| AAR CORP | 260,000.00 | 0.36 | $232,375.00 | 1.75 | 02/01/2026 | AIR CB |
| ACCELLENT INC | 105,000.00 | 0.16 | $103,950.00 | 10.50 | 12/01/2013 | 00430XAB3 |
| ADVANCED MICRO DEVICES INC | 450,000.00 | 0.66 | $429,750.00 | 6.00 | 05/01/2015 | AMD CB |
| AES CORP/THE | 55,000.00 | 0.09 | $55,550.00 | 8.00 | 06/01/2020 | AES |
| AES CORP/THE | 83,000.00 | 0.13 | $84,867.50 | 7.75 | 03/01/2014 | AES |
| AFFINION GROUP INC | 70,000.00 | 0.11 | $73,850.00 | 11.50 | 10/15/2015 | AFFINI |
| AK STEEL CORP | 130,000.00 | 0.20 | $126,750.00 | 7.62 | 05/15/2020 | AKS |
| ALASKA COMMUNICATIONS SYSTEMS | 260,000.00 | 0.38 | $247,325.00 | 5.75 | 03/01/2013 | ALSK CB |
| ALGOMA ACQUISITION CORP | 170,000.00 | 0.22 | $145,350.00 | 9.88 | 06/15/2015 | AGACN |
| ALION SCIENCE AND TECHNOLOGY C | 120,260.00 | 0.19 | $120,861.30 | 12.00 | 11/01/2014 | ALISCI |
| ALLERGAN INC/UNITED STATES | 415,000.00 | 0.70 | $454,425.00 | 1.50 | 04/01/2026 | AGN CB |
| ALLIANCE HEALTHCARE SERVICES I | 7,323.00 | 0.05 | $29,584.92 | 0.00 | N/A | AIQ |
| ALLIANCE ONE INTERNATIONAL INC | 20,000.00 | 0.03 | $20,450.00 | 10.00 | 07/15/2016 | AOI |
| ALLIANCE ONE INTERNATIONAL INC | 98,000.00 | 0.15 | $100,205.00 | 10.00 | 07/15/2016 | AOI |
| ALLISON TRANSMISSION 144A | 220,000.00 | 0.36 | $231,550.00 | 11.00 | 11/01/2015 | 019736AA5 |
| ALLSTATE CORP/THE | 36,600.00 | 1.62 | $1,051,518.00 | 0.80 | N/A | ALL |
| AMB PROPERTY CORP | 1,280.00 | 0.05 | $30,348.80 | 1.12 | N/A | AMB |
| AMERICAN AXLE & MFG INC | 215,000.00 | 0.29 | $187,587.50 | 7.88 | 03/01/2017 | 02406PAF7 |
| AMERICAN INTERNATIONAL GROUP I | 265,000.00 | 0.33 | $211,337.50 | 8.18 | 05/15/2058 | AIG |
| AMERICAN PETROLEUM TANKERS LLC | 75,000.00 | 0.12 | $75,562.50 | 10.25 | 05/01/2015 | AMPETR |
| AMERICAN WATER WORKS CO INC | 4,300.00 | 0.14 | $88,580.00 | 0.84 | N/A | AWK |
| AMES TRUE TEMPER | 95,000.00 | 0.14 | $93,100.00 | 10.00 | 07/15/2012 | 031042AB0 |
| AMGEN INC | 165,000.00 | 0.25 | $163,762.50 | 0.38 | 02/01/2013 | AMGN CB |
| AMGEN INC | 270,000.00 | 0.41 | $267,975.00 | 0.38 | 02/01/2013 | AMGN CB1 |
| AMH HOLDINGS INC | 150,000.00 | 0.24 | $153,750.00 | 11.25 | 03/01/2014 | SIDE |
| ANTERO RESOURCES FINANCE CORP | 115,000.00 | 0.18 | $115,575.00 | 9.38 | 12/01/2017 | ANTERO |
| APARTMENT INVESTMENT & MANAGEM | 7,968.00 | 0.24 | $154,340.16 | 0.40 | N/A | AIV |
| APPLETON PAPERS INC | 130,000.00 | 0.19 | $123,500.00 | 10.50 | 06/15/2015 | APPPAP |
| AQUILEX HOLDINGS LLC/AQUILEX F | 145,000.00 | 0.22 | $145,725.00 | 11.12 | 12/15/2016 | AQUILE |
| ARCHER-DANIELS-MIDLAND CO | 41,000.00 | 1.63 | $1,058,620.00 | 0.60 | N/A | ADM |
| ARVINMERITOR INC | 85,000.00 | 0.14 | $90,525.00 | 10.62 | 03/15/2018 | ARM |
| ARVINMERITOR INC | 160,000.00 | 0.24 | $154,400.00 | 8.12 | 09/15/2015 | ARM |
| ARVINMERITOR INC | 235,000.00 | 0.28 | $183,300.00 | 4.00 | 02/15/2027 | ARM CB |
| ASHTEAD CAPITAL 144A | 100,000.00 | 0.15 | $98,500.00 | 9.00 | 08/15/2016 | 045054AA1 |
| ASPECT SOFTWARE INC | 155,000.00 | 0.24 | $155,775.00 | 10.62 | 05/15/2017 | CRTO |
| ASPEN INSURANCE CNV PFD | 8,800.00 | 0.69 | $449,350.00 | 2.81 | N/A | EP0179044 |
| ASSOCIATED ESTATES REALTY CORP | 7,200.00 | 0.14 | $93,240.00 | 0.68 | N/A | AEC |
| AT&T INC | 42,200.00 | 1.57 | $1,020,818.00 | 1.68 | N/A | T |
| AVADO BRANDS (RESTRICTED) | 1,390.00 | 0.00 | $0.00 | 0.00 | N/A | 05336N996 |
| AVIS BUDGET CAR RENTAL LLC / A | 155,000.00 | 0.24 | $157,325.00 | 9.62 | 03/15/2018 | CAR |
| BANK OF NEW YORK MELLON CORP/T | 38,300.00 | 1.46 | $945,627.00 | 0.36 | N/A | BK |
| BAUSCH & LOMB INC | 137,000.00 | 0.22 | $141,452.50 | 9.88 | 11/01/2015 | BOL |
| BEAZER HOMES USA INC | 50,000.00 | 0.07 | $46,500.00 | 9.12 | 06/15/2018 | BZH |
| BEAZER HOMES USA INC | 110,000.00 | 0.15 | $99,000.00 | 8.12 | 06/15/2016 | BZH |
| BERRY PLASTICS CORP | 160,000.00 | 0.24 | $154,800.00 | 8.88 | 09/15/2014 | BERRY |
| BIOMET INC | 140,000.00 | 0.23 | $152,250.00 | 11.62 | 10/15/2017 | BMET |
| BIOSCRIP INC | 150,000.00 | 0.23 | $149,250.00 | 10.25 | 10/01/2015 | BIOS |
| BOSTON PROPERTIES INC | 3,000.00 | 0.33 | $214,020.00 | 2.00 | N/A | BXP |
