| AAR CORP | 90,000.00 | 0.26 | $80,437.50 | 1.75 | 02/01/2026 | AIR CB |
| ACCELLENT INC | 30,000.00 | 0.10 | $29,700.00 | 10.50 | 12/01/2013 | 00430XAB3 |
| ADVANCED MICRO DEVICES INC | 70,000.00 | 0.22 | $66,850.00 | 6.00 | 05/01/2015 | AMD CB1 |
| ADVANCED MICRO DEVICES INC | 165,000.00 | 0.51 | $157,575.00 | 6.00 | 05/01/2015 | AMD CB |
| AES CORP/THE | 3,000.00 | 0.01 | $3,060.00 | 8.75 | 05/15/2013 | AES |
| AES CORP/THE | 35,000.00 | 0.11 | $35,350.00 | 8.00 | 06/01/2020 | AES |
| AFFINION GROUP INC | 15,000.00 | 0.05 | $15,825.00 | 11.50 | 10/15/2015 | AFFINI |
| AGRIUM INC | 1,600.00 | 0.25 | $78,304.00 | 0.11 | N/A | AGU |
| AK STEEL CORP | 35,000.00 | 0.11 | $34,125.00 | 7.62 | 05/15/2020 | AKS |
| ALASKA COMMUNICATIONS SYSTEMS | 105,000.00 | 0.32 | $99,881.25 | 5.75 | 03/01/2013 | ALSK CB |
| ALGOMA ACQUISITION CORP | 45,000.00 | 0.12 | $38,475.00 | 9.88 | 06/15/2015 | AGACN |
| ALION SCIENCE AND TECHNOLOGY C | 30,065.00 | 0.10 | $30,215.33 | 12.00 | 11/01/2014 | ALISCI |
| ALLERGAN INC/UNITED STATES | 150,000.00 | 0.53 | $164,250.00 | 1.50 | 04/01/2026 | AGN CB |
| ALLIANCE HEALTHCARE SERVICES I | 1,923.00 | 0.02 | $7,768.92 | 0.00 | N/A | AIQ |
| ALLIANCE ONE INTERNATIONAL INC | 5,000.00 | 0.02 | $5,112.50 | 10.00 | 07/15/2016 | AOI |
| ALLIANCE ONE INTERNATIONAL INC | 25,000.00 | 0.08 | $25,562.50 | 10.00 | 07/15/2016 | AOI |
| ALLIED WASTE NORTH AMERICA INC | 10,000.00 | 0.03 | $10,737.87 | 7.12 | 05/15/2016 | AW |
| ALLISON TRANSMISSION 144A | 45,000.00 | 0.15 | $47,362.50 | 11.00 | 11/01/2015 | 019736AA5 |
| ALLSTATE CORP/THE | 9,900.00 | 0.91 | $284,427.00 | 0.80 | N/A | ALL |
| ALSTOM SA | 4,436.00 | 0.65 | $200,866.72 | 1.24 | N/A | ALO FP |
| AMB PROPERTY CORP | 385.00 | 0.03 | $9,128.35 | 1.12 | N/A | AMB |
| AMERICAN AXLE & MFG INC | 55,000.00 | 0.15 | $47,987.50 | 7.88 | 03/01/2017 | 02406PAF7 |
| AMERICAN INTERNATIONAL GROUP I | 70,000.00 | 0.18 | $55,825.00 | 8.18 | 05/15/2058 | AIG |
| AMERICAN PETROLEUM TANKERS LLC | 20,000.00 | 0.06 | $20,150.00 | 10.25 | 05/01/2015 | AMPETR |
| AMERICAN WATER WORKS CO INC | 800.00 | 0.05 | $16,480.00 | 0.84 | N/A | AWK |
| AMERIGAS PARTNERS LP/AMERIGAS | 7,000.00 | 0.02 | $7,000.00 | 7.12 | 05/20/2016 | APU |
| AMES TRUE TEMPER | 25,000.00 | 0.08 | $24,500.00 | 10.00 | 07/15/2012 | 031042AB0 |
| AMGEN INC | 60,000.00 | 0.19 | $59,550.00 | 0.38 | 02/01/2013 | AMGN CB |
| AMGEN INC | 110,000.00 | 0.35 | $109,175.00 | 0.38 | 02/01/2013 | AMGN CB1 |
| AMH HOLDINGS INC | 40,000.00 | 0.13 | $41,000.00 | 11.25 | 03/01/2014 | SIDE |
| ANIXTER INTERNATIONAL INC | 15,000.00 | 0.05 | $16,331.25 | 10.00 | 03/15/2014 | AXE |
| ANTERO RESOURCES FINANCE CORP | 30,000.00 | 0.10 | $30,150.00 | 9.38 | 12/01/2017 | ANTERO |
| APARTMENT INVESTMENT & MANAGEM | 1,732.00 | 0.11 | $33,548.84 | 0.40 | N/A | AIV |
| APPLETON PAPERS INC | 35,000.00 | 0.11 | $33,250.00 | 10.50 | 06/15/2015 | APPPAP |
| AQUILEX HOLDINGS LLC/AQUILEX F | 40,000.00 | 0.13 | $40,200.00 | 11.12 | 12/15/2016 | AQUILE |
| ARAMARK CORP | 23,000.00 | 0.08 | $23,345.00 | 8.50 | 02/01/2015 | RMK |
| ARCELORMITTAL | 3,778.00 | 0.33 | $101,340.99 | 0.75 | N/A | MT NA |
| ARCELORMITTAL | 72,000.00 | 0.29 | $90,114.98 | 9.85 | 06/01/2019 | MTNA |
| ARCHER-DANIELS-MIDLAND CO | 10,800.00 | 0.90 | $278,856.00 | 0.60 | N/A | ADM |
| ARVINMERITOR INC | 30,000.00 | 0.10 | $31,950.00 | 10.62 | 03/15/2018 | ARM |
| ARVINMERITOR INC | 35,000.00 | 0.11 | $33,775.00 | 8.12 | 09/15/2015 | ARM |
| ARVINMERITOR INC | 95,000.00 | 0.24 | $74,100.00 | 4.00 | 02/15/2027 | ARM CB |
| ASAHI GLASS CO LTD | 24,000.00 | 0.72 | $225,419.68 | 16.00 | N/A | 5201 JP |
| ASPECT SOFTWARE INC | 40,000.00 | 0.13 | $40,200.00 | 10.62 | 05/15/2017 | CRTO |
| ASPEN INSURANCE CNV PFD | 3,400.00 | 0.56 | $173,612.50 | 2.81 | N/A | EP0179044 |
| ASSOCIATED ESTATES REALTY CORP | 1,300.00 | 0.05 | $16,835.00 | 0.68 | N/A | AEC |
| ASTRAZENECA PLC | 2,089.00 | 0.32 | $98,483.43 | 2.27 | N/A | AZN LN |
| AT&T INC | 11,300.00 | 0.88 | $273,347.00 | 1.68 | N/A | T |
| AUSTRALIAN DOLLAR | 111,459.02 | 0.30 | $93,776.04 | 0.00 | N/A | AUD |
| AUTOLIV INC | 3,200.00 | 0.49 | $153,120.00 | 1.20 | N/A | ALV |
| AVADO BRANDS (RESTRICTED) | 272.00 | 0.00 | $0.00 | 0.00 | N/A | 05336N996 |
| AVIS BUDGET CAR RENTAL LLC / A | 40,000.00 | 0.13 | $40,600.00 | 9.62 | 03/15/2018 | CAR |
| AXA SA | 10,821.00 | 0.53 | $165,326.96 | 0.55 | N/A | CS FP |
| BANCO SANTANDER SA | 20,738.00 | 0.70 | $217,480.35 | 0.60 | N/A | SAN SM |
| BANK OF NEW YORK MELLON CORP/T | 10,300.00 | 0.82 | $254,307.00 | 0.36 | N/A | BK |
| BAUSCH & LOMB INC | 40,000.00 | 0.13 | $41,300.00 | 9.88 | 11/01/2015 | BOL |
| BAYERISCHE MOTOREN WERKE AG | 5,092.00 | 0.80 | $247,866.00 | 0.30 | N/A | BMW GR |
| BEAZER HOMES USA INC | 15,000.00 | 0.04 | $13,950.00 | 9.12 | 06/15/2018 | BZH |
