| ACHMEA HYPOTHEEKBANK NV | 4,940,000.00 | 0.25 | $5,108,943.06 | 3.20 | 11/03/2014 | ACHMEA |
| AES CORP/THE | 541,000.00 | 0.03 | $551,820.00 | 8.75 | 05/15/2013 | AES |
| AES CORP/THE | 1,600,000.00 | 0.08 | $1,616,000.00 | 8.00 | 06/01/2020 | AES |
| AFRICAN DEVELOPMENT BANK | 3,365,000.00 | 0.17 | $3,514,395.91 | 3.00 | 05/27/2014 | AFDB |
| AHM 2005-2 5A1 | 22,407.41 | 0.00 | $19,547.75 | 5.06 | 09/25/2035 | AHM |
| AHMAT 2009-ADV3 A1 | 1,430,000.00 | 0.07 | $1,428,711.00 | 2.30 | 10/06/2021 | AHMAT |
| AIG TERM LOAN 1 | 3,902,884.49 | 0.19 | $3,867,348.73 | 6.75 | 02/23/2015 | AIG |
| AIG TERM LOAN 2 | 2,862,115.51 | 0.14 | $2,825,752.33 | 7.00 | 03/07/2016 | AIG |
| ALGOMA ACQUISITION CORP | 325,000.00 | 0.01 | $277,875.00 | 9.88 | 06/15/2015 | AGACN |
| ALLIED WASTE NORTH AMERICA INC | 2,225,000.00 | 0.12 | $2,389,176.08 | 7.12 | 05/15/2016 | AW |
| ALLYA 2010-2 A3 | 1,290,000.00 | 0.06 | $1,292,678.81 | 1.00 | 07/15/2014 | ALLYA |
| AMGEN INC | 1,125,000.00 | 0.05 | $1,116,562.50 | 0.38 | 02/01/2013 | AMGN CB1 |
| AMGEN INC | 2,665,000.00 | 0.15 | $2,954,504.28 | 4.85 | 11/18/2014 | AMGN |
| AMOT 2010-1 A | 2,340,000.00 | 0.12 | $2,371,950.59 | 2.10 | 01/15/2015 | AMOT |
| AMXCA 2010-1 B | 1,225,000.00 | 0.06 | $1,216,093.15 | 0.95 | 11/16/2015 | AMXCA |
| ANHEUSER-BUSCH INBEV WORLDWIDE | 570,000.00 | 0.03 | $584,050.50 | 3.62 | 04/15/2015 | ABIBB |
| ANHEUSER-BUSCH INBEV WORLDWIDE | 4,405,000.00 | 0.22 | $4,460,146.20 | 2.50 | 03/26/2013 | ABIBB |
| ANIXTER INTERNATIONAL INC | 650,000.00 | 0.03 | $707,687.50 | 10.00 | 03/15/2014 | AXE |
| APPALACHIAN POWER CO | 4,930,000.00 | 0.25 | $5,014,357.23 | 3.40 | 05/24/2015 | AEP |
| ARAMARK CORP | 1,780,000.00 | 0.09 | $1,806,700.00 | 8.50 | 02/01/2015 | RMK |
| ASIAN DEVELOPMENT BANK | 9,800,000.00 | 0.49 | $9,878,733.20 | 1.62 | 07/15/2013 | ASIA |
| ASIAN DEVELOPMENT BANK/PASIG | 6,560,000.00 | 0.34 | $6,808,919.20 | 2.75 | 05/21/2014 | ASIA |
| ASTRAZENECA PLC | 3,615,000.00 | 0.19 | $3,949,315.20 | 5.40 | 09/15/2012 | AZN |
| ATI HOLDINGS LLC TERM LOAN | 4,705,000.00 | 0.22 | $4,540,325.00 | 7.00 | 02/18/2016 | ATIHLD |
| AUSTRALIAN DOLLAR | 2,379,543.70 | 0.10 | $2,002,029.03 | 0.00 | N/A | AUD |
| BAAT 2009-3A A4 | 3,025,000.00 | 0.15 | $3,112,241.00 | 2.67 | 12/15/2016 | BAAT |
| BACCT 2006-A12 A12 | 11,218,000.00 | 0.55 | $11,176,435.07 | 0.37 | 03/15/2014 | BACCT |
| BACCT 2006-A15 A15 | 2,390,000.00 | 0.12 | $2,379,940.49 | 0.35 | 04/15/2014 | BACCT |
| BACCT 2007-A10 A10 | 4,900,000.00 | 0.24 | $4,796,113.14 | 0.42 | 12/15/2016 | BACCT |
| BACCT 2007-A4 A4 | 6,490,000.00 | 0.31 | $6,241,547.22 | 0.39 | 11/15/2019 | BACCT |
| BACCT 2008-A5 A5 | 7,615,000.00 | 0.38 | $7,685,252.94 | 1.55 | 12/16/2013 | BACCT |
| BACCT 2010-A1 A1 | 5,045,000.00 | 0.25 | $5,031,645.89 | 0.65 | 09/15/2015 | BACCT |
| BACM 2004-2 A3 | 2,305,273.61 | 0.11 | $2,336,582.91 | 4.05 | 11/10/2038 | BACM |
| BACM 2004-5 A3 | 1,735,000.00 | 0.09 | $1,771,442.98 | 4.56 | 11/10/2041 | BACM |
| BACM 2005-1 A5 | 805,000.00 | 0.04 | $853,342.26 | 5.31 | 11/10/2042 | BACM |
| BAFC 2006-H 1A2 | 46,827.32 | 0.00 | $6,055.54 | 3.38 | 09/20/2046 | BAFC |
| BALL CORP | 614,000.00 | 0.03 | $645,467.50 | 7.12 | 09/01/2016 | BLL |
| BALL CORP | 921,000.00 | 0.05 | $962,445.00 | 7.38 | 09/01/2019 | BLL |
| BANK OF AMERICA NA | 1,750,000.00 | 0.07 | $1,501,883.25 | 0.84 | 06/15/2017 | BAC |
| BB&T CORP | 1,895,000.00 | 0.10 | $1,989,685.57 | 6.50 | 08/01/2011 | BBT |
| BB&T CORP | 4,515,000.00 | 0.24 | $4,824,056.27 | 5.20 | 12/23/2015 | BBT |
| BOAA 2004-10 1CB1 | 150,912.15 | 0.01 | $149,088.23 | 6.00 | 11/25/2034 | BOAA |
| BOAA 2005-3 2A1 | 228,214.40 | 0.01 | $209,619.95 | 5.50 | 04/25/2020 | BOAA |
| BOAA 2005-5 2CB1 | 18,182.87 | 0.00 | $13,778.98 | 6.00 | 06/25/2035 | BOAA |
| BOAA 2005-6 7A1 | 165,579.90 | 0.01 | $156,674.52 | 5.50 | 07/25/2020 | BOAA |
| BOAMS 2002-K 2A1 | 6,458.79 | 0.00 | $6,312.78 | 3.14 | 10/20/2032 | BOAMS |
| BRINKER INTERNATIONAL INC | 4,000,000.00 | 0.21 | $4,203,040.00 | 5.75 | 06/01/2014 | EAT |
| BSCMS 2005-PW10 A1 | 631,360.42 | 0.03 | $633,889.65 | 5.08 | 12/11/2040 | BSCMS |
| BSCMS 2005-PW10 A4 | 915,000.00 | 0.05 | $961,811.58 | 5.40 | 12/11/2040 | BSCMS |
| BSCMS 2005-T20 A4A | 1,465,000.00 | 0.08 | $1,566,118.26 | 5.30 | 10/12/2042 | 07387BCL5 |
| BSCMS 2006-PW12 A4 | 335,000.00 | 0.02 | $359,454.26 | 5.91 | 09/11/2038 | BSCMS |
| BSCMS 2007-PW15 A4 | 1,475,000.00 | 0.07 | $1,445,157.51 | 5.33 | 02/11/2044 | BSCMS |
| BURLINGTON NORTHERN SANTA FE L | 4,235,000.00 | 0.24 | $4,939,610.83 | 7.00 | 02/01/2014 | BRK |
| CABLEVISION SYSTEMS CORP | 125,000.00 | 0.01 | $128,125.00 | 8.62 | 09/15/2017 | CVC |
| CANADIAN DOLLAR | 370,739.60 | 0.02 | $348,275.81 | 0.00 | N/A | CANDOLLAR |
| CANADIAN GOVERNMENT BOND | 5,810,000.00 | 0.27 | $5,502,935.09 | 2.50 | 06/01/2015 | CAN |
| CARAT 2008-CPA A1 | 7,479,012.38 | 0.37 | $7,530,430.59 | 1.20 | 01/15/2013 | CARAT |
| CAREFUSION CORP | 4,555,000.00 | 0.24 | $4,925,831.66 | 5.12 | 08/01/2014 | CFN |
| CASH | -280,383,566.94 | -13.80 | -$280,383,566.94 | 0.00 | 12/15/2038 | US-CASH |
| CCCIT 2004-C1 C1 | 1,545,000.00 | 0.08 | $1,528,031.11 | 1.00 | 07/15/2013 | CCCIT |
| CCCIT 2006-A4 A4 | 1,800,000.00 | 0.09 | $1,870,031.16 | 5.45 | 05/10/2013 | CCCIT |
| CCCIT 2007-A6 A6 | 325,000.00 | 0.02 | $325,062.34 | 0.28 | 07/12/2012 | CCCIT |
| CCCIT 2007-A7 A7 | 1,250,000.00 | 0.06 | $1,249,925.50 | 0.70 | 08/20/2014 | CCCIT |
| CCCIT 2008-A6 A6 | 5,500,000.00 | 0.28 | $5,683,540.50 | 1.55 | 05/22/2017 | CCCIT |
| CCCIT 2009-A1 A1 | 3,055,000.00 | 0.15 | $3,131,636.20 | 2.10 | 03/17/2014 | CCCIT |
| CCCIT 2009-A2 A2 | 13,190,000.00 | 0.66 | $13,494,718.02 | 1.90 | 05/15/2014 | CCCIT |
| CCI 2006-1A B | 900,000.00 | 0.05 | $931,108.32 | 5.36 | 11/15/2036 | CCI |
| CDP FINANCIAL INC | 6,350,000.00 | 0.32 | $6,415,062.10 | 3.00 | 11/25/2014 | CADEPO |
| CDX.NA.HY.14 06/20/2015 - BANK | 15,825,000.00 | 0.04 | $867,198.89 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - BARC | 22,500,000.00 | 0.06 | $1,232,984.21 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - GOLD | 16,875,000.00 | 0.05 | $924,738.15 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - GOLD | 17,500,000.00 | 0.05 | $958,987.72 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - JP M | 17,500,000.00 | 0.05 | $958,987.72 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - JPMO | 17,500,000.00 | 0.05 | $958,987.72 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - JPMO | 19,500,000.00 | 0.05 | $1,068,586.31 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - MORG | 2,250,000.00 | 0.01 | $123,298.42 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015 - MORG | 25,300,000.00 | 0.07 | $1,386,422.24 | 5.00 | 06/20/2015 | /CDXHY |
