| ABBOTT LABORATORIES | 465,000.00 | 0.48 | $493,511.48 | 4.12 | 05/27/2020 | ABT |
| ACHMEA HYPOTHEEKBANK NV | 115,000.00 | 0.12 | $120,303.00 | 3.20 | 11/03/2014 | ACHMEA |
| AEIT 2005-2 A | 400,000.00 | 0.39 | $398,403.24 | 0.42 | 08/15/2013 | AEIT |
| AHM 2005-2 5A1 | 22,161.16 | 0.02 | $19,526.35 | 5.06 | 09/25/2035 | AHM |
| AHMAT 2009-ADV3 A1 | 140,000.00 | 0.14 | $139,902.20 | 2.30 | 10/06/2021 | AHMAT |
| ALCOA INC | 130,000.00 | 0.13 | $131,987.57 | 6.15 | 08/15/2020 | AA |
| ALLIED WASTE NORTH AMERICA INC | 130,000.00 | 0.14 | $143,684.84 | 6.88 | 06/01/2017 | AW |
| ALLIED WASTE NORTH AMERICA INC | 215,000.00 | 0.23 | $232,476.06 | 7.12 | 05/15/2016 | AW |
| ALLYA 2010-2 A3 | 75,000.00 | 0.07 | $75,568.66 | 1.00 | 07/15/2014 | ALLYA |
| AMERICAN TOWER CORP | 220,000.00 | 0.25 | $252,725.00 | 7.00 | 10/15/2017 | AMT |
| AMERICAN TRANSMISSION SYSTEMS | 155,000.00 | 0.16 | $163,432.31 | 5.25 | 01/15/2022 | FE |
| AMGEN INC | 60,000.00 | 0.06 | $64,936.74 | 4.50 | 03/15/2020 | AMGN |
| AMOT 2010-1 A | 140,000.00 | 0.14 | $142,437.09 | 2.10 | 01/15/2015 | AMOT |
| AMTT 2007-1A AFX | 300,000.00 | 0.32 | $327,851.67 | 5.42 | 04/15/2037 | AMTT |
| ANHEUSER-BUSCH INBEV WORLDWIDE | 390,000.00 | 0.41 | $419,600.61 | 5.00 | 04/15/2020 | ABIBB |
| ARCELORMITTAL | 125,000.00 | 0.16 | $161,761.25 | 9.85 | 06/01/2019 | MTNA |
| ASIAN DEVELOPMENT BANK/PASIG | 335,000.00 | 0.34 | $351,663.91 | 2.75 | 05/21/2014 | ASIA |
| AT&T INC | 455,000.00 | 0.51 | $519,928.50 | 6.50 | 09/01/2037 | T |
| ATI HOLDINGS LLC TERM LOAN | 184,537.50 | 0.18 | $179,693.39 | 7.00 | 02/18/2016 | ATIHLD |
| AUSTRALIA GOVERNMENT BOND | 797,000.00 | 0.67 | $682,590.11 | 4.50 | 04/15/2020 | ACGB |
| AUSTRALIAN DOLLAR | 4,139.50 | 0.00 | $3,744.80 | 0.00 | N/A | AUD |
| AUSTRALIAN GOVERNMENT | 250,000.00 | 0.23 | $238,780.10 | 6.00 | 02/15/2017 | B01GVV4 |
| BAAT 2009-3A A4 | 260,000.00 | 0.26 | $269,171.34 | 2.67 | 12/15/2016 | BAAT |
| BACCT 2007-A9 A9 | 90,000.00 | 0.09 | $89,590.46 | 0.39 | 11/17/2014 | BACCT |
| BACCT 2008-A5 A5 | 905,000.00 | 0.89 | $913,301.93 | 1.55 | 12/16/2013 | BACCT |
| BACCT 2010-A1 A1 | 300,000.00 | 0.29 | $299,649.06 | 0.65 | 09/15/2015 | BACCT |
| BACM 2004-3 A5 | 160,000.00 | 0.17 | $171,752.86 | 5.59 | 06/10/2039 | BACM |
| BACM 2004-5 A3 | 450,000.00 | 0.45 | $460,052.19 | 4.56 | 11/10/2041 | BACM |
| BACM 2005-1 A5 | 80,000.00 | 0.08 | $86,143.04 | 5.31 | 11/10/2042 | BACM |
| BACM 2005-6 A4 | 40,000.00 | 0.04 | $43,624.26 | 5.35 | 09/10/2047 | BACM |
| BACM 2006-2 A4 | 115,000.00 | 0.12 | $124,279.71 | 5.93 | 05/10/2045 | BACM |
| BACM 2006-4 A4 | 200,000.00 | 0.20 | $210,433.68 | 5.63 | 07/10/2046 | BACM |
| BAFC 2006-H 1A2 | 7,313.34 | 0.00 | $858.71 | 3.38 | 09/20/2046 | BAFC |
| BAXTER INTERNATIONAL INC | 325,000.00 | 0.34 | $351,675.35 | 4.50 | 08/15/2019 | BAX |
| BB&T CORP | 462,000.00 | 0.47 | $480,993.28 | 5.25 | 11/01/2019 | BBT |
| BEAR STEARNS COS LLC/THE | 200,000.00 | 0.17 | $177,524.53 | 5.27 | 12/07/2012 | JPM |
| BOAA 2004-10 1CB1 | 24,558.20 | 0.02 | $24,434.70 | 6.00 | 11/25/2034 | BOAA |
| BOAA 2005-5 2CB1 | 2,574.28 | 0.00 | $1,958.92 | 6.00 | 06/25/2035 | BOAA |
| BRAMBLES USA INC | 90,000.00 | 0.09 | $92,210.31 | 3.95 | 04/01/2015 | BXBAU |
| BRAMBLES USA INC | 90,000.00 | 0.09 | $93,890.07 | 5.35 | 04/01/2020 | BXBAU |
| BRAZILIAN GOVERNMENT INTERNATI | 36,000.00 | 0.05 | $49,284.00 | 11.00 | 08/17/2040 | BRAZIL |
| BRITISH POUNDS | 962.89 | 0.00 | $1,510.29 | 0.00 | N/A | POUNDS |
| BSCMS 2005-PW10 A4 | 890,000.00 | 0.94 | $962,325.58 | 5.40 | 12/11/2040 | BSCMS |
| BSCMS 2005-PW10 AM | 335,000.00 | 0.32 | $330,362.60 | 5.45 | 12/11/2040 | BSCMS |
| BSCMS 2005-T20 A4A | 350,000.00 | 0.37 | $380,516.61 | 5.30 | 10/12/2042 | 07387BCL5 |
| BSCMS 2006-PW12 A4 | 55,000.00 | 0.06 | $59,930.39 | 5.91 | 09/11/2038 | BSCMS |
| BSCMS 2006-PW14 A4 | 300,000.00 | 0.31 | $315,994.56 | 5.20 | 12/11/2038 | BSCMS |
| BSCMS 2007-PW15 A4 | 330,000.00 | 0.32 | $332,240.63 | 5.33 | 02/11/2044 | BSCMS |
| BURLINGTON NORTHERN SANTA FE C | 250,000.00 | 0.26 | $267,553.75 | 4.70 | 10/01/2019 | BNI |
| CANADIAN DOLLAR | 37,596.50 | 0.04 | $36,574.25 | 0.00 | N/A | CANDOLLAR |
| CANADIAN GOVERNMENT BOND | 390,000.00 | 0.37 | $383,167.08 | 2.50 | 06/01/2015 | CAN |
| CARAT 2008-1 A3A | 51,707.33 | 0.05 | $52,436.20 | 3.86 | 08/15/2012 | CARAT |
| CAREFUSION CORP | 370,000.00 | 0.42 | $428,098.51 | 6.38 | 08/01/2019 | CFN |
| CASH | -9,765,638.06 | -9.53 | -$9,765,638.06 | 0.00 | 12/15/2038 | US-CASH |
| CCCIT 2007-A3 A3 | 165,000.00 | 0.20 | $205,907.59 | 6.15 | 06/15/2039 | CCCIT |
| CCCIT 2009-A1 A1 | 185,000.00 | 0.18 | $189,563.86 | 2.10 | 03/17/2014 | CCCIT |
| CDP FINANCIAL INC | 250,000.00 | 0.26 | $272,028.25 | 5.60 | 11/25/2039 | CADEPO |
| CDP FINANCIAL INC | 280,000.00 | 0.28 | $292,339.60 | 4.40 | 11/25/2019 | CADEPO |
| CDX.EM.13 06/20/2015 - JPMORGA | 197,000.00 | -0.02 | -$25,292.57 | 5.00 | 06/20/2015 | SPM802LA |
| CDX.NA.HY.14 06/20/2015 - BANK | 250,000.00 | 0.00 | $5,625.57 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - BANK | 250,000.00 | 0.00 | $5,625.57 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - BANK | 305,000.00 | 0.01 | $6,863.19 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - BARC | 200,000.00 | 0.00 | $4,500.46 | 5.00 | 06/20/2015 | SP0F02UR |