| BEAZER HOMES USA INC | 30,000.00 | 0.09 | $27,000.00 | 8.12 | 06/15/2016 | BZH |
| BERRY PLASTICS CORP | 45,000.00 | 0.14 | $43,537.50 | 8.88 | 09/15/2014 | BERRY |
| BIOMET INC | 35,000.00 | 0.12 | $38,062.50 | 11.62 | 10/15/2017 | BMET |
| BIOSCRIP INC | 40,000.00 | 0.13 | $39,800.00 | 10.25 | 10/01/2015 | BIOS |
| BOSTON PROPERTIES INC | 800.00 | 0.18 | $57,072.00 | 2.00 | N/A | BXP |
| BRANDYWINE REALTY TRUST | 2,300.00 | 0.08 | $24,725.00 | 0.60 | N/A | BDN |
| BRE PROPERTIES INC | 1,000.00 | 0.12 | $36,930.00 | 1.50 | N/A | BRE |
| BRISTOL-MYERS SQUIBB CO | 12,200.00 | 0.98 | $304,268.00 | 1.28 | N/A | BMY |
| BRISTOW GROUP INC | 106,000.00 | 0.27 | $85,462.50 | 3.00 | 06/15/2038 | BRS CB |
| BRITISH POUNDS | 5,274.52 | 0.03 | $7,879.08 | 0.00 | N/A | POUNDS |
| BROOKFIELD INFRASTRUCTURE PART | 1,600.00 | 0.08 | $25,392.00 | 1.10 | N/A | BIP |
| BURLINGTON COAT FACTORY INVEST | 75,000.00 | 0.25 | $79,125.00 | 14.50 | 10/15/2014 | BCFACT |
| BWAY HOLDING CO | 40,000.00 | 0.13 | $41,900.00 | 10.00 | 06/15/2018 | BWY |
| CABLEVISION SYSTEMS CORP | 5,000.00 | 0.02 | $5,087.50 | 8.00 | 04/15/2020 | CVC |
| CABLEVISION SYSTEMS CORP | 10,000.00 | 0.03 | $10,250.00 | 8.62 | 09/15/2017 | CVC |
| CALPINE CORP ESCROW TRACKING | 70,000.00 | 0.00 | $0.01 | 0.00 | N/A | 131ESC9B3 |
| CAMDEN PROPERTY TRUST | 640.00 | 0.08 | $26,144.00 | 1.80 | N/A | CPT |
| CANADIAN DOLLAR | 34,226.81 | 0.10 | $32,152.95 | 0.00 | N/A | CANDOLLAR |
| CARDINAL HEALTH INC | 7,800.00 | 0.84 | $262,158.00 | 0.78 | N/A | CAH |
| CARDTRONICS INC | 17,000.00 | 0.06 | $17,255.00 | 9.25 | 08/15/2013 | CATM |
| CARDTRONICS INC | 20,000.00 | 0.07 | $20,300.00 | 9.75 | 08/15/2013 | CATM |
| CASELLA WASTE SYSTEMS INC | 10,000.00 | 0.03 | $10,850.00 | 11.00 | 07/15/2014 | CWST |
| CASELLA WASTE SYSTEMS INC | 48,000.00 | 0.16 | $48,240.00 | 9.75 | 02/01/2013 | CWST |
| CASH | -51,878.55 | -0.17 | -$51,878.55 | 0.00 | 12/15/2038 | US-CASH |
| CCO HOLDINGS LLC / CCO HOLDING | 10,000.00 | 0.03 | $10,100.00 | 7.88 | 04/30/2018 | CCMM |
| CCO HOLDINGS LLC / CCO HOLDING | 10,000.00 | 0.03 | $10,275.00 | 8.12 | 04/30/2020 | CCMM |
| CENTURY ALUMINUM CO | 35,300.00 | 0.11 | $33,446.75 | 8.00 | 05/15/2014 | CENX |
| CENTURY COMM TRACKING | 125,000.00 | 0.00 | $0.00 | 0.00 | N/A | 156ESCAG0 |
| CGI GROUP INC | 30,268.00 | 1.45 | $450,394.66 | 0.00 | N/A | GIB/A CN |
| CHAODA MODERN AGRICULTURE HOLD | 270,000.00 | 0.85 | $263,301.58 | 0.05 | N/A | 682 HK |
| CHARTER COMMUNICATIONS OPERATI | 20,000.00 | 0.07 | $22,300.00 | 10.88 | 09/15/2014 | CHTR |
| CHESAPEAKE ENERGY CORP | 30,000.00 | 0.11 | $33,300.00 | 9.50 | 02/15/2015 | CHK |
| CHESAPEAKE ENERGY CORP | 90,000.00 | 0.21 | $65,362.50 | 2.25 | 12/15/2038 | CHK CB |
| CHEVRON CORP | 3,900.00 | 0.85 | $264,654.00 | 2.88 | N/A | CVX |
| CHIMERA INVESTMENT CORP | 4,900.00 | 0.06 | $17,689.00 | 0.68 | N/A | CIM |
| CHUNGHWA TELECOM LTD-ADR | 9,579.00 | 0.61 | $188,610.51 | 1.16 | N/A | CHT |
| CIE DE ST-GOBAIN | 4,067.00 | 0.49 | $151,567.23 | 1.00 | N/A | SGO FP |
| CITIGROUP INC | 400.00 | 0.15 | $45,200.00 | 0.00 | N/A | 172967416 |
| CLEAR CHANNEL COMMUNICATIONS I | 40,000.00 | 0.09 | $28,300.00 | 10.75 | 08/01/2016 | CCU |
| CLEARWIRE COMMUNICATIONS LLC/C | 40,000.00 | 0.13 | $40,050.00 | 12.00 | 12/01/2015 | CLWR |
| CLEARWIRE CORP | 75,000.00 | 0.24 | $74,718.75 | 12.00 | 12/01/2015 | CLWR |
| CNOOC LTD | 155,000.00 | 0.85 | $263,441.66 | 0.40 | N/A | 883 HK |
| COCA-COLA AMATIL LTD | 21,030.00 | 0.68 | $210,469.59 | 0.62 | N/A | CCL AU |
| COGDELL SPENCER INC | 3,100.00 | 0.07 | $20,956.00 | 0.40 | N/A | CSA |
| COMCAST CORP | 15,200.00 | 0.85 | $264,024.00 | 0.38 | N/A | CMCSA |
| COMMUNITY HEALTH SYSTEMS INC | 15,000.00 | 0.05 | $15,506.25 | 8.88 | 07/15/2015 | CYH |
| COMPLETE PRODUCTION SERVICES I | 25,000.00 | 0.08 | $24,562.50 | 8.00 | 12/15/2016 | CPX |
| CONOCOPHILLIPS | 5,400.00 | 0.85 | $265,086.00 | 2.20 | N/A | COP |
| COPANO ENERGY LLC / COPANO ENE | 30,000.00 | 0.09 | $28,500.00 | 7.75 | 06/01/2018 | CPNO |
| COTT BEVERAGES INC | 25,000.00 | 0.08 | $25,312.50 | 8.38 | 11/15/2017 | BCB |
| CRICKET COMMUNICATIONS INC | 40,000.00 | 0.14 | $42,000.00 | 10.00 | 07/15/2015 | LEAP |
| CROSSTEX ENERGY LP / CROSSTEX | 35,000.00 | 0.11 | $35,131.25 | 8.88 | 02/15/2018 | XTEX |
| CVS CAREMARK CORP | 9,200.00 | 0.87 | $269,744.00 | 0.35 | N/A | CVS |
| CYPRESS SHARPRIDGE INVESTMENTS | 3,000.00 | 0.12 | $37,980.00 | 2.20 | N/A | CYS |
| DAE AVIATION HOLDINGS INC | 35,000.00 | 0.11 | $34,825.00 | 11.25 | 08/01/2015 | DAEAVI |
| DANISH KRONE | 0.91 | 0.00 | $0.15 | 0.00 | N/A | DKK |
| DAVE & BUSTER'S INC | 35,000.00 | 0.11 | $35,437.50 | 11.00 | 06/01/2018 | DAB |
| DEAN FOODS | 25,000.00 | 0.08 | $23,500.00 | 7.00 | 06/01/2016 | 242370AA2 |
| DELTA AIR LINES INC | 2.00 | 0.00 | $23.50 | 0.00 | N/A | DAL |
| DELTA AIR LINES INC | 35,000.00 | 0.12 | $37,537.50 | 11.75 | 03/15/2015 | DAL |
