Allied World Assurance Co Holdings, AG - FORM 8-K - EX-99.3 - FIRST QUARTER 2014 INVESTMENT SUPPLEMENT.

Attached files

file	filename
8-K - FORM 8-K - Allied World Assurance Co Holdings, AG	d715071d8k.htm
EX-99.1 - PRESS RELEASE, DATED APRIL 23, 2014 REPORTING FIRST QUARTER RESULTS FOR 2014. - Allied World Assurance Co Holdings, AG	d715071dex991.htm
EX-99.2 - FIRST QUARTER 2014 FINANCIAL SUPPLEMENT. - Allied World Assurance Co Holdings, AG	d715071dex992.htm

Exhibit 99.3

LOGO

Allied World Assurance Company Holdings, AG

Securities Listing as at March 31, 2014


Cusip	Security Description	Coupon	Maturity	Par	Market Value
U.S. Government Securities
912796BT5	UNITED STATES TREASURY	-	07/24/14	4,300,000		4,299,210
912796BX6	UNITED STATES TREASURY	-	08/21/14	300,000		299,911
912796DG1	UNITED STATES TREASURY	-	02/05/15	300,000		299,734
912796DP1	UNITED STATES TREASURY	-	03/05/15	107,000		106,875
912796DS5	UNITED STATES TREASURY	-	09/04/14	100,000		99,965
912796DV8	UNITED STATES TREASURY	-	09/11/14	200,000		199,932
912796DW6	UNITED STATES TREASURY	-	09/25/14	13,000		12,996
912810EZ7	UNITED STATES TREASURY	6.63	02/15/27	625,000		871,175
912828A34	UNITED STATES TREASURY	1.25	11/30/18	500,000		491,270
912828A42	UNITED STATES TREASURY	2.00	11/30/20	900,000		886,392
912828A59	UNITED STATES TREASURY	0.63	12/15/16	500,000		498,080
912828A67	UNITED STATES TREASURY	0.25	12/31/15	500,000		499,325
912828A75	UNITED STATES TREASURY	1.50	12/31/18	500,000		496,230
912828B33	UNITED STATES TREASURY	1.50	01/31/19	700,000		693,833
912828B74	UNITED STATES TREASURY	0.63	02/15/17	400,000		397,452
912828B82	UNITED STATES TREASURY	0.25	02/29/16	500,000		498,670
912828C24	UNITED STATES TREASURY	1.50	02/28/19	1,000,000		990,000
912828C32	UNITED STATES TREASURY	0.75	03/15/17	1,000,000		996,210
912828EW6	UNITED STATES TREASURY	4.50	02/15/16	300,000		323,178
912828FY1	UNITED STATES TREASURY	4.63	11/15/16	825,000		908,837
912828GX2	UNITED STATES TREASURY	2.63	07/15/17	7,000,000		8,849,694
912828KN9	UNITED STATES TREASURY	1.88	04/30/14	715,000		716,001
912828KY5	UNITED STATES TREASURY	2.63	06/30/14	495,000		498,153
912828KZ2	UNITED STATES TREASURY	3.25	06/30/16	500,000		530,285
912828LJ7	UNITED STATES TREASURY	3.63	08/15/19	2,280,000		2,489,714
912828LP3	UNITED STATES TREASURY	3.00	09/30/16	500,000		529,120
912828MR8	UNITED STATES TREASURY	2.38	02/28/15	80,000		81,625
912828MZ0	UNITED STATES TREASURY	2.50	04/30/15	750,000		768,900
912828NA4	UNITED STATES TREASURY	3.13	04/30/17	250,000		266,503
912828NF3	UNITED STATES TREASURY	2.13	05/31/15	1,500,000		1,534,155
912828NL0	UNITED STATES TREASURY	1.88	06/30/15	1,000,000		1,021,170
912828NP1	UNITED STATES TREASURY	1.75	07/31/15	1,000,000		1,020,820
912828NV8	UNITED STATES TREASURY	1.25	08/31/15	200,000		202,980
912828NW6	UNITED STATES TREASURY	1.88	08/31/17	500,000		512,690
912828NZ9	UNITED STATES TREASURY	1.25	09/30/15	1,000,000		1,015,220
912828PJ3	UNITED STATES TREASURY	1.38	11/30/15	1,000,000		1,017,850
912828PS3	UNITED STATES TREASURY	2.00	01/31/16	3,000,000		3,089,820
912828PT1	UNITED STATES TREASURY	2.63	01/31/18	500,000		524,895
912828QF0	UNITED STATES TREASURY	2.00	04/30/16	250,000		257,890
912828QJ2	UNITED STATES TREASURY	2.13	02/29/16	12,875,000		13,300,905
912828QP8	UNITED STATES TREASURY	1.75	05/31/16	500,000		513,305
912828QQ6	UNITED STATES TREASURY	2.38	05/31/18	4,480,000		4,652,256
912828QR4	UNITED STATES TREASURY	1.50	06/30/16	1,000,000		1,021,060
912828QT0	UNITED STATES TREASURY	2.38	06/30/18	250,000		259,418
912828QX1	UNITED STATES TREASURY	1.50	07/31/16	175,000		178,710
912828RE2	UNITED STATES TREASURY	1.50	08/31/18	750,000		748,643
912828RG7	UNITED STATES TREASURY	0.25	09/15/14	15,000,000		15,011,850
912828RH5	UNITED STATES TREASURY	1.38	09/30/18	42,300,000		41,922,685
912828RJ1	UNITED STATES TREASURY	1.00	09/30/16	100,000		100,829
912828RM4	UNITED STATES TREASURY	1.00	10/31/16	1,950,000		1,964,586
912828RV4	UNITED STATES TREASURY	0.25	12/15/14	30,100,000		30,132,812
912828RX0	UNITED STATES TREASURY	0.88	12/31/16	4,806,500		4,817,939
912828RY8	UNITED STATES TREASURY	1.38	12/31/18	500,000		493,615

Page 1


Cusip	Security Description	Coupon	Maturity	Par	Market Value
912828SC5	UNITED STATES TREASURY	0.88	01/31/17	1,000,000		1,001,280
912828SJ0	UNITED STATES TREASURY	0.88	02/28/17	1,520,000		1,520,228
912828SM3	UNITED STATES TREASURY	1.00	03/31/17	1,000,000		1,002,580
912828SP6	UNITED STATES TREASURY	0.38	04/15/15	250,000		250,573
912828SR2	UNITED STATES TREASURY	0.25	04/30/14	34,879,000		34,884,581
912828SS0	UNITED STATES TREASURY	0.88	04/30/17	1,000,000		997,810
912828SU5	UNITED STATES TREASURY	0.25	05/15/15	400,000		400,436
912828SY7	UNITED STATES TREASURY	0.63	05/31/17	1,000,000		988,440
912828SZ4	UNITED STATES TREASURY	0.38	06/15/15	1,000,000		1,002,580
912828TA8	UNITED STATES TREASURY	0.25	06/30/14	279,848,000		279,979,501
912828TB6	UNITED STATES TREASURY	0.75	06/30/17	750,000		743,032
912828TD2	UNITED STATES TREASURY	0.25	07/15/15	750,000		750,705
912828TF7	UNITED STATES TREASURY	0.13	07/31/14	16,505,000		16,507,641
912828TG5	UNITED STATES TREASURY	0.50	07/31/17	1,000,000		980,860
912828TM2	UNITED STATES TREASURY	0.63	08/31/17	4,800,000		4,718,928
912828TP5	UNITED STATES TREASURY	0.25	09/15/15	600,000		600,210
912828TS9	UNITED STATES TREASURY	0.63	09/30/17	1,000,000		981,420
912828TT7	UNITED STATES TREASURY	0.25	10/15/15	750,000		749,970
912828TU4	UNITED STATES TREASURY	0.25	10/31/14	125,440,000		125,567,949
912828TW0	UNITED STATES TREASURY	0.75	10/31/17	25,985,000		25,565,603
912828TX8	UNITED STATES TREASURY	0.38	11/15/15	9,960,000		9,975,139
912828TZ3	UNITED STATES TREASURY	0.25	11/30/14	49,975,000		50,029,473
912828UA6	UNITED STATES TREASURY	0.63	11/30/17	4,345,000		4,248,150
912828UC2	UNITED STATES TREASURY	0.25	12/15/15	500,000		499,475
912828UD0	UNITED STATES TREASURY	0.13	12/31/14	20,040,000		20,044,808
912828UE8	UNITED STATES TREASURY	0.75	12/31/17	750,000		735,405
912828UG3	UNITED STATES TREASURY	0.38	01/15/16	2,585,000		2,586,318
912828UH1	UNITED STATES TREASURY	0.13	01/15/23	24,000,000		23,531,148
912828UJ7	UNITED STATES TREASURY	0.88	01/31/18	12,315,000		12,114,389
912828UM0	UNITED STATES TREASURY	0.38	02/15/16	42,500,000		42,499,150
912828UP3	UNITED STATES TREASURY	0.25	02/28/15	23,600,000		23,624,072
912828UR9	UNITED STATES TREASURY	0.75	02/28/18	1,000,000		977,060
912828US7	UNITED STATES TREASURY	0.38	03/15/16	600,000		599,598
912828UT5	UNITED STATES TREASURY	0.25	03/31/15	23,000,000		23,025,072
912828UU2	UNITED STATES TREASURY	0.75	03/31/18	1,250,000		1,219,112
912828UW8	UNITED STATES TREASURY	0.25	04/15/16	12,096,000		12,046,164
912828UY4	UNITED STATES TREASURY	0.13	04/30/15	600,000		599,904
912828UZ1	UNITED STATES TREASURY	0.63	04/30/18	750,000		726,495
912828VC1	UNITED STATES TREASURY	0.25	05/15/16	52,500,000		52,232,249
912828VD9	UNITED STATES TREASURY	0.25	05/31/15	600,000		600,654
912828VE7	UNITED STATES TREASURY	1.00	05/31/18	650,000		638,138
912828VG2	UNITED STATES TREASURY	0.50	06/15/16	550,000		549,621
912828VH0	UNITED STATES TREASURY	0.38	06/30/15	12,809,000		12,842,560
912828VK3	UNITED STATES TREASURY	1.38	06/30/18	750,000		746,490
912828VQ0	UNITED STATES TREASURY	1.38	07/31/18	62,500,000		62,123,127
912828VR8	UNITED STATES TREASURY	0.63	08/15/16	500,000		500,190
912828VU1	UNITED STATES TREASURY	0.38	08/31/15	500,000		501,250
912828VW7	UNITED STATES TREASURY	0.88	09/15/16	1,000,000		1,005,630
912828VY3	UNITED STATES TREASURY	0.25	09/30/15	1,000,000		1,000,350
912828WA4	UNITED STATES TREASURY	0.63	10/15/16	500,000		499,160
912828WB2	UNITED STATES TREASURY	0.25	10/31/15	28,000,000		27,994,119
912828WD8	UNITED STATES TREASURY	1.25	10/31/18	92,600,000		91,118,402
912828WE6	UNITED STATES TREASURY	2.75	11/15/23	700,000		703,066
				1,135,378,500		1,135,245,634
U.S. Government Agencies
3130A0SD3	FHLB	0.38	02/19/16	300,000		299,772
313375RN9	FHLB	1.00	03/11/16	800,000		807,152
313379DD8	FHLB	1.00	06/21/17	250,000		249,445
3133802C0	FHLB	1.05	07/26/17	50,000		49,561
3133802Q9	FHLB	1.65	07/18/19	5,000,000		4,893,300
3133812C8	FHLB	1.50	05/08/20	4,990,000		4,706,771
313383V81	FHLB	0.38	08/28/15	350,000		350,658

Page 2


Cusip	Security Description	Coupon	Maturity	Par	Market Value
313385WM4	FHLB	-	05/07/14	5,500,000		5,499,532
313385WW2	FHLB	-	05/16/14	600,000		599,939
313385YN0	FHLB	-	06/25/14	55,800,000		55,790,382
313397B75	FHLMC	-	08/13/14	7,400,000		7,397,796
3133XVNU1	FHLB	2.75	12/12/14	74,500,000		75,858,880
3134G3S50	FHLMC	0.63	11/01/16	350,000		348,380
3134G3ZH6	FHLMC	1.00	07/25/17	75,000		74,402
313589YD9	FNMA	-	06/16/14	300,000		299,943
3135G0ES8	FNMA	1.38	11/15/16	750,000		761,280
3135G0NZ2	FNMA	1.13	09/12/17	200,000		198,134
3135G0PQ0	FNMA	0.88	10/26/17	400,000		394,772
3135G0QM8	FNMA	1.50	10/23/19	9,925,000		9,503,188
3135G0RK1	FNMA	0.90	11/07/17	100,000		98,218
3135G0RL9	FNMA	1.55	10/29/19	12,625,000		12,113,309
3135G0SY0	FNMA	1.60	12/24/20	1,505,000		1,406,784
3135G0VX8	FNMA	0.63	09/26/16	250,000		249,050
3135G0XG3	FNMA	1.00	05/21/18	250,000		242,313
3135G0XH1	FNMA	0.50	02/20/16	250,000		249,950
3135G0XM0	FNMA	1.13	05/25/18	10,745,000		10,493,890
3135G0YE7	FNMA	0.63	08/26/16	250,000		249,800
3135G0YM9	FNMA	1.88	09/18/18	48,900,000		49,381,176
3135G0YT4	FNMA	1.63	11/27/18	28,450,000		28,365,504
3136G02M2	FNMA	1.18	10/30/18	3,690,000		3,577,235
3136G0M73	FNMA	1.13	10/03/18	8,000,000		7,807,452
3137EAAJ8	FHLMC	5.13	10/18/16	250,000		277,857
3137EADF3	FHLMC	1.25	05/12/17	6,000,000		6,045,480
3137EADL0	FHLMC	1.00	09/29/17	200,000		198,640
3137EADN6	FHLMC	0.75	01/12/18	600,000		586,716
3137EADP1	FHLMC	0.88	03/07/18	30,300,000		29,657,639
3137EADT3	FHLMC	0.88	02/22/17	200,000		199,824
31398A4M1	FNMA	1.63	10/26/15	21,500,000		21,933,223
				341,605,000		341,217,347
Non U.S. Government Securities & Agencies
00254ELS9	SVENSK EXPORTKREDIT AB	1.13	04/05/18	6,000,000		5,885,820
013051DA2	ALBERTA PROVINCE OF	2.75	12/01/14	950,000		870,649
038461AC3	AID-EGYPT	4.45	09/15/15	25,000,000		25,911,109
135087A38	CANADA GOVERNMENT	1.50	08/01/15	500,000		455,899
135087A46	CANADA GOVERNMENT	1.50	09/01/17	2,450,000		2,229,249
135087A87	CANADA GOVERNMENT	1.25	03/01/18	1,500,000		1,347,031
135087B37	CANADA GOVERNMENT	1.25	09/01/18	10,000,000		8,921,345
135087B86	CANADA GOVERNMENT	1.75	03/01/19	2,700,000		2,451,384
135087C77	CANADA GOVERNMENT	1.63	02/27/19	6,800,000		6,758,044
135087YS7	CANADA GOVERNMENT	3.00	06/01/14	115,000		104,553
135087YU2	CANADA GOVERNMENT	2.00	12/01/14	8,860,000		8,082,136
135087ZC1	CANADA GOVERNMENT	2.50	06/01/15	2,500,000		2,304,587
135087ZF4	CANADA GOVERNMENT	3.00	12/01/15	1,100,000		1,028,597
135087ZQ0	CANADA GOVERNMENT	2.75	09/01/16	5,450,000		5,128,288
135087ZR8	CANADA GOVERNMENT	2.25	08/01/14	5,200,000		4,731,924
135087ZV9	CANADA GOVERNMENT	1.50	03/01/17	4,400,000		4,019,360
135087ZX5	CANADA GOVERNMENT	1.00	02/01/15	3,000,000		2,718,000
302154BL2	EXPORT-IMPORT BANK OF KOREA	0.99	01/14/17	4,850,000		4,874,493
500769BM5	KREDITANSTALT FUER WIEDERAUFBA	4.38	02/09/16	900,000		858,990
642866FT9	NEW BRUNSWICK PROVINCE OF	4.50	02/04/15	900,000		838,992
683234WM6	ONTARIO PROVINCE OF	4.50	03/08/15	900,000		841,291
68323ABJ2	ONTARIO PROVINCE OF	0.95	05/26/15	3,800,000		3,828,044
803854JF6	SASKATCHEWAN PROVINCE	5.25	06/03/14	900,000		821,236
D20658P26	GERMANY (FEDERAL REPUBLIC OF)	4.00	07/04/16	20,620,000		30,871,550
G924507Q5	UNITED KINGDOM GILT	2.75	01/22/15	5,510,000		9,357,775
G92451GE0	UNITED KINGDOM GILT	1.75	01/22/17	8,690,000		14,745,412
G9T44MEB4	UNITED KINGDOM GILT	1.00	09/07/17	570,000		938,587
G9T44MHH8	UNITED KINGDOM GILT	1.75	07/22/19	980,000		1,615,345
H7351MFG3	SWITZERLAND (CONFEDERATION OF)	4.25	06/05/17	1,850,000		2,374,099

Page 3


Cusip	Security Description	Coupon	Maturity	Par	Market Value
P14486AG2	BNDES-BRAZIL S DEVELOPMENT BAN	4.13	09/15/17	2,000,000		2,895,048
P4R0C9EK5	MEXICAN BONOS	7.75	11/13/42	987,558		8,095,064
P9767GWU1	MEXICAN BONOS	8.00	12/07/23	1,900,000		16,510,932
				141,882,558		182,414,833
State and Municipal
011839BJ5	ALASKA ST HSG FIN CORP	5.00	06/01/20	1,815,000		2,110,791
05914FMY3	BALTIMORE CNTY MD	5.00	08/01/22	5,000,000		6,016,950
07133AHD7	BATTERY PK CITY AUTH NY REV	5.00	11/01/23	5,000,000		6,046,550
100853SH4	BOSTON MASS	5.00	03/01/23	5,000,000		6,060,450
116475K45	BROWNSVILLE TEX UTIL SYS REV	5.00	09/01/22	2,250,000		2,590,268
116475L69	BROWNSVILLE TEX UTIL SYS REV	5.00	09/01/20	1,295,000		1,497,396
13062PHG0	CALIFORNIA ST	5.25	02/01/23	3,000,000		3,607,470
13063BFV9	CALIFORNIA ST	7.95	03/01/20	3,250,000		3,824,697
13068LJA4	CALIFORNIA ST PUB WKS BRD LEAS	5.00	09/01/23	3,000,000		3,460,530
15504RFG9	CENTRAL PUGET SOUND REGIONAL T	5.00	11/01/22	2,500,000		2,911,450
199492DH9	COLUMBUS OHIO	5.00	07/01/23	5,000,000		5,971,750
20772JPU0	CONNECTICUT (STATE OF)	5.00	08/15/22	5,100,000		6,051,507
249183WP5	DENVER COLO CITY & CNTY	5.00	12/01/22	4,880,000		5,686,225
29270CWX9	ENERGY NORTHWEST WASH ELEC REV	5.00	07/01/21	2,500,000		2,888,725
29270CXR1	ENERGY NORTHWEST WASH ELEC REV	5.00	07/01/21	2,000,000		2,365,320
34153PS90	FLORIDA ST BRD ED	5.00	06/01/22	5,000,000		6,003,300
419791S58	HAWAII ST- REF-EF	5.00	11/01/22	5,000,000		5,905,000
4521518V8	ILLINOIS ST	4.42	01/01/15	10,998,000		11,293,406
452152UZ2	ILLINOIS ST	4.00	02/01/23	2,000,000		2,081,760
49151E5P4	KENTUCKY ST PRP & BLDG COM	5.00	08/01/20	5,000,000		5,709,250
5168234T5	LAREDO TEX	5.00	02/15/21	1,365,000		1,596,490
54811GLN8	LOWER COLORADO RIVER AUTHORITY	5.00	05/15/22	5,405,000		6,259,585
57582NH99	MASSACHUSETTS ST	5.50	12/01/23	3,610,000		4,516,543
576000MH3	MASSACHUSETTS ST SCH BLDG AUTH	5.00	08/15/22	5,000,000		5,895,600
576000MS9	MASSACHUSETTS ST SCH BLDG AUTH	5.00	08/15/21	2,000,000		2,373,100
59259YP78	METROPOLITAN TRANS AUTH N Y	5.00	11/15/22	1,000,000		1,129,140
59333PH50	MIAMI DADE CNTY FLA	5.00	10/01/22	1,500,000		1,695,675
59447PKS9	MICHIGAN STATE FINANCE AUTHORI	5.00	10/01/21	2,000,000		2,376,480
645918U68	NJ ST EDA PENSION	5.00	03/01/20	2,000,000		2,303,720
645918U92	NJ ST EDA PENSION	5.00	03/01/23	4,015,000		4,615,524
64711RKE5	NEW MEXICO FIN AUTH	5.00	06/15/22	3,700,000		4,423,905
64966B3L5	NEW YORK N Y	0.94	01/15/16	5,250,000		5,254,830
64966KYW7	NEW YORK NY	5.00	08/01/23	3,885,000		4,531,658
64971M5E8	NEW YORK NY CITY TRANSITIONAL	4.08	11/01/20	3,000,000		3,212,280
64971Q8R7	NEW YORK NY CITY TRANSITIONAL	5.00	11/01/21	3,000,000		3,544,170
6499026P3	NEW YORK ST DORM AUTH	4.00	08/15/21	4,490,000		4,916,864
64990ABC8	NEW YORK ST DORM AUTH	5.00	03/15/23	5,120,000		6,111,386
64990EDE4	NEW YORK ST DORM AUTH	5.00	12/15/22	3,000,000		3,537,990
679110EF9	OKLAHOMA ST STUDENT LN AUTH	0.65	05/12/21	797,491		794,142
684515QW2	ORANGE CNTY FLA TOURIST DEV TA	5.00	01/01/23	5,025,000		5,924,425
68607DQH1	OREGON ST DEPT TRANSN	5.00	11/15/23	2,000,000		2,411,000
686507GA6	ORLANDO FLA UTILS COMMN WTR &E	5.00	10/01/24	4,500,000		5,394,105
74526QZL9	PUERTO RICO ELEC PWR AUTH	5.00	07/01/20	2,000,000		1,430,500
759136RD8	REGIONAL TRANSN DIST COLO	5.00	11/01/22	3,165,000		3,708,684
76541VMN4	RICHMOND VA	5.00	03/01/23	5,000,000		5,887,200
785870UM6	SACRAMENTO CALIF CITY UNI SCH	5.00	07/01/23	1,750,000		2,043,948
79642BVU4	SAN ANTONIO TX	5.00	05/15/22	1,400,000		1,643,348
815626MK9	SEDGWICK CNTY KANS UNI SCH DIS	5.00	10/01/21	2,500,000		2,931,075
83714RBA0	SOUTH CAROLINA STUDENT LN CORP	0.33	12/02/19	2,351,938		2,340,319
867868FN6	SUNSHINE ST GOVERNMENTAL FING	5.00	09/01/21	2,000,000		2,272,200
882723DL0	TEXAS ST	0.56	06/01/17	1,850,000		1,850,019
914026MM8	UNIVERSITY ALA GEN REV	5.00	07/01/22	4,000,000		4,765,960
914119VD1	UNIVERSITY CINCINNATI OHIO	5.00	06/01/22	1,535,000		1,797,500
91412GSB2	UNIVERSITY CALIFORNIA	1.80	07/01/19	7,500,000		7,356,075
927781Q56	VIRGINIA COLLEGE BLDG AUTH VA	5.00	02/01/21	5,000,000		5,908,650
93974C8C7	WASHINGTON STATE	5.00	07/01/23	5,000,000		5,910,950
97705L3G0	WISCONSIN ST	5.00	05/01/21	5,000,000		5,921,000
				201,302,429		230,668,832

Page 4


Cusip	Security Description	Coupon	Maturity	Par	Market Value
Agency MBS
01F030645	FNMA	3.00	04/06/30	34,000,000		32,820,625
01F030652	FNMA	3.00	04/25/30	6,000,000		5,775,000
01F040644	FNMA	4.00	11/16/28	350,000		363,781
01F050643	FNMA TBA	5.00	06/26/25	20,000,000		21,809,375
02R022449	FHLMC	2.50	04/05/22	500,000		499,609
31283HVE2	FHLMC	6.00	07/05/25	7,401		8,333
31283HWZ4	FHLMC	6.00	09/16/25	5,088		5,728
31283K4C9	FHLMC	5.00	07/18/17	2,981,977		3,187,238
31283KJU3	FHLMC	6.50	08/16/14	19,496		19,789
31283KN87	FHLMC	5.00	01/20/16	758		805
31288HRU6	FHLMC	6.00	08/22/25	8,298		9,445
3128GNW87	FHLMC	5.00	08/13/15	605		611
3128GNY77	FHLMC	5.00	08/12/15	4,088		4,331
3128GP3U5	FHLMC	5.00	09/13/15	595		625
3128GP3V3	FHLMC	5.00	09/13/15	4,282		4,536
3128GP4U4	FHLMC	5.00	09/16/15	2,153		2,197
3128GP7M9	FHLMC	5.00	09/13/15	592		596
3128GPSA2	FHLMC	5.00	08/27/15	897		905
3128GQ3Q2	FHLMC	5.00	09/29/15	1,359		1,427
3128GQ6E6	FHLMC	5.00	09/29/15	1,932		2,059
3128GQGA3	FHLMC	5.00	09/13/15	1,763		1,878
3128GQJT9	FHLMC	5.00	09/14/15	1,611		1,640
3128GQK26	FHLMC	5.00	09/13/15	2,506		2,671
3128GQK34	FHLMC	5.00	09/13/15	716		723
3128GQKB6	FHLMC	5.00	09/13/15	783		793
3128GQP54	FHLMC	5.00	09/13/15	2,920		2,997
3128GQQQ7	FHLMC	5.00	09/29/15	2,230		2,353
3128GQQZ7	FHLMC	5.00	09/29/15	2,890		3,079
3128GQSG7	FHLMC	5.00	09/29/15	740		747
3128GQU58	FHLMC	5.00	09/30/15	1,527		1,628
3128GQU90	FHLMC	5.00	09/29/15	488		491
3128GQVB4	FHLMC	5.00	09/30/15	1,024		1,076
3128GQW31	FHLMC	5.00	09/29/15	2,756		2,937
3128GQW49	FHLMC	5.00	09/29/15	3,215		3,426
3128GR3Y3	FHLMC	5.00	09/29/15	4,324		4,608
3128GR6N4	FHLMC	5.00	11/01/15	3,025		3,223
3128GRBH1	FHLMC	5.00	09/29/15	1,098		1,111
3128GRFT1	FHLMC	5.00	10/15/15	2,171		2,314
3128GRJD2	FHLMC	5.00	10/15/15	494		526
3128GRLA5	FHLMC	5.00	10/16/15	4,361		4,647
3128GRM71	FHLMC	5.00	10/15/15	667		675
3128GRP94	FHLMC	5.00	10/14/15	324		326
3128GRQA0	FHLMC	5.00	10/15/15	2,112		2,228
3128GRSP5	FHLMC	5.00	10/15/15	1,469		1,550
3128GRSY6	FHLMC	5.00	10/15/15	2,338		2,492
3128GRUF4	FHLMC	5.00	10/15/15	637		641
3128GRUT4	FHLMC	5.00	10/15/15	3,419		3,608
3128GRWQ8	FHLMC	5.00	09/29/15	254		256
3128GRYD5	FHLMC	5.00	11/01/15	1,128		1,141
3128GS5Y9	FHLMC	5.00	11/01/15	2,017		2,052
3128GSDJ3	FHLMC	5.00	11/01/15	3,712		3,956
3128GSGB7	FHLMC	5.00	11/01/15	2,999		3,196
3128GSGU5	FHLMC	5.00	11/01/15	5,400		5,754
3128GSKE6	FHLMC	5.00	11/01/15	3,543		3,776
3128GSKV8	FHLMC	5.00	11/01/15	2,897		2,974
3128GSLX3	FHLMC	5.00	11/01/15	903		923
3128GSLY1	FHLMC	5.00	11/01/15	3,586		3,821
3128GSNL7	FHLMC	5.00	11/01/15	1,397		1,418
3128GSQN0	FHLMC	5.00	11/01/15	3,434		3,640
3128GSSN8	FHLMC	5.00	11/01/15	5,994		6,388

Page 5


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128GV2N9	FHLMC	5.00	02/05/16	10,625		11,323
3128GV3C2	FHLMC	5.00	02/06/16	4,588		4,890
3128GV3D0	FHLMC	5.00	02/06/16	7,201		7,674
3128GV3Z1	FHLMC	5.00	02/06/16	8,521		9,081
3128GV7G9	FHLMC	5.00	02/06/16	2,499		2,654
3128GVBY5	FHLMC	5.00	01/05/16	491		524
3128GVH94	FHLMC	5.00	01/19/16	1,372		1,400
3128GVJA9	FHLMC	5.00	01/20/16	3,205		3,416
3128GVJB7	FHLMC	5.00	01/21/16	2,531		2,684
3128GVJQ4	FHLMC	5.00	01/21/16	4,814		5,130
3128GVLF5	FHLMC	5.00	01/20/16	1,864		1,976
3128GVLH1	FHLMC	5.00	01/20/16	2,758		2,939
3128GVLJ7	FHLMC	5.00	01/21/16	6,090		6,490
3128GVMM9	FHLMC	5.00	01/05/16	623		628
3128GVNL0	FHLMC	5.00	01/21/16	2,153		2,283
3128GVNM8	FHLMC	5.00	01/21/16	2,534		2,700
3128GVNN6	FHLMC	5.00	01/22/16	3,931		4,268
3128GVNV8	FHLMC	5.00	01/19/16	1,116		1,135
3128GVNX4	FHLMC	5.00	01/20/16	22,654		24,142
3128GVPM6	FHLMC	5.00	01/21/16	2,950		3,144
3128GVPN4	FHLMC	5.00	01/22/16	2,006		2,127
3128GVPP9	FHLMC	5.00	01/21/16	5,383		5,736
3128GVQH6	FHLMC	5.00	01/21/16	6,413		6,834
3128GVRA0	FHLMC	5.00	01/22/16	1,079		1,101
3128GVRC6	FHLMC	5.00	01/22/16	2,475		2,637
3128GVRE2	FHLMC	5.00	01/20/16	3,097		3,177
3128GVRS1	FHLMC	5.00	01/21/16	1,318		1,349
3128GVRT9	FHLMC	5.00	01/22/16	4,347		4,632
3128GVRY8	FHLMC	5.00	01/22/16	18,402		19,611
3128GVT83	FHLMC	5.00	01/21/16	6,958		7,415
3128GVTN0	FHLMC	5.00	01/21/16	2,144		2,192
3128GVTW0	FHLMC	5.00	01/22/16	4,073		4,340
3128GVUD0	FHLMC	5.00	01/21/16	427		453
3128GVUE8	FHLMC	5.00	01/22/16	4,203		4,479
3128GVUX6	FHLMC	5.00	02/06/16	1,704		1,745
3128GVVE7	FHLMC	5.00	02/06/16	9,742		10,382
3128GVVF4	FHLMC	5.00	02/07/16	4,552		4,851
3128GVVJ6	FHLMC	5.00	02/05/16	9,007		9,599
3128GVVY3	FHLMC	5.00	02/06/16	3,710		3,954
3128GVW22	FHLMC	5.00	01/22/16	1,460		1,555
3128GVW89	FHLMC	5.00	02/07/16	2,107		2,237
3128GVZV5	FHLMC	5.00	02/07/16	3,818		4,069
3128GW5Q7	FHLMC	5.00	02/22/16	4,982		5,290
3128GW6G8	FHLMC	5.00	02/22/16	2,974		3,169
3128GWAQ1	FHLMC	5.00	02/05/16	1,207		1,231
3128GWAT5	FHLMC	5.00	02/06/16	7,321		7,802
3128GWAU2	FHLMC	5.00	02/06/16	9,032		9,626
3128GWB49	FHLMC	5.00	02/06/16	669		713
3128GWB80	FHLMC	5.00	02/06/16	5,854		6,239
3128GWBH0	FHLMC	5.00	02/06/16	6,012		6,407
3128GWC89	FHLMC	5.00	02/07/16	2,715		2,894
3128GWCL0	FHLMC	5.00	02/08/16	4,787		5,102
3128GWCW6	FHLMC	5.00	02/07/16	2,362		2,517
3128GWDP0	FHLMC	5.00	02/08/16	3,255		3,469
3128GWEG9	FHLMC	5.00	02/08/16	13,082		13,941
3128GWEK0	FHLMC	5.00	02/06/16	3,669		3,896
3128GWEP9	FHLMC	5.00	02/06/16	1,209		1,284
3128GWF86	FHLMC	5.00	02/06/16	4,074		4,342
3128GWFN3	FHLMC	5.00	02/08/16	3,357		3,564
3128GWHH4	FHLMC	5.00	02/07/16	2,662		2,836
3128GWJG4	FHLMC	5.00	02/23/16	8,430		8,983
3128GWK31	FHLMC	5.00	02/07/16	3,507		3,737