| BRANDYWINE REALTY TRUST | 11,500.00 | 0.19 | $123,625.00 | 0.60 | N/A | BDN |
| BRE PROPERTIES INC | 4,600.00 | 0.26 | $169,878.00 | 1.50 | N/A | BRE |
| BRISTOL-MYERS SQUIBB CO | 42,200.00 | 1.62 | $1,052,468.00 | 1.28 | N/A | BMY |
| BRISTOW GROUP INC | 254,000.00 | 0.32 | $204,787.50 | 3.00 | 06/15/2038 | BRS CB |
| BROOKFIELD INFRASTRUCTURE PART | 7,600.00 | 0.19 | $120,612.00 | 1.10 | N/A | BIP |
| BURLINGTON COAT FACTORY INVEST | 295,000.00 | 0.48 | $311,225.00 | 14.50 | 10/15/2014 | BCFACT |
| BWAY HOLDING CO | 145,000.00 | 0.23 | $151,887.50 | 10.00 | 06/15/2018 | BWY |
| CABLEVISION SYSTEMS CORP | 15,000.00 | 0.02 | $15,262.50 | 8.00 | 04/15/2020 | CVC |
| CABLEVISION SYSTEMS CORP | 65,000.00 | 0.10 | $66,625.00 | 8.62 | 09/15/2017 | CVC |
| CALPINE CORP ESCROW TRACKING | 345,000.00 | 0.00 | $0.03 | 0.00 | N/A | 131ESC9B3 |
| CAMDEN PROPERTY TRUST | 3,450.00 | 0.22 | $140,932.50 | 1.80 | N/A | CPT |
| CARDINAL HEALTH INC | 29,300.00 | 1.52 | $984,773.00 | 0.78 | N/A | CAH |
| CASELLA WASTE SYSTEMS INC | 90,000.00 | 0.15 | $97,650.00 | 11.00 | 07/15/2014 | CWST |
| CASELLA WASTE SYSTEMS INC | 137,000.00 | 0.21 | $137,685.00 | 9.75 | 02/01/2013 | CWST |
| CASH | 231,023.60 | 0.36 | $231,023.60 | 0.00 | 12/15/2038 | US-CASH |
| CCO HOLDINGS LLC / CCO HOLDING | 35,000.00 | 0.05 | $35,350.00 | 7.88 | 04/30/2018 | CCMM |
| CCO HOLDINGS LLC / CCO HOLDING | 45,000.00 | 0.07 | $46,237.50 | 8.12 | 04/30/2020 | CCMM |
| CEMEX ESPANA SA | 74,000.00 | 0.10 | $64,750.00 | 9.25 | 05/12/2020 | CEMEX |
| CEMEX FINANCE LLC | 150,000.00 | 0.22 | $145,500.00 | 9.50 | 12/14/2016 | CEMEX |
| CENTURY ALUMINUM CO | 131,150.00 | 0.19 | $124,264.63 | 8.00 | 05/15/2014 | CENX |
| CENTURY COMM TRACKING | 500,000.00 | 0.00 | $0.00 | 0.00 | N/A | 156ESCAG0 |
| CHARTER COMMUNICATIONS OPERATI | 68,000.00 | 0.12 | $75,820.00 | 10.88 | 09/15/2014 | CHTR |
| CHESAPEAKE ENERGY CORP | 114,000.00 | 0.20 | $126,540.00 | 9.50 | 02/15/2015 | CHK |
| CHESAPEAKE ENERGY CORP | 220,000.00 | 0.25 | $159,775.00 | 2.25 | 12/15/2038 | CHK CB |
| CHEVRON CORP | 14,200.00 | 1.49 | $963,612.00 | 2.88 | N/A | CVX |
| CHIMERA INVESTMENT CORP | 23,800.00 | 0.13 | $85,918.00 | 0.68 | N/A | CIM |
| CITIGROUP INC | 900.00 | 0.16 | $101,700.00 | 0.00 | N/A | 172967416 |
| CLEAR CHANNEL COMMUNICATIONS I | 150,000.00 | 0.16 | $106,125.00 | 10.75 | 08/01/2016 | CCU |
| CLEARWIRE COMMUNICATIONS LLC/C | 145,000.00 | 0.22 | $145,181.25 | 12.00 | 12/01/2015 | CLWR |
| CLEARWIRE CORP | 285,000.00 | 0.44 | $283,931.25 | 12.00 | 12/01/2015 | CLWR |
| COGDELL SPENCER INC | 16,800.00 | 0.18 | $113,568.00 | 0.40 | N/A | CSA |
| COLUMBUS INTERNATIONAL INC | 135,000.00 | 0.22 | $144,459.86 | 11.50 | 11/20/2014 | COLUIF |
| COMCAST CORP | 56,900.00 | 1.52 | $988,353.00 | 0.38 | N/A | CMCSA |
| COMPLETE PRODUCTION SERVICES I | 77,000.00 | 0.12 | $75,652.50 | 8.00 | 12/15/2016 | CPX |
| CONOCOPHILLIPS | 19,500.00 | 1.48 | $957,255.00 | 2.20 | N/A | COP |
| COPANO ENERGY LLC / COPANO ENE | 94,000.00 | 0.14 | $89,300.00 | 7.75 | 06/01/2018 | CPNO |
| COTT BEVERAGES INC | 90,000.00 | 0.14 | $91,125.00 | 8.38 | 11/15/2017 | BCB |
| CRICKET COMMUNICATIONS INC | 150,000.00 | 0.24 | $157,500.00 | 10.00 | 07/15/2015 | LEAP |
| CROSSTEX ENERGY LP / CROSSTEX | 130,000.00 | 0.20 | $130,487.50 | 8.88 | 02/15/2018 | XTEX |
| CVS CAREMARK CORP | 34,300.00 | 1.55 | $1,005,676.00 | 0.35 | N/A | CVS |
| CYPRESS SHARPRIDGE INVESTMENTS | 14,800.00 | 0.29 | $187,368.00 | 2.20 | N/A | CYS |
| DAE AVIATION HOLDINGS INC | 135,000.00 | 0.21 | $134,325.00 | 11.25 | 08/01/2015 | DAEAVI |
| DAVE & BUSTER'S INC | 140,000.00 | 0.22 | $141,750.00 | 11.00 | 06/01/2018 | DAB |
| DEAN FOODS | 90,000.00 | 0.13 | $84,600.00 | 7.00 | 06/01/2016 | 242370AA2 |
| DELTA AIR LINES INC | 9.00 | 0.00 | $105.75 | 0.00 | N/A | DAL |
| DELTA AIR LINES INC | 140,000.00 | 0.23 | $150,150.00 | 11.75 | 03/15/2015 | DAL |
| DIGICEL GROUP 144A | 100,000.00 | 0.15 | $98,625.00 | 9.12 | 01/15/2015 | 25380WAB2 |
| DIGICEL GROUP LTD | 100,000.00 | 0.15 | $98,250.00 | 8.88 | 01/15/2015 | DLLTD |
| DIGICEL GROUP LTD | 100,000.00 | 0.16 | $103,625.00 | 10.50 | 04/15/2018 | DLLTD |
