLING		383			595
SAPPHIRE INDUSTRIALS C-UNITS ESCROW		43,813			—
SOUTH AFRICAN RAND		382			47
SOUTH KOREAN WON		12,688			11
SWAP BARCLAYS BOC		(870,000	)		(870,000)
SWAP CITIBANK COC		420,000			420,000
SWAP HSBC BOC		(50,000	)		(50,000)

45

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
SWAP JPM CHASE COC		300,000			300,000
SWAP UBS BOC		(150,000	)		(150,000)
SWEDISH KRONA		274,620			39,874
SWISS FRANC		13,200			14,120
SWISS FRANC		(3,614	)		(3,852)
THAILAND BAHT		134			4
TRIAN ACQUISITION I — UNITS ESCROW		70,967			0
US DOLLAR		300,412			300,412
US DOLLAR		(6,955	)		(6,955)
US DOLLARS		34,273,886			34,273,888
VODAFONE GROUP PLC		500,000			495,563
Total Cash and Short Term Investments		75,807,753		$	70,470,863
Fixed Income Securities
ABBEY NATL TREASURY SERV		700,000			908,796
ABBOT GROUP LTD TL 2 USD		5,508			4,020
ABBOT GROUP LTD TL B 2 USD		11,015			8,041
ABBOT GROUP LTD TL C 3 USD		5,508			4,020
ABN AMRO BANK NV		300,000			396,109
ADELPH COM 10.25 11/1/06 NA ESC		23,947			72
ADELPHIA COMM 7.5% 01/04 NA ESCROW		8,100			24
ADEN VX 6.5 11/26/2012		7,250,000			6,240,504
ADLAC 3.25 05/01/21 NA ESCROW		2,031,000			—
AEON CO LTD 0 11/22/2012		28,000,000			429,944
AERO INVENTORY RCF USD		2,296,809			206,713
AGILE PROPERTY HLDGS LTD 4 04/28/2016		1,200,000			948,000
AHM 2007-1 GIOP FLT 05/25/2047		20,614,537			2,052,177
ALAMEDA CNTY CA JT PWRS AUTH L		300,000			371,250
ALCATEL-LUCENT 8.5 01/15/2016		(60,000	)		(64,839)
ALCOA INC 5.25 03/15/2014		452,000			689,286
ALERIS INTERNATIONAL INC 10 12/15/2016 (DEFAULTED)		90,000			9
ALGOSAIBI TL SYNDICATE		25,100			3,263
ALLIANCE MEDICAL TLB2 NEW EUR		44,734			41,279
ALLIANCE OIL CO LTD 9.875 03/11/2015		(100,000	)		(100,500)
ALLIANCE OIL LIMITED 7.25 07/16/2014		200,000			209,303
ALLIED IRISH BANKS PLC 4.5 10/01/2012		926,000			1,087,575
ALLIED IRISH BANKS PLC FLT 04/11/2012		450,000			550,359
ALLY FINANCIAL INC		500,000			506,250
AMD 5.75 08/15/2012		500,000			504,375
AMERICAN ACHIVE 10 7/8% 4/2016 (144A)		418,000			330,220
AMERICAN AIRLINES INC 7.5 03/15/2016 144A DFT		19,000			13,538
AMERICAN HOME MORTGAGE ASSETS		253,624			102,200
AMERICAN MUNI PWR OHIO INC OH		300,000			409,778
AMERIGROUP CORP 2 05/15/2012		423,000			594,749
ANGLO AMERICAN PLC 4 05/07/2014		7,250,000			10,358,438
ANGLO IRISH BANK CORP FLT 01/25/2012		581,000			734,072
ANGLO IRISH BANK CORP FLT 04/26/2012		10,000,000			110,375
ANGLO IRISH BANK CORP FLT 06/26/2012		406,000			461,078
ANGLO IRISH BANK CORP FLT 06/28/2012		566,000			778,009
ARMT 2005-2 6M2 FLT 06/25/2035		26,000			10,400
ARMT 2005-9 1A4 FLT 11/25/2035		71,000			37,822
ARMT 2006-1 2A1 03/25/2036		66,784			34,185

46

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
ARRAN RESIDENTIAL MORTGAGES FU		513,079			664,242
ARSI 2006-W3 A2B FLT 04/25/2036		23,174			5,906
ARTEMI 4.25% 01/01/2015		(6,044	)		(405,578)
ASHWELL RATED SA FLT 06/20/2014		100,000			57,508
ATLAS PIPELINE 8.75 06/15/18 144A		1,134,000			1,185,030
AVIATION CAPITAL GROUP		400,000			386,932
AXA SA 5.777 PERP		317,000			291,286
AXA SA 6.211 10/29/2049		206,000			186,624
AXA SA 6.6666 PERP		132,000			147,407
BA COVERED BOND ISSUER		500,000			651,040
BAA FUNDING LTD		400,000			520,610
BAFC 2007-A 2A1 FLT 02/20/2047		59,553			38,620
BAFC 2007-E 8A5 0.5 09/20/2047		1,872,870			4,963
BAFC 2010-R10 1A1 0.5 10/26/2045		2,703,640			45,692
BALTA 2006-1 11A1 FLT 02/25/2036		50,687			25,490
BANC OF AMERICA MORTGAGE SECUR		467,913			352,359
BANCA CARIGE SPA 4 04/13/2013		(102,500	)		(125,359)
BANCA CARIGE SPA 4.75 03/05/2015		101,290			120,851
BANCO COMERC PORTUGUES 2.375 01/18/2012		(50,000	)		(64,710)
BANCO ESPIRITO SANTO SA 2.087 02/25/2013		(100,000	)		(110,007)
BANCO ESPIRITO SANTO SA FLT 03/19/2012		(100,000	)		(128,773)
BANCO POPOLARE SC 4 04/06/2013		(200,000	)		(245,251)
BANCO POPOLARE SC 4.125 10/22/2014		(650,000	)		(736,076)
BANCO POPOLARE SC 4.75 03/24/2014		1,383,495			1,652,291
BANK OF AMERICA CORP		680,000			647,184
BANK OF IRELAND MTGE BNK 4.971 05/30/2013		1,700,000			1,988,377
BANK OF SCOTLAND PLC		600,000			815,587
BATTERY PK CITY B-1 FLT 11/01/2039		175,000			145,250
BATTERY PK CITY B-2 FLT 11/01/2039		250,000			207,500
BATTERY PK CITY B-3 FLT 11/01/2039		225,000			186,750
BATTERY PK CITY C-4 FLT 11/01/2031		100,000			84,000
BATTERY PK CITY-C-5 FLT 11/01/2031		100,000			84,000
BCAP LLC TRUST		250,744			115,457
BEAR STEARNS ADJUSTABLE RATE M		1,129,795			1,056,174
BEAR STEARNS ALT A TRUST		477,493			235,208
BEAR STEARNS STRUCTURED PRODUC		154,786			90,301
BK OF SCOTLAND CAP FUND VAR PERPETUAL		79,000			73,517
BNCMT 2007-1 A5 FLT 03/25/2037		610,000			78,751
BNCMT 2007-2 M2 FLT 05/25/2037		77,402			1,587
BNP PARIBAS 7.436 PERP		50,000			50,020
BNP PARIBAS HOME LOAN		300,000			403,220
BOAMS 2007-1 2A12 6% 01/25/2037		51,008			21,791
BOND STREET HOLDINGS LLC-A		60,000			1,230,000
BOND STREET HOLDINGS LLC-B		40,000			800,000
BP CAPITAL MARKETS PLC		100,000			137,937
BRITISH AIRWAYS 5.8 08/13/2014		2,000,000			3,268,733
BROD 2006-2A A1AD FLT 02/01/2049 144A		12,128,206			788,333
BROD 2006-2A A1AT FLT 02/01/2049 144A		9,128,021			610,436
BSABS 2006-AC2 22A4 FLT 03/25/2036		141,910			22,855
BSABS 2006-HE7 2A2 FLT 08/25/2036		146,000			63,328
BSABS 2006-HE8 1A3 FLT 10/25/2036		150,000			20,250
BSABS 2006-HE8 21A3 FLT 10/25/2036		195,000			58,227
BUNDESOBLIGATION		700,000			967,680

47

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
BUNDESREPUB. DEUTSCHLAND		6,900,000			11,149,412
BURLINGTN NORTH SANTA FE		254,000			296,772
BWA 3.5 04/15/2012		1,889,000			3,676,364
CAISSE CENTRALE DESJARDN		500,000			513,417
CAJA MADRID 6.25 04/10/2012		(200,000	)		(258,840)
CALLAHAN NRH WESTF 14.125 07/15/11 (NON-ACC) ESC		9,000			—
CALLIDUS DEBT CLASS 4A INC 04/17/20		757,000			518,545
CALLIDUS DEBT CLASS 5A INC 11/20/20		614,000			552,600
CALLIDUS DEBT CLASS 7A SUB 1/21/21		1,212,000			816,080
CAMBR 7A B FLT 06/12/2042 144A		96,752			—
CAPMARK TL STUB		3,471,105			43,389
CAPS 2006-2A C FLT 09/20/2022		136,970			126,720
CAPS 2006-2A D FLT 09/20/2022		388,000			307,490
CAR 3.5 10/01/14		1,188,000			1,217,443
CARR 2006-RFC1 A4 FLT 05/25/2036		623,000			174,025
CAVALRY CLO 2006-1X SUB 3/15/2022		1,310,000			729,234
CEMEX SAB DE CV 3.25 03/15/2016 144A		161,000			104,013
CENT CDO LTD 2007-15A SUB		1,284,000			1,185,560
CFGI A NOTE (9/30/2014)		68,409			68,751
CFGI B NOTE (09/30/2015)		143,138			145,285
CFLX 2007-2 A1 FLT 05/25/2037		125,364			80,240
CFS RETAIL PROPERTY TRUST 5.075% 21AUG14 CVB		600,000			607,721
CIE FINANCEMENT FONCIER		1,100,000			1,073,858
CITIGROUP INC		481,000			508,988
CLEVELAND ELECTRIC ILLUM		363,000			399,315
CMLTI 2006-NC2 A2B FLT 09/25/2036		97,554			30,242
CMLTI 2007-AMC1 A2C FLT 12/25/2036		701,000			186,396
CMS 2.875% 12/1/2024		900,000			1,583,502
CMSI 2004-5 B2 08/25/2034		27,071			16,243
CMSI 2006-5 1A11 FLT 10/25/2036		36,596			30,513
CNP ASSURANCES 6 09/14/2040		150,000			120,361
CNP ASSURANCES FLT 09/30/2041		100,000			81,535
COMDISCO 6.125% 01/15/03		117,000			0
COMDISCO 6.13% 8/01/01		56,000			0
COMDISCO 7.25% 9/01/02		98,000			0
COMDISCO 9.5% 08/15/03		65,000			0
COMMERCIAL MORTGAGE PASS THROU		10,117,991			96,283
COMMERZBANK AG 6.375 03/22/2019		27,000			24,555
COMMERZBANK AG 7.75 03/16/2021		800,000			755,192
COMMONWEALTH BANK AUST		900,000			904,683
COMMUNITY HEALTH SYSTEMS 8.875 07/15/2015		(228,000	)		(237,120)
COMSTOCK FUNDING 2006-1A INC 5/30/20		1,600,000			1,264,000
CON WAY INC		1,500,000			1,690,179
COUNTRYWIDE ALTERNATIVE LOAN T		302,270			138,050
COUNTRYWIDE HOME LOANS		153,090			117,259
CQB 4.25 08/15/2016		211,000			181,100
CREDIT AG HOME LOAN SFH		400,000			384,288
CRNMZ 2006-2A A2B FLT 02/13/2047 144A		258,006			—
CS FIRST BOSTON MORTGAGE SECUR		18,559			16,057
CSFB 2005-7 2A3 FLT 08/25/2035		62,812			9,811
CSMC 2007-3 AX 6 04/25/2037		179,422			27,081
CSMC 2007-NC1 2A1 FLT 09/25/2037		198,873			141,200
CSMC 2007-TFLA A1 FLT 02/15/2022		122,064			117,118

48

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Current Value
CWALT 2005-36 2A1A FLT 08/25/2035		116,324		51,061
CWALT 2005-63 5A1 FLT 12/25/2035		21,945		13,112
CWALT 2006-39CB 1A2 FLT 01/25/2037		30,947		15,087
CWALT 2006-OA16 M1 FLT 10/25/2046		130,098		234
CWALT 2007-OH1 A1D FLT 04/25/2047		188,754		90,231
CWHL 2005-1 2A1 FLT 03/25/2035		11,170		6,130
CWHL 2005-7 3X 0 03/25/2035		1,732,576		46,866
CWHL 2006-TM1 A1 FLT 03/25/2046		2,970,601		1,573,131
CWHL 2007-HY7 2AX FLT 12/25/2037		2,593,508		7,852
CWHL 2007-HY7 3AX FLT 11/25/2037		769,037		7,267
CWL 2004-6 M5 FLT 08/25/2034		123,673		36,816
CWL 2005-AB1 M2 FLT 9 08/25/2035		154,804		18,623
CWL 2006-S9 A5 FLT 08/25/2036		40,314		23,898
CWL 2007-1 M2 FLT 07/25/2037		154,804		1,574
CWL 2007-S1 A5 FLT 11/25/2036		87,026		48,624
DAEWOO INTL 3.25% 06JUL14 CVB REGS		600,000		713,250
DBALT 2007-OA3 A1 FLT 07/25/2047		243,988		137,243
DEVELOPERS DIVERSIFIED REALTY 1.75 11/15/2040		350,000		342,319
DEXIA BANQUE SA 6.25 FLAT EUR DENOM		91,469		26,635
DEXIA CREDIT LOCAL		2,100,000		1,993,746
DEXIA CREDIT LOCAL SA NY		500,000		480,722
DNB BOLIGKREDITT AS		100,000		131,830
DRESDNER FNDG TRUST I 8.151 06/30/2031		452,000		293,800
DRYDEN CLO SUB 9/20/2019 2005-9A DFN		1,440,000		801,600
DSLA 2004-AR2 A2A FLT 11/19/2044		6,203		3,784
DUBAI HOLDING COMM OP 4.75 01/30/2014		379,000		402,211
DUBAI HOLDING COMM OP 6 02/01/2017		500,000		558,360
EBS MORTGAGE FINANCE 3.875 11/23/2012		515,000		609,026
EMLT 2004-2 M2 FLT 10/25/2034		19,736		10,666
ENERGY FUTURE INTERMEDIA 9.75 10/15/2019		89,000		89,223
ENERGY FUTURE/EFIH FINAN 10 12/01/2020		258,000		272,190
ESAIL 2006-1X B1A FLT 06/10/2044		100,000		66,975
ESAIL 2006-2X D1C FLT 12/15/2044		99,000		57,581
ESAIL 2007-3A A2B FLT 06/13/2045 144A		71,657		54,101
ESAIL 2007-3X A2A FLT 06/13/2045		417,000		407,459
ESAIL 2007-3X A2C FLT 06/13/2045		156,323		183,055
ESAIL 2007-3X D1A FLT 06/13/2045		323,000		64,794
ESAIL 2007-3X E1C FLT 06/13/2045		78,000		17,300
ESAIL 2007-4X A2A FLT 06/13/2045		1,847,572		1,787,368
ESAIL 2007-4X A3A FLT 06/13/2045		137,000		69,149
ESAIL 2007-4X A3C FLT 06/13/2045		243,000		146,988
ESAIL 2007-4X E1C FLT 06/13/2045		145,000		31,148
ESAIL 2007-5X A1A FLT 09/13/2045		589,530		438,708
ESAIL 2007-5X A1A FLT 09/13/2045 EUR COR		518,610		385,931
ESAIL 2007-6NCX A1A FLT 12/13/2029		97,080		114,334
ESAIL 2007-6NCX A2A FLT 09/13/2045		869,000		804,507
ESAIL 2007-PR1X A FLT 09/13/2045		686,491		506,421
ESAIL 2007-PR1X A FLT 09/13/2045 GBP COR		689,009		508,278
ESCROW COMDISCO MTN 0.00 I		44,000		—
ESCROW COMDISCO MTN 0.00 II		29,000		—
ETRADE 12.5% 11/30/17		3,869,502		4,382,211
EUMF 2008-1X A2 FLT 03/13/2046		309,968		368,065
EUMF 2008-1X A3 FLT 03/13/2046		1,498,000		988,743

49

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
EUMF 2008-1X A3 FLT 03/13/2046 GBP COR		1,234,000			814,492
EURAZEO DANONCE CB 6.25% 10JUN2014		(1,475	)		(107,092)
EUROPEAN MEDIA 10% 2015		335,417			241,500
EUROPEAN UNION		2,600,000			3,472,995
EVERGREEN SOLAR INC 13 04/15/2015 (NON-ACC)		25,683			8,989
EVERGREEN SOLAR INC 4 07/15/2013 (DEFAULT)		20,000			50
EXPORT IMPORT BK KOREA		145,000			194,123
FADE		200,000			259,418
FANNIE MAE		363,000			378,888
FHLT 2006-1 2A4 FLT 04/25/2036		304,000			83,584
FHLT 2006-A 2A4 FLT 05/25/2036		561,000			139,268
FHR 3346 SC FLT 10/15/2033		3,967,939			568,209
FHR 3415 SD FLT 11/15/2036		249,525			28,494
FINDUS GROUP REVOLVER GBP		67,278			(16,696)
FIRST CLO LTD		83,680			81,369
FIRST DATA CORPORATION 12.625 01/15/2021 144A		150,000			131,250
FLTST 2 A FLT 07/26/2017		228,456			245,035
FMS WERTMANAGEMENT		2,400,000			3,269,460
FNMA TBA 30YR SINGLE FAMILY JA		17,000,000			17,483,438
FNR 2004-29 PS FLT 05/25/2034		261,895			40,921
FNR 2004-92 S FLT 08/25/2034		136,833			17,520
FNR 2005-79 NS FLT 09/25/2035		251,842			31,077
FNR 2005-92 SC FLT 10/25/2035		443,025			57,593
FNR 2006-42 CI FLT 06/25/2036		1,012,456			127,823
FNR 2006-43 SJ FLT 06/25/2036		150,225			18,778
FNR 2006-62 SB FLT 04/25/2036		160,829			26,537
FNR 2007-53 SG FLT 06/25/2037		195,415			24,976
FNR 2009-101 NS FLT 12/25/2039		916,523			99,800
FNR 2009-106 SA FLT 01/25/2040		304,210			38,969
FNR 2009-90 QI 6.34375 08/25/2036		1,327,841			185,898
FNR 2010-10 SE FLT 02/25/2040		607,404			77,291
FNR 2010-21 SA FLT 03/25/2040		864,011			102,601
FNR 2010-52 SB FLT 05/25/2040		742,147			94,160
FNR 2010-56 AS FLT 06/25/2040		799,826			95,291
FNR 2010-58 SA FLT 06/25/2040		336,763			42,819
FONDO REESTRUCTURACION		200,000			260,206
FORMULA 1 RCF (ALPHA TOPCO)		4,393			(439)
FORTIS BANK SA/NV 4.625 PERPETUAL REGS		300,000			227,132
FRANKLIN SERIES 5A SUB 6/15/2018		1,070,000			829,250
FREMF 2011-K11 C 0 12/25/2048		132,038			34,643
FREMF K-007I C 0 05/25/2020		996,000			276,390
FSTAR 2007-1A AF4 FLT 01/25/2035 144A		258,006			152,719
GATE INCREMENTAL TL		649,114			142,805
GATE TL L+200 08/28/14		109,341			24,055
GATEDD TL 08/28/14		62,552			13,761
GATX FINANCIAL CORP		363,000			363,976
GAZPROM (GAZ CAPITAL SA)		200,000			216,000
GAZPROM(WHITE NIGHTS FI)		300,000			336,000
GE CAPITAL COM MORTGAGE CORP 2007-C1 AM		1,531,000			1,252,330
GENESIS CLO 2007-1A SUB 10/10/2014		970,000			417,100
GERMAN POSTAL PENSIONS		1,500,000			2,061,749
GLENCORE FINANCE EUROPE 5 12/31/2014		900,000			1,120,371
GM 8.375% 7/15/2033 — ESCROW		283,000			708