| CDX.NA.HY.14 06/20/2015 - BARC | 250,000.00 | 0.00 | $5,625.57 | 5.00 | 06/20/2015 | SPQ605EQ |
| CDX.NA.HY.14 06/20/2015 - BARC | 360,000.00 | 0.01 | $8,100.82 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - CITI | 200,000.00 | 0.00 | $4,500.46 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - CITI | 245,000.00 | 0.00 | $5,513.06 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - CITI | 250,000.00 | 0.00 | $5,625.57 | 5.00 | 06/20/2015 | SPQ605ER |
| CDX.NA.HY.14 06/20/2015 - CITI | 255,000.00 | 0.00 | $5,738.08 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - GOLD | 250,000.00 | 0.00 | $5,625.57 | 5.00 | 06/20/2015 | SP0F02UQ |
| CDX.NA.HY.14 06/20/2015 - GOLD | 360,000.00 | 0.01 | $8,100.82 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - GOLD | 450,000.00 | 0.01 | $10,126.02 | 5.00 | 06/20/2015 | SPY304Q3 |
| CDX.NA.HY.14 06/20/2015 - JP M | 275,000.00 | 0.01 | $6,188.13 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - MORG | 225,000.00 | 0.00 | $5,063.01 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - MORG | 265,000.00 | 0.00 | $5,963.10 | 5.00 | 06/20/2015 | /CDXHY |
| CENTRAIS ELETRICAS BRASILEIRAS | 300,000.00 | 0.33 | $342,000.00 | 6.88 | 07/30/2019 | ELEBRA |
| CF INDUSTRIES INC | 100,000.00 | 0.10 | $107,000.00 | 7.12 | 05/01/2020 | CFINDU |
| CHAIT 2009-A2 A2 | 260,000.00 | 0.26 | $265,653.39 | 1.90 | 04/15/2014 | CHAIT |
| CHARTER COMMUNICATIONS OPERATI | 85,000.00 | 0.09 | $95,625.00 | 10.88 | 09/15/2014 | CHTR |
| CHESAPEAKE ENERGY CORP | 95,000.00 | 0.10 | $107,112.50 | 9.50 | 02/15/2015 | CHK |
| CISCO SYSTEMS INC | 510,000.00 | 0.53 | $547,193.79 | 4.45 | 01/15/2020 | CSCO |
| CITEC 2009-VT1 A3 | 130,000.00 | 0.13 | $131,492.82 | 3.07 | 08/15/2016 | CITEC |
| CITIZENS COMMUNICATIONS CO | 145,000.00 | 0.14 | $147,900.00 | 7.12 | 03/15/2019 | CZN |
| CITY NATIONAL CAPITAL TRUST I | 190,000.00 | 0.20 | $201,777.53 | 9.62 | 02/01/2040 | CYN |
| CMS ENERGY CORP | 30,000.00 | 0.03 | $34,407.33 | 8.75 | 06/15/2019 | CMS |
| CMS ENERGY CORP | 115,000.00 | 0.12 | $119,737.08 | 6.55 | 07/17/2017 | CMS |
| CMSI 2006-4 3A1 | 74,063.30 | 0.07 | $72,643.36 | 5.50 | 08/25/2021 | CMSI |
| CNH 2007-A A4 | 27,728.82 | 0.03 | $27,702.24 | 0.39 | 09/17/2012 | CNH |
| CNH 2008-A A3 | 16,928.67 | 0.02 | $17,010.56 | 4.12 | 05/15/2012 | CNH |
| CNH 2008-A A4A | 145,000.00 | 0.15 | $150,155.14 | 4.93 | 08/15/2014 | CNH |
| CNH 2009-C A3 | 60,000.00 | 0.06 | $60,782.38 | 1.85 | 12/16/2013 | CNH |
| CNH 2009-C A4 | 175,000.00 | 0.18 | $182,856.17 | 3.00 | 08/17/2015 | CNH |
| CNH 2010-A A4 | 225,000.00 | 0.23 | $231,827.20 | 2.49 | 04/15/2030 | CNH |
| COBANK ACB | 250,000.00 | 0.28 | $284,846.00 | 7.88 | 04/16/2018 | COBKAC |
| COMCAST CORP | 450,000.00 | 0.50 | $516,896.55 | 5.90 | 03/15/2016 | 20030NAL5 |
| COMCAST CORPORATION 5-YR CDS 0 | 250,000.00 | 0.00 | -$611.81 | 1.00 | 09/20/2015 | /CMCSA |
| COMET 2006-A7 A7 | 100,000.00 | 0.10 | $99,822.80 | 0.38 | 03/17/2014 | COMET |
| COMET 2007-A4 A4 | 800,000.00 | 0.78 | $795,056.08 | 0.38 | 03/16/2015 | COMET |
| COMET 2007-A7 A7 | 380,000.00 | 0.43 | $443,025.13 | 5.75 | 07/15/2020 | COMET |
| COMET 2008-A3 A3 | 305,000.00 | 0.33 | $335,402.64 | 5.05 | 02/15/2016 | COMET |
| COMM 2005-C6 A5A | 210,000.00 | 0.22 | $225,875.12 | 5.12 | 06/10/2044 | COMM |
| COMMONWEALTH EDISON CO | 30,000.00 | 0.03 | $34,549.68 | 5.80 | 03/15/2018 | EXC |
| COMMONWEALTH EDISON CO | 300,000.00 | 0.30 | $307,409.40 | 4.00 | 08/01/2020 | EXC |
| COMNI 2009-A13 A13 | 250,000.00 | 0.26 | $272,397.40 | 5.35 | 08/15/2018 | COMNI |
| COVIDIEN INTERNATIONAL FINANCE | 475,000.00 | 0.48 | $494,380.95 | 4.20 | 06/15/2020 | COV |
| COX COMMUNICATIONS INC | 85,000.00 | 0.09 | $93,814.33 | 6.45 | 12/01/2036 | 224044BR7 |
| COX COMMUNICATIONS INC | 95,000.00 | 0.10 | $108,585.29 | 6.25 | 06/01/2018 | COXENT |
| COX COMMUNICATIONS INC | 100,000.00 | 0.11 | $116,781.50 | 6.95 | 06/01/2038 | COXENT |
| CRICKET COMMUNICATIONS INC | 150,000.00 | 0.15 | $155,812.50 | 9.38 | 11/01/2014 | LEAP |
| CRMSI 2006-3 A5 | 300,000.00 | 0.23 | $240,459.60 | 5.95 | 11/25/2036 | CRMSI |
| CROWN CASTLE TOWERS LLC | 145,000.00 | 0.14 | $146,268.75 | 4.88 | 08/15/2020 | CCI |
| CSC HOLDINGS LLC | 135,000.00 | 0.14 | $145,968.75 | 8.50 | 06/15/2015 | CVC |
| CSFB 2001-SPGA A2 | 255,000.00 | 0.26 | $265,277.78 | 6.52 | 08/13/2018 | CSFB |
| CSMC 2006-C1 AAB | 115,000.00 | 0.12 | $121,844.74 | 5.68 | 02/15/2039 | CSMC |
| CVS PASS-THROUGH TRUST | 216,320.70 | 0.26 | $261,746.96 | 8.35 | 07/10/2031 | CVS |
| CWHL 2006-17 A5 | 33,667.91 | 0.03 | $29,768.02 | 6.00 | 12/25/2036 | CWHL |
| CXHE 2005-D AF4 | 28,001.79 | 0.03 | $27,883.17 | 5.27 | 10/25/2035 | CXHE |
| CYTEC INDUSTRIES INC | 225,000.00 | 0.27 | $276,944.85 | 8.95 | 07/01/2017 | CYT |
| DCAT 2008-B A3A | 91,159.54 | 0.09 | $92,700.60 | 4.71 | 09/10/2012 | DCAT |
| DCENT 2007-A1 A1 | 190,000.00 | 0.22 | $221,349.91 | 5.65 | 03/16/2020 | DCENT |