| DIGITAL REALTY TRUST INC | 5,550.00 | 0.49 | $320,124.00 | 1.92 | N/A | DLR |
| DIGITAL REALTY TRUST LP | 95,000.00 | 0.21 | $136,146.88 | 5.50 | 04/15/2029 | DLR CB |
| DIRECTV | 1,550.00 | 0.08 | $52,576.00 | 0.00 | N/A | DTV |
| DISH DBS CORP | 150,000.00 | 0.24 | $156,750.00 | 7.88 | 09/01/2019 | DISH |
| DJO FINANCE LLC / DJO FINANCE | 160,000.00 | 0.25 | $164,000.00 | 11.75 | 11/15/2014 | REABLE |
| DOMINION RESOURCES INC/VA | 290,000.00 | 0.50 | $324,437.50 | 2.12 | 12/15/2023 | D CB |
| DRUMMOND CO INC | 145,000.00 | 0.23 | $146,450.00 | 9.00 | 10/15/2014 | DRUMCO |
| DRYSHIPS INC | 120,000.00 | 0.14 | $88,950.00 | 5.00 | 12/01/2014 | DRYS |
| DYNCORP INTERNATIONAL INC | 75,000.00 | 0.12 | $75,562.50 | 10.38 | 07/01/2017 | DCP |
| DYNEGY HOLDINGS INC | 162,000.00 | 0.17 | $112,792.50 | 7.75 | 06/01/2019 | DYN |
| E*TRADE FINANCIAL CORP | 263,000.00 | 0.43 | $280,752.50 | 12.50 | 11/30/2017 | ETFC |
| EDISON INTERNATIONAL | 33,900.00 | 1.66 | $1,075,308.00 | 1.26 | N/A | EIX |
| EDISON MISSION ENERGY | 100,000.00 | 0.10 | $64,500.00 | 7.00 | 05/15/2017 | EIX |
| EI DU PONT DE NEMOURS & CO | 29,000.00 | 1.55 | $1,003,110.00 | 1.64 | N/A | DD |
| EL PASO CORP | 47,000.00 | 0.07 | $48,089.23 | 6.88 | 06/15/2014 | EP |
| EL PASO CORP | 52,000.00 | 0.08 | $51,967.19 | 7.00 | 06/15/2017 | EP |
| EL PASO ENERGY CAPITAL TRUST I | 5,250.00 | 0.29 | $190,785.00 | 0.00 | N/A | EP C |
| EL PASO PERFORMANCE-LINKED TRU | 33,000.00 | 0.05 | $34,180.84 | 7.75 | 07/15/2011 | EP |
| ELWOOD ENERGY LLC | 157,827.50 | 0.23 | $149,936.13 | 8.16 | 07/05/2026 | ELWOOD |
| ENERGY FUTURE HOLDINGS CORP | 86,000.00 | 0.10 | $64,070.00 | 11.38 | 11/01/2017 | TXU |
| ENERGY FUTURE HOLDINGS TERM B2 | 114,825.01 | 0.13 | $85,300.63 | 3.73 | 10/10/2014 | LN363469 |
| ENTERTAINMENT PROPERTIES TRUST | 2,920.00 | 0.17 | $111,164.40 | 2.60 | N/A | EPR |
| EQUINOX HOLDINGS INC | 155,000.00 | 0.24 | $154,031.25 | 9.50 | 02/01/2016 | EQUNOX |
| EQUITY RESIDENTIAL | 6,600.00 | 0.42 | $274,824.00 | 1.35 | N/A | EQR |
| ESSAR STEEL ALGOMA INC | 15,000.00 | 0.02 | $14,325.00 | 9.38 | 03/15/2015 | ALGCN |
| EURONET WORLDWIDE INC | 435,000.00 | 0.63 | $406,725.00 | 3.50 | 10/15/2025 | EEFT CB |
| EXPRESS LLC & EXPRESS FINANCE | 100,000.00 | 0.16 | $102,250.00 | 8.75 | 03/01/2018 | EXPR |
| FEDERAL HOME LOAN BANK DISCOUN | 84,166.29 | 0.13 | $84,166.04 | 0.01 | 07/07/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 326,886.48 | 0.50 | $326,883.86 | 0.06 | 07/16/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 337,763.29 | 0.52 | $337,760.59 | 0.01 | 07/15/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 748,736.36 | 1.16 | $748,734.11 | 0.00 | 07/06/2010 | FHLBDN |
| FEDERAL NATIONAL MORTGAGE ASSO | 3,500.00 | 0.00 | $1,820.00 | 0.00 | N/A | 313586745 |
| FEDERAL REALTY INVESTMENT TRUS | 300.00 | 0.03 | $21,081.00 | 2.64 | N/A | FRT |
| FELCOR LODGING LP | 155,000.00 | 0.25 | $162,750.00 | 10.00 | 10/01/2014 | FCH |
| FHLB DISCOUNT NOTE 7/1/10 | 998,315.15 | 1.54 | $998,315.14 | 0.00 | 07/01/2010 | 0701PFDIS |
| FIFTH STREET FINANCE CORP | 34,041.00 | 0.58 | $375,472.23 | 1.28 | N/A | FSC |
| FIRST DATA CORP | 165,000.00 | 0.19 | $126,225.00 | 9.88 | 09/24/2015 | FDC |
| FIRST DATA CORP | 195,000.00 | 0.19 | $120,900.00 | 11.25 | 03/31/2016 | FDC |
| FLEXTRONICS INTERNATIONAL | 4,400.00 | 0.04 | $24,640.00 | 0.00 | N/A | FLEX |
| FMG FINANCE PTY LTD | 275,000.00 | 0.47 | $303,875.00 | 10.62 | 09/01/2016 | 30250BAC3 |
| FORD MOTOR CO | 244,000.00 | 0.34 | $221,430.00 | 7.45 | 07/16/2031 | F |
| FORD MOTOR CREDIT CO LLC | 160,000.00 | 0.29 | $185,390.08 | 12.00 | 05/15/2015 | F |
| FOSTER WHEELER | 2.00 | 0.00 | $42.12 | 0.00 | N/A | FWLT |
| GAYLORD ENTERTAINMENT CO | 160,000.00 | 0.26 | $167,600.00 | 3.75 | 10/01/2014 | GET CB |
| GCI INC | 115,000.00 | 0.18 | $115,287.50 | 8.62 | 11/15/2019 | GNCMA |
| GENERAL GROWTH PROPERTIES INC | 6.00 | 0.00 | $79.56 | 0.02 | N/A | GGP |
| GENERAL MARITIME CORP | 155,000.00 | 0.25 | $158,875.00 | 12.00 | 11/15/2017 | GMR |
| GENERAL MOTORS | 265,000.00 | 0.13 | $81,487.50 | 7.20 | 01/15/2011 | 370442BB0 |