50

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Current Value
GMAC INC		400,000		403,500
GMAC MORTGAGE CORPORATION LOAN		72,590		59,655
GNR 2007-26 SG FLT 04/20/2037		223,861		31,747
GOME ELECTRICAL APPL 3% 25SEP14		5,700,000		914,563
GPMF 2006-AR2 4X 1 03/25/2036		498,692		6,807
GPMF 2006-AR3 3A1 FLT 04/25/2036		188,537		77,803
GRANITE MORTGAGES PLC.		201,048		192,644
GRANITE MASTER ISSUER PLC		488,694		466,266
GREYL 2006-6A A1AL FLT 03/20/2014 144A		1,316,000		1,080,633
GS MTG. SEC. TRT. 2007-GG10 AM 8/10/45		1,290,000		1,060,659
GSCSF 2006-4A A1 FLT 11/06/2046 144A		258,006		—
GSR 2004-15F 2A3 6 12/25/2034		59,070		9,930
GSR 2005-HEL1 A1 FLT 11/25/2030		33,179		12,359
HALCYON 2006-1A SUB 5/21/18		265,000		143,100
HALCYON 2007-2X CLO SUB 10/29/21		1,210,000		992,200
HASC 2005-I1 2A3 FLT 11/25/2035		468,978		293,698
HASC 2007-NC1 A3 FLT 04/25/2037		1,091,000		300,025
HBOS CAPITAL FUNDING LP		109,000		121,966
HBOS PLC		254,000		203,655
HCA INC		200,000		216,000
HEAT 2006-6 2A3 FLT 11/25/2036		343,000		61,883
HELLENIC REPUBLIC 4.3 03/20/2012		721,000		443,231
HELLENIC REPUBLIC 4.5 09/20/2037		77,000		20,828
HELLENIC REPUBLIC 4.6 09/20/2040		108,000		29,213
HELLENIC REPUBLIC 5.25 05/18/2012		384,000		176,674
HEMT 2006-4 A1 5.6713 11/25/2036		119,133		25,018
HILTON MEZZANINE C 1M LIBOR +275 BPS 11/12/2015		905,550		760,662
HILTON MEZZANINE D 1M LIBOR + 300BPS 11/12/2015		711,969		590,934
HILTON MEZZANINE E 1M LIBOR + 325BPS 11/12/2015		931,036		765,777
HILTON MEZZANINE F 1M LIBOR + 350BPS 11/12/2015		3,084,155		2,482,745
HOLMES MASTER ISSUER PLC		400,000		518,499
HOST HOTELS & RESORTS LP 2.5 10/15/2029		1,000,000		1,245,731
HSH NORDBANK AG FLT 02/14/2017		50,000		31,708
HTZ 5.25 06/01/14		362,000		565,368
HVMLT 2004-8 2A4A FLT 11/19/2034		49,596		31,989
HVMLT 2004-9 3A FLT 12/19/2034		65,714		40,336
HVMLT 2005-15 2A11 FLT 10/20/2045		5,221		2,976
HVMLT 2006-12 B2 FLT 01/19/2038		4,281		1
HVMLT 2006-SB1 A1A FLT 12/19/2036		333,915		160,279
HVMLT 2007-7 2A1A FLT 11/25/2047		619,304		369,073
HYNIX SEMICONDUCTOR INC 2.65 05/14/2015		3,200,000		3,128,000
ICM 2006-S2A A1LB FLT 10/12/2045 144A		258,006		3,870
IMM 2005-6 2M2 FLT 10/25/2035		79,548		53,041
IMMEO RESIDENTIAL FINANCE PLC		56,967		69,885
INDX 2006-AR3 3X FLT 04/25/2036		633,788		1,489
INDYMAC INDX MORTGAGE LOAN TRU		283,829		198,461
INFOSYS LTD CITI USD P-NOTE		1,750		91,204
ING BANK (AUSTRALIA) LTD		1,000,000		1,035,874
ING BANK NV		1,100,000		1,131,300
INSTITUT CREDITO OFICIAL		1,800,000		2,268,766
INT POWER 3.75% 08/22/2023 CVB		1,300,000		3,937,050
INTELSAT LUXEMBOURG SA 11.25 02/04/2017 144A		293,000		282,013
INTL LEASE FINANCE CORP		800,000		796,000

51

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
INVESTEC BANK AU LTD		600,000			623,627
IR 4.5 04/15/12		975,000			1,674,217
IRISH TREASURY 4% 2014 4 01/15/2014		(68,000	)		(82,347)
IRISH TREASURY 4.4% 06/18/2019		(279,000	)		(289,234)
IRISH TREASURY 5.4% 2025 5.4 03/13/2025		(137,000	)		(140,351)
ISTAR FINANCIAL TL A2 2014 USD		939,000			908,483
IXIS 2006-HE2 A3 FLT 08/25/2036		428,143			120,223
IXIS 2006-HE2 A4 FLT 08/25/2036		806,565			223,741
IXIS 2007-HE1 A4 FLT 05/25/2037		280,856			64,494
JAPAN TREASURY DISC BILL		700,000,000			9,097,002
JP MORGAN CHASE COMMERCIAL MOR		867,350			905,600
JP MORGAN MORTGAGE TRUST		206,912			168,738
JPALT 2005-S1 1A8 FLT 12/25/2035		260,510			56,674
JPMMT 2004-S2 4A2 FLT 11/25/2034		118,035			24,935
KABEL DEUTSCHLAND REVOLVER		21,805			4,103
KAUF HOLD HEDGE		82,207			79,794
KAUFMAN & BROAD S.A OPCO TL B3		85,081			90,292
KAUFMAN & BROAD S.A OPCO TL C3		114,844			121,877
KAUFMAN & BROAD S.A. HOLD REV		88,185			85,596
KAUFMAN & BROAD S.A. HOLD TL 1		89,101			86,486
KAUFMAN & BROAD S.A. HOLD TL 2		86,964			84,412
KAUFMAN & BROAD S.A. HOLD TL C1		89,626			86,996
KAUFMAN & BROAD S.A. HOLD TL C2		87,255			84,694
KFW		500,000			661,020
KFW 1.5 07/30/2014		(600,000	)		(856,113)
KOMMUNALBANKEN AS		200,000			202,039
L 3.75% 02/15/30		1,046,000			538,690
L 4.0% 11/15/29 (FON)		193,000			102,290
L 8.5% 07/15/29		(95,000	)		(94,582)
LANDMARK CDO		477,730			463,723
LBG CAPITAL NO.1 PLC		600,000			630,689
LBG CAPITAL NO.1 PLC 7.5884 05/12/2020 2		1,021,000			1,156,007
LBG CAPITAL NO.1 PLC 7.8673 12/17/2019		156,000			178,443
LBG CAPITAL NO.1 PLC 7.869 08/25/2020		451,000			514,133
LBG CAPITAL NO.2 PLC		100,000			162,404
LBG CAPITAL NO.2 PLC 15 12/21/2019		342,000			555,638
LBG CAPITAL NO.2 PLC 6.385 05/12/2020		25,000			21,961
LBHI GUARANTEE CLAIM USD		377,208			58,736
LBIE CLAIM EUR		68,786			58,247
LBIE CLAIM GBP		113,762			96,331
LBIE CLAIM USD		82,014			69,448
LBMLT 2004-4 M4 FLT 10/25/2034		43,766			14,741
LBMLT 2004-5 A6 FLT 09/25/2034		507,150			314,940
LBMLT 2005-1 M4 FLT 02/25/2035		312,000			43,416
LBMLT 2006-5 M1 FLT 06/25/2036		68,115			186
LBMLT 2006-WL3 2A4 FLT 01/25/2036		1,559,000			273,864
LBSF USD TCL BOA		266,970			121,138
LBSF USD TCL BOI		604,641			274,356
LBSF USD TCL DB		2,012,227			913,048
LBSF USD TCL DRAK		134,133			60,863
LBSF USD TCL ML		533,892			242,254
LCERT 2006-1A A1 FLT 02/15/2046 144A		77,402			8
LEH 0 01/12/2012 (NON-ACC)		363,000			93,473

52

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
LEH 0 03/23/2009 (NON-ACC)		1,504,000			387,280
LEH 0 12/23/2010 (NON-ACC)		441,000			113,558
LEH 4.8 03/13/2014 (NON-ACC)		408,000			106,080
LEH 5.25 02/06/2012 (NON-ACC)		333,000			86,580
LEH 5.5 04/04/2016 (NON-ACCRUAL)		464,000			121,220
LEH 6 07/19/2012 (NON-ACC)		2,060,000			535,600
LEH 6.2 09/26/2014 NA		1,999,000			527,336
LEH 6.625 01/18/2012 NON ACCRUAL		4,992,000			1,297,920
LEHMAN BROS HLDGS 5.625 01/24/2013 (NON-ACC)		869,000			228,113
LEHMAN BROS HLDGS 6.875 05/02/2018 (NON-ACC)		2,195,000			578,931
LEHMAN BROTHERS HOLDINGS 0 04/03/2009 (NON ACC)		67,000			17,253
LEHMAN BROTHERS HOLDINGS 0 05/25/2010 (NON ACC)		1,085,000			279,388
LEHMAN BROTHERS HOLDINGS 0% 12/23/08 (NON-ACC)		239,000			61,543
LEHMAN BROTHERS HOLDINGS 4.5 07/26/2010 NA		39,000			10,140
LEHMAN BROTHERS HOLDINGS 7.875 08/15/2010 (NA)		220,000			57,200
LENNAR CORP 3.25 11/15/2021 144A		291,000			318,623
LLOYDS TSB BANK PLC		500,000			457,980
LOS ANGELES CA CMNTY CLG DIST		200,000			261,730
LOS ANGELES CNTY CA PUBLIC WKS		300,000			371,484
LOTTE SHOPPING CO LTD 0% 05JUL16 USD CCY		1,600,000			1,440,000
LXS 2006-14N 1A1B FLT 09/25/2046		369,876			153,394
LXS 2007-1 WF1 FLT 01/25/2037		198,774			90,939
LXS 2007-18N AX 1 10/25/2037		2,083,183			15,624
MABS 2005-OPT1 M2 FLT 03/25/2035		131,000			79,032
MABS 2006-FRE2 A5 FLT 03/25/2036		535,000			148,489
MABS 2006-WMC1 A3 FLT 02/25/2036		208,965			61,624
MACES 2006-2A 3 4.7 03/20/2013 144A		241,000			259,503
MACH 2ND LIEN DBT WP ROAMING		240,748			249,261
MADISON PARK FNDG 2011-7A SUB 6/15/22		1,040,000			977,600
MALLF 1 A FLT 04/22/2014		323,078			412,776
MANA 2007-F1 IO2 6.25 03/25/2037		163,739			26,042
MANA 2007-OAR2 A1 FLT 04/25/2037		309,401			187,126
MANA 2007-OAR3 A3 FLT 07/25/2047		9,495			207
MANSD 2006-1X M1 FLT 10/15/2048		250,000			208,416
MARM 2007-1 IX3 0.5 01/25/2047		3,737,468			57,557
MARSH + MCLENNAN COS INC		66,000			73,092
MAXIS LOANS SECURITISATION		209,491			217,606
MCHP 2.125 12/15/2037		136,000			183,281
MER/COU. WIDE 2007-5 AM 5.419% 8/12/48		1,100,000			882,688
MERRILL LYNCH + CO		400,000			518,886
MERRILL LYNCH MORTGAGE INVESTO		192,886			151,630
MERRILL LYNCH/COUNTRYWIDE COMM		399,000			429,549
MEX BONOS DESARR FIX RT		23,000,000			1,766,413
MFD 2008-1 A 1.75 03/13/2046 GBP COR		5,173,962			3,883,762
MFD 2008-1 A FLT 03/13/2046		5,873,999			4,409,235
MFD 2008-1 B 2.309 03/13/2046		1,479,000			258,067
MHL 2005-1 1A1 FLT 02/25/2035		35,699			25,702
MISARTE 3.25% 16		(3,344	)		(621,040)
MKP 6A A2 FLT 06/15/2051 144A		232,205			2
MLMI 2006-FM1 A2C FLT 04/25/2037		542,000			144,470
MLMI 2006-FM1 A2D FLT 04/25/2037		266,000			68,482
MLMI 2006-HE2 A4 FLT 03/25/2037		623,000			184,346
MMR 4% CONVERTIBLE SENIOR NOTE		2,500,000			2,876,563

53

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Current Value
MORGAN 2007-HQ12 AM 5.5905% 4/12/49		1,610,000		1,244,915
MORGAN 2007-IQ14 AM 5.5905% 4/12/49		1,300,000		1,075,012
MORGAN STANLEY		600,000		671,226
MORGAN STANLEY CAPITAL I		65,609		65,501
MORGAN STANLEY MORTGAGE LOAN T		269,857		150,143
MORNINGSIDE PARK CLO 1A SUB 10/14/20		2,180,000		1,896,600
MSAC 2006-HE3 A2D FLT 04/25/2036		935,000		304,156
MSAC 2006-HE6 M2 FLT 09/25/2036		36,232		118
MSAC 2007-HE1 M1 FLT 11/25/2036		154,804		2,144
MSAC 2007-HE5 A2C FLT 03/25/2037		356,000		97,063
MSAC 2007-NC1 A2C FLTR 11/25/2036		383,000		112,085
MSAC 2007-NC1 M1 FLT 11/25/2036		46,946		556
MSM 2007-7AX 2A3 FLT 04/25/2037		214,490		75,061
MTR GAMING 11.5 (10.5 CSH 1% PIK) 08/01/19 144A		796,000		661,675
MUZ2 1A B1 FLT 10/15/2013 144A		306,026		232,580
MUZ2 1A B2 9 10/15/2013 144A		80,876		66,319
MUZC 1 B 9.51 05/08/2012		880,195		202,445
MYLAN INC 3.75 09/15/2015		765,000		1,336,168
NATIONWIDE BLDG SOCIETY		1,200,000		1,345,373
NATL ENERGY 10.375% UNIT FROM REORG		3,671,034		6
NAUTILUS SHIPHOLDINGS TERM LOAN B (JUNIOR LOAN)		432,614		147,089
NEM 3 02/15/2012		100,000		131,238
NEW JERSEY ST TURNPIKE AUTH		200,000		285,254
NEW S WALES TREASURY CRP		800,000		892,269
NEW ZEALAND GOVERNMENT		4,600,000		4,017,319
NEWGATE FUNDING PLC		300,000		323,054
NHELI 2007-1 2A2 FLT 02/25/2037		7,605		2,783
NIBC BANK NV		800,000		835,650
NOBLE GROUP LTD 0 06/13/2014		977,000		1,298,189
NOMURA ASSET ACCEPTANCE CORPOR		161,052		120,743
NORTEL NETWORKS LIMITED 0 07/15/2011 (NON-ACC)		265,000		271,625
NORTEL NETWORKS LIMITED 10.125 07/15/2013(NON ACC)		187,000		204,765
NORTEL NETWORKS LTD 10.75 07/15/2016 (NON-ACC)		218,000		239,800
NORTHSIDE TX INDEP SCH DIST		300,000		317,643
NSTAR CRE CDO		1,587,929		879,302
NSTAR CRE CDO CLAWBACK		44,384		39,058
NUMERICABLE TLC EUR		72,897		76,890
NWSTR 2006-1A C FLT 03/30/2022 144A		342,000		253,878
NWSTR 2007-1A B FLT 09/30/2022		194,000		144,853
NWSTR 2007-1A C FLT 09/30/2022		372,000		244,218
NWSTR 2007-1A D FLT 09/30/2022		194,000		107,961
OCR 3.25% 12/15/35		1,048,000		979,880
OFFICE DEPOT INC		400,000		373,000
ONTARIO (PROVINCE OF)		1,700,000		1,815,733
OOMLT 2007-1 M2 FLT 01/25/2037		134,824		270
OOMLT 2007-4 M2 FLT 04/25/2037		50,823		151
OOMLT 2007-5 M2 FLT 05/25/2037		54,015		547
OPERA CMH A FLT 01/15/2015		250,000		210,712
ORIGIN ENERGY FINANCE LT 7.875 06/16/2071 (FRN)		300,000		357,199
PALOMAR CA CMNTY CLG DIST		300,000		340,986
PARAGON MORTGAGES PLC		184,001		140,257
PBHET 2000-1 A2 FLT 03/25/2030		159,900		61,178
PBL MEDIA B3 AUD		56,205		49,165

54

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Current Value
PBL MEDIA TLB 1 AUD		2,694,034		2,356,608
PCLN 1.25 03/15/15		1,408,500		2,319,789
PEARSON DOL FIN TWO PLC		725,000		841,985
PHH CORP 4 09/01/2014		1,750,000		1,426,862
PKD 2.125 07/15/2012		487,000		480,913
PLYMOUTH ROCK CLO LTD		211,018		208,833
PREFERRED TERM SECS XIV FLT 06/24/2034 144A		263,000		84,160
PREFERRED TERM SECS XV FLT 09/26/2034		153,025		76,513
PREFERRED TERM SECS XX FLT 03/22/2038 144A		819,123		237,546
PREFERRED TERM SECS XXI FLT 03/22/2038 144A		1,349,700		418,407
PREFERRED TERM SECS XXVII LTD FLT 12/22/2037 144A		94,549		45,384
PREFERRED TERM XXII FLT 09/22/2036 144A		1,004,789		307,724
PREFERRED TERM XXIII FLT 12/22/2036		917,544		426,922
PREFERRED TERM XXIII FLT 12/22/2036 144A		857,269		402,916
PREFERRED TERM XXIV FLT 03/22/2037 144A		98,690		26,153
PRIME 2006-1 2A6 6 06/25/2036		42,982		31,211
PROLOGIS INC 2.625 05/15/2038		279,000		274,815
PTNM 2003-1A A1LB FLT 10/15/2038 144A		159,209		127,367
PTNM 2003-1A A1LC FLT 10/15/2038 144A		159,209		127,367
PTNM 2003-1A A1LT FLT 10/15/2038 144A		159,209		127,367
PUBLICIS GROUPE 3.125% 30JUL2014		11,787		565,134
PUMA FINANCE LIMITED		199,230		195,391
PXD 2.875 01/15/2038		492,000		755,601
QBE FUNDING TRUST 0% 12MAY30 REGS		3,500,000		2,135,000
RALI 2005-QA13 2A1 FLT 12/25/2035		255,654		130,916
RALI 2006-QO3 A1 FLT 04/25/2046		1,202,892		436,927
RALI 2006-QO3 A3 FLT 04/25/2046		81,044		29,986
RALI 2006-QO7 2A1 FLT 09/25/2046		12,489		5,745
RALI 2006-QS10 AV FLT 08/25/2036		8,593,402		175,219
RALI 2007-QS10 AV FLT 09/25/2037		9,029,002		143,335
RALI 2007-QS6 A2 FLT 04/25/2037		79,943		154,409
RALI 2007-QS6 AV FLT 04/25/2037		16,392,283		191,396
RAMP 2005-RS7 M1 FLT 07/25/2035		41,926		7,580
RAMP 2006-NC1 M2 FLT 01/25/2036		83,852		1,271
RASC 2006-KS1 M2 FLT 02/25/2036		90,302		17,623
RAST 2006-A3CB AX 6 01/25/2046		342,912		70,185
RAST 2006-A5CB AX 6.25 06/25/2036		409,971		95,827
RBS CAPITAL TRUST A 6.467 PERP (FLAT TRADG)		63,000		41,583
REFER-REDE FERROVIARIA 4 03/16/2015		650,000		294,431
REFER-REDE FERROVIARIA 4.675 10/16/2024		50,000		25,884
REG DIVERSIFIED FUNDING 9.25 03/15/2030 144A		281,446		179,187
RENESOLA LTD 4.125 03/15/2018 144A		300,000		176,317
RFMSI 2006-S7 AV FLT 08/25/2036		730,555		4,455
RIG 1.5 12/15/37-12 Ser C		4,450,000		4,374,795
RIVERSIDE CA ELEC REVENUE		200,000		258,704
ROBE2 2A B1L FLT 08/30/2013		358,395		339,011
ROYAL BK OF SCOTLAND PLC		400,000		402,589
ROYAL BK OF SCOTLAND PLC 5.18 02/17/2017		900,000		616,929
ROYAL BK OF SCOTLAND PLC 6.5 02/17/2017		700,000		479,834
ROYAL BK OF SCOTLAND PLC FLT 01/30/2017		50,000		44,326
ROYAL BK OF SCOTLAND PLC FLT 03/30/2015		25,000		15,235
ROYAL BK OF SCOTLAND PLC FLT 08/29/2017		100,000		66,000
RVMLT 2007-1 X FLT 05/25/2047 144A		554,479		9,296

