| AAR CORP | 260,000.00 | 0.38 | $262,600.00 | 1.75 | 02/01/2026 | AIR CB |
| ACCELLENT INC | 105,000.00 | 0.15 | $101,587.50 | 10.50 | 12/01/2013 | 00430XAB3 |
| ADVANCED MICRO DEVICES INC | 30,000.00 | 0.04 | $30,037.50 | 8.12 | 12/15/2017 | AMD |
| ADVANCED MICRO DEVICES INC | 70,000.00 | 0.09 | $63,350.00 | 6.00 | 05/01/2015 | AMD CB1 |
| ADVANCED MICRO DEVICES INC | 450,000.00 | 0.60 | $407,250.00 | 6.00 | 05/01/2015 | AMD CB |
| AES CORP/THE | 47,000.00 | 0.07 | $48,468.75 | 8.00 | 10/15/2017 | AES |
| AES CORP/THE | 83,000.00 | 0.12 | $84,660.00 | 7.75 | 03/01/2014 | AES |
| AFFINION GROUP INC | 70,000.00 | 0.11 | $73,675.00 | 11.50 | 10/15/2015 | AFFINI |
| ALASKA COMMUNICATIONS SYSTEMS | 260,000.00 | 0.35 | $238,875.00 | 5.75 | 03/01/2013 | ALSK CB |
| ALEXANDRIA REAL ESTATE EQUITIE | 3,090.00 | 0.29 | $198,656.10 | 1.40 | N/A | ARE |
| ALGOMA ACQUISITION CORP | 170,000.00 | 0.21 | $145,562.50 | 9.88 | 06/15/2015 | AGACN |
| ALLERGAN INC/UNITED STATES | 415,000.00 | 0.70 | $479,843.75 | 1.50 | 04/01/2026 | AGN CB |
| ALLIANCE HEALTHCARE SERVICES I | 6,301.00 | 0.05 | $35,978.71 | 0.00 | N/A | AIQ |
| ALLIANCE HEALTHCARE SERVICES I | 70,000.00 | 0.10 | $68,600.00 | 8.00 | 12/01/2016 | AIQ |
| ALLIANCE ONE INTERNATIONAL INC | 20,000.00 | 0.03 | $21,100.00 | 10.00 | 07/15/2016 | AOI |
| ALLIANCE ONE INTERNATIONAL INC | 113,000.00 | 0.17 | $119,215.00 | 10.00 | 07/15/2016 | AOI |
| ALLISON TRANSMISSION 144A | 220,000.00 | 0.34 | $232,100.00 | 11.00 | 11/01/2015 | 019736AA5 |
| ALLSTATE CORP/THE | 36,600.00 | 1.61 | $1,099,464.00 | 0.80 | N/A | ALL |
| AMB PROPERTY CORP | 1,280.00 | 0.05 | $32,704.00 | 1.12 | N/A | AMB |
| AMERICAN AXLE & MANUFACTURING | 50,000.00 | 0.07 | $51,000.00 | 9.25 | 01/15/2017 | AXL |
| AMERICAN AXLE & MFG INC | 90,000.00 | 0.11 | $76,500.00 | 7.88 | 03/01/2017 | 02406PAF7 |
| AMERICAN WATER WORKS | 4,300.00 | 0.14 | $96,363.00 | 0.21 | N/A | AWK |
| AMGEN INC | 165,000.00 | 0.24 | $166,856.25 | 0.38 | 02/01/2013 | AMGN CB |
| AMGEN INC | 235,000.00 | 0.35 | $237,643.75 | 0.38 | 02/01/2013 | AMGN CB1 |
| AMH HOLDINGS INC | 60,000.00 | 0.09 | $58,200.00 | 11.25 | 03/01/2014 | SIDE |
| ANNALY CAPITAL MANAGEMENT INC | 2,300.00 | 0.06 | $39,905.00 | 2.76 | N/A | NLY |
| ANTERO RESOURCES FINANCE CORP | 115,000.00 | 0.17 | $117,875.00 | 9.38 | 12/01/2017 | ANTERO |
| APARTMENT INVESTMENT & MANAGEM | 7,968.00 | 0.19 | $126,850.56 | 0.40 | N/A | AIV |
| AQUILEX HOLDINGS LLC/AQUILEX F | 110,000.00 | 0.16 | $110,275.00 | 11.12 | 12/15/2016 | AQUILE |
| ARCHER-DANIELS-MIDLAND CO | 37,100.00 | 1.70 | $1,161,601.00 | 0.56 | N/A | ADM |
| ARVINMERITOR INC | 165,000.00 | 0.23 | $158,400.00 | 8.12 | 09/15/2015 | ARM |
| ARVINMERITOR INC | 235,000.00 | 0.26 | $175,662.50 | 4.00 | 02/15/2027 | ARM CB |
| ASHTEAD CAPITAL 144A | 100,000.00 | 0.15 | $100,625.00 | 9.00 | 08/15/2016 | 045054AA1 |
| ASPEN INSURANCE CNV PFD | 8,800.00 | 0.68 | $463,650.00 | 2.81 | N/A | EP0179044 |
| ASSOCIATED MATERIALS LLC/ASSOC | 15,000.00 | 0.02 | $15,900.00 | 9.88 | 11/15/2016 | SIDE |
| AT&T INC | 33,200.00 | 1.36 | $930,596.00 | 1.64 | N/A | T |
| AVADO BRANDS (RESTRICTED) | 1,390.00 | 0.00 | $0.00 | 0.00 | N/A | 05336N996 |
| AVIS BUDGET CAR RENTAL LLC/AVI | 80,000.00 | 0.11 | $75,200.00 | 8.00 | 05/15/2016 | 053773AF4 |
| AVIS BUDGET CAR RENTAL LLC/AVI | 190,000.00 | 0.27 | $181,450.00 | 7.88 | 05/15/2014 | CAR |
| BAC CAPITAL TRUST XIV | 215,000.00 | 0.22 | $149,962.50 | 5.63 | 12/31/2049 | 05518VAA3 |
| BANK OF AMERICA | 150,000.00 | 0.21 | $144,620.70 | 1.28 | N/A | 060505DR2 |
| BANK OF AMERICA CORP | 15,000.00 | 0.02 | $14,459.85 | 8.12 | 12/29/2049 | 060505DT8 |
| BANK OF NEW YORK MELLON CORP/T | 36,700.00 | 1.50 | $1,026,499.00 | 0.36 | N/A | BK |
| BAUSCH & LOMB INC | 137,000.00 | 0.21 | $145,220.00 | 9.88 | 11/01/2015 | BOL |
| BEAZER HOMES USA INC | 110,000.00 | 0.15 | $102,575.00 | 4.62 | 06/15/2024 | BZH CB |
| BEAZER HOMES USA INC | 138,000.00 | 0.20 | $135,240.00 | 8.62 | 05/15/2011 | 07556QAE5 |
| BIOMET INC | 135,000.00 | 0.22 | $149,850.00 | 11.62 | 10/15/2017 | BMET |
| BLACKSTONE GROUP LP | 3,000.00 | 0.06 | $39,360.00 | 1.20 | N/A | BX |
| BOSTON PROPERTIES INC | 3,000.00 | 0.29 | $201,210.00 | 2.00 | N/A | BXP |
| BRANDYWINE REALTY TRUST | 11,500.00 | 0.19 | $131,100.00 | 0.60 | N/A | BDN |
| BRE PROPERTIES INC | 4,600.00 | 0.22 | $152,168.00 | 1.50 | N/A | BRE |
| BRISTOL-MYERS SQUIBB CO | 42,200.00 | 1.56 | $1,065,550.00 | 1.24 | N/A | BMY |
| BRISTOW GROUP INC | 300,000.00 | 0.40 | $270,375.00 | 3.00 | 06/15/2038 | BRS CB |
| BROOKFIELD INFRASTRUCTURE PA | 7,600.00 | 0.19 | $127,452.00 | 8.41 | N/A | BIP |