| GENWORTH FINANCIAL | 291,000.00 | 0.31 | $200,790.00 | 6.15 | 11/15/2066 | 37247DAG1 |
| GEOEYE INC | 550.00 | 0.03 | $17,127.00 | 0.00 | N/A | GEOY |
| GLOBAL CASH ACCESS LLC/GLOBAL | 35,000.00 | 0.05 | $35,218.75 | 8.75 | 03/15/2012 | GLCASH |
| GLOBAL CROSSING LTD | 205,000.00 | 0.34 | $218,325.00 | 12.00 | 09/15/2015 | GLBC |
| GLOBAL GEOPHYSICAL SERVICES IN | 70,000.00 | 0.10 | $67,550.00 | 10.50 | 05/01/2017 | GGS |
| GMAC INC | 160,000.00 | 0.23 | $148,800.00 | 8.00 | 12/31/2018 | GMAC |
| GOVERNMENT PROPERTIES INCOME T | 4,800.00 | 0.19 | $122,496.00 | 1.60 | N/A | GOV |
| GRAY TELEVISION INC | 150,000.00 | 0.23 | $146,250.00 | 10.50 | 06/29/2015 | GTN |
| GXS WORLDWIDE INC | 150,000.00 | 0.22 | $144,000.00 | 9.75 | 06/15/2015 | GXSWLD |
| HARRAH'S OPERATING CO INC | 110,000.00 | 0.14 | $90,750.00 | 10.00 | 12/15/2018 | HET |
| HARRAH'S OPERATING CO INC | 189,000.00 | 0.24 | $155,925.00 | 10.00 | 12/15/2018 | HET |
| HARRAHS CHESTER DOWNS TERM LOA | 69,300.00 | 0.11 | $69,300.00 | 12.38 | 12/31/2016 | HET |
| HBOS CAPITAL FUNDING LP | 205,000.00 | 0.22 | $143,500.00 | 6.07 | 06/29/2049 | 40411CAA0 |
| HCA INC/DE | 145,000.00 | 0.24 | $154,062.50 | 9.25 | 11/15/2016 | HCA |
| HCP INC | 15,650.00 | 0.78 | $504,712.50 | 1.86 | N/A | HCP |
| HEADWATERS INC | 145,000.00 | 0.23 | $147,175.00 | 11.38 | 11/01/2014 | HW |
| HEALTH CARE REIT INC | 9,060.00 | 0.59 | $381,607.20 | 2.72 | N/A | HCN |
| HELIX ENERGY SOLUTIONS GROUP I | 201,000.00 | 0.29 | $185,925.00 | 9.50 | 01/15/2016 | HLX |
| HERCULES OFFSHORE INC | 155,000.00 | 0.21 | $138,337.50 | 10.50 | 10/15/2017 | HERO |
| HEXION SPECIALTY | 226,000.00 | 0.33 | $214,700.00 | 9.75 | 11/15/2014 | 428303AH4 |
| HILCORP ENERGY I LP/HILCORP FI | 165,000.00 | 0.25 | $163,762.50 | 8.00 | 02/15/2020 | HILCRP |
| HOLLY CORP | 121,000.00 | 0.19 | $124,932.50 | 9.88 | 06/15/2017 | HOC |
| HOLOGIC INC | 255,000.00 | 0.34 | $218,343.75 | 2.00 | 12/15/2037 | HOLX CB |
| HOST HOTELS & RESORTS INC | 18,688.00 | 0.39 | $251,914.24 | 0.04 | N/A | HST |
| HUTCHINSON TECHNOLOGY INC | 150,000.00 | 0.19 | $122,250.00 | 3.25 | 01/15/2026 | HTCH CB |
| ILFC E-CAPITAL TRUST II | 225,000.00 | 0.22 | $145,406.25 | 6.25 | 12/21/2065 | AIG |
| INTEL CORP | 47,800.00 | 1.43 | $929,710.00 | 0.63 | N/A | INTC |
| INTEL CORP | 145,000.00 | 0.21 | $138,475.00 | 2.95 | 12/15/2035 | INTC CB1 |
| INTELSAT BERMUDA LTD | 433,000.00 | 0.68 | $440,577.50 | 11.25 | 02/04/2017 | INTEL |
| INTELSAT LUXEMBOURG SA | 164,688.00 | 0.25 | $165,099.72 | 11.50 | 02/04/2017 | INTEL |
| INTERFACE INC | 16,000.00 | 0.03 | $16,500.00 | 9.50 | 02/01/2014 | 458665AJ5 |
| INTERFACE INC | 50,000.00 | 0.09 | $56,250.00 | 11.38 | 11/01/2013 | IFSIA |
| INTERNATIONAL BUSINESS MACHINE | 8,200.00 | 1.56 | $1,012,536.00 | 2.60 | N/A | IBM |
| INTERNATIONAL COAL GROUP INC | 150,000.00 | 0.23 | $150,750.00 | 9.12 | 04/01/2018 | ICOUS |
| INTERNATIONAL GAME TECHNOLOGY | 160,000.00 | 0.27 | $176,000.00 | 3.25 | 05/01/2014 | IGT CB |
| INTERNATIONAL LEASE FINANCE CO | 75,000.00 | 0.11 | $71,250.00 | 8.75 | 03/15/2017 | AIG |
| INTERNATIONAL WIRE GROUP INC | 140,000.00 | 0.21 | $139,300.00 | 9.75 | 04/15/2015 | WIREG |
| INTERTAPE POLYMER US INC | 100,000.00 | 0.13 | $81,500.00 | 8.50 | 08/01/2014 | ITP |
| INVERNESS MEDICAL INNOVATIONS | 104,000.00 | 0.16 | $104,520.00 | 9.00 | 05/15/2016 | IMA |
| INVERNESS MEDICAL INNOVATIONS | 215,000.00 | 0.29 | $185,975.00 | 3.00 | 05/15/2016 | IMA CB |
| INVESTORS REAL ESTATE TRUST | 10,300.00 | 0.14 | $90,949.00 | 0.69 | N/A | IRET |
| JBS USA LLC/JBS USA FINANCE IN | 68,000.00 | 0.12 | $76,585.00 | 11.62 | 05/01/2014 | FRIBOI |
| JEFFERIES GROUP INC | 115,000.00 | 0.17 | $108,387.50 | 3.88 | 11/01/2029 | JEF CB1 |
| JOHNSON & JOHNSON | 17,000.00 | 1.55 | $1,004,020.00 | 2.16 | N/A | JNJ |
| JOHNSONDIVERSEY HOLDINGS INC | 329,000.00 | 0.57 | $366,835.00 | 10.50 | 05/15/2020 | JONDIV |
| K HOVNANIAN ENTERPRISES INC | 70,000.00 | 0.08 | $49,350.00 | 7.50 | 05/15/2016 | 442488AZ5 |
| K HOVNANIAN ENTERPRISES INC | 125,000.00 | 0.14 | $91,875.00 | 6.25 | 01/15/2015 | 442488AU6 |