55

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
RVMLT 2007-2A X FLT 07/25/2047 144A		675,655			16,507
SAAD SA INVEST FLT 08/24/2012		25,100			4,016
SABR 2007-BR3 M1 FLT 9 04/25/2037		174			0
SACO 2006-9 A1 FLT 08/25/2036		82,720			38,490
SAIL 2005-6 M1 FLT 07/25/2035		102,000			67,830
SAMI 2004-AR5 2A3 FLT 10/19/2034		30,194			17,326
SAMI 2006-AR3 12X 1 04/25/2036		3,421,486			112,396
SAMI 2006-AR4 2A1 FLT 06/25/2036		66,862			39,652
SANTANDER ISSUANCES 5.435 10/24/2017		200,000			201,248
SANTANDER ISSUANCES 6.5325 10/24/2017		50,000			57,434
SARM 2005-9 2A1 FLT 05/25/2035		31,404			15,702
SARM 2007-1 1A1 FLT 02/25/2037		228,454			89,223
SASC 2005-S7 A2 FLT 12/25/2035		30,105			17,893
SASC 2006-BC6 M2 FLT 01/25/2037		203,742			387
SASC 2006-OW1 A6M FLT 12/25/2035 144A		156,526			1,307
SASC 2007-BC1 M2 FLT 02/25/2037		232,205			1,440
SEVAN MARINE ASA 14 12/22/2014 ESCROW		2			—
SLOSO 2005-1A A1L FLT 10/15/2035		1,205,233			482,093
SLOSO 2005-1A A1LA FLT 10/15/2035 144A		511,727			217,484
SLOSO 2007-1A A1LA FLT 10/07/2037 144A		653,604			238,565
SNDK 1% 05/15/13		132,000			129,749
SOCIETE GENERALE 8.875 FIX-TO-FLT 06/29/2049		197,000			192,495
SOCIETE GENERALE 9.375 PERPETUAL		50,000			49,503
SOMF 1 A2 FLT 04/22/2014		138,462			160,261
SOTHEBYS 3.125 06/15/2013		27,000			30,615
SOTHEBYS 7.75 06/15/2015		(23,000	)		(24,561)
SPRINGLEAF FINANCE CORP 5.375 10/01/2012		188,000			176,720
SRERS 2011-RS A1B1 0.43575 05/09/2046		581,777			372,337
SSP A1 GBP TL		1,187			1,390
SSP AMERICA (USA), LLC A11 USD TL		2,571			1,941
SSP FINANCING LIMITED, LONDON (B1) D SEK TL		25,672			1,789
SSP FINANCING LIMITED, LONDON (B1) E NOK TL		50,296			4,036
SSP FINANCING LIMITED, LONDON A13 USD TL		1,887			1,425
SSP FINANCING LIMITED, LONDON B1 A GBP TL		11,107			8,269
SSP FINANCING LIMITED, LONDON B1 B EUR TL		2,712			1,685
SSP FINANCING LIMITED, LONDON B1 C USD TL		2,470			1,186
SSP FINANCING SPAIN SL, MADRID A6 EUR TL		2,659			2,770
SSP FINANCING UK LTD, LONDON A2 GBP TL		18,862			22,088
SSP FINLAND FINANCING OY, HELSINKI A7 EUR TL		1,882			1,961
SSP FRANCE FINANCING SAS, PARIS A4 EUR TL		512			533
SSP NORWAY FINANCING AS, OSLO A9 NOK TL 2		93,964			11,076
SSP SWEDEN FINANCING AB, STOCKHOLM A10 SEK TL		47,772			4,889
STAR ASIA FINANCIAL LTD-144A		108,299			162,449
STAR ASIA SPV		37,730			22,638
STMICROELECTRONICS NV 0 02/23/2016		1,400,000			1,526,000
SUNCORP METWAY LTD		200,000			329,488
SUNPOWER CORP 4.5 03/15/2015		80,000			65,804
SURF 2007-BC1 M2 FLT 01/25/2038		74,134			111
SWAN		311,593			321,543
SYMC 1 06/15/2013		(411,000	)		(458,519)
TAHIT 1 C FLT 05/24/2015		86,186			109,858
TATA MTR CARS 0% 12JUL12 CVB		1,400,000			1,795,500
TCH PP 9.00% AMT 03/31/2016 C1		16,003			16,776

56

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
TCH PP 9.00% BLT 03/31/2016 C2		77,078			80,801
TCH PP 9.35% AMRT 05/26/2017 A1		161,164			130,543
TCH PP 9.35% BLT 03/31/2016 A2		366,033			296,487
TECFP 0.5% 01/01/2016		(1,085	)		(128,485)
TENN VALLEY AUTHORITY		1,126,000			1,376,737
TEVA PHARM FIN CO LLC 0.25 02/01/2026		(171,000	)		(176,144)
THOMSON SA TL A1 EUR		492,411			500,263
THOMSON SA TL A2 USD		24,924			19,565
THOMSON SA TL B1 EUR		1,329,606			1,350,809
THOMSON SA TL B2 USD		57,203			44,904
TITN 2006-2X A FLT 01/23/2016		309,359			324,744
TITN 2006-4FSX A1 FLT 09/03/2013		372,861			532,043
TITN 2006-4FSX A2 FLT 09/03/2013		61,000			85,623
TITN 2007-1X A FLT 01/20/2017		835,048			914,167
TITN 2007-1X B FLT 01/20/2017		291,000			252,751
TITN 2007-1X C FLT 01/20/2017		177,000			97,457
TITN 2007-CT1X A1 FLT 01/23/2017		687,452			757,358
TITN 2007-CT1X A2 FLT 01/23/2017		470,972			412,196
TMAN 6 A FLT 10/22/2016		310,247			295,118
TMTS 2003-6HE M1 FLT 11/25/2033		22,919			16,158
TNK BP FINANCE SA		200,000			213,750
TOBACCO SETTLEMENT AUTH IA TOB		435,000			358,114
TORRENS TRUST		288,085			288,336
TRAVELPORT LLC 9.875 09/01/2014		107,000			62,060
TRAVELPORT LLC/TRAVELPOR 9 03/01/2016		404,000			222,200
TREAS CORP VICTORIA		100,000			113,809
TREASURY 4.6% 2016 4.6 04/18/2016		(134,000	)		(156,337)
TREASURY BILL		1,565,000			1,564,729
TROPC 2004-1A A1L FLT 07/15/2034		301,317			130,319
TROPC 2004-4A A2L FLT 04/15/2035 144A		1,109,000			262,463
TROPC 2006-5A A1L2 FLT 07/15/2036		1,956,611			714,163
TSN 3.25 10/15/13		1,250,000			1,660,473
TSY 3 3/4 2019		200,000			358,693
TUI AG 5.5% 17NOV2014		2,000			151,881
TUI LDN 4.5 04/15/2013		100,000			119,354
TXT 4.5 05/01/13		735,000			1,129,462
UAL CORP 6 10/15/2029		201,000			461,869
UBI BANCA SPCA 4.939 06/25/2014		(257,000	)		(306,001)
UBI BANCA SPCA 5.75 07/10/2013		139,452			175,877
UBS_BBVA 3.22% 07/31/2012		9,350,000			4,961,316
UK TREASURY 5 09/07/2014		(730,000	)		(1,271,755)
UK TSY 3 3/4 2020		1,300,000			2,337,119
UK TSY 4 1/2 2034		400,000			785,629
UK TSY 4 1/2 2042		100,000			200,588
UK TSY 4 1/4 2046		100,000			194,993
UK TSY 4 1/4 2032		400,000			759,999
UK TSY 4 1/4 2036		300,000			572,111
UK TSY 4 1/4 2039		300,000			574,195
UK TSY 4 1/4 2040		1,200,000			2,295,717
UK TSY 4 3/4 2030		800,000			1,612,945
UMC/UNIMICRON TECH 0% 02DEC14 CVB		100,000			101,500
UNICREDIT SPA 5.75 09/26/2017		100,000			96,224
UNITE (USAF) PLC		200,000			282,816

57

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
UPCB FINANCE LTD		200,000			256,385
US TREASURY BILL 0% 01/12/2012		5,000,000			5,000,009
US TREASURY N/B		2,400,000			2,964,797
VCWHE 2009-1 VAE9 FLT 11/26/2035		95,041			17,464
VEDANTA RESOURCES 5.5% 07/13/2016		3,500,000			2,879,440
VEDANTA RESOURCES PLC 6.75 06/17/2016 (REG S)		(300,000	)		(257,100)
VEDANTA RESOURCES PLC 8.75 01/15/2014		(200,000	)		(195,000)
VELA 2006-1A A FLT 12/10/2046 (NON ACCRUAL)		440,006			123,202
VIDEOCON INDUSTRIES LTD 6.75 12/16/2015		300,000			204,000
VIVENDI SA		254,000			265,366
VODAFONE AMERICAS FINANCE 2 PIK B		1,833,315			1,828,732
WACHOVIA MORTGAGE LOAN TRUST,		300,000			217,973
WAL MART STORES INC		100,000			134,293
WAMU 2004-AR10 X 0 07/25/2044		830,425			36,719
WAMU 2004-AR12 X 0 10/25/2044		1,112,668			51,836
WAMU 2004-AR13 A2A FLT 11/25/2034		7,805			5,401
WAMU 2005-AR1 A1A FLT 01/25/2045		21,164			15,652
WAMU 2005-AR1 A2A1 FLT 01/25/2045		4,568			3,239
WAMU 2005-AR1 X 0 01/25/2045		604,338			25,682
WAMU 2005-AR13 A1A3 FLT 10/25/2045		21,934			16,273
WAMU 2005-AR17 A1A1 FLT 12/25/2045		41,902			31,207
WAMU 2005-AR19 A1A2 FLT 12/25/2045		27,582			19,190
WAMU 2005-AR2 2A23 FLT 01/25/2045		400,382			272,261
WAMU 2005-AR2 X 0 01/25/2045		679,944			30,916
WAMU 2005-AR9 A1A FLT 07/25/2045		254,194			186,208
WAMU 2006-AR1 B2 FLT 01/25/2046		61,140			1,192
WAMU 2006-AR3 B2 FLT 02/25/2046		58,394			1,267
WAMU 2006-AR4 1A1A FLT 05/25/2046		207,967			143,994
WAMU MORTGAGE PASS THROUGH CER		570,101			370,884
WASH MUTUAL PFD 6.534 03/29/49 144A (NON-ACC)		124,000			1,240
WASH MUTUAL PFD FDG III 6.895 06/49 144A (NON-ACC)		120,000			1,200
WBCMT 2007-C31 AM 5.591% 4/15/47		1,980,000			1,602,953
WELLS FARGO MORTGAGE BACKED SE		786,110			631,612
WESTPAC BANKING CORP		500,000			519,015
WESTPAC SECURITIES NZ LT		400,000			402,446
WFMBS 2006-2 1A4 FLT 03/25/2036		95,782			118,291
WFMBS 2007-7 A9 FLT 06/25/2037		44,196			68,058
WI TREASURY BILL		4,800,000			4,798,558
WINDERMERE SER I CL D FLT 01/31/2023		72,011			65,238
WM COVERED BOND PR		400,000			538,501
WMABS 2006-HE2 A3 FLT 05/25/2036		638,312			294,687
WMALT 2005-6 2A3 FLT 08/25/2035		9,052			17,635
WMALT 2005-7 CX 5.5 09/25/2035		208,849			35,667
WMALT 2006-1 CX 6.5 02/25/2036		81,429			17,137
WMALT 2006-AR4 X4 1.25 06/25/2046		146,736			5,131
WMALT 2007-OC1 A2 FLT 01/25/2047		183,035			68,867
ZAIS INVESTMENT GRADE 5A A1 8/8/17		580,000			245,833
Total Fixed Income Securities		1,241,277,123		$	316,682,802
Derivatives
10YR GOVT OF CANADA BOND FTRS		300,000			4,572
10YR SWAP FUTURE MAR12		10			12,866

58

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
10YR US TREASURY NOTE FUTURES		2,600,000			32,057
30YR US TREASURY BOND FUTURES		400,000			(1,441)
317U374B6 IRO USD 10Y SWAPTION		(800,000	)		4,800
317U479C8 IRO USD1Y 0.795 JPM		(300,000	)		(614)
317U480C5 IRO USD1Y 0.795 JPM		(300,000	)		(516)
317U522C5 IRO USD 5Y BOA		(2,000,000	)		11,901
317U549C4 IRO USD30Y P3.75 DUB		700,000			(18,379)
317U550C0 IRO USD 5Y DUB		(3,100,000	)		18,447
317U551C9 IRO USD 30Y BOA		400,000			(10,502)
317U586C8 IRO USD 2Y 0.915 MYC		(1,500,000	)		(6,592)
317U587C7 IRO USD 2Y 0.915 MYC		(1,500,000	)		(5,361)
317U693B0 SWAPTION 3YP 3.0 JPM		(900,000	)		8,392
317U694B9 SWAPTION 3Y P 3 CBK		(1,100,000	)		12,151
317U695B8 IRO 3Y RYL		(1,000,000	)		11,047
317U696B7 IRO USD 3Y P3 BOA		(1,500,000	)		15,256
317U698B5 IRO USD 3Y P3 DUB		(900,000	)		9,703
317U699B4 IRO USD P3 BRC		(600,000	)		5,355
317U701B0 IRO USD 3Y P2.75 DUB		(900,000	)		9,284
317U702B9 IRO USD 3Y P2.75 RYL		(800,000	)		7,788
317U744B9 IRO 2Y RYL		(6,000,000	)		44,154
317U745B8 SWAPTION 2Y 2.25 BOA		(3,300,000	)		27,697
90-DAY BANK BILL MAR12		(81	)		66,201
90DAY EURO$ FUTR 17DEC2012		(23	)		(45,938)
90DAY EURO$ FUTR 17SEP2012		(23	)		(32,313)
90DAY EURO$ FUTR 18JUN2012		(23	)		(19,288)
90DAY EURO$ FUTR 18MAR2013		(22	)		(55,500)
90DAY EURO$ FUTR DEC13		(13	)		(2,395)
90DAY EURO$ FUTR DEC14		(1	)		(2,450)
90DAY EURO$ FUTR DEC15		(1	)		(3,375)
90DAY EURO$ FUTR DEC16		(1	)		(196)
90DAY EURO$ FUTR JUN13		(13	)		(8,194)
90DAY EURO$ FUTR JUN14		(1	)		(1,938)
90DAY EURO$ FUTR JUN15		(1	)		(2,975)
90DAY EURO$ FUTR JUN16		(1	)		(3,713)
90DAY EURO$ FUTR MAR12		(23	)		(9,613)
90DAY EURO$ FUTR MAR14		(6	)		(4,300)
90DAY EURO$ FUTR MAR15		(1	)		(2,725)
90DAY EURO$ FUTR MAR16		(1	)		(3,563)
90DAY EURO$ FUTR SEP13		(13	)		2,375
90DAY EURO$ FUTR SEP14		(1	)		(2,200)
90DAY EURO$ FUTR SEP15		(1	)		(3,200)
90DAY EURO$ FUTR SEP16		(1	)		(962)
AA 2012 JAN 5 PUT		144			72
AAPL 2012 FEB 400 CALL 02/18/2012		(40	)		(87,500)
AAPL 2012 FEB 400 PUT 02/18/2012		40			66,200
AAPL 2013 JAN 500 CALL 01/19/2013		(12	)		(28,500)
AAPL 2013 JAN 500 PUT 01/19/2013		12			141,000
ABB LTD SWP		(8,567	)		(11,547)
ADECCO SWP BARC		(5,273	)		(16,838)
ADS / USD FORWARD, 01-03-12		(1,213	)		3
AEGIS GROUP PLC SWP		104,050			(39,767)
AEGON NV SWP		(26,527	)		(4,422)
AEON CO LTD ASW 50 22NOV12 NOM		50,000,000			124,335