Page 6


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128GWK56	FHLMC	5.00	02/23/16	4,589		4,890
3128GWMS4	FHLMC	5.00	02/23/16	2,606		2,767
3128GWP85	FHLMC	5.00	02/21/16	2,282		2,423
3128GWQ27	FHLMC	5.00	02/23/16	6,226		6,635
3128GWQ92	FHLMC	5.00	02/22/16	5,022		5,351
3128GWQN1	FHLMC	5.00	02/21/16	4,443		4,735
3128GWQY7	FHLMC	5.00	02/22/16	2,127		2,259
3128GWR42	FHLMC	5.00	02/23/16	5,365		5,718
3128GWRF7	FHLMC	5.00	02/22/16	2,625		2,797
3128GWV21	FHLMC	5.00	02/22/16	5,228		5,571
3128GWVL9	FHLMC	5.00	02/21/16	734		782
3128GWWM6	FHLMC	5.00	02/22/16	664		708
3128GWXD5	FHLMC	5.00	02/21/16	2,928		3,109
3128GWXW3	FHLMC	5.00	02/22/16	4,478		4,773
3128GWYS1	FHLMC	5.00	02/23/16	305		325
3128GWZQ4	FHLMC	5.00	02/21/16	4,056		4,323
3128GX3H7	FHLMC	5.00	03/08/16	4,556		4,855
3128GX5V4	FHLMC	5.00	03/06/16	6,710		7,151
3128GXAX4	FHLMC	5.00	02/23/16	11,269		12,009
3128GXBC9	FHLMC	5.00	02/23/16	1,984		2,107
3128GXEA0	FHLMC	5.00	03/08/16	3,912		4,169
3128GXEK8	FHLMC	5.00	03/07/16	1,946		2,073
3128GXFT8	FHLMC	5.00	03/08/16	6,083		6,483
3128GXHA7	FHLMC	5.00	03/09/16	6,486		6,912
3128GXHQ2	FHLMC	5.00	03/07/16	7,598		8,097
3128GXN36	FHLMC	5.00	03/08/16	6,748		7,191
3128GY2H6	FHLMC	5.00	04/10/16	5,801		6,184
3128GYF66	FHLMC	5.00	03/24/16	1,103		1,118
3128GYG73	FHLMC	5.00	03/23/16	6,794		7,242
3128GYKK9	FHLMC	5.00	03/24/16	496		529
3128GYLX0	FHLMC	5.00	03/24/16	662		669
3128GYNT7	FHLMC	5.00	04/10/16	844		855
3128GYQC1	FHLMC	5.00	04/11/16	5,723		6,101
3128GYS88	FHLMC	5.00	04/09/16	188		189
3128GYTW4	FHLMC	5.00	04/10/16	1,019		1,032
3128GYU44	FHLMC	5.00	04/10/16	4,352		4,640
3128GYU51	FHLMC	5.00	04/11/16	4,397		4,687
3128GYV35	FHLMC	5.00	04/11/16	7,019		7,483
3128GYVB7	FHLMC	5.50	04/12/16	30,346		32,802
3128GYVZ4	FHLMC	5.00	04/09/16	5,868		6,255
3128GYZE7	FHLMC	5.00	04/10/16	4,316		4,601
3128H22V4	FHLMC	5.00	05/13/16	2,946		3,141
3128H25K5	FHLMC	5.00	05/11/16	1,497		1,523
3128H26F5	FHLMC	5.00	04/25/16	28		30
3128H26M0	FHLMC	5.50	04/28/16	325,571		351,923
3128H26W8	FHLMC	5.50	04/11/16	168,431		182,064
3128H27K3	FHLMC	5.00	05/12/16	1,211		1,232
3128H2B69	FHLMC	5.00	04/09/16	8,384		8,938
3128H2B77	FHLMC	5.00	04/12/16	8,586		9,153
3128H2B85	FHLMC	5.00	04/10/16	6,010		6,407
3128H2C84	FHLMC	5.00	04/10/16	1,086		1,107
3128H2E41	FHLMC	5.00	04/26/16	7,138		7,610
3128H2ED1	FHLMC	5.00	04/10/16	13,524		14,418
3128H2EG4	FHLMC	5.00	04/11/16	8,516		9,079
3128H2LV3	FHLMC	5.00	04/10/16	6,944		7,402
3128H2LY7	FHLMC	5.00	04/27/16	4,179		4,455
3128H2QV8	FHLMC	5.00	04/26/16	9,502		10,130
3128H2T86	FHLMC	5.00	04/26/16	338		360
3128H2TF0	FHLMC	5.00	04/26/16	8,685		9,258
3128H2TJ2	FHLMC	5.00	04/26/16	1,817		1,855
3128H2TW3	FHLMC	5.00	04/28/16	7,166		7,640
3128H2VW0	FHLMC	5.00	04/26/16	10,323		11,005

Page 7


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128H2YM9	FHLMC	5.00	04/27/16	1,718		1,822
3128H2YN7	FHLMC	5.00	04/26/16	2,546		2,704
3128H2YS6	FHLMC	5.00	04/28/16	3,868		4,107
3128H2ZJ5	FHLMC	5.00	04/26/16	2,825		2,999
3128H2ZT3	FHLMC	5.00	05/12/16	2,944		3,121
3128H2ZU0	FHLMC	5.00	05/13/16	7,492		7,987
3128H32W0	FHLMC	5.00	05/12/16	3,822		4,074
3128H3C25	FHLMC	5.00	05/13/16	1,036		1,054
3128H3CD1	FHLMC	5.00	05/12/16	2,636		2,810
3128H3FG1	FHLMC	5.00	05/14/16	5,100		5,437
3128H3MN8	FHLMC	5.00	05/14/16	9,716		10,358
3128H3N72	FHLMC	5.00	05/12/16	2,469		2,621
3128H3RY9	FHLMC	5.00	05/27/16	8,799		9,380
3128H3S36	FHLMC	5.00	05/14/16	4,090		4,361
3128H3SZ5	FHLMC	5.00	05/29/16	4,931		5,256
3128H3V65	FHLMC	5.00	05/28/16	2,018		2,068
3128H3WF4	FHLMC	5.00	05/13/16	3,635		3,876
3128H3XU0	FHLMC	5.00	05/28/16	4,997		5,307
3128H45V7	FHLMC	5.00	06/16/16	5,765		6,146
3128H4J59	FHLMC	5.00	06/15/16	4,146		4,420
3128H4JG5	FHLMC	5.00	05/30/16	4,885		5,187
3128H4JT7	FHLMC	5.00	06/14/16	9,432		10,055
3128H5JX5	FHLMC	5.00	07/01/16	8,576		9,142
3128H5RP3	FHLMC	5.00	07/02/16	4,807		5,105
3128H5TK2	FHLMC	5.00	07/01/16	11,222		11,963
3128H6BG8	FHLMC	5.00	07/02/16	9,238		9,848
3128H6CZ5	FHLMC	5.00	06/30/16	7,231		7,708
3128H6FR0	FHLMC	5.00	07/16/16	6,454		6,881
3128H6FU3	FHLMC	5.00	07/16/16	3,770		4,011
3128H6WU4	FHLMC	5.50	07/19/16	99,744		108,962
3128H6XM1	FHLMC	5.00	07/17/16	1,989		2,121
3128H6ZC1	FHLMC	5.50	07/03/16	35,469		38,747
3128H77K2	FHLMC	5.50	08/26/16	116,223		126,965
3128JLDM8	FHLMC	2.45	11/08/24	138,068		146,041
3128JLEY1	FHLMC	2.43	11/06/24	213,697		228,886
3128JLHB8	FHLMC	2.38	10/30/24	41,937		44,005
3128JMW45	FHLMC	2.53	07/22/25	60,006		63,869
3128JMY68	FHLMC	2.53	07/22/25	69,949		76,055
3128JMZG5	FHLMC	2.53	07/22/25	108,383		115,358
3128JNAL9	FHLMC	2.53	09/15/25	133,938		142,623
3128JRP26	FHLMC	2.37	12/20/24	1,360,365		1,437,043
3128K17K1	FHLMC	5.00	05/22/27	955,008		1,040,293
3128K9KT0	FHLMC	5.50	05/28/27	40,961		44,967
3128KA4Z1	FHLMC	6.00	12/02/27	37,007		41,344
3128KALC3	FHLMC	6.00	12/10/27	2,939		3,261
3128KE5H2	FHLMC	6.50	05/16/28	112,888		126,716
3128KLSB4	FHLMC	5.00	02/20/28	407,101		442,124
3128KU3J4	FHLMC	6.00	10/04/28	128,528		142,743
3128KULK1	FHLMC	6.00	10/04/28	2,518		2,794
3128KVAR6	FHLMC	6.50	12/17/28	57,503		64,781
3128KWBZ5	FHLMC	6.00	10/26/28	7,951		9,068
3128KWFX6	FHLMC	6.00	12/03/28	16,362		18,660
3128KWFY4	FHLMC	6.00	12/21/28	17,768		20,263
3128KWH30	FHLMC	6.00	12/03/28	21,479		23,835
3128KWMW0	FHLMC	6.00	01/09/29	156,222		173,822
3128KWT29	FHLMC	6.00	12/03/28	11,572		13,197
3128KWTK9	FHLMC	6.00	01/09/29	19,298		22,009
3128KWTP8	FHLMC	6.00	12/21/28	14,063		16,038
3128KWTZ6	FHLMC	6.00	11/15/28	14,719		16,786
3128KYXE4	FHLMC	6.00	08/01/28	13,926		15,882
3128L0SP8	FHLMC	6.00	01/06/29	4,739		5,273
3128L0SR4	FHLMC	6.00	01/14/29	170,385		189,835

Page 8


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3128L1WP1	FHLMC	6.00	02/24/29	29,719		32,980
3128LAFP0	FHLMC	6.00	03/11/29	78,470		87,074
3128LXUJ7	FHLMC	6.00	04/28/28	119,132		132,195
3128M4GD9	FHLMC	6.00	06/12/28	39,487		43,817
3128M4XA6	FHLMC	5.50	07/24/28	1,245,550		1,370,002
3128M4YR8	FHLMC	6.00	10/20/28	103,354		114,692
3128M4ZG1	FHLMC	6.00	09/18/28	1,989		2,268
3128M5GA2	FHLMC	6.00	12/04/28	85,886		95,308
3128M5NP1	FHLMC	6.00	01/28/29	2,074		2,301
3128M5R93	FHLMC	5.50	01/22/29	20,527		22,537
3128M5RA0	FHLMC	6.00	02/22/29	11,241		12,474
3128M6AV0	FHLMC	5.50	02/02/29	45,515		49,977
3128M6JM1	FHLMC	5.00	02/09/29	8,856,467		9,618,750
3128M6SA7	FHLMC	6.00	08/25/29	130,095		144,360
3128M6SN9	FHLMC	5.00	11/03/27	1,122,651		1,222,907
3128M6UB2	FHLMC	6.00	06/13/29	47,486		54,160
3128M7AZ9	FHLMC	6.00	10/28/29	122,796		140,053
3128M7MQ6	FHLMC	6.00	07/07/26	523,452		589,384
3128M7NR3	FHLMC	5.00	10/02/29	1,049,323		1,139,745
3128M7PN0	FHLMC	5.00	11/03/29	583,961		640,450
3128M7QZ2	FHLMC	5.00	07/07/29	913,388		994,956
3128M7SY3	FHLMC	6.00	10/25/28	7,128,816		8,022,278
3128M7YU4	FHLMC	6.00	08/15/26	13,714,442		15,501,610
3128M8AV6	FHLMC	5.50	04/16/30	2,648,115		2,907,738
3128M8CY8	FHLMC	5.00	09/06/30	1,660,761		1,803,703
3128M8GV0	FHLMC	6.00	09/29/27	4,271,385		4,806,722
3128M8HQ0	FHLMC	4.00	04/16/30	398,743		414,031
3128M8TX2	FHLMC	6.00	02/17/29	985,469		1,093,524
3128M8VG6	FHLMC	4.00	07/13/30	4,017,888		4,181,851
3128M9CM2	FHLMC	4.00	12/30/18	761,638		790,858
3128M9H88	FHLMC	4.00	07/12/31	653,500		678,572
3128MCUW3	FHLMC	4.00	08/14/20	3,580,377		3,798,249
3128MJH94	FHLMC	5.00	10/28/28	706,681		767,506
3128MJRD4	FHLMC	4.00	02/08/31	172,703		179,329
3128MJS43	FHLMC	3.50	08/25/31	520,695		523,638
3128MMAC7	FHLMC	5.00	01/13/17	241,293		257,903
3128MMM67	FHLMC	3.50	09/16/20	438,774		459,250
3128MMNX7	FHLMC	3.50	01/19/21	5,793,632		6,064,003
3128MMQ55	FHLMC	2.50	12/18/21	478,219		478,309
3128NCBH6	FHLMC	1.98	06/17/25	232,642		240,071
3128P7JE4	FHLMC	5.00	02/15/22	5,065		5,488
3128P7JH7	FHLMC	5.00	02/21/22	100,026		108,384
3128PR7G8	FHLMC	4.00	05/21/20	921,030		977,077
3128PRVD8	FHLMC	4.00	05/01/20	537,476		570,183
3128PRWU9	FHLMC	4.00	05/19/20	718,400		762,116
3128PRZ85	FHLMC	4.00	05/20/20	356,352		378,037
3128PSBA4	FHLMC	4.00	06/05/20	642,485		681,581
3128PUGE6	FHLMC	3.50	08/27/20	550,564		576,257
3128PUQT2	FHLMC	3.50	10/12/20	634,248		663,846
3128PURZ7	FHLMC	3.50	10/09/20	581,825		608,977
3128PUVC3	FHLMC	3.50	10/06/20	543,414		568,774
3128PUVP4	FHLMC	3.50	10/09/20	441,635		462,245
3128PUW73	FHLMC	3.50	10/23/20	699,763		732,418
3128PUXF4	FHLMC	3.50	10/06/20	427,325		447,267
3128PVBD1	FHLMC	4.00	11/20/20	544,845		578,061
3128PVCG3	FHLMC	4.00	11/13/20	572,923		607,851
3128PWV21	FHLMC	3.00	01/02/21	2,611,985		2,682,441
3128PWWS3	FHLMC	3.00	12/21/20	2,318,132		2,380,662
312906J50	FHLMC	8.50	12/18/16	38,348		42,317
312929CM2	FHLMC	6.00	11/02/29	4,777		5,448
31292G4T0	FHLMC	6.00	03/10/23	5,370		6,067
31292GZM1	FHLMC	6.00	01/13/23	483		546

Page 9


Cusip	Security Description	Coupon	Maturity	Par	Market Value
31292K4D6	FHLMC	4.00	01/28/30	748,692		777,396
31292KJH1	FHLMC	6.00	09/23/28	1,040		1,187
31292LL60	FHLMC	3.50	12/15/30	565,313		568,497
31292SAD2	FHLMC	3.50	01/10/31	1,192,277		1,199,009
312930LH1	FHLMC	6.00	12/21/29	10,784		12,300
312930LQ1	FHLMC	6.00	01/18/30	24,281		27,693
312930RC6	FHLMC	6.00	11/18/29	12,845		14,646
312930RV4	FHLMC	6.00	11/10/29	6,230		7,105
312930TB6	FHLMC	6.00	12/06/29	6,453		7,358
312931D62	FHLMC	4.00	02/21/29	123,259		127,977
312931TJ7	FHLMC	5.00	07/27/29	1,346,519		1,463,803
312932CX2	FHLMC	4.50	04/22/29	1,267,272		1,356,665
312932ZE9	FHLMC	5.00	08/20/29	54,239		59,674
3129345K4	FHLMC	5.00	10/21/29	112,275		123,136
312934CX8	FHLMC	4.00	03/26/29	625,189		649,119
312934ML3	FHLMC	4.00	04/29/29	17,978		18,666
312934PJ5	FHLMC	5.00	09/27/29	65,384		71,937
312934R38	FHLMC	5.00	09/11/29	45,949		50,553
312934SQ6	FHLMC	4.00	05/11/29	37,957		39,409
312935AT6	FHLMC	5.00	10/09/29	114,902		126,017
312935KY4	FHLMC	4.50	07/14/29	167,544		179,883
312935LV9	FHLMC	4.50	07/29/29	128,373		137,827
312935MV8	FHLMC	4.50	08/07/29	1,162,840		1,249,889
312936LH8	FHLMC	5.00	11/27/29	210,544		232,567
312936LM7	FHLMC	5.00	11/24/29	337,892		370,578
3129385D1	FHLMC	5.00	01/08/30	54,069		59,360
31293WH45	FHLMC	6.00	04/14/23	11,009		12,440
312941TK3	FHLMC	4.00	03/03/30	800,048		832,235
312942F83	FHLMC	4.00	02/01/30	1,063,332		1,106,111
312942L52	FHLMC	4.50	04/17/30	892,794		952,751
312943HT3	FHLMC	4.00	03/14/30	6,756,455		7,017,485
312943LY7	FHLMC	4.00	02/23/30	305,106		317,381
312943Y31	FHLMC	4.00	04/10/30	1,332,315		1,383,788
312944BJ9	FHLMC	4.00	02/13/30	2,851,849		2,963,944
312944BN0	FHLMC	4.00	03/03/30	1,826,279		1,897,223
3129455Y0	FHLMC	4.50	02/10/27	181,764		194,090
3129456C7	FHLMC	4.00	05/17/30	955,395		992,024
312945CK2	FHLMC	4.00	02/27/30	2,041,478		2,120,349
312945ZD3	FHLMC	4.00	04/16/30	240,649		249,875
312946FN1	FHLMC	4.50	07/28/30	1,174,440		1,254,082
312946GL4	FHLMC	4.00	05/21/30	285,791		296,748
312946JE7	FHLMC	4.50	02/24/27	422,413		451,058
312946PD2	FHLMC	4.50	08/08/30	3,294,478		3,517,885
312946X35	FHLMC	4.50	03/30/27	1,578,010		1,685,019
31294KDZ5	FHLMC	5.00	07/11/15	499		529
31294KFJ9	FHLMC	5.00	08/12/15	482		511
31294KHD0	FHLMC	5.00	09/29/15	1,837		1,958
31294KHL2	FHLMC	5.00	10/15/15	2,521		2,687
31294KJT3	FHLMC	5.00	11/16/15	1,171		1,241
31294KKU8	FHLMC	5.00	01/21/16	1,573		1,676
31294MAK7	FHLMC	4.00	06/16/20	408,733		433,605
31294MJP7	FHLMC	3.50	01/22/21	1,737,312		1,818,387
312962CQ4	FHLMC	5.00	07/16/16	1,679		1,783
312962CT8	FHLMC	5.00	07/17/16	148		149
312962KD4	FHLMC	5.50	08/22/16	45,500		49,706
312962KT9	FHLMC	5.00	08/18/16	5,123		5,450
312962MD2	FHLMC	5.00	09/04/16	10,867		11,584
312962Q63	FHLMC	5.50	08/23/16	7,330		8,007
312962UW1	FHLMC	5.50	09/08/16	440,049		480,718
312963VY4	FHLMC	5.50	09/27/16	139,006		151,853
312963WH0	FHLMC	5.50	09/26/16	12,680		13,852
312963ZG9	FHLMC	5.50	09/08/16	9,111		9,953

Page 10


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3129642B4	FHLMC	5.50	11/13/16	30,907		33,852
312964KG3	FHLMC	5.00	10/24/16	718		725
312964WX3	FHLMC	5.50	08/23/16	181,658		198,447
312965QA7	FHLMC	5.50	09/08/16	89,385		97,646
312966WU4	FHLMC	5.50	12/17/16	826,035		904,736
312968QL7	FHLMC	5.50	09/25/16	731,749		790,976
31296KN58	FHLMC	6.00	12/14/25	35,717		40,655
31296NEK9	FHLMC	5.00	09/14/25	1,009,267		1,100,258
31296SBH8	FHLMC	6.00	02/26/26	6,009		6,792
31297SFC4	FHLMC	5.50	03/02/27	45,414		50,108
31297US50	FHLMC	5.50	03/17/27	58,907		64,995
31298HM47	FHLMC	6.00	04/18/24	7,713		8,686
3132FCBT1	FHLMC	5.00	09/11/27	849,980		930,386
3132GDC67	FHLMC	4.00	05/30/30	362,553		376,453
3132GDRC8	FHLMC	4.50	03/28/27	2,042,180		2,180,666
3132GDS86	FHLMC	4.50	10/05/30	3,223,537		3,442,134
3132GE6P0	FHLMC	5.00	02/13/31	399,352		437,977
3132GJ3K3	FHLMC	4.00	10/12/30	1,106,787		1,149,220
3132GJR27	FHLMC	4.00	10/14/30	51,537		53,578
3132GLCK8	FHLMC	4.00	11/21/30	886,136		920,110
3132GLUA0	FHLMC	4.00	12/13/30	1,674,847		1,739,059
3132GMHA3	FHLMC	3.50	09/20/30	464,176		466,797
3132GRL66	FHLMC	3.50	09/25/30	3,821,971		3,844,737
3132GRN80	FHLMC	4.00	12/22/30	614,226		637,730
3132GUKK9	FHLMC	3.50	12/20/30	3,181,624		3,199,589
3132GUX90	FHLMC	3.50	01/06/31	942,481		948,095
3132HM5D9	FHLMC	3.50	03/09/31	1,010,848		1,016,556
3132HQEQ1	FHLMC	3.00	11/14/30	466,083		449,514
3132HQFE7	FHLMC	4.00	07/17/31	22,771		23,703
3132HQRK0	FHLMC	3.00	02/16/31	230,456		222,263
3132J9AW8	FHLMC	4.00	11/01/31	185,799		193,348
3132J9GA0	FHLMC	4.00	11/12/31	86,320		89,828
3132J9JD1	FHLMC	3.00	05/11/31	1,469,916		1,417,647
3132J9NB0	FHLMC	4.00	11/05/31	1,213,024		1,264,205
3132J9WS3	FHLMC	4.00	11/12/31	1,695,090		1,766,611
3132JMR92	FHLMC	4.00	12/08/31	101,140		105,250
3132JMVQ9	FHLMC	4.00	03/10/32	2,201,016		2,293,884
3132JNND5	FHLMC	4.00	03/29/32	1,164,471		1,213,603
3132JNNP8	FHLMC	4.00	03/12/32	96,802		100,735
3132JPJD5	FHLMC	4.00	02/26/32	304,899		317,287
3132JPJH6	FHLMC	4.00	02/20/32	2,104,235		2,193,019
3132JPU26	FHLMC	3.00	07/23/31	1,467,426		1,415,245
31342A6F1	FHLMC	2.36	10/28/24	249,624		262,946
31349UCW6	FHLMC	2.23	05/27/25	121,940		128,948
31349UEJ3	FHLMC	2.38	07/03/25	210,056		223,483
31349ULB2	FHLMC	2.38	08/25/25	219,604		234,134
31349UMF2	FHLMC	2.38	09/13/25	324,507		343,220
313602YQ1	FANNIE MAE FNMA_89-44	9.00	06/04/16	31,640		34,570
31368HL35	FNMA	5.50	01/18/26	32,245		35,905
31368HMB6	FNMA	5.50	09/21/26	294,241		327,588
31368HNM1	FNMA	4.50	06/15/29	15,000		16,008
3136A77K2	FNMA	2.71	04/05/16	1,176,865		1,157,391
31371LNH8	FNMA	4.00	04/25/14	15		15
31371LZJ1	FNMA	4.00	09/11/14	30,125		30,568
31371M5M5	FNMA	5.50	04/16/28	83,553		92,149
31371MEP8	FNMA	5.00	02/10/27	3,607		3,943
31371MG92	FNMA	4.00	01/13/15	17,050		17,568
31371N4F9	FNMA	6.00	09/13/22	148,500		166,107
31371NP25	FNMA	5.50	12/30/28	309,497		341,268
31371NVX0	FNMA	5.00	10/14/28	756,199		824,026
31374CN36	FNMA	6.00	07/09/30	15,159		16,871
31374CNV4	FNMA	5.50	08/09/28	287,443		320,020

Page 11


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3137A83K2	FHR_3820D DA	4.00	11/23/16	16,519,526		17,424,350
3137AEH65	FHLMC_3917	0.66	07/13/16	1,562,835		1,569,297
3137AEV77	FHLMC	2.70	03/26/18	8,300,000		8,603,448
3137ANMN2	FHLMC MULTIFAMILY STRUCTURED P	2.22	11/19/18	500,000		505,484
3137B4PT7	FHLMC_4246	6.50	11/26/16	7,166,541		8,217,865
3137B4UY0	FHLMC_4248	6.50	05/20/17	13,201,831		15,129,356
31381QFF8	FNMA	3.75	05/16/16	8,262,715		8,827,265
31385RB58	FNMA	8.50	03/09/24	574,346		627,443
31385XAZ0	FNMA	5.50	08/18/25	460,821		513,131
31385XEC7	FNMA	5.50	09/09/25	10,324		11,495
31385XK48	FNMA	2.35	09/02/24	150,260		158,179
31385XM87	FNMA	4.50	08/22/25	4,694,323		5,032,135
31388XVV3	FNMA	2.03	08/14/24	4,180,723		4,315,677
31389EVA0	FNMA	6.50	09/10/15	394,001		418,214
31389EVB8	FNMA	6.50	09/11/15	617,721		655,682
3138A1CT6	FNMA	4.00	05/01/26	60,229		62,641
3138A1SU6	FNMA	4.00	04/04/30	212,970		221,496
3138A2CK3	FNMA	4.00	08/23/20	1,535,967		1,629,495
3138A2DD8	FNMA	4.00	03/18/30	35,086		36,491
3138A2FJ3	FNMA	4.00	08/25/20	91,153		96,703
3138A2PD5	FNMA	3.50	08/19/20	1,680,924		1,763,266
3138A2ZZ5	FNMA	4.00	09/13/30	639,315		664,916
3138A3DJ3	FNMA	4.00	10/16/20	120,656		128,092
3138A3VB0	FNMA	4.00	03/30/30	3,290,461		3,422,519
3138A3WC7	FNMA	4.00	05/04/30	209,050		217,424
3138A4CC7	FNMA	4.00	09/12/30	106,719		110,992
3138A4KH7	FNMA	4.00	03/29/30	56,906		59,184
3138A5RN4	FNMA	4.00	09/29/20	40,368		42,856
3138A5YL0	FNMA	4.50	08/04/30	305,894		326,670
3138A6E97	FNMA	4.00	04/23/30	463,000		481,540
3138A6LD0	FNMA	5.00	11/07/30	198,894		217,783
3138A6RH5	FNMA	4.00	04/11/30	18,065		18,789
3138A7G69	FNMA	4.00	09/28/20	48,755		51,760
3138A7HY7	FNMA	3.50	02/01/30	867,246		873,077
3138A8A48	FNMA	4.00	05/15/30	587,157		610,669
3138A9N26	FNMA	4.00	05/10/30	99,167		103,138
3138AA4M0	FNMA	4.50	08/30/30	4,150,194		4,442,519
3138AAKX8	FNMA	4.00	06/23/30	101,393		105,546
3138AB2D0	FNMA	4.00	05/10/30	85,198		88,610
3138ADUG8	FNMA	5.00	01/16/31	499,251		546,666
3138AET45	FNMA	4.50	09/30/30	1,759,863		1,880,557
3138AEZG1	FNMA	4.00	09/21/30	566,595		589,283
3138AFKH2	FNMA	4.00	11/19/20	46,503		49,369
3138AFXZ8	FNMA	4.00	12/01/20	154,558		164,083
3138AG6Q6	FNMA	4.00	12/08/20	171,354		181,915
3138AGQQ4	FNMA	4.00	11/28/20	40,910		43,431
3138AHTD8	FNMA	5.00	01/25/31	130,285		142,593
3138AJK50	FNMA	4.50	11/10/30	1,888,839		2,018,379
3138AJNH1	FNMA	4.50	11/08/30	2,416,594		2,582,328
3138AJWD0	FNMA	4.50	11/26/30	959,576		1,025,386
3138AKEL9	FNMA	4.00	12/01/20	121,352		128,831
3138ANBY8	FNMA	4.00	10/04/30	113,716		118,269
3138ANZG1	FNMA	4.50	12/24/30	164,582		175,869
3138AS4N9	FNMA	4.50	02/04/31	1,994,838		2,131,648
3138AT4B3	FNMA	4.00	03/21/31	755,937		786,217
3138AUMZ7	FNMA	4.00	11/21/30	32,743		34,054
3138AUP84	FNMA	4.50	03/06/31	43,061		46,014
3138AVH24	FNMA	4.00	11/16/30	96,996		100,880
3138AVWL5	FNMA	4.00	10/17/30	106,403		110,664
3138AW3N1	FNMA	4.00	11/03/30	40,776		42,409
3138AX5G2	FNMA	4.00	01/28/31	184,114		191,489
3138AXRL7	FNMA	4.00	11/30/30	515,678		536,327