| KANSAS CITY SOUTHERN DE MEXICO | 35,000.00 | 0.06 | $36,400.00 | 8.00 | 02/01/2018 | KSU |
| KEY ENERGY SERVICES INC | 141,000.00 | 0.22 | $140,823.75 | 8.38 | 12/01/2014 | KEG |
| KIMBERLY-CLARK CORP | 17,100.00 | 1.60 | $1,036,773.00 | 2.64 | N/A | KMB |
| KIMCO REALTY CORP | 20,430.00 | 0.42 | $274,579.20 | 0.64 | N/A | KIM |
| KRAFT FOODS INC | 37,000.00 | 1.60 | $1,036,000.00 | 1.16 | N/A | KFT |
| L-3 COMMUNICATIONS HOLDINGS IN | 265,000.00 | 0.41 | $266,325.00 | 3.00 | 08/01/2035 | LLL CB1 |
| LANDRY'S RESTAURANTS INC | 220,000.00 | 0.35 | $228,800.00 | 11.62 | 12/01/2015 | LNY |
| LEAP WIRELESS INTERNATIONAL IN | 217,000.00 | 0.28 | $182,822.50 | 4.50 | 07/15/2014 | LEAP CB1 |
| LEVEL 3 COMMUNICATIONS INC | 140,000.00 | 0.21 | $134,750.00 | 5.25 | 12/15/2011 | LVLT CNV |
| LEVEL 3 FINANCING INC | 170,000.00 | 0.23 | $151,300.00 | 10.00 | 02/01/2018 | LVLT |
| LEVERAGE SEC DI | -20,225,000.07 | -31.20 | -$20,225,000.07 | 0.44 | 11/15/2010 | DILEV |
| LEXINGTON REALTY TRUST | 12,900.00 | 0.12 | $77,529.00 | 0.40 | N/A | LXP |
| LEXINGTON REALTY TRUST | 120,000.00 | 0.19 | $120,590.40 | 6.00 | 01/15/2030 | LXP CNVB |
| LIBERTY MUTUAL GROUP | 195,000.00 | 0.24 | $153,258.30 | 7.00 | 03/15/2037 | 53079EAQ7 |
| LIBERTY PROPERTY TRUST | 2,700.00 | 0.12 | $77,895.00 | 1.90 | N/A | LRY |
| LIFEPOINT HOSPITALS INC | 220,000.00 | 0.32 | $207,075.00 | 3.25 | 08/15/2025 | LPNT CB2 |
| LINEAR TECHNOLOGY CORP | 425,000.00 | 0.65 | $418,093.75 | 3.00 | 05/01/2027 | LLTC CB2 |
| LINN ENERGY LLC/LINN ENERGY FI | 160,000.00 | 0.25 | $164,600.00 | 8.62 | 04/15/2020 | LINE |
| LIVE NATION ENTERTAINMENT INC | 298,000.00 | 0.38 | $249,202.50 | 2.88 | 07/15/2027 | LYV CB1 |
| LONG TERM RECEIVABLES | -317,921.65 | -0.49 | -$317,921.65 | 0.00 | N/A | SECNCAHUS |
| LOWE'S COS INC | 42,800.00 | 1.35 | $873,976.00 | 0.36 | N/A | LOW |
| LTC PROPERTIES INC | 3,300.00 | 0.12 | $80,091.00 | 1.56 | N/A | LTC |
| LUCENT TECHNOLOGIES CAPITAL TR | 305.00 | 0.34 | $219,676.25 | 0.00 | N/A | LUTHP |
| LYONDELL CHEMICAL CO | 150,000.00 | 0.25 | $161,625.00 | 11.00 | 05/01/2018 | LYO |
| M/I HOMES INC | 75,000.00 | 0.12 | $74,625.00 | 6.88 | 04/01/2012 | MHO |
| MACDERMID INC | 393,000.00 | 0.61 | $394,965.00 | 9.50 | 04/15/2017 | MRD |
| MACERICH CO/THE | 2,426.00 | 0.14 | $90,538.32 | 2.00 | N/A | MAC |
| MAGNACHIP SEMICONDUCTOR SA / M | 110,000.00 | 0.17 | $112,475.00 | 10.50 | 04/15/2018 | MX |
| MANITOWOC CO INC/THE | 155,000.00 | 0.24 | $155,775.00 | 9.50 | 02/15/2018 | MTW |
| MARATHON OIL CORP | 32,500.00 | 1.56 | $1,010,425.00 | 1.00 | N/A | MRO |
| MCE FINANCE LTD | 185,000.00 | 0.30 | $193,093.75 | 10.25 | 05/15/2018 | MPEL |
| MDC PARTNERS INC | 70,000.00 | 0.12 | $74,900.00 | 11.00 | 11/01/2016 | MDCA |
| MEDTRONIC INC | 275,000.00 | 0.43 | $277,062.50 | 1.62 | 04/15/2013 | MDT CB1 |
| MERCK & CO INC | 15.00 | 0.01 | $3,750.00 | 0.38 | N/A | MRK B |
| MERCK & CO INC/NJ | 32,100.00 | 1.73 | $1,122,537.00 | 1.52 | N/A | MRK |
| MGM MIRAGE | 101,000.00 | 0.18 | $116,907.50 | 13.00 | 11/15/2013 | MGM |
| MGM MIRAGE | 410,000.00 | 0.60 | $387,450.00 | 11.38 | 03/01/2018 | MGM |
| MILLAR WESTERN | 120,000.00 | 0.16 | $103,800.00 | 7.75 | 11/15/2013 | 599908AE0 |
| MIRANT 2.50% CNV (ESCROW) | 180,000.00 | 0.00 | $0.00 | 0.00 | N/A | 6046759B6 |
| MIRANT AMERICAS GENERATION LLC | 200,000.00 | 0.29 | $187,000.00 | 8.50 | 10/01/2021 | MIR |
| MIRANT CORP | 189.00 | 0.00 | $1,995.84 | 0.00 | N/A | MIR |
| MOBILE MINI INC | 1,651.00 | 0.04 | $26,878.28 | 0.00 | N/A | MINI |
| MOHEGAN TRIBAL GAMING AUTHORIT | 40,000.00 | 0.04 | $28,600.00 | 6.88 | 02/15/2015 | 608328AR1 |
| MOHEGAN TRIBAL GAMING AUTHORIT | 100,000.00 | 0.11 | $72,750.00 | 7.12 | 08/15/2014 | 608328AP5 |
| MOTOROLA INC | 124,800.00 | 1.26 | $813,696.00 | 0.00 | N/A | MOT |
| MURRAY ENERGY CORP | 150,000.00 | 0.23 | $150,000.00 | 10.25 | 10/15/2015 | MURREN |
| MYLAN INC/PA | 220.00 | 0.36 | $233,530.00 | 0.00 | N/A | MYL A |
| MYLAN INC/PA | 75,000.00 | 0.12 | $76,875.00 | 7.88 | 07/15/2020 | MYL |
| NATIONAL OILWELL VARCO INC | 29,300.00 | 1.49 | $968,951.00 | 0.40 | N/A | NOV |