59

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
AEON CO LTD ASW 54 22NOV12 NOM		15,000,000			37,378
AEON CO LTD ASW 60 22NOV12 NOM		10,000,000			24,997
AEON CO LTD DFT 25 22DEC12 NOM		10,000,000			—
AEON CO LTD JPY SWP NOMURA		(60,000	)		(6,428)
AEROPOSTALE INC		7,274			(2,198)
AGILE DFT 20JUN14 500 BANA (ML)		100,000			10,141
AGILE DFT 20JUN14 500 BOA		800,000			81,127
AGP 2012 JUN 42 PUT 06/16/2012		(66	)		(7,920)
AGRICULTURAL BANK OF CHINA-H HKD SWP HSBC		(506,000	)		9,603
AGRICULTURAL BANK OF CHINA-H HKD SWP UBS		(18,000	)		442
AIA GROUP 21 PUT 30JAN12 HSBC		(128,200	)		(533)
AIA GROUP 21 PUT 30JAN12 JPM		(87,000	)		(627)
AIA GROUP 26.45 CALL 30JAN12 HSBC		128,200			622
AIA GROUP LTD HKD SWP HSBC		(120,200	)		(18,924)
AIA GROUP LTD HKD SWP JPM		(71,800	)		(5,107)
AIA GROUP LTD HKD SWP UBS		(48,000	)		(4,266)
AIXTRON SE SWP		1,381			1,268
ALCATEL-LUCENT 5% 01/01/2015 SWP JPM		27,000			1,967
ALCATEL-LUCENT SWP		8,913			(772)
ALCATEL-LUCENT SWP JPM		(11,800	)		443
ALL NIPPON AIRWAYS CO LTD		(230,376	)		139,786
ALLIANCE OIL COMPANY LTD-SDR SWP CS		(3,056	)		429
ALLIANZ AG SWP		(4,131	)		(9,016)
ALSTOM SWP		2,655			3,217
AMD DFT 100 09/20/2012 DB		500,000			4,520
AMGN 2012 JAN 60 CALL		(13	)		(5,883)
AMGN 2012 JAN 60 PUT 01/21/2012		13			358
AMGN 2012 JAN 62.5 CALL		(2	)		(483)
AMGN 2012 JAN 62.5 PUT 01/21/2012		2			140
AMGN 2012 JAN 65 CALL		(1	)		(99)
AMGN 2012 JAN 65 PUT 01/21/2012		1			177
AMGN 2013 JAN 65 CALL 01/19/2013		(5	)		(2,788)
AMGN 2013 JAN 65 PUT 01/19/2013		5			3,713
AMGN 2013 JAN 70 CALL 01/19/2013		(1	)		(348)
AMGN 2013 JAN 70 PUT 01/19/2013		1			1,035
ANGLO AMERICAN DFT 100 20JUN2014		2,000,000			17,836
ANGLO AMERICAN DFT 100 20JUNE2014 CS		200,000			1,784
ANGLO AMERICAN DFT 100 20SEPT2014 BARC		200,000			1,962
ANGLO AMERICAN PLATINUM LTD BARC SWP		(2,586	)		7,567
ANGLO AMERICAN PLATNIUM ML SWAP		(5,309	)		(1,204)
ANGLO AMERICAN PLC 4 05/07/2014 DB SWP		50,000			(738)
ANGLO AMERICAN PLC 4 05/07/2014 SWP JPM		100,000			(3,125)
ANGLO AMERICAN PLC DB SWP USD		(17,625	)		19,520
ANGLO AMERICAN PLC MS SWP USD		(140,991	)		1,522,416
ANGLO AMERICAN PLC SWP BARC USD		(41,260	)		11,375
ANGLO PLATINUM DB SWP		(3,467	)		8,217
ANGLOGOLD ASHANTI LTD SWP DB		3,625			(5,579)
ANGLOGOLD ASHANTI LTD SWP ML		18,127			21,467
ANHUI CONCH CEMENT CO LTD — H SWP MS		(54,000	)		4,079
ANHUI CONCH CEMENT CO LTD A SWP USD DB		23,300			(14,582)
ANHUI CONCH CEMENT CO LTD A USD SWP MS		66,420			263
ANHUI CONCH CEMENT CO LTD SWP ML		48,500			(23,022)
ANHUI CONCH CEMENT CO SWP ML		(49,500	)		16,792

60

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
ANNALY MORTGAGE MANAGEMENT SWP CS		(9,357	)		15,134
ANNALY MORTGAGE MANAGMENT DB SWP USD		(6,210	)		7,134
ANTOFAGASTA PLC SWP BARC		(568	)		(264)
ANTOFAGASTA PLC SWP MS		(22,631	)		(30,095)
AON Jan12 47.50 CALL		(183	)		(10,065)
APC May12 62.50 PUT		(119	)		(32,130)
APC May12 65 PUT		(240	)		(79,200)
APR ENERGY PLC		3,540			(3,356)
ARKEMA SWP		5,218			30,587
ARM HOLDINGS PLC SWP		5,708			687
ARYZTA AG SWP		15,732			106,642
ASAHI GLASS ASW 30 14NOV12 NOM		30,000,000			4
ASIA CEMENT ASW L+140 20FEB13		100,000			2,890
ASML HOLDING NV SWP		(885	)		(2,257)
ASOS PLC SWP		(1,164	)		(735)
ASSA ABLOY AB-B SWP		(19,453	)		(16,588)
ASTRAZENECA PLC SWP		(6,965	)		(5,363)
ASTRAZENECA PLC-SPONS ADR SWP MS		(1,395	)		(900)
ASUSTEK COMPUTER INC		(50,800	)		20,911
ATOS SWP		1,498			5,546
ATOS SWP		20,872			(86,506)
AU OPTRONICS NOM USD SWP		(163,000	)		7,613
AUD PUT K= 0.865 08MAR12 JPM		40,000			1,427
AUSTRALIAN DOLLAR Forward		(2,000,000	)		(68,188)
AVAGO TECHNOLOGIES LTD BARC SWAP		(2,789	)		5,874
AVB DFT 100 03/20/2015 BARC		500,000			(1,256)
B2W COM GLOBAL DO VAREJO		25,443			(59,692)
BAC 2012 MAY 9 CALL 05/19/2012		62			403
BAHAMAS PETROLEUM CO PLC		434,214			(69,141)
BAJAJ AUTO JAN12 USD STK FUT SWP ML (X250)		(1,500	)		(65)
BAJAJ AUTO JAN12 USD STK FUT SWP MS (X250)		(750	)		288
BANCO BILBAO VIZCAYA ARGENTA ML SWP		(425,971	)		624,613
BANCO BILBAO VIZCAYA ARGENTARIA SWP		(130,628	)		243,439
BANCO ESPIRITO SANTO SWP		(36,397	)		29,537
BANCO ESPIRITO SANTO SWP		(9,340	)		(2,067)
BANCO POPOLARE 500 DFT 20JUN2014 DB		105,000			9,868
BANCO POPULAR ESPANOL SWP		(23,867	)		(3,022)
BANCO SANTANDER SA SWP		9,271			98
BANK OF AMERICA CORP-WRTS 01/16/19		(21,072	)		(42,460)
BASF SE SWP		(3,009	)		(7,180)
BBVA SM 2012 SEP 14.41 CALL 09/21/2012		3,850			0
BC DFT 500 06/20/2014 BARC		500,000			(36,955)
BCM AU DFT 500 20DEC2012 DB		146,000			165,085
BCM AU DFT 500 20DEC2012 DB 6		66,000			74,628
BCM AU DFT 500 20DEC2012 DB3		146,000			165,085
BCM AU DFT 500 20DEC2012 DB4		122,000			137,948
BCM AU DFT 500 20DEC2012 JPM 7		87,000			98,373
BCM AU DFT 500 20DEC2012 JPM 8		59,858			67,683
BCM AU DFT 500 20DEC2015 DB2		(146,000	)		(170,912)
BCM AU DFT 500 20DEC2015 DB5		(88,000	)		(103,016)
BCM AU DFT 500 20DEC2015 DB7		(66,000	)		(77,262)
BCM AU DFT 500 20DEC2015 JPM		(26,858	)		(31,441)
BCM AU DFT 500 20JUN2015 JPM		(300,000	)		(349,330)

61

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
BCP FINANCE CO SNR DFT 500 20SEP2016ML		74,000			28,801
BG GROUP PLC SWAP		879			1,805
BHARAT HEAVY ELECTRICALS CS USD SWP		405			(366)
BHARAT HEAVY ELECTRICALS JPM USD SWP		16,954			(12,340)
BHP BILLITION LTD AUD SWP UBS		3,248			(8,365)
BHP BILLITON PLC SWP		4,049			(31,781)
BHP BILLITON SWAP DB		6,512			(8,948)
BHP LIMITED AUD SWP CITI		69			(52)
BLACKSTONE GROUP SWP CS		(9,070	)		27,243
BN FP 2012 JUN 48 CALL 06/15/2012		72			28,793
BOSTON PROPERTIES INC SWP DB		145			1,879
BOUGHT AUD/SOLD USD		126,501.89			3,983
BOUGHT BRL/SOLD USD		736,027.60			(3,689)
BOUGHT CNY/SOLD USD		5,434,206.02			(70,431)
BOUGHT DKK/SOLD USD		172,994.19			(5,036)
BOUGHT EUR/SOLD USD		12,263,934.44			(188,755)
BOUGHT GBP/SOLD USD		248,697.15			(200)
BOUGHT HKD/SOLD USD		1,106,522.27			2,940
BOUGHT IDR/SOLD USD		233,804.30			(9,148)
BOUGHT INR/SOLD USD		127,354.78			(19,361)
BOUGHT JPY/SOLD USD		6,042,823.17			(7,158)
BOUGHT KRW/SOLD USD		1,888,144.47			(60,440)
BOUGHT MXN/SOLD USD		144,807.58			410
BOUGHT MYR/SOLD USD		167,880.98			(8,016)
BOUGHT NOK/SOLD USD		171,043.43			(5,375)
BOUGHT PHP/SOLD USD		1,116,315.00			(16,352)
BOUGHT SGD/SOLD USD		2,312.37			12
BOUGHT TWD/SOLD USD		308,915.21			(16,476)
BPIM DFT 100 20JUNE2014 DB		108,000			21,749
BPIM DFT 100 20JUNE2014 JPM		108,000			21,749
BPIM DFT 100 20JUNE2014 MS		102,000			20,540
BPIM DFT 100 20JUNE2014 UBS		90,000			18,124
BRASIL BROKERS PARTICIPACOES		22,869			(3,326)
BRE 4.125 26 L+60 DB ASW		125,000			0
BRENT CRUDE FUTR FEB12		(9	)		6,210
BRITISH AIRWAYS DFT 500 20SEP2014 BARC		100,000			5,454
BRITISH AIRWAYS DFT 500 20SEP2014 JPM		650,000			35,449
BRITISH AIRWAYS DFT 500 20SEP2014 ML		90,000			4,908
BRITISH AIRWAYS DFT 500 20SEPT2014 CS		350,000			15,948
BRITISH POUND Forward		(13,200,000	)		128,300
BUNZL PLC SWAP		22,015			27,552
BURU ENERGY LTD AUD SWP CITI		(11,843	)		(303)
BURU ENERGY LTD AUD SWP MS		(6,862	)		(151)
BWA DFT 100 06/20/2012 BAC		500,000			(1,652)
BWA DFT 370 06/20/2012 BAC		500,000			(8,115)
BWPC569S9 CDS USD P F 1.00000		(1,200,000	)		5,432
BWPC569S9 CDS USD R V 00MEVENT		1,200,000			(8,329)
BWU0397T5 IRS USD P F 3.25000		(1,200,000	)		(134,670)
BWU0397T5 IRS USD R V 03MLIBOR		1,200,000			96,000
BWU0618T8 IRS USD P F 3.50000		(800,000	)		(107,202)
BWU0618T8 IRS USD R V 03MLIBOR		800,000			96,391
BXP 2.875 37 L+57 DB ASW		100,000			0
BXP 3.625 144A SWP DB 1		524,000			135,784

62

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
BXP CS SWP USD		(1,750	)		(7,733)
BXP DFT 172 03/20/2014 CS		500,000			(6,880)
C.N 2012 JAN 5 CALL 01/21/2012		325			163
CAC40 10 EURO FUT JAN12		(33	)		(52,885)
CAMELOT INFORMATION SYS-ADS		41,241			(103,563)
CANADIAN DOLLAR Forward		(500,000	)		(96)
CAP GEMINI SWP		(3,847	)		13,071
CAP GEMINI SWP		(951	)		(978)
CAR 2013 JAN 15 CALL 01/19/2013		(81	)		(8,505)
CAR 2013 JAN 17.5 CALL 01/19/2013		(94	)		(5,640)
CAR DFT 500 12/20/2014 BAC3		500,000			13,657
CAR DFT 500 12/20/2014 DB		500,000			13,657
CARLSBERG AS-B SWP		(531	)		(1,000)
CCB HKD SWP UBS DEAL SHS LOCKED UP UNTIL 22FEB12		1,884,000			84,705
CCI.N 2013 JAN 40 CALL 01/19/2013		399			317,205
CCS160078 CYS JPY P V 03MLIBOR		(230,000,000	)		(186,145)
CCS160078 CYS USD R V 03MLIBOR		2,804,878			2,220
CCS160102 CYS JPY P V 03MLIBOR		(191,730,000	)		(184,291)
CCS160102 CYS USD R V 03MLIBOR		2,310,000			888
CDX NA HY SER 17 500 12/20/2016 JPM		2,450,000			171,636
CEMEX SAB-SPONS ADR SWP CITI		(11,781	)		(707)
CENTRAL JAPAN RAILWAY CO		(43	)		3,602
CFX 2012 JAN 40 CALL 01/21/2012		(10	)		(50)
CFX 2012 JAN 40 PUT 01/21/2012		10			12,350
CHARTER COMMUNICATIONS-CWAR 11/30/14		2,671			48,105
CHARTER INTERNATIONAL PLC SWP		115,729			19,286
CHE 1.875 14A ASW 15MAY14		100,000			0
CHEUNG KONG INFRASTRUCTURE SWP CS		(26,000	)		(3,280)
CHEUNG KONG INFRASTRUCTURE SWP DB		(17,000	)		(2,278)
CHEUNG KONG INFRASTRUCTURE SWP JPM		(11,000	)		(3,055)
CHF / USD FORWARD, 01-03-12		3,611			15
CHINA CONSTRUCTION BANK HKD JPM SWP		(122,000	)		437
CHINA CONSTRUCTION BANK HKD SWP CS		(121,000	)		(3,995)
CHINA CONSTRUCTION BANK HKD SWP MS		(356,000	)		(1,565)
CHINA CONSTRUCTION BANK HKD SWP UBS		(239,000	)		826
CHINA CONSTRUCTION BANK HSBC HKD SWP		(416,000	)		(10,707)
CHINA CONSTRUCTION BANK-H HKD SWP NOM		(630,000	)		(6,211)
CHINA MERCHANTS BANK — H HKD SWP NOM		(43,000	)		1,056
CHINA MERCHANTS BANK — H SWAP BARC		(87,000	)		(4,876)
CHINA MERCHANTS BANK — H SWP HKD UBS		(71,500	)		65
CHINA MERCHANTS BANK HKD SWP DB		(25,500	)		(70)
CHINA MERCHANTS BANK HKD SWP ML		(10,500	)		761
CHINA MINSHENG BANKING — H-SHRS HKD SWP CITI		(52,500	)		270
CHINA MINSHENG BANKING — H-SHRS HKD SWP CS		(376,500	)		(28,284)
CHINA MINSHENG BANKING — H-SHRS HKD SWP HSBC		(118,000	)		(8,138)
CHINA MINSHENG BANKING — H-SHRS HKD SWP JPM		(123,500	)		(3,993)
CHINA MINSHENG BANKING — H-SHRS HKD SWP NOM		(16,500	)		(270)
CHINA MINSHENG BANKING — H-SHRS HKD SWP RBS		(33,500	)		(919)
CHINA MINSHENG BANKING — H-SHRS HKD SWP UBS		(426,000	)		(5,179)
CHINA OVERSEAS LAND & INVEST HKD SWP ML		(90,000	)		14,046
CHINA OVERSEAS LAND & INVEST HKD SWP UBS		(8,000	)		5
CHINA PETROLEUM & CHEMICAL CORP SWP DB		(66,000	)		319
CHINA PETROLEUM & CHEMICAL CORP SWP MS		(8,000	)		36

63

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
CHINA SHENHUA ENERGY CO SWP ML		(55,700	)		12
CHINA SHENHUA ENERGY CO USD SWP ML		62,600			8,350
CHINA UNICOM HONG KONG LTD HKD SWP CS		(66,000	)		(323)
CHINA UNICOM HONG KONG LTD HKD SWP JPM		(50,000	)		(1,671)
CHINA UNICOM HONG KONG LTD HKD SWP ML		(10,000	)		(498)
CHINA UNICOM HONG KONG LTD HKD SWP NOM		(40,000	)		857
CHIYODA CORP JPY SWP NOMURA		(30,000	)		(7,819)
CIE FINANCIERE RICHEMONT SWP		(15,726	)		(9,994)
CITIC SECURITIES CO LTD-H HKD SWP ML		(26,500	)		10,352
CITIGROUP INC 0% PFD SWP DB		23,690			(648,064)
CITIGROUP SWP CS		(8,450	)		41,497
CITIGROUP SWP DB		(58,039	)		1,307,544
CLARIANT AG 100 DFT 20DEC2014		125,000			6,398
CLARIANT AG 3% 07/07/14 JPM SWAP		430,000			3,587
CLARIANT AG-REG SWP JPM		(30,636	)		3,343
CLARIANT DFT 100 20SEP2014 BOA		25,000			1,180
CMED ADR SWP CS		(9,062	)		245,000
CMED ML SWP USD		(2,129	)		19,566
COAL INDIA LTD JAN12 USD STK FUT SWP ML (X1K)		(22,000	)		(254)
COAL INDIA LTD JAN12 USD STK FUT SWP UBS (X1K)		(4,000	)		67
COAL OF AFRICA LTD SWP CSFB		73,471			(18,590)
COLFAX CORP GBP MS SWP		(4,885	)		(34,761)
COLFAX CORP GBP SWP		(3,724	)		(4,588)
COLFAX CORP GBP SWP DB		(5,314	)		12,516
COLFAX CORP SWP		(1,967	)		(13,398)
COMMERZBANK AG SWAP		(25,953	)		(1,387)
COMMERZBANK AG SWAP		(6,221	)		112
COMPAGNIE DE SAINT-GOBAIN SWP		(13,457	)		(12,720)
COMPAGNIE DE SAINT-GOBAIN SWP		(714	)		1,887
CONSUMER STAPLES SPDR SWP MS		(13,137	)		(8,447)
CONTINENTAL AG		2,924			2,520
CONTINENTAL AG		16,895			(52,214)
CQB 2012 JAN 7.5 PUT		128			320
CRH PLC SWP		(36,093	)		(41,085)
CS PRIME RMBS 2010-1 DFT 07/20/2047 CS		(790,879	)		4,830
CSAPMIDC — HK/SG MID CAP BASKET USD SWP CS		(4,284	)		74,587
CTX DFT 325 03/20/2014 CS		500,000			(2,636)
CTX DFT 365 03/20/2014 CS		500,000			(6,853)
CX US 2013 JAN 4.81 PUT 01/19/2013		217			30,918
DAEWOO INTL CS USD SWP		(4,950	)		73,399
DAEWOO INTL DB USD SWP		(4,000	)		49,393
DAEWOO INTL USD SWP BZW		(1,000	)		13,991
DAEWOO INTL USD SWP ML		(300	)		456
DAEWOO INTL USD SWP USD UBS		(8,070	)		35,603
DAIKIN INDUSTRIES NOM JPY SWP		(1,500	)		1,338
DAIMLER AG SWP		(6,055	)		14,525
DAIWA SECURITIES GROUP CITI JPY SWP		(7,000	)		—
DAIWA SECURITIES GROUP INC JPY SWP CS		(28,000	)		(660)
DANONE SWP		(3,603	)		(7,307)
DAX 2012 MAR 5500 PUT 03/16/2012		(72	)		(79,485)
DAX 2012 MAR 5800 PUT 03/16/2012		72			125,284
DDR DFT 12/20/2015 100 CITI		250,000			18,357
DEUTSCHE BANK AG-REGISTERED SWP		(1,770	)		(3,498)