| BUILDING MAT COR | 104,000.00 | 0.15 | $103,480.00 | 7.75 | 08/01/2014 | 120111BC2 |
| BURLINGTON COAT FACTORY INVEST | 225,000.00 | 0.33 | $226,125.00 | 14.50 | 10/15/2014 | BCFACT |
| BURLINGTON COAT FACTORY WAREHO | 70,000.00 | 0.11 | $72,625.00 | 11.12 | 04/15/2014 | 121579AB2 |
| BWAY CORP | 123,000.00 | 0.19 | $130,687.50 | 10.00 | 04/15/2014 | BWY |
| C5 CAPITAL SPV 144A | 100,000.00 | 0.10 | $68,652.20 | 6.20 | 12/31/2049 | 12526YAA3 |
| C8 CAPITAL SPV 144A | 100,000.00 | 0.10 | $69,562.80 | 6.64 | 12/31/2049 | 12518TAA4 |
| CABLEVISION SYSTEMS CORP | 80,000.00 | 0.12 | $83,700.00 | 8.62 | 09/15/2017 | CVC |
| CALIFORNIA STEEL INDUSTRIES IN | 113,000.00 | 0.16 | $106,502.50 | 6.12 | 03/15/2014 | CALSTL |
| CALPINE CORP ESCROW TRACKING | 345,000.00 | 0.00 | $0.03 | 0.00 | N/A | 131ESC9B3 |
| CAMDEN PROPERTY TRUST | 3,450.00 | 0.21 | $146,176.50 | 1.80 | N/A | CPT |
| CAPITAL ONE CAPITAL V | 135,000.00 | 0.23 | $157,344.53 | 10.25 | 08/15/2039 | COF |
| CARDINAL HEALTH INC | 39,800.00 | 1.88 | $1,283,152.00 | 0.70 | N/A | CAH |
| CARDTRONICS INC | 55,000.00 | 0.08 | $56,856.25 | 9.25 | 08/15/2013 | CATM |
| CARROLS CORP | 33,000.00 | 0.05 | $33,660.00 | 9.00 | 01/15/2013 | TAST |
| CASELLA WASTE SYSTEMS INC | 137,000.00 | 0.20 | $135,972.50 | 9.75 | 02/01/2013 | CWST |
| CASH | 1,626,066.38 | 2.38 | $1,626,066.38 | 0.00 | 12/15/2038 | US-CASH |
| CCH II LLC / CCH II CAPITAL CO | 125,000.00 | 0.22 | $147,812.50 | 13.50 | 11/30/2016 | CHTR |
| CEDAR SHOPPING CENTERS INC | 5,700.00 | 0.06 | $38,760.00 | 0.00 | N/A | CDR |
| CEMEX FINANCE LLC | 150,000.00 | 0.23 | $157,875.00 | 9.50 | 12/14/2016 | CEMEX |
| CENGAGE LEARNING ACQUISITIONS | 85,000.00 | 0.12 | $81,706.25 | 10.75 | 01/15/2015 | TLACQ |
| CENTURY ALUMINUM CO | 20,000.00 | 0.03 | $19,225.00 | 1.75 | 08/01/2024 | CENX CB |
| CENTURY ALUMINUM CO | 116,150.00 | 0.17 | $113,827.00 | 8.00 | 05/15/2014 | CENX |
| CENTURY COMM TRACKING | 500,000.00 | 0.00 | $0.00 | 0.00 | N/A | 156ESCAG0 |
| CHARTER COMMUNICATIONS OPERATI | 133,000.00 | 0.22 | $149,625.00 | 10.88 | 09/15/2014 | CHTR |
| CHESAPEAKE ENERGY CORP | 24,000.00 | 0.04 | $26,460.00 | 9.50 | 02/15/2015 | CHK |
| CHESAPEAKE ENERGY CORP | 220,000.00 | 0.24 | $167,475.00 | 2.25 | 12/15/2038 | CHK CB |
| CHEVRON CORP | 12,600.00 | 1.42 | $970,074.00 | 2.72 | N/A | CVX |
| CHIMERA INVESTMENT CORP | 23,800.00 | 0.13 | $92,344.00 | 0.48 | N/A | CIM |
| CINCINNATI BELL INC | 105,000.00 | 0.16 | $107,100.00 | 8.25 | 10/15/2017 | CBB |
| CITIGROUP CAPITAL XXI | 65,000.00 | 0.09 | $62,887.50 | 8.30 | 12/21/2057 | 173094AA1 |
| CITY NATIONAL CAPITAL TRUST I | 145,000.00 | 0.23 | $154,400.35 | 9.62 | 02/01/2040 | CYN |
| CLEAR CHANNEL COMMUNICATIONS I | 165,000.00 | 0.19 | $130,350.00 | 10.75 | 08/01/2016 | CCU |
| CLEARWIRE COMMUNICATIONS LLC/C | 145,000.00 | 0.22 | $147,900.00 | 12.00 | 12/01/2015 | CLWR |
| CLEARWIRE CORP | 150,000.00 | 0.22 | $153,000.00 | 12.00 | 12/01/2015 | CLWR |
| COGDELL SPENCER INC | 16,800.00 | 0.14 | $95,088.00 | 0.40 | N/A | CSA |
| COLUMBUS INTERNATIONAL INC | 135,000.00 | 0.21 | $142,425.00 | 11.50 | 11/20/2014 | COLUIF |
| COMMUNITY HEALTH SYSTEMS INC | 62,000.00 | 0.09 | $64,325.00 | 8.88 | 07/15/2015 | CYH |
| COMPLETE PRODUCTION SERVICES I | 77,000.00 | 0.11 | $76,326.25 | 8.00 | 12/15/2016 | CPX |
| CONOCOPHILLIPS | 19,500.00 | 1.46 | $995,865.00 | 2.00 | N/A | COP |
| COPANO ENERGY LLC / COPANO ENE | 94,000.00 | 0.14 | $94,705.00 | 7.75 | 06/01/2018 | CPNO |
| CORNELL COS INC | 52,000.00 | 0.08 | $53,365.00 | 10.75 | 07/01/2012 | CRN |
| CORPORATE OFFICE PROPERTIES LP | 195,000.00 | 0.28 | $189,637.50 | 3.50 | 09/15/2026 | OFC CVB |
| COTT BEVERAGES INC | 90,000.00 | 0.14 | $93,150.00 | 8.38 | 11/15/2017 | BCB |
| CPM HOLDINGS INC | 28,000.00 | 0.04 | $29,680.00 | 10.62 | 09/01/2014 | CPMH |
| CRICKET COMMUNICATIONS INC | 222,000.00 | 0.33 | $224,220.00 | 9.38 | 11/01/2014 | LEAP |
| CVS CAREMARK CORP | 35,900.00 | 1.69 | $1,156,339.00 | 0.30 | N/A | CVS |
| CYPRESS SHARPRIDGE INVESTMENTS | 14,800.00 | 0.29 | $199,948.00 | 1.40 | N/A | CYS |
| DELTA AIR LINES INC | 4.00 | 0.00 | $45.52 | 0.00 | N/A | DAL |
| DELTA AIR LINES INC | 65,000.00 | 0.10 | $67,843.75 | 9.50 | 09/15/2014 | DAL |
| DELTA AIR LINES INC/OLD | 61,000.00 | 0.09 | $61,305.00 | 7.92 | 11/18/2010 | DAL |
| DENBURY RESOURCES INC | 15,000.00 | 0.02 | $15,150.00 | 7.50 | 04/01/2013 | 24823UAE8 |
| DENBURY RESOURCES INC | 66,000.00 | 0.10 | $70,785.00 | 9.75 | 03/01/2016 | DNR |
| DEVELOPERS DIVERSIFIED REALTY | 25,000.00 | 0.04 | $26,129.53 | 9.62 | 03/15/2016 | DDR |