| DEUTSCHE POST AG | 12,563.00 | 0.59 | $183,642.77 | 0.60 | N/A | DPW GR |
| DIGITAL REALTY TRUST INC | 1,200.00 | 0.22 | $69,216.00 | 1.92 | N/A | DLR |
| DIGITAL REALTY TRUST LP | 40,000.00 | 0.18 | $57,325.00 | 5.50 | 04/15/2029 | DLR CB |
| DIRECTV | 350.00 | 0.04 | $11,872.00 | 0.00 | N/A | DTV |
| DISH DBS CORP | 40,000.00 | 0.13 | $41,800.00 | 7.88 | 09/01/2019 | DISH |
| DJO FINANCE LLC / DJO FINANCE | 40,000.00 | 0.13 | $41,000.00 | 11.75 | 11/15/2014 | REABLE |
| DOMINION RESOURCES INC/VA | 110,000.00 | 0.40 | $123,062.50 | 2.12 | 12/15/2023 | D CB |
| DON QUIJOTE CO LTD | 7,900.00 | 0.68 | $211,869.69 | 25.00 | N/A | 7532 JP |
| DRUMMOND CO INC | 40,000.00 | 0.13 | $40,400.00 | 9.00 | 10/15/2014 | DRUMCO |
| DRYSHIPS INC | 35,000.00 | 0.08 | $25,943.75 | 5.00 | 12/01/2014 | DRYS |
| DYNCORP INTERNATIONAL INC | 20,000.00 | 0.06 | $20,150.00 | 10.38 | 07/01/2017 | DCP |
| DYNEGY HOLDINGS INC | 35,000.00 | 0.08 | $24,368.75 | 7.75 | 06/01/2019 | DYN |
| E*TRADE FINANCIAL CORP | 71,000.00 | 0.24 | $75,792.50 | 12.50 | 11/30/2017 | ETFC |
| EDISON INTERNATIONAL | 9,300.00 | 0.95 | $294,996.00 | 1.26 | N/A | EIX |
| EDISON MISSION ENERGY | 20,000.00 | 0.04 | $12,900.00 | 7.00 | 05/15/2017 | EIX |
| EI DU PONT DE NEMOURS & CO | 7,800.00 | 0.87 | $269,802.00 | 1.64 | N/A | DD |
| EL PASO CORP | 5,000.00 | 0.02 | $4,996.85 | 7.00 | 06/15/2017 | EP |
| EL PASO CORP | 21,000.00 | 0.07 | $21,486.68 | 6.88 | 06/15/2014 | EP |
| EL PASO ENERGY CAPITAL TRUST I | 1,950.00 | 0.23 | $70,863.00 | 0.00 | N/A | EP C |
| EL PASO PERFORMANCE-LINKED TRU | 46,000.00 | 0.15 | $47,646.02 | 7.75 | 07/15/2011 | EP |
| ELWOOD ENERGY LLC | 80,176.37 | 0.24 | $76,167.55 | 8.16 | 07/05/2026 | ELWOOD |
| ENERGY FUTURE HOLDINGS CORP | 20,000.00 | 0.05 | $14,900.00 | 11.38 | 11/01/2017 | TXU |
| ENERGY FUTURE HOLDINGS TERM B2 | 24,607.66 | 0.06 | $18,280.42 | 3.73 | 10/10/2014 | LN363469 |
| ENTERPRISE PRODUCTS OPERATING | 50,000.00 | 0.19 | $60,371.20 | 9.75 | 01/31/2014 | EPD |
| ENTERTAINMENT PROPERTIES TRUST | 500.00 | 0.06 | $19,035.00 | 2.60 | N/A | EPR |
| EQUINOX HOLDINGS INC | 40,000.00 | 0.13 | $39,750.00 | 9.50 | 02/01/2016 | EQUNOX |
| EQUITY RESIDENTIAL | 1,200.00 | 0.16 | $49,968.00 | 1.35 | N/A | EQR |
| ESPRIT HOLDINGS LTD | 14,807.00 | 0.26 | $79,531.21 | 1.44 | N/A | 330 HK |
| ESSAR STEEL ALGOMA INC | 5,000.00 | 0.02 | $4,775.00 | 9.38 | 03/15/2015 | ALGCN |
| EURO | 757,918.80 | 2.98 | $926,896.76 | 0.00 | N/A | EURO |
| EURONET WORLDWIDE INC | 165,000.00 | 0.50 | $154,275.00 | 3.50 | 10/15/2025 | EEFT CB |
| EUROPEAN BK RECON & DEV | 220,000.00 | 0.39 | $121,217.56 | 9.25 | 09/10/2012 | EBRD |
| EUROPEAN INVESTMENT BANK | 73,000.00 | 0.20 | $62,334.85 | 6.12 | 01/23/2017 | EIB |
| EXPRESS LLC & EXPRESS FINANCE | 25,000.00 | 0.08 | $25,562.50 | 8.75 | 03/01/2018 | EXPR |
| FEDERAL HOME LOAN BANK DISCOUN | 25,972.00 | 0.08 | $25,971.92 | 0.01 | 07/07/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 103,759.95 | 0.33 | $103,759.12 | 0.06 | 07/16/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 104,226.88 | 0.34 | $104,226.06 | 0.01 | 07/15/2010 | FHLBDN |
| FEDERAL HOME LOAN BANK DISCOUN | 231,044.82 | 0.74 | $231,044.12 | 0.00 | 07/06/2010 | FHLBDN |
| FEDERAL NATIONAL MORTGAGE ASSO | 1,500.00 | 0.00 | $780.00 | 0.00 | N/A | 313586745 |
| FEDERAL REALTY INVESTMENT TRUS | 100.00 | 0.02 | $7,027.00 | 2.64 | N/A | FRT |
| FELCOR LODGING LP | 40,000.00 | 0.14 | $42,000.00 | 10.00 | 10/01/2014 | FCH |
| FHLB DISCOUNT NOTE 7/1/10 | 308,059.76 | 0.99 | $308,059.75 | 0.00 | 07/01/2010 | 0701PFDIS |
| FIFTH STREET FINANCE CORP | 2,700.00 | 0.10 | $29,781.00 | 1.28 | N/A | FSC |
| FINMECCANICA SPA | 16,467.00 | 0.55 | $170,718.37 | 0.41 | N/A | FNC IM |
| FIRST DATA CORP | 45,000.00 | 0.11 | $34,425.00 | 9.88 | 09/24/2015 | FDC |
| FIRST DATA CORP | 50,000.00 | 0.10 | $31,000.00 | 11.25 | 03/31/2016 | FDC |
| FLEXTRONICS INTERNATIONAL | 1,000.00 | 0.02 | $5,600.00 | 0.00 | N/A | FLEX |
| FMG FINANCE PTY LTD | 75,000.00 | 0.27 | $82,875.00 | 10.62 | 09/01/2016 | 30250BAC3 |
| FORD MOTOR CO | 65,000.00 | 0.19 | $58,987.50 | 7.45 | 07/16/2031 | F |
| FORD MOTOR CREDIT CO LLC | 50,000.00 | 0.19 | $57,934.40 | 12.00 | 05/15/2015 | F |
| FREEPORT-MCMORAN C & G | 20,000.00 | 0.07 | $22,028.58 | 8.38 | 04/01/2017 | 35671DAS4 |
| FTI CONSULTING INC | 5,000.00 | 0.02 | $5,025.00 | 7.62 | 06/15/2013 | FCN |
| GAYLORD ENTERTAINMENT CO | 65,000.00 | 0.22 | $68,087.50 | 3.75 | 10/01/2014 | GET CB |
| GCI INC | 30,000.00 | 0.10 | $30,075.00 | 8.62 | 11/15/2019 | GNCMA |
| GE CAPITAL EUROPEAN FUNDING | 1,200,000.00 | 5.12 | $1,591,417.92 | 5.25 | 05/18/2015 | GE |
| GE CAPITAL UK FUNDING | 114,000.00 | 0.57 | $176,597.28 | 4.62 | 01/18/2016 | GE |
| GENERAL ELECTRIC CAPITAL AUSTR | 2,000,000.00 | 5.14 | $1,598,800.53 | 4.77 | 07/12/2013 | GE |
