Delaware Limited-Term Diversified Income Fund

Holdings as of 12/31/2009 (all share classes)

Portfolio holdings are as of the date noted above and are subject to change at any time. Holdings may not be representative of current or future investments and may not include the entire investment portfolio. Holdings information is made available to the public 30 calendar days after the most recent quarter-end.

Holdings data is for informational purposes only, and is not intended as a recommendation, offer, or solicitation for the purchase or sale of any specific security. By accessing the portfolio holdings, you agree not to reproduce, distribute or disseminate the portfolio holdings, in whole or part. In no event shall the Delaware Family of Funds or its affiliates have any liability relating to the use of the portfolio holdings.

Unlike the Fund's regulatory filings, the portfolio data and its presentation in this document is not required to conform to Generally Accepted Accounting Principles (GAAP) and Securities and Exchange Commission (SEC) presentation requirements. Therefore, it may differ from that provided in the complete portfolio of investments in the annual and semiannual report to shareholders filed with the SEC on Form N-CSR, and the complete portfolio of investments filed in the first and third quarter on Form N-Q.

SEC description # Holdings Portfolio % Market value Income rate Maturity date Nasdaq symbol
ACHMEA HYPOTHEEKBANK NV 6,090,000.000.45$6,084,957.483.2011/03/2014ACHMEA
AES CORP/THE 1,000,000.000.08$1,030,000.008.7505/15/2013AES
AES CORP/THE 1,600,000.000.12$1,636,000.008.0006/01/2020AES
AHM 2005-2 5A1 23,037.960.00$18,512.775.0609/25/2035AHM
AHMAT 2009-ADV3 A1 1,430,000.000.11$1,435,434.002.1910/06/2021AHMAT
ALGOMA ACQUISITION CORP 250,000.000.02$214,062.509.8806/15/2015AGACN
ALLIED WASTE NORTH AMER 1,430,000.000.11$1,487,300.106.5011/15/201001958XBA4
ALLIED WASTE NORTH AMERICA INC 2,731,000.000.21$2,912,237.357.1205/15/2016AW
ALLIED WASTE NORTH AMERICA INC 3,571,000.000.27$3,735,715.957.2503/15/2015AW
AMEREN CORP 7,185,000.000.59$8,077,729.078.8805/15/2014AEE
AMERICAN TOWER CORP 7,003,000.000.52$7,091,391.874.6204/01/2015AMT
AMGEN INC 1,125,000.000.08$1,137,656.250.3802/01/2013AMGN CB1
ANADARKO FINANCE CO 1,800,000.000.14$1,902,724.206.7505/01/2011032479AC1
ANHEUSER-BUSCH INBEV WORLDWIDE 4,275,000.000.36$4,852,826.107.2001/15/2014ABIBB
ANIXTER INTERNATIONAL INC 650,000.000.05$721,500.0010.0003/15/2014AXE
ANTHEM 7,135,000.000.58$7,876,875.906.8008/01/201203674BAC8
ANZ NATIONAL INT'L LTD/LONDON 4,290,000.000.32$4,421,364.093.2504/02/2012ANZ
ARAMARK CORP 1,315,000.000.10$1,361,025.008.5002/01/2015RMK
ARCELORMITTAL 1,110,000.000.10$1,312,389.639.0002/15/2015MTNA
ARCELORMITTAL 1,770,000.000.14$1,869,245.675.3806/01/2013MTNA
AT&T INC 960,000.000.08$1,084,048.326.7011/15/2013T
AUSTRALIAN DOLLAR 1,020,197.870.07$916,392.670.00N/AAUD
BAAT 2009-3A A4 3,025,000.000.22$3,002,804.672.6712/15/2016BAAT
BACCT 2006-A15 A15 2,390,000.000.17$2,349,810.480.2304/15/2014BACCT
BACCT 2008-A5 A5 4,570,000.000.34$4,591,051.711.4312/16/2013BACCT
BACM 2004-2 A3 2,399,285.130.18$2,406,606.794.0511/10/2038BACM
BACM 2004-5 A3 1,735,000.000.13$1,746,079.364.5611/10/2041BACM
BACM 2005-1 A5 805,000.000.06$798,552.675.0811/10/2042BACM
BACM 2007-4 AM 780,000.000.04$562,983.255.8102/10/2051BACM
BAE SYSTEMS HOLDINGS INC 6,195,000.000.47$6,456,868.854.9506/01/2014BALN
BAFC 2006-H 1A2 52,475.900.00$7,585.443.9509/20/2046BAFC
BALL CORP 614,000.000.05$632,420.007.1209/01/2016BLL
BALL CORP 921,000.000.07$950,932.507.3809/01/2019BLL
BANK OF AMERICA 16,000.000.00$16,606.385.1211/15/2014060505AU8
BANK OF AMERICA 1,180,000.000.09$1,218,453.844.3812/01/2010060505BF0
BANK OF AMERICA CORP 5,780,000.000.48$6,564,837.307.3805/15/2014BAC
BANK OF AMERICA NA 1,435,000.000.11$1,488,816.814.9005/01/2013BAC
BANK OF AMERICA NA 1,750,000.000.11$1,489,617.500.5506/15/2017BAC
BANK OF NEW YORK MELLON CORP/T 1,450,000.000.11$1,509,484.804.9501/14/2011BK
BARCLAYS BANK PLC 1,355,000.000.10$1,385,197.532.7003/05/2012BACR
BARCLAYS BANK PLC 6,530,000.000.51$6,928,813.225.2007/10/2014BACR
BAUSCH & LOMB INC TERM B 815,308.720.06$776,834.303.5304/11/2015LN362704
BAUSCH & LOMB INC TERM DD 197,991.090.01$188,647.893.5204/11/2015LN362708
BB&T CORP 1,895,000.000.15$2,013,441.296.5008/01/2011BBT
BB&T CORP 3,705,000.000.29$4,014,323.045.7004/30/2014BBT
BE AEROSPACE TERM LOAN 600,771.710.04$605,529.825.7507/28/2014LN402274
BELO CORP 3,045,000.000.23$3,143,962.508.0011/15/2016BLC
BIOMET COV-LITE TERM T1 742,405.040.05$714,152.823.2803/25/2015LN340273
BOAA 2004-10 1CB1 158,979.870.01$128,624.656.0011/25/2034BOAA
BOAA 2005-3 2A1 220,811.950.01$197,074.675.5004/25/2020BOAA
BOAA 2005-5 2CB1 18,636.730.00$12,469.146.0006/25/2035BOAA
BOAA 2005-6 7A1 182,654.850.01$167,585.825.5007/25/2020BOAA
BRAZILIAN GOVERNMENT INTERNATI 1,606,000.000.08$1,045,788.8712.5001/05/2016BRAZIL
BSCMS 2005-PW10 A1 1,174,902.380.09$1,189,150.425.0812/11/2040BSCMS
BSCMS 2005-PW10 A4 835,000.000.06$818,297.335.4012/11/2040BSCMS
BSCMS 2005-PWR9 A4A 4,750,000.000.33$4,553,750.434.8709/11/2042BSCMS
BSCMS 2005-T20 A4A 4,670,000.000.34$4,583,138.005.1510/12/204207387BCL5
BSCMS 2006-PW12 A4 335,000.000.02$340,170.965.7209/11/2038BSCMS
BSCMS 2007-PW15 A4 1,475,000.000.09$1,272,886.655.3302/11/2044BSCMS