| DIGICEL GROUP 144A | 100,000.00 | 0.14 | $99,000.00 | 9.12 | 01/15/2015 | 25380WAB2 |
| DIGICEL GROUP LTD | 100,000.00 | 0.14 | $97,500.00 | 8.88 | 01/15/2015 | DLLTD |
| DIGICEL GROUP LTD | 110,000.00 | 0.16 | $107,800.00 | 8.25 | 09/01/2017 | DLLTD |
| DIGITAL REALTY TRUST INC | 5,550.00 | 0.41 | $279,054.00 | 1.80 | N/A | DLR |
| DIGITAL REALTY TRUST LP | 95,000.00 | 0.18 | $124,093.75 | 5.50 | 04/15/2029 | DLR CB |
| DIRECTV | 1,550.00 | 0.08 | $51,692.50 | 0.00 | N/A | DTV |
| DISH DBS CORP | 150,000.00 | 0.23 | $158,062.50 | 7.88 | 09/01/2019 | DISH |
| DJO FINANCE LLC / DJO FINANCE | 140,000.00 | 0.22 | $148,400.00 | 10.88 | 11/15/2014 | REABLE |
| DOLE FOOD CO INC | 62,000.00 | 0.11 | $74,865.00 | 13.88 | 03/15/2014 | DOLEFC |
| DOLLAR FINANCIAL CORP | 145,000.00 | 0.22 | $148,987.50 | 10.38 | 12/15/2016 | DLLR |
| DOMINION RESOURCES INC/VA | 290,000.00 | 0.49 | $336,400.00 | 2.12 | 12/15/2023 | D CB |
| DRUMMOND CO INC | 145,000.00 | 0.22 | $152,793.75 | 9.00 | 10/15/2014 | DRUMCO |
| DUANE READE INC | 65,000.00 | 0.10 | $70,850.00 | 11.75 | 08/01/2015 | DRD |
| DYNEGY HOLDINGS INC | 162,000.00 | 0.21 | $141,345.00 | 7.75 | 06/01/2019 | DYN |
| E*TRADE FINANCIAL CORP | 116,000.00 | 0.19 | $132,385.00 | 12.50 | 11/30/2017 | ETFC |
| EASTMAN KODAK | 39,000.00 | 0.05 | $32,370.00 | 7.25 | 11/15/2013 | 277461BD0 |
| EDISON INTERNATIONAL | 33,900.00 | 1.72 | $1,179,042.00 | 1.24 | N/A | EIX |
| EDISON MISSION ENERGY | 100,000.00 | 0.12 | $79,500.00 | 7.00 | 05/15/2017 | EIX |
| EI DU PONT DE NEMOURS & CO | 32,100.00 | 1.58 | $1,080,807.00 | 1.64 | N/A | DD |
| EL PASO CORP | 47,000.00 | 0.07 | $47,200.27 | 6.88 | 06/15/2014 | EP |
| EL PASO CORP | 52,000.00 | 0.08 | $51,833.18 | 7.00 | 06/15/2017 | EP |
| EL PASO ENERGY CAPITAL TRUST I | 5,250.00 | 0.28 | $191,887.50 | 0.00 | N/A | EP C |
| EL PASO PERFORMANCE-LINKED TRU | 33,000.00 | 0.05 | $33,995.31 | 7.75 | 07/15/2011 | EP |
| ELWOOD ENERGY LLC | 167,845.00 | 0.23 | $155,180.93 | 8.16 | 07/05/2026 | ELWOOD |
| ENERGY FUTURE HOLDINGS CORP | 66,000.00 | 0.08 | $54,285.00 | 11.38 | 11/01/2017 | TXU |
| ENERGY FUTURE HOLDINGS TERM B2 | 115,413.85 | 0.14 | $94,026.51 | 3.74 | 10/10/2014 | LN363469 |
| ENTERPRISE PRODUCTS OPERATING | 30,000.00 | 0.04 | $29,286.21 | 8.38 | 08/01/2066 | EPD |
| ENTERTAINMENT PROPERTIES TRUST | 6,320.00 | 0.33 | $222,906.40 | 2.60 | N/A | EPR |
| EQUITY RESIDENTIAL | 16,600.00 | 0.82 | $560,748.00 | 1.35 | N/A | EQR |
| EURONET WORLDWIDE INC | 435,000.00 | 0.60 | $408,356.25 | 3.50 | 10/15/2025 | EEFT CB |
| EVRAZ GROUP SA | 195,000.00 | 0.28 | $195,000.00 | 9.50 | 04/24/2018 | EVRAZ |
| FEDERAL NATIONAL MORTGAGE ASSO | 3,500.00 | 0.01 | $6,230.00 | 0.00 | N/A | 313586745 |
| FEDERAL REALTY INVESTMENT TRUS | 300.00 | 0.03 | $20,316.00 | 2.64 | N/A | FRT |
| FEDERATED RETAIL | 110,000.00 | 0.14 | $93,500.00 | 6.38 | 03/15/2037 | 314275AC2 |
| FELCOR LODGING TRUST INC | 130,000.00 | 0.19 | $131,787.50 | 10.00 | 10/01/2014 | FCH |
| FIRST DATA CORP | 295,000.00 | 0.40 | $276,562.50 | 9.88 | 09/24/2015 | FDC |
| FLEXTRONICS INTERNATIONAL | 4,400.00 | 0.05 | $32,164.00 | 0.00 | N/A | FLEX |
| FLEXTRONICS INTERNATIONAL LTD | 85,000.00 | 0.12 | $83,937.50 | 1.00 | 08/01/2010 | FLEX CB |
| FMG FINANCE PTY LTD | 135,000.00 | 0.22 | $150,018.75 | 10.62 | 09/01/2016 | 30250BAC3 |
| FORD MOTOR CO | 174,000.00 | 0.23 | $154,642.50 | 7.45 | 07/16/2031 | F |
| FORD MOTOR CREDIT CO LLC | 260,000.00 | 0.44 | $301,808.00 | 12.00 | 05/15/2015 | F |
| FOSTER WHEELER | 2.00 | 0.00 | $58.88 | 0.00 | N/A | FWLT |
| FREEPORT-MCMORAN C & G | 125,000.00 | 0.20 | $137,062.63 | 8.38 | 04/01/2017 | 35671DAS4 |
| FREESCALE SEMICONDUCTOR INC | 173,000.00 | 0.23 | $159,592.50 | 8.88 | 12/15/2014 | FSL |
| FRONTIER COMMUNICATIONS CORP | 24,400.00 | 0.28 | $190,564.00 | 1.00 | N/A | FTR |
| GALAXY ENTERTAINMENT FINANCE C | 240,000.00 | 0.35 | $241,200.00 | 9.88 | 12/15/2012 | GALENT |
| GAYLORD ENTERTAINMENT | 66,000.00 | 0.09 | $61,710.00 | 6.75 | 11/15/2014 | 367905AD8 |
| GAYLORD ENTERTAINMENT CO | 220,000.00 | 0.33 | $225,225.00 | 3.75 | 10/01/2014 | GET CB |
| GCI INC | 145,000.00 | 0.21 | $146,993.75 | 8.62 | 11/15/2019 | GNCMA |
| GENERAL GROWTH PROPERTIES INC | 6.00 | 0.00 | $69.36 | 0.00 | N/A | GGWPQ |
| GENERAL MARITIME CORP | 85,000.00 | 0.13 | $88,931.25 | 12.00 | 11/15/2017 | GMR |
| GEOEYE INC | 550.00 | 0.02 | $15,334.00 | 0.00 | N/A | GEOY |
| GEOEYE INC | 85,000.00 | 0.13 | $87,868.75 | 9.62 | 10/01/2015 | GEOY |
| GLOBAL CASH ACCESS LLC/GLOBAL | 41,000.00 | 0.06 | $41,051.25 | 8.75 | 03/15/2012 | GLCASH |