| CDX.NA.HY.14 06/20/2015- BARCL | 19,750,000.00 | 0.05 | $1,082,286.14 | 5.00 | 06/20/2015 | /CDXHY |
| CF INDUSTRIES INC | 1,800,000.00 | 0.09 | $1,849,500.00 | 7.12 | 05/01/2020 | CFINDU |
| CHAIT 2005-A10 A10 | 2,605,000.00 | 0.13 | $2,635,450.63 | 4.65 | 12/17/2012 | CHAIT |
| CHAIT 2005-A2 A2 | 6,600,000.00 | 0.32 | $6,576,746.22 | 0.42 | 12/15/2014 | CHAIT |
| CHAIT 2008-A6 A6 | 1,100,000.00 | 0.06 | $1,127,462.27 | 1.55 | 05/15/2015 | CHAIT |
| CHAIT 2009-A2 A2 | 12,815,000.00 | 0.64 | $13,104,467.78 | 1.90 | 04/15/2014 | CHAIT |
| CHESAPEAKE ENERGY CORP | 4,705,000.00 | 0.26 | $5,222,550.00 | 9.50 | 02/15/2015 | CHK |
| CINCINNATI BELL INC | 253,000.00 | 0.01 | $238,452.50 | 7.00 | 02/15/2015 | CBB |
| CITEC 2009-VT1 A2 | 3,300,210.42 | 0.16 | $3,305,315.52 | 2.20 | 06/15/2011 | CITEC |
| CITEC 2009-VT1 A3 | 2,150,000.00 | 0.11 | $2,172,982.21 | 3.07 | 08/15/2016 | CITEC |
| CITIZENS COMMUNICATIONS CO | 2,500,000.00 | 0.11 | $2,325,000.00 | 7.12 | 03/15/2019 | CZN |
| CLEAN HARBORS INC | 1,715,000.00 | 0.09 | $1,770,737.50 | 7.62 | 08/15/2016 | CLH |
| CLEARWIRE CORP | 3,000,000.00 | 0.15 | $2,988,750.00 | 12.00 | 12/01/2015 | CLWR |
| CMLTI 2007-AR8 1A3A | 207,844.48 | 0.01 | $159,475.41 | 5.76 | 08/25/2037 | CMLTI |
| CMSI 2006-4 3A1 | 433,071.10 | 0.02 | $424,426.57 | 5.50 | 08/25/2021 | CMSI |
| CNH 2007-A A4 | 176,643.33 | 0.01 | $176,443.92 | 0.39 | 09/17/2012 | CNH |
| CNH 2008-A A3 | 101,038.33 | 0.01 | $101,673.22 | 4.12 | 05/15/2012 | CNH |
| CNH 2008-A A4A | 570,000.00 | 0.03 | $590,968.36 | 4.93 | 08/15/2014 | CNH |
| CNH 2008-B A3A | 131,237.31 | 0.01 | $132,789.87 | 4.78 | 07/16/2012 | CNH |
| CNH 2009-C A3 | 675,000.00 | 0.03 | $681,977.61 | 1.85 | 12/16/2013 | CNH |
| COMCAST CORP | 4,420,000.00 | 0.25 | $5,001,663.16 | 5.85 | 11/15/2015 | 20030NAJ0 |
| COMCAST CORPORATION 5-YR CDS 0 | 6,715,000.00 | -0.00 | -$71,193.24 | 1.00 | 09/20/2015 | /CMCSA |
| COMET 2004-A5 A5 | 6,890,000.00 | 0.34 | $6,882,170.89 | 0.50 | 03/17/2014 | COMET |
| COMET 2005-A10 A | 2,500,000.00 | 0.12 | $2,480,704.25 | 0.43 | 09/15/2015 | COMET |
| COMET 2005-A6 A6 | 10,350,000.00 | 0.50 | $10,214,609.58 | 0.35 | 07/15/2015 | COMET |
| COMET 2006-A11 A11 | 10,000,000.00 | 0.48 | $9,716,568.00 | 0.44 | 06/17/2019 | COMET |
| COMET 2006-A5 A5 | 4,000,000.00 | 0.19 | $3,960,481.60 | 0.41 | 01/15/2016 | COMET |
| COMET 2007-A1 A1 | 2,250,000.00 | 0.11 | $2,173,130.55 | 0.40 | 11/15/2019 | COMET |
| COMET 2007-A4 A4 | 1,915,000.00 | 0.09 | $1,901,969.57 | 0.38 | 03/16/2015 | COMET |
| COMET 2007-A7 A7 | 2,075,000.00 | 0.12 | $2,413,158.39 | 5.75 | 07/15/2020 | COMET |
| COMM 2005-C6 A5A | 7,805,000.00 | 0.40 | $8,200,441.11 | 5.12 | 06/10/2044 | COMM |
| COMMUNITY HEALTH SYSTEMS INC | 2,240,000.00 | 0.11 | $2,315,600.00 | 8.88 | 07/15/2015 | CYH |
| COMNI 2009-A13 A13 | 1,355,000.00 | 0.07 | $1,460,995.82 | 5.35 | 08/15/2018 | COMNI |
| CORRECTIONS CORP OF AMERICA | 830,000.00 | 0.04 | $865,275.00 | 7.75 | 06/01/2017 | CXW |
| COVIDIEN INTERNATIONAL FINANCE | 3,480,000.00 | 0.17 | $3,518,506.20 | 2.80 | 06/15/2015 | COV |
| COX COMMUNICATIONS INC | 4,440,000.00 | 0.24 | $4,905,653.88 | 5.45 | 12/15/2014 | 224044BM8 |
| CRICKET COMMUNICATIONS INC | 1,700,000.00 | 0.09 | $1,742,500.00 | 7.75 | 05/15/2016 | LEAP |
| CRICKET COMMUNICATIONS INC | 1,765,000.00 | 0.09 | $1,800,300.00 | 9.38 | 11/01/2014 | LEAP |
| CROWN CASTLE INTERNATIONAL COR | 2,525,000.00 | 0.13 | $2,682,812.50 | 9.00 | 01/15/2015 | CCI |
| CSC HOLDINGS | 307,000.00 | 0.02 | $319,280.00 | 6.75 | 04/15/2012 | 126304AR5 |
| CSC HOLDINGS INC | 95,000.00 | 0.00 | $99,037.50 | 8.50 | 06/15/2015 | CVC |
| CSMC 2006-C1 AAB | 180,000.00 | 0.01 | $189,589.09 | 5.68 | 02/15/2039 | CSMC |
| CWHL 2006-17 A5 | 158,328.79 | 0.01 | $138,399.79 | 6.00 | 12/25/2036 | CWHL |
| CXHE 2005-D AF4 | 116,921.39 | 0.01 | $116,399.69 | 5.27 | 10/25/2035 | CXHE |
| DCENT 2008-A4 A4 | 500,000.00 | 0.03 | $556,762.25 | 5.65 | 12/15/2015 | DCENT |
| DCENT 2009-A1 A1 | 13,975,000.00 | 0.70 | $14,202,996.54 | 1.65 | 12/15/2014 | DCENT |
| DCENT 2010-A1 A1 | 12,500,000.00 | 0.62 | $12,566,975.00 | 1.00 | 09/15/2015 | DCENT |
| DCMT 2005-4 A2 | 9,000,000.00 | 0.44 | $8,919,927.90 | 0.44 | 06/16/2015 | DCMT |
| DCMT 2006-3 A1 | 15,375,000.00 | 0.75 | $15,323,744.36 | 0.38 | 03/15/2014 | DCMT |
| DELTA AIR LINES INC TERM LOAN | 4,199,448.62 | 0.21 | $4,229,201.71 | 8.75 | 09/16/2013 | DAL |
| DEVELOPERS DIVERSIFIED REALTY | 3,965,000.00 | 0.19 | $3,918,050.44 | 5.38 | 10/15/2012 | DDR |
| DIGICEL GROUP 144A | 2,000,000.00 | 0.10 | $1,972,500.00 | 9.12 | 01/15/2015 | 25380WAB2 |
| DIGICEL GROUP LTD | 3,000,000.00 | 0.15 | $2,985,000.00 | 8.25 | 09/01/2017 | DLLTD |
| DIRECTV HOLDINGS LLC/DIRECTV F | 4,515,000.00 | 0.24 | $4,910,238.59 | 7.62 | 05/15/2016 | DTV |
| DISH DBS CORP | 415,000.00 | 0.02 | $433,675.00 | 7.88 | 09/01/2019 | DISH |
| DISH DBS CORP | 2,560,000.00 | 0.13 | $2,579,200.00 | 7.12 | 02/01/2016 | DISH |
| DOW CHEMICAL CO/THE | 3,410,000.00 | 0.19 | $3,941,428.04 | 7.60 | 05/15/2014 | DOW |
| DUKE ENERGY CORP | 1,500,000.00 | 0.08 | $1,578,663.00 | 3.95 | 09/15/2014 | DUK |
| DUKE ENERGY CORP | 3,000,000.00 | 0.17 | $3,379,254.00 | 6.30 | 02/01/2014 | DUK |
| DUNKN 2006-1 A2 | 925,000.00 | 0.04 | $901,472.63 | 5.78 | 06/20/2031 | DUNKN |
| EASTMAN CHEMICAL CO 5-YR CDS 0 | 4,635,000.00 | -0.00 | -$41,748.55 | 1.00 | 09/20/2015 | /EMN |
| EFH3 1 A | 50,131.17 | 0.00 | $50,418.24 | 1.29 | 10/25/2017 | EFH3 |
| EI DU PONT DE NEMOURS & CO 5-Y | 4,635,000.00 | 0.00 | $78,777.26 | 1.00 | 09/25/2015 | /DD |
| EKSPORTFINANS A/S | 8,940,000.00 | 0.50 | $10,173,612.72 | 5.50 | 05/25/2016 | EXPT |
| EKSPORTFINANS ASA | 5,830,000.00 | 0.30 | $6,009,942.95 | 3.00 | 11/17/2014 | EXPT |
| EL PASO CORP | 750,000.00 | 0.04 | $789,375.00 | 8.25 | 02/15/2016 | EP |
| EL PASO CORP | 1,165,000.00 | 0.06 | $1,173,964.68 | 7.25 | 06/01/2018 | EP |
| EL PASO CORP | 1,960,000.00 | 0.10 | $1,958,763.24 | 7.00 | 06/15/2017 | EP |
| ENERGY FUTURE HOLDINGS TERM B2 | 5,598,377.83 | 0.20 | $4,158,894.93 | 3.73 | 10/10/2014 | LN363469 |
| ENERGY TRANSFER PARTNERS LP | 3,175,000.00 | 0.17 | $3,368,084.45 | 5.65 | 08/01/2012 | ETP |
| ENTERPRISE PRODUCTS OPERATING | 855,000.00 | 0.04 | $880,871.45 | 7.50 | 02/01/2011 | EPD |
| ENTERPRISE PRODUCTS OPERATING | 4,450,000.00 | 0.26 | $5,373,036.80 | 9.75 | 01/31/2014 | EPD |
| EOG RESOURCES INC | 2,055,000.00 | 0.10 | $2,076,526.13 | 2.95 | 06/01/2015 | EOG |
| ERAC USA FINANCE LLC | 2,095,000.00 | 0.10 | $2,102,937.96 | 2.75 | 07/01/2013 | ENTERP |
| EURO | 0.78 | 0.00 | $0.95 | 0.00 | N/A | EURO |
| EUROPEAN BK RECON & DEV | 26,230,000.00 | 0.71 | $14,452,439.36 | 9.25 | 09/10/2012 | EBRD |
| EXPORT DEVELOPMENT CANADA | 2,395,000.00 | 0.12 | $2,425,002.17 | 2.25 | 05/28/2015 | EDC |