| GENERAL ELECTRIC CAPITAL CORP | 1,000,000.00 | 0.49 | $152,229.52 | 2.48 | 02/02/2011 | GE |
| GENERAL MARITIME CORP | 40,000.00 | 0.13 | $41,000.00 | 12.00 | 11/15/2017 | GMR |
| GENERAL MOTORS | 70,000.00 | 0.07 | $21,525.00 | 7.20 | 01/15/2011 | 370442BB0 |
| GENWORTH FINANCIAL | 77,000.00 | 0.17 | $53,130.00 | 6.15 | 11/15/2066 | 37247DAG1 |
| GEOEYE INC | 100.00 | 0.01 | $3,114.00 | 0.00 | N/A | GEOY |
| GLOBAL CASH ACCESS LLC/GLOBAL | 9,000.00 | 0.03 | $9,056.25 | 8.75 | 03/15/2012 | GLCASH |
| GLOBAL CROSSING LTD | 55,000.00 | 0.19 | $58,575.00 | 12.00 | 09/15/2015 | GLBC |
| GLOBAL GEOPHYSICAL SERVICES IN | 20,000.00 | 0.06 | $19,300.00 | 10.50 | 05/01/2017 | GGS |
| GMAC INC | 45,000.00 | 0.13 | $41,850.00 | 8.00 | 12/31/2018 | GMAC |
| GOODYEAR TIRE & RUBBER CO/THE | 10,000.00 | 0.04 | $10,925.00 | 10.50 | 05/15/2016 | GT |
| GOVERNMENT PROPERTIES INCOME T | 900.00 | 0.07 | $22,968.00 | 1.60 | N/A | GOV |
| GRAY TELEVISION INC | 40,000.00 | 0.13 | $39,000.00 | 10.50 | 06/29/2015 | GTN |
| GREGGS PLC | 22,952.00 | 0.50 | $156,680.32 | 0.00 | N/A | GRG LN |
| GXS WORLDWIDE INC | 40,000.00 | 0.12 | $38,400.00 | 9.75 | 06/15/2015 | GXSWLD |
| HARRAH'S OPERATING CO INC | 60,000.00 | 0.20 | $63,450.00 | 11.25 | 06/01/2017 | HET |
| HARRAH'S OPERATING CO INC | 80,000.00 | 0.21 | $66,000.00 | 10.00 | 12/15/2018 | HET |
| HARRAHS CHESTER DOWNS TERM LOA | 14,437.50 | 0.05 | $14,437.50 | 12.38 | 12/31/2016 | HET |
| HBOS CAPITAL FUNDING LP | 55,000.00 | 0.12 | $38,500.00 | 6.07 | 06/29/2049 | 40411CAA0 |
| HCA INC/DE - PRE 2010 IPO | 78,000.00 | 0.27 | $83,655.00 | 9.62 | 11/15/2016 | HCA |
| HCP INC | 3,100.00 | 0.32 | $99,975.00 | 1.86 | N/A | HCP |
| HEADWATERS INC | 40,000.00 | 0.13 | $40,600.00 | 11.38 | 11/01/2014 | HW |
| HEALTH CARE REIT INC | 1,975.00 | 0.27 | $83,187.00 | 2.72 | N/A | HCN |
| HELIX ENERGY SOLUTIONS GROUP I | 55,000.00 | 0.16 | $50,875.00 | 9.50 | 01/15/2016 | HLX |
| HERCULES OFFSHORE INC | 40,000.00 | 0.11 | $35,700.00 | 10.50 | 10/15/2017 | HERO |
| HEXION SPECIALTY | 57,000.00 | 0.17 | $54,150.00 | 9.75 | 11/15/2014 | 428303AH4 |
| HIGHWOODS PROPERTIES INC | 700.00 | 0.06 | $19,432.00 | 1.70 | N/A | HIW |
| HILCORP ENERGY I LP/HILCORP FI | 45,000.00 | 0.14 | $44,662.50 | 8.00 | 02/15/2020 | HILCRP |
| HOLLY CORP | 35,000.00 | 0.12 | $36,137.50 | 9.88 | 06/15/2017 | HOC |
| HOLOGIC INC | 105,000.00 | 0.29 | $89,906.25 | 2.00 | 12/15/2037 | HOLX CB |
| HONG KONG DOLLAR | 175,650.59 | 0.07 | $22,556.47 | 0.00 | N/A | HKONGDOL |
| HOST HOTELS & RESORTS INC | 3,350.00 | 0.15 | $45,158.00 | 0.04 | N/A | HST |
| HTC CORP | 17,000.00 | 0.72 | $224,758.05 | 26.00 | N/A | 2498 TT |
| HUTCHINSON TECHNOLOGY INC | 60,000.00 | 0.16 | $48,900.00 | 3.25 | 01/15/2026 | HTCH CB |
| INERGY LP/INERGY FINANCE CORP | 20,000.00 | 0.07 | $20,350.00 | 8.25 | 03/01/2016 | NRGY |
| INTEL CORP | 12,800.00 | 0.80 | $248,960.00 | 0.63 | N/A | INTC |
| INTEL CORP | 60,000.00 | 0.18 | $57,300.00 | 2.95 | 12/15/2035 | INTC CB1 |
| INTELSAT BERMUDA LTD | 115,000.00 | 0.38 | $117,012.50 | 11.25 | 02/04/2017 | INTEL |
| INTELSAT LUXEMBOURG SA | 42,500.00 | 0.14 | $42,606.25 | 11.50 | 02/04/2017 | INTEL |
| INTERFACE INC | 4,000.00 | 0.01 | $4,125.00 | 9.50 | 02/01/2014 | 458665AJ5 |
| INTERFACE INC | 10,000.00 | 0.04 | $11,250.00 | 11.38 | 11/01/2013 | IFSIA |
| INTERNATIONAL BANK FOR RECONST | 1,443,000.00 | 3.92 | $1,219,817.84 | 5.75 | 10/21/2019 | IBRD |
| INTERNATIONAL BUSINESS MACHINE | 2,200.00 | 0.87 | $271,656.00 | 2.60 | N/A | IBM |
| INTERNATIONAL COAL GROUP INC | 40,000.00 | 0.13 | $40,200.00 | 9.12 | 04/01/2018 | ICOUS |
| INTERNATIONAL GAME TECHNOLOGY | 65,000.00 | 0.23 | $71,500.00 | 3.25 | 05/01/2014 | IGT CB |
| INTERNATIONAL LEASE FINANCE CO | 20,000.00 | 0.06 | $19,000.00 | 8.75 | 03/15/2017 | AIG |
| INTERNATIONAL WIRE GROUP INC | 35,000.00 | 0.11 | $34,825.00 | 9.75 | 04/15/2015 | WIREG |
| INTERTAPE POLYMER US INC | 26,000.00 | 0.07 | $21,190.00 | 8.50 | 08/01/2014 | ITP |
| INTL BK RECON & DEVELOP | 597,000.00 | 1.35 | $419,715.84 | 5.38 | 12/15/2014 | IBRD |
| INVERNESS MEDICAL INNOVATIONS | 25,000.00 | 0.08 | $25,125.00 | 9.00 | 05/15/2016 | IMA |
| INVERNESS MEDICAL INNOVATIONS | 85,000.00 | 0.24 | $73,525.00 | 3.00 | 05/15/2016 | IMA CB |
| INVESTORS REAL ESTATE TRUST | 1,900.00 | 0.05 | $16,777.00 | 0.69 | N/A | IRET |
| ITOCHU CORP | 26,804.00 | 0.67 | $209,598.59 | 18.00 | N/A | 8001 JP |
| JAPANESE YEN | 518,498.03 | 0.02 | $5,866.03 | 0.00 | N/A | YENS |
| JBS USA LLC/JBS USA FINANCE IN | 20,000.00 | 0.07 | $22,525.00 | 11.62 | 05/01/2014 | FRIBOI |
| JEFFERIES GROUP INC | 50,000.00 | 0.15 | $47,125.00 | 3.88 | 11/01/2029 | JEF CB1 |
| JOHNSON & JOHNSON | 4,200.00 | 0.80 | $248,052.00 | 2.16 | N/A | JNJ |
| JOHNSONDIVERSEY HOLDINGS INC | 88,000.00 | 0.32 | $98,120.00 | 10.50 | 05/15/2020 | JONDIV |