64

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
DISH Mar12 25 CALL		(52	)		(23,660)
DIXONS RETAIL PLC DFT 500 20DEC2016 CITI		192,000			46,445
DIXONS RETAIL PLC DFT 500 20DEC2016 JPM		72,000			17,417
DIXONS RETAIL PLC DFT 500 20MAR2013 CITI		162,000			15,750
DIXONS RETAIL PLC DFT 500 20MAR2013 JPM		32,000			3,111
DIXONS RETAIL PLC DFT 500 20MAR2013 MS		153,000			14,875
DIXONS RETAIL PLC DFT 500 20SEP2016 CITI		49,000			11,643
DIXONS RETAIL PLC DFT 500 20SEP2016 MS		111,000			26,374
DJ EUROPE ST INSUR INDEX ML EUR SWP		(1,235	)		14,726
DJ EUROPE ST INSUR INDEX MS SWP		(1,361	)		38,051
DJ EUROPE STOXX TECH (PRICE) INDEX CS		(968	)		(1,998)
DJ EUROPE STOXX TECH (PRICE) INDEX ML SWP		(110	)		3,568
DJ EUROSTOXX 600 INDEX ML SWAP		(198	)		9,038
DJ STOXX 600 AUTO P IX MS SWP EUR		(546	)		9,876
DJ STOXX 600 BANK MS SWP EUR		(400	)		31,598
DJ STOXX 600 BASIC RESOURCE SWP CSFB		(421	)		(2,488)
DJ STOXX 600 BASIC RESOURCES JPM SWP		(630	)		(17,785)
DJ STOXX 600 BASIC RESOURCES MS SWP		(4,543	)		(76,916)
DJ STOXX 600 CHEM MS EUR SWP		(220	)		(3,229)
DJ STOXX 600 IGS DB SWP EUR		(237	)		(2,291)
DJ STOXX 600 IGS JPM SWP EUR		(427	)		(9,796)
DJ STOXX 600 IGS ML SWP EUR		(126	)		(1,761)
DJ STOXX 600 IGS MS SWP EUR		(1,424	)		(27,726)
DJ STOXX 600 IGS UBS SWP EUR		(504	)		(10,050)
DJ STOXX 600 UTILITIES JPM SWP EUR		(911	)		(10,765)
DJS SMALL CAP 22 INDEX ML SWP		(1,632	)		(12,029)
DOLLAR GENERAL CORP MS SWAP		(34,544	)		5,381
DOMINION PETROLEUM LTD SWP		615,766			13,990
DONGFANG ELECTRIC CORP LTD-HKD SWP ML		(27,200	)		5,027
DONGFENG MOTOR GRP CO LTD-HKD SWP CS		(16,000	)		(1,307)
DONGFENG MOTOR GRP CO LTD-HKD SWP ML		(134,000	)		(24,639)
DOOSAN INFRACORE CO LTD RBS USD SWP		(330	)		55
DOOSAN INFRACORE CO LTD USD SWP NOMURA		(840	)		298
DPW GY 2012 DEC 14 CALL 12/21/2012		607			25,924
DULUTH EXPLORATION LIMITED WTS		3,393			1,499
DVN 2012 JAN 65 CALL		49			4,263
EADS DFT 100 20MAR2017 BARC		239,000			13,601
EADS DFT 100 20MAR2017 MS		160,000			9,105
EBRO FOODS SA SWP		(7,989	)		(18,514)
ELI LILLY & CO SWP		(3,032	)		(236)
ELPIDA MEMORY ASW 30SEP13 300 NOM3		160,000,000			21
ELPIDA MEMORY ASW 30SEP13 300 NOM4		10,000,000			1
ELPIDA MEMORY INC NOM JPY SWP		(16,700	)		9,627
ENERGY SELECT SECTOR SPDR SWP CS		(34,104	)		(30,741)
ENERGY SELECT SECTOR SPDR SWP MS		(11,959	)		11,354
ENTERTAINMENT ONE LTD SWP		46,055			1,598
EOP DFT 100 03/20/2017 CITI		4,000,000			106,044
EPISTAR CORP		(351,858	)		(85,829)
EQR DFT 100 03/20/2015 JPM		500,000			7,731
ERSTE GROUP BANK AG SWAP		(13,405	)		(29,778)
EUO 2012 JAN 21 CALL 01/21/2012		60			1,650
EUR / USD FORWARD, 01-03-12		14,318			27
EUR / USD FORWARD, 01-04-12		2,301			(1)

65

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
EUR CALL / USD PUT K=1.48 29MAY2012 MS		(3,515,476	)		(10,307)
EUR FX 3/13/12 FWD (JALC)		(2,660,000	)		24,752
EUR FX 3/14/12 FWD (JA)		(440,000	)		4,074
EUR FX 3/16/12 FWD (BCLC)		(800,000	)		7,399
EUR FX 3/19/12 FWD (BRC)		(2,030,000	)		18,916
EUR FX 3/21/12 FWD (BN)		(780,000	)		7,198
EUR PUT / USD CALL K=1.1125 29MAY2012 MS		1,757,738			11,709
EUR PUT / USD CALL K=1.225 29MAY2012 MS		(5,273,214	)		(108,023)
EUR PUT / USD CALL K=1.30 29MAY2012 MS		3,515,476			138,493
EURASIAN NATURAL RESOURCES SWP		82,059			(15,243)
EURO CHF 3MO LIFF JUN12		(1	)		(2,158)
EURO CHF 3MO LIFFE MAR12		(1	)		(1,731)
EURO STOXX 50 MAR12		(3	)		(2,097)
EURO-BOBL FUTURE MAR12		1			2,394
EUROPEAN MONETARY UNIT Forward		(34,000,000	)		338,365
EURO-SCHATZ FUT MAR12		(1	)		(408)
EXXI Feb12 33 CALL		(110	)		(24,750)
EXXI Jan12 34 CALL		(100	)		(7,000)
EXXI Mar12 34 CALL		(112	)		(25,760)
F.N 2013 JAN 10 CALL 01/19/2013		(6	)		(1,218)
F.N 2013 JAN 17.5 CALL 01/19/2013		(156	)		(2,730)
F.N 2013 JAN 17.5 PUT 01/19/2013		156			109,980
F.N 2013 JAN 20 CALL 01/19/2013		(124	)		(806)
F.N 2013 JAN 20 PUT 01/19/2013		124			116,870
FAR EASTERN NEW CENTURY CORP ML USD SWP		(17,720	)		4,814
FAURECIA SWP		(5,379	)		6,981
FORD MOTOR CO-CW13 9.2 01/01/2013		675			1,630
FOXCONN INTERNATIONAL HLDGS HKD SWP CS		(43,000	)		1,343
FOXCONN INTERNATIONAL HLDGS HKD SWP JPM		(54,000	)		1,465
FST.N 2012 JAN 25 CALL 01/21/2012		111			1,388
FTSE 100 IDX FUT MAR12		(3	)		(6,026)
FTSE 350 SUPPORT SERV IX ML SWAP		(30	)		(15,910)
FWLT 2012 JAN 45 CALL 01/21/2012		222			1,776
GBP FX 3/13/12 FWD (JALC)		(330,000	)		4,409
GBP FX 3/14/12 FWD (JA)		(130,000	)		1,737
GBP FX 3/15/12 FWD (LC)		(2,710,000	)		36,196
GBP FX 3/19/12 FWD (BRC)		(540,000	)		7,210
GBP/EUR 14JUN12 OTF MS		(34,759	)		(4,195)
GBP/EUR 14MAR12 OTF MS		(42,729	)		(5,278)
GBP/EUR 17DEC12 OTF MS		(32,163	)		(3,839)
GBP/EUR 17SEP12 OTF MS		(35,055	)		(4,247)
GCCFC 2005-GG5 G DFT 110 04/10/2037 MS		1,000,000			825,000
GECC 06/20/2014 MS DFT 100		200,000			5,224
GENEL ENERGY PLC SWP		47,040			(86,915)
GENERAL MOTORS CW 07/10/19 SWP DB		71			2
GENERAL MOTORS SWP DB		(3,641	)		(655)
GENERAL MOTORS-CW 07/10/16		13,034			152,563
GENERAL MOTORS-CW 07/10/19		2,423			19,021
GENERL MOTORS CW 07/10/16 SWP DB		3,654			658
GENTING SINGAPORE PLC NOM SGD SWP		(54,000	)		9,158
GENTING SINGAPORE PLC SGD SWP CS		(9,000	)		550
GENTING SINGAPORE PLC SGD SWP DB		(44,000	)		2,655
GERMAN EURO BOBL FUTURES		4,200,000			117,735

66

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
GERMAN EURO BUND FUTURES		5,600,000			281,961
GLENCORE 5 12/31/2014 CS SWP		400,000			(21,182)
GLENCORE 5 12/31/2014 UBS		100,000			(6,264)
GLENCORE DFT 100 20DEC2014 CS		300,000			25,813
GLENCORE DFT 100 20DEC2014 ML		200,000			17,209
GLENCORE INTERNATIONAL PLC SWP USD		(167,084	)		77,749
GLENCORE INTERNATIONAL SWP		361,802			(44,004)
GM 6.25% SER C PFD STUB SWP DB		39,428			10,843
GM.N 2013 JAN 13 CALL 01/19/2013		(80	)		(64,600)
GOLDEN AGRI-RESOURCES-CW12		1,213,600			154,942
GREE INC BARC JPY SWP		(400	)		(78)
GREE INC DB JPY SWP		(2,700	)		(4,846)
HAL 2012 JAN 32 CALL 01/21/2012		261			79,605
HAL Apr12 33 PUT		(234	)		(69,030)
HAL Jan12 34 PUT		(657	)		(76,869)
HAL Jan12 36 PUT		(283	)		(64,241)
HANG SENG IDX FUT JAN12		(1	)		824
HANWHA SOLARONE CO LTD SWP MS		(5,028	)		87
HEALTH CARE SELECT SECTOR SPDR SWP CS		(23,708	)		(20,390)
HEIDELBERGCEMENT AG SWP		5,332			2,556
HEIDELBERGCEMENT AG SWP		15,635			(10,228)
HENGAN INTL GROUP CO LTD HKD SWP UBS		3,000			1,748
HERO MOTOCORP LTD JAN12 USD STK FUT SWP NOM (X125)		(2,250	)		(922)
HINDUSTAN UNILEVER JAN12 USD STK FUT SWP ML (X1K)		(12,000	)		856
HKD / USD FORWARD, 01-03-12		386,706			31
HKD / USD FORWARD, 01-04-12		202,458			(5)
HOLCIM LTD — REG SWP		(1,537	)		(1,632)
HOME INNS & HOTELS MANAG-ADR		2,003			(1,271)
HOME RETAIL GROUP		(272,990	)		(14,595)
HONAM PETROCHEMICAL USD SWAP CS		(170	)		623
HONG KONG DOLLAR Forward		(265,000,000	)		(59,230)
HONG KONG DOLLAR Forward		145,000,000			26,870
HOST HOTELS & RESORTS INC CS SWP USD		(17,040	)		(17,714)
HPT 3.8 27 L+60 DB ASW		250,000			0
HSCEI 11500 CALL 30JAN12 ML		4,200			5,854
HSCEI 12200 CALL 30JAN12 ML		(4,200	)		(1,340)
H-SHARES IDX FUT JAN12		(23	)		19,610
HSI 20000 CALL 30JAN12 CITI		900			6,140
HSI 21600 CALL 30JAN12 CITI		(900	)		(495)
HST 2012 JAN 12.5 CALL		(39	)		(9,263)
HST 2012 JAN 12.5 PUT 01/21/2012		39			195
HST 2013 JAN 12.5 PUT 01/19/2013		(39	)		(6,045)
HST DFT 500 12/20/2015 UBS		1,000,000			(79,059)
HTZ DFT 500 06/20/2014 CS		250,000			(6,763)
HUMAN GENOME SCIENCES SWP CITI		(4,582	)		(1,466)
HYNIX CALLABLE DFT 20JUN13 355 SCB		100,000			565
HYNIX DFT 20JUN13 500 BOA		200,000			(2,965)
HYNIX DFT 20JUN13 500 BOA2		100,000			(1,482)
HYNIX DFT 20JUN13 500 BOA3		100,000			(1,482)
HYNIX DFT 20JUN13 500 CS		400,000			(5,930)
HYNIX DFT 20JUN13 500 JPM2		100,000			(1,482)
HYNIX DFT 20JUN13 500 NOM		200,000			(2,965)
HYNIX DFT 500 20JUN13 CS		100,000			(1,482)

67

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
HYNIX DFT 500 20JUN13 CS2		400,000			(5,930)
HYNIX SEMI DFT 100 20JUN13 CS		100,000			4,165
HYNIX SEMI DFT 20JUN13 380 BOA		100,000			212
HYNIX SEMI DFT 500 20JUN13 NOM		1,000,000			(14,824)
HYNIX SEMICONDUCTOR USD SWP CS		(35,040	)		281,441
HYNIX SEMICONDUCTOR USD SWP ML		(12,120	)		30,386
IAG SWP DB		(4,641	)		1,407
ILUKA RESOURCES LTD SWP MS		(3,115	)		(2,131)
ING GROEP NV SWP		152,307			(30,884)
INTERNATIONAL CONSOLIDATED AIR GRP SWP MS		(468,625	)		735,745
INTERNATIONAL CONSOLIDATED AIRLINES SWP BARC		(88,540	)		5,024
INTERNATIONAL POWER PLC L USD SWP ML		(742,836	)		(32,535)
INTERNATIONAL POWER PLC SWP USD MS		(1,482	)		(28)
INTERNATIONAL POWER SWP BARC USD		(6,112	)		28
INVENSYS PLC SWP		153,915			24,349
IR 2012 JAN 17.5 PUT		(45	)		(113)
IR 2012 MAR 18 PUT 03/17/2012		(88	)		(1,100)
IR DFT 100 06/20/2012 DB2		500,000			(2,156)
IRELAND DFT 100 20MAR2017 ML		320,000			75,922
IRELAND DFT 100 20MAR2017 MS		593,000			140,692
ISHARES A50 CHINA TRACKER SWP MS		(82,200	)		15,792
ISHARES A50 CHINA TRACKER SWP UBS		(165,600	)		27,779
ISHARES DOW JONES U.S. REAL ESTATE INDEX CS		(1,145	)		(435)
ISHARES FTSE A50 CHINA TRACKER SWP CITI		(50,100	)		(903)
ISHARES FTSE/XINHUA CHINA SWP CS		(20,242	)		(14,859)
IVN 2012 JAN 17.5 PUT 01/21/2012		124			16,740
JAPANESE YEN Forward		(600,000,000	)		(91,256)
JB HI-FI LTD		(4,814	)		10,895
JIANGXI COPPER COMPANY LTD — H HKD SWP CS		(35,000	)		6,081
JIANGXI COPPER COMPANY LTD SWP MS		(30,000	)		(1,289)
JOHNSON & JOHNSON CHF SWP BARC		(807	)		180
JOHNSON & JOHNSON CHF SWP MS		(2,459	)		(2,959)
JYSKE BANK-REG SWP		220			(582)
KBC GROEP NV SWP		549			383
KBC GROEP NV SWP		25,796			(7,008)
KCC DFT 20JUN12 130 ML		600,000			0
KEPPEL CORP BARCLAYS SGD SWP		(18,000	)		(354)
KEPPEL CORP CITI SGD SWP		(45,000	)		4,513
KEPPEL CORP JPM SGD SWP		(35,000	)		(4,732)
KEPPEL CORP NOM SGD SWP		(43,000	)		(38,271)
KEPPEL LAND L+190 ASW 29NOV15 MS		300,000			0
KHAZANAH / PARKSON ASW 12MAR13		100,000			0
KINTETSU CORP		(104,285	)		(46,196)
KOMATSU DFT 105 20DEC13 UBS		10,000,000			(1,829)
KOMATSU DFT 140 20DEC13 CS		10,940,000			(2,987)
KOMATSU LTD CITI JPY SWP		(4,100	)		—
KOMATSU LTD JPY SWP CS		(3,500	)		883
KONE OYJ B SWP		(2,567	)		4,283
KONICA CORP JPY SWP ML		(18,500	)		1,153
KONICA MINOLTA CS JPY SWP		(3,500	)		422
KONICA MINOLTA JPM JPY SWP		(9,500	)		337
KONINKLIJKE PHILIPS ELECTRONICS SWP		(5,996	)		(3,298)
KOREAN WON Forward		(458,960,000	)		(980)

68

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
KOREAN WON Forward		(339,735,000	)		700
KOSMOS ENERGY LTD SWP MS		(6,440	)		3,008
KOSPI2 255 CALL 12JAN12 NOM		7,900,000			3,523
KOSPI2 262.5 CALL 12JAN12 NOM		(7,900,000	)		(1,059)
KOTAK MAHINDRA BK JAN12 USD STK FUT SWP CS (X500)		(5,000	)		1,635
KOTAK MAHINDRA BK JAN12 USD STK FUT SWP ML (X500)		(7,000	)		3,988
LARSEN & TOUBRO JAN12 USD STK FUT SWP JPM (X250)		(3,500	)		2,834
LAS VEGAS SANDS CORP SWP MS		13,758			(53,519)
LEAP US 2012 JAN 9 CALL 01/21/2012		91			9,874
LEN DFT 500 12/20/2016 BOA		500,000			(24,645)
LENZING AG SWP		1,292			(9,213)
LG DISPLAY CO NOM USD SWP		(2,070	)		3,432
LG ELECTRONICS INC NOM USD SWP		(1,170	)		(501)
LG ELECTRONICS INC UBS USD SWP		(130	)		(16)
LG ELECTRONICS INC USD SWP ML		(1,300	)		2,911
LG ELECTRONICS INC USD SWP MS		(30	)		24
LIBERTY DFT 500 09/20/2016 RBS		500,000			(39,445)
LIC HOUSING FINANC JAN12 USD STK FUT SWP CS (X1K)		(5,000	)		(136)
LIC HOUSING FINANC JAN12 USD STK FUT SWP ML (X1K)		(6,000	)		(44)
LIC HOUSING FINANC JAN12 USD STK FUT SWP UBS (X1K)		(4,000	)		23
LIFE 2012 JAN 50 CALL 01/21/2012		16			40
LLOYDS DFT 20MAR2017 500 MS		668,000			56,641
LLOYDS DFT 300 20MAR2017 MS		162,000			2,780
LOJAS AMERICANAS 13.15 SWAP		34			(5,317)
LOJAS AMERICANAS SA-PREF		153,166			43,387
LONGFOR PROPERTIES HKD SWP ML		(55,500	)		5,200
LONGTOP FINANCIAL TECHNO — ADR		29,100			(706,785)
LOTTE SHOPPING CO SWP USD RBS		(340	)		(11,887)
LOTTE SHOPPING CO USD SWA JPM		(660	)		(23,171)
LOTTE SHOPPING CO USD SWP ML		(491	)		1,836
LOTTE SHOPPING DFT 20SEP14 100 NOM		1,200,000			20,546
LVS 2012 JAN 50 CALL 01/21/2012		71			533
MAGNIT OJSC SWP USD MS		7,600			(28,220)
MAGNIT OJSC USD SWP EXP		(190	)		42
MAGNIT OJSC-SPON GDR REGS SWP		(38,000	)		(59,104)
MARINE HARVEST SWAP		134,382			(180)
MARINE HARVEST SWAP		241,514			2,078
MARKIT ITRX EUR SUB FIN S16 500 12/20/2016 MS		786,000			2,120
MARKIT ITRX EUR SUB FIN S16 500 20DEC2016 CIT		419,000			1,130
MARKIT ITRX EUR SUB FIN S16 500 20DEC2016 DB		786,000			2,120
MARKIT ITRX EUR SUB FIN SER16 500 12/20/2016		419,000			1,130
MARKIT ITRX EUR SUB FIN SER16 500 12/20/2016 ML		524,000			1,413
MAS DFT 540 03/20/2014 DB		500,000			(30,408)
MATERIALS SELECT SECTOR SPDR SWP CS		(29,739	)		(34,732)
MAZDA MOTOR CORP CS JPY SWP		(27,000	)		2,765
MAZDA MOTOR CORP JPY DB SWP		(24,000	)		3,564
MAZDA MOTOR CORP UBS JPY SWP		(39,000	)		38,900
MDAX PERF INDEX UBS SWP		(14	)		(3,479)
MEDIATEK INC 2454.TT		(88,422	)		56,933
MEDIATEK INC ML USD SWP		(18,000	)		24,525
MERCK KGAA SWAP		(176	)		(1,298)
MET Jan12 30 PUT		(316	)		(19,592)
MET Jan12 31 PUT		(164	)		(16,236)