| EXPORT DEVELOPMENT CANADA | 9,850,000.00 | 0.51 | $10,359,412.45 | 3.12 | 04/24/2014 | EDC |
| EXPORT-IMPORT BANK OF KOREA | 760,000.00 | 0.04 | $825,116.04 | 5.88 | 01/14/2015 | EIBKOR |
| EXPORT-IMPORT BANK OF KOREA | 2,805,000.00 | 0.15 | $2,950,458.89 | 5.25 | 02/10/2014 | EIBKOR |
| FEDERAL HOME LOAN BANK DISCOUN | 8,566,149.70 | 0.42 | $8,566,124.00 | 0.01 | 07/07/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 34,376,364.33 | 1.69 | $34,376,089.32 | 0.01 | 07/15/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 35,730,647.63 | 1.76 | $35,730,361.77 | 0.06 | 07/16/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 77,727,687.41 | 3.83 | $77,727,454.22 | 0.00 | 07/06/2010 | FHLBDN |
| FEDERAL HOME LOAN BANKS | 17,365,000.00 | 0.85 | $17,366,684.41 | 1.00 | 04/05/2013 | FHLB |
| FEDERAL HOME LOAN BANKS | 34,295,000.00 | 1.69 | $34,300,864.45 | 0.50 | 03/29/2012 | FHLB |
| FEDERAL HOME LOAN BANKS | 35,210,000.00 | 1.73 | $35,212,711.17 | 1.00 | 03/15/2013 | FHLB |
| FEDERAL HOME LOAN MORTGAGE COR | 31,420,000.00 | 1.55 | $31,465,653.26 | 1.30 | 03/09/2012 | FHLMC |
| FEDERAL HOME LOAN MORTGAGE COR | 42,705,000.00 | 2.10 | $42,712,985.84 | 0.75 | 02/19/2013 | FHLMC |
| FGCI B50262 | 3,813.56 | 0.00 | $3,846.56 | 6.50 | 06/01/2011 | FG |
| FGCI E01386 | 4,808.06 | 0.00 | $5,167.22 | 5.00 | 06/01/2018 | FG |
| FGCI G10411 | 379.08 | 0.00 | $382.32 | 6.00 | 10/01/2010 | FG |
| FGCI G10508 | 2,811.58 | 0.00 | $2,876.07 | 7.50 | 04/01/2011 | FG |
| FGCI G11510 | 64,952.23 | 0.00 | $70,935.79 | 8.00 | 07/01/2016 | FG |
| FGCI G11681 | 682,655.16 | 0.04 | $733,587.65 | 5.00 | 04/01/2020 | FG |
| FGCI JUL TBA | 13,000,000.00 | 0.68 | $13,857,194.00 | 5.00 | 07/01/2023 | 02R050473 |
| FGCI JUL TBA | 13,000,000.00 | 0.69 | $14,031,875.00 | 5.50 | 07/01/2022 | FGCI |
| FGG9 G90020 | 2,508.14 | 0.00 | $2,593.05 | 6.50 | 06/17/2014 | FG |
| FGLMC A10635 | 112,624.29 | 0.01 | $132,770.69 | 9.00 | 09/01/2030 | FG |
| FGLMC A45798 | 233,046.85 | 0.01 | $268,278.80 | 8.00 | 05/01/2031 | FG |
| FGLMC G01639 | 1,648.61 | 0.00 | $1,875.24 | 7.00 | 11/01/2033 | FG |
| FGLMC G08112 | 12,892,646.50 | 0.69 | $14,025,587.81 | 6.00 | 02/01/2036 | FG |
| FGLMC JUL TBA | 8,170,000.00 | 0.44 | $8,955,087.98 | 6.50 | 07/01/2039 | FGLMC |
| FGLMC JUL TBA | 25,540,000.00 | 1.36 | $27,718,868.48 | 6.00 | 07/01/2039 | FGLMC |
| FGP6 P60087 | 841,841.54 | 0.04 | $913,398.07 | 6.50 | 03/01/2016 | FG |
| FGP6 P60101 | 165,370.73 | 0.01 | $172,881.87 | 6.00 | 01/01/2017 | FG |
| FGSB M80873 | 332,729.58 | 0.02 | $341,625.87 | 4.50 | 12/01/2010 | FG |
| FGSB M80925 | 94,339.52 | 0.00 | $94,774.93 | 5.00 | 06/01/2011 | FG |
| FGSB M80946 | 157,574.94 | 0.01 | $161,009.76 | 5.00 | 11/01/2011 | FG |
| FHARM 1B1980 | 58,101.46 | 0.00 | $60,434.38 | 3.42 | 04/01/2034 | FH |
| FHARM 1G1067 | 199,303.81 | 0.01 | $209,632.11 | 5.69 | 07/01/2036 | FH |
| FHARM 1G2249 | 7,902,006.05 | 0.42 | $8,518,228.19 | 6.03 | 10/01/2037 | FH |
| FHARM 1H1348 | 42,258.05 | 0.00 | $45,167.52 | 5.81 | 10/01/2036 | FH |
| FHARM 1J1195 | 9,565,580.25 | 0.50 | $10,183,141.76 | 5.03 | 07/01/2038 | FH |
| FHARM 1K0121 | 3,008,584.91 | 0.16 | $3,197,715.99 | 5.62 | 06/01/2037 | FH |
| FHARM 783030 | 413,692.69 | 0.02 | $433,443.50 | 4.83 | 02/01/2035 | FH |
| FHARM 847295 | 163,132.48 | 0.01 | $169,842.49 | 3.33 | 04/01/2033 | FH |
| FHARM 847727 | 23,170.51 | 0.00 | $24,449.10 | 6.34 | 02/01/2037 | FH |
| FHLB DISCOUNT NOTE 7/1/10 | 101,605,017.73 | 5.00 | $101,605,017.71 | 0.00 | 07/01/2010 | 0701PFDIS |
| FHLMC 170128 | 6,517.70 | 0.00 | $7,458.04 | 11.50 | 06/01/2015 | FH |
| FHLMC 170129 | 4,039.33 | 0.00 | $4,685.06 | 11.50 | 06/01/2015 | FH |
| FHLMC 170139 | 2,256.39 | 0.00 | $2,488.05 | 11.50 | 08/01/2015 | FH |
| FHLMC 543567 | 28,130.27 | 0.00 | $33,138.95 | 11.00 | 11/01/2019 | FH |
| FHLMC 546130 | 3,583.35 | 0.00 | $3,937.27 | 11.00 | 05/01/2020 | FH |
| FHLMC 555085 | 35,885.88 | 0.00 | $41,427.88 | 11.50 | 03/01/2016 | FH |
| FHLMC 555089 | 62,079.74 | 0.00 | $71,832.27 | 11.50 | 02/01/2016 | FH |
| FHR 2535 FK | 284,224.08 | 0.01 | $284,187.16 | 0.75 | 10/15/2031 | FHR |
| FHR 2644 AW | 19,103.67 | 0.00 | $19,104.44 | 4.00 | 01/15/2026 | FHR |
| FHR 2694 QG | 165,000.00 | 0.01 | $173,098.43 | 4.50 | 01/15/2029 | FHR |
| FHR 2706 UG | 2,515,000.00 | 0.13 | $2,617,852.43 | 4.50 | 08/15/2016 | FHR |
| FHR 2780 SL | 395,518.50 | 0.02 | $398,442.85 | 6.00 | 04/15/2034 | FHR |
| FHR 2802 NM | 2,175,000.00 | 0.11 | $2,318,598.50 | 4.50 | 09/15/2029 | FHR |
| FHR 2890 PC | 355,000.00 | 0.02 | $375,219.06 | 5.00 | 07/15/2030 | FHR |
| FHR 3094 US | 132,601.54 | 0.01 | $132,527.54 | 6.75 | 09/15/2034 | FHR |
| FHR 3241 FM | 334,009.04 | 0.02 | $333,400.07 | 0.73 | 11/15/2036 | FHR |
| FHR 3337 PB | 75,000.00 | 0.00 | $77,869.19 | 5.50 | 07/15/2030 | FHR |
| FHR 3416 GK | 11,192.41 | 0.00 | $11,680.19 | 4.00 | 07/15/2022 | FHR |
| FHR 3581 PE | 18,066,898.20 | 0.96 | $19,431,509.09 | 4.50 | 01/15/2039 | FHR |
| FIRST DATA CORP | 1,500,000.00 | 0.06 | $1,147,500.00 | 9.88 | 09/24/2015 | FDC |
| FNARM 725463 | 276,092.22 | 0.01 | $287,466.25 | 2.86 | 12/01/2033 | FN |
| FNARM 725803 | 340,857.60 | 0.02 | $356,876.07 | 3.24 | 08/01/2034 | FN |
| FNARM 735982 | 1,427,462.22 | 0.07 | $1,489,202.82 | 4.71 | 11/01/2035 | FN |
| FNARM 745545 | 21,205.68 | 0.00 | $22,260.84 | 5.35 | 04/01/2036 | FN |
| FNARM 784074 | 241,729.84 | 0.01 | $251,474.26 | 3.87 | 06/01/2034 | FN |
| FNARM 830970 | 439,220.40 | 0.02 | $468,059.52 | 5.00 | 08/01/2035 | FN |
| FNARM 847965 | 214,066.58 | 0.01 | $227,247.62 | 5.14 | 11/01/2035 | FN |
| FNARM 868367 | 176,555.79 | 0.01 | $189,680.77 | 6.21 | 04/01/2036 | FN |
| FNARM 868568 | 1,862,835.10 | 0.10 | $1,985,729.31 | 5.82 | 04/01/2036 | FN |
| FNARM 872895 | 722,648.95 | 0.04 | $773,787.71 | 6.06 | 06/01/2036 | FN |
| FNARM 886163 | 549,743.39 | 0.03 | $590,347.16 | 6.20 | 07/01/2036 | FN |
| FNARM 886344 | 627,067.06 | 0.03 | $672,764.26 | 6.02 | 07/01/2036 | FN |
| FNARM 886530 | 348,521.66 | 0.02 | $375,026.24 | 6.33 | 08/01/2036 | FN |
| FNARM 889354 | 40,684.09 | 0.00 | $43,091.89 | 4.95 | 03/01/2038 | FN |
| FNARM 918907 | 6,587,698.01 | 0.35 | $7,077,352.38 | 5.55 | 04/01/2037 | FN |
| FNARM 965184 | 5,295,571.98 | 0.28 | $5,647,203.26 | 5.13 | 09/01/2038 | FN |
| FNARM AC2545 | 2,949,349.00 | 0.15 | $3,094,020.47 | 4.33 | 09/01/2039 | FN |
| FNARM AC4004 | 9,529,521.46 | 0.49 | $10,045,856.66 | 4.55 | 11/01/2039 | FN |
| FNARM AC4053 | 2,410,832.34 | 0.12 | $2,506,390.98 | 3.72 | 11/01/2039 | FN |
| FNARM AC6103 | 6,204,897.46 | 0.32 | $6,530,707.32 | 4.44 | 10/01/2039 | FN |
| FNARM AD0183 | 8,056,503.77 | 0.42 | $8,544,088.21 | 4.95 | 11/01/2033 | FN |
| FNCI 190341 | 685,241.44 | 0.04 | $737,009.31 | 5.00 | 09/01/2018 | FN |
| FNCI 303837 | 494.53 | 0.00 | $501.67 | 7.50 | 04/01/2011 | FN |