| JP MORGAN CHASE CAPITAL XXV | 197,000.00 | 0.63 | $195,307.38 | 6.80 | 10/01/2037 | JPM |
| K HOVNANIAN ENTERPRISES INC | 15,000.00 | 0.03 | $10,575.00 | 7.50 | 05/15/2016 | 442488AZ5 |
| K HOVNANIAN ENTERPRISES INC | 35,000.00 | 0.08 | $25,725.00 | 6.25 | 01/15/2015 | 442488AU6 |
| KANSAS CITY SOUTHERN DE MEXICO | 40,000.00 | 0.13 | $41,600.00 | 8.00 | 02/01/2018 | KSU |
| KEY ENERGY SERVICES INC | 40,000.00 | 0.13 | $39,950.00 | 8.38 | 12/01/2014 | KEG |
| KIMBERLY-CLARK CORP | 4,400.00 | 0.86 | $266,772.00 | 2.64 | N/A | KMB |
| KIMCO REALTY CORP | 4,700.00 | 0.20 | $63,168.00 | 0.64 | N/A | KIM |
| KONINKLIJKE PHILIPS ELECTRONIC | 7,400.00 | 0.71 | $220,997.36 | 0.70 | N/A | PHIA NA |
| KRAFT FOODS INC | 9,500.00 | 0.86 | $266,000.00 | 1.16 | N/A | KFT |
| L-3 COMMUNICATIONS HOLDINGS IN | 105,000.00 | 0.34 | $105,525.00 | 3.00 | 08/01/2035 | LLL CB1 |
| LAFARGE SA | 3,134.00 | 0.55 | $170,903.76 | 2.00 | N/A | LG FP |
| LANDRY'S RESTAURANTS INC | 60,000.00 | 0.20 | $62,400.00 | 11.62 | 12/01/2015 | LNY |
| LEAP WIRELESS INTERNATIONAL IN | 76,000.00 | 0.21 | $64,030.00 | 4.50 | 07/15/2014 | LEAP CB1 |
| LEVEL 3 COMMUNICATIONS INC | 100,000.00 | 0.31 | $96,250.00 | 5.25 | 12/15/2011 | LVLT CNV |
| LEVEL 3 FINANCING INC | 45,000.00 | 0.13 | $40,050.00 | 10.00 | 02/01/2018 | LVLT |
| LEVERAGE SEC DK | -10,725,000.00 | -34.49 | -$10,725,000.00 | 0.44 | 11/29/2010 | DKLEV |
| LEXINGTON REALTY TRUST | 3,300.00 | 0.06 | $19,833.00 | 0.40 | N/A | LXP |
| LEXINGTON REALTY TRUST | 50,000.00 | 0.16 | $50,246.00 | 6.00 | 01/15/2030 | LXP CNVB |
| LIBERTY MUTUAL GROUP | 50,000.00 | 0.13 | $39,297.00 | 7.00 | 03/15/2037 | 53079EAQ7 |
| LIBERTY PROPERTY TRUST | 600.00 | 0.06 | $17,310.00 | 1.90 | N/A | LRY |
| LIFEPOINT HOSPITALS INC | 90,000.00 | 0.27 | $84,712.50 | 3.25 | 08/15/2025 | LPNT CB2 |
| LINEAR TECHNOLOGY CORP | 175,000.00 | 0.55 | $172,156.25 | 3.00 | 05/01/2027 | LLTC CB2 |
| LINN ENERGY LLC/LINN ENERGY FI | 40,000.00 | 0.13 | $41,150.00 | 8.62 | 04/15/2020 | LINE |
| LIVE NATION ENTERTAINMENT INC | 114,000.00 | 0.31 | $95,332.50 | 2.88 | 07/15/2027 | LYV CB1 |
| LONG TERM RECEIVABLES | -149,347.34 | -0.48 | -$149,347.34 | 0.00 | N/A | SECNCAHUS |
| LOWE'S COS INC | 11,500.00 | 0.76 | $234,830.00 | 0.36 | N/A | LOW |
| LTC PROPERTIES INC | 700.00 | 0.05 | $16,989.00 | 1.56 | N/A | LTC |
| LUCENT TECHNOLOGIES CAPITAL TR | 120.00 | 0.28 | $86,430.00 | 0.00 | N/A | LUTHP |
| M/I HOMES INC | 20,000.00 | 0.06 | $19,900.00 | 6.88 | 04/01/2012 | MHO |
| MACDERMID INC | 103,000.00 | 0.33 | $103,515.00 | 9.50 | 04/15/2017 | MRD |
| MACERICH CO/THE | 389.00 | 0.05 | $14,517.48 | 2.00 | N/A | MAC |
| MACK-CALI REALTY CORP | 3,200.00 | 0.31 | $95,136.00 | 1.80 | N/A | CLI |
| MACYS RETAIL HLDGS INC | 10,000.00 | 0.03 | $10,300.00 | 10.62 | 11/01/2010 | M |
| MAGNACHIP SEMICONDUCTOR SA / M | 30,000.00 | 0.10 | $30,675.00 | 10.50 | 04/15/2018 | MX |
| MANITOWOC CO INC/THE | 40,000.00 | 0.13 | $40,200.00 | 9.50 | 02/15/2018 | MTW |
| MARATHON OIL CORP | 8,800.00 | 0.88 | $273,592.00 | 1.00 | N/A | MRO |
| MCE FINANCE LTD | 50,000.00 | 0.17 | $52,187.50 | 10.25 | 05/15/2018 | MPEL |
| MDC PARTNERS INC | 20,000.00 | 0.07 | $21,400.00 | 11.00 | 11/01/2016 | MDCA |
| MEDTRONIC INC | 110,000.00 | 0.36 | $110,825.00 | 1.62 | 04/15/2013 | MDT CB1 |
| MERCK & CO INC | 6.00 | 0.00 | $1,500.00 | 0.38 | N/A | MRK B |
| MERCK & CO INC/NJ | 8,600.00 | 0.97 | $300,742.00 | 1.52 | N/A | MRK |
| METRO AG | 3,698.00 | 0.61 | $188,940.56 | 1.18 | N/A | MEO GR |
| MGM MIRAGE | 25,000.00 | 0.09 | $28,937.50 | 13.00 | 11/15/2013 | MGM |
| MGM MIRAGE | 110,000.00 | 0.33 | $103,950.00 | 11.38 | 03/01/2018 | MGM |
| MILLAR WESTERN | 30,000.00 | 0.08 | $25,950.00 | 7.75 | 11/15/2013 | 599908AE0 |
| MIRANT 2.50% CNV (ESCROW) | 50,000.00 | 0.00 | $0.00 | 0.00 | N/A | 6046759B6 |
| MIRANT AMERICAS GENERATION LLC | 100,000.00 | 0.30 | $93,500.00 | 8.50 | 10/01/2021 | MIR |
| MIRANT CORP | 53.00 | 0.00 | $559.68 | 0.00 | N/A | MIR |
| MITSUBISHI UFJ FINANCIAL GROUP | 46,639.00 | 0.68 | $211,833.94 | 12.00 | N/A | 8306 JP |
| MOBILE MINI INC | 363.00 | 0.02 | $5,909.64 | 0.00 | N/A | MINI |
| MOHEGAN TRIBAL GAMING AUTHORIT | 10,000.00 | 0.02 | $7,150.00 | 6.88 | 02/15/2015 | 608328AR1 |
| MOHEGAN TRIBAL GAMING AUTHORIT | 25,000.00 | 0.06 | $18,187.50 | 7.12 | 08/15/2014 | 608328AP5 |
| MOTOROLA INC | 33,700.00 | 0.71 | $219,724.00 | 0.00 | N/A | MOT |
| MURRAY ENERGY CORP | 40,000.00 | 0.13 | $40,000.00 | 10.25 | 10/15/2015 | MURREN |
| MYLAN INC/PA | 100.00 | 0.34 | $106,150.00 | 0.00 | N/A | MYL A |
| MYLAN INC/PA | 20,000.00 | 0.07 | $20,500.00 | 7.88 | 07/15/2020 | MYL |
| NALCO COMPANY | 50,000.00 | 0.17 | $51,500.00 | 8.88 | 11/15/2013 | 629855AH0 |
| NATIONAL GRID PLC | 21,634.00 | 0.51 | $157,949.57 | 0.41 | N/A | NG/ LN |
| NATIONAL OILWELL VARCO INC | 7,800.00 | 0.83 | $257,946.00 | 0.40 | N/A | NOV |