69

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
MICHELIN (CGDE)-B SWAP		(3,480	)		(4,856)
MITSUBISHI HEAVY INDUS BARC JPY SWP		(82,000	)		(13,204)
MITSUBISHI HEAVY INDUS CS JPY SWP		(109,000	)		(1,868)
MITSUBISHI HEAVY INDUS DB JPY SWP		(9,000	)		(513)
MITSUBISHI HEAVY INDUS ML JPY SWP		(21,000	)		(2,241)
ML CUSTOM BASKET (F3RETG W/O NXT LN) SWAP		(210	)		(12,066)
MLEIOZOG SWP ML		(6	)		10,051
MMR Jan12 12.50 CALL		(294	)		(74,529)
MMR Jan12 14 CALL		(403	)		(64,480)
MSCI SING IX ETS JAN12		(11	)		7,054
MSCI TAIWAN INDEX JAN12		(15	)		600
MTU AERO ENGINES HOLDING AG SWP		(2,462	)		(8,351)
MURATA MANUFACTURING CO SWP ML		(2,200	)		5,556
MYL 2012 JAN 7.5 PUT 01/21/2012		122			915
MYL 2013 JAN 10 PUT 01/19/2013		51			1,887
NAGOYA ASW 40 30MAR12 BAR		30,000,000			545
NASDAQ 100 E-MINI MAR12		(28	)		9,100
NCSOFT CORPORATION USD SWP ML		(484	)		(5,232)
NEDBANK GROUP LTD UBS SWP		(3,052	)		(3,150)
NEWS CORP SWP RBS		(15,948	)		(23,763)
NEWS CORP-B SWP CITI		33,218			(1,661)
NEWS CORP-CL A SWP CITI		(33,218	)		(2,990)
NEXT DFT 100 20MAR2017 DB		562,000			30,016
NEXT PLC SWP		11,204			8,260
NIDEC CORP ASW 40 20SEP13 NOM		130,000,000			41,021
NIDEC CORP CS JPY SWP		(400	)		(446)
NIDEC CORP JPY SWP NOMURA		(2,800	)		(16,362)
NIDEC CORP NOM JPY SWP		(900	)		(3,995)
NIELSEN HOLDINGS SWP CSFB		(56,229	)		6,498
NIFTY 5000 CALL 25JAN12 CS		2,900			876
NIFTY 5000 CALL 25JAN12 ML		2,950			884
NIKKEI 225 (SGX) MAR12		(4	)		(1,104)
NIPPON PAPER GROUP INC		(10,619	)		25,552
NLY 6% PFD DB SWP		4,511			74,171
NLY P7.5 2012 JAN 7.5 PUT		378			189
NOBL DFT 20SEP14 100 BOA		600,000			65,255
NOBLE GROUP ASW 170 SCB 13JUN14		200,000			—
NOKIA OYJ SWP		8,789			(5,510)
NOMURA CHINA BANKS H-SHR INDX HKD SWP NOM		(1,015	)		(7,381)
NORDEA BANK AB SWP		(34,241	)		(4,740)
NORMA GROUP SWP		9,639			(48,299)
NORWEGIAN KRONA Forward		(1,500,000	)		(477)
NTT CORP DB JPY SWP		(2,400	)		(159)
NTT CORP JPY SWP NOM		(800	)		870
NTT CORP JPY SWP UBS		(1,600	)		(2,001)
NYRSTAR 7 07/10/2014 SWP ML		200,000			(8,470)
NYRSTAR SWP ML		(28,617	)		7,037
NYX Jan12 22.50 PUT		(103	)		(515)
NYX Jan12 24 PUT		(115	)		(1,725)
NYX Jan12 25 PUT		(161	)		(5,313)
OCI CO LTD SWP USD RBS		(44	)		406
OCI CO LTD USD SWP BZW		(170	)		(2,103)
OCI CO LTD USD SWP CS		(363	)		(5,010)

70

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
OCI CO LTD USD SWP HSBC		(130	)		1,768
OCI CO LTD USD SWP ML		(657	)		3,274
OCI CO LTD USD SWP NOMURA		(203	)		(2,904)
OCI CO LTD USD SWP UBS		(115	)		(1,416)
OCR DFT 100 12/20/2015 DB		500,000			29,697
OCR DFT 500 12/20/2015 BARC		500,000			(44,546)
ODAKYU ELECTRIC RAILWAY CO		(35,981	)		(34,280)
OLD MUTUAL PLC SWP		141,478			62,354
OLD MUTUAL PLC UBS ZAR SWAP		58,921			23,322
OLYMPUS CORP BARC JPY SWP		(26,700	)		56,817
OLYMPUS CORP CITI JPY SWP		(1,200	)		—
OLYMPUS CORP CS JPY SWP		(7,600	)		41,979
OLYMPUS CORP DB JPY SWP		(2,400	)		14,019
OLYMPUS CORP HSBC JPY SWP		(2,500	)		10,290
OLYMPUS CORP JPM JPY SWP		(6,900	)		29,567
OLYMPUS CORP ML JPY SWP		(7,700	)		(3,581)
OLYMPUS CORP NOM JPY SWP		(18,000	)		6,530
OMXS30 IND FUTURE JAN12		19			9,584
ORIX ASW L+150 31MAR14 DB2		20,000,000			29,918
ORIX ASW L+155 31MAR14 DB		100,000,000			151,019
OZ PAY 2.75% REC 3M NZD NFIX3FRA 13DEC13 HSBC		3,000,000			(1,162)
OZ PAY 2.76% REC 3M NZD NFIX3FRA 14DEC13 HSBC		3,000,000			(1,707)
OZ PAY 3.28% REC 3M NZD NFIX3FRA 09SEP13 DB		1,500,000			(10,966)
OZ PAY 4.855% REC 6M AUD BBSW ACT/365 03JAN24 MS		1,200,000			3,666
OZ PAY 4.93% REC 6M BBSW 23DEC23 MS		1,100,000			(3,102)
OZ REC 4.15% PAY 3M NZD NFIX3FRA 13DEC21 HSBC		700,000			6,356
OZ REC 4.16% PAY 3M NZD NFIX3FRA 14DEC21 HSBC		700,000			6,827
OZ REC 4.69% PAY 6M AUD BBSW ACT/365 03JAN19 MS		2,100,000			1,665
OZ REC 4.7% PAY 6M BBSW 23DEC18 MS		2,000,000			2,964
OZ REC 4.87% PAYS 6M AUD BBSW ACT/365 16DEC18 UBS		3,000,000			8,657
PAY 0.415% REC 6M LIBOR 26NOV14 UBS		658,000,000			1,381
PAY 0.43% REC 6M LIBOR 27NOV14 UBS		661,000,000			118
PAY 0.449% REC 6M LIBOR 29MAY15 CS		220,000,000			(1,383)
PAY 0.476% REC 6M LIBOR 25NOV16 CS		131,500,000			705
PAY 0.535% REC 6M LIBOR 05DEC16 UBS		128,000,000			(4,119)
PAY 0.545% REC 6M LIBOR 01DEC16 JPM		131,000,000			(4,988)
PAY 3.4325% REC 3M NZD NFIX3FRA 02JUN13 DB		1,000,000			(7,966)
PAY 3.72% REC 3M NFIX3FRA 16SEP15 DB		3,800,000			(74,779)
PAY 4.58% REC 3M NFIX3FRA 16SEP21 DB		1,800,000			(64,357)
PAY DAILY AVG FED FUNDS + 23 BPS 01/14/2013 MS		7,000,000			8,488
PAY DAILY AVG FED FUNDS +24.125 BPS 01/12/2013 MS		7,000,000			7,605
PAY DAILY AVG FED FUNDS +24.36 BPS 01/13/2013 MS		12,000,000			12,796
PAY DAILY AVG FED FUNDS +24.625 BPS 01/12/2013 JPM		3,000,000			3,103
PCS US 2012 JAN 7.5 CALL 01/21/2012		60			8,100
PCS US 2012 JAN 9 CALL 01/21/2012		242			10,890
PHH DFT 500 09/20/2014 CS		500,000			73,226
PHH DFT 500 09/20/2014 JPM		1,000,000			146,453
PKD DFT 500 09/20/2012 JPM		500,000			(12,046)
PLATINUM FUTURE APR12 FUT SWP MS		(1	)		1,655
PLD 2.25 37 L+43 ASW		250,000			0
PLD DFT 275 06/20/2013 ML		500,000			(11,584)
PORTUGAL DFT 100 20DEC2016 CS		1,319,000			424,058
PORTUGAL DFT 100 20DEC2016 JPM		377,000			121,205

71

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
PORTUGAL DFT 100 20DEC2016 MS		943,000			303,174
PORTUGAL DFT 100 20JUN2015 JPM		67,000			19,076
PORTUGAL DFT 100 20JUN2015 MS		127,000			36,160
PORTUGAL DFT 100 20JUN2016 MS		372,000			115,433
PORTUGAL DFT 100 20MAR2017 MS		162,000			52,826
PORTUGAL DFT 100 20SEP2015 MS		50,000			18,722
PORTUGAL DFT 100 20SEP2016 MS		50,000			20,251
PORTUGAL DFT 100 20SEPT2016 CITI		320,000			101,248
PORTUGAL DFT 100 20SEPT2016 MS		991,000			313,552
PP FP 2012 JUN 130 CALL 06/15/2012		15			3,611
PPR DFT 100 20MAR2017 DB		562,000			31,655
PRADA S.P.A. HKD SWAP HSBC		(28,600	)		(6,851)
PRADA S.P.A. HKD SWAP MS		(38,000	)		12,824
PRADA S.P.A. HKD SWAP UBS		(16,900	)		625
PROLOGIS INC 2.625 05/15/2038 SWP DB		28,000			18,527
PUBLICIS GROUPE DFT 100 20SEP2014 BOA		75,000			206
PUBLICIS GROUPE SWP		(805	)		(2,073)
PUBLICIS GROUPE SWP MS		(3,093	)		(3,367)
PVH Mar12 60 PUT		(73	)		(9,855)
PVH Mar12 62.50 PUT		(185	)		(34,225)
PXD 2013 JAN 70 CALL 01/19/2013		(137	)		(368,530)
PXD 2013 JAN 70 PUT 01/19/2013		(59	)		(42,185)
PXD DFT 100 03/20/2013 BARC		500,000			(2,506)
PXD DFT 100 03/20/2013 RBS		500,000			(2,506)
QBD DFT 20JUN13 500 CS		100,000			(2,857)
QBE DFT 100 20JUN13 DB		600,000			17,140
QBE DFT 100 20JUN13 JPM2		1,000,000			28,566
QCOM Jan12 45 PUT		(134	)		(1,072)
QCOM Jan12 47.5 PUT		(87	)		(1,131)
RAIA DROGASIL SA		17,639			1,341
REC 0.40375% PAY 6M LIBOR 26NOV13 UBS		658,000,000			1,863
REC 0.41% PAY 6M LIBOR 27NOV13 UBS		661,000,000			2,402
REC 0.422% PAY 6M LIBOR 29MAY13 CS		661,000,000			2,536
REC 3.1025% PAY DAILY RBACOR ACT/365 07JUN12 MS		82,000,000			(58,239)
REC 4.29% PAY 3M NFIX3FRA 17SEP18 DB		4,700,000			150,320
REC 4.62% PAY 3M NZD NFIX3FRA 08SEP21 DB		400,000			16,128
REC 4.93% PAY 6M AUD BBSW ACT/365 17NOV17 UBS		1,700,000			7,943
REC 4.9475% PAY 6M BBSW A/365 24NOV18 UBS		1,300,000			7,469
REC 5.1575% PAY 3M NZD NFIX3FRA 02JUN21 DB		300,000			22,313
REED ELSEVIER NV SWP		10,596			7,795
REED ELSEVIER PLC EUR SWP		(33,579	)		(23,720)
RESTOQUE COMERCIO E CONFEC		3,298			14,576
RIG DFT 100 12/20/2012 BARC		3,000,000			30,743
RIG DFT 12/20/2012 JPM		1,500,000			20,447
RIGHTMOVE PLC		7,170			(1,786)
RIMM 2012 MAR 22.5 CALL 03/17/2012		223			5,910
RIO TINTO LIMITED SWP AUD CS		(459	)		10,440
RIO TINTO LIMITED SWP DB		(4,375	)		14,841
RIO TINTO LIMITED SWP ML		(2,644	)		24,392
RIO TINTO LIMITED SWP MS		(3,082	)		29,642
RIO TINTO LTD AUD UBS SWP		(1,732	)		9,863
RIO TINTO LTD GBP SWP		(1,990	)		41,114
RIO TINTO PLC SWP		2,509			(50,424)

72

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
RTO DFT 100 20MAR2017 BARC		162,000			10,715
RTO DFT 100 20MAR2017 MS		369,000			24,407
RUSSELL 2000 PRODUCER DURABLES INDEX SWP CS		(448	)		(7,097)
RUSSIA EX OIL (UBSORUSX) UBS SWP		(144	)		(10,202)
S&P MID 400 EMINI MAR12		(13	)		(11,895)
S&P500 EMINI FUT MAR12		(541	)		(685,646)
SAIPEM SPA SWP		(12,433	)		(58,312)
SAMSUNG ELECTRO-MECHANICS USD SWP ML		(658	)		1,846
SAMSUNG ELECTRONICS USD SWP CS		(16	)		(2,280)
SAMSUNG ELECTRONICS USD SWP HSBC		(66	)		(9,433)
SANOFI SWP		2,259			30,037
SANOFI-AVENTIS-CVR-W/I		131,081			154,020
SCHNEIDER ELECTRIC SA SWP		10,852			21,910
SEADRILL LTD SWP		(1,494	)		(9)
SEB AB SWP		5,801			(620)
SEB AB SWP		38,538			17,369
SEM GROUP LITIGATION TRUST		1			—
SEMBCORP MARINE LTD SWP HSBC		(43,000	)		(18,045)
SEMBCORP MARINE LTD SWP MS		(2,000	)		(1,030)
SFI DFT 500 03/20/2013 DB		500,000			43,721
SGX S&P CNX NIFTY JAN12		(39	)		9,023
SHANGHAI FRIENDSHIP GROUP-A HKD SWP DB		33,300			(26,562)
SHLD.N 2012 JAN 50 CALL 01/21/2012		11			28
SIEMENS AG-REG—SWP		(7,123	)		(11,606)
SINGAPORE DOLLAR Forward		(4,500,000	)		(16,935)
SKS / USD FORWARD, 01-03-12		(211,983	)		(99)
SKS / USD FORWARD, 01-04-12		(62,640	)		16
SLE 2012 JAN 15 PUT 01/21/2012		(113	)		(283)
SLE 2012 JAN 17.5 CALL 01/21/2012		113			16,385
SLE 2012 JAN 19 CALL 01/21/2012		1,189			35,670
SMITH & NEPHEW PLC SWP		2,858			(3,551)
SNDK 2012 JAN 15 PUT		82			41
SOLD AUD/BOUGHT USD		9,641,270.45			(353,055)
SOLD BRL/BOUGHT USD		787,729.76			31,773
SOLD CAD/BOUGHT USD		1,297,676.90			(7,423)
SOLD CNY/BOUGHT USD		5,240,000.00			(64,641)
SOLD EUR/BOUGHT USD		51,127,487.99			1,481,515
SOLD GBP/BOUGHT USD		8,787,022.04			84,968
SOLD HKD/BOUGHT USD		61,098.85			6
SOLD IDR/BOUGHT USD		222,565.36			3,457
SOLD INR/BOUGHT USD		120,000.00			13,973
SOLD JPY/BOUGHT USD		9,380,224.94			(27,732)
SOLD KRW/BOUGHT USD		1,873,448.25			45,602
SOLD MXN/BOUGHT USD		2,039,079.18			68,228
SOLD MYR/BOUGHT USD		162,000.00			5,802
SOLD NZD/BOUGHT USD		3,468,695.39			(153,722)
SOLD PHP/BOUGHT USD		1,130,232.59			27,458
SOLD TWD/BOUGHT USD		315,000.00			16,896
SONY CORP CS JPY SWP		(5,400	)		954
SONY CORP ML JPY SWP		(1,000	)		(167)
SOUTHERN CROSS MEDIA GROUP AUD SWP JPM2		201,035			(151,332)
SOUTHERN CROSS MEDIA GROUP SWP DB		175,611			(31,096)
SOUTHERN CROSS MEDIA GROUP SWP JPM		842,894			(579,532)

73

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
SOUTHERN CROSS MEDIA GROUP SWP UBS		31,745			(16,641)
SPDR S&P OIL & GAS EXPLORATION & PRODUCTION CS		(6,259	)		(23,230)
SPDR S&P REGIONAL BANKING SWP CS		(8,450	)		(19,987)
SPDR S&P RETAIL ETF SWP CS		(20,505	)		(50,521)
SPI 200 FUTURES MAR12		(10	)		41,947
SPWR.N 2012 JAN 20 CALL 01/21/2012		56			224
SPWR.N 2012 JAN 20 PUT 01/21/2012		(56	)		(77,140)
SPWR.N 2012 JAN 25 CALL 01/21/2012		80			200
SPWR.N 2012 JAN 25 PUT 01/21/2012		(80	)		(150,400)
SPWR.N 2013 JAN 5 PUT 01/19/2013		46			5,405
SPX APR12 1000 PUT		(70	)		(89,460)
SPX Apr12 1325 CALL		(43	)		(120,400)
SPX Apr12 1350 CALL		(114	)		(224,010)
SPX Dec12 1550 CALL		(299	)		(310,960)
SPX Dec12 1600 CALL		(137	)		(75,350)
SPX Dec12 650 PUT		(172	)		(163,400)
SPX DEC12 700 PUT		(70	)		(87,500)
SPX Dec12 750 PUT		(173	)		(280,260)
SPX Dec12 775 PUT		(139	)		(251,590)
SPX Jun12 1375 CALL		(43	)		(104,060)
SPX Jun12 1400 CALL		(32	)		(53,120)
SPX Jun12 1425 CALL		(69	)		(81,420)
SPX Jun12 1475 CALL		(122	)		(64,660)
SPX Jun12 800 PUT		(52	)		(34,320)
SPX Jun12 825 PUT		(35	)		(27,825)
SPX Jun12 850 PUT		(35	)		(31,500)
SPX JUN12 900 PUT		(69	)		(89,010)
SPX Mar12 1050 PUT		(69	)		(71,070)
SPX Mar12 1400 CALL		(72	)		(22,320)
SPX Mar12 1425 CALL		(173	)		(32,005)
SPX Mar12 925 PUT		(103	)		(33,990)
SPX Sep12 1475 CALL		(35	)		(47,250)
SPX Sep12 1525 CALL		(260	)		(189,800)
SPX Sep12 750 PUT		(121	)		(133,100)
SPX Sep12 775 PUT		(35	)		(42,000)
SPX Sep12 800 PUT		(35	)		(48,300)
SPX Sep12 850 PUT		(69	)		(128,340)
STAN LN 1650 CALL 12/20/2013 BCLEAR		6			14,205
STANDARD CHARTERED—CS SWP		(2,626	)		21
STANDARD CHARTERED HK SWP CSFB		(28,689	)		142,173
STANDARD CHARTERED PLC USD SWAP CS		288,538			(326,775)
STANDARD LIFE PLC SWP		(8,655	)		(2,069)
STATE BANK INDIA JAN12 USD STK FUT SWP JPM (X125)		(625	)		437
STATE BANK INDIA JAN12 USD STK FUT SWP NOM (X125)		(2,625	)		(607)
STATE BANK INDIA JAN12 USD STK FUT SWP UBS (X125)		(875	)		629
STM DFT 100 20MAR2014 BARC		200,000			(263)
STM DFT 100 20MAR2014 BOA		600,000			(789)
STM DFT 100 20MAR2014 MS		600,000			(789)
STOXX 600 AUTOMOBILES & PARTS (PRICE) INDX SWP UBS		(828	)		(2,882)
STOXX 600 INDUSTRIAL GOODS AND SERVICES SWP CITI		(230	)		(1,456)
STOXX 600 OPTIMISED FOOD & BEV SWP ML		(126	)		(26,851)
STOXX 600 TECHNOLOGY IDX SWP MS		(384	)		2,939
STOXX EUROPE 600 OPTIMISED CON STPL SWP ML		(135	)		(22,829)