| NATIONAL RETAIL PROPERTIES INC | 6,700.00 | 0.22 | $143,648.00 | 1.50 | N/A | NNN |
| NATIONWIDE HEALTH PROPERTIES I | 8,800.00 | 0.49 | $314,776.00 | 1.80 | N/A | NHP |
| NCL CORP LTD | 155,000.00 | 0.25 | $162,750.00 | 11.75 | 11/15/2016 | STRC |
| NEWPAGE CORP | 25,000.00 | 0.04 | $22,812.50 | 11.38 | 12/31/2014 | NEWPAG |
| NEWPAGE CORP | 130,000.00 | 0.18 | $118,625.00 | 11.38 | 12/31/2014 | NEWPAG |
| NEXSTAR BROADCASTING INC / MIS | 150,000.00 | 0.23 | $151,500.00 | 8.88 | 04/15/2017 | NXST |
| NFR ENERGY LLC/NFR ENERGY FINA | 150,000.00 | 0.22 | $145,500.00 | 9.75 | 02/15/2017 | NFREGY |
| NIELSEN FINANCE LLC / NIELSEN | 25,000.00 | 0.04 | $27,437.50 | 11.50 | 05/01/2016 | VNU |
| NIELSEN FINANCE LLC / NIELSEN | 42,000.00 | 0.07 | $46,095.00 | 11.62 | 02/01/2014 | VNU |
| NIELSEN FINANCE LLC / NIELSEN | 166,000.00 | 0.25 | $158,945.00 | 0.00 | 08/01/2016 | 65409QAJ1 |
| NII CAPITAL CORP | 138,000.00 | 0.23 | $145,935.00 | 10.00 | 08/15/2016 | NIHD |
| NII HOLDINGS INC | 410,000.00 | 0.60 | $388,987.50 | 3.12 | 06/15/2012 | NIHD CB |
| NORANDA ALUMINIUM ACQUISITION | 155,005.76 | 0.19 | $120,129.47 | 5.37 | 05/15/2015 | NRNDA |
| NORCRAFT COS LP/NORCRAFT FINAN | 110,000.00 | 0.18 | $113,850.00 | 10.50 | 12/15/2015 | NORCFT |
| NORCRAFT HOLDINGS LP/NORCRAFT | 124,000.00 | 0.18 | $117,955.00 | 9.75 | 09/01/2012 | NORCFT |
| NORTHROP GRUMMAN CORP | 17,200.00 | 1.44 | $936,368.00 | 1.88 | N/A | NOC |
| NORTHWEST AIRLNS ESCROW (STUB) | 55,000.00 | 0.00 | $209.00 | 10.00 | 02/01/2011 | 66799ADP5 |
| NORTHWESTERN CORP | 3,300.00 | 0.13 | $86,460.00 | 1.36 | N/A | NWE |
| NOVASEP HOLDING SAS | 145,000.00 | 0.22 | $143,187.50 | 9.75 | 12/15/2016 | NOVASP |
| NOVELIS INC/GA | 72,000.00 | 0.12 | $75,600.00 | 11.50 | 02/15/2015 | HINDAL |
| NOVELIS INC/GA | 75,000.00 | 0.11 | $72,750.00 | 8.25 | 02/15/2015 | 67000XAB2 |
| NUVEEN INVESTMENTS INC | 489,000.00 | 0.66 | $427,875.00 | 10.50 | 11/15/2015 | NUVINV |
| NXP BV / NXP FUNDING LLC | 170,000.00 | 0.22 | $142,800.00 | 9.50 | 10/15/2015 | NXPBV |
| OMEGA HEALTHCARE INVESTORS INC | 7,900.00 | 0.24 | $157,447.00 | 1.28 | N/A | OHI |
| OPTI CANADA INC | 116,000.00 | 0.16 | $101,500.00 | 7.88 | 12/15/2014 | OPCCN |
| OPTI CANADA INC | 222,000.00 | 0.30 | $194,250.00 | 8.25 | 12/15/2014 | OPCCN |
| OSI RESTAURANT PARTNERS INC | 158,000.00 | 0.24 | $155,235.00 | 10.00 | 06/15/2015 | OSI |
| OWENS-BROCKWAY GLASS CONTAINER | 335,000.00 | 0.48 | $309,456.25 | 3.00 | 06/01/2015 | OI CB1 |
| PAETEC HOLDING CORP | 71,000.00 | 0.11 | $71,355.00 | 8.88 | 06/30/2017 | PAET |
| PAETEC HOLDING CORP | 80,000.00 | 0.12 | $78,200.00 | 9.50 | 07/15/2015 | PAET |
| PANTRY INC/THE | 180,000.00 | 0.26 | $167,400.00 | 3.00 | 11/15/2012 | PTRY CB |
| PE PAPER ESCROW GMBH | 100,000.00 | 0.17 | $110,053.00 | 12.00 | 08/01/2014 | SAPSJ |
| PEABODY ENERGY CORP | 50,000.00 | 0.08 | $49,000.00 | 4.75 | 12/15/2041 | BTU CB |
| PENINSULA GAMING LLC | 160,000.00 | 0.25 | $160,000.00 | 10.75 | 08/15/2017 | PENGAM |
| PENSON WORLDWIDE INC | 160,000.00 | 0.25 | $159,200.00 | 12.50 | 05/15/2017 | PNSN |
| PETROHAWK ENERGY CORP | 150,000.00 | 0.23 | $151,125.00 | 7.88 | 06/01/2015 | HAWK |
| PETROLEUM DEVELOPMENT CORP | 148,000.00 | 0.24 | $153,550.00 | 12.00 | 02/15/2018 | PETD |
| PFIZER INC | 69,189.00 | 1.52 | $986,635.14 | 0.72 | N/A | PFE |
| PINNACLE ENTERTAINMENT INC | 90,000.00 | 0.13 | $83,812.50 | 8.75 | 05/15/2020 | PNK |
| PIONEER DRILLING CO | 75,000.00 | 0.11 | $73,875.00 | 9.88 | 03/15/2018 | PDC |
| PLASTIPAK HOLDINGS INC | 71,000.00 | 0.12 | $79,165.00 | 10.62 | 08/15/2019 | PLASPK |
| PLUM CREEK TIMBER CO INC | 6,885.00 | 0.37 | $237,739.05 | 1.68 | N/A | PCL |
| PLY GEM INDUSTRIES INC | 165,000.00 | 0.26 | $167,887.50 | 13.12 | 07/15/2014 | PLYGEM |
| PORT TOWNSEND (REST) PREFERRED | 70.00 | 0.00 | $0.00 | 0.00 | N/A | 735999005 |
| PORT TOWNSEND (RESTRICTED) | 350.00 | 0.00 | $3.50 | 0.00 | N/A | 73545Q101 |
| PORT TOWNSEND PRIVATE NOTE | 102,592.26 | 0.11 | $74,379.39 | 7.32 | 08/27/2012 | 735999015 |
| PORT TOWNSEND WARRANT | 70.00 | 0.00 | $0.70 | 0.00 | N/A | 735999025 |