| GLOBAL CROSSING LTD | 135,000.00 | 0.22 | $148,837.50 | 12.00 | 09/15/2015 | GLBC |
| GMAC LLC | 71,000.00 | 0.10 | $70,290.00 | 6.00 | 12/15/2011 | GMAC |
| GMAC LLC | 85,000.00 | 0.12 | $84,150.00 | 6.62 | 05/15/2012 | GMAC |
| GMAC LLC | 174,000.00 | 0.25 | $173,130.00 | 6.88 | 09/15/2011 | GMAC |
| GMAC LLC | 196,000.00 | 0.28 | $194,040.00 | 6.88 | 08/28/2012 | GMAC |
| GOODYEAR TIRE & RUBBER CO/THE | 2,000.00 | 0.00 | $2,220.00 | 10.50 | 05/15/2016 | GT |
| GOVERNMENT PROPERTIES INCOME T | 4,800.00 | 0.16 | $110,304.00 | 1.60 | N/A | GOV |
| GRAHAM PACKAGING | 123,000.00 | 0.18 | $126,075.00 | 9.88 | 10/15/2014 | 38470RAD3 |
| GRAPHIC PACKAGING INTERNATIONA | 126,000.00 | 0.20 | $134,190.00 | 9.50 | 06/15/2017 | GPK |
| GRUPO AEROPORTUARIO DEL CENTRO | 5,800.00 | 0.11 | $77,198.00 | 0.61 | N/A | OMAB |
| GXS WORLDWIDE INC | 150,000.00 | 0.22 | $148,125.00 | 9.75 | 06/15/2015 | GXSWLD |
| HARRAH'S OPERATING CO INC | 289,000.00 | 0.34 | $233,367.50 | 10.00 | 12/15/2018 | HET |
| HARRAHS CHESTER DOWNS TERM LOA | 72,000.00 | 0.11 | $72,630.00 | 12.38 | 12/31/2016 | HET |
| HCA INC/DE | 255,000.00 | 0.40 | $276,675.00 | 9.62 | 11/15/2016 | HCA |
| HCP INC | 15,650.00 | 0.70 | $477,951.00 | 1.84 | N/A | HCP |
| HEADWATERS INC | 145,000.00 | 0.22 | $151,887.50 | 11.38 | 11/01/2014 | HW |
| HEALTH CARE REIT INC | 9,060.00 | 0.59 | $401,539.20 | 2.72 | N/A | HCN |
| HELIX ENERGY SOLUTIONS GROUP I | 156,000.00 | 0.23 | $160,680.00 | 9.50 | 01/15/2016 | HLX |
| HERCULES OFFSHORE INC | 145,000.00 | 0.22 | $153,700.00 | 10.50 | 10/15/2017 | HERO |
| HERTZ CORP/THE | 91,000.00 | 0.14 | $97,597.50 | 10.50 | 01/01/2016 | HTZ |
| HEXION SPECIALTY | 121,000.00 | 0.17 | $119,185.00 | 9.75 | 11/15/2014 | 428303AH4 |
| HIGHWOODS PROPERTIES INC | 2,900.00 | 0.14 | $96,715.00 | 1.70 | N/A | HIW |
| HILCORP ENERGY I LP/HILCORP FI | 47,000.00 | 0.07 | $46,295.00 | 7.75 | 11/01/2015 | HILCRP |
| HILCORP ENERGY I LP/HILCORP FI | 94,000.00 | 0.14 | $95,880.00 | 9.00 | 06/01/2016 | HILCRP |
| HJ HEINZ CO | 27,400.00 | 1.71 | $1,171,624.00 | 1.68 | N/A | HNZ |
| HOLLY CORP | 121,000.00 | 0.19 | $127,957.50 | 9.88 | 06/15/2017 | HOC |
| HOLOGIC INC | 335,000.00 | 0.42 | $287,681.25 | 2.00 | 12/15/2037 | HOLX CB |
| HOST HOTELS & RESORTS INC | 23,100.00 | 0.39 | $269,577.00 | 0.00 | N/A | HST |
| HUGHES NETWORK SYSTEMS LLC/HNS | 127,000.00 | 0.19 | $131,762.50 | 9.50 | 04/15/2014 | HUGH |
| HUTCHINSON TECHNOLOGY INC | 340,000.00 | 0.40 | $274,975.00 | 3.25 | 01/15/2026 | HTCH CB |
| INGLES MARKETS INC | 75,000.00 | 0.11 | $78,375.00 | 8.88 | 05/15/2017 | IMKTA |
| INNOPHOS HOLDINGS INC | 115,000.00 | 0.17 | $117,300.00 | 9.50 | 04/15/2012 | IPHS |
| INTEL CORP | 63,100.00 | 1.88 | $1,287,240.00 | 0.63 | N/A | INTC |
| INTEL CORP | 70,000.00 | 0.12 | $80,762.50 | 3.25 | 08/01/2039 | INTC CB2 |
| INTELSAT | 145,000.00 | 0.20 | $136,662.50 | 6.50 | 11/01/2013 | 45820EAH5 |
| INTELSAT BERMUDA LTD | 283,000.00 | 0.42 | $285,122.50 | 11.25 | 02/04/2017 | INTEL |
| INTELSAT JACKSON HLDG | 136,000.00 | 0.22 | $147,900.00 | 11.25 | 06/15/2016 | INTEL |
| INTERFACE INC | 19,000.00 | 0.03 | $18,786.25 | 9.50 | 02/01/2014 | 458665AJ5 |
| INTERFACE INC | 50,000.00 | 0.08 | $56,125.00 | 11.38 | 11/01/2013 | IFSIA |
| INTERNATIONAL BUSINESS MACHINE | 10,400.00 | 1.99 | $1,361,360.00 | 2.20 | N/A | IBM |
| INTERNATIONAL COAL GROUP INC | 163,000.00 | 0.23 | $157,498.75 | 10.25 | 07/15/2014 | ICOUS |
| INTERNATIONAL GAME TECHNOLOGY | 160,000.00 | 0.29 | $195,800.00 | 3.25 | 05/01/2014 | IGT CB |
| INTERNATIONAL LEASE FINANCE CO | 15,000.00 | 0.02 | $13,027.77 | 5.35 | 03/01/2012 | AIG |
| INTERNATIONAL LEASE FINANCE CO | 25,000.00 | 0.03 | $20,568.63 | 6.38 | 03/25/2013 | AIG |
| INTERNATIONAL LEASE FINANCE CO | 50,000.00 | 0.06 | $41,659.05 | 5.55 | 09/05/2012 | AIG |
| INTERNATIONAL LEASE FINANCE CO | 70,000.00 | 0.08 | $56,394.17 | 6.62 | 11/15/2013 | AIG |
| INTERNATIONAL LEASE FINANCE CO | 85,000.00 | 0.10 | $69,375.05 | 5.25 | 01/10/2013 | 45974VZX9 |
| INTERNATIONAL LEASE FINANCE CO | 120,000.00 | 0.14 | $94,203.36 | 5.62 | 09/20/2013 | AIG |
| INTERPUBLIC GROUP OF COS INC | 360.00 | 0.40 | $274,590.00 | 0.00 | N/A | 460690407 |
| INTERPUBLIC GROUP OF COS INC | 75,000.00 | 0.11 | $74,906.25 | 4.25 | 03/15/2023 | IPG CB |
| INTERTAPE POLYMER US INC | 100,000.00 | 0.13 | $86,125.00 | 8.50 | 08/01/2014 | ITP |
| INVERNESS MEDICAL INNOVATIONS | 104,000.00 | 0.16 | $106,860.00 | 9.00 | 05/15/2016 | IMA |
| INVERNESS MEDICAL INNOVATIONS | 215,000.00 | 0.36 | $247,787.50 | 3.00 | 05/15/2016 | IMA CB |
| JBS USA LLC/JBS USA FINANCE IN | 113,000.00 | 0.19 | $128,537.50 | 11.62 | 05/01/2014 | JBSUS |