| DCENT 2008-A4 A4 | 200,000.00 | 0.22 | $224,220.26 | 5.65 | 12/15/2015 | DCENT |
| DEVELOPERS DIVERSIFIED REALTY | 150,000.00 | 0.16 | $164,477.40 | 9.62 | 03/15/2016 | DDR |
| DIGITAL REALTY TRUST LP | 95,000.00 | 0.10 | $97,488.43 | 5.88 | 02/01/2020 | DLR |
| DIRECTV HOLDINGS LLC/DIRECTV F | 610,000.00 | 0.66 | $677,899.10 | 7.62 | 05/15/2016 | DTV |
| DOW CHEMICAL CO/THE | 255,000.00 | 0.31 | $318,978.74 | 8.55 | 05/15/2019 | DOW |
| DUKE ENERGY CAROLINAS LLC | 370,000.00 | 0.39 | $396,668.86 | 4.30 | 06/15/2020 | DUK |
| DUKE ENERGY INDIANA INC | 60,000.00 | 0.06 | $61,138.68 | 3.75 | 07/15/2020 | DUK |
| DUNKN 2006-1 A2 | 200,000.00 | 0.19 | $195,369.60 | 5.78 | 06/20/2031 | DUNKN |
| E*TRADE FINANCIAL CORP | 50,000.00 | 0.06 | $56,500.00 | 12.50 | 11/30/2017 | ETFC |
| EKSPORTFINANS A/S | 455,000.00 | 0.51 | $522,200.77 | 5.50 | 05/25/2016 | EXPT |
| EKSPORTFINANS ASA | 190,000.00 | 0.19 | $198,720.43 | 3.00 | 11/17/2014 | EXPT |
| ENBRIDGE ENERGY | 135,000.00 | 0.13 | $133,167.38 | 8.05 | 10/01/2037 | 29250RAK2 |
| ENERGY FUTURE HOLDINGS TERM B2 | 329,041.65 | 0.25 | $257,570.52 | 3.73 | 10/10/2014 | LN363469 |
| ENERGY TRANSFER PARTNERS LP | 235,000.00 | 0.29 | $296,205.28 | 9.70 | 03/15/2019 | ETP |
| ENTERPRISE PRODUCTS | 70,000.00 | 0.06 | $66,944.64 | 7.03 | 01/15/2068 | 293791AW9 |
| ENTERPRISE PRODUCTS OPERATING | 170,000.00 | 0.18 | $182,475.79 | 5.20 | 09/01/2020 | EPD |
| ENTERPRISE PRODUCTS OPERATING | 230,000.00 | 0.27 | $281,459.51 | 9.75 | 01/31/2014 | EPD |
| EOG RESOURCES INC | 190,000.00 | 0.19 | $196,292.04 | 2.95 | 06/01/2015 | EOG |
| ERAC USA FINANCE LLC | 90,000.00 | 0.09 | $92,425.95 | 5.25 | 10/01/2020 | ENTERP |
| EURO | 10,876.73 | 0.01 | $14,174.55 | 0.00 | N/A | EURO |
| EUROPEAN INVESTMENT BANK | 119,000.00 | 0.11 | $109,233.81 | 6.12 | 01/23/2017 | EIB |
| EUROPEAN INVESTMENT BANK | 900,000.00 | 0.12 | $128,131.81 | 9.00 | 12/21/2018 | EIB |
| EXPORT DEVELOPMENT CANADA | 55,000.00 | 0.06 | $56,490.45 | 2.25 | 05/28/2015 | EDC |
| EXPORT-IMPORT BANK OF KOREA | 100,000.00 | 0.11 | $111,011.30 | 5.88 | 01/14/2015 | EIBKOR |
| EXPORT-IMPORT BANK OF KOREA | 225,000.00 | 0.24 | $242,500.95 | 5.25 | 02/10/2014 | EIBKOR |
| FGCI E01386 | 96,218.41 | 0.10 | $103,497.74 | 5.00 | 06/01/2018 | FG |
| FGCI G13245 | 161,307.91 | 0.17 | $174,350.35 | 5.50 | 08/01/2023 | FG |
| FGCI G13501 | 148,046.74 | 0.15 | $158,349.03 | 5.00 | 01/01/2024 | FG |
| FGCI J09951 | 488,525.37 | 0.50 | $518,060.59 | 4.50 | 07/01/2024 | FG |
| FGLMC A45798 | 155,375.86 | 0.17 | $179,224.49 | 8.00 | 05/01/2031 | FG |
| FGLMC AUG TBA | 210,000.00 | 0.22 | $228,079.74 | 6.00 | 08/01/2040 | FGLMC |
| FGLMC SEP TBA | 1,300,000.00 | 1.35 | $1,380,437.50 | 5.00 | 09/01/2040 | FGLMC |
| FHARM 1G1067 | 83,807.93 | 0.09 | $88,180.63 | 5.69 | 07/01/2036 | FH |
| FHARM 1H1348 | 229,299.48 | 0.24 | $244,523.02 | 5.81 | 10/01/2036 | FH |
| FHASI 2006-3 1A11 | 267,722.18 | 0.25 | $260,571.59 | 6.25 | 11/25/2036 | FHASI |
| FHLB-DN 8-2-10 | 15,457,080.34 | 15.08 | $15,457,054.58 | 0.06 | 08/02/2010 | 0802PFDIS |
| FHLMC 170128 | 1,357.54 | 0.00 | $1,558.31 | 11.50 | 06/01/2015 | FH |
| FHLMC 170129 | 1,706.69 | 0.00 | $1,981.53 | 11.50 | 06/01/2015 | FH |
| FHLMC 170139 | 955.11 | 0.00 | $1,054.66 | 11.50 | 08/01/2015 | FH |
| FHLMC 555085 | 6,775.99 | 0.01 | $7,839.44 | 11.50 | 03/01/2016 | FH |
| FHLMC 555089 | 26,066.42 | 0.03 | $30,191.41 | 11.50 | 02/01/2016 | FH |
| FHLMC 555301 | 14,016.77 | 0.02 | $16,035.75 | 10.00 | 01/01/2019 | FH |
| FHR 2557 WE | 300,000.00 | 0.32 | $330,942.36 | 5.00 | 01/15/2018 | FHR |
| FHR 2662 MA | 137,768.17 | 0.14 | $145,046.52 | 4.50 | 10/15/2031 | FHR |
| FHR 3131 MC | 200,000.00 | 0.21 | $217,403.86 | 5.50 | 04/15/2033 | FHR |
| FHR 3173 PE | 325,000.00 | 0.35 | $355,788.97 | 6.00 | 04/15/2035 | FHR |
| FHR 3337 PB | 215,000.00 | 0.22 | $222,930.17 | 5.50 | 07/15/2030 | FHR |
| FLORIDA POWER CORP | 160,000.00 | 0.18 | $185,464.96 | 5.65 | 06/15/2018 | PGN |
| FNARM 830970 | 223,370.99 | 0.23 | $237,635.39 | 5.00 | 08/01/2035 | FN |
| FNARM 847965 | 112,509.47 | 0.12 | $119,641.59 | 5.14 | 11/01/2035 | FN |
| FNARM 886163 | 267,752.54 | 0.28 | $287,184.84 | 6.20 | 07/01/2036 | FN |
| FNCI 735569 | 107,760.11 | 0.11 | $117,788.49 | 8.00 | 10/01/2016 | FN |
| FNCI 888104 | 212,873.91 | 0.22 | $229,096.37 | 5.00 | 05/01/2021 | FN |
| FNCI AUG TBA | 600,000.00 | 0.62 | $635,718.60 | 4.50 | 08/01/2025 | 01F042483 |
| FNCI AUG TBA | 1,100,000.00 | 1.12 | $1,150,359.10 | 4.00 | 08/01/2025 | 01F040487 |
| FNCL 257062 | 194,164.55 | 0.20 | $207,156.16 | 5.00 | 01/01/2038 | FN |
| FNCL 303157 | 12,516.90 | 0.01 | $14,188.36 | 10.00 | 05/01/2022 | FN |
| FNCL 527338 | 21,976.10 | 0.02 | $25,521.12 | 8.00 | 02/01/2030 | FN |
| FNCL 70575 | 9,915.92 | 0.01 | $11,548.42 | 10.00 | 07/01/2020 | FN |
| FNCL 725380 | 175,844.02 | 0.19 | $197,030.60 | 10.00 | 02/01/2025 | FN |
| FNCL 888678 | 545,005.96 | 0.57 | $582,354.73 | 5.00 | 12/01/2036 | FN |
| FNCL 899952 | 122,817.39 | 0.13 | $131,035.14 | 5.00 | 12/01/2037 | FN |
| FNCL 948116 | 616,744.55 | 0.65 | $670,909.09 | 6.00 | 11/01/2037 | FN |