| FNCI 527268 | 1,345.25 | 0.00 | $1,450.19 | 7.00 | 11/01/2014 | FN |
| FNCI 535515 | 5,146.19 | 0.00 | $5,419.40 | 8.00 | 10/01/2014 | FN |
| FNCI 725446 | 4,189,065.95 | 0.22 | $4,558,554.55 | 6.00 | 03/01/2018 | FN |
| FNCI 735569 | 254,059.04 | 0.01 | $278,178.03 | 8.00 | 10/01/2016 | FN |
| FNCI 738211 | 7,328.67 | 0.00 | $7,882.33 | 5.00 | 10/01/2018 | FN |
| FNCI 761266 | 12,027.17 | 0.00 | $13,013.48 | 5.00 | 02/01/2019 | FN |
| FNCI 831428 | 5,022.41 | 0.00 | $5,435.58 | 5.50 | 04/01/2021 | FN |
| FNCI 888104 | 84,040.40 | 0.00 | $90,389.39 | 5.00 | 05/01/2021 | FN |
| FNCI 888594 | 147,320.90 | 0.01 | $160,637.32 | 6.00 | 08/01/2022 | FN |
| FNCI 889901 | 6,808,967.90 | 0.36 | $7,272,496.56 | 4.50 | 09/01/2020 | FN |
| FNCI 960472 | 50,361.97 | 0.00 | $54,478.59 | 5.50 | 01/01/2023 | FN |
| FNCI 984722 | 123,759.43 | 0.01 | $130,927.58 | 4.50 | 06/01/2023 | FN |
| FNCI JUL TBA | 17,000,000.00 | 0.88 | $17,932,348.00 | 4.50 | 07/01/2025 | 01F042475 |
| FNCI JUL TBA | 32,250,000.00 | 1.71 | $34,835,031.00 | 5.50 | 07/01/2023 | 01F052474 |
| FNCI JUL TBA | 62,615,000.00 | 3.20 | $65,041,331.25 | 4.00 | 07/01/2025 | 01F040479 |
| FNCI JUL TBA | 77,815,000.00 | 4.09 | $83,018,878.13 | 5.00 | 07/01/2025 | FNCI |
| FNCL 16979 | 17,584.35 | 0.00 | $20,220.43 | 11.00 | 09/01/2015 | FN |
| FNCL 18053 | 42,531.82 | 0.00 | $48,907.80 | 11.00 | 09/01/2015 | FN |
| FNCL 18176 | 4,049.03 | 0.00 | $4,656.02 | 11.00 | 09/01/2015 | FN |
| FNCL 18502 | 8,632.43 | 0.00 | $9,926.52 | 11.00 | 09/01/2015 | FN |
| FNCL 211073 | 1,846.67 | 0.00 | $2,127.80 | 8.00 | 07/01/2023 | FN |
| FNCL 255071 | 5,696.63 | 0.00 | $6,345.87 | 6.50 | 01/01/2034 | FN |
| FNCL 255364 | 1,607.24 | 0.00 | $1,763.29 | 6.00 | 09/01/2034 | FN |
| FNCL 257062 | 382,389.17 | 0.02 | $405,207.48 | 5.00 | 01/01/2038 | FN |
| FNCL 27233 | 6,246.72 | 0.00 | $6,907.22 | 9.25 | 06/01/2016 | FN |
| FNCL 303875 | 41.46 | 0.00 | $42.47 | 8.00 | 09/01/2011 | FN |
| FNCL 31289 | 30,947.68 | 0.00 | $34,219.93 | 9.25 | 08/01/2016 | FN |
| FNCL 313808 | 19,410.47 | 0.00 | $20,157.93 | 7.50 | 03/01/2014 | FN |
| FNCL 500463 | 3,504.52 | 0.00 | $3,912.69 | 6.50 | 06/01/2029 | FN |
| FNCL 520035 | 11,347.44 | 0.00 | $12,113.83 | 11.50 | 11/01/2016 | FN |
| FNCL 535996 | 2,256.09 | 0.00 | $2,571.70 | 7.50 | 06/01/2031 | FN |
| FNCL 607516 | 14,122.95 | 0.00 | $16,106.68 | 7.50 | 11/01/2031 | FN |
| FNCL 636708 | 1,311.29 | 0.00 | $1,492.59 | 7.50 | 04/01/2032 | FN |
| FNCL 65106 | 104,338.05 | 0.01 | $115,225.62 | 8.50 | 08/01/2017 | FN |
| FNCL 688970 | 174,767.80 | 0.01 | $194,699.91 | 8.00 | 05/01/2024 | FN |
| FNCL 694072 | 5,098.09 | 0.00 | $5,758.10 | 7.50 | 05/01/2033 | FN |
| FNCL 70834 | 34,957.29 | 0.00 | $38,853.55 | 11.00 | 08/01/2020 | FN |
| FNCL 70986 | 595.52 | 0.00 | $682.56 | 8.00 | 11/01/2021 | FN |
| FNCL 725250 | 25,764.03 | 0.00 | $27,399.51 | 5.00 | 03/01/2034 | FN |
| FNCL 725380 | 319,269.81 | 0.02 | $356,853.96 | 10.00 | 02/01/2025 | FN |
| FNCL 745885 | 10,107,284.00 | 0.54 | $11,000,198.87 | 6.00 | 10/01/2036 | FN |
| FNCL 765242 | 170,762.72 | 0.01 | $191,522.98 | 9.00 | 08/01/2022 | FN |
| FNCL 787489 | 2,192.66 | 0.00 | $2,474.59 | 7.50 | 06/01/2034 | FN |
| FNCL 798019 | 4,025.29 | 0.00 | $4,484.93 | 7.00 | 12/01/2034 | FN |
| FNCL 805567 | 7,127.27 | 0.00 | $7,819.28 | 6.00 | 11/01/2034 | FN |
| FNCL 831926 | 2,155,877.49 | 0.12 | $2,346,335.68 | 6.00 | 12/01/2036 | FN |
| FNCL 846348 | 4,285.72 | 0.00 | $4,707.19 | 6.50 | 04/01/2036 | FN |
| FNCL 851617 | 35,871.83 | 0.00 | $39,040.88 | 6.00 | 04/01/2036 | FN |
| FNCL 863606 | 2,108.09 | 0.00 | $2,344.81 | 7.00 | 12/01/2035 | FN |
| FNCL 869712 | 11,346.60 | 0.00 | $12,462.47 | 6.50 | 04/01/2036 | FN |
| FNCL 872832 | 34,628.98 | 0.00 | $38,034.52 | 6.50 | 06/01/2036 | FN |
| FNCL 888366 | 3,466,637.13 | 0.19 | $3,854,584.68 | 7.00 | 04/01/2037 | FN |
| FNCL 894049 | 28,592.65 | 0.00 | $31,404.56 | 6.50 | 10/01/2036 | FN |
| FNCL 907755 | 507,400.41 | 0.03 | $552,226.04 | 6.00 | 02/01/2037 | FN |
| FNCL 936904 | 7,807.94 | 0.00 | $8,563.60 | 6.50 | 08/01/2037 | FN |
| FNCL 955230 | 36,945.30 | 0.00 | $40,520.91 | 6.50 | 12/01/2037 | FN |
| FNCL 966853 | 85,729.55 | 0.00 | $95,347.29 | 7.00 | 12/01/2037 | FN |
| FNCL JUL TBA | 2,000,000.00 | 0.11 | $2,169,062.00 | 6.00 | 07/01/2040 | FNCL |
| FNCL JUL TBA | 3,750,000.00 | 0.20 | $3,967,383.75 | 5.00 | 07/01/2040 | FNCL |
| FNCN 255175 | 636,936.02 | 0.03 | $655,900.92 | 4.50 | 03/01/2014 | FN |
| FNCT 254229 | 250,756.40 | 0.01 | $278,669.80 | 6.50 | 02/01/2022 | FN |
| FNCX 254861 | 209,511.50 | 0.01 | $210,571.46 | 4.00 | 08/01/2010 | FN |
| FNCX 255389 | 835,079.10 | 0.04 | $859,203.62 | 5.00 | 08/01/2011 | FN |
| FNGG 35454 | 50.37 | 0.00 | $51.42 | 11.00 | 11/01/2010 | FN |
| FNGL 135058 | 54,679.84 | 0.00 | $61,826.53 | 10.00 | 01/01/2019 | FN |
| FNGL 38631 | 1,890.02 | 0.00 | $2,118.36 | 11.00 | 06/01/2015 | FN |
| FNGL 555276 | 22,337.84 | 0.00 | $24,133.02 | 7.50 | 03/01/2025 | FN |
| FNGL 6226 | 354.61 | 0.00 | $359.34 | 11.00 | 12/01/2015 | FN |
| FNGL 6886 | 8.01 | 0.00 | $8.08 | 11.00 | 08/01/2015 | FN |
| FNGL 6893 | 284.16 | 0.00 | $294.79 | 11.00 | 08/01/2010 | FN |
| FNGN30 458171 | 50,518.68 | 0.00 | $54,639.16 | 16.00 | 11/15/2012 | FN |
| FNGT 2001-T10 A1 | 327,073.95 | 0.02 | $366,156.74 | 7.00 | 12/25/2041 | FNGT |
| FNGT 2001-T5 A2 | 54,623.11 | 0.00 | $61,314.01 | 7.00 | 02/19/2030 | FNGT |
| FNGT 2002-T1 A2 | 180,458.77 | 0.01 | $202,924.48 | 7.00 | 11/25/2031 | FNGT |
| FNGT 2003-T4 2A5 | 189,817.43 | 0.01 | $176,956.16 | 5.41 | 09/26/2033 | FNGT |
| FNKI 570556 | 110,892.34 | 0.01 | $118,846.94 | 9.00 | 11/01/2015 | FN |
| FNKI 665394 | 337,162.13 | 0.02 | $361,035.84 | 6.00 | 09/01/2012 | FN |
| FNKI 735264 | 177,696.38 | 0.01 | $193,050.43 | 6.50 | 08/01/2017 | FN |
| FNKL 552213 | 27,931.97 | 0.00 | $32,581.36 | 10.50 | 06/01/2030 | FN |
| FNKL 556029 | 168,851.07 | 0.01 | $196,104.97 | 10.00 | 10/01/2030 | FN |
| FNR 2003-120 BL | 1,335,000.00 | 0.07 | $1,363,838.94 | 3.50 | 12/25/2018 | FNR |
| FNR 2003-121 FC | 21,182.31 | 0.00 | $21,184.21 | 0.75 | 02/25/2028 | FNR |
| FNR 2003-32 PH | 89,919.86 | 0.00 | $94,990.76 | 5.50 | 03/25/2032 | FNR |
| FNR 2003-81 GE | 1,454,569.51 | 0.08 | $1,535,248.66 | 4.50 | 04/25/2018 | FNR |
| FNR 2003-91 BE | 835,637.02 | 0.04 | $846,989.57 | 4.00 | 11/25/2016 | FNR |
| FNR 2005-66 FD | 2,894,575.43 | 0.14 | $2,891,646.41 | 0.65 | 07/25/2035 | FNR |
| FNR 2006-69 PB | 7,564,672.82 | 0.38 | $7,814,965.91 | 6.00 | 10/25/2032 | FNR |
| FNW 2002-W1 2A | 178,216.18 | 0.01 | $205,080.88 | 7.50 | 02/25/2042 | FNW |
| FNW 2004-W9 2A1 | 229,259.95 | 0.01 | $253,941.21 | 6.50 | 02/25/2044 | FNW |
| FORD MOTOR COMPANY TERM B | 5,096,575.29 | 0.24 | $4,831,578.86 | 3.26 | 12/15/2013 | LN303249 |