| NATIONAL RETAIL PROPERTIES INC | 1,200.00 | 0.08 | $25,728.00 | 1.50 | N/A | NNN |
| NATIONWIDE HEALTH PROPERTIES I | 1,800.00 | 0.21 | $64,386.00 | 1.80 | N/A | NHP |
| NCL CORP LTD | 40,000.00 | 0.14 | $42,000.00 | 11.75 | 11/15/2016 | STRC |
| NEW ZEALAND DOLLAR | 38,985.43 | 0.09 | $26,728.41 | 0.00 | N/A | NEWZEALND |
| NEWPAGE CORP | 5,000.00 | 0.01 | $4,562.50 | 11.38 | 12/31/2014 | NEWPAG |
| NEWPAGE CORP | 35,000.00 | 0.10 | $31,937.50 | 11.38 | 12/31/2014 | NEWPAG |
| NEXSTAR BROADCASTING INC / MIS | 40,000.00 | 0.13 | $40,400.00 | 8.88 | 04/15/2017 | NXST |
| NFR ENERGY LLC/NFR ENERGY FINA | 40,000.00 | 0.12 | $38,800.00 | 9.75 | 02/15/2017 | NFREGY |
| NIELSEN FINANCE LLC / NIELSEN | 5,000.00 | 0.02 | $5,487.50 | 11.62 | 02/01/2014 | VNU |
| NIELSEN FINANCE LLC / NIELSEN | 10,000.00 | 0.04 | $10,975.00 | 11.50 | 05/01/2016 | VNU |
| NIELSEN FINANCE LLC / NIELSEN | 35,000.00 | 0.11 | $33,512.50 | 0.00 | 08/01/2016 | 65409QAJ1 |
| NII CAPITAL CORP | 30,000.00 | 0.10 | $31,725.00 | 10.00 | 08/15/2016 | NIHD |
| NII HOLDINGS INC | 155,000.00 | 0.47 | $147,056.25 | 3.12 | 06/15/2012 | NIHD CB |
| NOKIA OYJ | 17,426.00 | 0.46 | $142,047.58 | 0.40 | N/A | NOK1V FH |
| NORANDA ALUMINIUM ACQUISITION | 43,874.32 | 0.11 | $34,002.60 | 5.37 | 05/15/2015 | NRNDA |
| NORCRAFT COS LP/NORCRAFT FINAN | 30,000.00 | 0.10 | $31,050.00 | 10.50 | 12/15/2015 | NORCFT |
| NORCRAFT HOLDINGS LP/NORCRAFT | 29,000.00 | 0.09 | $27,586.25 | 9.75 | 09/01/2012 | NORCFT |
| NORDEA BANK AB | 21,476.00 | 0.57 | $177,107.65 | 0.25 | N/A | NDA1V FH |
| NORTHROP GRUMMAN CORP | 4,600.00 | 0.81 | $250,424.00 | 1.88 | N/A | NOC |
| NORTHWEST AIRLNS ESCROW (STUB) | 15,000.00 | 0.00 | $57.00 | 10.00 | 02/01/2011 | 66799ADP5 |
| NORTHWESTERN CORP | 700.00 | 0.06 | $18,340.00 | 1.36 | N/A | NWE |
| NORWEGIAN KRONE | 1,041,778.54 | 0.51 | $160,090.13 | 0.00 | N/A | NOKKRONER |
| NOVARTIS AG | 4,338.00 | 0.68 | $210,233.05 | 2.10 | N/A | NOVN VX |
| NOVELIS INC/GA | 15,000.00 | 0.05 | $15,750.00 | 11.50 | 02/15/2015 | HINDAL |
| NOVELIS INC/GA | 20,000.00 | 0.06 | $19,400.00 | 8.25 | 02/15/2015 | 67000XAB2 |
| NUVEEN INVESTMENTS INC | 132,000.00 | 0.37 | $115,500.00 | 10.50 | 11/15/2015 | NUVINV |
| OMEGA HEALTHCARE INVESTORS INC | 1,600.00 | 0.10 | $31,888.00 | 1.28 | N/A | OHI |
| OPTI CANADA INC | 30,000.00 | 0.08 | $26,250.00 | 7.88 | 12/15/2014 | OPCCN |
| OPTI CANADA INC | 58,000.00 | 0.16 | $50,750.00 | 8.25 | 12/15/2014 | OPCCN |
| OSI RESTAURANT PARTNERS INC | 42,000.00 | 0.13 | $41,265.00 | 10.00 | 06/15/2015 | OSI |
| OWENS-BROCKWAY GLASS CONTAINER | 140,000.00 | 0.42 | $129,325.00 | 3.00 | 06/01/2015 | OI CB1 |
| PAETEC HOLDING CORP | 15,000.00 | 0.05 | $15,075.00 | 8.88 | 06/30/2017 | PAET |
| PAETEC HOLDING CORP | 20,000.00 | 0.06 | $19,550.00 | 9.50 | 07/15/2015 | PAET |
| PANTRY INC/THE | 65,000.00 | 0.19 | $60,450.00 | 3.00 | 11/15/2012 | PTRY CB |
| PARMALAT SPA | 93,825.00 | 0.70 | $218,097.71 | 0.06 | N/A | PLT IM |
| PEABODY ENERGY CORP | 20,000.00 | 0.06 | $19,600.00 | 4.75 | 12/15/2041 | BTU CB |
| PENINSULA GAMING LLC | 45,000.00 | 0.14 | $45,000.00 | 10.75 | 08/15/2017 | PENGAM |
| PENSON WORLDWIDE INC | 40,000.00 | 0.13 | $39,800.00 | 12.50 | 05/15/2017 | PNSN |
| PETROHAWK ENERGY CORP | 40,000.00 | 0.13 | $40,300.00 | 7.88 | 06/01/2015 | HAWK |
| PETROLEO BRASILEIRO SA | 5,700.00 | 0.55 | $169,860.00 | 0.15 | N/A | PBR/A |
| PETROLEUM DEVELOPMENT CORP | 40,000.00 | 0.13 | $41,500.00 | 12.00 | 02/15/2018 | PETD |
| PFIZER INC | 18,616.00 | 0.85 | $265,464.16 | 0.72 | N/A | PFE |
| PINNACLE ENTERTAINMENT INC | 25,000.00 | 0.07 | $23,281.25 | 8.75 | 05/15/2020 | PNK |
| PIONEER DRILLING CO | 20,000.00 | 0.06 | $19,700.00 | 9.88 | 03/15/2018 | PDC |
| PLASTIPAK HOLDINGS INC | 10,000.00 | 0.04 | $11,150.00 | 10.62 | 08/15/2019 | PLASPK |
| PLUM CREEK TIMBER CO INC | 1,520.00 | 0.17 | $52,485.60 | 1.68 | N/A | PCL |
| PLY GEM INDUSTRIES INC | 45,000.00 | 0.15 | $45,787.50 | 13.12 | 07/15/2014 | PLYGEM |
| POKAGON GAMING AUTHORITY | 15,000.00 | 0.05 | $15,600.00 | 10.38 | 06/15/2014 | POKAGO |
| PORT TOWNSEND (REST) PREFERRED | 20.00 | 0.00 | $0.00 | 0.00 | N/A | 735999005 |
| PORT TOWNSEND (RESTRICTED) | 100.00 | 0.00 | $1.00 | 0.00 | N/A | 73545Q101 |
| PORT TOWNSEND PRIVATE NOTE | 29,312.08 | 0.07 | $21,251.26 | 7.32 | 08/27/2012 | 735999015 |
| PORT TOWNSEND WARRANT | 20.00 | 0.00 | $0.20 | 0.00 | N/A | 735999025 |
| POTLATCH CORP | 1,730.00 | 0.20 | $61,812.90 | 2.04 | N/A | PCH |
| PPR | 1,320.00 | 0.53 | $163,987.86 | 3.30 | N/A | PP FP |
| PQ CORP TERM LOAN | 45,000.00 | 0.13 | $40,950.00 | 6.73 | 07/30/2015 | PQCOR |
| PREGIS CORP | 83,000.00 | 0.27 | $82,481.25 | 13.38 | 10/15/2013 | PREGIS |
| PRIMUS TELECOMMUNICATIONS HOLD | 36,000.00 | 0.12 | $36,000.00 | 13.00 | 12/15/2016 | PMUG |
| PROGRESS ENERGY INC | 7,200.00 | 0.91 | $282,384.00 | 2.48 | N/A | PGN |