| FNCL 961408 | 89,018.86 | 0.09 | $94,975.14 | 5.00 | 02/01/2038 | FN |
| FNCL AUG TBA | 1,470,000.00 | 1.47 | $1,506,520.68 | 4.00 | 08/01/2040 | FNCL |
| FNCL AUG TBA | 1,495,000.00 | 1.58 | $1,623,943.75 | 6.00 | 08/01/2040 | FNCL |
| FNCL SEP TBA | 580,000.00 | 0.60 | $616,069.04 | 5.00 | 09/01/2040 | FNCL |
| FNCL SEP TBA | 2,465,000.00 | 2.51 | $2,568,221.88 | 4.50 | 09/01/2040 | 01F042699 |
| FNCT 257325 | 803,270.35 | 0.85 | $867,572.46 | 5.50 | 08/01/2028 | FN |
| FNGT 2001-T10 A1 | 174,025.63 | 0.19 | $195,398.15 | 7.00 | 12/25/2041 | FNGT |
| FNGT 2002-T1 A2 | 94,299.63 | 0.10 | $106,352.30 | 7.00 | 11/25/2031 | FNGT |
| FNKL 552213 | 11,130.00 | 0.01 | $13,007.75 | 10.50 | 06/01/2030 | FN |
| FNR 1988-15 A | 886.99 | 0.00 | $1,017.01 | 9.00 | 06/25/2018 | FNR |
| FNR 1996-46 ZA | 114,942.47 | 0.12 | $128,470.41 | 7.50 | 11/25/2026 | FNR |
| FNR 2002-83 GH | 465,000.00 | 0.50 | $510,865.65 | 5.00 | 12/25/2017 | FNR |
| FNS 35 2 | 53,903.20 | 0.06 | $66,118.05 | 12.00 | 07/01/2018 | FNS |
| FNS J 1 | 2.00 | 0.00 | $2.01 | 7.00 | 11/01/2010 | FNS |
| FNW 2002-W1 2A | 98,428.23 | 0.11 | $113,592.33 | 7.50 | 02/25/2042 | FNW |
| FORD MOTOR COMPANY TERM B | 439,431.12 | 0.42 | $428,682.64 | 3.26 | 12/15/2013 | LN303249 |
| FORD MOTOR CREDIT | 145,000.00 | 0.15 | $149,909.99 | 7.25 | 10/25/2011 | 345397TY9 |
| FORDF 2009-2 A | 100,000.00 | 0.10 | $101,728.31 | 1.90 | 09/15/2014 | FORDF |
| FORDF 2010-1 A | 165,000.00 | 0.16 | $168,374.81 | 2.00 | 12/15/2014 | FORDF |
| FORDL 2010-A A2 | 250,000.00 | 0.24 | $250,472.90 | 1.04 | 03/15/2013 | FORDL |
| FSPC T-42 A5 | 36,889.51 | 0.04 | $42,255.78 | 7.50 | 02/25/2042 | FSPC |
| G2GP 9194 | 5,753.06 | 0.00 | $5,796.05 | 10.75 | 03/20/2016 | G2 |
| G2SF 109 | 3,275.60 | 0.00 | $3,615.59 | 12.00 | 04/20/2014 | G2 |
| G2SF 1107 | 581.67 | 0.00 | $651.50 | 10.50 | 12/20/2018 | G2 |
| G2SF 1139 | 453.91 | 0.00 | $511.48 | 10.50 | 02/20/2019 | G2 |
| G2SF 1186 | 2,016.55 | 0.00 | $2,338.65 | 10.00 | 05/20/2019 | G2 |
| G2SF 1203 | 575.59 | 0.00 | $655.88 | 10.50 | 06/20/2019 | G2 |
| G2SF 1221 | 615.34 | 0.00 | $620.08 | 11.00 | 07/20/2019 | G2 |
| G2SF 1256 | 444.51 | 0.00 | $506.52 | 10.50 | 09/20/2019 | G2 |
| G2SF 127 | 1,570.29 | 0.00 | $1,777.87 | 12.50 | 05/20/2014 | G2 |
| G2SF 1329 | 2,283.78 | 0.00 | $2,323.73 | 10.50 | 01/20/2020 | G2 |
| G2SF 1347 | 4,624.16 | 0.00 | $5,276.36 | 10.50 | 02/20/2020 | G2 |
| G2SF 1382 | 756.17 | 0.00 | $879.10 | 10.00 | 04/20/2020 | G2 |
| G2SF 1383 | 10,483.81 | 0.01 | $11,746.46 | 10.50 | 04/20/2020 | G2 |
| G2SF 1401 | 7,040.82 | 0.01 | $8,033.88 | 10.50 | 05/20/2020 | G2 |
| G2SF 1418 | 6,016.46 | 0.01 | $6,994.56 | 10.00 | 06/20/2020 | G2 |
| G2SF 1454 | 2,261.95 | 0.00 | $2,629.68 | 10.00 | 08/20/2020 | G2 |
| G2SF 1455 | 1,150.67 | 0.00 | $1,171.06 | 10.50 | 08/20/2020 | G2 |
| G2SF 1491 | 5,739.13 | 0.01 | $6,548.59 | 10.50 | 10/20/2020 | G2 |
| G2SF 1544 | 5,127.26 | 0.00 | $5,953.99 | 10.00 | 01/20/2021 | G2 |
| G2SF 1562 | 10,952.54 | 0.01 | $12,786.70 | 10.00 | 02/20/2021 | G2 |
| G2SF 1616 | 5,743.80 | 0.01 | $6,705.68 | 10.00 | 05/20/2021 | G2 |
| G2SF 1634 | 1,113.15 | 0.00 | $1,299.56 | 10.00 | 06/20/2021 | G2 |
| G2SF 1779 | 22,352.99 | 0.02 | $25,482.05 | 10.50 | 02/20/2021 | G2 |
| G2SF 19 | 12,803.29 | 0.01 | $14,247.76 | 12.50 | 10/20/2013 | G2 |
| G2SF 20 | 2,714.18 | 0.00 | $2,787.93 | 12.50 | 11/20/2013 | G2 |
| G2SF 21 | 7,387.13 | 0.01 | $7,516.51 | 12.50 | 12/20/2013 | G2 |
| G2SF 2935 | 13,179.16 | 0.02 | $15,441.60 | 8.00 | 06/20/2030 | G2 |
| G2SF 2972 | 24,543.62 | 0.03 | $28,219.84 | 7.50 | 09/20/2030 | G2 |
| G2SF 335 | 485.86 | 0.00 | $489.57 | 11.00 | 05/20/2015 | G2 |
| G2SF 337 | 155.41 | 0.00 | $156.71 | 12.00 | 05/20/2015 | G2 |
| G2SF 368 | 2,293.10 | 0.00 | $2,315.22 | 12.50 | 07/20/2015 | G2 |
| G2SF 438 | 713.89 | 0.00 | $812.74 | 10.00 | 11/20/2015 | G2 |
| G2SF 514 | 1,025.19 | 0.00 | $1,139.18 | 10.50 | 03/20/2016 | G2 |
| G2SF 909 | 1,102.25 | 0.00 | $1,234.54 | 10.50 | 01/20/2018 | G2 |
| G2SF 93 | 2,836.48 | 0.00 | $3,147.27 | 12.00 | 03/20/2014 | G2 |
| GCCFC 2004-GG1 A7 | 85,000.00 | 0.09 | $92,064.70 | 5.32 | 06/10/2036 | GCCFC |
| GCCFC 2005-GG5 A5 | 140,000.00 | 0.14 | $147,626.47 | 5.22 | 04/01/2037 | 396789LL1 |
| GCCT 2008-3 A | 150,000.00 | 0.15 | $151,125.00 | 1.35 | 07/15/2011 | GCCT |
| GEMNT 2009-3 A | 135,000.00 | 0.13 | $137,341.60 | 2.54 | 09/15/2014 | GEMNT |
| GENERAL ELECTRIC CAPITAL CORP | 785,000.00 | 0.85 | $870,444.11 | 6.00 | 08/07/2019 | GE |
| GENERAL MILLS INC | 180,000.00 | 0.20 | $206,396.28 | 5.65 | 02/15/2019 | GIS |
| GENZYME CORP | 70,000.00 | 0.07 | $73,666.18 | 3.62 | 06/15/2015 | GENZ |
| GENZYME CORP | 190,000.00 | 0.20 | $206,401.94 | 5.00 | 06/15/2020 | GENZ |
| GNGP 901459 | 6,557.12 | 0.01 | $6,614.57 | 12.25 | 03/15/2014 | GN |
| GNGP 97135 | 10,215.59 | 0.01 | $10,294.70 | 11.00 | 03/15/2013 | GN |
| GNJO 503952 | 45,710.74 | 0.05 | $49,764.86 | 6.50 | 07/15/2014 | GN |
| GNSF 101883 | 5,533.16 | 0.01 | $6,278.37 | 12.50 | 11/15/2013 | GN |
| GNSF 108766 | 1,834.46 | 0.00 | $1,850.16 | 12.00 | 04/15/2014 | GN |
| GNSF 108998 | 6,317.68 | 0.01 | $6,371.68 | 12.00 | 04/15/2014 | GN |