| POTLATCH CORP | 4,825.00 | 0.27 | $172,397.25 | 2.04 | N/A | PCH |
| PQ CORP TERM LOAN | 170,000.00 | 0.24 | $154,700.00 | 6.73 | 07/30/2015 | PQCOR |
| PREGIS CORP | 312,000.00 | 0.48 | $310,050.00 | 13.38 | 10/15/2013 | PREGIS |
| PRIMUS TELECOMMUNICATIONS HOLD | 139,000.00 | 0.21 | $139,000.00 | 13.00 | 12/15/2016 | PMUG |
| PROGRESS ENERGY INC | 27,000.00 | 1.63 | $1,058,940.00 | 2.48 | N/A | PGN |
| PUBLIC STORAGE | 5,150.00 | 0.70 | $452,736.50 | 3.20 | N/A | PSA |
| PUGET SOUND ENERGY INC | 110,000.00 | 0.16 | $101,096.38 | 6.97 | 06/01/2067 | PSD |
| QUEST DIAGNOSTICS INC/DE | 19,800.00 | 1.52 | $985,446.00 | 0.40 | N/A | DGX |
| QUICKSILVER RESOURCES INC | 215,000.00 | 0.31 | $199,412.50 | 7.12 | 04/01/2016 | 74837RAC8 |
| QUIKSILVER INC | 200,000.00 | 0.28 | $182,750.00 | 6.88 | 04/15/2015 | ZQK |
| QUINTILES TRANSNATIONAL CORP | 70,000.00 | 0.11 | $70,525.00 | 9.50 | 12/30/2014 | QTRN |
| QWEST COMMUNICATIONS INTERNATI | 61,000.00 | 0.09 | $61,457.50 | 7.50 | 02/15/2014 | QUS |
| QWEST CORP | 5,000.00 | 0.01 | $5,487.50 | 8.38 | 05/01/2016 | QUS |
| RABOBANK NEDERLAND NV | 150,000.00 | 0.29 | $185,771.10 | 11.00 | 12/29/2049 | RABOBK |
| RADIATION THERAPY SERVICES INC | 155,000.00 | 0.23 | $149,575.00 | 9.88 | 04/15/2017 | RTSX |
| RADNET INC | 155,000.00 | 0.22 | $140,275.00 | 10.38 | 04/01/2018 | RDNT |
| RAMCO-GERSHENSON PROPERTIES TR | 8,800.00 | 0.14 | $88,880.00 | 0.65 | N/A | RPT |
| RAYONIER TRS HOLDINGS INC | 345,000.00 | 0.55 | $358,368.75 | 3.75 | 10/15/2012 | RYN CB |
| RBS GLOBAL/REXNORD COR | 183,000.00 | 0.30 | $191,692.50 | 11.75 | 08/01/2016 | 75524DAD2 |
| RITE AID CORP | 90,000.00 | 0.11 | $74,025.00 | 9.38 | 12/15/2015 | 767754BQ6 |
| ROVI CORP | 250,000.00 | 0.39 | $255,625.00 | 2.62 | 03/15/2040 | ROVI CB1 |
| ROYAL CARIBBEAN CRUISES LTD | 80,000.00 | 0.12 | $78,200.00 | 6.88 | 12/01/2013 | 780153AP7 |
| RSC EQUIPMENT RENTAL INC | 132,000.00 | 0.20 | $131,835.00 | 9.50 | 12/01/2014 | RSC |
| RSC EQUIPMENT RENTAL INC/RSC H | 15,000.00 | 0.02 | $15,225.00 | 10.25 | 11/15/2019 | RRR |
| RYERSON INC | 99,000.00 | 0.14 | $92,565.00 | 7.72 | 11/01/2014 | RYI |
| RYERSON INC | 125,000.00 | 0.20 | $128,437.50 | 12.25 | 11/01/2015 | RYI |
| SAFEWAY INC | 47,100.00 | 1.43 | $925,986.00 | 0.48 | N/A | SWY |
| SANDISK CORP | 190,000.00 | 0.26 | $169,812.50 | 1.00 | 05/15/2013 | SNDK CB |
| SANDRIDGE ENERGY INC | 110,000.00 | 0.16 | $105,050.00 | 8.75 | 01/15/2020 | SD |
| SANDRIDGE ENERGY INC | 123,000.00 | 0.19 | $125,460.00 | 9.88 | 05/15/2016 | SD |
| SANMINA-SCI CORP | 154,000.00 | 0.24 | $152,460.00 | 8.12 | 03/01/2016 | 800907AK3 |
| SBA COMMUNICATIONS CORP | 165,000.00 | 0.33 | $211,612.50 | 4.00 | 10/01/2014 | SBAC CB2 |
| SECURITIZED NET CASH - ACR1 | 884,014.10 | 1.36 | $884,014.10 | 0.00 | N/A | SECCASHAC |
| SECURITY LENDING COLLATERAL | 163,237.10 | 0.01 | $6,937.58 | 0.00 | N/A | SECLENDPL |
| SELECT MEDICAL CORP | 109,000.00 | 0.16 | $103,005.00 | 7.62 | 02/01/2015 | SELMED |
| SERVICEMASTER CO/THE | 145,000.00 | 0.23 | $150,800.00 | 10.75 | 07/15/2015 | SVM |
| SHINGLE SPRINGS | 176,000.00 | 0.22 | $140,360.00 | 9.38 | 06/15/2015 | 82459AAA9 |
| SIMON PROPERTY GROUP INC | 11,347.00 | 1.41 | $916,270.25 | 2.40 | N/A | SPG |
| SINCLAIR TELEVISION GROUP INC | 110,000.00 | 0.17 | $111,650.00 | 9.25 | 11/01/2017 | SBGI |
| SINO-FOREST CORP | 255,000.00 | 0.40 | $262,331.25 | 5.00 | 08/01/2013 | TRECN |
| SITEL LLC/SITEL FINANCE CORP | 150,000.00 | 0.22 | $139,500.00 | 11.50 | 04/01/2018 | SITEL |
| SMITHFIELD FOODS | 67,000.00 | 0.10 | $64,320.00 | 7.75 | 07/01/2017 | 832248AQ1 |
| SOLAR CAPITAL LTD | 30,561.00 | 0.91 | $588,604.86 | 2.40 | N/A | SLRC |
| SOLO CUP CO | 79,000.00 | 0.11 | $71,297.50 | 8.50 | 02/15/2014 | 834260AB7 |
| SPRINT CAPITAL | 255,000.00 | 0.38 | $244,800.00 | 8.75 | 03/15/2032 | 852060AT9 |
| STANDARD PACIFIC CORP | 75,000.00 | 0.12 | $80,625.00 | 10.75 | 09/15/2016 | SPF |
| STANDARD PACIFIC CORP | 135,000.00 | 0.19 | $121,162.50 | 6.00 | 10/01/2012 | SPF CB1 |
| STARWOOD PROPERTY TRUST INC | 16,000.00 | 0.42 | $271,200.00 | 1.00 | N/A | STWD |
| STEEL DYNAMICS INC | 115,000.00 | 0.18 | $115,000.00 | 7.62 | 03/15/2020 | STLD |