CABMT 2008-1A A1 470,000.000.04$480,553.474.3112/16/2013CABMT
CALPINE CONSTRUCTION FINANCE C 1,665,000.000.13$1,723,275.008.0006/01/2016CPN
CALPINE TERM 939,788.350.07$892,897.613.1603/29/2014LN376530
CAPITAL ONE FINANCIAL CORP 3,080,000.000.26$3,490,579.407.3805/23/2014COF
CARAT 2007-3 A3A 1,265,618.390.09$1,283,655.605.0209/15/2011CARAT
CARAT 2007-SN2 A4 1,645,000.000.12$1,649,112.501.2605/16/2011CARAT
CAREFUSION CORP 7,355,000.000.57$7,739,548.825.1208/01/2014CAH
CASH 97,939,494.987.18$97,939,494.980.0012/15/2038US-CASH
CCCIT 2006-A4 A4 1,800,000.000.14$1,894,511.525.4505/10/2013CCCIT
CCCIT 2007-A6 A6 1,150,000.000.08$1,147,932.070.2707/12/2012CCCIT
CCCIT 2007-A7 A7 1,250,000.000.09$1,236,349.630.5808/20/2014CCCIT
CCCIT 2009-A1 A1 2,055,000.000.15$2,098,137.741.9803/17/2014CCCIT
CCI 2005-1A AFL 630,000.000.05$617,400.000.6106/15/2035CCI
CCI 2006-1A B 900,000.000.07$922,500.005.3611/15/2036CCI
CDP FINANCIAL INC 6,350,000.000.45$6,203,365.803.0011/25/2014CADEPO
CELLCO PARTNERSHIP / VERIZON W 1,020,000.000.09$1,172,638.927.3811/15/2013VZW
CFAT 2007-A A3A 2,572,742.350.19$2,618,792.895.3406/25/2012CFAT
CFAT 2008-A A3 1,700,000.000.13$1,739,839.334.9404/25/2014CFAT
CHAIT 2005-A10 A10 2,605,000.000.20$2,684,791.414.6512/17/2012CHAIT
CHAIT 2005-A2 A2 6,600,000.000.48$6,522,595.860.3012/15/2014CHAIT
CHAIT 2005-A6 A6 5,775,000.000.42$5,696,327.750.3007/15/2014CHAIT
CHAIT 2005-A7 A7 725,000.000.06$751,413.494.5503/15/2013CHAIT
CHAIT 2008-A9 A9 1,545,000.000.12$1,606,235.464.2605/15/2013CHAIT
CHAIT 2009-A2 A2 10,000,000.000.75$10,230,333.001.7804/15/2014CHAIT
CHESAPEAKE ENERGY CORP 3,800,000.000.31$4,189,500.009.5002/15/2015CHK
CINCINNATI BELL INC 760,000.000.06$754,300.007.0002/15/2015CBB
CITIGROUP INC 3,840,000.000.30$4,024,116.486.3808/12/2014C
CITIGROUP INC 5,700,000.000.45$6,076,496.406.5008/19/2013C
CITIZENS COMMUNICATIONS CO 1,885,000.000.13$1,790,750.007.1203/15/2019CZN
CLEAN HARBORS INC 1,715,000.000.13$1,747,156.257.6208/15/2016CLH
CLEARWIRE CORP 3,000,000.000.22$3,060,000.0012.0012/01/2015CLWR
CMLTI 2007-AR8 1A3A 223,156.070.01$159,256.115.8208/25/2037CMLTI
CMSI 2006-4 3A1 646,968.940.05$619,472.765.5008/25/2021CMSI
CNH 2007-A A4 325,914.210.02$324,252.310.2709/17/2012CNH
CNH 2007-B A3B 370,480.600.03$370,508.310.8310/17/2011CNH
CNH 2007-C A3A 334,615.720.02$337,093.985.2112/15/2011CNH
CNH 2008-A A3 250,250.770.02$253,584.414.1205/15/2012CNH
CNH 2008-A A4A 570,000.000.04$590,416.434.9308/15/2014CNH
CNH 2008-B A3A 335,940.990.03$341,491.144.7807/16/2012CNH
CNH 2009-C A3 675,000.000.05$672,366.491.8512/16/2013CNH
COMCAST 1,570,000.000.12$1,643,438.325.5003/15/201120030NAD3
COMCAST 2,205,000.000.17$2,267,593.344.9506/15/201620030NAG6
COMCAST CORP 1,910,000.000.14$1,974,365.095.4511/15/201020030NAH4
COMCAST CORP 4,520,000.000.37$5,069,482.846.5001/15/2015CMCSA
COMET 2006-A11 A11 10,000,000.000.68$9,316,687.000.3206/17/2019COMET
COMET 2007-A1 A1 1,500,000.000.10$1,384,678.200.2811/15/2019COMET
COMM 2005-C6 A5A 7,805,000.000.56$7,578,262.415.1206/10/2044COMM
COMMUNITY HEALTH SYSTEM DD 54,335.650.00$51,135.012.5107/25/2014LN341144
COMMUNITY HEALTH SYSTEM TERM B 1,063,072.050.07$1,009,418.802.5007/25/2014LN341140
COMMUNITY HEALTH SYSTEMS INC 2,375,000.000.18$2,464,062.508.8807/15/2015CYH
CORRECTIONS CORP OF AMERICA 610,000.000.05$631,350.007.7506/01/2017CXW
COX COMMUNICATIONS INC 825,000.000.06$874,477.735.8812/01/2016COXENT
COX COMMUNICATIONS INC 6,750,000.000.53$7,239,469.505.4512/15/2014224044BM8
CRICKET COMMUNICATIONS INC 1,000,000.000.07$1,010,000.009.3811/01/2014LEAP
CRICKET COMMUNICATIONS INC 1,350,000.000.10$1,353,375.007.7505/15/2016LEAP
CROWN CASTLE INTERNATIONAL COR 1,900,000.000.15$2,033,000.009.0001/15/2015CCI
CSC HOLDINGS 231,000.000.02$239,662.506.7504/15/2012126304AR5
CSC HOLDINGS INC 95,000.000.01$101,650.008.5006/15/2015CVC
CSMC 2006-C1 AAB 180,000.000.01$180,481.305.5502/15/2039CSMC
CSX CORP 720,000.000.06$764,916.486.7503/15/2011126408AP8
CSX CORP 2,400,000.000.19$2,646,453.606.2504/01/2015CSX
CWHL 2006-17 A5 38,304.080.00$34,018.816.0012/25/2036CWHL
CXHE 2005-D AF4 336,597.490.02$333,281.305.2710/25/2035CXHE
DCENT 2008-A4 A4 500,000.000.04$543,574.455.6512/15/2015DCENT
DCMT 2003-3 A 2,300,000.000.17$2,299,057.460.4309/15/2012DCMT
DCMT 2005-4 A2 9,000,000.000.64$8,760,356.100.3206/16/2015DCMT
DELHAIZE GROUP 5,075,000.000.40$5,455,559.035.8802/01/2014DELH
DEUTSCHE TELEKOM INT FIN 2,595,000.000.20$2,682,036.308.5006/15/201025156PAB9
DEUTSCHE TELEKOM INTERNATIONAL 15,000.000.00$15,935.525.2507/22/2013DT
DIGICEL GROUP 144A 2,000,000.000.15$1,980,000.009.1201/15/201525380WAB2
DIGICEL GROUP LTD 3,000,000.000.22$2,940,000.008.2509/01/2017DLLTD
DIRECTV HOLDINGS LLC / DIRECTV 1,625,000.000.12$1,660,483.504.7510/01/2014DTV
DIRECTV HOLDINGS LLC/DIRECTV F 9,205,000.000.74$10,069,303.487.6205/15/2016DTV
DISH DBS CORP 415,000.000.03$437,306.257.8809/01/2019DISH
DISH DBS CORP 1,910,000.000.14$1,960,137.507.1202/01/2016DISH
DOW CHEMICAL CO/THE 4,940,000.000.41$5,626,472.287.6005/15/2014DOW
DUKE ENERGY CORP 3,000,000.000.24$3,301,836.006.3002/01/2014DUK
DUNKN 2006-1 A2 925,000.000.07$892,148.635.7806/20/2031DUNKN
EFH3 1 A 59,878.690.00$59,933.081.0110/25/2017EFH3
EKSPORTFINANS ASA 5,720,000.000.41$5,638,776.003.0011/17/2014EXPT
EL PASO CORP 750,000.000.06$804,375.008.2502/15/2016EP