| FORD MOTOR CREDIT CO LLC | 800,000.00 | 0.05 | $926,950.40 | 12.00 | 05/15/2015 | F |
| FORD MOTOR CREDIT CO LLC | 1,350,000.00 | 0.07 | $1,381,129.65 | 7.50 | 08/01/2012 | F |
| FORD MOTOR CREDIT CO LLC | 3,000,000.00 | 0.15 | $3,098,748.00 | 8.00 | 06/01/2014 | F |
| FORDF 2009-2 A | 895,000.00 | 0.04 | $903,059.92 | 1.90 | 09/15/2014 | FORDF |
| FORDF 2010-1 A | 2,170,000.00 | 0.11 | $2,192,738.35 | 2.00 | 12/15/2014 | FORDF |
| FORDL 2010-A A2 | 3,215,000.00 | 0.16 | $3,218,169.35 | 1.04 | 03/15/2013 | FORDL |
| FORDO 2008-A A3B | 882,386.73 | 0.04 | $884,285.27 | 1.15 | 04/15/2012 | FORDO |
| FORDO 2008-C A4B | 4,700,000.00 | 0.24 | $4,794,111.39 | 2.10 | 04/15/2013 | FORDO |
| FOREST OIL CORP | 1,270,000.00 | 0.06 | $1,231,900.00 | 7.25 | 06/15/2019 | FST |
| FREEPORT-MCMORAN C & G | 1,925,000.00 | 0.10 | $2,120,250.83 | 8.38 | 04/01/2017 | 35671DAS4 |
| FSPC T-42 A5 | 69,042.02 | 0.00 | $78,869.72 | 7.50 | 02/25/2042 | FSPC |
| FSPC T-54 2A | 1,601.06 | 0.00 | $1,773.42 | 6.50 | 02/25/2043 | FSPC |
| FSPC T-58 2A | 1,202,440.87 | 0.07 | $1,335,187.94 | 6.50 | 09/25/2043 | FSPC |
| FSPC T-60 1A4C | 1,611,916.74 | 0.08 | $1,700,048.29 | 5.40 | 03/25/2044 | FSPC |
| FTI CONSULTING INC | 225,000.00 | 0.01 | $228,375.00 | 7.75 | 10/01/2016 | FCN |
| FTI CONSULTING INC | 2,333,000.00 | 0.12 | $2,344,665.00 | 7.62 | 06/15/2013 | FCN |
| G2GP 9232 | 8,277.72 | 0.00 | $9,044.42 | 9.75 | 12/20/2016 | G2 |
| G2GP 9272 | 7,694.38 | 0.00 | $8,549.09 | 9.75 | 09/20/2017 | G2 |
| G2SF 1042 | 15,810.82 | 0.00 | $18,121.72 | 11.50 | 08/20/2018 | G2 |
| G2SF 1077 | 11,152.67 | 0.00 | $12,782.74 | 11.50 | 10/20/2018 | G2 |
| G2SF 108398 | 5,801.93 | 0.00 | $6,142.06 | 12.00 | 05/20/2014 | G2 |
| G2SF 109 | 8,405.25 | 0.00 | $9,271.81 | 12.00 | 04/20/2014 | G2 |
| G2SF 110377 | 4,338.70 | 0.00 | $4,882.86 | 12.00 | 04/20/2014 | G2 |
| G2SF 119735 | 13,870.70 | 0.00 | $15,610.35 | 12.00 | 07/20/2014 | G2 |
| G2SF 119736 | 26,908.84 | 0.00 | $30,604.72 | 12.00 | 04/20/2015 | G2 |
| G2SF 126 | 1,992.32 | 0.00 | $2,242.20 | 12.00 | 05/20/2014 | G2 |
| G2SF 128545 | 7,351.13 | 0.00 | $8,360.79 | 12.00 | 02/20/2015 | G2 |
| G2SF 140232 | 15,367.56 | 0.00 | $17,251.39 | 11.00 | 10/20/2015 | G2 |
| G2SF 1419 | 2,098.19 | 0.00 | $2,352.79 | 10.50 | 06/20/2020 | G2 |
| G2SF 1507 | 2,283.91 | 0.00 | $2,636.88 | 9.50 | 11/20/2020 | G2 |
| G2SF 158 | 3,309.82 | 0.00 | $3,724.94 | 12.00 | 07/20/2014 | G2 |
| G2SF 1687 | 19,062.94 | 0.00 | $21,954.74 | 9.50 | 09/20/2021 | G2 |
| G2SF 1705 | 45,327.55 | 0.00 | $52,313.16 | 9.50 | 10/20/2021 | G2 |
| G2SF 1723 | 44,421.91 | 0.00 | $51,209.93 | 9.50 | 11/20/2021 | G2 |
| G2SF 177 | 1,887.99 | 0.00 | $2,093.64 | 12.00 | 08/20/2014 | G2 |
| G2SF 19 | 13,161.75 | 0.00 | $14,637.81 | 12.50 | 10/20/2013 | G2 |
| G2SF 20 | 2,766.40 | 0.00 | $3,125.93 | 12.50 | 11/20/2013 | G2 |
| G2SF 269 | 248.46 | 0.00 | $263.67 | 12.00 | 01/20/2015 | G2 |
| G2SF 288 | 2,269.51 | 0.00 | $2,509.45 | 12.00 | 02/20/2015 | G2 |
| G2SF 321 | 2,956.54 | 0.00 | $3,337.82 | 12.00 | 04/20/2015 | G2 |
| G2SF 337 | 715.77 | 0.00 | $807.48 | 12.00 | 05/20/2015 | G2 |
| G2SF 367 | 557.92 | 0.00 | $626.56 | 12.00 | 07/20/2015 | G2 |
| G2SF 382 | 5,138.91 | 0.00 | $5,844.73 | 12.00 | 08/20/2015 | G2 |
| G2SF 405 | 30,004.14 | 0.00 | $33,436.54 | 11.00 | 09/20/2015 | G2 |
| G2SF 407 | 8,626.03 | 0.00 | $9,810.80 | 12.00 | 09/20/2015 | G2 |
| G2SF 422 | 3,419.53 | 0.00 | $3,826.70 | 11.00 | 10/20/2015 | G2 |
| G2SF 424 | 13,777.37 | 0.00 | $15,669.67 | 12.00 | 10/20/2015 | G2 |
| G2SF 480 | 13.40 | 0.00 | $13.18 | 12.00 | 01/20/2016 | G2 |
| G2SF 576 | 7,778.81 | 0.00 | $9,094.66 | 12.00 | 05/20/2016 | G2 |
| G2SF 65 | 9,322.70 | 0.00 | $10,544.03 | 12.50 | 01/20/2014 | G2 |
| G2SF 892 | 5,657.01 | 0.00 | $6,338.37 | 11.50 | 12/20/2017 | G2 |
| G2SF 911 | 13,106.57 | 0.00 | $14,991.80 | 11.50 | 01/20/2018 | G2 |
| GCCFC 2004-GG1 A7 | 375,000.00 | 0.02 | $400,852.73 | 5.32 | 06/10/2036 | GCCFC |
| GCCT 2008-3 A | 5,000,000.00 | 0.25 | $5,038,281.25 | 1.35 | 07/15/2011 | GCCT |
| GECMC 2002-1A A3 | 500,000.00 | 0.03 | $527,613.50 | 6.27 | 12/10/2035 | GECMC |
| GEMNT 2009-3 A | 1,290,000.00 | 0.06 | $1,305,268.96 | 2.54 | 09/15/2014 | GEMNT |
| GENERAL ELECTRIC CAPITAL CORP | 3,480,000.00 | 0.18 | $3,563,540.88 | 3.75 | 11/14/2014 | GE |
| GENERAL ELECTRIC CAPITAL CORP | 3,535,000.00 | 0.16 | $3,338,991.32 | 0.80 | 09/15/2014 | GE |
| GEORGIA-PACIFIC LLC | 530,000.00 | 0.03 | $567,762.50 | 8.25 | 05/01/2016 | GP |
| GNGP 98703 | 5,226.66 | 0.00 | $5,977.45 | 12.25 | 01/15/2014 | GN |
| GNMHB 417755 | 376.82 | 0.00 | $380.19 | 6.50 | 09/15/2010 | GN |
| GNR 2003-72 C | 2,500,000.00 | 0.13 | $2,648,363.00 | 4.86 | 02/16/2030 | GNR |
| GNSF 123052 | 226.63 | 0.00 | $255.33 | 11.00 | 08/15/2015 | GN |
| GNSF 131660 | 10,167.54 | 0.00 | $11,255.13 | 9.00 | 05/15/2016 | GN |
| GNSF 132928 | 4,504.48 | 0.00 | $5,074.92 | 11.00 | 11/15/2015 | GN |
| GNSF 133332 | 793.01 | 0.00 | $893.43 | 11.00 | 12/15/2015 | GN |
| GNSF 134423 | 421.10 | 0.00 | $414.62 | 11.00 | 09/15/2015 | GN |
| GNSF 134820 | 598.12 | 0.00 | $602.70 | 11.00 | 10/15/2015 | GN |
| GNSF 134872 | 59.47 | 0.00 | $65.78 | 11.00 | 10/15/2015 | GN |
| GNSF 135913 | 9,655.52 | 0.00 | $10,861.56 | 11.00 | 08/15/2015 | GN |
| GNSF 139710 | 623.46 | 0.00 | $690.15 | 9.00 | 08/15/2016 | GN |
| GNSF 140244 | 65.64 | 0.00 | $73.78 | 11.00 | 10/15/2015 | GN |
| GNSF 140245 | 2,880.48 | 0.00 | $3,229.95 | 11.00 | 01/15/2016 | GN |
| GNSF 140416 | 4,554.19 | 0.00 | $5,130.92 | 11.00 | 09/15/2015 | GN |
| GNSF 140750 | 62.55 | 0.00 | $70.47 | 11.00 | 11/15/2015 | GN |
| GNSF 140814 | 23.49 | 0.00 | $26.46 | 11.00 | 10/15/2015 | GN |
| GNSF 144022 | 3,642.76 | 0.00 | $4,084.71 | 11.00 | 02/15/2016 | GN |
| GNSF 145894 | 420.72 | 0.00 | $471.76 | 11.00 | 02/15/2016 | GN |
| GNSF 148467 | 19,571.24 | 0.00 | $21,945.67 | 11.00 | 02/15/2016 | GN |
| GNSF 163674 | 1,508.51 | 0.00 | $1,669.87 | 9.00 | 08/15/2016 | GN |
| GNSF 167746 | 4,112.99 | 0.00 | $4,591.71 | 9.50 | 09/15/2016 | GN |
| GNSF 169502 | 1,310.10 | 0.00 | $1,469.04 | 11.00 | 09/15/2016 | GN |
| GNSF 171881 | 4,239.43 | 0.00 | $4,692.91 | 9.00 | 09/15/2016 | GN |
| GNSF 172805 | 2,593.92 | 0.00 | $2,871.38 | 9.00 | 08/15/2016 | GN |
| GNSF 183237 | 711.43 | 0.00 | $787.53 | 9.00 | 12/15/2016 | GN |
| GNSF 188760 | 1,852.46 | 0.00 | $2,065.40 | 9.00 | 01/15/2017 | GN |
| GNSF 206364 | 9,351.27 | 0.00 | $10,426.22 | 9.00 | 02/15/2017 | GN |
| GNSF 211238 | 3,418.23 | 0.00 | $3,884.20 | 9.50 | 08/15/2017 | GN |
| GNSF 213770 | 5,368.77 | 0.00 | $5,993.66 | 9.50 | 12/15/2016 | GN |
| GNSF 248215 | 8,690.55 | 0.00 | $9,798.53 | 11.00 | 12/15/2017 | GN |
| GNSF 261474 | 5,379.99 | 0.00 | $6,114.61 | 11.00 | 06/15/2019 | GN |