| GNSF 110373 | 6,769.51 | 0.01 | $6,885.15 | 12.00 | 04/15/2014 | GN |
| GNSF 118154 | 5,434.22 | 0.00 | $6,046.45 | 12.00 | 05/15/2014 | GN |
| GNSF 120204 | 2,792.74 | 0.00 | $2,841.54 | 12.00 | 06/15/2014 | GN |
| GNSF 120699 | 414.12 | 0.00 | $417.37 | 12.00 | 03/15/2015 | GN |
| GNSF 122189 | 2,121.58 | 0.00 | $2,139.88 | 12.00 | 03/15/2015 | GN |
| GNSF 126639 | 18,565.36 | 0.02 | $18,724.49 | 12.00 | 05/15/2015 | GN |
| GNSF 132806 | 21,104.90 | 0.02 | $24,118.05 | 12.00 | 06/15/2015 | GN |
| GNSF 133547 | 17,222.44 | 0.02 | $17,370.06 | 12.00 | 04/15/2015 | GN |
| GNSF 139299 | 6,379.47 | 0.01 | $6,496.98 | 12.00 | 11/15/2015 | GN |
| GNSF 143231 | 24,773.20 | 0.02 | $25,241.01 | 12.50 | 01/15/2016 | GN |
| GNSF 248625 | 2,615.13 | 0.00 | $2,634.01 | 10.00 | 09/15/2018 | GN |
| GNSF 262211 | 7,144.67 | 0.01 | $8,260.80 | 10.00 | 09/15/2018 | GN |
| GNSF 268362 | 3,166.86 | 0.00 | $3,192.48 | 11.50 | 07/15/2015 | GN |
| GNSF 277064 | 3,594.53 | 0.00 | $4,192.52 | 9.50 | 10/15/2019 | GN |
| GNSF 283861 | 14,550.49 | 0.01 | $14,812.64 | 11.00 | 08/15/2015 | GN |
| GNSF 283907 | 466.50 | 0.00 | $470.19 | 11.00 | 09/15/2015 | GN |
| GNSF 516525 | 13,849.30 | 0.02 | $16,283.01 | 8.00 | 05/15/2030 | GN |
| GNSF 60387 | 3,224.97 | 0.00 | $3,252.17 | 12.00 | 02/15/2013 | GN |
| GNSF 70183 | 3,071.90 | 0.00 | $3,223.89 | 12.50 | 12/15/2013 | GN |
| GNSF 780010 | 25,757.40 | 0.03 | $29,696.54 | 9.50 | 03/15/2023 | GN |
| GNSF 780118 | 17,640.86 | 0.02 | $20,587.44 | 9.50 | 08/15/2021 | GN |
| GNSF 781389 | 17,424.83 | 0.02 | $20,113.33 | 7.50 | 01/15/2032 | GN |
| GOLDMAN SACHS GROUP INC/THE | 80,000.00 | 0.08 | $80,661.60 | 3.70 | 08/01/2015 | GS |
| GOLDMAN SACHS GROUP INC/THE | 360,000.00 | 0.36 | $371,253.96 | 5.38 | 03/15/2020 | GS |
| GSMPS 1998-2 A | 118,007.06 | 0.12 | $118,102.65 | 7.75 | 05/19/2027 | GSMPS |
| GSMPS 1999-3 A | 253,924.30 | 0.25 | $255,248.26 | 8.00 | 08/19/2029 | GSMPS |
| GSMS 2004-GG2 A6 | 405,000.00 | 0.42 | $432,952.41 | 5.40 | 08/10/2038 | GSMS |
| GSMS 2005-GG4 A4A | 600,000.00 | 0.62 | $634,955.46 | 4.75 | 07/10/2039 | GSMS |
| GSMS 2006-GG6 A4 | 685,000.00 | 0.71 | $726,198.02 | 5.55 | 04/10/2038 | GSMS |
| GXS WORLDWIDE INC | 135,000.00 | 0.13 | $130,275.00 | 9.75 | 06/15/2015 | GXSWLD |
| HARRAHS CHESTER DOWNS TERM LOA | 108,531.25 | 0.11 | $109,480.90 | 12.38 | 12/31/2016 | HET |
| HART 2007-A A3A | 11,064.79 | 0.01 | $11,138.26 | 5.04 | 01/17/2012 | HART |
| HART 2008-A A3 | 129,224.44 | 0.13 | $132,927.11 | 4.93 | 12/17/2012 | HART |
| HCA INC/DE - PRE 2010 IPO | 91,000.00 | 0.10 | $98,507.50 | 9.62 | 11/15/2016 | HCA |
| HDMOT 2006-1 A2 | 28,669.75 | 0.03 | $29,051.28 | 5.04 | 10/15/2012 | HDMOT |
| HDMOT 2008-1 A4 | 125,000.00 | 0.13 | $131,151.41 | 4.90 | 12/15/2013 | HDMOT |
| HDMOT 2009-4 A3 | 100,000.00 | 0.10 | $101,339.86 | 1.87 | 02/17/2014 | HDMOT |
| HEXION US FINANCE CORP / HEXIO | 160,000.00 | 0.15 | $155,000.00 | 8.88 | 02/01/2018 | HXN |
| HOLOGIC INC | 170,000.00 | 0.15 | $150,662.50 | 2.00 | 12/15/2037 | HOLX CB |
| HOSPIRA INC | 380,000.00 | 0.42 | $434,843.88 | 6.40 | 05/15/2015 | HSP |
| ILFC E-CAPITAL TRUST II | 210,000.00 | 0.14 | $143,850.00 | 6.25 | 12/21/2065 | AIG |
| ILLINOIS POWER CO | 469,000.00 | 0.60 | $617,278.57 | 9.75 | 11/15/2018 | AEE |
| INDIANA MICHIGAN POWER CO | 70,000.00 | 0.08 | $83,860.70 | 7.00 | 03/15/2019 | AEP |
| INDONESIA TREASURY BOND | 400,000,000.00 | 0.05 | $48,503.40 | 9.50 | 07/15/2023 | INDOGB |
| INDONESIA TREASURY BOND | 1,000,000,000.00 | 0.15 | $150,005.93 | 12.80 | 06/15/2021 | INDOGB |
| INDONESIA TREASURY BOND | 1,180,000,000.00 | 0.14 | $143,406.17 | 9.50 | 06/15/2015 | INDOGB |
| INDONESIA TREASURY BOND | 1,180,000,000.00 | 0.14 | $148,268.19 | 10.50 | 08/15/2030 | INDOGB |
| INDONESIA TREASURY BOND | 1,521,000,000.00 | 0.19 | $195,707.61 | 10.75 | 05/15/2016 | INDOGB |
| INDONESIA TREASURY BOND | 2,724,000,000.00 | 0.36 | $370,421.95 | 11.00 | 11/15/2020 | INDOGB |
| INDONESIAN RUPIAH | 3,498,776.00 | 0.00 | $391.36 | 0.00 | N/A | RUPIAH |
| INMARSAT FINANCE PLC | 100,000.00 | 0.10 | $103,000.00 | 7.38 | 12/01/2017 | ISATLN |
| INTELSAT BERMUDA LTD | 135,000.00 | 0.14 | $143,775.00 | 11.25 | 02/04/2017 | INTEL |
| INTER-AMERICAN DEVELOPMENT BAN | 150,000.00 | 0.15 | $153,490.65 | 2.25 | 07/15/2015 | IADB |
| INTER-AMERICAN DEVELOPMENT BAN | 232,000.00 | 0.21 | $211,094.20 | 5.38 | 05/27/2014 | IADB |
| INTERNATIONAL BANK FOR RECONST | 128,000.00 | 0.11 | $116,265.67 | 5.75 | 10/21/2019 | IBRD |
| INTERNATIONAL BANK FOR RECONST | 185,000.00 | 0.19 | $191,373.44 | 2.38 | 05/26/2015 | IBRD |
| INTERNATIONAL GAME TECHNOLOGY | 105,000.00 | 0.11 | $109,580.31 | 5.50 | 06/15/2020 | IGT |
| INTERNATIONAL LEASE FINANCE CO | 275,000.00 | 0.27 | $281,187.50 | 8.75 | 03/15/2017 | AIG |
| INTERNATIONAL PAPER CO | 375,000.00 | 0.48 | $488,369.25 | 9.38 | 05/15/2019 | IP |
| ITRAXX EUR SUB FINANCIALS 13.1 | 170,000.00 | 0.01 | $8,443.04 | 1.00 | 06/20/2015 | /ITRAX |
| ITRAXX EUR SUB FINANCIALS 13.1 | 350,000.00 | 0.02 | $17,382.73 | 1.00 | 06/20/2015 | SP33076P |