EL PASO CORP 1,165,000.000.08$1,156,842.677.2506/01/2018EP
EL PASO CORP 1,535,000.000.11$1,530,075.727.0006/15/2017EP
ENEL FINANCE INTERNATIONAL SA 485,000.000.04$491,435.953.8810/07/2014ENEL
ENERGY FUTURE HOLDINGS TERM B2 1,040,772.520.06$847,906.973.7410/10/2014LN363469
ENERGY TRANSFER PARTNERS LP 3,175,000.000.25$3,376,574.405.6508/01/2012ETP
ENTERPRISE PRODUCTS 1,455,000.000.11$1,474,968.424.9506/01/2010293791AU3
ENTERPRISE PRODUCTS OPER LP 1,395,000.000.11$1,435,357.355.0003/01/2015293791AR0
ENTERPRISE PRODUCTS OPERATING 855,000.000.07$906,168.337.5002/01/2011EPD
ENTERPRISE PRODUCTS OPERATING 973,000.000.08$1,053,599.436.3802/01/2013EPD
ENTERPRISE PRODUCTS OPERATING 1,180,000.000.08$1,151,924.268.3808/01/2066EPD
ENTERPRISE PRODUCTS OPERATING 4,450,000.000.39$5,315,542.809.7501/31/2014EPD
ESSAR STEEL ALGOMA INC 2,750,000.000.20$2,725,937.509.3803/15/2015ALGCN
EUROPEAN INVESTMENT BANK 1,000,000.000.04$593,537.0111.2502/14/2013EIB
EUROPEAN INVESTMENT BANK 12,230,000.000.88$12,040,899.742.3803/14/2014EIB
EVRAZ GROUP SA 180,000.000.01$180,000.009.5004/24/2018EVRAZ
EXPORT DEVELOPMENT CANADA 1,410,000.000.10$1,429,665.273.1204/24/2014EDC
EXPORT-IMPORT BANK OF KOREA 3,835,000.000.30$4,124,354.595.8801/14/2015EIBKOR
FEDERAL HOME LOAN BANKS 9,980,000.000.73$9,978,463.080.0009/02/2011FHLB
FEDERAL HOME LOAN MORTGAGE COR 10,140,000.000.75$10,166,992.682.0503/09/2011FHLMC
FGCI B50262 6,652.620.00$6,844.666.5006/01/2011FG
FGCI E01386 5,479.590.00$5,776.195.0006/01/2018FG
FGCI G10411 1,755.280.00$1,820.426.0010/01/2010FG
FGCI G10508 7,593.060.00$7,854.857.5004/01/2011FG
FGCI G11510 76,157.450.01$83,040.138.0007/01/2016FG
FGCI G11681 798,575.030.06$840,598.525.0004/01/2020FG
FGG9 G90020 3,675.270.00$3,859.926.5006/17/2014FG
FGLMC A10635 164,418.250.01$190,401.839.0009/01/2030FG
FGLMC A45798 261,604.450.02$300,043.208.0005/01/2031FG
FGLMC G01639 1,940.680.00$2,136.597.0011/01/2033FG
FGLMC G08112 15,802,819.791.23$16,800,372.796.0002/01/2036FG
FGP6 P60087 955,636.610.07$1,022,531.176.5003/01/2016FG
FGP6 P60101 208,623.360.02$218,393.196.0001/01/2017FG
FGSB M80807 32,120.600.00$32,355.434.5003/01/2010FG
FGSB M80812 580,245.790.04$584,487.854.5004/01/2010FG
FGSB M80813 349,956.880.03$352,712.274.0004/01/2010FG
FGSB M80817 197,406.730.01$199,223.684.0005/01/2010FG
FGSB M80873 441,992.390.03$458,811.574.5012/01/2010FG
FGSB M80925 112,124.460.01$113,960.415.0006/01/2011FG
FGSB M80946 205,626.880.02$212,517.115.0011/01/2011FG
FHARM 1B1980 59,029.910.00$61,060.265.9504/01/2034FH
FHARM 1G1067 261,160.600.02$275,592.235.6807/01/2036FH
FHARM 1G2249 11,142,293.490.87$11,863,930.816.0810/01/2037FH
FHARM 1H1348 59,309.490.00$62,629.905.8210/01/2036FH
FHARM 1J1195 11,826,746.490.91$12,417,041.885.0307/01/2038FH
FHARM 1K0121 4,923,560.550.38$5,213,345.085.7206/01/2037FH
FHARM 847295 166,522.510.01$172,061.683.3304/01/2033FH
FHARM 847727 43,781.270.00$46,707.426.3402/01/2037FH
FHASI 2007-AR3 2A2 396,286.220.02$268,310.386.2811/25/2037FHASI
FHLB DN 1/4/10 14,925,000.001.09$14,924,998.770.0001/04/20100104PFDIS
FHLMC 170128 7,499.900.00$8,595.3611.5006/01/2015FH
FHLMC 170129 4,828.570.00$5,529.9911.5006/01/2015FH
FHLMC 170139 2,410.700.00$2,786.9611.5008/01/2015FH
FHLMC 543567 29,174.290.00$33,700.5511.0011/01/2019FH
FHLMC 546130 3,801.330.00$4,096.9111.0005/01/2020FH
FHLMC 555085 40,568.050.00$46,457.9711.5003/01/2016FH
FHLMC 555089 71,329.190.01$81,739.2111.5002/01/2016FH
FHR 2644 AW 228,893.560.02$230,577.674.0001/15/2026FHR
FHR 2694 QG 165,000.000.01$172,113.694.5001/15/2029FHR
FHR 2706 UG 2,515,000.000.19$2,619,555.594.5008/15/2016FHR
FHR 2780 SL 886,871.470.07$893,506.076.0004/15/2034FHR
FHR 2890 PC 355,000.000.03$371,880.505.0007/15/2030FHR
FHR 3094 US 539,847.050.04$482,340.546.7509/15/2034FHR
FHR 3337 PB 75,000.000.01$78,818.665.5007/15/2030FHR
FHR 3416 GK 13,126.590.00$13,556.064.0007/15/2022FHR
FIH ERHVERVSBANK A/S 5,480,000.000.39$5,380,198.241.7512/06/2012FINDAN
FIRST DATA CORP 2,500,000.000.17$2,343,750.009.8809/24/2015FDC
FLEXTRONICS TERM B 942,784.830.07$893,684.602.5410/01/2012LN362291
FNA 2006-M2 A2F 1,315,000.000.10$1,379,408.575.2605/25/2020FNA
FNARM 725463 288,510.030.02$298,774.033.1912/01/2033FN
FNARM 725803 366,317.250.03$376,461.713.4208/01/2034FN
FNARM 735982 1,812,999.460.14$1,887,137.184.8011/01/2035FN
FNARM 745545 32,842.860.00$34,420.555.3704/01/2036FN
FNARM 784074 261,754.740.02$270,579.093.8706/01/2034FN
FNARM 830970 466,056.340.04$491,347.875.0108/01/2035FN
FNARM 847965 285,516.960.02$300,121.985.1411/01/2035FN
FNARM 868367 333,275.570.03$352,548.106.3004/01/2036FN
FNARM 868568 3,060,496.840.24$3,254,613.755.8704/01/2036FN
FNARM 872895 1,203,633.770.09$1,267,399.766.1406/01/2036FN
FNARM 886163 926,144.580.07$977,798.166.3307/01/2036FN
FNARM 886344 1,108,724.310.09$1,168,765.396.1607/01/2036FN
FNARM 886530 582,496.410.05$616,885.086.3208/01/2036FN
FNARM 889354 64,237.620.00$67,667.845.1503/01/2038FN
FNARM 965184 5,893,329.450.45$6,199,210.345.1309/01/2038FN
FNARM AC2545 3,266,729.630.25$3,364,742.634.3209/01/2039FN
FNARM AC4004 9,707,288.310.73$10,013,467.834.5511/01/2039FN
FNARM AC6103 6,759,691.310.51$6,954,250.104.4410/01/2039FN
FNCI 190341 784,633.930.06$826,659.395.0009/01/2018FN
FNCI 303837 1,530.360.00$1,565.637.5004/01/2011FN
FNCI 527268 1,549.700.00$1,670.047.0011/01/2014FN