| PUBLIC STORAGE | 1,150.00 | 0.33 | $101,096.50 | 3.20 | N/A | PSA |
| PUBLICIS GROUPE SA | 4,788.00 | 0.61 | $191,007.85 | 0.60 | N/A | PUB FP |
| PUGET SOUND ENERGY INC | 25,000.00 | 0.07 | $22,976.45 | 6.97 | 06/01/2067 | PSD |
| QUEBEC PROVINCE | 7,000.00 | 0.02 | $6,852.70 | 4.50 | 12/01/2019 | 74814ZEE9 |
| QUEST DIAGNOSTICS INC/DE | 5,300.00 | 0.85 | $263,781.00 | 0.40 | N/A | DGX |
| QUICKSILVER RESOURCES INC | 55,000.00 | 0.16 | $51,012.50 | 7.12 | 04/01/2016 | 74837RAC8 |
| QUINTILES TRANSNATIONAL CORP | 20,000.00 | 0.06 | $20,150.00 | 9.50 | 12/30/2014 | QTRN |
| QWEST COMMUNICATIONS INTERNATI | 15,000.00 | 0.05 | $15,112.50 | 7.50 | 02/15/2014 | QUS |
| QWEST CORP | 20,000.00 | 0.07 | $21,950.00 | 8.38 | 05/01/2016 | QUS |
| RADIATION THERAPY SERVICES INC | 40,000.00 | 0.12 | $38,600.00 | 9.88 | 04/15/2017 | RTSX |
| RADNET INC | 40,000.00 | 0.12 | $36,200.00 | 10.38 | 04/01/2018 | RDNT |
| RAMCO-GERSHENSON PROPERTIES TR | 1,600.00 | 0.05 | $16,160.00 | 0.65 | N/A | RPT |
| RAYONIER TRS HOLDINGS INC | 135,000.00 | 0.45 | $140,231.25 | 3.75 | 10/15/2012 | RYN CB |
| RBS GLOBAL/REXNORD COR | 45,000.00 | 0.15 | $47,137.50 | 11.75 | 08/01/2016 | 75524DAD2 |
| REPUBLIC OF KOREA | 140,000.00 | 0.53 | $165,405.45 | 4.25 | 12/07/2021 | KOREA |
| REXAM PLC | 45,026.00 | 0.65 | $202,645.15 | 0.09 | N/A | REX LN |
| RITE AID CORP | 25,000.00 | 0.07 | $20,562.50 | 9.38 | 12/15/2015 | 767754BQ6 |
| ROUND ONE CORP | 13,101.00 | 0.23 | $72,052.64 | 20.00 | N/A | 4680 JP |
| ROVI CORP | 105,000.00 | 0.35 | $107,362.50 | 2.62 | 03/15/2040 | ROVI CB1 |
| ROYAL CARIBBEAN CRUISES LTD | 20,000.00 | 0.06 | $19,550.00 | 6.88 | 12/01/2013 | 780153AP7 |
| RSC EQUIPMENT RENTAL INC | 20,000.00 | 0.06 | $19,975.00 | 9.50 | 12/01/2014 | RSC |
| RSC EQUIPMENT RENTAL INC/RSC H | 20,000.00 | 0.07 | $20,300.00 | 10.25 | 11/15/2019 | RRR |
| RYERSON INC | 25,000.00 | 0.08 | $23,375.00 | 7.72 | 11/01/2014 | RYI |
| RYERSON INC | 35,000.00 | 0.12 | $35,962.50 | 12.25 | 11/01/2015 | RYI |
| SAFEWAY INC | 13,100.00 | 0.83 | $257,546.00 | 0.48 | N/A | SWY |
| SANDISK CORP | 65,000.00 | 0.19 | $58,093.75 | 1.00 | 05/15/2013 | SNDK CB |
| SANDRIDGE ENERGY INC | 30,000.00 | 0.09 | $28,650.00 | 8.75 | 01/15/2020 | SD |
| SANDRIDGE ENERGY INC | 30,000.00 | 0.10 | $30,600.00 | 9.88 | 05/15/2016 | SD |
| SANMINA-SCI CORP | 36,000.00 | 0.11 | $35,640.00 | 8.12 | 03/01/2016 | 800907AK3 |
| SANOFI-AVENTIS SA | 2,881.00 | 0.56 | $173,529.04 | 2.40 | N/A | SAN FP |
| SBA COMMUNICATIONS CORP | 65,000.00 | 0.27 | $83,362.50 | 4.00 | 10/01/2014 | SBAC CB2 |
| SEALY CORP | 10,000.00 | 0.04 | $11,100.00 | 10.88 | 04/15/2016 | ZZ |
| SECURITIZED NET CASH - ACR1 | 354,674.37 | 1.14 | $354,674.37 | 0.00 | N/A | SECCASHAC |
| SECURITY LENDING COLLATERAL | 78,121.24 | 0.01 | $3,320.14 | 0.00 | N/A | SECLENDPL |
| SELECT MEDICAL CORP | 25,000.00 | 0.08 | $23,625.00 | 7.62 | 02/01/2015 | SELMED |
| SERVICEMASTER CO/THE | 50,000.00 | 0.17 | $52,000.00 | 10.75 | 07/15/2015 | SVM |
| SHAW COMMUNICATION | 1,000,000.00 | 3.09 | $960,281.82 | 6.75 | 11/09/2039 | SJRCN |
| SHINGLE SPRINGS | 45,000.00 | 0.12 | $35,887.50 | 9.38 | 06/15/2015 | 82459AAA9 |
| SIMON PROPERTY GROUP INC | 2,313.00 | 0.60 | $186,774.75 | 2.40 | N/A | SPG |
| SINCLAIR TELEVISION GROUP INC | 30,000.00 | 0.10 | $30,450.00 | 9.25 | 11/01/2017 | SBGI |
| SINGAPORE AIRLINES LTD | 22,550.00 | 0.75 | $233,790.49 | 0.12 | N/A | SIA SP |
| SINGAPORE DOLLAR | 1,187.34 | 0.00 | $848.40 | 0.00 | N/A | SINGDOLL |
| SINO-FOREST CORP | 95,000.00 | 0.31 | $97,731.25 | 5.00 | 08/01/2013 | TRECN |
| SITEL LLC/SITEL FINANCE CORP | 40,000.00 | 0.12 | $37,200.00 | 11.50 | 04/01/2018 | SITEL |
| SMITHFIELD FOODS | 20,000.00 | 0.06 | $19,200.00 | 7.75 | 07/01/2017 | 832248AQ1 |
| SOHU.COM INC | 4,600.00 | 0.61 | $189,014.00 | 0.00 | N/A | SOHU |
| SOLAR CAPITAL LTD | 8,100.00 | 0.50 | $156,006.00 | 2.40 | N/A | SLRC |
| SOLO CUP CO | 20,000.00 | 0.06 | $18,050.00 | 8.50 | 02/15/2014 | 834260AB7 |
| SPRINT CAPITAL | 65,000.00 | 0.20 | $62,400.00 | 8.75 | 03/15/2032 | 852060AT9 |
| STANDARD CHARTERED PLC | 8,960.00 | 0.70 | $218,202.40 | 0.69 | N/A | STAN LN |
| STANDARD PACIFIC CORP | 15,000.00 | 0.05 | $16,125.00 | 10.75 | 09/15/2016 | SPF |
| STANDARD PACIFIC CORP | 35,000.00 | 0.10 | $31,412.50 | 6.00 | 10/01/2012 | SPF CB1 |
| STARWOOD PROPERTY TRUST INC | 3,200.00 | 0.17 | $54,240.00 | 1.00 | N/A | STWD |
| STEEL DYNAMICS INC | 30,000.00 | 0.10 | $30,000.00 | 7.62 | 03/15/2020 | STLD |
| SUNGARD DATA SYSTEMS INC | 35,000.00 | 0.12 | $36,312.50 | 10.25 | 08/15/2015 | SDSINC |
| SUSSER HOLDINGS LLC / SUSSER F | 35,000.00 | 0.11 | $35,175.00 | 8.50 | 05/15/2016 | SUSS |
| SVB FINANCIAL GROUP | 45,000.00 | 0.15 | $45,787.50 | 3.88 | 04/15/2011 | SIVB CB |
| SWEDISH KRONA | 71.53 | 0.00 | $9.18 | 0.00 | N/A | SWKRONOR |