| ITRAXX EUR SUB FINANCIALS 13.1 | 500,000.00 | 0.02 | $24,832.47 | 1.00 | 06/20/2015 | SPC703E3 |
| ITRAXX EUR SUB FINANCIALS 13.1 | 700,000.00 | 0.03 | $34,765.45 | 1.00 | 06/20/2015 | /ITRAX |
| J.C. PENNEY COMPANY, INC 5-YEA | 85,000.00 | 0.00 | $2,991.34 | 1.00 | 03/20/2015 | /JCP |
| J.C. PENNEY COMPANY, INC 5-YEA | 90,000.00 | 0.00 | $3,167.30 | 1.00 | 03/20/2015 | /JCP1 |
| J.C. PENNEY COMPANY, INC 5-YR | 135,000.00 | 0.00 | $4,750.96 | 1.00 | 03/20/2015 | /JCP |
| JAPANESE YEN | 263,620.00 | 0.00 | $3,051.86 | 0.00 | N/A | YENS |
| JDOT 2010-A A4 | 155,000.00 | 0.15 | $158,717.35 | 2.13 | 10/17/2016 | JDOT |
| JEFFERIES GROUP | 40,000.00 | 0.03 | $35,529.04 | 6.25 | 01/15/2036 | 472319AC6 |
| JEFFERIES GROUP INC | 275,000.00 | 0.25 | $261,051.18 | 6.45 | 06/08/2027 | JEF |
| JERSEY CENTRAL POWER & LIGHT C | 75,000.00 | 0.08 | $82,109.70 | 5.62 | 05/01/2016 | FE |
| JP MORGAN CHASE CAPITAL XXV | 381,000.00 | 0.38 | $388,964.81 | 6.80 | 10/01/2037 | JPM |
| JPMCC 2002-C2 A2 | 200,000.00 | 0.21 | $212,023.90 | 5.05 | 12/12/2034 | JPMCC |
| JPMCC 2005-LDP4 A4 | 150,000.00 | 0.16 | $159,569.51 | 4.92 | 10/01/2042 | 46625YUA9 |
| JPMCC 2005-LDP5 A4 | 100,000.00 | 0.10 | $108,543.99 | 5.36 | 12/15/2044 | JPMCC |
| JPMMT 2007-A1 7A4 | 466,767.46 | 0.18 | $189,710.17 | 5.29 | 07/25/2035 | JPMMT |
| JPMORGAN CHASE & CO | 200,000.00 | 0.20 | $200,882.60 | 4.40 | 07/22/2020 | JPM |
| JPMORGAN CHASE BANK NA | 250,000.00 | 0.27 | $281,391.75 | 6.00 | 10/01/2017 | JPM |
| KEYBANK NA | 250,000.00 | 0.26 | $272,126.75 | 5.80 | 07/01/2014 | 49306CAH4 |
| KINDER MORGAN ENER PART | 215,000.00 | 0.27 | $279,383.26 | 9.00 | 02/01/2019 | KMP |
| KINDER MORGAN ENERGY PARTNERS | 40,000.00 | 0.04 | $44,216.96 | 6.55 | 09/15/2040 | KMP |
| KINGDOM OF SPAIN 5-YR CDS 03/2 | 240,000.00 | 0.01 | $8,739.23 | 1.00 | 03/20/2015 | /SPGB |
| KNOLOGY INC EXTENDED TERM LOAN | 253,718.58 | 0.24 | $248,009.91 | 3.78 | 06/02/2014 | KNOL |
| KOMMUNALBANKEN AS | 234,000.00 | 0.24 | $241,356.26 | 2.75 | 05/05/2015 | KBN |
| KOREA DEVELOPMENT BANK/REPUBLI | 295,000.00 | 0.34 | $345,356.80 | 8.00 | 01/23/2014 | KDB |
| KOREA EXPRESSWAY CORP | 100,000.00 | 0.10 | $104,428.80 | 4.50 | 03/23/2015 | HIGHWY |
| KRAFT FOODS INC | 255,000.00 | 0.27 | $279,456.80 | 5.38 | 02/10/2020 | KFT |
| KREDITANSTALT FUER WIEDERAUFBA | 290,000.00 | 0.16 | $167,401.26 | 10.00 | 05/15/2012 | KFW |
| L-3 COMMUNICATIONS CORP | 315,000.00 | 0.31 | $322,470.54 | 4.75 | 07/15/2020 | LLL |
| LAZARD GROUP | 162,000.00 | 0.16 | $167,916.56 | 6.85 | 06/15/2017 | LAZ |
| LAZARD GROUP LLC | 34,000.00 | 0.04 | $36,345.59 | 7.12 | 05/15/2015 | LAZ |
| LBUBS 2004-C1 A4 | 180,000.00 | 0.18 | $187,641.09 | 4.57 | 01/15/2031 | 52108HYK4 |
| LEVEL 3 COMMUNICATION INC TERM | 185,000.00 | 0.20 | $201,072.80 | 11.50 | 03/13/2014 | LVLT |
| LIFE TECHNOLOGIES CORP | 20,000.00 | 0.02 | $20,991.64 | 4.40 | 03/01/2015 | LIFE |
| LIFE TECHNOLOGIES CORP | 310,000.00 | 0.33 | $342,407.40 | 6.00 | 03/01/2020 | LIFE |
| LINEAR TECHNOLOGY CORP | 225,000.00 | 0.22 | $228,937.50 | 3.00 | 05/01/2027 | LLTC CB2 |
| LMT 2005-2 2A3 | 113,120.32 | 0.10 | $103,708.48 | 5.50 | 12/25/2035 | LMT |
| LONG TERM RECEIVABLES | -229,258.49 | -0.20 | -$229,258.49 | 0.00 | N/A | SECNCAHUS |
| MACYS RETAIL HLDGS INC | 119,000.00 | 0.12 | $122,570.00 | 5.90 | 12/01/2016 | 314275AA6 |
| MARP 2005-1 1A5 | 207,527.57 | 0.20 | $206,826.54 | 8.00 | 08/25/2034 | MARP |
| MATS 2007-1 A4 | 62,894.79 | 0.06 | $62,629.67 | 0.41 | 12/15/2013 | MATS |
| MBNAS 2005-A2 A2 | 50,000.00 | 0.05 | $49,820.63 | 0.43 | 10/15/2014 | MBNAS |
| MECCANICA HOLDINGS USA | 180,000.00 | 0.18 | $190,318.32 | 6.25 | 07/15/2019 | FNCIM |
| MEDCO HEALTH SOLUTIONS INC | 330,000.00 | 0.38 | $395,299.74 | 7.12 | 03/15/2018 | MHS |
| METLIFE INC | 15,000.00 | 0.02 | $17,237.73 | 6.82 | 08/15/2018 | MET |
| METLIFE INC 5-YR CDS 12/20/201 | 415,000.00 | -0.03 | -$27,737.22 | 1.00 | 12/20/2014 | /MET |
| METLIFE INC 5YR CDS 09/20/14 | 80,000.00 | 0.01 | $7,242.05 | 5.00 | 09/20/2014 | /MET |
| MEXICAN PESO | 618,134.30 | 0.05 | $48,839.66 | 0.00 | N/A | PESOS |
| MGM MIRAGE | 55,000.00 | 0.06 | $64,350.00 | 13.00 | 11/15/2013 | MGM |
| MGM RESORTS INTERNATIONAL | 30,000.00 | 0.03 | $33,300.00 | 10.38 | 05/15/2014 | MGM |
| MGM RESORTS INTERNATIONAL | 35,000.00 | 0.04 | $39,900.00 | 11.12 | 11/15/2017 | MGM |
| MIDAMERICAN FUNDING LLC | 102,000.00 | 0.10 | $105,493.91 | 6.75 | 03/01/2011 | BRK |
| MIDCONTINENT EXPRESS PIPELINE | 180,000.00 | 0.18 | $190,326.60 | 5.45 | 09/15/2014 | MCEXPP |
| MIDCONTINENT EXPRESS PIPELINE | 220,000.00 | 0.23 | $234,085.94 | 6.70 | 09/15/2019 | MCEXPP |
| MLMT 2005-CIP1 A2 | 160,295.81 | 0.16 | $164,009.91 | 4.96 | 07/12/2038 | MLMT |
| MSC 2005-HQ6 A4A | 492,000.00 | 0.51 | $527,472.02 | 4.99 | 08/13/2042 | MSC |
| MSC 2007-T27 A4 | 475,000.00 | 0.50 | $511,161.37 | 5.80 | 06/13/2042 | MSC |
| MYLAN INC/PA | 95,000.00 | 0.10 | $101,412.50 | 7.62 | 07/15/2017 | MYL |
| NATIONAL SEMICONDUCTOR CORP | 70,000.00 | 0.07 | $72,161.81 | 3.95 | 04/15/2015 | NSM |
| NATIONAL SEMICONDUCTOR CORP | 120,000.00 | 0.13 | $135,584.64 | 6.60 | 06/15/2017 | 637640AE3 |