FNCI 535515 15,101.620.00$15,821.318.0010/01/2014FN
FNCI 725446 4,806,896.110.38$5,151,504.416.0003/01/2018FN
FNCI 735569 308,052.980.02$336,651.608.0010/01/2016FN
FNCI 738211 8,670.770.00$9,135.185.0010/01/2018FN
FNCI 761266 13,769.090.00$14,489.365.0002/01/2019FN
FNCI 831428 5,734.260.00$6,084.405.5004/01/2021FN
FNCI 888104 96,783.170.01$101,845.965.0005/01/2021FN
FNCI 888594 181,546.000.01$194,220.716.0008/01/2022FN
FNCI 889901 7,720,877.700.59$8,047,479.324.5009/01/2020FN
FNCI 960472 64,498.260.01$68,345.875.5001/01/2023FN
FNCI JAN TBA 17,000,000.001.28$17,483,446.004.5001/01/2023FNCI
FNCI JAN TBA 19,000,000.001.46$19,855,000.005.0001/01/2023FNCI
FNCI JAN TBA 23,800,000.001.75$23,937,587.804.0001/01/2024FNCI
FNCL 16979 18,851.450.00$21,441.1911.0009/01/2015FN
FNCL 18053 45,608.040.00$51,873.5111.0009/01/2015FN
FNCL 18176 4,741.940.00$5,393.3711.0009/01/2015FN
FNCL 18502 9,723.150.00$11,058.8811.0009/01/2015FN
FNCL 211073 1,885.230.00$2,158.078.0007/01/2023FN
FNCL 255071 6,976.570.00$7,525.976.5001/01/2034FN
FNCL 255364 1,845.700.00$1,968.556.0009/01/2034FN
FNCL 257062 435,677.180.03$447,612.955.0001/01/2038FN
FNCL 27233 6,629.310.00$7,321.849.2506/01/2016FN
FNCL 303875 71.890.00$74.868.0009/01/2011FN
FNCL 31289 32,908.800.00$36,346.629.2508/01/2016FN
FNCL 313808 31,396.100.00$33,149.857.5003/01/2014FN
FNCL 500463 5,726.280.00$6,205.866.5006/01/2029FN
FNCL 520035 15,454.570.00$16,718.0911.5011/01/2016FN
FNCL 535996 2,531.170.00$2,856.217.5006/01/2031FN
FNCL 607516 20,710.050.00$23,371.467.5011/01/2031FN
FNCL 636708 1,711.190.00$1,931.057.5004/01/2032FN
FNCL 65106 109,500.120.01$120,756.458.5008/01/2017FN
FNCL 688970 234,483.480.02$260,517.628.0005/01/2024FN
FNCL 694072 5,134.350.00$5,804.437.5005/01/2033FN
FNCL 70834 45,052.710.00$51,241.8911.0008/01/2020FN
FNCL 70986 647.240.00$738.028.0011/01/2021FN
FNCL 725250 29,019.330.00$29,900.495.0003/01/2034FN
FNCL 725380 399,971.410.03$441,169.1910.0002/01/2025FN
FNCL 745885 13,036,453.771.02$13,847,158.246.0010/01/2036FN
FNCL 765242 185,066.570.02$207,217.879.0008/01/2022FN
FNCL 787489 3,950.050.00$4,426.347.5006/01/2034FN
FNCL 798019 4,055.990.00$4,466.847.0012/01/2034FN
FNCL 805567 8,118.070.00$8,658.436.0011/01/2034FN
FNCL 831926 2,455,503.010.19$2,608,204.606.0012/01/2036FN
FNCL 846348 4,315.540.00$4,631.116.5004/01/2036FN
FNCL 851617 48,501.840.00$51,518.056.0004/01/2036FN
FNCL 863606 2,561.270.00$2,810.527.0012/01/2035FN
FNCL 869712 17,355.000.00$18,624.086.5004/01/2036FN
FNCL 872832 47,836.580.00$51,334.636.5006/01/2036FN
FNCL 888366 5,448,121.310.44$5,977,774.047.0004/01/2037FN
FNCL 894049 36,155.040.00$38,798.886.5010/01/2036FN
FNCL 907755 755,440.640.06$802,419.606.0002/01/2037FN
FNCL 936904 12,729.650.00$13,646.586.5008/01/2037FN
FNCL 955230 47,419.940.00$50,835.666.5012/01/2037FN
FNCL 966853 139,429.540.01$152,983.757.0012/01/2037FN
FNCL JAN TBA 33,550,000.002.63$35,929,969.906.5001/01/2040FNCL
FNCN 255175 782,611.690.06$806,694.454.5003/01/2014FN
FNCT 254229 280,168.000.02$304,746.946.5002/01/2022FN
FNCX 254861 629,533.270.05$635,251.764.0008/01/2010FN
FNCX 255389 1,026,547.900.08$1,064,497.225.0008/01/2011FN
FNGG 35454 585.050.00$602.2311.0011/01/2010FN
FNGL 135058 56,702.770.00$63,243.6710.0001/01/2019FN
FNGL 38631 2,294.110.00$2,560.8911.0006/01/2015FN
FNGL 555276 23,264.290.00$25,147.457.5003/01/2025FN
FNGL 6226 5,084.860.00$5,223.9611.0012/01/2015FN
FNGL 6886 911.790.00$936.7311.0008/01/2015FN
FNGL 6893 4,140.390.00$4,334.0311.0008/01/2010FN
FNGN30 458171 73,782.640.01$81,551.3316.0011/15/2012FN
FNGT 2001-T10 A1 341,977.920.03$379,862.647.0012/25/2041FNGT
FNGT 2001-T5 A2 58,021.450.00$63,288.717.0002/19/2030FNGT
FNGT 2002-T1 A2 191,639.790.02$212,869.887.0011/25/2031FNGT
FNGT 2003-T4 2A5 200,583.970.01$175,322.085.4109/26/2033FNGT
FNKI 570556 121,219.380.01$129,482.639.0011/01/2015FN
FNKI 665394 463,032.820.04$492,961.596.0009/01/2012FN
FNKI 735264 209,130.460.02$224,250.386.5008/01/2017FN
FNKL 552213 28,077.890.00$32,524.6610.5006/01/2030FN
FNKL 556029 169,916.460.01$195,879.2710.0010/01/2030FN
FNR 2003-32 PH 90,000.000.01$94,857.085.5003/25/2032FNR
FNR 2003-91 BE 1,310,641.040.10$1,334,822.634.0011/25/2016FNR
FNR 2006-69 PB 9,122,838.530.70$9,584,145.816.0010/25/2032FNR
FNW 2002-W1 2A 187,836.180.02$211,785.297.5002/25/2042FNW
FNW 2004-W9 2A1 240,398.090.02$260,239.956.5002/25/2044FNW
FORD MOTOR COMPANY TERM B 744,260.740.05$689,769.693.2912/15/2013LN303249
FORD MOTOR CREDIT CO LLC 800,000.000.07$928,640.0012.0005/15/2015F
FORD MOTOR CREDIT CO LLC 1,350,000.000.10$1,362,202.657.5008/01/2012F
FORD MOTOR CREDIT CO LLC 1,750,000.000.13$1,798,529.258.0006/01/2014F
FORDF 2009-2 A 895,000.000.07$896,545.401.7809/15/2014FORDF
FORDO 2008-A A3B 1,492,435.800.11$1,495,454.101.0304/15/2012FORDO
FORDO 2008-C A4B 4,700,000.000.35$4,777,933.051.9804/15/2013FORDO
FOREST OIL CORP 1,020,000.000.07$1,012,350.007.2506/15/2019FST
FREEPORT-MCMORAN C & G 1,925,000.000.15$2,110,764.438.3804/01/201735671DAS4
FREESCALE SEMICONDUCTOR INC 1,785,000.000.12$1,646,662.508.8812/15/2014FSL
FSPC T-42 A5 71,602.770.01$80,262.237.5002/25/2042FSPC
FSPC T-54 2A 1,660.250.00$1,795.466.5002/25/2043FSPC
FSPC T-58 2A 1,266,776.610.10$1,372,314.946.5009/25/2043FSPC
FSPC T-60 1A4C 1,849,947.510.14$1,878,274.835.4003/25/2044FSPC