| JEFFERIES GROUP INC | 115,000.00 | 0.17 | $114,137.50 | 3.88 | 11/01/2029 | JEF CB1 |
| JOHNSON & JOHNSON | 17,000.00 | 1.60 | $1,094,970.00 | 1.96 | N/A | JNJ |
| JOHNSONDIVERSEY HOLDINGS INC | 305,000.00 | 0.45 | $308,050.00 | 10.50 | 05/15/2020 | JONDIV |
| JP MORGAN CHASE CAPITAL XXV | 20,000.00 | 0.03 | $19,932.82 | 6.80 | 10/01/2037 | JPM |
| JSG FUNDING PLC | 210,000.00 | 0.30 | $202,912.50 | 7.75 | 04/01/2015 | 46627TAD4 |
| K HOVNANIAN ENTERPRISES INC | 40,000.00 | 0.04 | $28,800.00 | 6.25 | 01/15/2015 | 442488AU6 |
| K HOVNANIAN ENTERPRISES INC | 70,000.00 | 0.07 | $50,400.00 | 7.50 | 05/15/2016 | 442488AZ5 |
| K HOVNANIAN ENTERPRISES INC | 70,000.00 | 0.11 | $73,500.00 | 10.62 | 10/15/2016 | HOV |
| KANSAS CITY SOUTHERN DE MEXICO | 100,000.00 | 0.17 | $115,500.00 | 12.50 | 04/01/2016 | KSU |
| KEY ENERGY SERVICES INC | 141,000.00 | 0.21 | $142,057.50 | 8.38 | 12/01/2014 | KEG |
| KIMBERLY-CLARK CORP | 19,300.00 | 1.80 | $1,229,603.00 | 2.40 | N/A | KMB |
| KIMCO REALTY CORP | 20,430.00 | 0.40 | $276,417.90 | 0.64 | N/A | KIM |
| KRAFT FOODS INC | 37,000.00 | 1.47 | $1,005,660.00 | 1.16 | N/A | KFT |
| L-3 COMMUNICATIONS HOLDINGS IN | 265,000.00 | 0.41 | $279,575.00 | 3.00 | 08/01/2035 | LLL CB1 |
| LABRANCHE & CO INC | 252,000.00 | 0.36 | $243,495.00 | 11.00 | 05/15/2012 | LAB |
| LANDRY'S RESTAURANTS INC | 220,000.00 | 0.34 | $234,300.00 | 11.62 | 12/01/2015 | LNY |
| LEAP WIRELESS INTERNATIONAL IN | 225,000.00 | 0.27 | $187,312.50 | 4.50 | 07/15/2014 | LEAP CB1 |
| LEVEL 3 COMMUNICATIONS INC | 180,000.00 | 0.25 | $171,675.00 | 5.25 | 12/15/2011 | LVLT CNV |
| LEVEL 3 FINANCING INC | 66,000.00 | 0.09 | $62,700.00 | 9.25 | 11/01/2014 | 527298AM5 |
| LEVEL 3 FINANCING INC | 66,000.00 | 0.10 | $70,290.00 | 12.25 | 03/15/2013 | LVLT |
| LEVERAGE SEC DI | -20,225,000.07 | -29.55 | -$20,225,000.07 | 0.44 | 11/15/2010 | DILEV |
| LEXINGTON REALTY TRUST | 17,900.00 | 0.16 | $108,832.00 | 0.40 | N/A | LXP |
| LIBERTY PROPERTY TRUST | 2,700.00 | 0.13 | $86,427.00 | 1.90 | N/A | LRY |
| LIFEPOINT HOSPITALS INC | 110,000.00 | 0.15 | $102,987.50 | 3.50 | 05/15/2014 | LPNT CB |
| LINEAR TECHNOLOGY CORP | 120,000.00 | 0.18 | $120,900.00 | 3.00 | 05/01/2027 | LLTC CB2 |
| LONG TERM RECEIVABLES | -340,411.41 | -0.50 | -$340,411.41 | 0.00 | N/A | SECNCAHUS |
| LOWE'S COS INC | 51,200.00 | 1.75 | $1,197,568.00 | 0.36 | N/A | LOW |
| LTC PROPERTIES INC | 3,800.00 | 0.15 | $101,650.00 | 1.56 | N/A | LTC |
| LUCENT TECHNOLOGIES CAPITAL TR | 305.00 | 0.34 | $234,926.25 | 0.00 | N/A | LUTHP |
| LUCENT TECHNOLOGIES INC | 61,000.00 | 0.06 | $43,996.25 | 6.45 | 03/15/2029 | ALUFP |
| M-FOODS HOLDINGS INC | 42,000.00 | 0.06 | $43,837.50 | 9.75 | 10/01/2013 | MICFOO |
| M/I HOMES INC | 75,000.00 | 0.10 | $71,062.50 | 6.88 | 04/01/2012 | MHO |
| MACDERMID INC | 188,000.00 | 0.28 | $188,940.00 | 9.50 | 04/15/2017 | MRD |
| MACERICH CO/THE | 8,411.56 | 0.44 | $302,395.44 | 0.24 | N/A | MAC |
| MACK-CALI REALTY CORP | 4,250.00 | 0.21 | $146,922.50 | 1.80 | N/A | CLI |
| MACY'S RETAIL HOLDINGS INC | 50,000.00 | 0.07 | $44,500.00 | 7.88 | 08/15/2036 | M |
| MARATHON OIL CORP | 32,500.00 | 1.48 | $1,014,650.00 | 0.96 | N/A | MRO |
| MARINER ENERGY INC | 118,000.00 | 0.17 | $113,870.00 | 8.00 | 05/15/2017 | ME |
| MARKWEST ENERGY PARTNERS LP / | 130,000.00 | 0.20 | $134,550.00 | 8.75 | 04/15/2018 | MWE |
| MATTEL INC | 56,800.00 | 1.66 | $1,134,864.00 | 0.75 | N/A | MAT |
| MAY DEPT STORES | 15,000.00 | 0.02 | $13,125.00 | 6.70 | 07/15/2034 | 577778CE1 |
| MDC PARTNERS INC | 70,000.00 | 0.11 | $73,150.00 | 11.00 | 11/01/2016 | MDCA |
| MEDIACOM LLC / MEDIACOM CAPITA | 70,000.00 | 0.10 | $71,750.00 | 9.12 | 08/15/2019 | MCCC |
| MEDTRONIC INC | 275,000.00 | 0.42 | $288,406.25 | 1.62 | 04/15/2013 | MDT CB1 |
| MERCK & CO INC/NJ | 38,384.00 | 2.05 | $1,402,551.36 | 1.52 | N/A | MRK |
| MERISTAR HOSPITALITY CORP | 230,000.00 | 0.34 | $236,095.00 | 9.50 | 04/01/2010 | MHX CVB |
| MERITAGE HOMES CORP | 24,000.00 | 0.03 | $22,200.00 | 6.25 | 03/15/2015 | MTH |
| MERITAGE HOMES CORP | 108,000.00 | 0.15 | $103,680.00 | 7.00 | 05/01/2014 | 59001AAH5 |
| METLIFE CAPITAL TRUST X | 100,000.00 | 0.17 | $114,000.00 | 9.25 | 04/08/2038 | MET |
| METROPCS WIRELESS INC | 214,000.00 | 0.32 | $217,745.00 | 9.25 | 11/01/2014 | GWIR |
| MGM MIRAGE | 42,000.00 | 0.05 | $32,865.00 | 6.62 | 07/15/2015 | MGM |
| MGM MIRAGE | 42,000.00 | 0.05 | $32,970.00 | 7.50 | 06/01/2016 | MGM |
| MGM MIRAGE | 75,000.00 | 0.10 | $67,500.00 | 11.38 | 03/01/2018 | MGM |
| MGM MIRAGE | 101,000.00 | 0.17 | $116,402.50 | 13.00 | 11/15/2013 | MGM |