| NBC UNIVERSAL INC | 470,000.00 | 0.49 | $500,520.86 | 5.15 | 04/30/2020 | NBCUNI |
| NEW SOUTH WALES TREASURY CORP | 794,000.00 | 0.71 | $731,883.60 | 6.00 | 05/01/2020 | NSWTC |
| NEW ZEALAND DOLLAR | 256.44 | 0.00 | $186.10 | 0.00 | N/A | NEWZEALND |
| NEWPAGE CORP | 95,000.00 | 0.09 | $88,468.75 | 11.38 | 12/31/2014 | NEWPAG |
| NEXEN INC | 265,000.00 | 0.32 | $329,968.46 | 7.50 | 07/30/2039 | NXY |
| NIBC BANK NV | 390,000.00 | 0.39 | $398,386.56 | 2.80 | 12/02/2014 | NIBCAP |
| NIELSEN FINANCE LLC / NIELSEN | 85,000.00 | 0.09 | $95,837.50 | 11.62 | 02/01/2014 | VNU |
| NOBLE ENERGY INC | 260,000.00 | 0.32 | $324,825.02 | 8.25 | 03/01/2019 | NBL |
| NOBLE HOLDING INTERNATIONAL LT | 70,000.00 | 0.07 | $75,617.64 | 6.20 | 08/01/2040 | NE |
| NOBLE HOLDING INTERNATIONAL LT | 145,000.00 | 0.15 | $151,861.55 | 4.90 | 08/01/2020 | NE |
| NORDIC INVESTMENT BANK | 105,000.00 | 0.10 | $108,101.28 | 2.50 | 07/15/2015 | NIB |
| NORWAY GOVERNMENT BOND | 1,280,000.00 | 0.22 | $229,807.32 | 4.25 | 05/19/2017 | NGB |
| NORWAY GOVERNMENT BOND | 2,777,000.00 | 0.50 | $508,328.31 | 4.50 | 05/22/2019 | NGB |
| NORWEGIAN GOVERNMENT | 1,825,000.00 | 0.32 | $333,849.85 | 5.00 | 05/15/2015 | B01C190 |
| NUVEEN INVESTMENTS INC SECOND | 85,000.00 | 0.09 | $94,137.50 | 12.50 | 07/09/2015 | NUVINV |
| OBP 2010-OBP A | 120,000.00 | 0.12 | $124,859.27 | 4.65 | 07/15/2045 | OBP |
| ORACLE CORP | 315,000.00 | 0.32 | $322,849.17 | 3.88 | 07/15/2020 | ORCL |
| PACIFICORP | 220,000.00 | 0.25 | $253,985.16 | 5.50 | 01/15/2019 | BRK |
| PAETEC HOLDING CORP | 95,000.00 | 0.10 | $98,681.25 | 8.88 | 06/30/2017 | PAET |
| PENNSYLVANIA ELECTRIC CO | 300,000.00 | 0.31 | $316,718.10 | 5.20 | 04/01/2020 | FE |
| PETROBRAS INTERNATIONAL FINANC | 45,000.00 | 0.05 | $48,777.44 | 5.88 | 03/01/2018 | PETBRA |
| PETROBRAS INTERNATIONAL FINANC | 277,000.00 | 0.29 | $295,883.92 | 5.75 | 01/20/2020 | PETBRA |
| PETROHAWK ENERGY CORP | 90,000.00 | 0.10 | $100,800.00 | 10.50 | 08/01/2014 | HAWK |
| PFIZER INC | 325,000.00 | 0.38 | $392,848.63 | 6.20 | 03/15/2019 | PFE |
| PLAINS ALL AMERICAN PIPELINE L | 200,000.00 | 0.24 | $249,581.20 | 8.75 | 05/01/2019 | PAA |
| PNC BANK NA | 250,000.00 | 0.28 | $285,743.00 | 6.88 | 04/01/2018 | PNC |
| PNC FINANCIAL SERVICES | 260,000.00 | 0.26 | $272,276.16 | 0.08 | 05/29/2049 | PNC PFD |
| PNC FUNDING | 225,000.00 | 0.24 | $243,602.78 | 5.25 | 11/15/2015 | 693476AT0 |
| PNC FUNDING CORP | 210,000.00 | 0.22 | $222,896.94 | 5.12 | 02/08/2020 | PNC |
| PORTUGUESE REPUBLIC 5-YR CDS 0 | 156,000.00 | 0.01 | $7,741.84 | 1.00 | 06/20/2015 | /PORT2 |
| PPL ELECTRIC UTILITIES CORP | 130,000.00 | 0.15 | $152,913.28 | 7.12 | 11/30/2013 | PPL |
| PRIDE INTERNATIONAL INC | 240,000.00 | 0.26 | $269,400.00 | 8.50 | 06/15/2019 | PDE |
| PROLOGIS | 130,000.00 | 0.12 | $125,992.75 | 6.25 | 03/15/2017 | PLD |
| PROLOGIS | 150,000.00 | 0.14 | $147,494.70 | 7.38 | 10/30/2019 | PLD |
| PROVINCE OF BRITISH COLUMBIA C | 105,000.00 | 0.11 | $110,451.92 | 2.85 | 06/15/2015 | BRCOL |
| PROVINCE OF MANITOBA CANADA | 50,000.00 | 0.05 | $52,035.50 | 2.62 | 07/15/2015 | MP |
| PROVINCE OF NOVA SCOTIA CANADA | 195,000.00 | 0.19 | $197,680.47 | 2.38 | 07/21/2015 | NS |
| PROVINCE OF ONTARIO CANADA | 140,000.00 | 0.15 | $151,570.16 | 4.40 | 04/14/2020 | ONT |
| PROVINCE OF QUEBEC CANADA | 110,000.00 | 0.12 | $121,880.55 | 4.88 | 05/05/2014 | Q |
| PRUDENTIAL FINANCIAL INC | 185,000.00 | 0.19 | $190,654.34 | 3.88 | 01/14/2015 | PRU |
| PUBLIC SERVICE CO OF OKLAHOMA | 215,000.00 | 0.22 | $230,921.83 | 5.15 | 12/01/2019 | AEP |
| QUEBEC PROVINCE | 19,000.00 | 0.02 | $19,364.12 | 4.50 | 12/01/2019 | 74814ZEE9 |
| QUEENSLAND TREASURY CORP | 76,000.00 | 0.07 | $69,934.58 | 6.00 | 06/14/2021 | QTC |
| QWEST CORP | 295,000.00 | 0.33 | $337,037.50 | 8.38 | 05/01/2016 | QUS |
| RABOBANK NEDERLAND NV | 325,000.00 | 0.40 | $411,621.28 | 11.00 | 12/29/2049 | RABOBK |
| RANGE RESOURCES CORP | 95,000.00 | 0.10 | $102,362.50 | 8.00 | 05/15/2019 | RRC |
| REGENCY CENTERS LP | 95,000.00 | 0.10 | $101,178.23 | 5.88 | 06/15/2017 | REG |
| RELIANCE STEEL & ALUMINUM CO | 116,000.00 | 0.11 | $111,420.32 | 6.85 | 11/15/2036 | RS |
| RENTAL SERVICES CORP 2ND LIEN | 185,000.00 | 0.17 | $176,097.80 | 3.82 | 10/07/2013 | LN302040 |
| ROCHE HOLDINGS INC | 505,000.00 | 0.58 | $596,786.78 | 6.00 | 03/01/2019 | ROSW |
| ROCKIES EXPRESS PIPELINE LLC | 50,000.00 | 0.05 | $48,683.10 | 5.62 | 04/15/2020 | ROCKIE |
| ROCKWOOD SPECIALTIES TRANCHE H | 230,330.67 | 0.23 | $232,203.26 | 6.00 | 05/15/2014 | ROC |
| ROGERS COMMUNICATIONS INC | 40,000.00 | 0.04 | $41,960.02 | 6.68 | 11/04/2039 | RCICN |
| ROGERS WIRELESS INC | 110,000.00 | 0.13 | $133,117.71 | 7.50 | 03/15/2015 | 77531QAM0 |
| RR DONNELLEY 5YR CDS 06/20/214 | 600,000.00 | -0.06 | -$63,906.15 | 5.00 | 06/20/2014 | SPK604UP |
| RUSSIA GOVERNMENT INTERNATIONA | 59,800.00 | 0.07 | $69,499.56 | 5.00 | 03/31/2030 | RUSSIA |
| SALLY HOLDINGS LLC | 80,000.00 | 0.08 | $87,600.00 | 10.50 | 11/15/2016 | SBH |
| SECURITIZED NET CASH - ACR1 | 819,042.62 | 0.80 | $819,042.62 | 0.00 | N/A | SECCASHAC |
| SECURITY LENDING COLLATERAL | 13,371.66 | 0.00 | $568.30 | 0.00 | N/A | SECLENDPL |