74

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
STOXX INSURANCE 600 SWP CITI		(390	)		(66)
STOXX SMALL PRICE INDEX SWP DB		(32	)		102
STXE 600 BNK EURO PR UBS SWP		(1,505	)		46,016
SUBSEA 7 SWP		4,426			3,323
SUN 2013 JAN 50 CALL 01/19/2013		(3	)		(533)
SUN 2013 JAN 50 PUT 01/19/2013		3			3,405
SUN ART RETAIL GROUP LTD HKD SWP ML		(138,500	)		(12,166)
SUNPOWER CORP SWP CS		(20,798	)		505,276
SUZUKI #4 ASW L+25NOM 29MARCH13		80,000,000			2,078
SVENSKA HANDELSBANKEN-A SWP		(9,950	)		(13,588)
SWISS FRANC Forward		(4,200,000	)		(2,993)
SWISS REINSURANCE CO LTD-REG SWP		(1,033	)		(799)
SWK DFT 170 12/20/2013 BARC		500,000			(11,900)
SWPC005H5 CDS USD P V 03MEVENT		(300,000	)		—
SWPC005H5 CDS USD R F 1.00000		300,000			610
SWPC010L9 CDS USD P V 03MEVENT		(100,000	)		—
SWPC010L9 CDS USD R F 1.00000		100,000			(1,003)
SWPC012F0 CDS USD P V 03MEVENT		(500,000	)		—
SWPC012F0 CDS USD R F 1.00000		500,000			(879)
SWPC049H3 CDS USD P V 03MEVENT		(600,000	)		—
SWPC049H3 CDS USD R F 1.00000		600,000			2,346
SWPC108F5 CDS USD P F 5.00000		(400,000	)		—
SWPC108F5 CDS USD R V 03MEVENT		400,000			13,344
SWPC141L1 CDS USD P V 03MEVENT		(600,000	)		—
SWPC141L1 CDS USD R F 1.00000		600,000			(10,424)
SWPC14FW2 CDS USD P V 03MEVENT		(500,000	)		—
SWPC14FW2 CDS USD R F 2.93000		500,000			6,987
SWPC193C8 CDS USD P F 1.74250		(100,000	)		—
SWPC193C8 CDS USD R V 03MEVENT		100,000			(1,219)
SWPC198C3 CDS USD P F 1.78000		(100,000	)		—
SWPC198C3 CDS USD R V 03MEVENT		100,000			(1,275)
SWPC207H1 CDS USD P V 03MEVENT		(200,000	)		—
SWPC207H1 CDS USD R F 1.00000		200,000			(247)
SWPC225C0 CDS USD P F 1.82000		(54,000	)		—
SWPC225C0 CDS USD R V 03MEVENT		54,000			(720)
SWPC26AZ4 CDS USD P V 03MEVENT		(200,000	)		—
SWPC26AZ4 CDS USD R F 2.15000		200,000			(5,685)
SWPC26BE0 CDS USD P V 03MEVENT		(200,000	)		—
SWPC26BE0 CDS USD R F 2.15000		200,000			(5,921)
SWPC26BG5 CDS USD P V 03MEVENT		(200,000	)		—
SWPC26BG5 CDS USD R F 1.35000		200,000			(6,279)
SWPC297H2 CDS USD P V 03MEVENT		(200,000	)		—
SWPC297H2 CDS USD R F 1.00000		200,000			80
SWPC356K3 CDS USD P V 03MEVENT		(500,000	)		—
SWPC356K3 CDS USD R F 2.10000		500,000			3,572
SWPC366P0 CDS USD P V 03MEVENT		(400,000	)		—
SWPC366P0 CDS USD R F .25000		400,000			4,808
SWPC386P6 CDS USD P V 03MEVENT		(600,000	)		—
SWPC386P6 CDS USD R F 1.00000		600,000			5,940
SWPC421N8 CDS USD P V 03MEVENT		(1,100,000	)		—
SWPC421N8 CDS USD R F 1.00000		1,100,000			(7,408)
SWPC474L8 CDS USD P V 03MEVENT		(300,000	)		—
SWPC474L8 CDS USD R F 1.00000		300,000			(2,672)

75

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
SWPC512P3 CDS USD P V 03MEVENT		(1,000,000	)		—
SWPC512P3 CDS USD R F .25000		1,000,000			5,509
SWPC513N7 CDS USD P V 03MEVENT		(500,000	)		—
SWPC513N7 CDS USD R F 1.00000		500,000			(2,413)
SWPC517N3 CDS USD P V 03MEVENT		(200,000	)		—
SWPC517N3 CDS USD R F 1.00000		200,000			(816)
SWPC520P3 CDS USD P V 03MEVENT		(100,000	)		—
SWPC520P3 CDS USD R F 1.00000		100,000			645
SWPC529P4 CDS USD P V 03MEVENT		(200,000	)		—
SWPC529P4 CDS USD R F .25000		200,000			959
SWPC536C4 CDS USD P F .94000		(363,000	)		—
SWPC536C4 CDS USD R V 03MEVENT		363,000			17,277
SWPC570L1 CDS USD P V 03MEVENT		(100,000	)		—
SWPC570L1 CDS USD R F 1.00000		100,000			(278)
SWPC580J4 CDS USD P V 03MEVENT		(600,000	)		—
SWPC580J4 CDS USD R F 1.00000		600,000			5,831
SWPC585M2 CDS EUR P V 03MEVENT		(500,000	)		55,900
SWPC585M2 CDS EUR R F .25000		500,000			(53,590)
SWPC586B5 CDS USD P F 3.75000		(1,000,000	)		—
SWPC586B5 CDS USD R V 03MEVENT		1,000,000			(45,245)
SWPC588L1 CDS USD P V 03MEVENT		(400,000	)		—
SWPC588L1 CDS USD R F 1.00000		400,000			(2,041)
SWPC593P5 CDS USD P V 03MEVENT		(200,000	)		—
SWPC593P5 CDS USD R F 1.00000		200,000			1,984
SWPC642P6 CDS USD P V 03MEVENT		(200,000	)		—
SWPC642P6 CDS USD R F 1.00000		200,000			2,770
SWPC644C3 CDS USD P F 1.00000		(102,000	)		—
SWPC644C3 CDS USD R V 03MEVENT		102,000			493
SWPC674J1 CDS USD P V 03MEVENT		(500,000	)		—
SWPC674J1 CDS USD R F 1.00000		500,000			(7,212)
SWPC675K7 CDS USD P V 03MEVENT		(200,000	)		—
SWPC675K7 CDS USD R F 1.00000		200,000			(1,020)
SWPC690C6 CDS USD P F .61000		(725,000	)		—
SWPC690C6 CDS USD R V 03MEVENT		725,000			6,833
SWPC727J8 CDS USD P V 03MEVENT		(100,000	)		—
SWPC727J8 CDS USD R F 5.00000		100,000			(2,654)
SWPC745B3 CDS USD P F 3.80000		(500,000	)		—
SWPC745B3 CDS USD R V 03MLIBOR		500,000			(23,976)
SWPC754C9 CDS USD P F .60500		(363,000	)		—
SWPC754C9 CDS USD R V 03MEVENT		363,000			(17,737)
SWPC774K7 CDS EUR P V 06MEURIB		(400,000	)		16,380
SWPC774K7 CDS EUR R F .25000		400,000			(13,767)
SWPC786C1 CDS USD P F .51000		(254,000	)		—
SWPC786C1 CDS USD R V 03MEVENT		254,000			(2,141)
SWPC799L6 CDS USD P V 03MEVENT		(600,000	)		—
SWPC799L6 CDS USD R F 1.00000		600,000			(6,866)
SWPC832J0 CDS USD P V 03MEVENT		(600,000	)		—
SWPC832J0 CDS USD R F 1.00000		600,000			(19,489)
SWPC835N8 CDS USD P V 03MEVENT		(100,000	)		—
SWPC835N8 CDS USD R F 1.00000		100,000			162
SWPC855M5 CDS USD P V 03MEVENT		(200,000	)		—
SWPC855M5 CDS USD R F 1.00000		200,000			(3,447)
SWPC888M6 CDS USD P V 03MEVENT		(100,000	)		—

76

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
SWPC888M6 CDS USD R F 1.00000		100,000			(1,723)
SWPC917K5 CDS USD P V 03MEVENT		(500,000	)		—
SWPC917K5 CDS USD R F 1.00000		500,000			(10,836)
SWPC918K4 CDS USD P V 03MEVENT		(200,000	)		—
SWPC918K4 CDS USD R F 1.00000		200,000			(1,782)
SWPC943K3 CDS USD P V 03MEVENT		(200,000	)		—
SWPC943K3 CDS USD R F 1.00000		200,000			(1,926)
SWPC962J2 CDS USD P V 03MEVENT		(200,000	)		—
SWPC962J2 CDS USD R F 1.00000		200,000			4,965
SWPC993J5 CDS USD P V 03MEVENT		(400,000	)		—
SWPC993J5 CDS USD R F 1.00000		400,000			7,845
SWU0099R0 IRS MXN P V 01MTIIE		(2,900,000	)		33,781
SWU0099R0 IRS MXN R F 6.59000		2,900,000			(23,304)
SWU0123L3 IRS CAD P V 03MCDOR		(1,300,000	)		(100,443)
SWU0123L3 IRS CAD R F 5.80000		1,300,000			218,576
SWU026JC6 IRS BRL P V 12MLIBOR		(5,300,000	)		180,309
SWU026JC6 IRS BRL R F 11.29000		5,300,000			(183,634)
SWU0322U2 IRS EUR P V 06MEURIB		(400,000	)		30,780
SWU0322U2 IRS EUR R F 2.75000		400,000			(23,178)
SWU0377T9 IRS JPY P F .25000		(110,000,000	)		8,514
SWU0377T9 IRS JPY R V 06MLIBOR		110,000,000			(6,931)
SWU0448R8 IRS MXN P V 01MTIIE		(36,000,000	)		429,695
SWU0448R8 IRS MXN R F 6.75000		36,000,000			(358,811)
SWU0480Q9 IRS USD P F 3.50000		(400,000	)		—
SWU0480Q9 IRS USD R V 03MLIBOR		400,000			(61,303)
SWU0497T4 IRS JPY P F .25000		(560,000,000	)		27,110
SWU0497T4 IRS JPY R V 06MLIBOR		560,000,000			(19,973)
SWU0524T1 IRS USD P F .75000		(800,000	)		—
SWU0524T1 IRS USD R V 03MLIBOR		800,000			2,801
SWU0585U4 IRS JPY P F .25000		(470,000,000	)		(67,913)
SWU0585U4 IRS JPY R V 06MLIBOR		470,000,000			63,107
SWU0586U3 IRS JPY P F .25000		(280,000,000	)		(32,346)
SWU0586U3 IRS JPY R V 06MLIBOR		280,000,000			29,563
SWU0626R2 IRS JPY P V 06MLIBOR		(190,000,000	)		(110,088)
SWU0626R2 IRS JPY R F 1.50000		190,000,000			178,511
SWU0627R1 IRS JPY P V 06MLIBOR		(50,000,000	)		(28,970)
SWU0627R1 IRS JPY R F 1.50000		50,000,000			46,974
SWU067899 IRS BRL P V 01MBRDCI		(700,000	)		32,308
SWU067899 IRS BRL R F 11.24500		700,000			(33,008)
SWU0767N0 IRS JPY P V 06MLIBOR		(20,000,000	)		(47,313)
SWU0767N0 IRS JPY R F 2.15000		20,000,000			71,299
SWU088AA9 IRS BRL P V 01MBRDCI		(1,200,000	)		55,385
SWU088AA9 IRS BRL R F 11.25000		1,200,000			(56,547)
SWU093838 IRS BRL P V 00MBRCDI		(2,100,000	)		80,141
SWU093838 IRS BRL R F 11.36000		2,100,000			(80,259)
SWU0972S0 IRS AUD P F 4.75000		(2,100,000	)		163,380
SWU0972S0 IRS AUD R V 03MBBSW		2,100,000			(199,193)
SX5E DIVIDEND FUT DEC12 FRS MS		161			(7,925)
SX5E DIVIDEND FUT DEC13 SWP MS		172			81,584
SYDBANK A/S SWAP		253			(449)
SYMC 2013 JAN 20 CALL 01/19/2013		147			12,348
SYNTHES INC-144A/REGS SWP		740			(158)
SYNTHES INC-144A/REGS SWP		25,841			341,345

77

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
TAIWANESE DOLLAR Forward		(9,088,500	)		(139)
TATA CONSULTANCY JAN12 USD STK FUT SWP CITI (X250)		(4,000	)		(1,083)
TATA MOTORS DFT 100 20AUG12 CS		500,000			4,000
TATA MOTORS LTD USD ML SWP		92,339			(13,591)
TATA MOTORS LTD USD MS SWP		19,661			(407)
TATA MOTORS USD SWP JPM		25,699			(5,585)
TATA MOTORS USD SWP UBS		92,797			(22,870)
TAYLOR WIMPEY PLC WTS 30APR2014		5,689			1,813
TAYLOR WIMPEY SWP		(5,352	)		(216)
TEC FP 2012 MAR 80 CALL 03/16/2012		20			5,384
TECHNICOLOR SWP CS		31,553			(141,961)
TEVA 2013 JAN 47.5 CALL 01/19/2013		40			7,000
TINGYI (CAYMAN ISLN) HLDG HKD SWP BARCLAYS		(28,000	)		(3,818)
TINGYI (CAYMAN ISLN) HLDG HKD SWP DB		(14,000	)		(4,872)
TINGYI (CAYMAN ISLN) HLDG HKD SWP UBS		(8,000	)		(1,345)
TOKYO ELECTRIC POWER CO ML JPY SWP		(19,400	)		23,848
TRINA SOLAR-ADR		28,244			(161,007)
TRUVO TALON WRT TALON EQUITY CO		33			—
TSN 2013 JAN 17.5 CALL 01/19/2013		(57	)		(24,795)
TSN DFT 100 12/20/2013 (191) CS		500,000			(2,351)
TSN DFT 100 12/20/2013 BARC		500,000			(2,351)
TTMT DFT 20AUG12 100 JPM		500,000			4,000
TTMT DFT 20AUG12 500 JPM		500,000			(8,800)
TTMT DFT 500 20AUG12 JPM2		100,000			(1,760)
TUI 2.75% 2016 SWP CS		2,265			(39)
TUI AG 5.5% SWP CS		23,309			146,538
TUI AG ML SWAP		(3,880	)		(1,747)
TUI AG SWP CS		(48,816	)		(22,840)
TUI AG SWP MS		(3,419	)		12,353
TUI DFT 500 20MAR2015 BARC		200,000			37,894
TUI1 GR 2013 JUN 3.2 PUT 06/21/2013		200			17,860
TWN ELECTRONICS SEC IDX FUT JAN12 UBS USD SWP		(12,000	)		(4,981)
TWSE 8000 CALL 18JAN12 MS		7,200			965
TWSE 8699.8359 CALL 18JAN12 UBS		16,800			2
TXN 2012 JAN 29 CALL 01/21/2012		66			5,709
TXT 2013 JAN 12.5 CALL 01/19/2013		(47	)		(32,665)
TXT 2013 JAN 12.5 PUT 01/19/2013		(110	)		(10,945)
TXT DFT 100 06/20/2013 JPM		500,000			(440)
UBI BANCA 5.75 13 SWP JPM		61,752			(3,341)
UBS CPS CHINESE BANK BASKET HKD SWP UBS		(95,977	)		(20,183)
UBS CPS UBDEPSCH HKD SWP UBS		(1,300	)		913
UBS CPS UBSCHDEP HKD SWP UBS		(25,300	)		12,333
UFS Apr12 90 CALL		(56	)		(15,680)
UFS Apr12 95 CALL		(57	)		(9,120)
UK LONG GILT BOND FUTURES		(600,000	)		(6,550)
UMC/UNIMICRON ASW L+330 02DEC14 NOM		300,000			47,670
UNIMICRON TECHNOLOGY USD SWP CS		(16,000	)		470
UNIMICRON TECHNOLOGY USD SWP ML		(22,200	)		3,431
UNIMICRON TECHNOLOGY USD SWP UBS		(91,200	)		52,989
UNITED UTILITIES GROUP PLC SWAP		66,368			14,437
US 5YR NOTE (CBT) MAR12		(30	)		(13,648)
US DOLLAR Forward		(18,643,669	)		—
US DOLLAR Forward		118,341,576			—

78

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
US LONG BOND(CBT) MAR12		(7	)		(6,903)
USD CALL / CNY PUT 6.55 13DEC12 NOM		5,000,000			47,292
USD CALL / CNY PUT 6.95 13DEC12 NOM		(5,000,000	)		(24,069)
USD CALL / JPY PUT 125 05APR11 ML		1,400,000			27,245
USD CALL / JPY PUT K= 125 12MAR21 JPM		1,000,000			20,148
USD CALL / JPY PUT K= 125 12MAR21 UBS		1,000,000			18,157
USD CALL / JPY PUT K=120 19OCT20 NOM		1,500,000			31,081
USD CALL / JPY PUT K=120.00 02JUL20 NOM		4,000,000			79,834
USD CALL / JPY PUT K=120.00 02JUN20 UBS		4,000,000			77,275
USD CALL / JPY PUT K=120.00 04JUN20 ML		2,000,000			40,982
USD CALL / JPY PUT K=120.00 04JUN20 UBS		2,000,000			38,656
USD CALL / JPY PUT K=120.00 16OCT20 NOM		1,500,000			31,034
USD CALL / JPY PUT K=122.00 11JUN20 JPM		4,000,000			78,938
USD CALL / JPY PUT K=122.00 29JUN20 ML		4,000,000			77,783
USD CALL / JPY PUT K=125 01APR21 CS		2,000,000			33,966
USD CALL / JPY PUT K=125 01APR21 JPM		1,000,000			20,309
USD CALL / JPY PUT K=125 01APR21 UBS		1,000,000			18,263
USD CALL / JPY PUT K=125 11MAR21 BZW		1,000,000			19,459
USD CALL / JPY PUT K=125 15MAR21 UBS		1,000,000			18,166
USD CALL /AUD PUT K=A$0.80 23FEB12 NOM		(100,000	)		(18)
USD CALL /AUD PUT K=A$0.90 23FEB12 NOM		100,000			202
USD CALL /JPY PUT 2013 MAR K=120 NOM		2,327,000			2,329
USD CALL/INR PUT K=55 15FEB12 NOM		500,000			717
USD CALL/INR PUT K=55 20FEB12 MS		400,000			4,694
USD CALL/INR PUT K=60 15FEB12 NOM		(500,000	)		(5,451)
USD CALL/INR PUT K=60 20FEB12 MS		(400,000	)		(574)
USD CALL/JPY PUT 2012 MAR K=115 NOM		2,327,000			4
USD CALL/JPY PUT 2012 OCT K=117.5 UBS		2,300,000			32
USD PUT / HKD CALL K=7.6830 13NOV12 JPM		1,800,000			6,472
USD PUT / HKD CALL K=7.6840 13NOV12 NOM		5,300,000			21,457
USD PUT/ HKD CALL K=7.6760 14NOV12 JPM		5,400,000			19,471
UTILITIES SELECT SECTOR SPDR SWP CS		(13,765	)		(23,532)
VALE SA-SP ADR SWP BARC		(9,032	)		24,624
VALEBZ DFT 100 03/20/2015 DB		500,000			5,639
VALIDUS HOLDINGS LTD		64,500			903,000
VANCEINFO TECHNOLOGIES ADR		41,529			(248,121)
VANGUARD MSCI EMERGING MARKETS SWP CS		(1,857	)		8,728
VEDANTA RESOURCES DFT 500 20SEP2014 BOA		2,100,000			327,705
VEDANTA RESOURCES PLC SWP DB USD		(2,160	)		6,682
VEDANTA RESOURCES PLC SWP JPM USD		(16,132	)		100,001
VEDANTA SWP USD BARC		(5,984	)		8,768
VIAB 2013 JAN 40 CALL 01/19/2013		332			308,760
VIDEOCON INDUST JAN12 ML USD STK FUT SWP		(48,000	)		(2,588)
VIENNA INSURANCE GROUP AG SWP		188			901
VINCI S.A. DB SWP EUR		1,431			(8,871)
VNO DFT 20JUN12		500,000			96
VOD LN 2012 SEP 1.56 PUT 09/21/2012		(104	)		(11,964)
VOD LN 2012 SEP 1.86 CALL 09/21/2012		104			13,201
VODAFONE GROUP PLC		634,970			64,632
VOLVO AB B-SH SWP		81,664			(89,340)
VORNADO 3.875% 04/15/25 SWP CS		502,000			101,527
VORNADO REALTY CS SWP		(2,303	)		8,175
WACKER CHEMIE SWP		528			(6,529)