| SWISS FRANC | 335.07 | 0.00 | $310.87 | 0.00 | N/A | SWFRANCS |
| TAUBMAN CENTERS INC | 400.00 | 0.05 | $15,052.00 | 1.66 | N/A | TCO |
| TECHTRONIC INDUSTRIES CO | 229,000.00 | 0.57 | $178,424.85 | 0.07 | N/A | 669 HK |
| TECK RESOURCES LTD | 15,000.00 | 0.06 | $17,720.01 | 10.25 | 05/15/2016 | TCKCN |
| TECK RESOURCES LTD | 15,000.00 | 0.06 | $18,407.18 | 10.75 | 05/15/2019 | TCKCN |
| TELCORDIA TECHNOLOGIES INC | 40,000.00 | 0.12 | $38,200.00 | 11.00 | 05/01/2018 | TELCOR |
| TELECOM ITALIA CAPITAL | 98,000.00 | 0.32 | $99,018.71 | 5.25 | 10/01/2015 | 87927VAQ1 |
| TELEPERFORMANCE | 7,719.00 | 0.62 | $192,830.30 | 0.33 | N/A | RCF FP |
| TELESAT CANADA / TELESAT LLC | 25,000.00 | 0.09 | $27,125.00 | 11.00 | 11/01/2015 | TELSAT |
| TELESAT CANADA / TELESAT LLC | 50,000.00 | 0.18 | $56,250.00 | 12.50 | 11/01/2017 | TELSAT |
| TELSTRA CORP LTD | 34,971.00 | 0.31 | $95,276.84 | 0.40 | N/A | TLS AU |
| TELUS CORP | 7,187.00 | 0.87 | $271,208.82 | 2.00 | N/A | T CN |
| TERREMARK WORLDWIDE INC | 35,000.00 | 0.13 | $39,550.00 | 12.00 | 06/15/2017 | TMRK |
| TEXAS COMPETITIVE ELECTRIC HOL | 60,000.00 | 0.13 | $39,900.00 | 10.50 | 11/01/2015 | TXU |
| THERMADYNE HOLDINGS CORP | 40,000.00 | 0.13 | $40,700.00 | 11.50 | 02/01/2014 | THMD |
| TOMKINS PLC | 59,755.00 | 0.65 | $200,657.72 | 0.14 | N/A | TOMK LN |
| TOPS MARKETS LLC | 30,000.00 | 0.10 | $31,050.00 | 10.12 | 10/15/2015 | TOMA |
| TOTAL SA | 1,787.00 | 0.26 | $79,776.08 | 2.28 | N/A | FP FP |
| TOYOTA MOTOR CORP | 5,621.00 | 0.62 | $193,184.61 | 20.00 | N/A | 7203 JP |
| TRANSOCEAN INC | 55,000.00 | 0.17 | $53,556.25 | 1.62 | 12/15/2037 | RIG CB |
| TRAVELERS COS INC/THE | 5,600.00 | 0.89 | $275,800.00 | 1.44 | N/A | TRV |
| TREASURY BILL | 75,746.10 | 0.24 | $75,743.45 | 0.05 | 07/15/2010 | B |
| TREASURY BILL | 135,355.30 | 0.44 | $135,355.31 | 0.01 | 07/01/2010 | B |
| TRIMAS CORP | 30,000.00 | 0.10 | $30,525.00 | 9.75 | 12/15/2017 | TRS |
| TXU CORP | 30,000.00 | 0.07 | $21,461.25 | 5.55 | 11/15/2014 | 873168AL2 |
| UMBRELLA ACQ 144A | 26,313.00 | 0.07 | $22,037.14 | 9.75 | 03/15/2015 | 904201AA8 |
| UNICREDIT SPA | 98,152.00 | 0.70 | $217,133.56 | 0.03 | N/A | UCG IM |
| UNITED AIR LINES INC | 60,000.00 | 0.20 | $62,700.00 | 12.00 | 11/01/2013 | UAUA |
| UNIVERSAL HOSPITAL SERVICES IN | 20,000.00 | 0.06 | $19,800.00 | 8.50 | 06/01/2015 | UHOS |
| UNIVISION COMMUNICATIONS INC | 25,000.00 | 0.09 | $26,937.50 | 12.00 | 07/01/2014 | UVN |
| US ONCOLOGY HOLDINGS INC | 42,000.00 | 0.13 | $39,270.00 | 6.64 | 03/15/2012 | USON |
| US TREASURY N/B | 130,000.00 | 0.47 | $146,148.47 | 4.62 | 02/15/2040 | T |
| USG CORP | 10,000.00 | 0.03 | $10,450.00 | 9.75 | 08/01/2014 | USG |
| USGEN ESCROW TRACKING POSITION | 50,000.00 | 0.00 | $0.00 | 0.00 | N/A | 91799ALA7 |
| VALE SA | 7,000.00 | 0.55 | $170,450.00 | 0.24 | N/A | VALE |
| VALLOUREC SA | 1,097.00 | 0.61 | $189,151.75 | 3.50 | N/A | VK FP |
| VENTAS INC | 1,725.00 | 0.26 | $80,988.75 | 2.14 | N/A | VTR |
| VERISIGN INC | 95,000.00 | 0.28 | $86,331.25 | 3.25 | 08/15/2037 | VRSN CB1 |
| VERIZON COMMUNICATIONS INC | 10,100.00 | 0.91 | $283,002.00 | 1.90 | N/A | VZ |
| VERSO PAPER HOLDINGS LLC / VER | 35,000.00 | 0.10 | $30,012.50 | 11.38 | 08/01/2016 | 92531XAF9 |
| VIASAT INC | 20,000.00 | 0.07 | $20,450.00 | 8.88 | 09/15/2016 | VSAT |
| VIDEOTRON LTEE | 15,000.00 | 0.05 | $16,350.00 | 9.12 | 04/15/2018 | QBRCN |
| VIRGIN MEDIA INC | 40,000.00 | 0.15 | $47,050.00 | 6.50 | 11/15/2016 | VMED CNVB |
| VISKASE COS INC | 5,000.00 | 0.02 | $5,050.00 | 9.88 | 01/15/2018 | VKSC |
| VISKASE COS INC | 40,000.00 | 0.13 | $40,400.00 | 9.88 | 01/15/2018 | VKSC |
| VIVENDI SA | 9,592.00 | 0.63 | $194,945.41 | 1.40 | N/A | VIV FP |
| VODAFONE GROUP PLC | 51,645.88 | 0.34 | $106,394.56 | 0.09 | N/A | VOD LN |
| VORNADO REALTY TRUST | 1,528.00 | 0.36 | $111,467.60 | 2.60 | N/A | VNO |
| W2007 GRACE ACQUISITION I INC | 10,000.00 | 0.00 | $1,500.00 | 0.00 | N/A | GRACE |
| WASTE MANAGEMENT INC | 8,100.00 | 0.82 | $253,449.00 | 1.26 | N/A | WM |
| WEINGARTEN REALTY INVESTORS | 700.00 | 0.04 | $13,335.00 | 1.04 | N/A | WRI |
| WEST CORP/OLD | 40,000.00 | 0.13 | $40,900.00 | 11.00 | 10/15/2016 | 952355AF2 |
| WILLIAMS COS INC/THE | 13,200.00 | 0.78 | $241,296.00 | 0.50 | N/A | WMB |
| WIND ACQUISITION FINANCE SA | 50,000.00 | 0.17 | $51,500.00 | 11.75 | 07/15/2017 | WINDIM |
| WINDSTREAM CORP | 10,000.00 | 0.03 | $9,812.50 | 7.88 | 11/01/2017 | WIN |
| XEROX CORP | 30,200.00 | 0.78 | $242,808.00 | 0.17 | N/A | XRX |
| XL CAPITAL LTD | 25,000.00 | 0.06 | $17,500.00 | 6.50 | 12/31/2049 | XL |
| XM SATELLITE RADIO HOLDINGS IN | 90,000.00 | 0.32 | $98,775.00 | 13.00 | 08/01/2013 | XMSR |
| YANKEE ACQUISITION CORP/MA | 40,000.00 | 0.13 | $40,900.00 | 9.75 | 02/15/2017 | YCC |
| YUE YUEN INDUSTRIAL HOLDINGS L | 58,000.00 | 0.58 | $180,018.01 | 0.89 | N/A | 551 HK |