| MGM MIRAGE | 145,000.00 | 0.17 | $113,462.50 | 7.62 | 01/15/2017 | MGM |
| MIRANT 2.50% CNV (ESCROW) | 180,000.00 | 0.00 | $0.00 | 0.00 | N/A | 6046759B6 |
| MIRANT AMERICAS GENERATION LLC | 200,000.00 | 0.28 | $191,000.00 | 8.50 | 10/01/2021 | MIR |
| MIRANT CORP | 189.00 | 0.00 | $2,886.03 | 0.00 | N/A | MIR |
| MOBILE MINI INC | 1,651.00 | 0.03 | $23,262.59 | 0.00 | N/A | MINI |
| MOBILE MINI INC | 119,000.00 | 0.17 | $113,050.00 | 6.88 | 05/01/2015 | MINI |
| MOHEGAN TRIBAL GAMING AUTHORIT | 40,000.00 | 0.04 | $26,200.00 | 6.88 | 02/15/2015 | 608328AR1 |
| MOHEGAN TRIBAL GAMING AUTHORIT | 100,000.00 | 0.10 | $68,625.00 | 7.12 | 08/15/2014 | 608328AP5 |
| MOMENTIVE PERFORMANCE MATERIAL | 70,000.00 | 0.11 | $77,350.00 | 12.50 | 06/15/2014 | MOMENT |
| MOTOROLA INC | 124,800.00 | 1.42 | $968,448.00 | 0.00 | N/A | MOT |
| MURRAY ENERGY CORP | 115,000.00 | 0.17 | $115,000.00 | 10.25 | 10/15/2015 | MURREN |
| MYLAN INC/PA | 220.00 | 0.37 | $250,580.00 | 0.00 | N/A | MYL A |
| NATIONAL OILWELL VARCO INC | 24,200.00 | 1.56 | $1,066,978.00 | 0.40 | N/A | NOV |
| NATIONAL RETAIL PROPERTIES INC | 210,000.00 | 0.33 | $224,175.00 | 5.12 | 06/15/2028 | NNN CB1 |
| NATIONWIDE HEALTH PROPERTIES I | 8,800.00 | 0.45 | $309,584.00 | 1.76 | N/A | NHP |
| NAVISTAR INTERNATIONAL CORP | 145,000.00 | 0.22 | $149,350.00 | 8.25 | 11/01/2021 | NAV |
| NEWPAGE CORP | 145,000.00 | 0.22 | $147,175.00 | 11.38 | 12/31/2014 | NEWPAG |
| NIELSEN FINANCE LLC / NIELSEN | 35,000.00 | 0.06 | $39,287.50 | 11.50 | 05/01/2016 | VNU |
| NIELSEN FINANCE LLC / NIELSEN | 42,000.00 | 0.07 | $47,407.50 | 11.62 | 02/01/2014 | VNU |
| NIELSEN FINANCE LLC / NIELSEN | 66,000.00 | 0.09 | $60,555.00 | 0.00 | 08/01/2016 | 65409QAJ1 |
| NIELSEN FINANCE LLC/CO | 75,000.00 | 0.11 | $78,562.50 | 10.00 | 08/01/2014 | VNU |
| NII CAPITAL CORP | 138,000.00 | 0.21 | $145,245.00 | 10.00 | 08/15/2016 | NIHD |
| NII HOLDINGS INC | 410,000.00 | 0.55 | $378,225.00 | 3.12 | 06/15/2012 | NIHD CB |
| NORANDA ALUMINIUM ACQUISITION | 151,023.00 | 0.17 | $117,986.72 | 5.27 | 05/15/2015 | NRNDA |
| NORCRAFT COS LP/NORCRAFT FINAN | 110,000.00 | 0.17 | $113,300.00 | 10.50 | 12/15/2015 | NORCFT |
| NORCRAFT HOLDINGS LP/NORCRAFT | 69,000.00 | 0.10 | $66,585.00 | 9.75 | 09/01/2012 | NORCFT |
| NORDIC TELEPHONE CO HOLDINGS A | 75,000.00 | 0.12 | $79,687.50 | 8.88 | 05/01/2016 | TDCDC |
| NORTHROP GRUMMAN CORP | 19,900.00 | 1.62 | $1,111,415.00 | 1.72 | N/A | NOC |
| NORTHWEST AIRLNS ESCROW (STUB) | 55,000.00 | 0.00 | $418.00 | 10.00 | 02/01/2010 | 66799ADP5 |
| NORTHWESTERN CORP | 3,300.00 | 0.13 | $85,866.00 | 1.34 | N/A | NWE |
| NORWEGIAN CRUISE LINE | 75,000.00 | 0.11 | $74,437.50 | 11.75 | 11/15/2016 | NWCRLN |
| NOVASEP HOLDING SAS | 145,000.00 | 0.21 | $142,100.00 | 9.75 | 12/15/2016 | NOVASP |
| NOVELIS INC/GA | 72,000.00 | 0.11 | $77,490.00 | 11.50 | 02/15/2015 | HINDAL |
| NOVELIS INC/GA | 75,000.00 | 0.10 | $71,812.50 | 8.25 | 02/15/2015 | 67000XAB2 |
| NRG ENERGY | 45,000.00 | 0.07 | $45,225.00 | 7.38 | 01/15/2017 | 629377AX0 |
| NRG ENERGY INC | 144,000.00 | 0.21 | $144,540.00 | 7.38 | 02/01/2016 | NRG |
| NUVEEN INVESTMENTS INC | 264,000.00 | 0.35 | $240,900.00 | 10.50 | 11/15/2015 | NUVINV |
| OMEGA HEALTHCARE INVESTORS INC | 7,900.00 | 0.22 | $153,655.00 | 1.20 | N/A | OHI |
| OPTI CANADA INC | 67,000.00 | 0.08 | $55,526.25 | 8.25 | 12/15/2014 | OPCCN |
| OPTI CANADA INC | 116,000.00 | 0.14 | $95,700.00 | 7.88 | 12/15/2014 | OPCCN |
| ORION POWER HOLDINGS INC | 116,000.00 | 0.17 | $119,480.00 | 12.00 | 05/01/2010 | RRI |
| OSI RESTAURANT PARTNERS INC | 83,000.00 | 0.11 | $73,662.50 | 10.00 | 06/15/2015 | OSI |
| PAETEC HOLDING CORP | 71,000.00 | 0.11 | $72,242.50 | 8.88 | 06/30/2017 | PAET |
| PANTRY INC/THE | 180,000.00 | 0.23 | $158,400.00 | 3.00 | 11/15/2012 | PTRY CB |
| PEABODY ENERGY CORP | 205,000.00 | 0.30 | $208,075.00 | 4.75 | 12/15/2041 | BTU CB |
| PETROHAWK ENERGY CORP | 52,000.00 | 0.08 | $54,600.00 | 9.12 | 07/15/2013 | HAWK |
| PETROHAWK ENERGY CORP | 80,000.00 | 0.12 | $81,200.00 | 7.88 | 06/01/2015 | HAWK |
| PETROLEUM DEVELOPMENT CORP | 118,000.00 | 0.18 | $122,277.50 | 12.00 | 02/15/2018 | PETD |
| PFIZER INC | 76,789.00 | 2.04 | $1,396,791.91 | 0.64 | N/A | PFE |
| PHH | 140,000.00 | 0.19 | $130,200.00 | 7.12 | 03/01/2013 | 693320AF0 |
| PINNACLE ENTERTAINMENT INC | 196,000.00 | 0.26 | $181,300.00 | 7.50 | 06/15/2015 | PNK |
| PLASTIPAK HLDGS 144A | 66,000.00 | 0.10 | $68,062.50 | 8.50 | 12/15/2015 | 727610AD9 |
| PLASTIPAK HOLDINGS INC | 71,000.00 | 0.11 | $78,632.50 | 10.62 | 08/15/2019 | PLASPK |