Page 12


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138AXST9	FNMA	4.50	02/02/31	685,767		732,798
3138E04T3	FNMA	3.50	10/16/30	383,436		386,017
3138E0Q93	FNMA	3.50	09/01/30	1,543,479		1,554,333
3138E2GH2	FNMA	4.00	12/12/30	2,011,228		2,091,766
3138E2JY2	FNMA	3.50	08/24/30	487,693		490,975
3138E47K1	FNMA	4.00	12/26/30	219,886		228,691
3138E4AC5	FNMA	4.00	12/20/30	219,933		228,740
3138E4EB3	FNMA	2.50	03/16/21	776,246		776,393
3138E4F89	FNMA	4.00	12/29/30	67,782		70,498
3138E4UV1	FNMA	4.00	12/02/30	4,242,684		4,412,577
3138E6KZ8	FNMA	4.00	12/26/30	408,049		424,394
3138E7JB1	FNMA	2.50	03/29/21	837,351		837,509
3138EBLJ2	FNMA	4.00	04/18/31	125,959		131,004
3138ECLK7	FNMA	4.00	04/23/31	399,552		415,557
3138ECLU5	FNMA	4.00	04/17/31	379,888		395,105
3138ECTY9	FNMA	2.50	03/21/21	604,357		604,471
3138ECYM9	FNMA	2.50	03/19/21	625,164		625,283
3138ECYV9	FNMA	2.50	04/03/21	806,415		806,567
3138EGH72	FNMA	4.00	10/17/20	635,395		674,085
3138EGHV9	FNMA	4.00	09/14/20	91,937		97,535
3138EGHX5	FNMA	4.00	06/27/30	5,765,490		6,001,897
3138EGSP0	FNMA	5.50	05/27/28	112,045		124,743
3138EGTA2	FNMA	5.00	10/17/28	348,595		381,487
3138EH6R8	FNMA	5.50	07/25/29	107,497		119,680
3138EHCM2	FNMA	5.00	06/14/28	485,260		531,047
3138EHGN6	FNMA	5.50	12/15/28	54,566		60,750
3138EHWE8	FNMA	5.50	08/02/28	52,479		58,436
3138EJCC0	FNMA	4.00	10/10/30	1,819,471		1,892,330
3138EJEW4	FNMA	4.00	12/30/30	602,881		627,601
3138EJQN1	FNMA	5.50	12/16/28	80,586		89,719
3138EJRB6	FNMA	3.50	04/27/31	5,229,100		5,264,305
3138EJRP5	FNMA	4.38	02/20/18	6,283,796		6,770,463
3138EKKV6	FNMA	5.50	12/05/28	164,052		182,644
3138EKNB7	FNMA	5.50	08/14/28	146,313		162,922
3138EKNF8	FNMA	3.00	03/05/31	372,244		360,823
3138EKW35	FNMA	6.00	05/20/31	8,005,365		8,908,085
3138EKZS7	FNMA	5.00	04/20/31	227,476		247,871
3138ELPP2	FNMA	4.50	06/10/31	1,678,491		1,793,605
3138ELX65	FNMA	4.50	04/08/31	1,519,792		1,623,013
3138LQES9	FNMA	4.00	02/12/31	726,029		755,111
3138LSR85	FNMA	3.00	01/06/31	105,646		102,405
3138LTLA4	FNMA	3.00	05/06/21	1,061,384		1,091,193
3138LUZP3	FNMA	2.50	04/17/21	1,058,247		1,058,946
3138LVEU3	FNMA	4.00	05/30/31	711,143		739,841
3138LVH89	FNMA	3.00	01/05/31	94,224		91,333
3138LVJ87	FNMA	3.00	05/25/21	2,257,839		2,321,252
3138LX5F2	FNMA	4.00	06/13/31	205,096		213,312
3138LXT41	FNMA	3.00	11/08/30	52,834		51,213
3138M13D8	FNMA	3.50	04/01/31	3,478,947		3,502,369
3138M13G1	FNMA	3.50	04/24/31	6,259,973		6,302,117
3138M3MH4	FNMA	4.00	05/29/31	267,179		277,881
3138M5LM9	FNMA	3.50	01/29/31	184,204		185,444
3138M7GY5	FNMA	3.00	11/24/30	131,089		127,068
3138M7W27	FNMA	3.00	11/01/30	136,660		132,337
3138M93L3	FNMA	3.00	11/07/30	75,321		73,011
3138M9BU4	FNMA	3.00	12/06/30	803,279		776,101
3138MBAT3	FNMA	3.00	01/28/31	59,825		57,990
3138MC2V5	FNMA	3.00	12/20/30	119,109		115,455
3138MCFB5	FNMA	3.00	12/14/30	132,410		128,347
3138MCT46	FNMA	3.00	02/08/31	60,310		58,459
3138MDWE8	FNMA	3.00	11/25/30	59,912		58,074
3138MFNJ2	FNMA	3.00	12/03/30	88,874		86,148

Page 13


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138MFPE1	FNMA	2.50	07/09/21	695,965		696,314
3138MFSR9	FNMA	3.50	04/28/31	1,480,368		1,490,334
3138MFTC1	FNMA	3.50	04/26/31	220,791		222,278
3138MFW37	FNMA	3.00	03/13/31	167,376		162,241
3138MFW52	FNMA	3.00	02/17/31	88,214		85,508
3138MGMC6	FNMA	3.00	01/24/31	187,754		181,992
3138MHKF9	FNMA	3.50	05/01/31	44,164		44,461
3138MHKP7	FNMA	3.00	01/25/31	73,084		70,841
3138MHKQ5	FNMA	3.00	01/18/31	127,453		123,421
3138MHXJ7	FNMA	3.00	03/02/31	53,702		52,054
3138MJ6T1	FNMA	3.00	01/06/31	104,261		101,062
3138MJGD5	FNMA	3.00	01/13/31	145,940		141,462
3138MJQU6	FNMA	3.00	12/04/30	140,307		136,003
3138MJXK0	FNMA	3.00	03/07/31	1,329,931		1,284,933
3138MKB70	FNMA	3.00	01/22/31	99,043		96,004
3138MKQH2	FNMA	3.00	04/14/31	317,509		307,764
3138ML5B6	FNMA	3.00	03/11/31	313,856		304,227
3138MLE67	FNMA	3.00	12/22/30	442,713		429,131
3138MLMY7	FNMA	3.00	01/16/31	55,664		53,956
3138MLTC8	FNMA	3.00	03/09/31	265,017		256,886
3138MMAB8	FNMA	3.00	03/27/31	288,422		279,573
3138MMCE0	FNMA	3.00	12/29/30	60,863		58,996
3138MMJ37	FNMA	3.00	01/09/31	102,686		99,536
3138MMKP6	FNMA	3.00	02/04/31	53,761		52,112
3138MMNW8	FNMA	3.00	12/23/30	244,069		236,581
3138MMY63	FNMA	3.00	11/13/30	162,594		157,605
3138MN5G1	FNMA	3.00	01/29/31	294,649		285,606
3138MNAT7	FNMA	3.00	01/13/31	83,937		81,362
3138MNJQ4	FNMA	3.00	01/23/31	75,906		73,577
3138MNQL7	FNMA	3.00	01/09/31	563,000		545,191
3138MNQP8	FNMA	3.00	01/11/31	440,418		426,906
3138MP2W4	FNMA	3.00	02/09/31	57,689		55,918
3138MPBU8	FNMA	3.00	01/13/31	128,839		124,886
3138MPDQ5	FNMA	3.00	02/19/31	225,914		218,983
3138MPZC2	FNMA	3.00	12/28/30	380,545		368,870
3138MQHG1	FNMA	3.00	01/18/31	119,779		116,104
3138MQJZ7	FNMA	3.00	03/21/31	211,127		204,650
3138MQM91	FNMA	3.00	04/05/31	306,603		297,197
3138MQTN3	FNMA	3.00	01/13/31	238,284		230,974
3138MQWF6	FNMA	3.00	11/24/30	51,775		50,187
3138MR5R8	FNMA	3.00	03/02/31	69,438		67,306
3138MRD24	FNMA	3.00	01/10/31	65,321		63,317
3138MRRX1	FNMA	3.00	01/08/31	207,714		201,341
3138MRTR2	FNMA	3.00	12/24/30	63,564		61,614
3138MRUJ8	FNMA	3.00	01/09/31	233,585		226,418
3138MRXV8	FNMA	3.00	02/13/31	131,969		127,918
3138MTD79	FNMA	4.50	06/14/31	403,258		432,495
3138NJAE8	FNMA	3.61	11/16/17	2,077,686		2,152,457
3138NJAK4	FNMA	3.42	10/09/17	2,950,946		3,078,194
3138NWVM8	FNMA	3.00	01/27/31	50,005		48,470
3138NXFU6	FNMA	3.00	02/23/31	437,833		424,395
3138NXRK5	FNMA	3.00	02/02/31	116,207		112,641
3138NYDM4	FNMA	3.00	02/13/31	80,114		77,656
3138NYEN1	FNMA	3.50	07/17/31	271,579		273,408
3138NYHT5	FNMA	3.00	01/25/31	92,278		89,447
3138NYQP3	FNMA	3.00	02/21/31	67,917		65,832
3138W02A6	FNMA	3.00	02/11/31	82,902		80,357
3138W02X6	FNMA	3.00	12/20/30	107,708		104,402
3138W0G60	FNMA	3.00	01/30/31	136,489		132,299
3138W0XW4	FNMA	3.00	01/07/31	322,987		313,078
3138W0YR4	FNMA	3.00	02/10/31	58,455		56,662
3138W17M3	FNMA	3.00	04/05/31	201,414		195,232

Page 14


Cusip	Security Description	Coupon	Maturity	Par	Market Value
3138W1LY1	FNMA	3.00	02/19/31	83,732		81,162
3138W3W90	FNMA	3.00	05/13/31	373,508		362,044
3138W4AP6	FNMA	3.00	06/30/31	161,980		157,009
3138W7WP5	FNMA	3.00	04/10/31	178,341		172,868
3138W9AS9	FNMA	3.00	06/06/31	199,999		193,228
3138W9GW4	FNMA	3.50	10/04/31	3,739,750		3,766,114
3138W9RL6	FNMA	2.50	01/16/22	2,385,103		2,385,555
3138WA6A0	FNMA	4.00	07/02/32	1,700,618		1,768,902
3138WASF5	FNMA	3.00	04/26/22	342,614		352,260
3138WMZ20	FNMA	2.50	03/01/28	4,638,232		4,639,111
3138WN7K9	FNMA	3.00	04/29/31	107,476		104,177
3138WNDF3	FNMA	3.50	09/06/31	2,824,611		2,847,159
3138WQA28	FNMA	3.00	06/02/31	999,390		965,556
3138WQA36	FNMA	3.00	06/03/31	1,290,492		1,246,802
3138WQM33	FNMA	3.00	04/07/31	48,531		47,042
3138WQNS7	FNMA	3.50	12/08/31	45,727		46,035
3138WQNW8	FNMA	3.50	08/30/31	572,856		570,121
3138WQNX6	FNMA	3.50	10/09/31	194,881		196,194
3138X0QR2	FNMA	2.50	12/15/21	943,987		944,165
3138X1ZV1	FNMA	3.00	07/09/31	826,690		798,702
3138X3EQ1	FNMA	3.50	10/17/31	1,877,187		1,890,421
3138X3X56	FNMA	4.50	08/13/32	401,065		428,905
3138X6WL5	FNMA	3.50	04/16/22	637,488		668,965
3138X6WT8	FNMA	2.50	02/02/22	584,476		584,586
3138X76Z1	FNMA	2.50	01/21/22	1,438,055		1,438,327
3138XBJ54	FNMA	3.50	04/29/22	199,834		209,674
3138XBQN7	FNMA	3.00	04/08/22	986,749		1,014,529
3138XDJ35	FNMA	3.50	04/25/22	39,341		41,279
3138XDNY2	FNMA	3.00	04/16/22	989,943		1,017,813
31391YV87	FNMA	6.00	07/16/25	1,258		1,419
31394PP72	FHLMC_27-55	5.00	01/21/17	2,117,894		2,287,199
31400JM55	FNMA	5.50	08/26/25	672		752
31400QJ87	FNMA	2.23	06/10/24	16,671		17,860
31400RFH9	FNMA	5.50	07/22/25	11,548		12,858
31400YAL0	FNMA	5.50	08/14/25	61,227		68,177
31402C4H2	FNMA	5.50	04/07/26	2,711,724		3,019,544
31402CVP4	FNMA	5.50	02/26/26	121,656		135,466
31402DC73	FNMA	5.50	06/04/26	4,415,132		4,915,505
31402DCV0	FNMA	5.00	04/15/26	18,279		20,004
31402DJS0	FNMA	5.50	07/19/26	2,471,607		2,751,718
31402DP79	FNMA	5.50	09/03/26	64,501		71,811
31402EQ35	FNMA	4.50	06/20/25	10,850		11,630
31402GP98	FNMA	5.00	08/24/25	3,982		4,398
31402LQU9	FNMA	5.00	08/25/25	27,473		30,051
31402QSK8	FNMA	5.50	09/24/26	5,631		6,270
31402QSZ5	FNMA	5.50	09/21/26	20,950		23,324
31402QWA5	FNMA	5.50	10/12/26	7,729		8,605
31402QXK2	FNMA	8.50	10/25/24	350,226		382,949
31402QY39	FNMA	5.50	11/07/26	224,150		249,553
31402RDD8	FNMA	5.50	01/05/27	78,253		86,723
31402RF87	FNMA	5.00	12/09/26	1,197,541		1,310,537
31402RSA8	FNMA	5.50	04/24/27	7,989		8,854
31402RSN0	FNMA	5.00	03/12/27	693,630		758,135
31402UR87	FNMA	4.50	08/23/25	4,477,168		4,799,353
31402YSV7	FNMA	2.63	11/08/24	14,239		15,261
31403DC56	FNMA	4.50	11/03/17	939,341		996,173
31403DC72	FNMA	4.50	10/17/17	760,624		806,643
31403DD97	FNMA	5.50	07/07/27	12,929		14,328
31403DJG5	FNMA	5.50	06/29/26	10,969		12,212
31403DPP8	FNMA	5.50	02/14/27	47,135		52,477
31403DPR4	FNMA	5.50	11/21/27	95,570		105,402
31403FPC2	FNMA	4.50	08/16/25	2,159,369		2,314,760

Page 15


Cusip	Security Description	Coupon	Maturity	Par	Market Value
31403KDB6	FNMA	2.20	11/11/24	8,221		8,542
31403TTL8	FNMA	5.50	01/27/26	7,227		8,047
31404BPJ5	FNMA	4.00	08/25/25	158,335		164,827
31404DG28	FNMA	5.00	02/08/26	6,167		6,749
31404MAB4	FNMA	5.50	03/13/26	5,422		6,037
31404NBP0	FNMA	2.25	07/19/25	82,956		87,456
31404NHA7	FNMA	5.00	03/24/26	30,577		33,462
31404SFP5	FNMA	5.50	03/24/26	3,424		3,826
31405NQY4	FNMA	6.00	09/07/26	9,550		10,761
31405QNR5	FNMA	5.50	08/02/26	545		609
31405UMM8	FNMA	2.19	05/03/25	100,505		106,444
31405UTZ2	FNMA	2.11	05/10/25	23,683		25,020
31406BB90	FNMA	2.24	06/30/25	136,128		144,497
31406BEZ9	FNMA	2.22	06/10/25	126,126		133,733
31406BJF8	FNMA	2.21	06/26/25	128,295		137,179
31406BQQ6	FNMA	2.21	06/26/25	174,631		183,793
31406DG67	FNMA	2.42	06/18/25	541,854		569,792
31406EDN1	FNMA	5.00	08/25/26	12,053		13,203
31406HLF2	FNMA	6.00	01/22/27	80,472		89,753
31406MYP5	FNMA	2.00	07/03/25	218,994		230,218
31406RNA9	FNMA	6.00	07/07/27	2,733		3,048
31406TLC3	FNMA	2.44	09/18/25	263,423		279,628
31406TWR8	FNMA	1.83	05/08/25	813,588		847,767
31406VHE9	FNMA	2.36	09/26/25	148,945		156,570
31406YZV5	FNMA	5.00	01/26/27	19,926		21,779
31407ADE8	FNMA	5.50	09/24/26	19,549		21,765
31407CE29	FNMA	5.50	04/08/27	664		741
31407FG53	FNMA	5.50	03/05/27	1,054		1,177
31407FUW8	FNMA	2.35	11/16/25	2,676,781		2,772,111
31407LFM4	FNMA	4.50	11/18/26	11,976		12,807
31407RVX9	FNMA	4.50	01/28/27	12,973		13,873
31407UEZ6	FNMA	6.00	09/14/27	34,294		38,167
31407VS22	FNMA	5.00	02/22/27	19,201		20,987
31407YXM6	FNMA	5.50	03/08/27	32,774		36,488
31408AG53	FNMA	6.00	09/22/27	14,157		15,846
31408FYG8	FNMA	6.00	09/02/27	1,734		1,930
31408GFA0	FNMA	6.00	07/26/27	209,528		233,695
31409A5P0	FNMA	6.00	10/10/27	54,083		60,535
31409AYE3	FNMA	6.00	10/27/27	128,074		143,352
31409CRY3	FNMA	6.00	09/15/27	107,521		120,347
31409EJS1	FNMA	5.50	09/11/27	30,667		33,822
31409GML7	FNMA	6.50	03/08/28	333,966		373,555
31409JVL1	FNMA	6.00	12/27/27	272,536		303,317
31409UB38	FNMA	6.00	10/24/27	14,493		16,130
31409VYW7	FNMA	6.00	11/04/27	30,687		34,348
31409WAE1	FNMA	6.00	10/27/27	249,025		277,112
31410CJV5	FNMA	6.00	11/21/27	10,022		11,218
31410F3C7	FNMA	6.00	07/22/28	950,547		1,057,699
31410F5Y7	FNMA	6.00	09/24/28	400,000		445,177
31410FUS2	FNMA	5.50	03/27/28	31,856		35,134
31410FUZ6	FNMA	5.50	12/10/27	33,100		36,852
31410FVW2	FNMA	5.50	05/07/28	2,221		2,449
31410FYU3	FNMA	5.50	07/01/27	4,392,532		4,867,960
31410G2F9	FNMA	5.50	08/17/28	72,052		79,851
31410G2W2	FNMA	5.00	10/20/28	74,934		81,903
31410GBT9	FNMA	5.50	03/12/27	173,385		193,066
31410GCS0	FNMA	5.50	06/08/27	75,837		84,045
31410GD83	FNMA	2.42	04/10/25	44,168		47,587
31410GDF7	FNMA	1.79	08/18/24	190,584		203,423
31410GDL4	FNMA	2.32	10/10/25	720,947		752,143
31410GDN0	FNMA	2.34	10/13/24	132,649		140,181
31410GDP5	FNMA	2.38	12/22/25	1,716,282		1,807,859

Page 16


Cusip	Security Description	Coupon	Maturity	Par	Market Value
31410GDY6	FNMA	2.24	10/02/25	47,058		50,408
31410KDC5	FNMA	5.00	01/16/29	20,603		22,451
31410KEM2	FNMA	5.50	03/06/29	1,824,127		2,011,378
31410KLD4	FNMA	5.50	03/09/29	307,135		338,688
31410KME1	FNMA	4.50	04/14/28	1,872,647		2,007,406
31410KMQ4	FNMA	5.50	03/26/29	156,508		172,587
31410KNA8	FNMA	5.50	05/01/29	64,717		71,366
31410KS47	FNMA	5.50	06/12/27	4,943		5,503
31410KT95	FNMA	5.50	08/15/28	149,710		166,704
31410KU36	FNMA	5.00	04/01/29	11,605		12,646
31410KVW1	FNMA	5.50	08/09/28	16,125		17,956
31410KX74	FNMA	5.50	12/14/27	2,568,824		2,860,423
31410LBU5	FNMA	4.00	07/07/20	976,975		1,035,755
31410LC91	FNMA	5.50	03/10/31	841,966		928,464
31410LGW6	FNMA	5.50	08/07/29	22,146		24,656
31410MJ76	FNMA	5.50	04/14/27	12,959		14,361
31410MMX5	FNMA	6.00	11/10/27	205,434		229,940
31410NT24	FNMA	6.00	01/08/28	17,822		19,805
31410QR86	FNMA	5.50	03/15/28	81,592		89,986
31410RDL0	FNMA	6.00	02/22/28	24,159		26,887
31411A5M3	FNMA	5.50	04/02/28	5,163,052		5,694,219
31411A7C3	FNMA	5.50	04/10/28	1,317,032		1,452,526
31411E2F3	FNMA	5.50	05/05/28	8,521		9,398
31411EFN2	FNMA	5.50	04/06/28	140,277		154,708
31411KLN1	FNMA	5.50	06/03/28	113,233		124,857
31411NUT2	FNMA	5.50	03/15/28	129,701		143,015
31411VMN6	FNMA	5.50	05/01/28	3,366,316		3,711,876
31412DXY9	FNMA	5.50	04/23/28	15,818		17,446
31412ESY3	FNMA	6.00	06/14/28	26,799		29,996
31412MYZ5	FNMA	5.50	03/11/29	160,121		176,570
31412N6G6	FNMA	4.50	04/06/29	38,591		41,438
31412NXE1	FNMA	5.00	08/25/29	1,229,279		1,356,978
31412NZ33	FNMA	5.00	06/26/29	42,491		46,793
31412PBJ9	FNMA	4.50	09/05/19	10,375,427		11,086,074
31412PBN0	FNMA	4.00	01/29/29	234,819		244,207
31412PP88	FNMA	5.00	08/07/29	119,403		131,515
31412PRN3	FNMA	4.00	09/29/19	1,538,510		1,631,074
31412PXF3	FNMA	4.50	06/10/29	68,301		73,499
31412Q2V0	FNMA	4.50	11/21/29	2,331,766		2,509,207
31412QE70	FNMA	5.00	10/25/29	2,882,381		3,184,283
31412QKA6	FNMA	4.00	12/09/19	27,757		29,427
31412QPN3	FNMA	5.50	01/01/29	344,840		380,239
31412QPQ6	FNMA	6.00	09/18/27	397,970		443,871
31412QW70	FNMA	4.50	10/29/29	350,000		375,821
31412RAP2	FNMA	4.00	10/24/26	9,149		9,504
31412RG76	FNMA	4.00	04/09/20	1,692,632		1,797,298
31412RGG6	FNMA	5.00	04/13/30	297,232		328,109
31412RNY9	FNMA	4.00	04/13/30	64,088		66,682
31412TM26	FNMA	5.50	04/04/29	1,488,606		1,645,670
31412UEQ9	FNMA	4.50	08/17/29	336,154		361,484
31412URR3	FNMA	4.00	11/02/19	1,630,531		1,728,632
31413BTW1	FNMA	5.50	07/20/28	652,584		719,573
31413CLH0	FNMA	6.00	09/27/28	646,178		723,325
31413HKW7	FNMA	6.00	11/20/28	5,567		6,195
31413NY66	FNMA	6.00	12/19/28	666,341		744,192
31413R2P0	FNMA	6.00	02/26/29	379,694		425,025
31413TWV0	FNMA	5.50	12/22/28	97,525		107,536
31414ANH1	FNMA	5.50	12/19/28	155,661		171,640
31414GGE3	FNMA	4.50	08/23/28	53,178		56,731
31414HZ67	FNMA	5.50	11/20/28	52,221		57,582
31414NCH5	FNMA	6.00	11/23/29	103,904		116,302
31414NH31	FNMA	5.00	08/20/29	1,301,468		1,437,784

Page 17


Cusip	Security Description	Coupon	Maturity	Par	Market Value
31414NH49	FNMA	5.00	08/20/29	1,244,832		1,371,109
31414SL27	FNMA	5.00	12/15/28	204,640		222,995
31414SX81	FNMA	5.50	03/17/29	148,688		163,963
31414SZC0	FNMA	5.50	03/22/29	244,935		270,337
31415AZ79	FNMA	5.00	01/17/29	10,003		10,901
31415BCQ0	FNMA	5.50	05/15/29	78,734		86,977
31415P3Y2	FNMA	5.50	03/27/26	6,812		7,585
31415P3Z9	FNMA	5.50	04/01/26	14,257		15,875
31415SPY2	FNMA	6.00	11/26/29	10,301		11,464
31415SRP9	FNMA	5.50	07/17/29	73,151		80,666
31415WA60	FNMA	4.50	05/04/29	31,612		33,994
31415YLZ0	FNMA	4.00	11/04/19	634,192		672,348
31416AQ29	FNMA	4.00	11/03/19	127,999		135,700
31416BLD8	FNMA	5.50	08/13/28	42,835		47,471
31416BM70	FNMA	5.50	08/09/28	8,246,140		9,180,687
31416BMK1	FNMA	5.00	11/12/28	183,879		200,407
31416BN61	FNMA	5.50	12/10/27	53,163		59,188
31416BNB0	FNMA	5.50	03/05/27	47,954		53,397
31416BNG9	FNMA	5.50	11/08/26	171,036		190,451
31416BS90	FNMA	4.50	02/20/29	564,233		601,933
31416BTA6	FNMA	5.00	07/02/29	2,578,276		2,809,534
31416BTB4	FNMA	5.00	04/26/27	522,866		571,491
31416HY25	FNMA	5.00	06/15/29	261,138		284,749
31416JZM6	FNMA	5.00	06/18/29	1,009,200		1,106,175
31416LR57	FNMA	4.50	04/13/29	70,182		74,897
31416M5A8	FNMA	5.00	07/03/29	667,509		728,017
31416MLA0	FNMA	4.50	07/13/29	11,362		12,200
31416MTR5	FNMA	5.00	09/21/29	17,251		18,810
31416MVP6	FNMA	4.50	05/04/29	43,189		46,376
31416N5T5	FNMA	4.50	06/14/29	128,979		138,494
31416NRD6	FNMA	4.50	06/17/29	12,875		13,825
31416QJZ9	FNMA	5.00	08/25/29	58,307		64,414
31416QMS1	FNMA	4.00	10/15/19	398,931		422,933
31416RSJ3	FNMA	4.00	05/16/29	98,656		102,600
31416S6B2	FNMA	4.50	07/02/29	78,469		84,440
31416SD40	FNMA	4.50	07/08/29	70,593		75,965
31416SED9	FNMA	5.00	10/10/29	54,601		60,273
31416SLC3	FNMA	4.50	07/17/29	74,370		80,030
31416T5T2	FNMA	4.50	07/27/29	724,721		773,409
31416TAG4	FNMA	4.50	07/08/29	120,297		129,451
31416TAL3	FNMA	5.00	10/05/29	58,080		64,164
31416TE47	FNMA	4.50	07/27/29	76,305		81,935
31416TEE5	FNMA	4.50	07/28/29	105,189		113,193
31416TEF2	FNMA	4.50	07/23/29	67,727		72,724
31416TKG3	FNMA	5.00	09/02/29	72,306		79,817
31416WD66	FNMA	5.00	05/05/30	528,063		582,919
31416WFG2	FNMA	4.00	04/24/20	10,649		11,298
31416XKB5	FNMA	4.00	04/05/30	112,276		116,770
31416XXR6	FNMA	5.00	12/01/30	493,411		540,046
31416Y3T3	FNMA	4.00	11/05/30	1,529,215		1,591,126
31416YDN5	FNMA	4.00	06/26/30	22,714		23,623
31417ASC4	FNMA	4.00	11/16/30	179,069		186,239
31417ASD2	FNMA	4.00	11/16/30	875,579		910,640
31417CDE2	FNMA	3.50	01/20/31	1,408,128		1,417,609
31417CQQ1	FNMA	3.00	11/05/30	114,889		111,255
31417CQS7	FNMA	3.00	11/08/30	60,971		59,101
31417CS30	FNMA	3.50	03/24/31	345,823		348,153
31417CSH9	FNMA	3.00	11/04/30	1,898,299		1,838,249
31417CVV4	FNMA	4.00	08/15/31	239,488		249,081
31417D4F7	FNMA	3.00	12/28/30	803,888		778,458
31417DRG0	FNMA	3.50	04/24/31	2,127,352		2,141,675
31417ECE9	FNMA	3.00	12/27/30	1,619,401		1,568,173

Page 18


Cusip	Security Description	Coupon	Maturity	Par	Market Value
31417ECF6	FNMA	3.00	12/26/30	1,623,936		1,572,564
31417ECT6	FNMA	3.00	01/07/31	216,327		209,690
31417ENK3	FNMA	3.00	01/28/31	321,135		311,283
31417ESX0	FNMA	3.00	01/23/31	1,552,320		1,499,798
31417F4R6	FNMA	3.00	04/07/31	560,904		541,915
31417FL55	FNMA	2.50	09/11/21	153,355		153,384
31417GF35	FNMA	3.00	05/02/31	958,937		926,472
31417J2B5	FNMA	5.00	11/24/29	34,011		37,545
31417JSB7	FNMA	4.50	08/02/29	26,633		28,598
31417KUM7	FNMA	4.00	05/22/29	85,843		89,275
31417KXH5	FNMA	4.50	07/23/29	2,367,100		2,545,468
31417LLX1	FNMA	5.00	10/07/29	82,441		91,076
31417LUG8	FNMA	4.50	03/10/26	2,488,954		2,668,063
31417M2V4	FNMA	4.50	09/17/29	43,280		46,541
31417M2W2	FNMA	4.50	09/18/29	9,141		9,816
31417MFB4	FNMA	4.50	07/29/29	150,694		161,811
31417MPN7	FNMA	5.00	11/13/29	59,720		65,924
31417MQT3	FNMA	5.00	12/05/29	45,786		50,542
31417MTC7	FNMA	4.50	08/16/29	348,331		374,578
31417MVC4	FNMA	4.50	09/08/29	308,212		331,437
31417MYL1	FNMA	4.50	10/01/29	1,279,404		1,365,356
31417QS62	FNMA	4.00	12/24/19	8,773		9,301
31417SYT1	FNMA	4.50	09/27/29	64,719		69,494
31417UXN0	FNMA	4.00	03/02/20	43,139		45,765
31417VJS3	FNMA	4.50	10/16/29	10,842		11,641
31417VQR7	FNMA	4.00	08/16/29	372,110		387,007
31417VQT3	FNMA	4.50	12/06/29	1,247,785		1,341,809
31417VYY3	FNMA	4.00	03/03/20	127,428		135,187
31417Y3H8	FNMA	4.00	12/11/20	753,922		800,387
31417Y6F9	FNMA	4.00	11/16/30	42,730		44,441
31417YF44	FNMA	4.00	05/26/29	41,243		42,892
31417YXX0	FNMA	4.50	06/30/30	1,238,349		1,323,277
31418A7G7	FNMA	3.50	06/21/22	386,656		405,696
31418AEA2	FNMA	4.00	02/26/31	305,330		317,561
31418AKQ0	FNMA	4.00	08/20/31	390,637		406,285
31418ALS5	FNMA	3.50	04/08/31	2,536,632		2,553,710
31418AM96	FNMA	3.50	05/20/31	2,055,560		2,069,399
31418AQ35	FNMA	3.50	07/29/31	43,259		43,052
31418AR26	FNMA	3.50	08/29/31	249,302		248,112
31418MFF4	FNMA	4.50	12/05/26	2,535,382		2,717,833
31418MRL8	FNMA	5.50	08/19/28	11,533,038		12,781,323
31418MRR5	FNMA	5.50	11/01/26	219,781		244,730
31418MSR4	FNMA	5.50	12/30/29	241,412		266,213
31418MT44	FNMA	5.50	08/12/28	77,814		86,633
31418MT93	FNMA	4.50	12/09/29	1,028,592		1,097,695
31418MUL4	FNMA	4.50	10/25/29	473,913		508,875
31418PCP8	FNMA	5.00	08/03/30	188,072		205,507
31418QHC0	FNMA	4.50	12/27/29	12,092		12,913
31418RHE4	FNMA	4.00	04/06/20	159,924		169,662
31418RX22	FNMA	5.00	04/21/30	1,405,318		1,535,596
31418SJB6	FNMA	4.00	04/07/20	12,229		12,973
31418UCZ5	FNMA	4.00	04/23/20	68,048		72,192
31418UEE0	FNMA	4.50	02/24/30	980,793		1,047,406
31418UVY7	FNMA	4.00	05/11/20	135,451		143,699
31418UYE8	FNMA	4.00	03/19/29	19,851		20,620
31418VQY1	FNMA	4.00	01/27/30	66,219		68,870
31418VTJ1	FNMA	4.50	03/10/30	2,599,695		2,776,261
31418VYQ9	FNMA	4.50	04/11/30	4,207		4,493
31418W6Y1	FNMA	5.00	07/08/30	265,669		290,530
31418W7J3	FNMA	5.00	07/12/30	158,890		173,037
31419AG27	FNMA	4.00	01/29/30	18,991		19,752
31419ANB9	FNMA	4.00	02/21/30	99,746		103,739