| GNSF 264460 | 6,218.72 | 0.00 | $7,067.86 | 11.00 | 04/15/2019 | GN |
| GNSF 270092 | 8,354.93 | 0.00 | $9,382.98 | 11.00 | 05/15/2019 | GN |
| GNSF 274819 | 2,818.23 | 0.00 | $3,203.05 | 11.00 | 06/15/2019 | GN |
| GNSF 276450 | 8,322.99 | 0.00 | $9,449.49 | 11.00 | 08/15/2019 | GN |
| GNSF 277856 | 14,586.00 | 0.00 | $16,577.66 | 11.00 | 06/15/2019 | GN |
| GNSF 41841 | 120.12 | 0.00 | $121.22 | 11.00 | 09/15/2010 | GN |
| GNSF 519412 | 8,441.54 | 0.00 | $9,801.11 | 8.00 | 06/15/2030 | GN |
| GNSF 59913 | 522.20 | 0.00 | $577.30 | 11.00 | 07/15/2013 | GN |
| GNSF 69396 | 580.21 | 0.00 | $641.43 | 11.00 | 07/15/2013 | GN |
| GNSF 71107 | 1,245.45 | 0.00 | $1,376.86 | 11.00 | 07/15/2013 | GN |
| GNSF 780863 | 112,102.82 | 0.01 | $126,584.67 | 7.50 | 12/15/2023 | GN |
| GNSF 781380 | 156,148.78 | 0.01 | $178,026.43 | 7.50 | 12/15/2031 | GN |
| GNSF 781389 | 3,245.44 | 0.00 | $3,700.15 | 7.50 | 01/15/2032 | GN |
| GOLDMAN SACHS GROUP INC/THE | 3,795,000.00 | 0.20 | $3,976,700.81 | 5.15 | 01/15/2014 | GS |
| GOODYEAR TIRE & RUBBER CO/THE | 1,981,000.00 | 0.11 | $2,164,242.50 | 10.50 | 05/15/2016 | GT |
| GRAHAM PACKAGING | 1,180,000.00 | 0.06 | $1,212,450.00 | 9.88 | 10/15/2014 | 38470RAD3 |
| GRAHAM PACKAGING CO LP TERM LO | 4,184,123.49 | 0.21 | $4,208,977.18 | 6.75 | 04/05/2014 | LN474009 |
| GRAHAM PACKAGING CO LP/GPC CAP | 2,475,000.00 | 0.12 | $2,450,250.00 | 8.25 | 01/01/2017 | GRAHAM |
| GRAPHIC PACKAGING INTERNATIONA | 2,274,000.00 | 0.11 | $2,325,165.00 | 9.50 | 08/15/2013 | GPK |
| GSMPS 1998-2 A | 189,002.57 | 0.01 | $187,644.96 | 7.75 | 05/19/2027 | GSMPS |
| GSMPS 1999-3 A | 469,066.33 | 0.02 | $467,268.87 | 8.00 | 08/19/2029 | GSMPS |
| GSMPS 2005-RP1 1A4 | 538,408.17 | 0.03 | $521,009.51 | 8.50 | 01/25/2035 | GSMPS |
| GSMPS 2006-RP1 1A2 | 62,679.02 | 0.00 | $58,825.20 | 7.50 | 01/25/2036 | GSMPS |
| GSMS 2004-GG2 A6 | 1,045,000.00 | 0.05 | $1,102,289.51 | 5.40 | 08/10/2038 | GSMS |
| GSMS 2005-GG4 A4 | 3,310,000.00 | 0.17 | $3,361,923.64 | 4.76 | 07/10/2039 | 36228CVT7 |
| GSMS 2005-GG4 A4A | 3,935,000.00 | 0.20 | $4,071,018.78 | 4.75 | 07/10/2039 | GSMS |
| GSMS 2006-GG6 A4 | 1,160,000.00 | 0.06 | $1,193,541.40 | 5.55 | 04/10/2038 | GSMS |
| GT 1997-6 A8 | 1,875,867.91 | 0.10 | $1,976,609.33 | 7.07 | 01/15/2029 | GT |
| GXS WORLDWIDE INC | 3,895,000.00 | 0.18 | $3,739,200.00 | 9.75 | 06/15/2015 | GXSWLD |
| HARRAH'S OPERATING CO INC | 2,730,000.00 | 0.14 | $2,886,975.00 | 11.25 | 06/01/2017 | HET |
| HARRAHS CHESTER DOWNS TERM LOA | 4,221,035.03 | 0.21 | $4,221,035.03 | 12.38 | 12/31/2016 | HET |
| HART 2007-A A3A | 32,638.16 | 0.00 | $32,904.21 | 5.04 | 01/17/2012 | HART |
| HART 2008-A A3 | 258,330.55 | 0.01 | $265,677.32 | 4.93 | 12/17/2012 | HART |
| HCA INC/DE | 2,190,000.00 | 0.11 | $2,326,875.00 | 9.25 | 11/15/2016 | HCA |
| HDMOT 2006-1 A2 | 54,684.10 | 0.00 | $55,506.43 | 5.04 | 10/15/2012 | HDMOT |
| HDMOT 2009-4 A3 | 565,000.00 | 0.03 | $570,595.08 | 1.87 | 02/17/2014 | HDMOT |
| HERCULES OFFSHORE INC | 1,000,000.00 | 0.04 | $892,500.00 | 10.50 | 10/15/2017 | HERO |
| HEXION US FINANCE CORP / HEXIO | 3,460,000.00 | 0.15 | $3,139,950.00 | 8.88 | 02/01/2018 | HXN |
| HOSPIRA INC | 4,430,000.00 | 0.25 | $5,038,385.19 | 6.40 | 05/15/2015 | HSP |
| INDONESIA TREASURY BOND | 150,000,000.00 | 0.00 | $19,839.77 | 11.00 | 11/15/2020 | INDOGB |
| INDONESIA TREASURY BOND | 3,594,000,000.00 | 0.02 | $451,649.17 | 10.75 | 05/15/2016 | INDOGB |
| INDONESIA TREASURY BOND | 142,000,000,000.00 | 0.81 | $16,405,827.37 | 10.00 | 10/15/2011 | INDOGB |
| INDONESIAN RUPIAH | 7,255,653,300.00 | 0.04 | $800,844.74 | 0.00 | N/A | RUPIAH |
| INMARSAT FINANCE PLC | 1,090,000.00 | 0.06 | $1,119,975.00 | 7.38 | 12/01/2017 | ISATLN |
| INTELSAT BERMUDA LTD | 1,555,000.00 | 0.08 | $1,582,212.50 | 11.25 | 02/04/2017 | INTEL |
| INTER-AMERICAN DEVELOPMENT BAN | 4,005,000.00 | 0.20 | $4,028,669.55 | 2.25 | 07/15/2015 | IADB |
| INTER-AMERICAN DEVELOPMENT BAN | 4,815,000.00 | 0.25 | $5,109,316.88 | 3.50 | 07/08/2013 | IADB |
| INTER-AMERICAN DEVELOPMENT BAN | 6,500,000.00 | 0.32 | $6,550,622.00 | 1.62 | 07/15/2013 | IADB |
| INTERNATIONAL BANK FOR RECONST | 6,340,000.00 | 0.32 | $6,453,530.38 | 2.38 | 05/26/2015 | IBRD |
| INTERNATIONAL FINANCE CORP | 6,930,000.00 | 0.36 | $7,321,676.67 | 3.00 | 04/22/2014 | IFC |
| INTERNATIONAL LEASE FINANCE CO | 511,000.00 | 0.02 | $476,507.50 | 6.62 | 11/15/2013 | AIG |
| INTERNATIONAL LEASE FINANCE CO | 1,500,000.00 | 0.07 | $1,479,375.00 | 5.75 | 06/15/2011 | AIG |
| INTERNATIONAL LEASE FINANCE CO | 7,475,000.00 | 0.35 | $7,101,250.00 | 8.75 | 03/15/2017 | AIG |
| INTL FIN CORP | 3,600,000.00 | 0.15 | $3,081,098.65 | 5.75 | 03/16/2015 | IFC |
| INVERNESS MEDICAL INNOVATIONS | 730,000.00 | 0.04 | $733,650.00 | 9.00 | 05/15/2016 | IMA |
| INVISTA | 410,000.00 | 0.02 | $417,175.00 | 9.25 | 05/01/2012 | INVSTA |
| IRON MOUNTAIN INC | 2,705,000.00 | 0.14 | $2,759,100.00 | 8.00 | 06/15/2020 | IRM |
| ITRAXX EUR SUB FINANCIALS 13.1 | 6,140,000.00 | 0.02 | $496,370.67 | 1.00 | 06/20/2015 | SPC703E3 |
| ITRAXX EUR SUB FINANCIALS 13.1 | 6,200,000.00 | 0.02 | $501,221.19 | 1.00 | 06/20/2015 | /ITRAX |
| ITRAXX EUR SUB FINANCIALS 13.1 | 9,800,000.00 | 0.04 | $792,252.85 | 1.00 | 06/20/2015 | SPB304DM |
| ITRAXX EUR SUB FINANCIALS 13.1 | 19,985,000.00 | 0.08 | $1,615,629.93 | 1.00 | 06/20/2015 | /ITRAX |
| J.C. PENNEY COMPANY, INC 5-YEA | 1,105,000.00 | 0.00 | $41,210.15 | 1.00 | 03/20/2015 | /JCP1 |
| J.C. PENNEY COMPANY, INC 5-YEA | 1,115,000.00 | 0.00 | $41,583.09 | 1.00 | 03/20/2015 | /JCP |
| J.C. PENNEY COMPANY, INC 5-YR | 1,655,000.00 | 0.00 | $61,721.98 | 1.00 | 03/20/2015 | /JCP |
| JAPAN FINANCE CORP | 7,900,000.00 | 0.39 | $7,965,751.70 | 1.50 | 07/06/2012 | JFCORP |
| JBS USA LLC/JBS USA FINANCE IN | 99,000.00 | 0.01 | $111,498.75 | 11.62 | 05/01/2014 | FRIBOI |
| JDOT 2010-A A4 | 2,540,000.00 | 0.13 | $2,578,387.53 | 2.13 | 10/17/2016 | JDOT |
| JEFFERIES GROUP INC | 2,805,000.00 | 0.15 | $2,968,817.61 | 5.88 | 06/08/2014 | JEF |
| JERSEY CENTRAL POWER & LIGHT C | 4,560,000.00 | 0.24 | $4,936,122.48 | 5.62 | 05/01/2016 | FE |
| JP MORGAN STRUCTURED PRO | 2,419,000.00 | 0.12 | $2,535,371.97 | 0.00 | 05/18/2015 | JPM |
| JPMCC 2002-C1 A3 | 1,000,000.00 | 0.05 | $1,047,207.20 | 5.38 | 07/12/2037 | JPMCC |
| JPMCC 2005-LDP5 A4 | 1,625,000.00 | 0.09 | $1,728,508.60 | 5.36 | 12/15/2044 | JPMCC |
| JPMMT 2006-A2 3A3 | 180,000.00 | 0.01 | $152,014.32 | 5.68 | 04/25/2036 | JPMMT |
| JPMORGAN CHASE & CO | 4,380,000.00 | 0.23 | $4,713,545.76 | 5.75 | 01/02/2013 | JPM |
| JPMORGAN CHASE BANK NA | 1,750,000.00 | 0.08 | $1,648,678.50 | 0.87 | 06/13/2016 | JPM |
| JWS CBO 2000-1 | 12,558,344.13 | 0.61 | $12,432,760.69 | 1.14 | 07/28/2012 | JWSCBO |
| KEYBANK NA | 4,250,000.00 | 0.22 | $4,541,354.50 | 5.80 | 07/01/2014 | 49306CAH4 |