| PLUM CREEK TIMBER CO INC | 6,885.00 | 0.38 | $259,977.60 | 1.68 | N/A | PCL |
| POPULAR N.A. CAP TRUST I | 70,000.00 | 0.06 | $41,053.46 | 6.56 | 09/15/2034 | BPOP |
| 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 | 0.22 | $153,821.00 | 2.04 | N/A | PCH |
| PQ CORP TERM LOAN | 170,000.00 | 0.22 | $147,475.00 | 6.74 | 07/30/2015 | PQCOR |
| PREGIS CORP | 222,000.00 | 0.32 | $216,172.50 | 13.38 | 10/15/2013 | PREGIS |
| PROGRESS ENERGY INC | 25,100.00 | 1.50 | $1,029,351.00 | 2.48 | N/A | PGN |
| PROLOGIS | 11,700.00 | 0.23 | $160,173.00 | 0.60 | N/A | PLD |
| PROSHARES ULTRASHORT REAL ESTA | 2,400.00 | 0.03 | $17,976.00 | 0.00 | N/A | SRS |
| PSYCHIATRIC SOLUTIONS | 94,000.00 | 0.13 | $91,415.00 | 7.75 | 07/15/2015 | 74439HAD0 |
| PSYCHIATRIC SOLUTIONS INC | 42,000.00 | 0.06 | $39,795.00 | 7.75 | 07/15/2015 | PSYS |
| PUBLIC STORAGE | 5,150.00 | 0.61 | $419,467.50 | 2.20 | N/A | PSA |
| PUGET SOUND ENERGY INC | 110,000.00 | 0.14 | $97,192.70 | 6.97 | 06/01/2067 | PSD |
| QUEST DIAGNOSTICS INC/DE | 16,700.00 | 1.47 | $1,008,346.00 | 0.40 | N/A | DGX |
| QUICKSILVER RESOURCES INC | 33,000.00 | 0.05 | $37,620.00 | 11.75 | 01/01/2016 | KWK |
| QUICKSILVER RESOURCES INC | 115,000.00 | 0.16 | $107,812.50 | 7.12 | 04/01/2016 | 74837RAC8 |
| QUIKSILVER INC | 200,000.00 | 0.24 | $165,000.00 | 6.88 | 04/15/2015 | ZQK |
| QUINTILES TRANSNATIONAL CORP | 70,000.00 | 0.10 | $70,525.00 | 9.50 | 12/30/2014 | QTRN |
| QWEST CAPITAL FUNDING INC | 80,000.00 | 0.10 | $68,400.00 | 7.75 | 02/15/2031 | QUS |
| QWEST COMMUNICATIONS INTERNATI | 61,000.00 | 0.09 | $61,533.75 | 7.50 | 02/15/2014 | QUS |
| QWEST COMMUNICATIONS INTERNATI | 400,000.00 | 0.61 | $417,000.00 | 3.50 | 11/15/2025 | QUS |
| QWEST CORP | 5,000.00 | 0.01 | $5,387.50 | 8.38 | 05/01/2016 | QUS |
| QWEST CORP | 90,000.00 | 0.12 | $83,700.00 | 7.25 | 09/15/2025 | 912920AK1 |
| RABOBANK NEDERLAND NV | 150,000.00 | 0.27 | $183,396.00 | 11.00 | 12/29/2049 | RABOBK |
| RAMCO-GERSHENSON PROPERTIES TR | 9,200.00 | 0.13 | $87,768.00 | 0.65 | N/A | RPT |
| RAYONIER TRS HOLDINGS INC | 345,000.00 | 0.54 | $368,287.50 | 3.75 | 10/15/2012 | RYN CB |
| RBS GLOBAL/REXNORD COR | 183,000.00 | 0.27 | $182,085.00 | 11.75 | 08/01/2016 | 75524DAD2 |
| REGENCY ENERGY PARTNERS LP/REG | 57,000.00 | 0.09 | $59,280.00 | 8.38 | 12/15/2013 | RGNC |
| RITE AID CORP | 170,000.00 | 0.22 | $150,450.00 | 9.38 | 12/15/2015 | 767754BQ6 |
| ROYAL CARIBBEAN CRUISES LTD | 80,000.00 | 0.12 | $79,000.00 | 6.88 | 12/01/2013 | 780153AP7 |
| RSC EQUIPMENT RENTAL INC | 202,000.00 | 0.30 | $203,262.50 | 9.50 | 12/01/2014 | RSC |
| RSC EQUIPMENT RENTAL INC/RSC H | 15,000.00 | 0.02 | $15,131.25 | 10.25 | 11/15/2019 | RRR |
| RYERSON INC | 40,000.00 | 0.06 | $42,000.00 | 12.25 | 11/01/2015 | RYI |
| RYERSON INC | 99,000.00 | 0.13 | $91,698.75 | 7.66 | 11/01/2014 | RYI |
| SAFEWAY INC | 45,400.00 | 1.41 | $966,566.00 | 0.40 | N/A | SWY |
| SALLY HOLDINGS LLC | 75,000.00 | 0.12 | $81,000.00 | 10.50 | 11/15/2016 | SBH |
| SANDISK CORP | 280,000.00 | 0.34 | $234,850.00 | 1.00 | 05/15/2013 | SNDK CB |
| SANDRIDGE ENERGY INC | 90,000.00 | 0.13 | $90,450.00 | 8.75 | 01/15/2020 | SD |
| SANDRIDGE ENERGY INC | 123,000.00 | 0.19 | $130,072.50 | 9.88 | 05/15/2016 | SD |
| SANMINA-SCI CORP | 154,000.00 | 0.23 | $154,385.00 | 8.12 | 03/01/2016 | 800907AK3 |
| SAPPI PAPIER HOLDING AG | 101,000.00 | 0.14 | $96,813.65 | 6.75 | 06/15/2012 | SAPSJ |
| SBA COMMUNICATIONS CORP | 165,000.00 | 0.32 | $217,387.50 | 4.00 | 10/01/2014 | SBAC CB |
| SECURITIZED NET CASH - ACR1 | 813,421.58 | 1.19 | $813,421.58 | 0.00 | N/A | SECCASHAC |
| SECURITY LENDING COLLATERAL | 163,237.10 | 0.01 | $6,937.58 | 0.00 | N/A | SECLENDPL |
| SELECT MEDICAL CORP | 149,000.00 | 0.21 | $145,275.00 | 7.62 | 02/01/2015 | SELMED |
| SERVICEMASTER CO/THE | 145,000.00 | 0.22 | $151,525.00 | 10.75 | 07/15/2015 | SVM |
| SHINGLE SPRINGS | 116,000.00 | 0.13 | $88,740.00 | 9.38 | 06/15/2015 | 82459AAA9 |
| SIMON PROPERTY GROUP INC | 11,347.81 | 1.32 | $905,555.40 | 0.48 | N/A | SPG |
| SINCLAIR TELEVISION GROUP INC | 110,000.00 | 0.17 | $114,950.00 | 9.25 | 11/01/2017 | SBGI |
| SINO-FOREST CORP | 255,000.00 | 0.44 | $302,493.75 | 5.00 | 08/01/2013 | TRECN |
| SMITHFIELD FOODS | 35,000.00 | 0.05 | $32,462.50 | 7.75 | 07/01/2017 | 832248AQ1 |
| SMITHFIELD FOODS | 155,000.00 | 0.22 | $151,125.00 | 7.75 | 05/15/2013 | 832248AH1 |
| SMITHFIELD FOODS INC | 38,000.00 | 0.06 | $41,420.00 | 10.00 | 07/15/2014 | SFD |
| SOLO CUP CO | 134,000.00 | 0.19 | $131,655.00 | 8.50 | 02/15/2014 | 834260AB7 |
| SPRINT CAPITAL | 400,000.00 | 0.55 | $379,000.00 | 8.75 | 03/15/2032 | 852060AT9 |