| SUNGARD DATA SYSTEMS INC | 138,000.00 | 0.22 | $143,175.00 | 10.25 | 08/15/2015 | SDSINC |
| SUSSER HOLDINGS LLC / SUSSER F | 140,000.00 | 0.22 | $140,700.00 | 8.50 | 05/15/2016 | SUSS |
| SVB FINANCIAL GROUP | 105,000.00 | 0.16 | $106,837.50 | 3.88 | 04/15/2011 | SIVB CB |
| TAUBMAN CENTERS INC | 2,400.00 | 0.14 | $90,312.00 | 1.66 | N/A | TCO |
| TECK RESOURCES LTD | 28,000.00 | 0.05 | $33,077.35 | 10.25 | 05/15/2016 | TCKCN |
| TECK RESOURCES LTD | 75,000.00 | 0.14 | $92,035.88 | 10.75 | 05/15/2019 | TCKCN |
| TELCORDIA TECHNOLOGIES INC | 160,000.00 | 0.24 | $152,800.00 | 11.00 | 05/01/2018 | TELCOR |
| TELESAT CANADA / TELESAT LLC | 85,000.00 | 0.14 | $92,225.00 | 11.00 | 11/01/2015 | TELSAT |
| TELESAT CANADA / TELESAT LLC | 189,000.00 | 0.33 | $212,625.00 | 12.50 | 11/01/2017 | TELSAT |
| TERREMARK WORLDWIDE INC | 131,000.00 | 0.23 | $148,030.00 | 12.00 | 06/15/2017 | TMRK |
| TEXAS COMPETITIVE ELECTRIC HOL | 220,000.00 | 0.23 | $146,300.00 | 10.50 | 11/01/2015 | TXU |
| THERMADYNE HOLDINGS CORP | 152,000.00 | 0.24 | $154,660.00 | 11.50 | 02/01/2014 | THMD |
| TOPS MARKETS LLC | 140,000.00 | 0.22 | $144,900.00 | 10.12 | 10/15/2015 | TOMA |
| TRANSOCEAN INC | 125,000.00 | 0.19 | $121,718.75 | 1.62 | 12/15/2037 | RIG CB |
| TRAVELERS COS INC/THE | 21,000.00 | 1.60 | $1,034,250.00 | 1.44 | N/A | TRV |
| TREASURY BILL | 230,936.59 | 0.36 | $230,928.50 | 0.05 | 07/15/2010 | B |
| TREASURY BILL | 438,639.71 | 0.68 | $438,639.72 | 0.01 | 07/01/2010 | B |
| TRIMAS CORP | 120,000.00 | 0.19 | $122,100.00 | 9.75 | 12/15/2017 | TRS |
| TXU CORP | 105,000.00 | 0.12 | $75,114.38 | 5.55 | 11/15/2014 | 873168AL2 |
| UMBRELLA ACQ 144A | 94,725.00 | 0.12 | $79,332.19 | 9.75 | 03/15/2015 | 904201AA8 |
| UNITED AIR LINES INC | 220,000.00 | 0.35 | $229,900.00 | 12.00 | 11/01/2013 | UAUA |
| UNIVERSAL HOSPITAL SERVICES IN | 80,000.00 | 0.12 | $79,200.00 | 8.50 | 06/01/2015 | UHOS |
| UNIVISION COMMUNICATIONS INC | 103,000.00 | 0.17 | $110,982.50 | 12.00 | 07/01/2014 | UVN |
| UPC HOLDING BV | 100,000.00 | 0.16 | $101,000.00 | 9.88 | 04/15/2018 | LBTYA |
| US ONCOLOGY HOLDINGS INC | 159,000.00 | 0.23 | $148,665.00 | 6.64 | 03/15/2012 | USON |
| USG CORP | 35,000.00 | 0.06 | $36,575.00 | 9.75 | 08/01/2014 | USG |
| USGEN ESCROW TRACKING POSITION | 250,000.00 | 0.00 | $0.00 | 0.00 | N/A | 91799ALA7 |
| VENTAS INC | 9,375.00 | 0.68 | $440,156.25 | 2.14 | N/A | VTR |
| VERISIGN INC | 235,000.00 | 0.33 | $213,556.25 | 3.25 | 08/15/2037 | VRSN CB1 |
| VERIZON COMMUNICATIONS INC | 37,800.00 | 1.63 | $1,059,156.00 | 1.90 | N/A | VZ |
| VERSO PAPER HOLDINGS LLC / VER | 135,000.00 | 0.18 | $115,762.50 | 11.38 | 08/01/2016 | 92531XAF9 |
| VIASAT INC | 75,000.00 | 0.12 | $76,687.50 | 8.88 | 09/15/2016 | VSAT |
| VIRGIN MEDIA FINANCE PLC | 100,000.00 | 0.16 | $101,750.00 | 8.38 | 10/15/2019 | VMED |
| VIRGIN MEDIA INC | 93,000.00 | 0.17 | $109,391.25 | 6.50 | 11/15/2016 | VMED CNVB |
| VISKASE COS INC | 20,000.00 | 0.03 | $20,200.00 | 9.88 | 01/15/2018 | VKSC |
| VISKASE COS INC | 145,000.00 | 0.23 | $146,450.00 | 9.88 | 01/15/2018 | VKSC |
| VORNADO REALTY TRUST | 7,665.00 | 0.86 | $559,161.75 | 2.60 | N/A | VNO |
| W2007 GRACE ACQUISITION I INC | 34,400.00 | 0.01 | $5,160.00 | 0.00 | N/A | GRACE |
| WASTE MANAGEMENT INC | 31,900.00 | 1.54 | $998,151.00 | 1.26 | N/A | WM |
| WEINGARTEN REALTY INVESTORS | 3,600.00 | 0.11 | $68,580.00 | 1.04 | N/A | WRI |
| WEST CORP/OLD | 160,000.00 | 0.25 | $163,600.00 | 11.00 | 10/15/2016 | 952355AF2 |
| WILLIAMS COS INC/THE | 49,200.00 | 1.39 | $899,376.00 | 0.50 | N/A | WMB |
| WIND ACQUISITION 144A | 75,000.00 | 0.12 | $78,000.00 | 12.00 | 12/01/2015 | 97314XAA2 |
| WIND ACQUISITION FINANCE SA | 100,000.00 | 0.16 | $103,000.00 | 11.75 | 07/15/2017 | WINDIM |
| XEROX CORP | 112,800.00 | 1.40 | $906,912.00 | 0.17 | N/A | XRX |
| XL CAPITAL LTD | 95,000.00 | 0.10 | $66,500.00 | 6.50 | 12/31/2049 | XL |
| XM SATELLITE RADIO HOLDINGS IN | 340,000.00 | 0.58 | $373,150.00 | 13.00 | 08/01/2013 | XMSR |
| YANKEE ACQUISITION CORP/MA | 150,000.00 | 0.24 | $153,375.00 | 9.75 | 02/15/2017 | YCC |