| SEMCO ENERGY INC | 280,000.00 | 0.29 | $299,130.72 | 5.15 | 04/21/2020 | SEN |
| SHAW COMMUNICATION | 109,000.00 | 0.11 | $109,186.62 | 6.75 | 11/09/2039 | SJRCN |
| SILICON VALLEY BANK | 250,000.00 | 0.25 | $260,711.25 | 5.70 | 06/01/2012 | SIVB |
| SOUTH AFRICA RAND | 82,286.83 | 0.01 | $11,279.59 | 0.00 | N/A | ZAR |
| SPRINT NEXTEL CORP | 160,000.00 | 0.15 | $151,600.00 | 6.00 | 12/01/2016 | 852061AD2 |
| ST JUDE MEDICAL INC | 60,000.00 | 0.06 | $66,265.26 | 4.88 | 07/15/2019 | STJ |
| SUNOCO, INC 5-YR CDS 03/20/201 | 155,000.00 | 0.01 | $9,819.95 | 1.00 | 03/20/2015 | /SUN |
| SVENSK EXPORTKREDIT AB | 230,000.00 | 0.24 | $242,236.23 | 3.25 | 09/16/2014 | SEK |
| TASC INC TERM LOAN B | 134,325.00 | 0.13 | $134,929.46 | 5.75 | 12/19/2014 | NOC |
| TECK RESOURCES LTD | 105,000.00 | 0.12 | $127,193.12 | 10.25 | 05/15/2016 | TCKCN |
| TECK RESOURCES LTD | 120,000.00 | 0.15 | $150,081.72 | 10.75 | 05/15/2019 | TCKCN |
| TECK RESOURCES LTD | 145,000.00 | 0.17 | $176,402.80 | 9.75 | 05/15/2014 | TCKCN |
| TELECOM ITALIA CAPITAL | 370,000.00 | 0.38 | $390,074.35 | 5.25 | 10/01/2015 | 87927VAQ1 |
| TELECOM ITALIA CAPITAL SA | 225,000.00 | 0.24 | $244,720.80 | 6.18 | 06/18/2014 | TITIM |
| TELEFONICA EMISIONES SAU | 80,000.00 | 0.08 | $84,200.48 | 5.13 | 04/27/2020 | TELEFO |
| TELEFONICA EMISIONES SAU | 105,000.00 | 0.10 | $107,779.04 | 3.73 | 04/27/2015 | TELEFO |
| TELESAT CANADA / TELESAT LLC | 115,000.00 | 0.13 | $132,250.00 | 11.00 | 11/01/2015 | TELSAT |
| THERMO FISHER SCIENTIFIC INC | 25,000.00 | 0.03 | $27,496.13 | 4.70 | 05/01/2020 | TMO |
| THERMO FISHER SCIENTIFIC INC | 200,000.00 | 0.20 | $210,134.40 | 3.20 | 05/01/2015 | TMO |
| TIME WARNER CABLE INC | 330,000.00 | 0.40 | $415,141.98 | 8.25 | 04/01/2019 | TWC |
| TOTAL CAPITAL SA | 385,000.00 | 0.40 | $408,652.86 | 4.45 | 06/24/2020 | TOTAL |
| TRANS-CANADA PIPELINES | 250,000.00 | 0.22 | $227,803.50 | 6.35 | 05/15/2067 | TRP |
| TRANSOCEAN INC | 70,000.00 | 0.06 | $63,178.01 | 6.80 | 03/15/2038 | RIG |
| TRANSOCEAN INC | 195,000.00 | 0.18 | $180,375.00 | 1.50 | 12/15/2037 | RIG CB1 |
| TSY INFL IX N/B | 868,391.20 | 0.90 | $919,951.93 | 1.62 | 01/15/2015 | TII |
| TURKEY REPUBLIC OF | 55,000.00 | 0.06 | $59,812.50 | 6.88 | 03/17/2036 | 900123AY6 |
| TWIN REEFS PASS-THROUGH TRUST | 200,000.00 | 0.00 | $0.00 | 0.45 | 12/31/2049 | XLFATR |
| US BANK NA | 250,000.00 | 0.27 | $274,322.00 | 4.95 | 10/30/2014 | USB |
| US TREASURY N/B | 190,000.00 | 0.21 | $211,315.72 | 4.62 | 02/15/2040 | T |
| US TREASURY N/B | 1,209,000.00 | 1.19 | $1,215,330.32 | 1.00 | 07/15/2013 | WIT |
| US TREASURY N/B | 2,240,000.00 | 2.22 | $2,273,425.28 | 1.88 | 06/30/2015 | T |
| US TREASURY N/B | 2,850,000.00 | 2.92 | $2,993,403.45 | 3.50 | 05/15/2020 | WIT |
| USB CAPITAL IX | 395,000.00 | 0.30 | $307,863.00 | 6.19 | 04/15/2049 | USB |
| USB REALTY CORP | 200,000.00 | 0.14 | $141,500.00 | 6.09 | 12/22/2049 | USB |
| VALE OVERSEAS LTD | 75,000.00 | 0.08 | $83,054.63 | 6.88 | 11/10/2039 | VALEBZ |
| VALE OVERSEAS LTD | 160,000.00 | 0.17 | $177,263.36 | 6.88 | 11/21/2036 | CVRD |
| VALERO ENERGY CORPORATION 5-YR | 155,000.00 | -0.00 | -$4,123.85 | 1.00 | 03/20/2015 | /VLO |
| VERIZON COMMUNICATIONS INC | 45,000.00 | 0.06 | $56,996.55 | 7.35 | 04/01/2039 | VZ |
| VERIZON COMMUNICATIONS INC | 115,000.00 | 0.13 | $130,624.82 | 6.40 | 02/15/2038 | VZ |
| VIACOM INC 5-YR CDS 09/20/2015 | 250,000.00 | -0.00 | -$2,071.38 | 1.00 | 09/20/2015 | /VIA |
| VIDEOTRON LTEE | 142,000.00 | 0.14 | $140,901.79 | 7.12 | 01/15/2020 | QBRCN |
| VIVENDI | 177,000.00 | 0.19 | $199,532.63 | 6.62 | 04/04/2018 | VIVFP |
| VIVENDI | 290,000.00 | 0.30 | $312,598.25 | 5.75 | 04/04/2013 | VIVFP |
| WACHOVIA CORP | 65,000.00 | 0.07 | $69,637.10 | 5.25 | 08/01/2014 | 929903AJ1 |
| WACHOVIA CORP | 290,000.00 | 0.31 | $318,459.73 | 5.62 | 10/15/2016 | 929903CH3 |
| WAL-MART STORES INC | 360,000.00 | 0.35 | $362,509.20 | 3.62 | 07/08/2020 | WMT |
| WEATHERFORD INTERNATIONAL LTD | 270,000.00 | 0.33 | $342,445.59 | 9.62 | 03/01/2019 | WFT |
| WELLS FARGO CAPITAL XIII | 240,000.00 | 0.24 | $247,200.00 | 7.70 | 12/29/2049 | WFC |
| WFMBS 2005-AR16 2A1 | 7,630.53 | 0.01 | $7,090.55 | 3.00 | 10/25/2035 | WFMBS |
| WFMBS 2006-AR5 2A1 | 41,920.21 | 0.03 | $34,672.83 | 5.47 | 04/25/2036 | WFMBS |
| WIND ACQUISITION FINANCE SA | 95,000.00 | 0.10 | $101,412.50 | 11.75 | 07/15/2017 | WINDIM |
| WMALT 2005-1 5A2 | 157,818.90 | 0.10 | $105,120.01 | 6.00 | 03/25/2035 | WMALT |
| WOART 2008-A A3A | 61,609.31 | 0.06 | $62,534.92 | 3.94 | 10/15/2012 | WOART |
| WOLS 2009-A A3 | 95,000.00 | 0.09 | $95,868.12 | 1.65 | 02/15/2013 | WOLS |
| WOODSIDE FINANCE LTD | 95,000.00 | 0.10 | $99,029.05 | 4.50 | 11/10/2014 | WPLAU |
| WOODSIDE FINANCE LTD | 300,000.00 | 0.34 | $347,085.60 | 8.12 | 03/01/2014 | WPLAU |
| YALE UNIVERSITY | 250,000.00 | 0.26 | $263,430.50 | 2.90 | 10/15/2014 | YALUNI |
| ZIMMER HOLDINGS INC | 320,000.00 | 0.33 | $338,355.52 | 4.62 | 11/30/2019 | ZMH |
| ZIONS BANCORPORATION | 55,000.00 | 0.06 | $57,112.66 | 7.75 | 09/23/2014 | ZION |
| ZIONS BANCORPORATION | 150,000.00 | 0.13 | $135,320.55 | 5.50 | 11/16/2015 | ZION |