Page 19


Cusip	Security Description	Coupon	Maturity	Par	Market Value
31419ANK9	FNMA	5.50	03/26/30	345,476		380,968
31419ARB5	FNMA	5.00	07/03/30	577,752		631,312
31419ARE9	FNMA	5.50	07/27/29	52,418		58,358
31419BW68	FNMA	4.00	01/30/30	92,979		96,702
31419DJY8	FNMA	4.00	06/13/20	2,107,400		2,235,723
31419DLW9	FNMA	4.00	02/11/30	101,407		105,466
31419EK40	FNMA	4.00	03/28/30	96,553		100,451
31419EU80	FNMA	5.00	07/12/30	230,303		252,716
31419EW70	FNMA	4.00	03/08/30	146,265		152,120
31419FCP9	FNMA	4.00	12/09/20	303,710		322,428
31419FEM4	FNMA	4.50	05/24/30	1,447,276		1,545,572
31419FFW1	FNMA	4.00	03/11/30	49,522		51,504
31419FSH0	FNMA	4.00	08/22/20	28,581		30,321
31419G2T0	FNMA	4.00	02/20/30	22,677		23,585
31419H6Y3	FNMA	4.00	02/26/30	36,713		38,183
31419HBS0	FNMA	4.00	02/24/30	99,203		103,174
31419HVP4	FNMA	4.00	03/10/30	135,714		141,147
31419JLP1	FNMA	4.00	02/16/30	111,572		116,039
31419KR49	FNMA	4.00	02/27/30	47,033		48,916
31419L5A7	FNMA	4.00	03/02/30	212,465		220,968
31419LZ63	FNMA	4.00	03/06/30	67,901		70,619
36176ABB4	GNMA	3.50	07/13/30	227,845		232,887
36176FUE6	GNMA	3.50	10/14/30	97,832		99,997
36176MA29	GNMA	4.00	09/06/30	286,854		301,860
36176QLG7	GNMA	2.50	06/10/21	1,634,541		1,647,842
36176QPR9	GNMA	3.50	07/13/30	445,775		455,640
36176R7D8	GNMA	3.50	07/13/30	835,479		853,980
36176V5Q2	GNMA	3.50	11/04/30	37,205		38,028
36176WGG0	GNMA	3.50	09/03/30	956,026		977,183
36176XCT4	GNMA	3.50	10/14/30	1,105,118		1,129,575
36176XEZ8	GNMA	2.50	03/16/21	504,645		508,751
36177NXQ8	GNMA	3.50	11/04/30	297,928		304,522
36177R5R8	GNMA	3.50	11/04/30	1,210,115		1,236,912
36177RXF3	GNMA	3.50	09/24/30	2,950,688		3,015,989
36177S3E7	GNMA	3.50	10/14/30	1,838,098		1,878,776
36177X2H0	GNMA	2.50	04/19/21	1,219,236		1,229,157
36177YR32	GNMA	2.50	05/06/21	733,101		739,066
36178CHK2	GNMA	3.00	11/30/30	4,249,170		4,189,407
36178GHC1	GNMA	2.50	05/23/21	405,591		408,891
36178QYX4	GNMA	3.00	12/02/30	175,656		163,241
36178TPE0	GNMA	4.00	09/24/31	74,964		78,890
36179A3K0	GNMA	3.00	11/30/30	9,276,051		9,145,586
36179MC24	GNMA	4.00	06/10/31	485,966		511,409
36179ME48	GNMA	4.00	07/01/31	369,560		388,908
36179MNG1	GNMA	3.00	11/01/30	407,652		402,181
36179MQP8	GNMA	3.50	06/04/31	861,405		880,694
36179MVQ0	GNMA	2.50	10/03/30	57,010		53,933
36179MVR8	GNMA	3.00	03/20/31	926,182		913,750
36179N2K3	GNMA	4.00	03/07/32	299,408		315,200
36179NA99	GNMA	2.50	02/11/31	386,846		365,577
36180MYG6	GNMA	3.00	02/06/31	956,962		943,214
36202F4S2	GNMA	4.50	08/14/31	747,446		808,031
36202FXC5	GNMA	4.50	12/27/30	300,435		324,786
36202FZY5	GNMA	4.00	11/16/30	839,427		883,557
36202FZZ2	GNMA	4.50	03/14/31	841,647		909,867
36206XC43	GNMA	7.00	08/28/24	854		993
3620A9SW2	GNMA	4.50	06/02/29	336,642		365,183
3620ARBK6	GNMA	5.50	11/02/28	339,114		376,001
3620C04Y1	GNMA	4.50	04/03/30	1,087,719		1,175,923
3620C1WV4	GNMA	3.50	09/24/30	2,742,772		2,803,472
36210B5G6	GNMA	5.00	08/13/29	503,844		554,225
36212PPP1	GNMA	7.00	08/06/24	8,399		9,768

Page 20


Cusip	Security Description	Coupon	Maturity	Par	Market Value
36212U5G2	GNMA	7.00	08/28/24	8,013		9,319
36213HGU7	GNMA	7.00	07/15/24	1,536		1,787
36225DM43	GNMA	1.63	05/28/25	7,841,031		8,176,472
36230PCQ1	GNMA	2.50	02/25/21	1,042,570		1,051,054
36230PCY4	GNMA	3.50	06/04/30	218,275		223,106
36230RVV5	GNMA	3.50	12/10/29	8,744,070		8,944,411
36241KL71	GNMA	5.50	05/27/28	80,184		88,967
36241KWJ3	GNMA	6.00	08/25/29	485,999		546,674
36241KZ68	GNMA	5.00	07/01/29	268,062		294,771
36241LG59	GNMA	5.50	07/11/30	383,931		425,627
36241LY91	GNMA	3.50	07/23/30	307,307		314,108
36291YJZ1	GNMA	6.00	01/22/28	2,607		2,942
36296QL49	GNMA	5.00	07/22/29	776,402		854,036
36296QRY7	GNMA	5.00	08/13/29	301,621		331,780
36297FYL0	GNMA	4.50	06/22/29	69,350		75,229
				666,845,604		701,997,227
Non Agency RMBS
00935WAA7	AIREM_06-1A	0.45	10/23/20	1,556,196		1,503,752
02660UAE0	AHMA_06-3	1.07	06/14/26	9,057,207		6,530,309
05948X6X4	BANK OF AMERICA MTG SEC	4.75	08/07/16	1,310,709		1,346,021
07384MWF5	BSARM_04-10	2.76	11/18/20	18,512		18,524
12627HAU4	CSAB_06-2	0.40	07/05/21	6,713,133		3,599,387
12667FFN0	CWALT_04-J4	0.73	07/30/17	5,704,383		5,468,273
12667GN58	CWALT_05-27	1.69	11/26/20	3,476,837		2,929,530
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR	2.80	10/09/23	102,454		102,524
2254582H0	CSFB_05-8	7.00	09/09/22	3,245,617		2,235,795
232434AE0	CWALT_06-OC8	0.40	07/16/28	18,182,594		7,588,287
23245GAD3	CWALT_06-OC9	0.40	06/24/23	4,612,904		1,970,753
25151AAG6	DBALT	0.43	06/07/21	12,270,708		8,030,638
38741YCA5	GRANITE MASTER ISSUER PLC GRAN	0.24	10/19/16	1,759,744		1,737,483
40431HAJ6	HALO	0.45	04/07/20	4,132,078		1,376,676
449670EQ7	IMC HOME EQUITY LOAN TRUST	6.84	03/14/23	53,507		52,968
456687AC6	INDX_07-FL4	0.33	06/07/19	2,422,356		2,197,929
45668WAC1	INX	0.40	10/14/24	5,000,000		2,813,525
466306AA5	JPALT_08-R2	6.00	10/22/20	3,162,709		2,648,398
525221HA8	LXS	0.41	09/02/24	3,323,502		2,462,888
52524HAJ9	LXS	0.88	07/29/17	2,275,838		1,989,888
55027WAA0	LUM_07-2	0.38	07/12/21	3,179,611		2,162,921
576433QQ2	MARM_04-8	1.67	07/01/20	1,179,444		1,079,686
589929W53	MLMI	2.49	03/19/21	127,503		128,407
62889EAA3	NGN_11-R3	0.56	10/14/16	1,090,624		1,094,769
76110H2P3	RES ASSET SEC	3.02	01/01/20	1,048,170		689,863
761118QM3	RALI	1.13	07/15/22	3,493,791		2,481,262
863579J90	SARM	2.38	11/15/19	8,679,724		6,413,440
863579KY3	SARM	2.52	05/01/20	2,123,561		2,010,760
86359BGD7	SASC_04-15	2.50	06/09/19	91,796		92,930
86359LQM4	STRUCTURED ASSET MORTGAGE INV	2.28	08/13/22	2,869,575		2,307,646
86359LT$4	STRUCTURED ASSET MORTGAGE INV	0.38	01/22/22	11,765,795		9,256,257
86361XA$7	SAMI_06-AR8	0.28	09/16/21	4,494,702		3,432,721
92922F4P0	WAMU	0.93	10/05/20	4,416,517		4,251,458
92922FB49	WASHINGTON MUTUAL	0.55	02/11/19	270,240		258,430
92922FZF8	WAMU_04-A12	0.58	11/21/18	4,912,839		4,673,628
93934FMA7	WASHINGTON MUTUAL MORTGAGE PAS	0.75	06/19/19	4,562,095		3,327,492
93936RAA2	WAL	0.97	06/08/24	7,016,984		5,455,312
94982BAG5	WFMBS	2.64	11/15/18	2,646,469		2,690,832
Z914HKQ87	GFUND_11-1	1.97	06/10/17	3,413,081		5,761,814
Z91884AW8	ALBA_12-1	2.77	03/18/18	175,019		298,133
Z918LYN78	LEOFR 12-1	2.22	08/27/15	260,931		442,093
Z918R3ZX0	DARROWBY NO 1 PLC	2.22	10/06/15	290,425		492,358
				156,489,882		115,405,762
CMBS
05357HAA8	AVMT_13-AVM	3.87	12/07/20	6,200,000		6,452,278

Page 21


Cusip	Security Description	Coupon	Maturity	Par	Market Value
055236AA1	BAMLL_11-07C1	5.38	08/12/15	5,737,513		5,989,103
059500AD0	BACM	5.89	05/19/15	14,269,943		15,432,658
05950VAE0	BACM	5.36	10/26/16	2,400,000		2,551,776
05950WAF5	BANC OF AMERICA	5.63	05/02/15	4,500,000		4,868,235
059511AF2	BACM_07-2	5.55	09/25/15	1,246,159		1,367,921
059511AH8	BACM	5.61	05/10/18	2,550,000		2,817,725
07387BEB5	BSCMS	5.41	03/15/15	2,500,000		2,623,025
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA	5.54	06/22/15	2,493,042		2,722,652
07388NAG1	BEAR STEARNS COMMERCIAL MORTGA	5.60	06/09/31	8,025,000		7,619,521
07388PAE1	BSCMS	5.20	12/02/15	2,380,000		2,597,127
07401DAE1	BSCMS_07-PW18	5.60	02/19/16	10,118,288		11,312,145
12513EAG9	CD_07-CD4	5.22	11/30/14	797,904		837,735
12513XAH5	CITIGROUP/DEUTSCHE BANK COMMER	5.39	02/16/16	19,800,000		18,167,094
12513YAF7	CD_07-CD4	5.32	05/11/16	2,800,000		3,064,348
12513YAG5	CD_07-CD4	5.29	09/11/15	6,564,730		7,146,825
12527EAB4	CFCRE COMMERCIAL MORTAGE TRUST	3.76	08/15/15	535,000		559,487
12591KAF2	COMM_13-CR12	1.44	01/25/19	15,352,855		1,393,149
12591TAQ9	COMM_14-LC15	5.11	03/11/24	1,080,000		959,321
12591VAF8	COMM_14-CR16	-	05/09/19	20,000,000		1,622,806
126192AE3	COMM_12-LC4	4.06	10/26/21	1,000,000		1,038,630
12622DAA2	COMM_10-C1	3.16	11/04/15	8,863,663		9,086,673
12624KAE6	COMM	1.93	05/09/18	36,833,820		3,963,687
12624XAC2	COMM_13-CR6	2.62	08/17/20	750,000		735,720
12626GAF0	COMM_13-LC13	4.21	04/11/23	400,000		418,328
14986DAJ9	CITIGROUP/DEUTSCHE BANK COMMER	5.69	11/18/20	3,150,000		3,024,819
17310MAE0	CITIGROUP	5.43	02/17/16	2,026,000		2,209,859
17311QBL3	CGCMT_07-C6	5.69	11/10/15	5,805,624		6,441,049
17318UAD6	CITIGROUP COMMERCIAL MORTGAGE	3.02	11/12/20	500,000		488,015
17320DAG3	CGCMT_13-GC11	3.09	11/26/22	8,200,000		7,936,042
17321JAJ3	CGCMT_13-GC15	1.30	02/26/19	23,723,326		1,714,485
17321RAD8	CITIGROUP COMMERCIAL MORTGAGE	4.13	07/25/23	250,000		260,485
190749AE1	CWCAPITAL COBALT	5.22	07/10/15	4,959,306		5,320,293
19075CAD5	CWCI	5.48	09/13/15	3,149,265		3,457,011
19075DAF8	CWCI_07-C3	5.77	11/15/15	4,318,379		4,740,328
20047EAJ1	COMM	5.38	12/12/16	16,890,000		16,725,238
20047QAE5	COMM	5.77	04/18/15	3,823,923		4,151,289
20173QAE1	GCCFC	5.44	02/12/17	6,000,000		6,573,240
20173WAE8	CMLT	6.21	12/30/15	2,500,000		2,769,475
22545BAD3	CSMC_06-C2	5.64	03/30/15	3,521,201		3,799,587
22545DAD9	CREDIT SUISSE MORTGAGE CAPITAL	5.79	03/30/15	13,420,575		14,543,206
22545LAD1	CREDIT SUISSE MORTGAGE CAPITAL	5.31	07/25/15	3,000,000		3,250,050
22545LAH2	CREDIT SUISSE MORTGAGE CAPITAL	5.37	12/15/16	25,178,000		23,416,295
22545RAB2	CSMC	0.33	07/01/14	479,256		477,248
22545YAE1	CSMC_07-C2	5.53	09/30/15	4,566,922		4,916,063
22546BAF7	CSMC	5.70	12/05/18	3,212,000		3,544,538
225470AR4	CSFB	5.10	09/01/15	750,000		791,820
233050AN3	DBUBS_11-LC1	3.74	02/13/16	1,393,131		1,457,884
23306AAA8	DBRR_12-EZ1	0.95	06/03/14	1,069,036		1,069,089
3136A56W1	FNMA	2.98	12/18/17	1,700,000		1,688,024
3136A7MJ8	FNMA_12-M8	1.52	09/23/15	2,000,000		1,995,090
3136A7MK5	FNMA_12-M8	1.80	06/14/18	2,100,000		2,063,090
3136A9MN5	FNMA	2.30	02/22/18	200,000		188,259
3137ARPY6	FHMS_19-K710	1.88	03/25/19	10,700,000		10,586,773
3137ATRW4	FHLMC	2.37	04/05/22	5,000,000		4,793,790
3137AUPF0	FHLMC_K021	1.51	06/26/18	34,756,110		3,337,629
3137B2HN3	FHLMC_13-HN	3.11	01/11/23	16,000,000		15,976,640
36192BAA5	GSMSCII_12-GC6	2.16	03/20/18	14,776,819		1,720,598
36192KAW7	GNMA	2.59	08/16/18	18,342,791		2,309,651
36192PAJ5	GS MORTGAGE SECURITIES CORPORA	2.77	05/11/22	500,000		477,380
36197XAK0	GS MORTGAGE SECURITIES TRUST G	3.14	01/25/23	250,000		242,295
36198EAE5	GSMS_13-GC13	4.04	02/25/23	600,000		628,548
36252RAT6	GSMS_14-GC18	1.31	04/03/19	24,300,044		2,008,593

Page 22


Cusip	Security Description	Coupon	Maturity	Par	Market Value
396789LL1	GCCFC	5.22	11/25/14	2,400,000		2,515,728
46625YA37	JPMCC	5.50	01/27/16	5,100,000		4,958,669
46625YXT5	JPMCC	5.28	10/15/15	4,000,000		4,279,000
46629GAE8	JPMCC	5.55	05/12/15	13,525,288		14,606,364
46629PAC2	JPMCC	5.34	09/11/15	1,900,000		2,074,363
46629PAD0	JPMCC_06-LDP9	5.26	08/27/15	2,901,780		3,086,739
46629YAH2	JP MORGAN CHASE COMMERICAL MOR	5.50	02/26/17	22,975,154		22,762,381
46630EAC4	JPMCC	5.43	08/11/15	1,334,510		1,442,285
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR	5.42	05/06/16	6,250,000		6,854,500
46632HAD3	JPMCC	5.88	02/02/17	2,100,000		2,341,521
46635GAA8	JPMCC_2010-C2	2.75	12/12/15	529,467		544,345
46636VAC0	JPMCC_11-C5	4.17	03/09/19	1,000,000		1,060,880
46637WAD5	JPMCC_12-CBX	3.48	10/16/21	750,000		756,743
52108MFS7	LBUBS	5.66	03/15/15	705,905		756,038
52108MFT5	LBUBS_06-C3	5.64	03/15/15	4,283,186		4,629,481
55312VAD0	MLCFC_06-4	5.17	07/22/15	1,900,000		2,045,597
55312YAH5	MERRIL LYNCH COUNTRYWIDE	5.45	02/13/17	21,050,000		18,825,520
55312YAR3	MERRIL LYNCH COUNTRYWIDE	5.45	02/12/17	4,600,000		4,163,060
55312YBD3	MERRIL LYNCH COUNTRYWIDE	0.58	01/27/18	69,076,313		1,056,177
617451AF6	MORGAN STANLEY CAPITAL I MSCI_	5.23	11/18/14	284,545		296,920
617458AC8	MORGAN STANLEY CAPITAL	3.88	12/30/15	3,500,000		3,653,545
617459AD4	MORGAN STANLEY CAPITAL I	4.66	11/01/20	800,000		869,960
61745M5G4	MSC	4.89	11/14/14	497,369		517,432
61745ML43	MSC	5.27	05/28/14	1,179,839		1,186,753
61750CAF4	MSC_06-HQ9	5.73	04/04/15	2,208,163		2,396,453
61750WAX1	MSC	5.33	06/24/15	1,715,906		1,859,459
61753JAG4	MSC_07-IQ13	5.44	11/16/15	14,160,000		13,852,162
61761DAB8	MSBAM_12-C6	1.87	07/27/17	550,000		549,918
61763BAV6	MSBAM_13-C13	1.25	01/12/19	19,465,524		1,542,643
62888XAC8	NCUA	2.65	06/15/15	8,957,331		9,184,937
78408XAF8	SCGT_13-SRP1	3.41	11/26/16	6,500,000		6,500,566
90269CAD2	UBS-BARCLAYS COMMERCIAL MORTGA	3.53	01/10/22	350,000		351,656
90270YBF5	UBSBCMT_13-C5	3.18	09/05/22	500,000		486,540
90349DAJ1	COMMERCIAL MORTGAGE PASS-THROU	2.16	06/25/18	6,580,442		787,705
90349GAS4	UBSBB_13-C6	4.35	04/10/23	9,330,000		8,151,994
92890NAU3	WFRBS_12-C10	2.88	07/30/22	500,000		479,325
92930RAF9	WFRBS_12-C9	2.25	07/21/18	6,430,039		779,706
92935JBC8	WF-RBS_11-C2	4.87	12/15/20	750,000		825,300
92936TAB8	WF-RBS COMMERCIAL MORTGAGE TRU	3.43	01/16/22	500,000		502,090
92937EAD6	WF-RBS COMMERCIAL MORTGAGE TRU	3.04	08/15/22	319,000		309,079
92976BDT6	WBCMT	5.42	01/15/15	3,051,708		3,227,242
92976BLJ9	WBCMT	0.24	03/31/14	690,628		684,382
92976VAF5	WBCMT	5.72	01/01/16	1,500,000		1,634,685
92977QAH1	WBCMT	5.83	07/30/16	14,939,886		14,865,261
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG	6.01	05/07/15	1,250,000		1,364,137
92978MAJ5	WBCMT_06-C28	5.63	10/17/16	10,250,000		10,285,486
92978QAJ6	WBCMT	5.41	02/16/29	13,564,000		13,665,933
92978QBX4	WBCMT_07-C30	0.16	02/16/29	29,757,187		401,186
94988HAC5	WFCM_12-LC5	2.92	02/25/20	325,000		313,489
				777,097,792		486,727,071
Corporate Debt Securities - Financials
00084DAG5	ABN AMRO BANK NV	2.50	10/30/18	7,000,000		6,980,980
001055AH5	AFLAC INC	2.65	02/15/17	250,000		259,985
00163MAL8	PROLOGIS LP	4.50	08/15/17	250,000		268,920
002799AL8	ABBEY NATIONAL TREASURY SERVIC	3.05	08/23/18	7,900,000		8,125,157
002799AM6	ABBEY NATIONAL TREASURY SERVIC	1.38	03/13/17	3,600,000		3,600,486
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT	3.20	11/03/14	34,000,000		34,551,381
025816AW9	AMERICAN EXPRESS COMPANY	5.50	09/12/16	4,000,000		4,409,494
025816BG3	AMERICAN EXPRESS COMPANY	1.55	05/22/18	6,650,000		6,509,998
0258M0DA4	AMERICAN EXPRESS CREDIT CORPOR	2.75	09/15/15	11,500,000		11,843,863
0258M0DD8	AMERICAN EXPRESS CREDIT CORPOR	2.38	03/24/17	500,000		515,215
0258M0DK2	AMERICAN EXPRESS CREDIT CORPOR	2.13	03/18/19	9,000,000		8,996,594

Page 23


Cusip	Security Description	Coupon	Maturity	Par	Market Value
02687QBC1	AMERICAN INTERNATIONAL GROUP I	5.60	10/18/16	950,000		1,052,277
02687QDG0	AMERICAN INTERNATIONAL GROUP I	5.85	01/16/18	5,250,000		5,991,978
029912BD3	AMERICAN TOWER CORPORATION	4.50	01/15/18	250,000		270,189
03879QAA2	ARC PROPERTIES OPERATING PARTN	2.00	02/06/17	3,125,000		3,120,645
03879QAC8	ARC PROPERTIES OPERATING PARTN	3.00	01/06/19	100,000		99,582
046265AF1	ASTORIA FINANCIAL CORPORATION	5.00	05/19/17	100,000		107,237
052528AH9	AUST & NZ BANK GROUP	4.50	03/19/24	4,875,000		4,876,755
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN	1.45	05/15/18	300,000		293,349
05253JAE1	AUSTRALIA & NEW ZEALAND BANKIN	1.25	01/10/17	9,175,000		9,179,887
055299AK7	BBVA US SENIOR SA UNIPERSONAL	2.36	05/16/14	1,500,000		1,502,385
055299AL5	BBVA US SENIOR SA UNIPERSONAL	4.66	10/09/15	284,000		297,958
05531FAG8	BB&T CORP	3.20	02/16/16	425,000		443,119
05531FAL7	BB&T CORP	1.60	07/15/17	10,950,000		10,956,883
05567L7E1	BNP PARIBAS SA	2.38	09/14/17	500,000		510,251
05567LU54	BNP PARIBAS SA	3.60	02/23/16	1,580,000		1,659,647
05572FAA1	BNP PARIBAS COVERED BONDS SA	2.20	11/02/15	10,400,000		10,648,976
05574LPT9	BNP PARIBAS SA	2.70	08/20/18	2,660,000		2,713,831
05574LTX6	BNP PARIBAS SA	2.40	12/12/18	9,375,000		9,369,459
05574LXG8	BNP PARIBAS SA	1.38	03/17/17	8,950,000		8,943,454
05578BAB2	BPCE SA	2.50	12/10/18	7,425,000		7,420,617
05947KAK6	BANCO BRADESCO S.A.	2.34	05/16/14	1,600,000		1,600,519
060505DH4	BANK OF AMERICA CORP	6.00	09/01/17	8,775,000		9,950,147
060505DP6	BANK OF AMERICA CORP	5.75	12/01/17	4,000,000		4,523,070
06050TKN1	BANK OF AMERICA CORP	5.30	03/15/17	2,050,000		2,254,962
06050TLR1	BANK OF AMERICA CORP	1.13	11/14/16	1,500,000		1,493,952
06051GDX4	BANK OF AMERICA CORP	5.65	05/01/18	2,750,000		3,105,548
06051GDZ9	BANK OF AMERICA CORP	7.63	06/01/19	2,700,000		3,320,567
06051GEA3	BANK OF AMERICA CORP	6.50	08/01/16	6,200,000		6,933,605
06051GEB1	BANK OF AMERICA CORP	4.50	04/01/15	400,000		414,868
06051GEC9	BANK OF AMERICA CORP	5.63	07/01/20	4,500,000		5,104,535
06051GED7	BANK OF AMERICA CORP	3.70	09/01/15	11,100,000		11,532,963
06051GET2	BANK OF AMERICA CORP	2.00	01/11/18	2,100,000		2,092,171
06051GEX3	BANK OF AMERICA CORP	2.60	01/15/19	150,000		150,448
06051GFD6	BANK OF AMERICA CORP	2.65	04/01/19	4,000,000		4,018,139
06366QW86	BANK OF MONTREAL	2.50	01/11/17	2,050,000		2,120,851
06366RHA6	BANK OF MONTREAL	1.40	09/11/17	300,000		298,193
063679JJ4	BANK OF MONTREAL	2.63	01/25/16	6,000,000		6,224,220
063679ZT4	BANK OF MONTREAL	1.95	01/30/17	2,600,000		2,664,038
06406HBQ1	BANK OF NEW YORK MELLON CORP/T	2.95	06/18/15	250,000		257,304
06406HBX6	BANK OF NEW YORK MELLON CORP/T	2.30	07/28/16	250,000		257,906
06406HCA5	BANK OF NEW YORK MELLON CORP/T	2.40	12/17/16	1,523,000		1,573,708
06406HCP2	BANK OF NEW YORK MELLON CORP/T	2.10	12/15/18	250,000		247,598
064149C47	BANK OF NOVA SCOTIA TORONTO BR	2.05	10/07/15	200,000		204,556
064159AM8	BANK OF NOVA SCOTIA TORONTO BR	2.55	01/12/17	250,000		259,198
064159BA3	BANK OF NOVA SCOTIA TORONTO BR	0.75	10/09/15	250,000		250,796
064159BE5	BANK OF NOVA SCOTIA TORONTO BR	1.38	12/18/17	150,000		148,304
064159BV7	BANK OF NOVA SCOTIA TORONTO BR	0.95	03/15/16	100,000		100,485
064159CU8	BANK OF NOVA SCOTIA TORONTO BR	2.05	10/30/18	140,000		139,252
06415CAD1	BANK OF NOVA SCOTIA TORONTO BR	1.05	03/20/15	1,200,000		1,208,160
06415CAE9	BANK OF NOVA SCOTIA TORONTO BR	1.75	03/22/17	6,000,000		6,106,140
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L	3.85	01/22/15	8,000,000		8,194,717
064255AN2	BANK OF TOKYO-MITSUBISHI UFJ L	1.55	09/09/16	4,600,000		4,650,815
064255AQ5	BANK OF TOKYO-MITSUBISHI UFJ L	2.70	09/09/18	4,000,000		4,087,007
064255AW2	BANK OF TOKYO MITSUBISHI UFJ L	3.75	03/10/24	3,625,000		3,659,373
06675EAA8	BANQUE PSA FINANCE	3.38	04/04/14	850,000		850,003
06739FGF2	BARCLAYS BANK PLC	5.00	09/22/16	100,000		109,652
06739FHT1	BARCLAYS BANK PLC	2.50	02/20/19	10,950,000		10,968,398
06739GBB4	BARCLAYS BANK PLC	3.90	04/07/15	3,265,000		3,374,315
07330NAG0	BRANCH BKG & TR CO	1.05	12/01/16	3,000,000		2,993,554
073902PR3	BEAR STEARNS CO INC	6.40	10/02/17	4,500,000		5,189,661
073902RU4	BEAR STEARNS CO INC	7.25	02/01/18	13,800,000		16,435,919
12505JAA1	CBL & ASSOCIATES LP	5.25	09/01/23	3,500,000		3,624,447