| KINDER MORGAN ENER PART | 1,300,000.00 | 0.07 | $1,345,935.50 | 6.75 | 03/15/2011 | 494550AH9 |
| KINDER MORGAN ENERGY PARTNERS | 1,395,000.00 | 0.07 | $1,417,819.41 | 7.50 | 11/01/2010 | KMP |
| KOMMUNALBANKEN AS | 4,550,000.00 | 0.23 | $4,636,750.30 | 2.75 | 05/05/2015 | KBN |
| KOMMUNALBANKEN AS | 9,620,000.00 | 0.49 | $9,928,272.90 | 2.88 | 06/22/2012 | KBN |
| KOREA DEVELOPMENT BANK/REPUBLI | 1,585,000.00 | 0.08 | $1,617,968.00 | 4.38 | 08/10/2015 | KDB |
| KOREA DEVELOPMENT BANK/REPUBLI | 6,265,000.00 | 0.35 | $7,137,044.15 | 8.00 | 01/23/2014 | KDB |
| KOREA EXPRESSWAY CORP | 1,320,000.00 | 0.07 | $1,354,020.36 | 4.50 | 03/23/2015 | HIGHWY |
| KOREA TREASURY ILB | 10,134,630,000.00 | 0.42 | $8,558,863.84 | 2.75 | 03/10/2017 | KTBI |
| KRAFT FOODS INC | 3,420,000.00 | 0.18 | $3,614,232.06 | 4.12 | 02/09/2016 | KFT |
| KREDITANSTALT FUER WIEDERAUFBA | 3,460,000.00 | 0.17 | $3,510,671.70 | 1.88 | 01/14/2013 | KFW |
| LANDWIRTSCHAFTLICHE RENTENBANK | 2,700,000.00 | 0.14 | $2,828,314.80 | 3.25 | 03/15/2013 | RENTEN |
| LANDWIRTSCHAFTLICHE RENTENBANK | 3,605,000.00 | 0.18 | $3,728,013.42 | 3.12 | 07/15/2015 | RENTEN |
| LANDWIRTSCHAFTLICHE RENTENBANK | 3,715,000.00 | 0.20 | $3,995,133.29 | 4.12 | 07/15/2013 | RENTEN |
| LAZARD GROUP | 1,438,000.00 | 0.07 | $1,458,249.92 | 6.85 | 06/15/2017 | LAZ |
| LAZARD GROUP LLC | 986,000.00 | 0.05 | $1,039,518.11 | 7.12 | 05/15/2015 | LAZ |
| LEVEL 3 COMMUNICATION INC TERM | 4,117,000.00 | 0.22 | $4,433,494.38 | 11.50 | 03/13/2014 | LVLT |
| LEVEL 3 FINANCING INC | 790,000.00 | 0.04 | $720,875.00 | 9.25 | 11/01/2014 | 527298AM5 |
| LIFE TECHNOLOGIES CORP | 1,540,000.00 | 0.08 | $1,594,608.40 | 4.40 | 03/01/2015 | LIFE |
| LMT 2005-2 2A3 | 63,026.46 | 0.00 | $57,550.91 | 5.50 | 12/25/2035 | LMT |
| LONG TERM RECEIVABLES | -2,110,116.25 | -0.10 | -$2,110,116.25 | 0.00 | N/A | SECNCAHUS |
| MACYS RETAIL HLDGS INC | 105,000.00 | 0.01 | $116,287.50 | 8.88 | 07/15/2015 | M |
| MACYS RETAIL HLDGS INC | 2,700,000.00 | 0.14 | $2,781,000.00 | 10.62 | 11/01/2010 | M |
| MARINER ENERGY INC | 8,532,000.00 | 0.46 | $9,363,870.00 | 8.00 | 05/15/2017 | ME |
| MARP 2005-1 1A5 | 399,296.43 | 0.02 | $395,182.88 | 8.00 | 08/25/2034 | MARP |
| MASD 2005-2 A2 | 327,734.08 | 0.02 | $312,793.01 | 5.01 | 07/25/2035 | MASD |
| MCKESSON CORP | 4,630,000.00 | 0.25 | $5,000,168.50 | 5.25 | 03/01/2013 | MCK |
| MEDCO HEALTH SOLUTIONS | 3,260,000.00 | 0.19 | $3,763,513.52 | 7.25 | 08/15/2013 | 58405UAC6 |
| MEDTRONIC INC | 1,790,000.00 | 0.09 | $1,856,306.97 | 3.00 | 03/15/2015 | MDT |
| MEDTRONIC INC | 2,500,000.00 | 0.12 | $2,518,750.00 | 1.62 | 04/15/2013 | MDT CB1 |
| MET LIFE GLOBE 144A | 860,000.00 | 0.04 | $863,261.98 | 4.62 | 08/19/2010 | 59217EAU8 |
| METLIFE INC 5-YR CDS 12/20/201 | 1,290,000.00 | -0.01 | -$114,123.92 | 1.00 | 12/20/2014 | /MET |
| METROPCS WIRELESS INC | 1,430,000.00 | 0.07 | $1,480,050.00 | 9.25 | 11/01/2014 | GWIR |
| MEXICAN BONOS | 214,000,000.00 | 0.87 | $17,601,588.33 | 9.00 | 12/22/2011 | B064050 |
| MEXICAN PESO | 9,737,000.00 | 0.04 | $752,947.18 | 0.00 | N/A | PESOS |
| MGM MIRAGE | 945,000.00 | 0.05 | $1,093,837.50 | 13.00 | 11/15/2013 | MGM |
| MGM RESORTS INTERNATIONAL | 290,000.00 | 0.02 | $316,825.00 | 10.38 | 05/15/2014 | MGM |
| MGM RESORTS INTERNATIONAL | 370,000.00 | 0.02 | $409,775.00 | 11.12 | 11/15/2017 | MGM |
| MIDCONTINENT EXPRESS PIPELINE | 4,815,000.00 | 0.25 | $5,014,692.50 | 5.45 | 09/15/2014 | MCEXPP |
| MLCFC 2007-5 A1 | 386,386.56 | 0.02 | $389,580.28 | 4.28 | 08/12/2048 | MLCFC |
| MLMT 2005-CIP1 A2 | 466,410.38 | 0.02 | $476,847.94 | 4.96 | 07/12/2038 | MLMT |
| MORGAN STANLEY | 1,275,000.00 | 0.06 | $1,139,611.58 | 0.78 | 10/15/2015 | MS |
| MSC 2005-HQ6 A4A | 4,555,000.00 | 0.23 | $4,732,253.73 | 4.99 | 08/13/2042 | MSC |
| MSC 2006-T21 A3 | 2,900,000.00 | 0.15 | $3,023,219.84 | 5.18 | 10/12/2052 | MSC |
| MSC 2007-T27 A4 | 3,440,000.00 | 0.18 | $3,603,705.47 | 5.80 | 06/13/2042 | MSC |
| MSDWC 2003-TOP9 A2 | 1,700,000.00 | 0.09 | $1,784,586.73 | 4.74 | 11/13/2036 | MSDWC |
| MSM 2006-12XS A1 | 2,073.55 | 0.00 | $2,063.46 | 0.47 | 10/25/2036 | MSM |
| NATIONAL AUSTRALIA BANK LTD | 1,885,000.00 | 0.10 | $1,973,906.03 | 3.38 | 07/08/2014 | NAB |
| NATIONAL CITY CORP | 1,000,000.00 | 0.05 | $1,012,500.00 | 4.00 | 02/01/2011 | PNC CB |
| NATIONAL SEMICONDUCTOR CORP | 1,040,000.00 | 0.06 | $1,166,776.00 | 6.60 | 06/15/2017 | 637640AE3 |
| NATIONAL SEMICONDUCTOR CORP | 2,775,000.00 | 0.14 | $2,815,287.45 | 3.95 | 04/15/2015 | NSM |
| NBC UNIVERSAL INC | 4,845,000.00 | 0.24 | $4,959,947.63 | 3.65 | 04/30/2015 | NBCUNI |
| NEW CINGULAR WIRELESS SERVICES | 3,665,000.00 | 0.20 | $4,102,879.54 | 8.12 | 05/01/2012 | T |
| NEW SOUTH WALES TREASURY CORP | 62,300,000.00 | 2.60 | $52,889,630.41 | 7.00 | 12/01/2010 | NSWTC |
| NEWPAGE CORP | 3,425,000.00 | 0.15 | $3,125,312.50 | 11.38 | 12/31/2014 | NEWPAG |
| NEXEN INC | 4,700,000.00 | 0.25 | $5,037,417.70 | 5.05 | 11/20/2013 | 65334HAC6 |
| NIBC BANK NV | 6,655,000.00 | 0.33 | $6,747,444.61 | 2.80 | 12/02/2014 | NIBCAP |
| NII CAPITAL CORP | 3,000,000.00 | 0.15 | $3,045,000.00 | 8.88 | 12/15/2019 | NIHD |
| NORDIC INVESTMENT BANK | 2,115,000.00 | 0.11 | $2,145,022.43 | 2.50 | 07/15/2015 | NIB |
| NRG ENERGY INC | 2,785,000.00 | 0.14 | $2,778,037.50 | 7.38 | 02/01/2016 | NRG |
| NUVEEN INVESTMENTS INC | 1,820,000.00 | 0.08 | $1,592,500.00 | 10.50 | 11/15/2015 | NUVINV |
| NXP BV / NXP FUNDING LLC | 815,000.00 | 0.03 | $684,600.00 | 9.50 | 10/15/2015 | NXPBV |
| OESTERREICHISCHE KONTROLLBANK | 4,015,000.00 | 0.20 | $4,040,928.87 | 1.75 | 03/11/2013 | OKB |
| PACIFICORP | 2,845,000.00 | 0.15 | $3,062,941.23 | 6.90 | 11/15/2011 | BRK |
| PAETEC HOLDING CORP | 760,000.00 | 0.04 | $763,800.00 | 8.88 | 06/30/2017 | PAET |
| PAETEC HOLDING CORP | 1,400,000.00 | 0.07 | $1,407,000.00 | 8.88 | 06/30/2017 | PAET |
| PETROHAWK ENERGY CORP | 2,040,000.00 | 0.10 | $2,055,300.00 | 7.88 | 06/01/2015 | HAWK |
| PINNACLE ENTERTAINMENT INC | 895,000.00 | 0.05 | $926,325.00 | 8.62 | 08/01/2017 | PNK |
| PLAINS ALL AMERICAN PIPELINE L | 4,765,000.00 | 0.25 | $4,980,830.68 | 4.25 | 09/01/2012 | PAA |
| PLY GEM INDUSTRIES INC | 1,500,000.00 | 0.08 | $1,575,000.00 | 11.75 | 06/15/2013 | PLYGEM |
| PNC FINANCIAL SERVICES | 7,260,000.00 | 0.37 | $7,525,164.24 | 0.08 | 05/29/2049 | PNC PFD |
| PNC FUNDING CORP | 390,000.00 | 0.02 | $401,871.60 | 3.62 | 02/08/2015 | PNC |
| PPL ELECTRIC UTILITIES CORP | 2,455,000.00 | 0.14 | $2,869,774.71 | 7.12 | 11/30/2013 | PPL |
| PRAXAIR INC | 3,150,000.00 | 0.16 | $3,204,999.00 | 2.12 | 06/14/2013 | PX |
| PROVINCE OF BRITISH COLUMBIA C | 2,130,000.00 | 0.11 | $2,202,569.10 | 2.85 | 06/15/2015 | BRCOL |
| PROVINCE OF MANITOBA CANADA | 2,300,000.00 | 0.12 | $2,341,855.40 | 2.62 | 07/15/2015 | MP |