| SPRINT CAPITAL CORP | 65,000.00 | 0.08 | $54,356.25 | 6.88 | 11/15/2028 | S |
| STANDARD PACIFIC ESCROW LLC | 75,000.00 | 0.11 | $76,875.00 | 10.75 | 09/15/2016 | SPF |
| STARWOOD PROPERTY TRUST INC | 16,000.00 | 0.44 | $302,240.00 | 0.40 | N/A | STWD |
| STEEL CAPITAL SA FOR OAO SEVER | 100,000.00 | 0.15 | $101,250.00 | 9.75 | 07/29/2013 | CHMFRU |
| STEEL DYNAMICS INC | 127,000.00 | 0.19 | $132,873.75 | 8.25 | 04/15/2016 | STLD |
| SUNGARD DATA SYSTEMS INC | 138,000.00 | 0.22 | $147,660.00 | 10.25 | 08/15/2015 | SDSINC |
| TECK RESOURCES LTD | 38,000.00 | 0.06 | $44,460.00 | 10.25 | 05/15/2016 | TCKCN |
| TECK RESOURCES LTD | 75,000.00 | 0.13 | $90,000.00 | 10.75 | 05/15/2019 | TCKCN |
| TELCORDIA TECH 144A | 175,000.00 | 0.23 | $156,625.00 | 10.00 | 03/15/2013 | 87922RAD4 |
| TELESAT CANADA / TELESAT LLC | 80,000.00 | 0.13 | $87,200.00 | 11.00 | 11/01/2015 | TELSAT |
| TELESAT CANADA / TELESAT LLC | 94,000.00 | 0.15 | $103,870.00 | 12.50 | 11/01/2017 | TELSAT |
| TENET HEALTHCARE | 70,000.00 | 0.10 | $70,525.00 | 7.38 | 02/01/2013 | 88033GAY6 |
| TENNECO INC | 71,000.00 | 0.11 | $71,976.25 | 8.62 | 11/15/2014 | TEN |
| TERREMARK WORLDWIDE INC | 131,000.00 | 0.21 | $145,410.00 | 12.00 | 06/15/2017 | TMRK |
| TEXAS COMPETITIVE ELECTRIC HOL | 141,000.00 | 0.17 | $114,915.00 | 10.50 | 11/01/2015 | TXU |
| THERMADYNE HOLDINGS CORP | 137,000.00 | 0.19 | $130,321.25 | 10.50 | 02/01/2014 | THMD |
| TOPS MARKETS LLC | 140,000.00 | 0.21 | $144,900.00 | 10.12 | 10/15/2015 | TOMA |
| TOYS R US PROPERTY CO I | 66,000.00 | 0.11 | $72,600.00 | 10.75 | 07/15/2017 | TOY |
| TRAVELERS COS INC/THE | 25,400.00 | 1.85 | $1,266,444.00 | 1.32 | N/A | TRV |
| TRIMAS CORP | 120,000.00 | 0.17 | $118,350.00 | 9.75 | 12/15/2017 | TRS |
| TRW AUTOMOTIVE INC | 100,000.00 | 0.14 | $98,500.00 | 7.00 | 03/15/2014 | TRW |
| TXU CORP | 105,000.00 | 0.11 | $74,990.79 | 5.55 | 11/15/2014 | 873168AL2 |
| UNISYS CORP | 71,000.00 | 0.12 | $82,360.00 | 12.75 | 10/15/2014 | UIS |
| 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 | $113,943.75 | 12.00 | 07/01/2014 | UVN |
| UNIVISION COMMUNICATIONS TERM | 90,000.00 | 0.11 | $78,412.50 | 2.53 | 09/29/2014 | LN321128 |
| UPC HOLDING BV | 100,000.00 | 0.15 | $106,000.00 | 9.88 | 04/15/2018 | LBTYA |
| US ONCOLOGY HOLDINGS INC | 165,000.00 | 0.23 | $155,100.00 | 6.43 | 03/15/2012 | USON |
| USB CAPITAL IX | 115,000.00 | 0.14 | $93,581.25 | 6.19 | 04/15/2049 | USB |
| USG CORP | 35,000.00 | 0.05 | $37,537.50 | 9.75 | 08/01/2014 | USG |
| USG CORP | 127,000.00 | 0.17 | $114,300.00 | 6.30 | 11/15/2016 | USG |
| USGEN ESCROW TRACKING POSITION | 250,000.00 | 0.00 | $0.00 | 0.00 | N/A | 91799ALA7 |
| VENTAS INC | 9,375.00 | 0.60 | $410,062.50 | 2.05 | N/A | VTR |
| VERISIGN INC | 105,000.00 | 0.14 | $93,843.75 | 3.25 | 08/15/2037 | VRSN CB1 |
| VERIZON COMMUNICATIONS INC | 30,700.00 | 1.49 | $1,017,091.00 | 1.90 | N/A | VZ |
| VIASAT INC | 75,000.00 | 0.11 | $77,625.00 | 8.88 | 09/15/2016 | VSAT |
| VIP FINANCE IRELAND LTD FOR OJ | 150,000.00 | 0.24 | $160,875.00 | 9.12 | 04/30/2018 | VIP |
| VIRGIN MEDIA FINANCE PLC | 100,000.00 | 0.15 | $103,375.00 | 8.38 | 10/15/2019 | VMED |
| VIRGIN MEDIA INC | 198,000.00 | 0.34 | $235,620.00 | 6.50 | 11/15/2016 | VMED CB |
| VISKASE COS INC | 145,000.00 | 0.21 | $146,812.50 | 9.88 | 01/15/2018 | VKSC |
| VORNADO REALTY TRUST | 7,665.70 | 0.78 | $536,139.06 | 1.52 | N/A | VNO |
| W2007 GRACE ACQUISITION I INC | 34,400.00 | 0.02 | $15,480.00 | 0.00 | N/A | GRACE |
| WASTE MANAGEMENT INC | 33,700.00 | 1.66 | $1,139,397.00 | 1.16 | N/A | WM |
| WEINGARTEN REALTY INVESTORS | 3,600.00 | 0.10 | $71,244.00 | 1.00 | N/A | WRI |
| WEST CORP/OLD | 110,000.00 | 0.17 | $115,500.00 | 11.00 | 10/15/2016 | 952355AF2 |
| WHITING PETROLEUM CORP | 800.00 | 0.21 | $143,728.00 | 0.00 | N/A | WLL CB |
| WIND ACQUISITION 144A | 75,000.00 | 0.12 | $80,625.00 | 10.75 | 12/01/2015 | 97314XAA2 |
| WIND ACQUISITION FINANCE SA | 100,000.00 | 0.16 | $109,750.00 | 11.75 | 07/15/2017 | WINDIM |
| XEROX CORP | 134,200.00 | 1.66 | $1,135,332.00 | 0.17 | N/A | XRX |
| XM SATELLITE RADIO HOLDINGS IN | 130,000.00 | 0.21 | $141,862.50 | 13.00 | 08/01/2013 | XMSR |
| XM SATELLITE RADIO HOLDINGS IN | 203,000.00 | 0.30 | $204,015.00 | 10.00 | 06/01/2011 | SIRI |
| YANKEE ACQUISITION CORP/MA | 150,000.00 | 0.22 | $148,500.00 | 9.75 | 02/15/2017 | YCC |
| ZIONS BANCORPORATION | 57,000.00 | 0.06 | $40,344.77 | 5.50 | 11/16/2015 | ZION |
| ZIONS BANCORPORATION | 65,000.00 | 0.08 | $57,416.78 | 7.75 | 09/23/2014 | ZION |
| ZIONS BANCORPORATION | 141,000.00 | 0.15 | $99,839.84 | 6.00 | 09/15/2015 | 989701AJ6 |