Page 24


Cusip	Security Description	Coupon	Maturity	Par	Market Value
136069DM0	CANADIAN IMPERIAL BANK OF COMM	2.60	07/02/15	10,500,000		10,787,595
136069ET4	CANADIAN IMPERIAL BANK OF COMM	0.90	10/01/15	300,000		301,568
136069FA4	CANADIAN IMPERIAL BANK OF COMM	1.55	01/23/18	150,000		148,388
14040HAX3	CAPITAL ONE FINANCIAL CORP	3.15	07/15/16	200,000		208,963
14040HAY1	CAPITAL ONE FINANCIAL CORP	4.75	07/15/21	7,050,000		7,661,779
140420NE6	CAPITAL ONE BANK USA NA	2.15	11/21/18	1,950,000		1,931,828
140420NH9	CAPITAL ONE BANK USA NA	2.25	01/13/19	250,000		248,136
14042E3V0	CAPITAL ONE FIN CORP	1.50	03/22/18	100,000		97,862
172967BW0	CITIGROUP INC	4.88	05/07/15	500,000		520,959
172967DY4	CITIGROUP INC	5.50	02/15/17	250,000		276,217
172967ES6	CITIGROUP INC	6.13	05/15/18	13,500,000		15,529,091
172967EV9	CITIGROUP INC	8.50	05/22/19	4,000,000		5,086,078
172967EY3	CITIGROUP INC	6.38	08/12/14	471,000		480,891
172967GB1	CITIGROUP INC	2.25	08/07/15	250,000		254,511
172967GL9	CITIGROUP INC	3.38	03/01/23	5,000,000		4,801,853
172967HC8	CITIGROUP INC	2.50	09/26/18	5,000,000		5,031,110
172967HK0	CITIGROUP INC	1.35	03/10/17	1,950,000		1,944,386
20035CAB6	COMERICA BANK	5.20	08/22/17	250,000		273,860
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA	1.95	03/16/15	4,800,000		4,868,683
20271RAB6	COMMONWEALTH BANK OF AUSTRALIA	1.25	09/18/15	250,000		252,696
20271RAC4	COMMONWEALTH BANK OF AUSTRALIA	1.90	09/18/17	250,000		252,599
20272BAF1	COMMONWEALTH BANK OF AUSTRALIA	3.63	06/25/14	40,000,000		40,303,346
21685WBL0	RABOBANK NEDERLAND NV	2.13	10/13/15	5,000,000		5,120,872
21685WBT3	RABOBANK NEDERLAND NV	4.50	01/11/21	5,000,000		5,385,036
21686CAD2	RABOBANK NEDERLAND NV	3.38	01/19/17	4,850,000		5,135,376
21688AAA0	RABOBANK NEDERLAND NV	2.25	01/14/19	5,250,000		5,235,014
21987AAB6	CORPBANCA	3.13	01/15/18	200,000		196,000
22532LAJ3	CREDIT AGRICOLE SA	2.63	10/03/18	3,000,000		3,020,604
22532LAK0	CREDIT AGRICOLE SA	1.10	10/03/16	8,000,000		8,065,280
22541HCC4	CREDIT SUISSE NEW YORK NY	6.00	02/15/18	200,000		230,039
22966RAA4	CUBESMART	4.80	04/15/22	4,025,000		4,239,791
23317HAA0	DDR CORP	4.63	04/15/22	2,500,000		2,597,492
23329PAA8	DNB BANK ASA	3.20	04/03/17	5,275,000		5,532,767
24422EQF9	JOHN DEERE CAPITAL CORP	5.50	04/13/17	2,070,000		2,308,728
24422ERQ4	JOHN DEERE CAPITAL CORP	0.88	04/17/15	4,510,000		4,530,802
24422ERW1	JOHN DEERE CAPITAL CORP	1.20	10/10/17	200,000		198,082
24422ESF7	JOHN DEERE CAPITAL CORP	1.95	12/13/18	200,000		199,435
25152RVR1	DEUTSCHE BK LDN	1.40	02/13/17	150,000		149,872
25152RVS9	DEUTSCHE BK LDN	2.50	02/13/19	150,000		150,319
25155FAA4	DEUTSCHE ANNINGTON FINANCE BV	3.20	10/02/17	4,325,000		4,407,002
251591AU7	DDR CORP	7.50	04/01/17	150,000		171,640
2515A14E8	DEUTSCHE BK LDN	3.25	01/11/16	3,725,000		3,883,070
25215BAA1	DEXIA CREDIT LOCAL/NEW YORK	1.25	10/18/16	11,350,000		11,367,706
25466AAC5	DISCOVER BANK/GREENWOOD DE	2.00	02/21/18	250,000		248,024
25466AAD3	DISCOVER BANK/GREENWOOD DE	4.20	08/08/23	4,750,000		4,851,127
25600WAA8	DNB BOLIGKREDITT AS	2.10	10/14/15	1,200,000		1,227,672
25600WAB6	DNB BOLIGKREDITT AS	2.90	03/29/16	6,200,000		6,462,260
25600WAD2	DNB BOLIGKREDITT AS	1.45	03/21/18	900,000		890,802
26441YAM9	DUKE REALTY LP	5.95	02/15/17	300,000		330,079
26884AAX1	ERP OPER LP	5.75	06/15/17	300,000		338,043
316773CK4	FIFTH THIRD BANK	3.63	01/25/16	250,000		261,727
31677QAY5	FIFTH THIRD BANK	1.15	11/18/16	2,000,000		1,997,315
31677QAZ2	FIFTH THIRD BANK	0.75	10/18/16	2,000,000		2,007,500
345397VC4	FORD MOTOR CREDIT COMPANY LLC	8.00	12/15/16	5,510,000		6,452,410
345397VT7	FORD MOTOR CREDIT COMPANY LLC	5.00	05/15/18	8,250,000		9,109,764
345397VU4	FORD MOTOR CREDIT COMPANY LLC	5.88	08/02/21	3,000,000		3,447,841
345397WJ8	FORD MOTOR CREDIT COMPANY LLC	1.70	05/09/16	2,800,000		2,832,409
345397WL3	FORD MOTOR CREDIT COMPANY LLC	2.88	10/01/18	200,000		204,175
354613AH4	FRANKLIN RESOURCES INC	1.38	09/15/17	3,250,000		3,211,428
36962G2T0	GENERAL ELECTRIC CAP CORP	5.55	05/04/20	5,000,000		5,755,046
36962G3H5	GENERAL ELECTRIC CAP CORP	5.63	09/15/17	5,368,000		6,091,443
36962G3U6	GENERAL ELECTRIC CAP CORP	5.63	05/01/18	400,000		457,202

Page 25


Cusip	Security Description	Coupon	Maturity	Par	Market Value
36962G4C5	GENERAL ELECTRIC CAP CORP	5.90	05/13/14	700,000		704,431
36962G4D3	GENERAL ELECTRIC CAP CORP	6.00	08/07/19	4,000,000		4,694,007
36962G5M2	GENERAL ELECTRIC CAP CORP	2.15	01/09/15	6,725,000		6,820,159
36962G5N0	GENERAL ELECTRIC CAP CORP	2.90	01/09/17	750,000		783,811
36962G5W0	GENERAL ELECTRIC CAP CORP	2.30	04/27/17	5,000,000		5,145,466
36962G6K5	GENERAL ELECTRIC CAP CORP	1.60	11/20/17	6,000,000		6,010,479
36962G6M1	GENERAL ELECTRIC CAP CORP	1.00	12/11/15	5,725,000		5,766,262
36962G6R0	GENERAL ELECTRIC CAP CORP	1.00	01/08/16	3,780,000		3,804,439
369668AA6	GENERAL ELECTRIC CAP CORP	3.80	06/18/19	4,000,000		4,198,022
38141EA25	GOLDMAN SACHS GROUP INC	7.50	02/15/19	12,500,000		15,117,889
38141GEE0	GOLDMAN SACHS GROUP INC	5.35	01/15/16	450,000		483,762
38141GEG5	GOLDMAN SACHS GROUP INC	0.68	03/22/16	4,150,000		4,138,297
38141GEU4	GOLDMAN SACHS GROUP INC	5.63	01/15/17	250,000		276,031
38141GRC0	GOLDMAN SACHS GROUP INC	2.38	01/22/18	300,000		301,870
38143USC6	GOLDMAN SACHS GROUP INC	3.63	02/07/16	5,500,000		5,753,380
38145XAA1	GOLDMAN SACHS GROUP INC	2.63	01/31/19	100,000		99,827
38147MAA3	GOLDMAN SACHS GROUP INC	2.90	07/19/18	1,200,000		1,225,189
40411EAB4	BANK OF SCOTLAND PLC	5.25	02/21/17	21,805,000		24,186,979
40414LAJ8	HCP	4.25	11/15/23	5,000,000		5,096,706
40428HPG1	HSBC BANK USA INC	2.38	02/13/15	5,510,000		5,603,576
40428HPH9	HSBC BANK USA INC	1.63	01/16/18	250,000		247,648
40429CFN7	HSBC FINANCE CORPORATION	5.50	01/19/16	2,050,000		2,203,040
40429CGD8	HSBC FINANCE CORPORATION	6.68	01/15/21	7,500,000		8,742,784
40430LAA7	HSBC FINANCE CAPITAL TRUST IX	5.91	11/30/15	200,000		207,500
416518AA6	HARTFORD FINANCIAL SERVICES GR	4.00	10/15/17	300,000		322,205
42217KAZ9	HEALTH CARE REIT INC	2.25	03/15/18	3,500,000		3,491,693
44106MAH5	HOSPITALITY PROPERTIES TRUST	6.30	12/15/15	250,000		266,075
44107TAU0	HOST HOTELS & RESORTS LP	3.75	10/15/23	4,500,000		4,299,343
446438RF2	HUNTINGTON NATIONAL BANK THE	1.30	10/20/16	4,000,000		4,002,811
449786AL6	ING BANK NV	4.00	03/15/16	5,600,000		5,914,468
449786AQ5	ING BANK NV	3.75	03/07/17	3,000,000		3,187,616
449786AR3	ING BANK NV	2.00	09/25/15	6,500,000		6,606,110
45685EAE6	ING US INC	2.90	02/15/18	250,000		255,868
46115HAG2	INTESA SANPAOLO SPA	3.13	01/15/16	250,000		255,403
46115HAJ6	INTESA SANPAOLO SPA	3.88	01/16/18	250,000		256,755
46625HHS2	JPMORGAN CHASE & CO	4.40	07/22/20	3,925,000		4,228,472
46625HHX1	JPMORGAN CHASE & CO	3.45	03/01/16	4,075,000		4,260,714
46625HJA9	JPMORGAN CHASE & CO	3.15	07/05/16	600,000		626,264
46625HJL5	JPMORGAN CHASE & CO	1.63	05/15/18	2,450,000		2,406,829
46625HJS0	JPMORGAN CHASE & CO	0.87	01/28/19	10,525,000		10,515,106
472319AK8	JEFFERIES GROUP INC	5.13	04/13/18	300,000		325,673
47232MAA0	JEFFERIES FINANC	7.38	04/01/19	1,000,000		1,050,000
48121CYK6	JPMORGAN CHS BNK	6.00	10/01/17	5,000,000		5,692,771
48126EAA5	JPMORGAN CHASE & CO	2.00	08/15/17	9,775,000		9,860,936
49327M2A1	KEY BANK NATIONAL ASSOCIATION	1.65	02/01/18	7,150,000		7,010,517
49427RAH5	KILROY RELTY	4.80	04/15/18	200,000		214,937
49446RAH2	KIMCO REALTY CORPORATION	5.70	05/01/17	250,000		276,255
50050GAB4	KOOKMIN BANK	1.11	01/27/17	3,550,000		3,571,554
52206AAB6	LEASEPLAN CORPORATION NV	2.50	05/16/18	1,500,000		1,479,507
53944VAA7	LLOYDS TSB BANK PLC	2.30	11/27/18	1,000,000		999,415
539473AG3	LLOYDS TSB BANK PLC	4.88	01/21/16	150,000		160,822
539473AQ1	LLOYDS TSB BANK PLC	4.20	03/28/17	100,000		108,083
55608PAE4	MACQUARIE BANK LTD	1.65	03/24/17	2,725,000		2,725,767
564759QB7	MANUFACTURERS AND TRADERS TRUS	5.63	12/01/16	250,000		258,768
56501RAA4	MANULIFE FINANCIAL CORP	3.40	09/17/15	100,000		103,573
59018YJ69	MERRILL LYNCH & CO. INC.	6.40	08/28/17	5,000,000		5,734,833
59156RAR9	METLIFE INC	6.82	08/15/18	300,000		357,939
60688QAA3	MIZUHO CORPORATE BANK LTD	2.55	03/17/17	3,225,000		3,319,844
6174466Q7	MORGAN STANLEY	6.63	04/01/18	12,650,000		14,733,093
6174467U7	MORGAN STANLEY	2.13	04/25/18	1,500,000		1,496,042
617446V71	MORGAN STANLEY	6.25	08/28/17	10,500,000		12,010,081
61746SBR9	MORGAN STANLEY	5.38	10/15/15	7,000,000		7,466,277

Page 26


Cusip	Security Description	Coupon	Maturity	Par	Market Value
61747YCG8	MORGAN STANLEY	7.30	05/13/19	4,500,000		5,448,617
61747YDD4	MORGAN STANLEY	3.80	04/29/16	6,200,000		6,528,216
61747YDT9	MORGAN STANLEY	4.75	03/22/17	8,050,000		8,776,393
631103AE8	NASDAQ OMX GROUP INC /THE	5.25	01/16/18	250,000		273,168
63254AAA6	NATIONAL AUSTRALIA BANK LIMITE	2.00	03/09/15	2,845,000		2,887,831
63254AAB4	NATIONAL AUSTRALIA BANK LIMITE	2.75	03/09/17	400,000		416,313
6325C0CU3	NATIONAL AUSTRALIA BNK LIMITED	1.25	03/17/17	5,000,000		4,994,165
63307A2A2	NATIONAL BK OF CANADA	1.50	06/26/15	250,000		252,667
63307AAA3	NATIONAL BK OF CANADA	1.45	11/07/17	3,075,000		3,029,140
637432HT5	NATIONAL RURAL UTILITIES COOP	5.45	04/10/17	250,000		276,901
637432ML6	NATIONAL RURAL UTILITIES COOP	1.90	11/01/15	4,500,000		4,574,879
637432MW2	NATIONAL RURAL UTILITIES COOP	1.10	01/27/17	200,000		199,500
64952WBR3	NY LIFE GLOBAL FUNDING	1.13	03/01/17	5,500,000		5,483,421
65535HAD1	NOMURA HOLDINGS INC	2.00	09/13/16	250,000		252,454
65535HAG4	NOMURA HOLDINGS INC	2.75	03/19/19	3,000,000		2,977,522
65557CAH6	NORDEA BANK AB	1.25	04/04/17	2,780,000		2,772,272
65557FAF3	NORDEA BANK AB	0.70	05/13/16	5,000,000		5,018,100
686330AG6	ORIX CORP	3.75	03/09/17	100,000		105,350
693476AT0	PNC FUNDING CORP - GTD	5.25	11/15/15	350,000		372,865
693476BJ1	PNC FUNDING CORP - GTD	5.13	02/08/20	3,000,000		3,390,791
693476BL6	PNC FUNDING CORP - GTD	4.38	08/11/20	2,950,000		3,220,181
69349LAA6	PNC BANK NA	5.25	01/15/17	3,000,000		3,305,196
69349LAC2	PNC BANK NA	4.88	09/21/17	250,000		275,494
69349LAP3	PNC BANK NA	1.15	10/01/16	9,890,000		9,896,841
69371RK88	PACCAR FINANCIAL CORP	0.75	08/14/15	300,000		300,687
74153WCB3	PRICOA GLOBAL FUND	1.15	11/25/16	1,300,000		1,298,653
742651DS8	PRIVATE EXPORT FUNDING CORPORA	1.88	07/15/18	100,000		100,612
74432QAY1	PRUDENTIAL FINANCIAL INC	6.10	06/15/17	100,000		113,566
74432QBW4	PRUDENTIAL FINANCIAL INC	2.30	08/15/18	200,000		200,304
74977EPZ0	RABOBANK NEDERLAND NV	1.70	03/19/18	2,625,000		2,603,733
756109AJ3	REALTY INCOME CORP	5.95	09/15/16	200,000		219,697
78008S7D2	ROYAL BANK OF CANADA	2.20	07/27/18	300,000		302,059
78008SVD5	ROYAL BANK OF CANADA	1.50	01/16/18	250,000		247,143
78008TLB8	ROYAL BANK OF CANADA	2.30	07/20/16	600,000		619,799
780099CG0	ROYAL BANK OF SCOTLAND PLC THE	1.88	03/31/17	1,500,000		1,501,950
78009PCC3	ROYAL BANK OF SCOTLAND PLC	4.38	03/16/16	1,400,000		1,488,872
78010UBY2	ROYAL BANK OF CANADA	1.45	09/09/16	4,200,000		4,251,552
78010XAG6	ROYAL BANK OF SCOTLAND PLC	3.95	09/21/15	400,000		416,963
78011DAC8	ROYAL BANK OF CANADA	1.20	09/19/17	9,500,000		9,416,115
78403DAB6	SBA TOWER TRUST	5.10	04/15/42	5,300,000		5,672,484
78469BAA3	SPENCER SPIRIT HOLDINGS INC	9.00	05/01/14	750,000		766,875
80282KAB2	SANTANDER HOLDINGS USA INC	3.00	08/24/15	240,000		245,499
828807BM8	SIMON PROPERTY GROUP LP	5.10	06/15/15	400,000		420,929
828807CM7	SIMON PROPERTY GROUP LP	1.50	02/01/18	14,000,000		13,776,950
83368RAC6	SOCIETE GENERALE	2.75	10/12/17	350,000		360,350
84603MXU5	SOVEREIGN BANK	8.75	05/30/18	2,475,000		2,941,140
84650WAB2	SPAREBNK 1 BOLIG	2.63	05/27/16	200,000		207,402
84650WAD8	SPAREBNK 1 BOLIG	2.30	06/30/17	6,500,000		6,668,545
865622AU8	SUMITOMO MITSUI BANKING CORP	1.35	07/18/15	300,000		302,311
865622AV6	SUMITOMO MITSUI BANKING CORP	1.80	07/18/17	250,000		251,114
865622AY0	SUMITOMO MITSUI BANKING CORP	1.50	01/18/18	3,400,000		3,346,320
86787EAP2	SUNTRUST BANKS INC	1.35	01/15/17	2,500,000		2,500,653
86787GAG7	SUNTRUST BANK/ATLANTA GA	5.00	09/01/15	100,000		105,624
867914BE2	SUNTRUST BANKS INC	3.50	12/20/16	250,000		263,272
86960BAB8	SVENSKA HANDELSBANKEN AB	2.88	04/04/17	5,000,000		5,196,949
86960BAC6	SVENSKA HANDELSBANKEN AB	1.63	03/21/18	250,000		246,220
86960BAD4	SVENSKA HANDELSBANKEN AB	0.68	03/21/16	2,500,000		2,510,025
86960BAE2	SVENSKA HANDELSBANKEN AB	2.50	01/25/19	250,000		251,319
87020LAA4	SWEDBANK HYPOTEK AB	2.95	03/28/16	8,100,000		8,462,394
87020PAA5	SWEDBANK AB	2.13	09/29/17	3,525,000		3,563,601
87020PAC1	SWEDBANK AB	1.75	03/12/18	8,025,000		7,915,201
891145LV4	TORONTO-DOMINION BANK/THE	2.20	07/29/15	1,250,000		1,279,325

Page 27


Cusip	Security Description	Coupon	Maturity	Par	Market Value
89114QAE8	TORONTO-DOMINION BANK/THE	2.38	10/19/16	2,050,000		2,126,597
89114QAG3	TORONTO-DOMINION BANK/THE	1.40	04/30/18	200,000		196,377
89114QAM0	TORONTO-DOMINION BANK/THE	2.63	09/10/18	150,000		153,881
90261XBY7	UBS AG	5.88	07/15/16	185,000		204,068
90261XEM0	UBS AG	5.88	12/20/17	291,000		332,337
90261XGD8	UBS AG	4.88	08/04/20	5,500,000		6,070,250
90264AAA7	UBS PD FD TST IV	6.24		250,000		265,000
90520EAC5	UNION BANK NA	3.00	06/06/16	7,800,000		8,138,712
90520EAE1	UNION BANK NA	2.13	06/16/17	3,400,000		3,452,340
90520GAA4	UNION BANK NA	5.95	05/11/16	250,000		275,165
90521APH5	UNION BANK NA	1.50	08/26/16	4,070,000		4,115,110
90521APJ1	UNION BANK NA	2.63	08/26/18	6,700,000		6,820,894
91159HHB9	US BANCORP	2.20	10/14/16	150,000		154,565
91159HHD5	US BANCORP	1.65	04/15/17	4,000,000		4,041,548
91159HHF0	US BANCORP	0.73	10/15/18	8,625,000		8,640,697
91529YAG1	UNUM GROUP	7.13	09/30/16	250,000		284,079
92277GAA5	VENTAS REALTY LP/CAP CRP	1.55	09/26/16	3,017,000		3,036,152
92928QAB4	WEA FINANCE LLC	4.63	02/10/21	4,000,000		4,370,353
929903DT6	WACHOVIA CORP	5.75	06/15/17	17,300,000		19,632,912
949746NX5	WELLS FARGO & COMPANY	5.63	12/11/17	5,000,000		5,703,527
949746QU8	WELLS FARGO & COMPANY	3.68	06/15/16	350,000		371,158
94974BEV8	WELLS FARGO & COMPANY	4.60	04/01/21	3,150,000		3,467,079
94974BFD7	WELLS FARGO & COMPANY	2.10	05/08/17	250,000		256,213
94974BFE5	WELLS FARGO & COMPANY	1.50	07/01/15	5,020,000		5,077,308
94974BFG0	WELLS FARGO & COMPANY	1.50	01/16/18	350,000		346,635
959802AR0	WESTERN UNION CO/THE	2.88	12/10/17	250,000		253,456
961214BV4	WESTPAC BANKING CORP	2.00	08/14/17	4,125,000		4,188,370
961214BY8	WESTPAC BANKING CORP	0.95	01/12/16	3,000,000		3,016,450
961214BZ5	WESTPAC BANKING CORP	1.60	01/12/18	250,000		248,061
961214CD3	WESTPAC BANKING CORP	1.05	11/25/16	2,000,000		1,997,926
BRSAC4WT8	WAHA AEROSPACE BV	3.93	07/28/20	682,500		721,061
LX119765	RBS WORLDPAY	0.00	11/29/19	1,000,000		1,007,000
LX118061	SI ORGANIZATION INC	5.50	11/22/16	95,921		93,603
LX123354	DJO FINANCE LLC/DJO FINANCE CO	4.75	09/15/17	2,082,959		2,086,865
LX126290	CUNNINGHAM LINDSEY GROUP INC	5.00	12/10/19	1,222,261		1,226,845
LX126463	WALL STREET SYSTEM HOLDINGS IN	5.75	10/24/19	1,372,625		1,379,488
LX126492	CONFIE SEGUROS HOLDING II CO	6.50	11/09/18	1,816,122		1,811,581
LX126494	CONFIE SEGUROS HOLDING II CO	10.25	05/08/19	250,000		251,250
LX127072	ALLIANT INSURANCE SERVICES INC	4.25	12/20/19	1,613,384		1,619,434
LX128186	OCWEN LOAN SERVICING LLC	5.00	02/15/18	1,772,125		1,778,740
LX128305	TRANS UNION LLC/ TRANS UNION F	4.25	02/10/19	2,123,983		2,125,975
LX128480	ASURION LLC	5.00	05/24/19	1,805,947		1,808,707
LX128959	CGSC OF DELAWARE HOLDINGS CORP	5.00	04/16/20	848,588		840,102
LX128960	CGSC OF DELAWARE HOLDINGS CORP	8.25	10/16/20	400,000		389,000
LX129005	CAPITAL AUTOMOTIVE	4.00	04/10/19	1,486,181		1,489,897
LX129269	CAPITAL AUTOMOTIVE	6.00	04/30/20	1,000,000		1,028,750
LX129282	NUVEEN INVESTMENTS INC	4.15	05/13/17	466,202		467,222
LX129283	NUVEEN INVESTMENTS INC	6.50	02/28/19	1,136,000		1,137,420
LX130505	AMERICAN STOCK TRANSFER & TRUS	5.75	06/26/20	2,477,721		2,481,852
LX131403	LARCHMONT RESOURCES LLC	8.25	07/31/19	183,000		186,660
LX132571	HUB INTERNATIONAL LIMITED	4.75	10/02/20	1,990,000		1,993,980
LX132856	SEARS ROEBUCK ACCEPTANCE CORP/	5.50	06/30/18	239,400		240,296
LX133463	ASCENSUS INC	9.00	12/11/20	750,000		765,938
LX133991	AMERICAN BEACON ADVISORS INC	4.75	11/20/19	758,100		761,891
LX134289	WALTER INVESTMENT MANAGEMENT C	4.75	12/18/20	3,990,000		3,963,818
LX134044	WALKER & DUNLOP LLC	5.50	12/11/20	897,750		906,728
LX134433	IPREO HOLDINGS LLC	5.00	08/07/17	1,104,165		1,111,066
LX134763	ABG INTERMEDIATE HOLDINGS 2 LL	6.00	06/20/19	1,246,875		1,262,461
LX134946	CONNOLLY HOLDINGS INC	5.00	01/29/21	1,995,000		2,012,456
LX134879	ARDEN GRP, INC.	5.25	02/19/20	1,000,000		995,000
LX135848	REALOGY CORP	3.75	03/05/20	3,081,985		3,094,184
G63255AA4	MUFG CAPITAL FINANCE 1 LTD	6.35	07/25/16	350,000		381,500

Page 28


Cusip	Security Description	Coupon	Maturity	Par	Market Value
G7302VAN4	QNB FINANCE LTD	1.49	10/31/16	7,000,000		7,054,040
G7S86ZBZ9	ROYAL BANK OF SCOTLAND PLC	9.50	03/16/17	800,000		937,616
LX133725	REDTOP ACQUISITION LTD	4.50	12/03/20	1,550,000		1,563,563
N4R205LL4	ING BANK NV	4.13	11/21/18	3,000,000		3,007,950
Y4864WAG4	KOREA EXCHANGE BANK	4.88	01/14/16	2,000,000		2,121,480
				1,050,027,795		1,097,649,304
Corporate Debt Securities - Industrials
00037BAA0	ABB FINANCE USA INC	1.63	05/08/17	250,000		251,092
00206RAV4	AT&T INC	2.50	08/15/15	4,925,000		5,042,294
00206RBC5	AT&T INC	1.60	02/15/17	6,000,000		6,043,740
00206RBM3	AT&T INC	1.40	12/01/17	8,450,000		8,345,278
00206RCA8	AT&T INC	2.38	11/27/18	250,000		251,117
002447AA8	AWAS AVIATION CAPITAL LTD	7.00	10/18/14	20,506		21,223
00287YAG4	ABBVIE INC	1.20	11/06/15	200,000		201,650
00287YAJ8	ABBVIE INC	1.75	11/06/17	550,000		551,714
00287YAK5	ABBVIE INC	2.00	11/06/18	3,400,000		3,371,424
00289VAB9	ABENGOA FINANCE SAU	7.75	02/01/20	1,000,000		1,057,363
00817YAK4	AETNA INC	1.75	04/15/17	500,000		503,250
00817YAL2	AETNA INC	1.50	11/15/17	3,000,000		2,986,612
00846UAC5	AGILENT TECH INC	6.50	11/01/17	100,000		115,558
009363AN2	AIRGAS INC	1.65	02/15/18	100,000		97,667
013817AL5	ALCOA INC	5.55	02/01/17	250,000		271,938
018490AP7	ALLERGAN INC/UNITED STATES	1.35	03/15/18	950,000		919,110
02154CAC7	ALTICE FINANCING SA	6.50	12/15/19	325,000		343,958
02154EAB5	ALTICE FINANCING SA	8.13	12/15/21	675,000		729,281
02209SAD5	ALTRIA GROUP INC	9.70	11/10/18	300,000		394,485
023135AH9	AMAZON.COM INC	1.20	11/29/17	150,000		148,242
02364WBC8	AMERICA MOVIL SA DE CV	2.38	09/08/16	300,000		309,010
02665WAC5	AMERICAN HONDA FINANCE CORPORA	2.13	10/10/18	200,000		200,793
02666QD75	AMERICAN HONDA FINANCE CORPORA	7.63	10/01/18	1,803,000		2,217,041
02666QM26	AMERICAN HONDA FINANCE CORPORA	1.60	02/16/18	1,690,000		1,675,335
03027XAD2	AMERICAN TOWER CORPORATION	5.00	02/15/24	6,500,000		6,806,445
031162AX8	AMGEN INC	6.15	06/01/18	3,500,000		4,060,603
031162AZ3	AMGEN INC	5.70	02/01/19	250,000		289,743
031162BF6	AMGEN INC	2.30	06/15/16	150,000		153,746
031162BL3	AMGEN INC	2.50	11/15/16	3,000,000		3,113,810
031162BQ2	AMGEN INC	2.13	05/15/17	100,000		102,206
032095AC5	AMPHENOL CORPORATION	2.55	01/30/19	6,725,000		6,714,860
032511AX5	ANADARKO PETROLEUM CORP	5.95	09/15/16	2,350,000		2,615,068
032511BH9	ANADARKO PETROLEUM CORP	6.38	09/15/17	200,000		228,854
034863AA8	ANGLO AMERICAN CAPITAL PLC	9.38	04/08/14	5,480,000		5,487,288
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE	4.13	01/15/15	4,055,000		4,169,594
03523TBA5	ANHEUSER-BUSCH INBEV WORLDWIDE	2.88	02/15/16	6,000,000		6,242,066
03523TBM9	ANHEUSER-BUSCH INBEV WORLDWIDE	0.80	07/15/15	100,000		100,280
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE	1.38	07/15/17	5,000,000		5,008,756
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I	1.25	01/17/18	500,000		491,712
035242AE6	ANHEUSER-BUSCH INBEV FINANCE I	2.15	02/01/19	200,000		199,880
037411AS4	APACHE CORP	5.63	01/15/17	5,900,000		6,539,886
037833AH3	APPLE INC	0.45	05/03/16	9,625,000		9,605,095
037833AJ9	APPLE INC	1.00	05/03/18	450,000		437,555
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY	5.45	03/15/18	2,884,000		3,273,156
042735BB5	ARROW ELECTRONICS INC	3.00	03/01/18	75,000		76,129
046353AB4	ASTRAZENECA PLC	5.90	09/15/17	300,000		344,503
05351LAA5	AVANTI COMMUNICATIONS GROUP PL	10.00	10/01/18	750,000		778,253
054303AU6	AVON PRODUCTS INC	5.75	03/01/18	150,000		162,459
054303AY8	AVON PRODUCTS INC	2.38	03/15/16	5,600,000		5,700,622
05530QAD2	BAT INTL FIN PLC	1.40	06/05/15	3,510,000		3,533,312
05542YAA7	B COMMUNICATIONS LTD	7.38	02/15/20	750,000		787,500
055451AP3	BHP BILLITON FINANCE LTD	1.63	02/24/17	250,000		252,799
05565QBH0	BP CAPITAL MARKETS PLC	3.88	03/10/15	3,490,000		3,604,475
05565QBN7	BP CAPITAL MARKETS PLC	3.13	10/01/15	175,000		181,503
05565QBY3	BP CAPITAL MARKETS PLC	1.85	05/05/17	7,300,000		7,402,614