79

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
WANT WANT CHINA HLDGS HKD SWP CS		(58,000	)		(6,246	)
WANT WANT CHINA HOLDINGS SWP UBS		(41,000	)		(3,106)
WEMBLEY PLC DB SWAP		20,188			6,661
WESFARMERS LIMITED AUD SWP JPM		(51,586	)		87,035
WESFARMERS LTD-PPS AUD SWP JPM		66,300			(123,114)
WESTPAC BANKING CORP		(18,604	)		370
WFT 2012 JAN 15 CALL 01/21/2012		279			13,671
WH SMITH PLC		(5,660	)		(697)
WHR DFT 100 12/20/2016 JPM		1,000,000			79,000
WINTEK CORP CS USD SWP		(67,000	)		359
WINTEK CORP UBS USD SWP		(80,000	)		(7,087)
WINTEK CORP USD SWP BARCLAYS		(6,000	)		51
WINTEK CORP USD SWP STAN CHART		(8,000	)		68
WMI DFT 105 03/20/2014 MS		500,000			(5,181)
WOLSELEY PLC SWP		33,651			200,629
WPP LN DFT 100 20MAR2017 DB		559,000			15,887
WPP PLC SWP		(7,322	)		(7,051)
WPP PLC SWP		(4,901	)		4,129
WRC Apr12 45 PUT		(323	)		(66,215)
WYNN 2012 JAN 105 PUT 01/21/2012		(14	)		(2,912)
XINYI GLASS HOLDINGS CO LTD HKD SWP BAR		(6,000	)		(110)
XINYI GLASS HOLDINGS CO LTD HKD SWP ML		(52,000	)		(229)
XINYI GLASS HOLDINGS CO LTD HKD SWP MS		(2,000	)		36
XLB 2012 MAR 27 PUT 03/17/2012		212			7,420
XSTRATA PLC SWP		50,122			(573)
YAHOO JAPAN CORP SWP NOM		(1,990	)		4,135
YAHOO SWP BARC		39,272			1,637
YAHOO SWP MS		39,273			5,133
YARA INTL SWP		1,758			969
YEN / USD FORWARD, 01-04-12		227,600			3
YHOO 2012 APR 22 CALL 04/21/2012		(112	)		(1,680)
YHOO 2012 APR 22 PUT 04/21/2012		112			67,480
YHOO 2012 JUL 22 CALL 07/21/2012		(98	)		(2,352)
YHOO 2012 JUL 22 PUT 07/21/2012		98			60,025
YULON MOTOR COMPANY		(82,000	)		18,142
ZHAOJIN MINING INDUSTRY — H HKD SWP DB		(44,000	)		7,911
ZHAOJIN MINING INDUSTRY — H HKD SWP MS		(8,000	)		2,658
Total Derivatives		3,029,222,330		$	7,884,454
Preferred Stock
ADLAC 5.5% SERIES D ESC		3,100			—
ADLAC 7.5% 05 F ESCROW		182,700			0
ADLAC 7.5% 11/04 ESCROW		9,200			—
ANGLOGOLD HOLDINGS LTD 6% PFD		(503	)		(24,094)
APACHE CORP 6% PFD		(12,827	)		(688,356)
CITIGROUP INC 0% PFD		7,990			584,988
CITIGROUP INC PFD 7.50 CONVERT		380			30,780
CNP 2% 09/15/29		4,728			163,633
DOLE FOOD AUTOMATIC EXCH 7% CNV PFD 144A		111,274			956,956
EMBOTELLADORA ANDINA A PREF		35,000			124,651
EMBOTELLADORA ANDINA PREF B		20,400			89,148
ENERGY XXI BERMUDA		2,600			884,000

80

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value			Current Value
FANNIE MAE 8.25 SER S PFD		18,432			25,436
FANNIE MAE 8.25 SER T PFD		9,250			12,950
FREDDIE MAC 8.375 SER Z PERP PFD		11,994			15,952
GENERAL MOTORS 4.75 PFD SER B		35,773			1,223,221
GM 5.25% SER B PFD STUB		17,985			4,946
GM 6.25% SER C PFD STUB		8,375			2,303
HARTFORD FINL SVCS GRP 7.25 PFD		(7,356	)		(138,918)
ITAU UNIBANCO HOLDING SA		11,700			213,206
METLIFE INC 5% PFD		20,000			1,229,500
MMR 5.75% CONV. PREF		289			311,398
MMR 5.75% CONV. PREF (144A)		2,527			2,722,842
NIELSEN HOLDINGS BV 6.25% PFD		3,612			209,547
NLY 6% PFD		9,000			427,691
ORCHARD SUPPLY HARDWARE PFD		(614	)		(276)
RBS CAP FNDG PFD 6.08		10,880			99,008
ROYAL BK SCOTLAND PFD 6.35		2,210			24,752
ROYAL BK SCOTLAND PFD 6.40		5,570			63,442
ROYAL BK SCOTLAND PFD 6.6		10,217			117,904
ROYAL BK SCOTLAND PFD 6.75		11,140			134,794
ROYAL BK SCOTLAND PFD 7.25 T		9,110			116,335
SAMSUNG ELECTRONICS PFD		3,117			1,804,721
SLM CORP		900			17,622
VALE CAPITAL II 6.75 PFD		32,203			2,116,059
VALE CAPITAL II 6.75 PFD 6/12 (VALE)		22,359			1,338,745
WINTRUST FINANCIAL CORP 7.5% PFD		12,100			548,082
Total Preferred Stock		624,815		$	14,762,968
Real Estate Investments
AMERICAN ASSETS TRUST INC		11,100			227,661
AMERICAN CAMPUS COMMUNITIES		26,430			1,109,004
ASSOCIATED ESTATES REALTY CP		37,225			593,739
CORESITE REALTY CORP		36,970			658,805
DIAMONDROCK HOSPITALITY CO		23,100			222,684
EDUCATION REALTY TRUST INC		37,700			385,671
EQUITY LIFESTYLE PROPERTIES		10,780			718,918
EXCEL TRUST INC		22,800			273,600
GLIMCHER REALTY TRUST		103,420			951,464
MFA FINANCIAL INC		95,500			641,760
MISSION WEST PROPERTIES		50,700			457,314
PEBBLEBROOK HOTEL TRUST		14,800			283,864
PLUM CREEK TIMBER CO. REIT		(14,410	)		(526,830)
PROLOGIS INC		(18,540	)		(530,059)
PS BUSINESS PARKS INC/CA		14,240			789,323
RLJ LODGING TRUST		11,200			188,496
SAUL CENTERS INC		9,600			340,032
SOVRAN SELF STORAGE INC		8,100			345,627
WINTHROP REALTY TRUST		28,100			285,777
Total Real Estate Investments		508,815		$	7,416,850
Asset-backed Securities
AEGIS ASSET BACKED SECURITIES		300,000			229,274

81

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Current Value
BUMPER		19,310		25,034
CHLPA 2010-1 A 0 144A		706,537		420,390
COMMERCIAL INDUSTRIAL FINANCE		200,000		183,425
FORD AUTO SECURITIZATION TRUST		5,850		5,749
INDYMAC RESIDENTIAL ASSET BACK		300,000		221,882
MID STATE TRUST		86,815		87,360
PREMIUM LOAN TRUST LTD		67,788		67,409
ROMULUS FINANCE S.R.L FLT 02/20/2015		1,500,000		1,499,654
ROMULUS FINANCE S.R.L. 4.94 02/20/2013 A-1		97,000		109,218
SLC STUDENT LOAN TRUST		184,323		184,107
SLM STUDENT LOAN TRUST		738,389		755,390
SMALL BUSINESS ADMINISTRATION		377,867		428,088
Total Asset-backed Securities		4,583,879	$	4,216,980
Total Investments, at Fair Value		5,692,136,121	$	4,769,381,401
* Notes Receivable from Participants			$	26,307,604
Total Assets held at end of year			$	4,795,689,005

* Denotes party-in-interest

82

The Goldman Sachs 401(k) Plan

Schedule H, Line 4i — Schedule of Assets (Acquired and

Disposed of Within the Plan Year)

December 31, 2011

Identity of issue, borrower, lessor, or similar party including Maturity Date, Rate of Interest, Collateral, Par, or Maturity Value	Shares/ Par Value		Costs of Acquisitions		Proceeds of dispositions
Interest Bearing Cash
CREDIT SUISSE LONDON BOC		620,000	$	620,000	$	620,000
CREDIT SUISSE LONDON COC		270,000		270,000		270,000
SWAP BANK OF AMERICA BOC		260,000		260,000		260,000
SWAP BARCLAYS COC		1,540,000		1,540,000		1,540,000
SWAP BNP PARIBAS BOC		300,000		300,000		300,000
SWAP BNP PARIBAS COC		3,580,000		3,580,000		3,580,000
SWAP DEUTSCHE BOC		320,000		320,000		320,000
SWAP DEUTSCHE COC		1,930,000		1,930,000		1,930,000
SWAP JPM CHASE BOC		2,040,000		2,040,000		2,040,000
SWAP RBOS BOC		1,600,000		1,600,000		1,600,000
SWAP RBOS COC		1,060,000		1,060,000		1,060,000
SWAP UBS COC		1,580,000		1,580,000		1,580,000
Partner/Joint Venture Interests
ATLAS ENERGY LP		3,746	$	59,566	$	59,114
BLACKSTONE GROUP LP		15,313		196,631		211,806

The above information was derived from data certified accurate and complete by State Street Bank, Trustee

83

The Goldman Sachs 401(k) Plan

Schedule G, Part 1 - Schedule of Loans or Fixed Income Obligations in Default or Classified as Uncollectible

December 31, 2011

	(b)	(c)		Amount received during reporting year		(f)		(g) Detailed description of loan including dates of making and maturity, interest rate, the type and value of collateral,	Amount overdue
	Identity and address of obligor	Original amount		(d)	(e)	Unpaid balance at year end		any renegotiation of the loan and the terms of the	(h)		(i)
(a)		of loan (par value)		Principal	Interest			renegotiation and other material matters	Principal		Interest		Steps Taken or Will Be Taken to Collect Overdue Amounts
	Old AII Inc, 25825 Science Park Drive, Suite 400, Beachwood, OH 44122-7392		90,000	—	—		90,000	Issue Date: 8/23/2007, Maturity Date: 12/15/2016, Collateral Type: COMPANY GUARNT, Interest Rate: 10		—		26,300	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Evergreen Solar Inc, 138 Bartlett Street, Marlboro, MA 01752		20,000	—	—		20,000	Issue Date: 7/2/2008, Maturity Date: 7/15/2013, Collateral Type: SR UNSECURED, Interest Rate: 4		—			We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		239,000	—	—		239,000	Issue Date: 12/21/2006, Maturity Date: 12/23/2008, Collateral Type: SR UNSECURED, Interest Rate: 0		239,000		—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		67,000	—	—		67,000	Issue Date: 4/3/2006, Maturity Date: 4/3/2009, Collateral Type: SR UNSECURED, Interest Rate: 0		67,000		—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		1,504,000	—	—		1,504,000	Issue Date: 3/23/2007, Maturity Date: 3/23/2009, Collateral Type: SR UNSECURED, Interest Rate: 0		1,504,000		—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		441,000	—	—		441,000	Issue Date: 12/21/2005, Maturity Date: 12/23/2010, Collateral Type: SR UNSECURED, Interest Rate: 0		441,000		—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		363,000	—	—		363,000	Issue Date: 1/12/2007, Maturity Date: 1/12/2012, Collateral Type: SR UNSECURED, Interest Rate: 0		—		—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		39,000	—	—		39,000	Issue Date: 7/13/2005, Maturity Date: 7/26/2010, Collateral Type: SR UNSECURED, Interest Rate: 4.5		39,000		5,860	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		408,000	—	—		408,000	Issue Date: 2/25/2004, Maturity Date: 3/13/2014, Collateral Type: SR UNSECURED, Interest Rate: 4.8		—		65,389	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		333,000	—	—		333,000	Issue Date: 1/12/2007, Maturity Date: 2/6/2012, Collateral Type: SR UNSECURED, Interest Rate: 5.25		—		58,372	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
	Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019		464,000	—	—		464,000	Issue Date: 3/29/2006, Maturity Date: 4/4/2016, Collateral Type: SR UNSECURED, Interest Rate: 5.5		—		85,208	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security

84

Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	869,000	—	—	869,000	Issue Date: 1/22/2008, Maturity Date: 1/24/2013, Collateral Type: SR UNSECURED, Interest Rate: 5.625	—	163,209	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	2,060,000	—	—	2,060,000	Issue Date: 7/19/2007, Maturity Date: 7/19/2012, Collateral Type: SR UNSECURED, Interest Rate: 6	—	412,687	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	1,999,000	—	—	1,999,000	Issue Date: 9/26/2007, Maturity Date: 9/26/2014, Collateral Type: SR UNSECURED, Interest Rate: 6.2	—	413,815	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	4,992,000	—	—	4,992,000	Issue Date: 1/10/2002, Maturity Date: 1/18/2012, Collateral Type: SR UNSECURED, Interest Rate: 6.625	—	1,104,237	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	2,195,000	—	—	2,195,000	Issue Date: 4/24/2008, Maturity Date: 5/2/2018, Collateral Type: SR UNSECURED, Interest Rate: 6.875	—	503,859	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	220,000	—	—	220,000	Issue Date: 8/15/2000, Maturity Date: 8/15/2010, Collateral Type: SR UNSECURED, Interest Rate: 7.875	220,000	57,846	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Lehman Brothers Holdings Inc, 745 Seventh Avenue, New York, NY 10019	1,085,000	—	—	1,085,000	Issue Date: 5/25/2007, Maturity Date: 5/25/2010, Collateral Type: SR UNSECURED, Interest Rate: 0	1,085,000	—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Nortel Networks Corp, 5945 Airport Road, Suite 360, Mississauga, ON L4V 1R9, Canada	187,000	—	—	187,000	Issue Date: 1/25/2008, Maturity Date: 7/15/2013, Collateral Type: COMPANY GUARNT, Interest Rate: 10.125	—	56,854	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Nortel Networks Corp, 5945 Airport Road, Suite 360, Mississauga, ON L4V 1R9, Canada	218,000	—	—	218,000	Issue Date: 1/25/2008, Maturity Date: 7/15/2016, Collateral Type: COMPANY GUARNT, Interest Rate: 10.75	—	70,370	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Nortel Networks Corp, 5945 Airport Road, Suite 360, Mississauga, ON L4V 1R9, Canada	265,000	—	—	265,000	Issue Date: 1/25/2008, Maturity Date: 7/15/2011, Collateral Type: COMPANY GUARNT, Interest Rate: 0	265,000	—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Washington Mutual Inc., 1201 Third Avenue, Seattle, WA 98101	124,000	—	—	124,000	Issue Date: 3/7/2006, Maturity Date: 3/29/2049, Collateral Type: JR SUBORDINATED, Interest Rate: 6.534	—	—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Washington Mutual Inc., 1201 Third Avenue, Seattle, WA 98101	120,000	—	—	120,000	Issue Date: 5/24/2007, Maturity Date: 6/29/2049, Collateral Type: JR SUBORDINATED, Interest Rate: 6.895	—	—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
AMR Corp, 4333 Amon Carter Blvd, Fort Worth, TX 76155	19,000	—	—	19,000	Issue Date: 3/15/2011, Maturity Date: 3/15/2016, Collateral Type: SR SECURED, Interest Rate: 7.5	—	127	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
Callahan Associates Internatio, Gustav-Heinemann-Ufer 54, Koeln, 50968, Germany	9,000	—	—	9,000	Issue Date: 7/16/2001, Maturity Date: 7/15/2011, Collateral Type: SENIOR NOTES, Interest Rate: 14.125	9,000	12,190	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
MKP Vela CBO Ltd	440,006	—	—	440,006	Issue Date: 11/16/2006, Maturity Date: 12/10/2046, Collateral Type: CF-CDO, Interest Rate: 0.92355	—	13,399	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security

85

AERO INVENTORY PLC, 30 Lancaster Rd, New Barnet, Hertfordshire EN4 8AP	2,296,809	—	—	2,296,809	Issue Date: 2/15/08, Maturity Date: 2/15/13, Collateral Type: SR SECURED, Int Rate: L+3.0%	—	96,436	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
AHMAD HAMAD ALGOSAIBI & BROTHERS COMPANY, PO Box 707, Al-Khobar 31952, Kingdom of Saudi Arabia	25,100	—	—	25,100	Issue Date: 5/08/07, Maturity Date: 5/08/13, Collateral Type: SR SECURED, Int Rate: L+0.85%	—	—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security
SAAD INVESTMENTS COMPANY LIMITED, PO Box 309GT, Ugland House, South Church St, Georgetown, Grand Cayman, Cayman Islands	25,100	—	—	25,100	Issue Date: 8/24/07, Maturity Date: 8/24/12, Collateral Type: SR SECURED, Int Rate: L+1.10%	—	—	We will continue to monitor all available information that comes to our attention regarding possible payment and collection of amounts due on the respective security

86

SIGNATURES

The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the Administrative Committee (or other persons who administer the employee benefit plan) has duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.

THE GOLDMAN SACHS 401(k) PLAN Members of the Administrative Committee
By:	/s/ Christopher Ceder
Name:    Christopher Ceder
By:	/s/ Peter Johnson
Name:    Peter Johnson
By:	/s/ Grant Eldred
Name:    Grant Eldred
By:	/s/ Marguarite Carmody
Name:    Marguarite Carmody

Date: June 28, 2012

INDEX TO EXHIBITS

Exhibit No.	Description
23	Consent of PricewaterhouseCoopers LLP, Independent Registered Public Accounting Firm