FTI CONSULTING INC 225,000.000.02$228,937.507.7510/01/2016FCN
FTI CONSULTING INC 1,718,000.000.13$1,750,212.507.6206/15/2013FCN
G2GP 9232 8,831.370.00$9,532.329.7512/20/2016G2
G2GP 9272 8,117.710.00$8,892.969.7509/20/2017G2
G2SF 1042 16,407.420.00$18,509.7611.5008/20/2018G2
G2SF 1077 11,546.530.00$13,026.0311.5010/20/2018G2
G2SF 108398 6,374.950.00$6,765.5612.0005/20/2014G2
G2SF 109 9,534.830.00$10,603.8712.0004/20/2014G2
G2SF 110377 4,838.840.00$5,407.4112.0004/20/2014G2
G2SF 119735 15,559.390.00$17,387.6312.0007/20/2014G2
G2SF 119736 28,954.720.00$32,602.6312.0004/20/2015G2
G2SF 126 2,200.720.00$2,459.3112.0005/20/2014G2
G2SF 128545 7,994.780.00$9,002.0212.0002/20/2015G2
G2SF 140232 16,431.900.00$18,264.4511.0010/20/2015G2
G2SF 1419 2,156.520.00$2,377.9010.5006/20/2020G2
G2SF 1507 2,344.090.00$2,683.499.5011/20/2020G2
G2SF 158 3,675.580.00$4,107.4612.0007/20/2014G2
G2SF 1687 24,218.650.00$27,723.809.5009/20/2021G2
G2SF 1705 46,504.650.00$53,184.319.5010/20/2021G2
G2SF 1723 46,478.430.00$53,151.899.5011/20/2021G2
G2SF 177 3,861.460.00$4,273.6212.0008/20/2014G2
G2SF 19 15,353.750.00$17,028.5512.5010/20/2013G2
G2SF 20 3,151.200.00$3,545.7512.5011/20/2013G2
G2SF 269 317.490.00$345.4312.0001/20/2015G2
G2SF 288 2,511.700.00$2,764.1012.0002/20/2015G2
G2SF 321 3,178.560.00$3,547.7712.0004/20/2015G2
G2SF 337 1,844.320.00$2,061.8512.0005/20/2015G2
G2SF 367 599.900.00$666.9912.0007/20/2015G2
G2SF 382 5,528.100.00$6,224.5712.0008/20/2015G2
G2SF 405 41,646.180.00$46,011.8711.0009/20/2015G2
G2SF 407 9,255.580.00$10,421.6612.0009/20/2015G2
G2SF 422 4,410.580.00$4,881.1711.0010/20/2015G2
G2SF 424 14,734.300.00$16,590.6212.0010/20/2015G2
G2SF 480 48.830.00$49.1212.0001/20/2016G2
G2SF 576 9,043.100.00$10,445.1112.0005/20/2016G2
G2SF 65 10,412.510.00$11,704.6812.5001/20/2014G2
G2SF 892 9,310.290.00$10,379.1911.5012/20/2017G2
G2SF 911 13,648.630.00$15,392.2611.5001/20/2018G2
GCCFC 2004-GG1 A7 625,000.000.05$634,376.385.3206/10/2036GCCFC
GCCT 2008-3 A 1,200,000.000.09$1,186,359.371.2307/15/2011GCCT
GECMC 2002-1A A3 500,000.000.04$526,871.806.2712/10/2035GECMC
GEMNT 2009-3 A 1,290,000.000.09$1,291,031.232.5409/15/2014GEMNT
GENERAL ELECTRIC CAPITAL CORP 2,100,000.000.17$2,264,898.306.0006/15/2012GE
GENERAL ELECTRIC CAPITAL CORP 3,535,000.000.24$3,338,941.830.5109/15/2014GE
GEORGIA-PACIFIC LLC 310,000.000.02$330,150.008.2505/01/2016GP
GMAC LLC 1,345,000.000.10$1,338,275.006.8809/15/2011GMAC
GNGP 91781 1,026.970.00$1,060.9811.5004/15/2010GN
GNGP 91947 2,447.980.00$2,515.9311.0007/15/2010GN
GNGP 98703 5,805.290.00$6,589.8912.2501/15/2014GN
GNJO 780192 69.280.00$69.717.5007/15/2010GN
GNJO 780897 1.030.00$1.047.5009/15/2010GN
GNMHB 417755 1,733.480.00$1,777.566.5009/15/2010GN
GNR 2002-28 B 1,637,283.060.12$1,680,481.305.7807/16/2024GNR
GNR 2003-72 C 2,500,000.000.19$2,635,018.504.8602/16/2030GNR
GNR 2003-78 B 5,000,000.000.39$5,259,958.005.1110/16/2027GNR
GNSF 123052 325.510.00$363.1311.0008/15/2015GN
GNSF 131660 10,968.240.00$12,203.179.0005/15/2016GN
GNSF 132928 4,807.460.00$5,363.1411.0011/15/2015GN
GNSF 133332 844.360.00$941.9611.0012/15/2015GN
GNSF 134423 907.580.00$967.7311.0009/15/2015GN
GNSF 134585 589.720.00$657.8811.0008/15/2015GN
GNSF 134820 1,506.830.00$1,623.9211.0010/15/2015GN
GNSF 134872 64.310.00$70.6311.0010/15/2015GN
GNSF 135913 10,369.430.00$11,547.3111.0008/15/2015GN
GNSF 139710 839.310.00$933.819.0008/15/2016GN
GNSF 140244 70.850.00$78.9011.0010/15/2015GN
GNSF 140245 3,063.740.00$3,394.7811.0001/15/2016GN
GNSF 140416 4,895.480.00$5,461.3311.0009/15/2015GN
GNSF 140750 66.970.00$74.7111.0011/15/2015GN
GNSF 140814 25.270.00$28.1911.0010/15/2015GN
GNSF 144022 9,614.550.00$10,653.4111.0002/15/2016GN
GNSF 145894 450.150.00$498.7911.0002/15/2016GN
GNSF 148467 20,863.510.00$23,117.8411.0002/15/2016GN
GNSF 163674 1,644.290.00$1,829.429.0008/15/2016GN
GNSF 167746 4,350.250.00$4,837.289.5009/15/2016GN
GNSF 169502 1,394.800.00$1,545.5111.0009/15/2016GN
GNSF 171881 4,488.130.00$4,993.469.0009/15/2016GN
GNSF 172805 3,123.430.00$3,475.109.0008/15/2016GN
GNSF 183237 750.760.00$835.299.0012/15/2016GN
GNSF 188760 4,783.980.00$5,340.629.0001/15/2017GN
GNSF 206364 9,936.950.00$11,093.169.0002/15/2017GN
GNSF 211238 3,630.020.00$4,103.439.5008/15/2017GN
GNSF 213770 5,744.410.00$6,387.529.5012/15/2016GN
GNSF 248215 9,057.400.00$10,072.5911.0012/15/2017GN
GNSF 261474 5,646.010.00$6,307.7811.0006/15/2019GN
GNSF 264460 6,439.040.00$7,193.7711.0004/15/2019GN
GNSF 270092 8,867.040.00$9,832.0511.0005/15/2019GN
GNSF 274819 2,907.060.00$3,247.8011.0006/15/2019GN
GNSF 276450 8,597.220.00$9,599.5911.0008/15/2019GN
GNSF 277856 15,240.230.00$17,026.5511.0006/15/2019GN
GNSF 38723 440.560.00$454.4211.0009/15/2010GN
GNSF 39049 19.610.00$19.7611.0007/15/2010GN
GNSF 41475 1,382.180.00$1,425.6611.0007/15/2010GN
GNSF 41788 225.450.00$228.1411.0008/15/2010GN
GNSF 41841 910.760.00$939.4111.0009/15/2010GN
GNSF 42026 1,054.980.00$1,088.1711.0008/15/2010GN
GNSF 42444 53.450.00$53.8711.0009/15/2010GN
GNSF 44015 224.000.00$231.0511.0009/15/2010GN
GNSF 45546 83.600.00$83.5911.0003/15/2011GN
GNSF 519412 8,527.890.00$9,808.158.0006/15/2030GN
GNSF 59913 592.150.00$651.9511.0007/15/2013GN
GNSF 66877 445.480.00$490.4711.0007/15/2013GN
GNSF 69396 656.470.00$722.2011.0007/15/2013GN
GNSF 71107 1,453.990.00$1,600.8411.0007/15/2013GN
GNSF 780863 124,871.980.01$140,306.897.5012/15/2023GN