Page 29


Cusip	Security Description	Coupon	Maturity	Par	Market Value
05565QCE6	BP CAPITAL MARKETS PLC	1.38	05/10/18	500,000		489,227
05565QCG1	BP CAPITAL MARKETS PLC	2.24	09/26/18	16,000,000		16,121,410
056752AC2	BAIDU INC	3.25	08/06/18	200,000		203,632
071813BH1	BAXTER INTERNATIONAL INC.	0.95	06/01/16	200,000		200,558
071813BJ7	BAXTER INTERNATIONAL INC.	1.85	06/15/18	250,000		248,662
093645AG4	BLOCK COMMUNICATIONS INC.	7.25	02/01/17	750,000		798,750
09664PAC6	BOART LONGYEAR MANAGEMENT PTY	10.00	10/01/18	500,000		518,750
097023BC8	BOEING CO	3.75	11/20/16	150,000		160,138
101137AM9	BOSTON SCIENTIFIC CORP	2.65	10/01/18	6,200,000		6,241,195
110122AS7	BRISTOL-MYERS SQUIBB CO	0.88	08/01/17	100,000		98,908
111021AJ0	BRITISH TELECOMMUNICATIONS PLC	1.25	02/14/17	250,000		249,436
111021AK7	BRITISH TELECOMMUNICATIONS PLC	2.35	02/14/19	200,000		199,148
111320AD9	BROADCOM CORP	2.38	11/01/15	200,000		204,978
118230AL5	BUCKEYE PARTNERS	2.65	11/15/18	250,000		248,778
120568AV2	BUNGE LIMITED FINANCE CORP	3.20	06/15/17	300,000		310,832
124857AH6	CBS CORP	1.95	07/01/17	200,000		202,332
12623TAC2	CNPC GENERAL CAPITAL LTD	1.45	04/16/16	950,000		948,843
12626PAG8	CRH AMERICA INC.	6.00	09/30/16	250,000		278,243
126408GM9	CSX CORPORATION	6.25	03/15/18	300,000		347,846
126650BE9	CVS CAREMARK CORP	6.13	08/15/16	250,000		278,335
126650BQ2	CVS CAREMARK CORP	6.94	07/24/23	1,873,758		2,222,465
126650CA6	CVS CAREMARK CORP	1.20	12/05/16	2,500,000		2,514,513
126650CB4	CVS CAREMARK CORP	2.25	11/05/18	250,000		250,405
127055AJ0	CABOT CORP	2.55	01/15/18	150,000		150,737
12800UAL4	LA CAISSE CENTRALE DESJARDINS	1.60	03/06/17	6,000,000		6,084,780
13342BAK1	CAMERON INTERNATIONAL CORP	1.15	12/15/16	63,000		63,017
134429AV1	CAMPBELL SOUP COMPANY	3.05	07/15/17	200,000		209,382
136375BY7	CANADIAN NTL RAIL CO	0.44	11/06/15	2,525,000		2,525,025
136385AK7	CANADIAN NATURAL RESOURCES LTD	5.70	05/15/17	250,000		281,251
14149YAG3	CARDINAL HEALTH INC	4.00	06/15/15	200,000		207,583
141781AY0	CARGILL INC	4.31	05/14/21	1,250,000		1,328,002
141781BA1	CARGILL INC	1.90	03/01/17	6,000,000		6,088,824
141781BB9	CARGILL INC	3.30	03/01/22	4,000,000		3,940,860
143658AY8	CARNIVAL CORP	1.88	12/15/17	250,000		249,963
14912L5D9	CATERPILLAR INC	1.10	05/29/15	250,000		251,845
14912L5E7	CATERPILLAR INC	1.63	06/01/17	6,200,000		6,256,448
14912L5H0	CATERPILLAR INC	0.70	11/06/15	5,550,000		5,562,362
14912L5J6	CATERPILLAR INC	1.25	11/06/17	150,000		148,274
14912L5T4	CATERPILLAR INC	2.45	09/06/18	150,000		152,764
14912L5Z0	CATERPILLAR INC	1.00	03/03/17	200,000		198,910
14987BAD5	CC HLD V	2.38	12/15/17	100,000		100,532
14987BAE3	CC HLD V	3.85	04/15/23	1,000,000		966,117
151020AG9	CELGENE CORPORATION	1.90	08/15/17	300,000		301,757
166764AA8	CHEVRON CORP	1.10	12/05/17	350,000		345,922
166764AE0	CHEVRON CORP	1.72	05/24/18	300,000		299,693
17275RAC6	CISCO SYSTEMS INC	5.50	02/22/16	3,125,000		3,413,214
17275RAK8	CISCO SYSTEMS INC	3.15	03/14/17	2,500,000		2,638,744
17275RAN2	CISCO SYSTEMS INC	3.63	03/04/24	4,050,000		4,090,260
17275RAR3	CISCO SYSTEMS INC	2.13	03/01/19	2,300,000		2,295,929
17275RAT9	CISCO SYSTEMS INC	1.10	03/03/17	200,000		199,998
18683KAF8	CLIFFS NATURAL RESOURCES INC	3.95	01/15/18	250,000		252,331
191216AU4	COCA-COLA COMPANY (THE)	1.80	09/01/16	400,000		410,139
191216BD1	COCA-COLA COMPANY (THE)	0.75	11/01/16	2,000,000		1,996,952
191216BF6	COCA-COLA COMPANY (THE)	1.65	11/01/18	250,000		246,910
19416QDN7	COLGATE-PALMOLIVE CO	3.15	08/05/15	150,000		155,253
20030NAL5	COMCAST CORP	5.90	03/15/16	7,500,000		8,251,535
20030NAP6	COMCAST CORP	6.50	01/15/17	400,000		457,369
20030NAR2	COMCAST CORP	5.88	02/15/18	4,900,000		5,640,928
205363AM6	COMPUTER SCIENCES CORP	2.50	09/15/15	111,000		113,384
205887BP6	CONAGRA FOODS INC.	1.30	01/25/16	66,000		66,487
205887BQ4	CONAGRA FOODS INC.	1.90	01/25/18	225,000		223,004
20825CAR5	CONOCOPHILLIPS	5.75	02/01/19	250,000		291,561

Page 30


Cusip	Security Description	Coupon	Maturity	Par	Market Value
20825TAA5	CONOCO INC	5.63	10/15/16	100,000		112,049
20826FAB2	CONOCOPHILLIPS CO	1.05	12/15/17	250,000		246,848
21079UAA3	CONTINENTAL AIRLINES 2009 2 PA	7.25	05/10/21	4,130,383		4,791,245
21079VAA1	UAL_12-2A	4.75	07/12/22	2,065,208		2,209,773
22160KAD7	COSTCO WHSLE CORP	0.65	12/07/15	200,000		200,637
22160KAE5	COSTCO WHSLE CORP	1.13	12/15/17	6,150,000		6,078,060
22303QAG5	COVIDIEN INTERNATIONAL FINANCE	6.00	10/15/17	250,000		287,137
22303QAK6	COVIDIEN INTERNATIONAL FINANCE	2.80	06/15/15	10,800,000		11,054,362
22822RAZ3	CROWN CASTLE TOWERS LLC	4.88	08/15/40	5,250,000		5,692,523
233851AT1	DAIMLER FINANCE NORTH AMERICA	1.25	01/11/16	5,590,000		5,633,122
235851AL6	DANAHER CORPORATION	2.30	06/23/16	200,000		206,881
237194AG0	DARDEN RESTAURANTS INC	6.20	10/15/17	150,000		168,249
24422ERN1	JOHN DEERE CAPITAL CORP	1.40	03/15/17	500,000		499,419
247361ZH4	DELTA AIR LINES INC	4.95	09/18/17	116,140		126,012
24736TAA5	DELTA AIR LINES INC	7.75	06/17/21	1,326,228		1,545,055
249030AB3	DENTSPLY INTL INC.	2.75	08/15/16	1,475,000		1,526,906
25156PAN3	DEUTSCHE TELEKOM INTERNATIONAL	6.00	07/08/19	4,250,000		4,976,961
25179MAJ2	DEVON ENERGY CORPORATION	2.40	06/15/16	2,000,000		2,059,163
25179MAM5	DEVON ENERGY CORPORATION	1.88	04/15/17	300,000		303,059
25179MAT0	DEVON ENERGY CORPORATION	2.25	11/15/18	3,200,000		3,193,850
25243YAM1	DIAGEO CAPITAL PLC	5.75	10/23/17	250,000		285,956
25243YAR0	DIAGEO CAPITAL PLC	1.50	05/11/17	3,000,000		3,015,457
25243YAS8	DIAGEO CAPITAL PLC	0.63	04/29/16	3,190,000		3,178,394
25459HAV7	DIRECTV HOLDINGS LLC	3.13	02/15/16	1,840,000		1,912,690
25459HBE4	DIRECTV HOLDINGS LLC	2.40	03/15/17	550,000		561,685
25468PCG9	WALT DISNEY COMPANY (THE)	6.00	07/17/17	150,000		170,989
25468PCS3	WALT DISNEY COMPANY (THE)	1.13	02/15/17	250,000		250,456
25468PCV6	WALT DISNEY COMPANY (THE)	1.10	12/01/17	6,100,000		6,030,420
256677AB1	DOLLAR GENERAL CORP	1.88	04/15/18	200,000		196,944
263534BT5	EI DU PONT DE NEMOURS & CO	6.00	07/15/18	200,000		232,601
268648AP7	EMC CORP	1.88	06/01/18	250,000		248,824
26882PAX0	ERAC USA FINANCE LLC	6.20	11/01/16	2,810,000		3,163,250
26882PBB7	ERAC USA FINANCE LLC	6.38	10/15/17	750,000		863,496
26884TAK8	ERAC USA FINANCE LLC	2.80	11/01/18	3,000,000		3,060,531
277432AM2	EASTMAN CHEMICAL COMPANY	2.40	06/01/17	300,000		306,162
278062AA2	EATON CORPORATION	0.95	11/02/15	100,000		100,647
278062AB0	EATON CORPORATION	1.50	11/02/17	250,000		248,956
278642AD5	EBAY INC.	0.70	07/15/15	250,000		250,539
278642AG8	EBAY INC.	1.35	07/15/17	2,900,000		2,898,102
278865AK6	ECOLAB INC	3.00	12/08/16	300,000		315,028
291011AZ7	EMERSON ELECTRIC CO	4.13	04/15/15	100,000		103,771
29379VAA1	ENTERPRISE PRODUCTS OPERATING	6.30	09/15/17	910,000		1,046,581
29379VAR4	ENTERPRISE PRODUCTS OPERATING	3.70	06/01/15	1,860,000		1,921,793
29379VAX1	ENTERPRISE PRODUCTS OPERATING	1.25	08/13/15	622,000		625,949
302182AF7	ARISTOTLE HOLDING INC	3.13	05/15/16	1,865,000		1,949,621
30219GAC2	ARISTOTLE HOLDING INC	3.50	11/15/16	450,000		477,118
30231GAA0	EXXON MOBIL CORP	0.92	03/15/17	125,000		124,712
30231GAD4	EXXON MOBIL CORP	1.82	03/15/19	300,000		299,095
30249UAA9	FMC TECHNOLOGIES INC	2.00	10/01/17	1,650,000		1,648,322
31620MAJ5	FIDELITY NATIONAL INFORMATION	2.00	04/15/18	293,000		286,928
337738AG3	FISERV INC	6.80	11/20/17	50,000		58,221
337738AK4	FISERV INC	3.13	06/15/16	200,000		208,979
345397VP5	FORD MOTOR CREDIT COMPANY LLC	6.63	08/15/17	200,000		230,365
345397WB5	FORD MOTOR CREDIT COMPANY LLC	4.21	04/15/16	200,000		212,152
345397WC3	FORD MOTOR CREDIT COMPANY LLC	2.75	05/15/15	250,000		255,203
345397WD1	FORD MOTOR CREDIT COMPANY LLC	3.00	06/12/17	200,000		207,609
35177PAU1	ORANGE SA	2.13	09/16/15	200,000		203,156
35671DBD6	FREEPORT-MCMORAN COPPER & GOLD	2.38	03/15/18	9,120,000		9,117,211
361448AP8	GATX CORP	2.38	07/30/18	93,000		91,535
362251AA8	GRD HOLDING III CORP	10.75	06/01/17	1,000,000		1,100,000
369550AV0	GENERAL DYNAMICS CORP	1.00	11/15/17	200,000		194,205
369604BE2	GENERAL ELECTRIC CO	0.85	10/09/15	4,675,000		4,696,806

Page 31


Cusip	Security Description	Coupon	Maturity	Par	Market Value
37476RAA5	GIBSON BRANDS INC	8.88	08/01/17	1,000,000		1,063,750
375558AQ6	GILEAD SCIENCES INC	4.50	01/01/21	2,500,000		2,731,639
377372AD9	GLAXOSK CAP INC	5.65	05/15/18	350,000		401,600
377373AB1	GLAXOSMITHKLINE CAPITAL PLC	0.75	05/08/15	250,000		250,874
377373AC9	GLAXOSMITHKLINE CAPITAL PLC	1.50	05/08/17	7,500,000		7,545,387
378272AE8	GLENCORE FUNDING LLC	1.60	01/15/19	2,250,000		2,242,800
380956AC6	GOLDCORP INC.	2.13	03/15/18	150,000		148,771
381131AA9	GOLDEN NUGGET ESCROW INC	8.50	12/01/19	500,000		508,125
406216BB6	HALLIBURTON COMPANY	1.00	08/01/16	3,135,000		3,146,581
406216BC4	HALLIBURTON COMPANY	2.00	07/01/18	150,000		150,042
41283LAC9	HARLEY-DAVIDSON FINANCIAL	1.15	09/15/15	3,560,000		3,568,625
427093AH2	HERCULES OFFSHORE INC	7.50	10/01/19	365,000		371,388
428236AS2	HEWLETT-PACKARD CO	5.50	03/01/18	150,000		168,038
428236BC6	HEWLETT-PACKARD CO	2.13	09/13/15	300,000		306,201
428236BP7	HEWLETT-PACKARD CO	3.00	09/15/16	5,950,000		6,214,312
428236BW2	HEWLETT-PACKARD CO	2.60	09/15/17	250,000		257,262
428236BY8	HEWLETT-PACKARD CO	2.75	01/14/19	1,000,000		1,008,351
437076AP7	HOME DEPOT INC	5.40	03/01/16	350,000		381,898
438516AS5	HONEYWELL INTERNATIONAL INC	5.30	03/15/17	150,000		167,804
448055AC7	HUSKY ENERGY INC.	6.20	09/15/17	100,000		114,386
452308AU3	ILLINOIS TOOL WORKS INC	1.95	03/01/19	3,500,000		3,466,986
456866AS1	INGERSOLL-RAND COMPANY	4.75	05/15/15	30,000		31,258
45687AAK8	INGERSOLL-RAND GLOBAL HOLDING	2.88	01/15/19	150,000		151,755
458140AH3	INTEL CORP	1.95	10/01/16	6,100,000		6,277,938
458140AL4	INTEL CORP	1.35	12/15/17	9,625,000		9,573,007
459200GM7	INTERNATIONAL BUSINESS MACHINE	7.63	10/15/18	200,000		247,667
459200GX3	INTERNATIONAL BUSINESS MACHINE	1.95	07/22/16	350,000		360,002
459200HD6	INTERNATIONAL BUSINESS MACHINE	0.75	05/11/15	6,700,000		6,723,595
459200HK0	INTERNATIONAL BUSINESS MACHINE	1.25	02/08/18	300,000		296,501
459200HT1	INTERNATIONAL BUSINESS MACHINE	1.95	02/12/19	100,000		99,341
460146CA9	INTERNATIONAL PAPER COMPANY	7.95	06/15/18	300,000		366,036
460690BJ8	INTERPUBLIC GRP OF CO INC	2.25	11/15/17	100,000		100,937
46122XAA1	INTREPID AVIATION GROUP HOLDIN	6.88	02/15/18	1,000,000		1,030,383
462651AA8	IRACORE INTERNATIONAL HOLDINGS	9.50	06/01/17	1,000,000		1,066,250
478160BF0	JOHNSON & JOHNSON	0.70	11/28/16	190,000		190,151
478160BG8	JOHNSON & JOHNSON	1.65	12/05/18	200,000		199,166
478366AZ0	JOHNSON CONTROLS INC.	2.60	12/01/16	200,000		206,621
481165AF5	JOY GLOBAL INC.	6.00	11/15/16	150,000		163,281
487836BE7	KELLOGG COMPANY	3.25	05/21/18	250,000		261,103
487836BH0	KELLOGG COMPANY	1.75	05/17/17	150,000		151,002
494368BB8	KIMBERLY-CLARK CORPORATION	6.13	08/01/17	250,000		287,978
494550BG0	KINDER MORGAN ENERGY PARTNERS	3.50	03/01/16	5,955,000		6,226,483
500472AB1	ROYAL PHILIPS ELECTRONICS N.V.	5.75	03/11/18	200,000		228,202
50075NAV6	MONDELEZ INTERNATIONAL INC	6.13	08/23/18	185,000		214,469
50075NBB9	MONDELEZ INTERNATIONAL INC	4.13	02/09/16	150,000		158,910
50076QAK2	KRAFT FOODS GROUP INC	1.63	06/04/15	500,000		505,214
50076QAX4	KRAFT FOODS GROUP INC	6.13	08/23/18	5,000,000		5,830,628
501044CM1	KROGER CO (THE)	3.90	10/01/15	300,000		314,071
502413BB2	L-3 COMMUNICATIONS CORP	3.95	11/15/16	150,000		160,054
50540RAK8	LABORATORY CORP OF AMER HLDGS	2.20	08/23/17	150,000		151,371
539830AX7	LOCKHEED MARTIN CORPORATION	2.13	09/15/16	150,000		154,306
544152AF8	LORILLARD TOBACCO CO	2.30	08/21/17	150,000		153,049
548661CY1	LOWE’S COS INC	1.63	03/15/17	300,000		303,865
552081AG6	LYONDELLBASELL INDUSTRIES NV	5.00	01/15/19	4,000,000		4,432,976
552081AK7	LYONDELLBASELL INDUSTRIES NV	5.75	01/15/24	3,000,000		3,441,461
552676AR9	MDC HOLDINGS INC	5.50	10/15/23	4,675,000		4,768,500
559417AA8	MAGNETATION LLC / MAGNETATION	11.00	05/15/18	1,000,000		1,117,500
565849AJ5	MARATHON OIL CORP	0.90	11/01/15	150,000		150,354
577081AX0	MATTEL INC	1.70	03/15/18	100,000		98,141
58013MEB6	MCDONALDS CORP	5.80	10/15/17	100,000		114,616
58013MEE0	MCDONALDS CORP	5.35	03/01/18	150,000		170,579
58013MEP5	MCDONALDS CORP	0.75	05/29/15	100,000		100,368

Page 32


Cusip	Security Description	Coupon	Maturity	Par	Market Value
581557AY1	MCKESSON CORP	0.95	12/04/15	2,100,000		2,100,353
581557BB0	MCKESSON CORP	1.29	03/10/17	100,000		99,919
581557BD6	MCKESSON CORP	2.28	03/15/19	200,000		199,263
58155QAC7	MCKESSON CORP	3.25	03/01/16	6,750,000		7,021,878
58155QAF0	MCKESSON CORP	1.40	03/15/18	2,300,000		2,235,513
585055AU0	MEDTRONIC INC	2.63	03/15/16	200,000		207,386
585055BA3	MEDTRONIC INC	1.38	04/01/18	1,400,000		1,379,109
586053AA8	MEMORIAL RESOURCE DEVELOPMENT	10.00	12/15/14	450,000		463,500
58933YAB1	MERCK & CO INC	2.25	01/15/16	400,000		410,353
58933YAD7	MERCK & CO INC	0.70	05/18/16	150,000		150,286
58933YAG0	MERCK & CO INC	1.30	05/18/18	150,000		147,185
594064AA5	MICHAEL BAKER INTERNATIONAL LL	8.25	10/15/17	1,000,000		1,067,500
594918AG9	MICROSOFT CORP	1.63	09/25/15	300,000		304,849
594918AP9	MICROSOFT CORP	0.88	11/15/17	200,000		196,581
626717AE2	MURPHY OIL CORP	2.50	12/01/17	100,000		101,473
628530AW7	MYLAN INC/PA	1.80	06/24/16	2,455,000		2,491,131
628530AX5	MYLAN INC/PA	2.60	06/24/18	1,500,000		1,512,997
63946BAD2	NBCUNIVERSAL MEDIA LLC	5.15	04/30/20	3,000,000		3,380,332
63946BAH3	NBCUNIVERSAL MEDIA LLC	2.88	01/15/23	5,000,000		4,822,076
654740AF6	NISSAN MOTOR ACCEPTANCE CORP	2.65	09/26/18	4,550,000		4,605,266
655844BB3	NORFOLK SOUTHERN CORPORATION	5.75	01/15/16	350,000		380,118
664784AA3	NORTHERN BLIZZARD RESOURCES IN	7.25	02/01/20	1,000,000		1,027,500
66989HAC2	NOVARTIS CAPITAL CORP	2.90	04/24/15	300,000		307,980
674599CD5	OCCIDENTAL PETROLEUM CORPORATI	1.50	02/15/18	250,000		247,270
675757AA6	ODEBRECHT DRILL VIII/IX	6.35	06/30/20	1,800,000		1,865,250
68268NAF0	ONEOK PARTNERS LP	3.25	01/01/16	975,000		1,013,138
68268NAH6	ONEOK PARTNERS LP	2.00	07/01/17	3,070,000		3,086,404
68389XAC9	ORACLE CORP	5.75	04/15/18	1,370,000		1,577,980
68389XAN5	ORACLE CORP	1.20	10/15/17	3,300,000		3,274,996
68402LAC8	ORACLE CORP	5.25	01/15/16	100,000		108,280
685218AA7	ORANGE SA	2.75	02/06/19	2,850,000		2,887,107
705010AB2	PEARSON DOLLAR FINANCE TWO PLC	6.25	05/06/18	2,000,000		2,280,835
709599AC8	PENSKE TRUCK LEASING CO	3.13	05/11/15	1,825,000		1,867,081
709599AJ3	PENSKE TRUCK LEASING CO	2.50	03/15/16	9,225,000		9,503,241
709629AC3	PENTAIR FINANCE SA	1.35	12/01/15	150,000		151,264
713448CA4	PEPSICO INC	0.70	08/13/15	500,000		500,734
713448CB2	PEPSICO INC	1.25	08/13/17	500,000		499,009
714264AD0	PERNOD-RICARD SA	4.45	01/15/22	7,000,000		7,310,995
714294AA3	PERRIGO CO LTD	1.30	11/08/16	3,450,000		3,453,539
716473AC7	PETROFAC LTD	3.40	10/10/18	5,500,000		5,605,731
71647NAC3	PETROBRAS INT BRASPETRO BV	2.00	05/20/16	2,900,000		2,880,024
71647NAG4	PETROBRAS INT BRASPETRO BV	3.25	03/17/17	5,600,000		5,626,658
716495AL0	PETROHAWK ENERGY	7.25	08/15/14	175,000		185,500
717081DD2	PFIZER INC	0.90	01/15/17	3,500,000		3,475,064
718172AA7	PHILIP MORRIS INTERNATIONAL IN	5.65	05/16/18	12,750,000		14,614,554
718172AJ8	PHILIP MORRIS INTERNATIONAL IN	2.50	05/16/16	6,000,000		6,228,433
718172AS8	PHILIP MORRIS INTERNATIONAL IN	1.13	08/21/17	7,753,000		7,674,958
718546AC8	PHILLIPS 66	4.30	04/01/22	5,500,000		5,814,435
718546AE4	PHILLIPS 66	1.95	03/05/15	2,600,000		2,631,647
723787AE7	PIONEER NAT RES CO	5.88	07/15/16	250,000		275,767
723787AG2	PIONEER NAT RES CO	6.65	03/15/17	2,720,000		3,095,469
72447XAC1	PITNEY BOWES INC.	5.75	09/15/17	53,000		59,546
72650RAX0	PLAINS ALL AMERICAN PIPELINE L	3.95	09/15/15	250,000		261,262
73755LAG2	POTASH CORP OF SASKATCHEWAN IN	3.75	09/30/15	2,275,000		2,371,839
73755LAJ6	POTASH CORPORATION OF SASKETCH	3.25	12/01/17	100,000		105,011
74005PBE3	PRAXAIR INC	0.75	02/21/16	300,000		300,101
740189AK1	PRECISION CASTPARTS CORP	1.25	01/15/18	150,000		147,407
742718DQ9	PROCTER & GAMBLE COMPANY	3.15	09/01/15	1,315,000		1,360,527
742718DS5	PROCTER & GAMBLE COMPANY	1.80	11/15/15	200,000		203,902
742718ED7	PROCTER & GAMBLE COMPANY	0.75	11/04/16	3,000,000		2,996,948
742718EE5	PROCTER & GAMBLE COMPANY	1.60	11/15/18	250,000		248,417
747262AN3	QVC INC	3.13	04/01/19	3,000,000		3,020,993

Page 33


Cusip	Security Description	Coupon	Maturity	Par	Market Value
74837RAH7	QUICKSILVER RESOURCES INC	5.98	06/21/19	500,000		494,375
74913GAT2	QWEST CORP	6.50	06/01/17	200,000		226,000
75040PAQ1	RADIO ONE, INC.	9.25	02/15/19	750,000		795,000
751212AA9	RALPH LAUREN CORP	2.13	08/26/18	5,325,000		5,291,560
75405UAB2	RAS LAFFAN LNG 3	5.83	09/30/16	224,000		239,616
761713AV8	REYNOLDS AMERICAN INC	1.05	10/30/15	83,000		83,218
767201AC0	RIO TINTO FINANCE (USA) LTD	6.50	07/15/18	125,000		146,918
767201AF3	RIO TINTO FINANCE (USA) LTD	8.95	05/01/14	7,075,000		7,121,695
767201AJ5	RIO TINTO FINANCE (USA) LTD	1.88	11/02/15	3,200,000		3,255,024
76720AAE6	RIO TINTO FINANCE (USA) PLC	1.63	07/21/17	200,000		200,425
76720AAL0	RIO TINTO FINANCE (USA) PLC	1.38	06/17/16	100,000		100,879
76720AAM8	RIO TINTO FINANCE (USA) PLC	2.25	12/14/18	150,000		149,978
774341AD3	ROCKWELL COLLINS INC.	0.58	12/15/16	4,950,000		4,952,723
776696AD8	ROPER IND, INC.	1.85	11/15/17	100,000		99,027
78355HJR1	RYDER SYSTEM INC.	3.50	06/01/17	5,875,000		6,166,114
78355HJS9	RYDER SYSTEM INC.	2.50	02/01/17	350,000		356,930
78387GAL7	AT&T INC	5.63	06/15/16	600,000		660,240
78413KAA0	SES GLOBAL AMERICAS HOLDING GP	2.50	03/25/19	8,675,000		8,645,538
78572MAD7	SABMILLER PLC	6.50	07/01/16	6,250,000		6,997,606
790849AH6	ST JUDE MEDICAL INC	2.50	01/15/16	5,000,000		5,140,741
801060AB0	SANOFI SA	1.25	04/10/18	5,538,000		5,417,493
806854AA3	SCHLUMBERGER GER INV	1.95	09/14/16	1,950,000		1,990,862
80685PAC2	SCHLUMBERGER NORGE AS	1.95	09/14/16	2,700,000		2,749,986
811065AA9	SCRIPPS NETWORKS INTERACTIVE I	2.70	12/15/16	150,000		156,217
822582AH5	SHELL INTERNATIONAL FINANCE BV	3.25	09/22/15	750,000		779,346
824348AP1	SHERWIN-WILLIAMS COMPANY (THE)	1.35	12/15/17	100,000		98,818
844741AX6	SOUTHWEST AIRLINES CO.	5.13	03/01/17	250,000		273,660
855244AE9	STARBUCKS CORP	0.88	12/05/16	107,000		106,536
871503AG3	SYMANTEC CORP	2.75	09/15/15	100,000		102,758
871503AJ7	SYMANTEC CORP	2.75	05/15/17	100,000		102,472
871829AL1	SYSCO CORP	5.25	02/12/18	250,000		281,122
872882AC9	TSMC GLOBAL LTD	1.63	04/03/18	3,100,000		3,008,519
87612EAS5	TARGET CORPORATION	6.00	01/15/18	200,000		229,731
878742AX3	TECK RESOURCES LIMITED	2.50	02/01/18	150,000		150,199
87938WAJ2	TELEFONICA EMISIONES SAU	4.95	01/15/15	8,500,000		8,764,520
87938WAN3	TELEFONICA EMISIONES SAU	3.99	02/16/16	100,000		104,871
87938WAQ6	TELEFONICA EMISIONES SAU	3.19	04/27/18	350,000		358,457
88165FAC6	TEVA PHARMAC FIN	2.40	11/10/16	300,000		309,383
882508AR5	TEXAS INSTRUMENTS INCORPORATED	2.38	05/16/16	250,000		259,033
883556BA9	THERMO FISHER SCIENTIFIC INC	2.25	08/15/16	3,250,000		3,341,917
883556BD3	THERMO FISHER SCIENTIFIC INC	1.30	02/01/17	1,275,000		1,268,628
884903BN4	THOMSON REUTERS CORP	1.30	02/23/17	107,000		106,455
88579YAE1	3M CO	1.00	06/26/17	300,000		297,814
887317AJ4	TIME WARNER INC	3.15	07/15/15	2,850,000		2,938,227
88732JAH1	TIME WARNER CABLE INC	5.85	05/01/17	250,000		281,594
88732JAL2	TIME WARNER CABLE INC	6.75	07/01/18	300,000		351,580
88732JAS7	TIME WARNER CABLE INC	8.25	04/01/19	1,000,000		1,249,304
89152UAG7	TOTAL CAPITAL S.A.	2.13	08/10/18	250,000		252,622
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA	1.50	02/17/17	250,000		252,965
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA	1.55	06/28/17	6,500,000		6,551,328
89153VAD1	TOTAL CAPITAL INTERNATIONAL SA	0.75	01/25/16	4,550,000		4,560,508
89233P4B9	TOYOTA MOTOR CREDIT CORP	3.20	06/17/15	2,409,000		2,486,478
89233P6D3	TOYOTA MOTOR CREDIT CORP	1.75	05/22/17	500,000		506,743
89233P6J0	TOYOTA MOTOR CREDIT CORP	0.88	07/17/15	150,000		150,663
89233P7E0	TOYOTA MOTOR CREDIT CORP	1.38	01/10/18	200,000		197,538
89378TAB9	TRANSNET LTD	4.50	02/10/16	5,950,000		6,232,670
893830AS8	TRANSOCEAN INC	6.00	03/15/18	250,000		277,843
893830BA6	TRANSOCEAN INC	5.05	12/15/16	250,000		272,328
90131HAA3	NEWS AMERICA HOLDINGS	4.00	10/01/23	5,600,000		5,699,679
902133AF4	TYCO ELECTRONICS GROUP SA	6.55	10/01/17	250,000		287,077
90333LAJ1	US CONCRETE INC	8.50	12/01/15	750,000		810,000
903436AA1	US AIRWAYS GROUP INC	7.13	05/27/20	2,590,489		3,014,682

Page 34


Cusip	Security Description	Coupon	Maturity	Par	Market Value
90345WAD6	US AIRWAYS P-T TR	4.63	09/29/21	1,445,023		1,513,662
904764AP2	UNILEVER CAPITAL CORP	0.85	08/02/17	6,275,000		6,156,775
913017BU2	UNITED TECH CORP	1.80	06/01/17	15,175,000		15,433,135
91324PBJ0	UNITEDHEALTH GROUP INCORPORATE	6.00	02/15/18	300,000		344,334
91324PBY7	UNITEDHEALTH GROUP INCORPORATE	1.40	10/15/17	2,725,000		2,710,017
918370AB3	VTR FINANCE BV	6.88	01/15/22	1,000,000		1,036,250
91911TAF0	VALE OVERSEAS LIMITED	6.25	01/11/16	300,000		325,684
91913YAM2	VALERO ENERGY CORPORATION	6.13	06/15/17	350,000		398,340
92343VAY0	VERIZON COMMUNICATIONS INC	3.00	04/01/16	13,900,000		14,497,139
92343VBD5	VERIZON COMMUNICATIONS INC	2.00	11/01/16	250,000		255,974
92343VBF0	VERIZON COMMUNICATIONS INC	1.10	11/01/17	250,000		245,575
92343VBN3	VERIZON COMMUNICATIONS INC	2.50	09/15/16	17,109,000		17,730,061
92343VBP8	VERIZON COMMUNICATIONS INC	3.65	09/14/18	1,350,000		1,437,727
92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR	8.50	11/15/18	4,000,000		5,072,764
92553PAB8	VIACOM INC	6.13	10/05/17	1,326,000		1,518,806
92553PAG7	VIACOM INC	3.50	04/01/17	250,000		265,294
92553PAS1	VIACOM INC	2.50	09/01/18	40,000		40,598
92857WAP5	VODAFONE GROUP PLC	5.63	02/27/17	9,675,000		10,855,292
92857WBE9	VODAFONE GROUP PLC	1.50	02/19/18	3,200,000		3,148,382
928670AJ7	VOLKSWAGEN INTERNATIONAL FINAN	1.63	03/22/15	5,510,000		5,565,794
931142BY8	WAL-MART STORES INC	4.50	07/01/15	250,000		262,664
931142CX9	WAL-MART STORES INC	1.50	10/25/15	9,000,000		9,148,819
931142DE0	WAL-MART STORES INC	0.60	04/11/16	5,400,000		5,409,825
931142DF7	WAL-MART STORES INC	1.13	04/11/18	500,000		489,945
931422AH2	WALGREEN CO	3.10	09/15/22	4,925,000		4,734,510
931422AJ8	WALGREEN CO	1.80	09/15/17	250,000		252,008
94106LAX7	WASTE MANAGEMENT INC	2.60	09/01/16	150,000		155,936
942683AG8	ACTAVIS PLC	1.88	10/01/17	4,950,000		4,932,468
947074AJ9	WEATHERFORD INTL INC	6.35	06/15/17	300,000		339,511
947075AD9	WEATHERFORD INTERNATIONAL LTD	6.00	03/15/18	1,347,000		1,518,456
94770VAF9	WEBMD HEALTH CORP	2.50	01/31/18	1,450,000		1,456,235
94770VAH5	WEBMD HEALTH CORP	2.25	03/31/16	1,280,000		1,292,109
94973VAK3	WELLPOINT INC	5.25	01/15/16	250,000		269,207
94973VBC0	WELLPOINT INC	1.88	01/15/18	250,000		249,198
950840AC2	WESFARMERS LTD	1.87	03/20/18	825,000		817,839
958254AC8	WESTERN GAS PARTNERS LP	2.60	07/15/18	3,750,000		3,769,565
963320AP1	WHIRLPOOL CORP	1.35	03/01/17	2,585,000		2,573,211
96950HAD2	WILLIAMS PARTNERS LP	7.25	02/01/17	250,000		287,987
977255AD0	WISE METALS GROUP LLC/WISE ALL	8.75	06/15/18	700,000		750,750
982526AR6	WM WRIGLEY JR CO	1.40	10/21/16	1,800,000		1,814,036
982526AV7	WM WRIGLEY JR CO	2.90	09/21/19	5,000,000		5,057,436
983024AJ9	WYETH	5.50	02/15/16	300,000		325,269
983919AG6	XILINX, INC.	2.13	03/15/19	5,000,000		4,958,511
984121BQ5	XEROX CORPORATION	6.75	02/01/17	2,500,000		2,819,507
984121CF8	XEROX CORPORATION	2.95	03/15/17	250,000		259,996
98417EAU4	XSTRATA FINANCE CANADA LTD	2.70	10/25/17	8,705,000		8,829,410
98419MAA8	XYLEM INC/NY	3.55	09/20/16	4,475,000		4,720,054
98978VAG8	ZOETIS INC	1.88	02/01/18	2,550,000		2,541,727
LX091129	FEDERAL MOGUL CORP	2.07	12/29/14	531,070		528,415
LX091130	FEDERAL MOGUL CORP	2.16	12/28/15	1,115,863		1,110,284
LX098754	CLEAR CHANNEL COMMUN, INC.	3.88	01/29/16	1,521		1,489
LX113966	ARAMARK CORPORATION	3.49	07/26/16	8,639		8,628
LX114037	AFFINION GROUP	6.75	10/09/16	994,828		979,905
LX114499	ASPECT SOFTWARE INC	7.25	05/07/16	1,462,025		1,482,128
LX114885	CITGO PETROLEUM CORPORATION	9.00	06/30/17	1,000,500		1,009,254
LX115668	ENERGY SOLUTIONS LLC (DURATEK	6.75	08/15/16	504,610		507,133
LX116781	COMMUNITY HLTH SYST INC	3.47	01/25/17	4		4
LX118104	US TELEPACI	5.75	02/23/17	1,848,370		1,862,232
LX118296	CALPINE CORP	4.00	04/01/18	1,734,906		1,739,002
LX118451	BROCK HOLDINGS III INC	6.00	03/16/17	1,201,866		1,208,376
LX118449	BROCK HOLDINGS III INC	10.00	03/14/18	750,000		759,060
LX118573	FIRST DATA CORP	4.15	03/23/18	3,661,168		3,667,681