| PROVINCE OF ONTARIO CANADA | 5,890,000.00 | 0.31 | $6,339,895.87 | 4.10 | 06/16/2014 | ONT |
| PROVINCE OF QUEBEC CANADA | 1,885,000.00 | 0.10 | $2,080,678.08 | 4.88 | 05/05/2014 | Q |
| PUBLIC SERVICE ELECTRIC & GAS | 4,935,000.00 | 0.25 | $4,997,408.01 | 2.70 | 05/01/2015 | PEG |
| PUERTO RICO SALES TAX FING | 5,500,000.00 | 0.28 | $5,764,110.00 | 5.00 | 08/01/2039 | PRCGEN |
| QWEST CORP | 580,000.00 | 0.03 | $636,550.00 | 8.38 | 05/01/2016 | QUS |
| QWEST CORP | 4,230,000.00 | 0.23 | $4,642,425.00 | 8.38 | 05/01/2016 | QUS |
| RABOBANK NEDERLAND NV | 5,495,000.00 | 0.33 | $6,805,414.63 | 11.00 | 12/29/2049 | RABOBK |
| RAMC 2006-4 AF2 | 35,000.00 | 0.00 | $30,131.05 | 5.28 | 01/25/2037 | RAMC |
| RANGE RESOURCES CORP | 845,000.00 | 0.04 | $886,193.75 | 8.00 | 05/15/2019 | RRC |
| REGIONS FINANCIAL CORP | 910,000.00 | 0.04 | $905,205.21 | 5.75 | 06/15/2015 | RF |
| REGIONS FINANCIAL CORP | 3,835,000.00 | 0.20 | $4,049,403.35 | 7.75 | 11/10/2014 | RF |
| REHABCARE GROUP TERM B | 4,364,062.50 | 0.21 | $4,348,242.77 | 6.00 | 11/03/2015 | RHB |
| RENTAL SERVICES CORP 2ND LIEN | 4,986,173.55 | 0.22 | $4,566,487.32 | 3.82 | 10/07/2013 | LN302040 |
| ROGERS WIRELESS INC | 660,000.00 | 0.04 | $788,399.04 | 7.50 | 03/15/2015 | 77531QAM0 |
| ROGERS WIRELESS INC | 1,850,000.00 | 0.10 | $1,974,858.35 | 9.62 | 05/01/2011 | RCICN |
| RR DONNELLEY 5YR CDS 06/20/214 | 1,050,000.00 | -0.01 | -$106,818.77 | 5.00 | 06/20/2014 | SPK604UP |
| RSC EQUIPMENT RENTAL INC/RSC H | 2,900,000.00 | 0.14 | $2,943,500.00 | 10.25 | 11/15/2019 | RRR |
| RYLAND GROUP INC | 1,025,000.00 | 0.05 | $1,091,625.00 | 8.40 | 05/15/2017 | RYL |
| SECURITIZED NET CASH - ACR1 | 11,086,197.76 | 0.55 | $11,086,197.76 | 0.00 | N/A | SECCASHAC |
| SELECT MEDICAL CORP | 775,000.00 | 0.04 | $732,375.00 | 7.62 | 02/01/2015 | SELMED |
| SHELL INTERNATIONAL FINANCE BV | 2,865,000.00 | 0.14 | $2,912,676.47 | 3.10 | 06/28/2015 | RDSALN |
| SILICON VALLEY BANK | 1,795,000.00 | 0.09 | $1,872,299.88 | 5.70 | 06/01/2012 | SIVB |
| SPRINT NEXTEL CORP | 4,925,000.00 | 0.22 | $4,444,812.50 | 6.00 | 12/01/2016 | 852061AD2 |
| STEEL DYNAMICS INC | 425,000.00 | 0.02 | $428,718.75 | 6.75 | 04/01/2015 | STLD |
| SUNOCO, INC 5-YR CDS 03/20/201 | 1,940,000.00 | 0.01 | $189,106.58 | 1.00 | 03/20/2015 | /SUN |
| SUPERVALU INC | 635,000.00 | 0.03 | $631,825.00 | 8.00 | 05/01/2016 | SVU |
| SUPERVALU INC | 2,020,000.00 | 0.10 | $2,030,100.00 | 7.50 | 11/15/2014 | 868536AS2 |
| SVB FINANCIAL GROUP | 3,300,000.00 | 0.17 | $3,357,750.00 | 3.88 | 04/15/2011 | SIVB CB |
| SVENSK EXPORTKREDIT AB | 18,034,000.00 | 0.92 | $18,727,371.23 | 3.25 | 09/16/2014 | SEK |
| TECK RESOURCES LTD | 470,000.00 | 0.03 | $555,226.98 | 10.25 | 05/15/2016 | TCKCN |
| TECK RESOURCES LTD | 1,365,000.00 | 0.08 | $1,675,052.93 | 10.75 | 05/15/2019 | TCKCN |
| TECK RESOURCES LTD | 1,490,000.00 | 0.09 | $1,762,352.63 | 9.75 | 05/15/2014 | TCKCN |
| TELECOM ITALIA CAPITAL | 10,000.00 | 0.00 | $10,029.53 | 4.95 | 09/30/2014 | 87927VAL2 |
| TELECOM ITALIA CAPITAL | 2,006,000.00 | 0.10 | $2,079,219.00 | 6.20 | 07/18/2011 | 87927VAS7 |
| TELECOM ITALIA CAPITAL SA | 1,700,000.00 | 0.09 | $1,757,267.90 | 5.25 | 11/15/2013 | TITIM |
| TELESAT CANADA / TELESAT LLC | 750,000.00 | 0.04 | $813,750.00 | 11.00 | 11/01/2015 | TELSAT |
| TEVA PHARMACEUTICAL FINANCE II | 3,970,000.00 | 0.20 | $4,052,417.20 | 3.00 | 06/15/2015 | TEVA |
| THERMO FISHER SCIENTIFIC INC | 4,815,000.00 | 0.24 | $4,973,678.33 | 3.20 | 05/01/2015 | TMO |
| TIME WARNER CABLE INC | 1,510,000.00 | 0.09 | $1,786,310.37 | 8.25 | 02/14/2014 | TWC |
| TIME WARNER CABLE INC | 2,705,000.00 | 0.15 | $3,145,533.60 | 7.50 | 04/01/2014 | TWC |
| TRANS-CANADA PIPELINES | 3,720,000.00 | 0.19 | $3,957,503.40 | 4.00 | 06/15/2013 | TRP |
| TRANSCANADA PIPELINES LTD | 985,000.00 | 0.05 | $1,022,879.16 | 3.40 | 06/01/2015 | TRP |
| TRANSOCEAN INC | 8,500,000.00 | 0.35 | $7,076,250.00 | 1.50 | 12/15/2037 | 893830AW9 |
| TREASURY BILL | 29,171,505.83 | 1.44 | $29,170,484.83 | 0.05 | 07/15/2010 | B |
| TREASURY BILL | 44,643,212.69 | 2.20 | $44,643,212.69 | 0.01 | 07/01/2010 | B |
| US BANCORP | 2,135,000.00 | 0.11 | $2,188,550.07 | 3.15 | 03/04/2015 | USB |
| US TREASURY N/B | 1,275,000.00 | 0.07 | $1,334,564.18 | 3.50 | 05/15/2020 | WIT |
| US TREASURY N/B | 108,345,000.00 | 5.35 | $108,793,114.92 | 1.12 | 06/15/2013 | WIT |
| US TREASURY N/B | 120,305,000.00 | 5.94 | $120,784,415.43 | 1.88 | 06/30/2015 | T |
| USAOT 2008-1 A3 | 324,060.18 | 0.02 | $326,432.14 | 4.16 | 04/16/2012 | USAOT |
| USB CAPITAL IX | 8,025,000.00 | 0.29 | $5,868,682.50 | 6.19 | 04/15/2049 | USB |
| USB REALTY CORP | 4,200,000.00 | 0.14 | $2,940,000.00 | 6.09 | 12/22/2049 | USB |
| USG CORP | 315,000.00 | 0.02 | $329,175.00 | 9.75 | 08/01/2014 | USG |
| VALERO ENERGY CORPORATION 5-YR | 1,940,000.00 | -0.01 | -$108,566.09 | 1.00 | 03/20/2015 | /VLO |
| VIACOM INC 5-YR CDS 09/20/2015 | 6,715,000.00 | -0.00 | -$21,290.71 | 1.00 | 09/20/2015 | /VIA |
| VIDEOTRON LTEE | 1,865,000.00 | 0.10 | $2,032,850.00 | 9.12 | 04/15/2018 | QBRCN |
| VIVENDI | 5,535,000.00 | 0.29 | $5,941,473.80 | 5.75 | 04/04/2013 | VIVFP |
| VWALT 2009-A A2 | 1,364,308.34 | 0.07 | $1,370,087.96 | 2.87 | 07/15/2011 | VWALT |
| WACHOVIA CORP | 567,000.00 | 0.03 | $600,995.05 | 5.25 | 08/01/2014 | 929903AJ1 |
| WAL-MART STORES INC | 6,940,000.00 | 0.34 | $6,918,833.00 | 2.25 | 07/08/2015 | WMT |
| WEATHERFORD INTERNATIONAL INC | 2,000,000.00 | 0.10 | $2,114,826.00 | 6.62 | 11/15/2011 | WFT |
| WEATHERFORD INTERNATIONAL LTD | 2,405,000.00 | 0.12 | $2,521,077.33 | 5.15 | 03/15/2013 | WFT |
| WELLS FARGO BANK NA | 1,575,000.00 | 0.07 | $1,448,229.83 | 0.65 | 05/16/2016 | WFC |
| WELLS FARGO CAPITAL XIII | 4,910,000.00 | 0.25 | $4,983,650.00 | 7.70 | 12/29/2049 | WFC |
| WESTPAC SECURITIES NZ LTD | 3,690,000.00 | 0.19 | $3,776,168.88 | 2.50 | 05/25/2012 | WSTP |
| WFMBS 2004-EE 3A1 | 42,677.80 | 0.00 | $43,514.15 | 3.15 | 12/25/2034 | WFMBS |
| WFMBS 2005-AR16 2A1 | 24,633.50 | 0.00 | $22,822.69 | 3.00 | 10/25/2035 | WFMBS |
| WFMBS 2006-7 2A1 | 16,165.07 | 0.00 | $14,414.97 | 6.00 | 06/25/2036 | WFMBS |
| WFMBS 2006-AR5 2A1 | 383,721.79 | 0.01 | $303,860.84 | 5.47 | 04/25/2036 | WFMBS |
| WIND ACQUISITION FINANCE SA | 4,330,000.00 | 0.22 | $4,459,900.00 | 11.75 | 07/15/2017 | WINDIM |
| WINDSTREAM CORP | 1,620,000.00 | 0.08 | $1,589,625.00 | 7.88 | 11/01/2017 | WIN |
| WINDSTREAM CORP | 1,630,000.00 | 0.08 | $1,693,162.50 | 8.12 | 08/01/2013 | WIN |
| WOART 2007-B A3B | 267,672.12 | 0.01 | $267,729.11 | 0.74 | 01/17/2012 | WOART |
| WOART 2008-A A3A | 188,529.97 | 0.01 | $191,406.13 | 3.94 | 10/15/2012 | WOART |
| WOODSIDE FINANCE LTD | 4,385,000.00 | 0.25 | $4,998,505.35 | 8.12 | 03/01/2014 | WPLAU |
| YALE UNIVERSITY | 3,310,000.00 | 0.17 | $3,436,938.50 | 2.90 | 10/15/2014 | YALUNI |