GNSF 781380 168,545.680.01$189,964.267.5012/15/2031GN
GNSF 781389 3,664.170.00$4,129.817.5001/15/2032GN
GOLDMAN SACHS GROUP INC/THE 5,500,000.000.43$5,846,076.505.2510/15/2013GS
GOODYEAR TIRE & RUBBER CO/THE 2,135,000.000.17$2,369,850.0010.5005/15/2016GT
GRAHAM PACKAGING 1,180,000.000.09$1,209,500.009.8810/15/201438470RAD3
GRAHAM PACKAGING CO LP/GPC CAP 2,950,000.000.21$2,927,875.008.2501/01/2017GRAHAM
GRAPHIC PACKAGING INTERNATIONA 2,064,000.000.16$2,141,400.009.5008/15/2013GPK
GSMPS 1998-2 A 200,410.270.01$192,143.357.7505/19/2027GSMPS
GSMPS 1999-3 A 496,576.750.04$499,414.498.0008/19/2029GSMPS
GSMPS 2005-RP1 1A4 560,127.890.04$516,893.028.5001/25/2035GSMPS
GSMPS 2006-RP1 1A2 66,588.410.00$58,235.467.5001/25/2036GSMPS
GSMS 2004-GG2 A6 1,045,000.000.08$1,026,896.945.4008/10/2038GSMS
GSMS 2005-GG4 A4 3,310,000.000.22$2,997,486.024.7607/10/203936228CVT7
GSMS 2005-GG4 A4A 3,935,000.000.28$3,809,734.004.7507/10/2039GSMS
GSMS 2006-GG6 A4 1,160,000.000.08$1,057,935.665.5504/10/2038GSMS
GSMS 2006-RR3 A1S 360,000.000.01$104,400.005.6607/18/2056GSMS
GSMS 2007-GG10 A4 1,300,000.000.08$1,116,238.245.8108/10/2045GSMS
GXS WORLDWIDE INC 3,895,000.000.28$3,846,312.509.7506/15/2015GXSWLD
HARRAH'S OPERATING ESCROW LLC/ 2,900,000.000.22$3,048,625.0011.2506/01/2017HET
HARRAHS CHESTER DOWNS TERM LOA 600,000.000.04$605,250.0012.3812/31/2016HET
HART 2007-A A3A 84,769.780.01$86,268.935.0401/17/2012HART
HART 2008-A A3 280,000.000.02$291,722.734.9312/17/2012HART
HCA INC TERM B 555,264.150.04$532,501.102.5311/18/2013LN329193
HCA INC/DE 2,630,000.000.21$2,830,537.509.2511/15/2016HCA
HDMOT 2006-1 A2 87,356.340.01$89,656.215.0410/15/2012HDMOT
HDMOT 2009-4 A3 565,000.000.04$562,875.431.0002/17/2014HDMOT
HOSPIRA INC 2,790,000.000.23$3,091,562.736.4005/15/2015HSP
HUNTSMAN TERM C 45,000.000.00$43,049.932.4806/23/2016HUN
INDONESIA TREASURY BOND 3,594,000,000.000.03$410,727.6610.7505/15/2016INDOGB
INDONESIAN RUPIAH 154,542,000.000.00$16,397.030.00N/ARUPIAH
INMARSAT FINANCE PLC 880,000.000.07$904,200.007.3812/01/2017ISATLN
INTELSAT BERMUDA LTD 3,500,000.000.26$3,526,250.0011.2502/04/2017INTEL
INTELSAT CORPORATION B-2-A TER 284,524.690.02$270,146.242.7301/03/2014LN385116
INTELSAT CORPORATION B-2-B TER 284,438.460.02$270,064.372.7301/03/2014LN385120
INTELSAT CORPORATION B-2-C TER 284,438.440.02$270,064.352.7301/03/2014LN385124
INTELSAT JACKSON HLDG 420,000.000.03$456,750.0011.2506/15/2016INTEL
INTERNATIONAL FINANCE CORP 6,800,000.000.50$6,822,154.403.0004/22/2014IFC
INTERNATIONAL LEASE FINANCE CO 411,000.000.02$326,922.145.8805/01/2013AIG
INTERNATIONAL LEASE FINANCE CO 1,180,000.000.07$970,839.106.3803/25/2013AIG
INTERNATIONAL LEASE FINANCE CO 1,500,000.000.10$1,378,656.005.7506/15/2011AIG
INTERNATIONAL LEASE FINANCE CO 2,026,000.000.13$1,759,617.475.3503/01/2012AIG
INTERNATIONAL LEASE FINANCE CO 2,985,000.000.18$2,404,808.546.6211/15/2013AIG
INTERPUBLIC GROUP OF COS INC 490,000.000.04$546,350.0010.0007/15/2017IPG
INTERPUBLIC GROUP OF COS INC 2,240,000.000.18$2,497,600.0010.0007/15/2017IPG
INTL FINANCE CORP 3,600,000.000.24$3,218,979.955.7506/24/2014B5ZZ2M0
INVERNESS MEDICAL INNOVATIONS 525,000.000.04$539,437.509.0005/15/2016IMA
INVISTA 675,000.000.05$688,500.009.2505/01/2012INVSTA
IPALCO ENTERPRISES INC 110,000.000.01$115,500.008.1211/14/2011AES
IRON MOUNTAIN INC 2,150,000.000.16$2,193,000.008.0006/15/2020IRM
J. C. PENNEY COMPANY, INC 5-YE 2,765,000.000.00$47,557.591.0003/20/2015/JCP
J.C PENNEY COMPANY, INC 5-YEAR 1,105,000.000.00$19,005.801.0003/20/2015/JCP1
JAPAN BANK FOR INTERNATIONAL C 5,700,000.000.42$5,678,277.302.1211/05/2012JFCORP
JBS USA LLC/JBS USA FINANCE IN 99,000.000.01$112,612.5011.6205/01/2014JBSUS
JDOT 2008-A A3 42,958.510.00$43,512.604.1806/15/2012JDOT
JEFFERIES GROUP INC 1,155,000.000.09$1,187,256.845.8806/08/2014JEF
JPMCC 2002-C1 A3 1,000,000.000.08$1,039,498.905.3807/12/2037JPMCC
JPMCC 2005-LDP5 A4 4,800,000.000.35$4,751,863.685.1812/15/2044JPMCC
JPMCC 2006-LDP9 A2 320,000.000.02$305,996.615.1305/15/2047JPMCC
JPMMT 2006-A2 3A3 180,000.000.01$114,856.565.6704/25/2036JPMMT
JPMORGAN CHASE & CO 5,705,000.000.45$6,088,495.815.7501/02/2013JPM
JPMORGAN CHASE BANK NA 1,750,000.000.12$1,597,865.500.5806/13/2016JPM
KEYBANK NA 3,920,000.000.28$3,819,099.205.8007/01/201449306CAH4
KINDER MORGAN ENER PART 1,000,000.000.09$1,232,501.009.0002/01/2019KMP
KINDER MORGAN ENER PART 1,300,000.000.10$1,375,194.606.7503/15/2011494550AH9
KINDER MORGAN ENERGY PARTNERS 1,395,000.000.11$1,460,786.817.5011/01/2010KMP
KINDER MORGAN ENERGY PARTNERS 1,885,000.000.15$2,029,338.225.6202/15/2015KMP
KOPPERS INC 2,250,000.000.17$2,283,750.007.8812/01/2019KOP
KOREA DEVELOPMENT BANK/REPUBLI 1,980,000.000.15$2,082,019.505.3001/17/2013KDB
KOREA EXPRESSWAY CORP 1,320,000.000.10$1,348,031.524.5003/23/2015HIGHWY
KREDITANSTALT FUER WIEDERAUFBA 5,070,000.000.37$5,018,610.482.7510/21/2014KFW
KREDITANSTALT FUER WIEDERAUFBA 5,995,000.000.45$6,166,846.683.5003/10/2014KFW
LABRANCHE & CO INC 2,070,000.000.15$2,000,137.5011.0005/15/2012LAB
LAMAR MEDIA 1,910,000.000.14$1,914,775.007.2501/01/2013513075AG6
LANDWIRTSCHAFTLICHE RENTENBANK 1,750,000.000.13$1,746,064.251.8809/24/2012RENTEN
LANDWIRTSCHAFTLICHE RENTENBANK 2,650,000.000.20$2,726,163.653.2503/15/2013RENTEN
LANDWIRTSCHAFTLICHE RENTENBANK 3,600,000.000.28$3,798,687.604.1207/15/2013RENTEN