Page 35


Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX118921	SENSUS METERING	8.50	05/11/18	750,000		752,813
LX119275	TOYS R US DELAWR	5.25	05/25/18	360,624		299,769
LX119943	BARBRI INC	6.00	07/17/19	1,303,899		1,303,899
LX121943	AZ CHEM US	4.23	12/22/17	1,298,384		1,306,499
LX123218	EMI MUSIC PUBLISHING LTD	3.75	06/29/18	220,558		220,788
LX122827	CAESARS ENTERTAINMENT OPERATIN	5.49	01/28/18	260,000		245,172
LX123371	PROTECTION ONE, INC.	4.25	03/21/19	906,516		905,949
LX123555	TOYS R US DELAWR	5.25	05/25/18	154,167		128,151
LX123690	GOODYEAR TIRE & RUBBER CO	4.75	04/30/19	1,930,000		1,936,031
LX123462	TELESAT CANADA	3.00	03/28/17	1,496,250		1,350,522
LX123563	CONTAINER STORE/THE	5.50	04/06/19	1,727,449		1,729,609
LX124057	ARCH COAL INC.	6.25	05/16/18	721,337		710,405
LX124065	NOVELL, INC.	7.25	11/24/17	2,042,869		2,055,126
LX124101	MISYS PLC	7.25	12/12/18	2,983,533		3,010,573
LX123772	THERMASYS CORP	5.25	05/03/19	760,375		757,207
LX126129	GETTY IMAGES INC.	4.75	10/18/19	442,457		423,791
LX126142	CENTERPLATE INC	4.75	11/26/19	2,000,000		2,010,000
LX126037	TRANSTAR HOLDING COMPANY	5.75	10/09/18	1,523,714		1,506,572
LX126185	CDR DB SUB INC	5.03	10/11/19	1,944,162		1,948,416
LX126084	HARVARD DRUG GROUP LLC /THE	4.24	08/16/20	3,066,046		3,088,085
LX126298	EVERGREEN ACQCO 1 LP	5.00	07/09/19	1,994,950		1,999,937
LX126385	TRUVEN HEALTH ANALYTICS INC	4.50	06/06/19	879,405		870,611
LX126444	INSIGHT GLOBAL INC	5.25	10/31/19	4,558,384		4,586,874
LX126292	CUNNINGHAM LINDSEY INTERMEDIAT	9.25	06/10/20	500,000		500,000
LX126872	CHESAPEAKE ENERGY CORP	5.75	12/02/17	2,110,000		2,155,827
LX126821	ACADEMY SPORTS & OUTDOORS INC	4.50	08/03/18	1,492,424		1,496,388
LX126919	ARDENT MEDICAL	6.75	07/02/18	3,584,608		3,584,608
LX126714	CHG HEALTHCARE SERVICES INC	9.00	11/19/20	173,804		175,977
LX127395	SEQUA CORP	5.25	06/19/17	2,371,054		2,314,742
LX127406	SUNGARD DATA SYST INC.	4.50	01/31/20	544,500		544,330
LX127048	SAGE PRODUCTS HOLDINGS III LLC	9.25	06/13/20	100,000		102,250
LX127540	ALCATEL-LUCENT USA INC	4.50	01/30/19	3,695,362		3,709,881
LX127081	HEARTLAND DENTAL CARE INC	9.75	06/20/19	200,000		203,500
LX128124	RENFRO CORP	5.75	01/30/19	1,817,620		1,813,076
LX128279	UNIFRAX I LLC	4.25	11/28/18	452,668		453,908
LX128258	PHARMACEUTICAL PRODUCT DEV, IN	4.00	12/05/18	2,067,914		2,071,362
LX127861	ATI HOLDINGS LLC	5.25	12/20/19	1,741,184		1,760,772
LX128323	RITE AID CORP	5.75	08/21/20	520,000		531,180
LX128350	FREESCALE SEMICONDUCTOR INC	5.00	02/28/20	1,712,063		1,715,987
LX128049	CROSSMARK HOLDINGS INC	7.73	12/21/20	750,000		748,125
LX128407	SABRE INC	3.48	02/19/19	2,514,713		2,514,167
LX128317	WASH MULTI-FAMILY LAUNDRY SYST	4.50	02/21/19	2,984,925		2,992,387
LX128438	SHERIDAN HLDGS	4.50	06/29/18	994,966		1,000,563
LX128346	ADVANTAGE SALES & MARKETING IN	4.25	12/12/17	994,969		998,286
LX128560	STATION CASINOS LLC	4.25	03/02/20	2,737,350		2,740,772
LX128601	TOTAL SAFETY US INC	5.75	03/13/20	2,002,312		2,004,815
LX128751	TOTAL SAFETY US INC	9.25	09/13/20	324,188		324,188
LX128623	MERRILL COMMUNICATIONS LLC	7.50	03/08/18	2,238,282		2,256,468
LX128825	PHILADELPHIA ENERGY SOLUTIONS	6.25	04/04/18	1,192,975		1,047,829
LX128704	ENCOMPASS DIGITAL MEDIA INC	6.75	08/10/17	2,040,837		2,053,592
LX129011	UTEX IND	4.50	04/10/20	1,243,734		1,245,808
LX128870	HEINZ H. J. COMPANY	3.50	06/05/20	1,994,975		2,005,199
LX128985	PANDA TEMPLE POWER II LLC	7.25	04/03/19	1,060,000		1,089,150
LX128933	WIDEOPENWEST FINANCE LLC	4.75	04/01/19	1,571,594		1,573,559
LX128970	LTS BUYER LLC	4.00	04/13/20	2,235,612		2,231,421
LX128973	LTS BUYER LLC	8.00	04/12/21	368,368		373,587
LX128482	ALG BV	10.25	02/28/20	750,000		757,500
LX129162	AFFINIA GROUP	4.75	04/25/20	729,488		731,311
LX129151	FIRST DATA CORP	4.15	09/24/18	1,000,000		1,001,250
LX129228	SECURUS TECHNOLOGIES HOLDINGS	4.75	04/30/20	1,243,750		1,239,086
LX129276	SECURUS TECHNOLOGIES HOLDINGS	9.00	04/30/21	500,000		500,625
LX129663	COINMACH SERVICE CORP	4.25	11/14/19	3,089,756		3,085,894

Page 36


Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX129587	LEARNING CARE GROUP US NO 2 IN	6.00	05/08/19	1,763,379		1,768,890
LX129569	TEINE ENERGY LTD	7.50	05/17/19	1,393,341		1,410,758
LX129621	JC PENNEY CORPORATION INC	6.00	05/22/18	1,741,838		1,731,604
LX129627	SUPERVALU INC.	3.73	03/21/19	2,146,084		2,147,760
LX129608	PRIMEDIA INC.	6.25	05/29/20	2,307,538		2,267,156
LX129823	ARYSTA LIFESCIENCE SPC LLC	4.50	05/29/20	2,109,400		2,112,916
LX129824	ARYSTA LIFESCIENCE SPC LLC	8.25	11/30/20	680,000		692,750
LX130210	CLEAR CHANNEL COMMUN, INC.	6.90	01/30/19	2,158,288		2,110,806
LX129836	AUGUST US HOLDING CO INC	5.00	04/27/18	1,246,306		1,251,758
LX130123	ONEX CARESTREAM FINANCE LP	5.00	06/07/19	2,668,229		2,689,194
LX130126	ONEX CARESTREAM FINANCE LP	9.50	12/07/19	213,981		218,439
LX130228	QUICKSILVER RESOURCES INC	7.00	06/21/19	1,945,000		1,935,275
LX130470	TWCC HOLDING CORP	7.00	06/26/20	460,000		446,200
LX130250	CTI FOODS HOLDING CO LLC	4.50	06/29/20	2,303,425		2,303,425
LX130462	TRAVELPORT	6.25	06/26/19	2,037,461		2,082,454
LX130495	EMERALD EXPOSITIONS HOLDING IN	5.25	06/17/20	2,705,599		2,724,763
LX130765	FOUR SEASONS HOLDINGS INC	6.25	12/28/20	675,000		684,281
LX130583	AMR CORPORATION	3.75	06/27/19	1,037,156		1,039,749
LX130609	VALEANT PHARMACEUTICALS INTERN	3.75	08/05/20	1,558,672		1,564,673
LX130780	TRIPLE POINT TECHNOLOGY INC	5.25	07/10/20	1,900,450		1,786,423
LX131184	ALTICE FINANCING SA	4.73	07/02/19	2,723,175		2,775,937
LX131356	USIC HOLDINGS INC	4.00	07/10/20	2,033,394		2,035,935
LX131812	CONTINENTAL BUILDING PRODUCTS	4.75	08/28/20	3,009,875		3,011,756
LX130254	BMC SOFTWARE FINANCE INC	5.00	09/10/20	2,962,575		2,962,931
LX131658	BOYD GAMING CORP	4.00	08/14/20	1,994,987		1,995,486
LX131877	FORESIGHT ENERGY LLC	5.50	08/21/20	2,966,347		2,984,887
LX131482	BALLY TECHNOLOGIES INC	4.25	11/25/20	2,656,650		2,667,409
LX131913	LEVEL 3 FINANCING INC	4.00	01/15/20	2,000,000		2,002,500
LX131918	ZEST ANCHORS LLC	6.50	08/16/20	1,492,500		1,492,500
LX131914	ACTIVISION BLIZZARD INC	3.25	10/12/20	1,856,025		1,854,854
LX132463	CPG INTERNATIONAL INC	4.75	09/30/20	3,731,250		3,733,582
LX132660	VALEANT PHARMACEUTICALS INTERN	3.75	02/13/19	1,352,020		1,355,883
LX132801	HILTON WORLDWIDE FINANCE LLC	3.50	10/26/20	2,900,000		2,903,625
LX132456	FIELDWOOD ENERGY LLC	3.88	09/28/18	1,596,977		1,597,833
LX132457	FIELDWOOD ENERGY LLC	8.38	09/30/20	1,515,000		1,573,165
LX132564	PACIFIC IND SRVCS BIDCO/SPOTLE	8.75	04/02/19	475,000		486,281
LX132784	DELL INC	4.50	04/29/20	3,541,125		3,513,239
LX133060	CITYCENTER HOLDINGS LLC	5.00	10/16/20	3,970,050		3,995,689
LX132924	HUDSONS BAY CO	4.75	11/04/20	2,275,500		2,304,797
LX133352	SHIP LUXCO 3 SARL	4.50	10/14/19	1,995,000		1,999,988
LX133115	P2 LOWER ACQUISITION LLC	5.50	10/22/20	2,230,102		2,242,646
LX133117	P2 LOWER ACQUISITION LLC	9.50	10/28/21	800,000		808,000
LX133102	AMNEAL PHARMACEUTICALS LLC	5.75	11/01/19	1,631,798		1,640,977
LX133214	OMNITRACS INC	8.75	05/25/21	1,000,000		1,013,333
LX133212	OMNITRACS INC	4.75	11/25/20	3,496,827		3,530,337
LX133343	P2 ENERGY SOLUTIONS INC	5.00	10/30/20	2,433,900		2,447,591
LX133583	BJS WHOLESALE CLUB, INC.	8.50	03/26/20	875,000		894,323
LX133554	TRIBUNE COMPANY	4.00	12/27/20	2,992,500		2,991,004
LX133581	BJS WHOLESALE CLUB, INC.	4.50	09/26/19	3,491,250		3,501,270
LX133415	GOLDEN NUGGET INC	5.50	11/21/19	348,750		356,161
LX133417	GOLDEN NUGGET INC	5.50	11/21/19	149,625		152,805
LX133143	ACTIVE NETWORK INC (THE)	5.50	11/13/20	1,995,000		2,002,481
LX133144	ACTIVE NETWORK INC (THE)	9.50	11/15/21	710,000		717,100
LX133573	FORTESCUE METALS	4.25	06/28/19	2,985,000		3,006,456
LX133771	MCJUNKIN RED MAN CORP	4.75	11/08/19	3,034,750		3,068,891
LX133608	FILTRATION GROUP CORP	8.25	11/22/21	1,000,000		1,022,188
LX133756	SOUTHERN GRAPHIC SYSTEMS INC	4.25	10/17/19	2,916,877		2,922,346
LX133815	BULLSEYE MERGERSUB INC	4.75	11/26/20	1,993,884		1,998,247
LX133785	DEL MONTE FOODS CONSUMER PRODU	4.25	02/18/21	1,730,000		1,727,388
LX133786	DEL MONTE FOODS CO	8.25	08/18/21	350,000		347,813
LX133744	CHG HEALTHCARE SERVICES INC	4.25	11/19/19	2,355,599		2,360,506
LX133875	OFFSHORE GROUP INVESTMENT LTD	5.00	10/25/17	1,062,298		1,062,962

Page 37


Cusip	Security Description	Coupon	Maturity	Par	Market Value
LX133905	REYNOLDS GROUP HOLDINGS INC	4.00	12/01/18	997,500		1,000,462
LX133625	MURRAY ENERGY CORP	5.25	12/05/19	1,470,000		1,481,813
LX133871	TALLGRASS OPERATIONS LLC	4.25	11/13/18	3,000,000		3,019,287
LX134084	SALIX PHARMACEUTICALS LTD.	4.25	01/02/20	661,625		666,587
LX133926	GO DADDY OPERATING CO LLC	4.00	12/17/18	1,591,856		1,595,040
LX134066	THE BRICKMAN GROUP LTD LLC	7.50	12/17/21	280,000		285,600
LX134481	SHERIDAN HLDGS	-	12/20/21	300,000		306,750
LX134065	BRICKMAN GROUP HOLDINGS INC	4.00	12/18/20	1,346,625		1,348,308
LX134252	CUMULUS MED INC.	4.25	12/23/20	1,954,254		1,967,674
LX134609	CLEAR CHANNEL COMMUN, INC.	7.50	07/30/19	239,250		238,689
LX134432	HEARTLAND DENTAL CARE INC	5.50	12/21/18	2,992,441		3,005,533
LX134901	CHS/COMMUNITY HEALTH SYSTEMS I	4.25	01/27/21	1,818,188		1,832,381
LX134996	MIRROR BIDCO CORP	4.25	12/28/19	2,781,217		2,781,217
LX134875	NTNL MNTR HLDGS	4.75	01/31/21	1,560,000		1,569,750
LX135137	IKARIA INC	5.00	02/12/21	2,000,000		2,013,500
LX135139	IKARIA INC	8.75	02/14/22	130,000		131,463
LX134849	PHARMEDIUM HLTH	7.75	01/28/22	750,000		758,438
LX135021	ATRIUM INNOVATIONS INC	4.25	02/16/21	420,000		418,425
LX134951	FLASH DUTCH 2 BV AND US COATIN	4.00	02/01/20	3,000,339		3,001,948
LX135270	SEDGWICK CLAIMS MANAGEMENT SER	6.75	02/28/22	200,000		198,875
LX135382	SURVEY SAMPLING INTERNATIONAL	8.50	06/12/20	725,000		725,000
LX135333	ALLIED SECURITY HOLDINGS LLC	8.00	08/13/21	544,521		544,521
LX135334	ALLIED SECURITY HOLDINGS LLC	3.50	08/13/21	205,479		205,479
LX135356	ADS WASTE ESCROW	3.75	10/09/19	748,106		746,236
LX135023	ATRIUM INNOVATIONS INC	7.25	08/10/21	330,000		334,125
LX135524	OPENLINK INTERNATIONAL INTERME	6.25	10/30/17	846,286		849,104
LX135501	DELUXE ENTERTAINMENT SERVICES	6.50	02/28/20	1,000,000		1,001,667
LX135846	IMS HEALTH INCORPORATED	3.75	03/17/21	2,253,207		2,247,574
LX135658	COLLECTIVE BRANDS INC	5.00	03/11/21	2,050,000		2,050,000
LX135908	NEIMAN MARCUS GROUP INC. THE	4.25	10/25/20	3,990,000		4,003,091
LX135926	SOPHIA LP	4.00	07/19/18	1,047,154		1,047,154
LX132653	AIR CANADA	5.50	09/26/19	2,990,000		3,042,325
LX128935	OFFSHORE GROUP INVESTMENT LTD/	5.75	03/28/19	1,598,850		1,608,843
LX130156	SCHRADER INTERNATIONAL INC	5.00	04/27/18	1,592,449		1,599,416
LX129590	ION TRADING TECHNOLOGIES SARL	4.50	05/22/20	801,563		803,566
LX129947	OXEA FINANCE & CY SCA	8.25	07/15/20	915,000		936,159
Q8700RAB4	PACIFIC IND SRVCS BIDCO/SPOTLE	5.00	04/27/18	2,776,050		2,813,063
				1,087,938,894		1,116,004,136
Corporate Debt Securities - Utilities
010392FH6	ALABAMA POWER COMPANY	0.55	10/15/15	78,000		77,560
025537AF8	AMERICAN ELECTRIC POWER COMPAN	1.65	12/15/17	2,240,000		2,208,143
03040WAB1	AMERICAN WATER CAPITAL CORP.	6.09	10/15/17	150,000		168,861
125896BA7	CMS ENERGY CO	6.55	07/17/17	250,000		287,722
202795JC5	COMMONWEALTH EDISON COMPANY	2.15	12/15/18	1,200,000		1,194,409
207597ED3	CONNECTICUT LIGHT & PWR CO	5.65	05/01/18	250,000		283,890
209111ET6	CONSOLIDATED EDISON INC	5.85	04/01/18	250,000		285,448
23311VAE7	DCP MIDSTREAM PARTNERS LP	2.70	03/01/19	3,300,000		3,301,015
25746UBR9	DOMINION RESOURCES INC	1.40	09/15/17	300,000		295,895
26441CAB1	DUKE ENERGY CORP	6.25	06/15/18	2,800,000		3,250,210
26441CAG0	DUKE ENERGY CORP	2.15	11/15/16	300,000		308,593
26441CAH8	DUKE ENERGY CORP	1.63	08/15/17	250,000		250,774
26441CAK1	DUKE ENERGY CORP	2.10	05/15/18	6,200,000		6,211,468
268317AG9	ELECTRICITE DE FRANCE SA	1.15	01/20/17	5,000,000		4,982,107
268317AJ3	ELECTRICITE DE FRANCE SA	2.15	01/22/19	5,200,000		5,161,563
26875PAF8	EOG RESOURCES INC	2.95	06/01/15	2,900,000		2,979,721
281020AF4	EDISON INTERNATIONAL INC	3.75	09/15/17	250,000		265,998
283695BP8	EL PASO NATURAL GAS COMPANY	5.95	04/15/17	150,000		167,476
29273RAH2	ENERGY TRANSFER PARTNERS LP	6.70	07/01/18	250,000		289,199
29336UAA5	ENLINK MIDSTREAM PARTNERS LP	2.72	04/01/19	2,000,000		2,009,952
29364GAG8	ENTERGY CORP	4.70	12/15/16	100,000		105,859
30161MAE3	EXELON GENERATION CO LLC	6.20	10/01/17	300,000		333,568
30161NAD3	EXELON CORPORATION	4.90	06/15/15	2,325,000		2,431,001

Page 38


Cusip	Security Description	Coupon	Maturity	Par	Market Value
302570AX4	FPL GROUP CAPITAL INC	6.65	06/15/67	200,000		200,000
302570AY2	NEXTERA ENERGY CAPITAL HOLDING	7.30	09/01/17	100,000		110,250
340711AQ3	FL GAS TSMN CO	7.90	05/15/19	3,400,000		4,164,942
373334JY8	GEORGIA POWER COMPANY	0.75	08/10/15	300,000		300,275
373334JZ5	GEORGIA POWER COMPANY	0.63	11/15/15	100,000		99,446
494550AU0	KINDER MORGAN ENERGY PARTNERS	6.00	02/01/17	1,193,000		1,334,979
494550BR6	KINDER MORGAN ENERGY PARTNERS	2.65	02/01/19	6,700,000		6,705,010
50064YAB9	KOREA HYDRO & NUCLEAR POWER CO	3.13	09/16/15	3,100,000		3,188,422
595620AG0	MIDAMERICAN ENERGY CO	5.95	07/15/17	200,000		228,104
59562VAZ0	MIDAMERICAN ENERGY HOLDINGS CO	1.10	05/15/17	4,375,000		4,346,935
59562VBA4	MIDAMERICAN ENERGY HOLDINGS CO	2.00	11/15/18	200,000		197,095
59562VBB2	MIDAMERICAN ENERGY HOLDINGS CO	3.75	11/15/23	4,750,000		4,728,835
636274AC6	NATIONAL GRID PLC	6.30	08/01/16	150,000		167,430
65339KAF7	NEXTERA ENERGY CAPITAL HOLDING	1.20	06/01/15	2,600,000		2,611,083
65473QAS2	NISOURCE FINANCE CORP	6.40	03/15/18	150,000		173,044
693304AL1	PECO ENERGY CO	5.35	03/01/18	200,000		225,656
693304AQ0	PECO ENERGY CO	1.20	10/15/16	111,000		111,001
69331CAF5	PG&E CORP	2.40	03/01/19	2,000,000		1,978,614
69352PAG8	PPL CAPITAL FUNDING LLC	1.90	06/01/18	400,000		393,000
69353UAB7	PPL WEM HOLDINGS PLC	3.90	05/01/16	2,500,000		2,631,051
698455AB8	PANHANDLE EAST PIPE LINE	7.00	06/15/18	155,000		179,296
743263AL9	PROGRESS ENERGY INC	5.63	01/15/16	150,000		161,822
74456QAW6	PUBLIC SERVICE ELECTRIC AND GA	2.70	05/01/15	175,000		178,997
816851AS8	SEMPRA ENERGY	2.30	04/01/17	300,000		306,568
84755TAA5	SPECTRA ENERGY CAPITAL	6.20	04/15/18	200,000		224,876
84756NAC3	SPECTRA ENERGY PARTNERS LP	2.95	08/25/18	6,500,000		6,650,405
893526DH3	TRANS-CANADA PIPELINES	3.40	06/01/15	250,000		257,882
893526DL4	TRANS-CANADA PIPELINES	0.88	03/02/15	7,000,000		7,018,782
927804FM1	VIRGINIA ELECTRIC AND POWER CO	1.20	01/15/18	450,000		438,970
958254AB0	WESTERN GAS PARTNERS LP	4.00	04/01/22	6,650,000		6,628,721
976656CF3	WISCONSIN ELECTRIC POWER COMPA	1.70	06/15/18	150,000		147,458
98389BAK6	XCEL ENERGY INC	5.61	04/01/17	200,000		223,354
LX119741	CALPINE CORP	4.00	04/01/18	979,849		981,890
LX124490	LSP MADISON FUNDING LLC	4.48	06/28/19	402,252		401,749
LX125098	ESSENTIAL POWER LLC	3.49	08/08/19	992,263		997,224
LX126010	PANDA SHERMAN POWER LLC	9.00	09/13/18	630,000		644,175
LX129413	POWER BUYER LLC	4.25	05/06/20	388,178		386,237
LX129414	POWER BUYER LLC	8.25	11/06/20	215,000		212,581
LX129682	POWERTEAM SERVICES LLC	3.68	05/06/20	20,778		20,674
				94,580,319		96,807,265
Asset Backed Securities - Credit Cards
161571FJ8	CHASE ISSUANCE TRUST CHAIT_12-	0.79	06/15/15	1,300,000		1,305,216
161571FL3	CHAIT_12-A5	0.59	08/17/15	750,000		750,463
161571FQ2	CHASE ISSUANCE TRUST CHAIT_12-	2.16	09/15/22	500,000		461,310
36159JDE8	GE CAPITAL CREDIT CARD MASTER	0.95	06/15/15	275,000		275,971
36159JDH1	GEMNT_12-6	1.36	08/15/17	900,000		887,602
36159JDL2	GE CAPITAL CREDIT CARD MASTER	1.76	09/16/19	500,000		480,219
36159JDQ1	GE CAPTIAL CREDIT CARD MASTER	1.35	03/15/18	500,000		486,469
14041NDX6	CAPITAL ONE MULTI-ASSET EXECUT	5.75	09/15/17	1,350,000		1,540,259
17305EDE2	CITIBANK CREDIT CARD ISSUANCE	5.30	03/15/16	400,000		434,436
17305EDT9	CCCIT_13-A1	6.15	06/15/37	350,000		405,878
17305EDY8	CCCIT_13-A1	5.65	09/20/17	2,300,000		2,618,139
17305EEE1	CITIBANK CREDIT CARD ISSUANCE	5.35	02/07/18	436,000		494,427
254683AC9	DCENT_07-A1	5.65	09/15/17	1,500,000		1,707,917
254683BA2	DISCOVER CARD MASTER TRUST DCE	0.69	02/16/16	1,250,000		1,248,820
				12,311,000		13,097,125
Asset Backed Securities - Auto Receivables
13975DAD7	AFIN_13-3	1.68	02/20/17	1,600,000		1,606,784
13975EAC7	AFIN_13-1	0.79	02/06/16	1,178,000		1,175,997
14313KAC2	CARMX_12-3	0.52	04/15/15	275,000		275,120
14313MAC8	CARMX_13-2	0.64	11/01/15	1,500,000		1,498,955
43813UAD2	HONDA AUTO RECEIVABLES OWNER T	0.97	04/30/15	500,000		502,760

Page 39


Cusip	Security Description	Coupon	Maturity	Par	Market Value
43814CAD1	HONDA AUTO RECEIVABLES OWNER T	0.62	03/06/16	615,000	613,495
44890JAC3	HYUNDAI AUTO RECEIVABLES TRUST	0.56	12/02/15	1,000,000	1,000,168
44890LAC8	HYUNDAI AUTO RECEIVABLES TRUST	0.71	10/01/15	300,000	300,306
44924CAA2	HCAF_10-8A	1.16	07/13/15	599,204	595,909
65475QAD3	NISSAN AUTO RECEIVABLES OWNER	1.24	07/01/15	1,600,000	1,615,024
65476GAD4	NISSAN AUTO RECEIVABLES OWNER	0.66	02/28/16	1,300,000	1,298,986
98158QAD8	WOART_12-B	0.81	06/13/16	500,000	498,111
80283GAC8	SDART_13-3	0.70	03/01/15	500,000	499,908
L2R424AA3	ECAR_12-1	1.48	06/19/17	1,079,011	1,496,007
Z9195VUA5	CAR_12-F1F	1.38	09/25/14	1,042,712	1,442,148
				13,588,928	14,419,676
Asset Backed Securities - Student Loans
00389VAA0	ALFT_13-1A	0.95	06/04/25	19,285,667	19,285,898
00432CAZ4	AGSL_03-1	1.66	09/08/24	4,100,000	3,788,425
00432CBB6	AGSL_03-1	1.65	11/25/26	3,600,000	3,326,659
00432CBP5	AGSL_03-1	1.65	12/05/26	5,350,000	4,936,659
00434MAC1	ACCESS TO LOANS FOR LEARNING S	0.95	01/08/23	15,954,742	15,902,570
041150DJ9	ASLA_10-1	1.13	01/17/19	4,758,139	4,790,875
10620NAC2	BRAZOS HIGHER EDUCATION AUTHOR	0.35	08/16/15	944,974	941,839
10620NAH1	BRHEA_05-3A	0.34	08/26/16	63,175	63,157
12556PAC1	CITEL_05-1	0.35	02/17/17	5,735,481	5,696,618
19458LBA7	COELT_05-A	0.32	08/15/14	41,194	41,056
26845BAA7	EFSV2_ 2012-1	1.03	08/14/16	3,980,824	4,017,129
28137RAA5	EDUSA_14-1	0.86	02/25/39	16,250,000	16,093,490
28140DAB9	ELAB_13-1A	0.95	04/27/17	3,963,679	3,980,287
28140VAB9	EFCT_04-1	0.39	12/16/14	300,286	300,151
36156YAN1	GCO EDUCATION LOAN FUNDING TRU	0.30	10/17/15	881,356	873,338
429827AE8	HIGHER EDUCATION FUNDING HEF_0	1.09	05/18/25	2,100,000	1,932,674
429827AK4	HIGHER EDUCATION FUNDING HEF_0	0.04	04/03/21	2,300,000	2,100,636
429827AN8	HEF_04-1	0.17	01/22/22	2,100,000	1,918,340
429827AQ1	HEF_04-1	1.44	01/01/44	2,950,000	2,720,511
57563NAA6	MEFA	1.19	11/23/27	2,398,755	2,398,875
61205PAK5	MHESA_12-1	1.16	10/21/17	9,100,000	9,181,454
64033GAA9	NSLT_13-5A	0.78	10/28/20	5,006,193	5,000,837
66704JAZ1	NORTHSTAR GUARANTEE INC DIV B	0.36	04/28/14	129,767	129,752
66705EAA6	NEF_12-1	0.85	06/19/19	1,875,682	1,876,338
698475AM2	PANHANDLE-PLAINS HIGHER EDUCAT	1.38	05/19/18	4,873,818	4,944,269
71722TAF1	PHEAA_04-1	1.66	09/27/18	2,000,000	1,917,126
71722TAG9	PHEAA_04-1	1.66	09/07/20	6,000,000	5,752,494
78442GHY5	SLMA	1.64	12/15/16	200,000	199,938
78442GHZ2	SLMA	1.65	08/19/14	1,600,000	1,600,000
78442GJA5	SLM STUDENT LOAN TR 2003-10A	1.65	08/14/14	500,000	500,000
78442GJD9	SLM STUDENT LOAN TR 2003-10A	1.65	08/20/14	1,800,000	1,800,000
78442GQR0	SLMA	0.99	09/10/19	2,150,000	2,114,437
80705WAA7	SCHOL_12-B	0.55	03/29/15	1,731,666	1,720,981
80705XAA5	SCHOL_13-A	0.80	10/11/22	1,002,405	996,391
83715AAK5	SOUTH CAROLINA STUDENT LN CORP	0.69	04/25/14	301,612	301,681
86386MAY0	STUDENT LOAN CON	1.37	04/15/22	16,165,422	16,416,309
B0A0BSZC0	SLMA_03-5	0.57	04/27/18	1,129,630	1,527,733
U8280TAR8	SLMA	0.85	12/10/21	2,670,000	3,625,470
				155,294,467	154,714,397
Asset Backed Securities - CLO
00083VAA9	ACASC_07-1	0.47	06/19/16	6,750,000	6,650,384
00089KAB5	ACIS_13	1.11	12/24/18	12,211,343	11,856,054
00089RAA2	ACIS_13-1	0.74	05/06/18	17,400,000	16,972,430
00306LAA2	ABERD_08-1A	0.89	06/27/16	19,890,489	19,536,916
020056AJ6	ALM_12-5A	1.44	10/15/17	9,600,000	9,598,193
03761QAA3	APID_06-QA	0.49	12/12/15	5,244,410	5,238,811
04012VAA7	ARES	0.86	01/19/16	7,639,769	7,505,131
04941LAE7	ATLAS SENIOR LOAN FUND LTD ATC	-	07/03/24	15,300,000	13,098,275
04963VAC2	ATR_4C-DO	0.49	02/01/16	1,204,123	1,198,162
05615MAA5	BABSN_05-3A	0.49	11/18/15	1,427,102	1,417,500