LAZARD GROUP 1,438,000.000.11$1,449,269.616.8506/15/2017LAZ
LAZARD GROUP LLC 269,000.000.02$279,570.367.1205/15/2015LAZ
LEVEL 3 FINANCING INC 790,000.000.06$750,500.009.2511/01/2014527298AM5
LMT 2005-2 2A3 61,616.860.00$53,776.235.5012/25/2035LMT
LONG TERM RECEIVABLES -2,221,836.87-0.16-$2,221,836.870.00N/ASECNCAHUS
MACY'S INC 5-YR CDS 03/20/2015 2,765,000.00-0.01-$107,955.111.0003/20/2015/M
MACY'S RETAIL HOLDINGS INC 110,000.000.01$121,825.008.8807/15/2015M
MACY'S RETAIL HOLDINGS INC 2,000,000.000.16$2,125,000.0010.6211/01/2010M
MACY'S, INC 5-YR CDS 03/20/201 1,105,000.00-0.00-$43,142.971.0003/20/2015/M1
MARP 2005-1 1A5 413,564.470.03$392,369.298.0008/25/2034MARP
MASD 2005-2 A2 355,911.430.02$311,702.075.0107/25/2035MASD
MASSEY ENERGY CO 2,500,000.000.18$2,509,375.006.8812/15/2013MEE
MBNAS 2003-A8 A8 1,365,000.000.10$1,360,451.410.4212/17/2012MBNAS
MCC GEORGIA LLC TRANCHE D TERM 900,000.000.07$904,126.505.5003/31/2017MCCC
MCKESSON CORP 3,915,000.000.32$4,334,566.646.5002/15/2014MCK
MEDCO HEALTH SOLUTIONS 3,260,000.000.27$3,624,614.707.2508/15/201358405UAC6
MEDTRONIC INC 2,500,000.000.19$2,621,875.001.6204/15/2013MDT CB1
MET LIFE GLOBE 144A 860,000.000.06$875,980.524.6208/19/201059217EAU8
METLIFE INC 5-YR CDS 12/20/201 1,290,000.00-0.00-$33,862.541.0012/20/2014/MET
METROPCS WIRELESS INC 1,135,000.000.08$1,154,862.509.2511/01/2014GWIR
METROPCS WIRELESS INC TERM B 742,327.340.05$711,891.922.5411/04/2013LN320458
MGM MIRAGE 210,000.000.02$228,900.0010.3805/15/2014MGM
MGM MIRAGE 265,000.000.02$294,812.5011.1211/15/2017MGM
MGM MIRAGE 790,000.000.07$910,475.0013.0011/15/2013MGM
MLCFC 2007-5 A1 126,787.210.01$128,326.034.2808/12/2048MLCFC
MLMT 2005-CIP1 A2 605,000.000.04$606,827.524.9607/12/2038MLMT
MORGAN STANLEY 750,000.000.06$750,550.504.0001/15/201061746SBC2
MORGAN STANLEY 1,275,000.000.09$1,197,349.950.7610/15/2015MS
MORGAN STANLEY 4,148,000.000.32$4,375,144.485.3003/01/2013617446HR3
MORGAN STANLEY 5,195,000.000.41$5,540,124.636.0004/28/201561747YCE3
MSC 2005-HQ6 A4A 1,095,000.000.08$1,059,932.634.9908/13/2042MSC
MSC 2006-T21 A3 2,900,000.000.21$2,930,833.965.1810/12/2052MSC
MSC 2007-T27 A4 6,440,000.000.46$6,217,658.365.6506/13/2042MSC
MSDWC 2003-TOP9 A2 1,700,000.000.13$1,728,615.764.7411/13/2036MSDWC
MSM 2006-12XS A1 33,278.750.00$33,299.480.3610/25/2036MSM
NAROT 2007-B A3 716,009.160.05$723,434.325.0305/16/2011NAROT
NAROT 2008-B A2 133,121.940.01$133,291.273.8010/15/2010NAROT
NATIONAL AUSTRALIA BANK LTD 1,785,000.000.13$1,801,895.033.3807/08/2014NAB
NATIONAL CITY CORP 1,000,000.000.08$1,023,750.004.0002/01/2011PNC CB
NEW CINGULAR WIRELESS SERVICES 3,665,000.000.30$4,143,429.108.1205/01/2012T
NEWPAGE CORP 3,000,000.000.22$3,045,000.0011.3812/31/2014NEWPAG
NEXEN INC 4,700,000.000.36$4,906,391.105.0511/20/201365334HAC6
NIBC BANK NV 6,555,000.000.47$6,385,789.232.8012/02/2014NIBCAP
NII CAPITAL CORP 3,000,000.000.22$2,936,250.008.8812/15/2019NIHD
NORDSTROM INC 2,030,000.000.17$2,269,282.196.7506/01/2014JWN
NRG ENERGY INC 2,330,000.000.17$2,338,737.507.3802/01/2016NRG
NUVEEN INVESTMENT TERM B 701,373.010.05$617,537.893.2811/13/2014LN364753
NUVEEN INVESTMENTS INC SECOND 666,000.000.05$690,309.0012.5007/09/2015NUVINV
PACIFIC GAS & ELECTRIC CO 2,057,000.000.16$2,123,274.484.2003/01/2011PCG
PACIFICORP 2,845,000.000.23$3,115,954.966.9011/15/2011BRK
PAETEC HOLDING CORP 760,000.000.06$773,300.008.8806/30/2017PAET
PETROHAWK ENERGY CORP 425,000.000.03$446,250.009.1207/15/2013HAWK
PETROHAWK ENERGY CORP 1,455,000.000.11$1,476,825.007.8806/01/2015HAWK
PINNACLE ENTERTAINMENT INC 895,000.000.07$917,375.008.6208/01/2017PNK
PLAINS ALL AMERICAN PIPELINE L 6,865,000.000.52$7,089,004.954.2509/01/2012PAA
PNC FINANCIAL SERVICES 7,160,000.000.54$7,306,629.640.0805/29/2049PNC PFD
PPL ELECTRIC UTILITIES CORP 2,455,000.000.21$2,808,657.487.1211/30/2013PPL
PRIDE INTERNATIONAL 2,090,000.000.16$2,168,375.007.3807/15/201474153QAF9
PROVINCE OF ONTARIO CANADA 5,630,000.000.41$5,577,781.751.8811/19/2012ONT
PSYCHIATRIC SOLUTIONS 2,725,000.000.19$2,650,062.507.7507/15/201574439HAD0
PUERTO RICO SALES TAX FING 5,500,000.000.42$5,770,105.005.0008/01/2039PRCGEN
QWEST CORP 580,000.000.05$624,950.008.3805/01/2016QUS
RABOBANK NEDERLAND NV 4,180,000.000.37$5,110,635.2011.0012/29/2049RABOBK
RAMC 2006-4 AF2 35,000.000.00$27,846.355.2801/25/2037RAMC
RANGE RESOURCES CORP 610,000.000.05$655,750.008.0005/15/2019RRC
REGIONS FINANCIAL CORP 4,015,000.000.29$3,963,612.027.7511/10/2014RF
RENTAL SERVICES CORP 2ND LIEN 446,173.550.03$418,149.393.8210/07/2013LN302040
REPUBLIC OF BRAZIL 850,000.000.04$553,499.7112.5001/05/2022B1DY4M5
ROGERS WIRELESS INC 1,850,000.000.15$2,030,584.059.6205/01/2011RCICN
RR DONNELLEY 5YR CDS 06/20/214 1,050,000.00-0.01-$156,377.225.0006/20/2014SPK604UP
RSC EQUIPMENT RENTAL INC/RSC H 2,220,000.000.16$2,239,425.0010.2511/15/2019RRR
RYLAND GROUP INC 905,000.000.07$972,875.008.4005/15/2017RYL
SECURITIZED NET CASH - ACR1 10,644,600.850.78$10,644,600.850.00N/ASECCASHAC
SELECT MEDICAL CORP 725,000.000.05$706,875.007.6202/01/2015SELMED
SILICON VALLEY BANK 1,795,000.000.13$1,824,152.605.7006/01/2012SIVB
SOCIETE FINANCEMENT DE L'ECONO 3,655,000.000.27$3,703,392.202.1201/30/2012SFEFR
SPRINT NEXTEL CORP 4,140,000.000.28$3,798,450.006.0012/01/2016852061AD2
STEEL CAPITAL SA FOR OAO SEVER 331,000.000.02$335,137.509.7507/29/2013CHMFRU
STEEL DYNAMICS INC 425,000.000.03$423,406.256.7504/01/2015STLD
SUNGARD DATA SYSTEMS INC ADD-O 992,481.210.07$1,003,234.746.7502/28/2014LN405916
SUPERVALU INC 635,000.000.05$647,700.008.0005/01/2016SVU
SUPERVALU INC 1,540,000.000.11$1,566,950.007.5011/15/2014868536AS2
TARGET CORP 1,390,000.000.11$1,468,151.366.3501/15/2011TGT
TECK RESOURCES LTD 340,000.000.03$397,800.0010.2505/15/2016TCKCN
TECK RESOURCES LTD 990,000.000.09$1,188,000.0010.7505/15/2019TCKCN
TELECOM ITALIA CAPITAL 1,350,000.000.10$1,413,234.005.2510/01/201587927VAQ1
TELECOM ITALIA CAPITAL 2,006,000.000.16$2,124,059.126.2007/18/201187927VAS7
TELECOM ITALIA CAPITAL 3,500,000.000.27$3,631,484.504.9509/30/201487927VAL2
TELECOM ITALIA CAPITAL SA 1,700,000.000.13$1,789,603.605.2511/15/2013TITIM
TELESAT CANADA / TELESAT LLC 750,000.000.06$817,500.0011.0011/01/2015TELSAT
TELESAT CANADA TERM B 822,536.380.06$791,345.803.2410/31/2014LN362744
TELESAT CANADA TERM II 70,648.060.00$67,969.093.2410/31/2014LN362748
TIME WARNER CABLE INC 716,000.000.06$765,442.665.4007/02/2012TWC
TIME WARNER CABLE INC 1,510,000.000.13$1,766,370.828.2502/14/2014TWC
TIME WARNER CABLE INC 4,055,000.000.34$4,676,392.267.5004/01/2014TWC
TRANS-CANADA PIPELINES 3,720,000.000.28$3,814,000.684.0006/15/2013TRP
TYCO INTERNATIONAL FINANCE SA 965,000.000.07$987,511.524.1210/15/2014TYC
TYCO INTERNATIONAL FINANCE SA 2,850,000.000.25$3,447,727.658.5001/15/2019TYC
TYCO INTL GROUP 2,335,000.000.18$2,504,880.596.3810/15/2011902118BC1
UNITEDHEALTH GROUP INC 603,000.000.05$625,014.325.2503/15/2011UNH
UNITEDHEALTH GROUP INC 1,232,000.000.10$1,316,245.395.5011/15/2012UNH
UNITEDHEALTH GROUP INC 5-YEAR 1,375,000.00-0.00-$12,484.311.0012/19/2014/UNH
UNITEDHEALTH GROUP INC 5-YEAR 3,050,000.00-0.00-$27,692.481.0012/20/2014/UNH1
US BANK NA/CINCINNATI OH 2,225,000.000.18$2,392,742.756.3808/01/2011USB
US TREASURY N/B 1,520,000.000.11$1,462,533.363.3811/15/2019T
US TREASURY N/B 22,750,000.001.63$22,218,628.252.1211/30/2014T
US TREASURY N/B 116,270,000.008.39$114,443,747.111.1212/15/2012T
USAA CAPITAL CORP 1,000,000.000.07$1,013,481.002.2403/30/2012USAA
USAOT 2008-1 A3 801,944.760.06$814,456.864.1604/16/2012USAOT
USB CAPITAL IX 2,770,000.000.17$2,254,087.506.1904/15/2049USB
USB REALTY CORP 4,200,000.000.23$3,097,500.006.0912/22/2049USB
USG CORP 315,000.000.02$337,837.509.7508/01/2014USG
USG CORP 1,270,000.000.08$1,143,000.006.3011/15/2016USG
VERIZON GLOBAL FUNDING CORP 1,820,000.000.15$2,016,110.466.8806/15/2012VZ
VIDEOTRON LTEE 1,550,000.000.13$1,712,750.009.1204/15/2018QBRCN
VIRGIN MEDIA FINANCE PLC 242,000.000.02$251,075.008.7504/15/2014VMED
VIRGINIA ELECTRIC AND POWER CO 1,535,000.000.12$1,658,915.955.1011/30/2012D
VIVENDI 9,750,000.000.75$10,258,209.005.7504/04/2013VIVFP
VODAFONE GROUP 1,610,000.000.13$1,706,261.905.0012/16/201392857WAF7
VWALT 2009-A A2 3,985,232.970.29$4,020,381.132.8707/15/2011VWALT
WACHOVIA CORP 1,927,000.000.15$1,996,965.525.2508/01/2014929903AJ1
WACHOVIA CORP 3,000,000.000.23$3,185,919.005.3010/15/2011929903CF7
WAMU 2006-AR10 1A1 2,125,484.050.12$1,612,187.945.9209/25/2036WAMU
WAMU 2007-HY1 1A1 894,157.220.04$568,971.375.6702/25/2037WAMU
WASTE MANAGEMENT 3,017,000.000.23$3,125,645.197.3808/01/201094106LAK5
WEATHERFORD INTERNATIONAL INC 1,502,000.000.12$1,608,395.675.9506/15/2012WFT
WEATHERFORD INTERNATIONAL INC 2,000,000.000.16$2,141,032.006.6211/15/2011WFT
WEATHERFORD INTERNATIONAL LTD 2,405,000.000.18$2,520,432.795.1503/15/2013WFT
WELLS FARGO BANK 1,640,000.000.13$1,732,369.726.4502/01/2011949748AF4
WELLS FARGO BANK NA 1,575,000.000.10$1,396,793.480.4805/16/2016WFC
WELLS FARGO CAPITAL XIII 2,945,000.000.21$2,871,375.007.7012/29/2049WFC
WESTERN CORPORATE FEDERAL CRED 3,330,000.000.24$3,317,319.361.7511/02/2012WESCOR
WFMBS 2005-AR16 2A1 26,691.610.00$22,576.433.7510/25/2035WFMBS
WFMBS 2006-7 2A1 17,427.030.00$14,448.106.0006/25/2036WFMBS
WFMBS 2006-AR10 5A1 256,246.860.01$199,485.935.5907/25/2036WFMBS
WFMBS 2006-AR5 2A1 421,416.820.02$328,450.425.5404/25/2036WFMBS
WFMBS 2006-AR6 7A1 4,237,953.950.28$3,778,113.065.1103/25/2036WFMBS
WFMBS 2007-8 2A6 25,000.000.00$17,840.936.0007/25/2037WFMBS
WIND ACQUISITION FINANCE SA 3,505,000.000.28$3,846,737.5011.7507/15/2017WINDIM
WINDSTREAM CORP 1,620,000.000.12$1,607,850.007.8811/01/2017WIN
WINDSTREAM CORP 1,630,000.000.12$1,699,275.008.1208/01/2013WIN
WOART 2007-B A3B 778,527.450.06$778,654.740.6201/17/2012WOART
WOART 2008-A A3A 300,000.000.02$306,459.123.9410/15/2012WOART
WOODSIDE FINANCE LTD 4,030,000.000.30$4,126,506.415.0011/15/2013980236AD5
WOODSIDE FINANCE LTD 10,905,000.000.81$11,014,115.434.5011/10/2014WPLAU
WPP FINANCE UK 4,315,000.000.36$4,912,152.858.0009/15/2014WPPLN
XEROX CORP 1,540,000.000.11$1,531,003.324.2502/15/2015XRX
XEROX CORP 2,660,000.000.22$3,054,182.748.2505/15/2014XRX
YALE UNIVERSITY 3,310,000.000.24$3,301,420.482.9010/15/2014YALUNI



-0.07 of the fund was hedged out of AUD/USD HSB 01/08/10
0.00 of the fund was hedged out of GBP/USD HSB 01/08/10
0.07 of the fund was hedged out of IDR/USD HSB 01/08/10
0.07 of the fund was hedged out of KRW/USD HSB 01/08/10
0.09 of the fund was hedged out of MXN/USD BAR 01/08/10
0.00 of the fund was hedged out of NOK/USD GOS 01/08/10
-0.00 of the fund was hedged out of NZD/USD JPM 01/08/10
0.52 of the fund was hedged out of US 5YR NOTE MAR10 FUTURE