Page 40


Cusip	Security Description	Coupon	Maturity	Par	Market Value
09202XAA2	BLACK DIAMOND CLO LTD BLACK_06	0.49	06/25/16	3,802,292		3,729,915
09624QAC3	BLUEM_05-1A	0.47	06/28/15	67,655		67,671
107265AL4	BRENTWOOD CLO LTD BRENT_06-1A	0.51	06/27/16	9,881,575		9,724,063
125478AA5	CIFC_06-2	0.50	06/03/14	813,897		805,531
12627UAA9	COAS_14-1A	1.59	12/27/18	8,200,000		8,172,954
15136DAA4	CECLO_13-20A	4.84	07/02/18	550,000		500,500
17178TAA4	CIFC_06-1BA	4.23	05/23/17	750,000		731,625
219239AA8	CORNR_07-1A	0.46	04/27/16	5,050,000		4,940,046
26250AAL3	DRSLF_11-22A	1.41	05/01/17	4,200,000		4,200,036
26358BAA6	DUANE STREET CLO DUANE_06-3A	0.49	12/02/15	157,263		155,711
26828RAA3	ECP_08-1A	1.08	05/19/17	3,500,000		3,460,044
33842RAA1	FLAGSHIP CLO FLAGS_06-1A	0.46	02/16/17	2,819,115		2,799,932
345447AA4	FORE_07-1A	0.48	06/16/16	3,926,572		3,900,924
352569AB3	FCLO_5	0.49	06/30/16	3,121,781		3,094,466
355524AB5	FRASR_06-1A	0.49	11/07/15	1,256,853		1,249,914
363206AF0	GALE	0.48	07/26/15	7,381,303		7,250,536
36361RAB3	GALLATIN FUNDING LTD GALL_13-1	1.39	02/06/19	12,000,000		11,820,000
378663AA6	GLEAG_05-1A	0.51	08/08/15	3,192,866		3,178,919
38136TAA1	GOLDS_07-5A	0.93	06/22/16	6,599,849		6,582,457
42822XAA3	HICDO_07-1RA	0.63	05/28/16	10,329,183		10,228,009
448647AA5	HYDEP_1A	0.62	06/25/16	632,769		863,882
44928XAA2	ICG_14-1A	1.39	08/22/20	9,900,000		9,635,116
476759AA3	JERSEY STREET CLO LTD JERSY_06	0.49	12/12/15	2,056,849		2,047,750
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1	0.51	11/04/15	76,729		76,537
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1	0.59	09/04/15	27,005,316		26,532,723
506828AA0	LAFC_12-1A	1.64	01/27/16	665,174		664,786
530361AE4	LIBERTY CLO	0.49	09/17/14	3,850,859		3,837,847
55817LAA8	MDPK_07-6A	5.49	03/24/17	650,000		650,000
55818NAA3	MDPK_14-13A	5.24	05/26/21	500,000		475,000
64090AAA2	NEUB_14-16A	-	07/02/20	750,000		665,625
67089NAE2	OCP_12-2A	1.06	03/17/18	10,171,481		9,933,031
67102SAA2	OCP_14-5A	1.24	11/19/20	11,000,000		10,673,476
67103QAA5	OFSBS_13-5A	1.17	11/08/18	9,500,000		9,359,562
67106AAA7	OFSBS_14-6A	1.26	05/10/20	11,000,000		10,712,834
67590KAA8	OCT18_13-1A	5.49	08/13/22	750,000		710,625
67590MAA4	OCT19_14-1A	-	07/02/20	250,000		232,020
74981TAA2	RACEP_06-3	0.50	04/29/16	5,552,934		5,521,113
74982NAA4	RACEP_11-5AR	1.53	10/06/18	6,000,000		6,005,855
804075AA7	SATURN CLO LTD STRN_07-1A	0.46	07/12/16	4,278,728		4,192,725
87155MAA9	SYMPH_5	0.99	12/28/17	10,000,000		9,814,480
89622HAA1	TRMN_06-2A	0.49	11/07/15	1,215,112		1,208,834
92327JAA9	VENT_8	0.52	05/08/17	1,500,000		1,466,578
929260AA5	WGH_06-1A	0.49	12/05/15	2,406,792		2,375,113
98886MAA2	ZAIS_14-1A	1.63	08/17/20	8,000,000		7,921,112
BRS6DUE27	STANFIELD VEYRON	0.46	04/15/14	597,243		597,107
BRS89G5B9	DRYD_05-10EX	0.66	05/11/16	620,095		842,732
BRSJRCWG3	GALATTIN FUNDS LTD GALL_13-1X	-	12/03/23	7,350,000		5,924,100
G0684GAA8	AVOVA_III-X	0.66	10/01/16	608,915		828,560
G37116AC7	GALLATIN FUNDING LTD GALL_12-1	-	07/13/19	3,445,000		2,425,280
				324,601,434		315,859,511
Asset Backed Securities - Other
00104UAC2	AEPTC TEXAS CENTRAL TRANSITION	2.84	12/09/22	700,000		675,179
02005ACC0	AMOT 2013-2	1.44	02/16/15	4,300,000		4,332,207
03072SKH7	AMSI_03-10	0.91	01/06/22	6,954,875		6,686,639
037680AA3	AEPWV_13-1	2.01	02/02/19	4,700,000		4,657,747
04542BDG4	ABFC_03-OPT1	0.83	04/13/21	2,691,685		2,519,711
14453MAD6	CARR_06-NC4	0.39	06/19/27	4,600,000		2,735,040
15200NAB1	CNP	3.46	12/05/16	850,000		898,793
29365KAB9	ETI	3.65	11/01/16	1,000,000		1,060,345
34528QDF8	FORDF_14-1	0.56	04/18/17	16,000,000		16,002,240
83611MAQ1	SOUNDVIEW HOME EQUITY LOAN TRU	1.45	03/20/20	2,405,632		2,384,931
86358EAJ5	SAIL_03-B2	0.83	10/28/16	8,459,899		8,163,566

Page 41


Cusip	Security Description	Coupon	Maturity	Par	Market Value
86358EJS6	STRUCTURED ASSET INVESTMENT LO	0.95	07/11/21	7,690,767		7,233,766
86358EKH8	STRUCTURED ASSET INVESTMENT LO	0.99	05/23/17	9,264,788		9,087,942
				69,617,645		66,438,107

Total Fixed income Securities				6,228,562,248		6,068,666,227



Other Invested Assets - High Yield Fund
	CRESCENT CAPITAL HIGH YIELD FUND					32,919,988



Equities
5176177	FRANCE TELECOM SA			22,403		331,001
8911703	AIR CANADA			92,400		462,942
9158106	AIR PRODUCTS AND CHEMICALS INC			7,960		947,558
18490102	ALLERGAN INC/UNITED STATES			6,904		856,786
18802108	ALLIANT ENERGY CORP			50,000		2,840,500
23135106	AMAZON.COM INC			6,560		2,207,571
23608102	AMEREN CORPORATION			60,350		2,486,420
25537101	AMERICAN ELECTRIC POWER COMPAN			62,225		3,152,319
25816109	AMERICAN EXPRESS COMPANY			16,705		1,503,951
31162100	AMGEN INC			18,104		2,232,947
37833100	APPLE INC			17,184		9,223,340
39483102	ARCHER-DANIELS-MIDLAND COMPANY			23,243		1,008,514
53015103	AUTOMATIC DATA PROCESSING, INC			12,536		968,531
54937107	BB&T CORP			15,152		608,656
57224107	BAKER HUGHES INC			12,626		820,943
60505104	BANK OF AMERICA			124,695		2,144,754
64058100	BANK OF NEW YORK MELLON CORP/T			10,549		372,274
67383109	CR BARD INC			6,652		984,363
71813109	BAXTER INTERNATIONAL INC.			5,038		370,696
75887109	BECTON DICKINSON			6,434		753,293
75896100	BED BATH & BEYOND INC.			70,000		4,816,000
84670702	BERK HATH FIN			63,865		7,981,209
97023105	BOEING CO			60,661		7,612,349
110122108	BRISTOL-MYERS SQUIBB CO			25,344		1,316,621
111320107	BROADCOM CORP			25,560		804,629
115637209	BROWN-FORMAN CORPORATION			9,734		873,042
126408103	CSX CORPORATION			180,000		5,214,600
134429109	CAMPBELL SOUP COMPANY			13,467		604,399
144285103	CARPENTER TECH CORP			68,000		4,490,720
149123101	CATERPILLAR INC			8,468		841,465
152006102	CENTERRA GOLD INC			24,800		115,715
166764100	CHEVRON CORP			71,392		8,489,223
172967424	CITIGROUP INC			35,579		1,693,560
191216100	COCA-COLA COMPANY (THE)			25,845		999,168
194162103	COLGATE-PALMOLIVE CO			1,243		80,633
200340107	COMERICA INCORPORATED			22,766		1,179,279
205887102	CONAGRA FOODS INC.			155,000		4,809,650
231021106	CUMMINS INC			7,254		1,080,773
235851102	DANAHER CORPORATION			11,019		826,425
244199105	DEERE & CO			901		81,811
254687106	WALT DISNEY COMPANY (THE)			36,515		2,923,756
260003108	DOVER CORP			9,040		739,020
263534109	EI DU PONT DE NEMOURS & CO			45,821		3,074,589
268648102	EMC CORP			40,061		1,098,072
278642103	EBAY INC.			105,746		5,841,409
291011104	EMERSON ELECTRIC CO			7,301		487,707
316773100	FIFTH THIRD BANK			60,122		1,379,800
354613101	FRANKLIN RESOURCES INC			10,965		594,084
369550108	GENERAL DYNAMICS CORP			28,443		3,098,012
369604103	GENERAL ELECTRIC CO			92,967		2,406,916
384802104	GRAINGER W.W. INC			2,511		634,429
391164100	GREAT PLAINS ENERGY INCORPORAT			186,400		5,040,256

Page 42


Cusip	Security Description	Coupon	Maturity	Par	Market Value
406216101	HALLIBURTON COMPANY			27,955		1,646,270
410345102	HANESBRANDS INC			40,000		3,059,200
412822108	HARLEY-DAVIDSON INC			20,690		1,378,161
418056107	HASBRO INC			59,725		3,321,905
427866108	HERSHEY COMPANY THE			8,864		925,402
431475102	HILL-ROM HOLDINGS INC.			75,000		2,890,500
437076102	HOME DEPOT INC			20,905		1,654,213
438516106	HONEYWELL INTERNATIONAL INC			47,602		4,415,562
440452100	HORMEL FOODS CORP			14,435		711,212
448579102	HYATT HOTELS CORP			35,000		1,883,350
452308109	ILLINOIS TOOL WORKS INC			12,382		1,007,028
458140100	INTEL CORP			57,907		1,494,580
459200101	INTERNATIONAL BUSINESS MACHINE			7,747		1,491,220
478160104	JOHNSON & JOHNSON			61,773		6,067,962
494368103	KIMBERLY-CLARK CORPORATION			46,315		5,106,229
496902404	KINROSS GOLD CORP			43,647		199,467
497350108	KIRIN BREWERY CO LTD			18,000		246,600
518439104	ESTEE LAUDER INC			11,234		751,330
532457108	ELI LILLY AND COMPANY			74,652		4,394,017
577081102	MATTEL INC			120,000		4,813,200
579780206	MCCORMICK & COMPANY INCORPORAT			9,366		671,917
580135101	MCDONALDS CORP			12,211		1,197,044
585055106	MEDTRONIC INC			14,562		896,145
594918104	MICROSOFT CORP			265,285		10,874,032
609207105	MONDELEZ INTERNATIONAL INC			95,000		3,282,250
617446448	MORGAN STANLEY			29,985		934,632
636180101	NATIONAL FUEL GAS CO			55,000		3,852,200
637071101	NATIONAL OILWELL VARCO INC			7,431		578,652
654106103	NIKE INC			18,662		1,378,375
655844108	NORFOLK SOUTHERN CORPORATION			48,700		4,732,179
665859104	NORTHERN TRUST COMPANY			2,052		134,529
670346105	NUCOR CORP			15,500		783,370
674599105	OCCIDENTAL PETROLEUM CORPORATI			20,999		2,000,995
681919106	OMNICOM GROUP INC			65,000		4,719,000
693475105	PNC FINANCIAL SERVICES GROUP I			50,650		4,406,550
693718108	PACCAR INC			16,328		1,101,160
695781104	PAINTED PONY PETROLEUM LTD			24,000		194,392
701094104	PARKER HANNIFIN CORP			8,524		1,020,408
713448108	PEPSICO INC			14,096		1,177,016
717081103	PFIZER INC			247,107		7,937,077
718172109	PHILIP MORRIS INTERNATIONAL IN			18,911		1,548,244
740189105	PRECISION CASTPARTS CORP			3,919		990,566
742718109	PROCTER & GAMBLE COMPANY			70,359		5,670,935
751212101	RALPH LAUREN CORP			5,691		915,853
755111507	RAYTHEON COMPANY			20,000		1,975,800
756109104	REALTY INCOME CORP			25,675		1,049,081
773903109	ROCKWELL AUTOMATION INC			23,129		2,880,717
774341101	ROCKWELL COLLINS INC.			10,075		802,675
790849103	ST JUDE MEDICAL INC			17,701		1,157,468
806407102	HENRY SCHEIN INC			25,000		2,984,250
806857108	SCHLUMBERGER LTD			75,770		7,387,575
808513105	CHARLES SCHWAB CORPORATIO			27,837		760,785
810186106	SCOTTS COMPANY			45,000		2,757,600
816851109	SEMPRA ENERGY			42,800		4,141,328
824348106	SHERWIN-WILLIAMS COMPANY (THE)			3,391		668,468
826552101	SIGMA-ALDRICH CORPORATION			5,648		527,410
828806109	SIMON PROP GRP INC			41,176		6,752,864
842587107	SOUTHERN COMPANY (THE)			30,609		1,344,959
847560109	SPECTRA ENERGY CORP			63,900		2,360,466
854502101	STANLEY BLACK & DECKER INC			67,372		5,473,301
857477608	STATE STREET BOSTON CORP			157,000		4,064,730
863667101	STRYKER CORP			9,017		734,615

Page 43


Cusip	Security Description	Coupon	Maturity	Par	Market Value
871829107	SYSCO CORP			29,895		1,080,106
872540109	TJX COS INC			21,964		1,332,117
874039100	TAIWAN SEMICONDUCTOR MANUFACTU			32,200		644,644
882508104	TEXAS INSTRUMENTS INCORPORATED			34,152		1,610,267
895945103	TRICAN WELL SERVICE LTD			80,200		1,016,533
902973304	US BANCORP			4,328		185,498
904784709	UNILEVER N.V.			17,150		705,208
907818108	UNION PACIFIC CORP			6,431		1,206,841
911312106	UNITED PARCEL SERVICE INC			12,346		1,202,253
913017109	UNITED TECH CORP			7,768		907,613
929352102	WUXI PHARMATECH CAYMAN INC			20,298		748,184
931142103	WAL-MART STORES INC			10,821		827,049
949746101	WELLS FARGO & COMPANY			109,973		5,470,057
962166104	WEYERHAEUSER COMPANY			14,925		438,049
969457100	WILLIAMS COS INC			106,100		4,305,538
976657106	WISCONSIN ENERGY CORPORATION			58,040		2,701,762
000375204	ABB TREASURY CENTER USA INC.			165,000		4,255,350
00206R102	AT&T INC			60,927		2,136,710
002824100	ABBOTT LABORATORIES			20,650		795,232
00287Y109	ABBVIE INC			25,718		1,321,905
00507V109	ACTIVISION BLIZZARD INC			210,000		4,292,400
00817Y108	AETNA INC			78,535		5,887,769
01626P403	COUCHE-TARD U.S. L.P.			6,500		526,537
03076C106	AMERIPRISE FINANCIAL INC			17,549		1,931,618
05967A107	BANCO SANTANDER BRASIL SA			31,899		177,677
09247X101	BLACKROCK INC.			11,572		3,639,163
12572Q105	CME GROUP INC			71,658		5,303,409
13321L108	CAMECO CORP			21,100		483,190
14149Y108	CARDINAL HEALTH INC			75,000		5,248,500
15135U109	CENOVUS ENERGY INC			140,000		4,054,400
15189T107	CENTERPOINT ENERGY INC.			129,550		3,069,040
17275R102	CISCO SYSTEMS INC			119,536		2,678,802
20825C104	CONOCOPHILLIPS			36,202		2,546,811
22160K105	COSTCO WHSLE CORP			12,901		1,440,784
22282E102	COVANTA HOLDING CORP			105,000		1,895,250
25271C102	DIAMOND OFFSHORE DRILLING INC.			6,370		310,601
25746U109	DOMINION RESOURCES INC			82,200		5,835,378
29476L107	EQUITY RESIDENTIAL			69,000		4,001,310
30225T102	EXTRA SPACE STORAGE INC			102,858		4,989,642
30231G102	EXXON MOBIL CORP			47,506		4,640,386
37045V100	GENERAL MOTORS CO			79,000		2,719,180
38141G104	GOLDMAN SACHS GROUP INC			5,737		940,007
38259P508	GOOGLE			3,951		4,403,429
40412C101	HCA HOLDINGS INC			110,000		5,775,000
42805T105	HERTZ GLOBAL			215,000		5,727,600
45866F104	INTERCONTINENTALEXCHANGE GROUP			4,533		896,763
46625H100	JPMORGAN CHASE & CO			171,324		10,401,080
50076Q106	KRAFT FOODS GROUP INC			65,000		3,646,500
55261F104	M&T BANK CORPORATION			26,750		3,244,775
57636Q104	MASTERCARD INC			20,250		1,512,675
58933Y105	MERCK & CO INC			34,284		1,946,303
61166W101	MONSANTO COMPANY			7,428		845,084
65339F101	FPL GROUP INC.			33,850		3,236,737
65473P105	NISOURCE INC			62,825		2,232,172
68389X105	ORACLE CORP			52,915		2,164,753
70336T500	PATRIOT COAL CORP			144		1,987
71654V408	PETROLEO BRASILEIRO SA			19,327		254,150
74005P104	PRAXAIR INC			6,228		815,681
74340W103	PROLOGIS INC			155,300		6,340,899
74460D109	PUBLIC STORAGE, INC.			26,818		4,518,565
75281A109	RANGE RESOURCES CORP			55,000		4,563,350
78462F103	SPDR TRUST SERIES 1			429,169		80,271,770

Page 44


Cusip	Security Description	Coupon	Maturity	Par	Market Value
80105N105	SANOFI SA			51,375		2,685,885
81211K100	SEALED AIR CORP			145,000		4,766,150
81282V100	SEAWORLD PARKS & ENTERTAINMENT			150,000		4,534,500
85571B105	STARWOOD PROPERTY TRUST INC			36,000		849,240
85571W109	STARWOOD PROPERTY TRUST INC			7,200		207,288
87612E106	TARGET CORPORATION			16,900		1,022,619
88579Y101	3M CO			40,807		5,535,878
91324P102	UNITEDHEALTH GROUP INCORPORATE			15,274		1,252,315
92276F100	VENTAS, INC.			38,700		2,344,070
92826C839	VISA INC			8,090		1,746,307
97717W851	WISDOMTREE JAPAN DIVIDEND FUND			1,010,000		47,813,400
97717X701	WISDOMTREE INTERNATIONAL HEDGE			921,895		52,133,162
B4BNMY3	ACCENTURE LTD			9,738		776,313
BRSBXVK41	ROLLS ROYCE GROUP PLC			70,941		1,270,212
BRSC1ALQ0	SWISS REINSURANCE COMPANY			1,088		100,936
BRSCU9H37	PARAMOUNT BED HOLDINGS CO LTD			5,900		184,760
BRSDDTH06	CRH PLC			11,997		335,013
BRSDNJ8W7	UNICREDITO ITALIANO S.P.A.			192,818		1,761,932
BRSELZSU3	RTL GROUP SA			1,510		172,008
BRSGBFS74	ASML HOLDING NV			4,059		376,106
BRSGCE0T8	GLP J-REIT			396		399,518
D35415104	INFINEON TECHNOLOGIES AG			82,798		988,476
D5032B102	LANXESS			8,597		648,723
E90183182	TELEFONICA			28,073		444,373
F00189120	ACCOR SA			10,099		517,298
F03381138	SAFRAN SA			8,101		561,498
F54432111	LAFARGE S.A.			3,515		274,686
F5485U100	LAGARDERE S.C.A.			8,647		343,469
F80343100	SAINT GOBAIN			9,470		572,331
F9156M108	THALES S. A.			6,616		438,874
F95922104	VALLOUREC			23,268		1,263,684
G03764134	ANGLO AMERICAN PLC			15,069		383,492
G0537K100	HOME RETAIL GROUP			36,965		133,482
G2830J103	DAPHINE INTERNATIONAL HOLDINGS			338,000		137,692
G32655105	EXPERIAN PLC			43,834		789,972
G4634U169	HSBC HOLDINGS PLC			97,200		983,625
G5257K107	KINGBOARD LAMINATES HOLDINGS L			371,500		136,013
G56350112	LONMIN PLC			61,465		293,068
G60744102	MGM CHINA HOLDINGS			107,600		379,379
G65007109	NEW WORLD DEPARTMENT STORE CHI			191,000		91,104
H36940130	HOLCIM LTD			2,566		212,635
J24994105	ISUZU MOTORS LTD			73,000		420,343
J2501P104	ITOCHU CORP			20,100		235,380
J37479110	KYOCERA CORP			5,400		243,979
J56741101	NISHIMATSUYA CHAIN CO., LTD.			17,900		130,185
J58472119	NITTO DENKO CORP			6,200		297,523
J77024115	SUMITOMO BAKELITE CO., LTD.			63,000		242,861
J86957115	TOKYO ELECTRON LTD			4,300		264,092
L80308106	SAMSONITE INTERNATIONAL SA			299,700		927,260
M75253100	ORBOTECH LTD.			12,714		195,668
N63218106	NIELSEN HOLDINGS NV			95,000		4,239,850
N6983Q147	ROYAL PHILIPS ELECTRONICS N.V.			12,796		449,808
N9643A114	WOLTERS KLUWER NV			3,118		88,010
P31076105	COPA HOLDINGS			10,476		1,521,010
P8696W104	SINOVAC BIOTECH LTD			25,477		183,434
S00536730	ASHTEAD GROUP PLC			70,653		1,120,175
S00595850	ARM HOLDINGS PLC			77,954		1,297,011
S02335271	CRODA INTERNATIONAL PLC			12,053		511,597
S02374007	DIAGEO PLC			64,572		2,003,389
S02875805	BRITISH AMER TOBACCO PLC			30,575		1,700,208
S03308608	SPECTRIS PLC			12,858		496,891
S04052072	HALMA PLC			22,765		218,607

Page 45


Cusip	Security Description	Coupon	Maturity	Par	Market Value
S04082848	STANDARD CHARTERED PLC			23,534		491,807
S04161022	HAYS PLC			97,950		236,781
S05203377	JARDINE LLOYD THOMPSON GROUP P			15,038		266,751
S05331533	COMPASS GROUP			115,490		1,761,733
S07099542	PRUDENTIAL PLC			39,799		841,661
S07980592	BP PLC			121,851		975,091
S08025413	SIG PLC			62,763		210,422
S08706129	LLOYDS TSB GROUP PLC			450,931		561,196
S08762890	BG GROUP			76,398		1,423,325
S09067448	MOTHERCARE PLC			23,500		73,655
S09223207	SMITH & NEPHEW PLC			39,224		594,416
S09292244	VICTREX PLC			4,100		137,321
S09895293	ASTRAZENECA PLC			29,973		1,937,067
S20246443	BARRICK GOLD CORP			9,100		162,254
S20682993	TALISMAN ENERGY INC.			21,400		213,661
S21627609	CAE INC			40,800		537,839
S21806328	CANADIAN NTL RAIL CO			21,100		1,187,335
S26378489	NORTHERN DYNASTY MINERALS			14,600		14,418
S26544163	METHANEX CORP			16,400		1,051,086
S27931930	ENCANA CORP			15,700		335,834
S31348659	BARCLAYS PLC			57,908		225,327
S31638364	INTERTEK GROUP PLC			9,752		499,447
S31743008	BURBERRY GROUP PLC			34,270		797,009
S33195215	KINGFISHER PLC			92,636		650,802
S37840113	IMPALA PLATINUM HOLDINGS LTD			20,592		234,937
S40567190	ASSICURAZIONI GENERALI SPA			53,363		1,189,999
S40580615	BANCO ESPIRITO SANTO SA			71,667		134,235
S40743916	GFI INFORMATIQUE			4,799		33,336
S40768368	INTESA SANPAOLO SPA			204,003		691,671
S41160995	BANCA EMILIA			12,916		162,884
S41529520	BELIMO HOLDING AG			69		191,296
S41634379	CAP GEMINI SA			14,353		1,087,022
S41995408	CIMENTS FRANCAIS SA			1,061		115,085
S42621185	DELHAIZE GROUP SA			2,595		189,736
S46429585	GERRY WEBER INTERNATIONAL			3,718		183,912
S46817243	INFICON HLDG AG			329		121,976
S46823290	PERNOD-RICARD SA			7,286		848,543
S47127980	RENAULT S.A.			20,353		1,978,754
S47553177	ANHEUSER-BUSCH INBEV NV			19,237		2,017,669
S47689625	RWE AG			6,381		259,089
S48247787	SGS SA			155		382,346
S48341085	SCHNEIDER ELECTRIC SA			11,109		985,262
S48528327	STOREBRAND ASA			43,302		249,887
S49023849	TRELLEBORG AB			33,195		668,656
S49160393	AIR FRANCE-KLM			58,900		885,662
S49375793	VALEO SA			9,758		1,375,157
S49429046	E.ON SE			12,500		244,467
S50779461	MEDIASET SPA			82,245		459,991
S51308617	BERTRANDT AG			1,262		193,416
S52260387	SAMPO OYJ			9,597		497,999
S53345880	RHEINMETALL AG			4,623		325,273
S54653589	SALZGITTER AG			6,879		272,009
S54815584	POSTNL NV			30,446		138,979
S55969919	UCB SA			6,599		528,606
S56089154	ALTEN SA			4,073		218,819
S56336167	SOPRA GROUP SA			1,023		122,073
S56547813	ATOS			7,489		677,414
S56717358	SANOFI SA			10,493		1,094,482
S56874316	H & M HENNES & MAURITZ AB			12,127		516,238
S56890510	AGFA-GEVAERT NV			43,312		146,849
S56954233	ELMOS SEMICONDUCTOR			3,152		59,038
S56987894	ASSA ABLOY AB			29,487		1,567,231

Page 46


Cusip	Security Description	Coupon	Maturity	Par	Market Value
S57822066	BUZZI UNICEM SPA			14,241		265,758
S58051038	DEVOTEAM SA			2,240		56,960
S59560789	KONINKLIJKE KPN NV			140,135		495,407
S59622803	LINDT & SPRUENGLI AG			29		143,859
S59665166	SOCIETE GENERALE-A			19,280		1,187,931
S59806133	GIVAUDAN S.A.			154		238,318
S59930206	AXIS COMMUNICATIONS AB			6,366		217,582
S59939017	METROPOLE TELEVISION SA			8,139		177,126
S60107026	AISIN SEIKI CO LTD			18,100		654,683
S60214814	ALPINE ELECTRONICS INC.			35,500		466,393
S60273042	AMANO CORP			40,200		416,111
S60365483	NET ONE SYSTEMS			28,100		191,272
S60544095	ASAHI BREWERIES, LTD.			14,000		392,737
S60714755	NISSIN KOGYO			18,200		340,195
S61177333	OBARA GROUP INCORPORATED			7,500		281,473
S61321014	BRIDGESTONE CORP			36,800		1,307,841
S61367496	OBIC			9,200		291,227
S61415501	FUNAI ELE CO., LTD.			18,800		186,567
S61499851	ALPHA SYSTEMS INC			1,200		18,026
S61723235	CANON INC			27,100		839,696
S62001946	ITOCHU TECHNO-SOLUTIONS CORP			6,000		253,726
S62008826	TRANSURBAN GROUP			136,393		917,779
S62359922	DOSHISHA CO LTD			6,300		97,267
S62489901	KDDI CORP			14,300		829,799
S62497995	DAH SING FINANCIAL			30,000		141,162
S62503040	DAIHATSU MOTOR CO LTD			10,300		182,327
S62504121	EXEDY CORP			7,300		204,713
S62505086	DAITO TR CONSTR CO., LTD.			3,300		306,047
S62510284	DAINIPPON SCREEN MANUFACTURING			58,000		268,641
S62556998	DTS CORP			5,800		101,712
S62689765	MITSUBISHI UFJ LEASE & FINANCE			104,000		510,987
S62874102	TV ASAHI CORP			13,300		241,501
S62897848	CAWACHI LTD.			8,200		156,221
S63000160	ADASTRIA HOLDINGS CO LTD			9,400		234,943
S63071690	EIGHTEENTH BANK LIMITED			42,000		92,169
S63072003	EISAI CO LTD			7,500		292,615
S63177158	ENERGY RSC AUST			37,202		46,032
S63339378	ENN ENERGY HOLDINGS LTD			86,000		599,236
S63351712	MITSUBISHI TOKYO FINANCIAL GRP			337,000		1,855,406
S63527501	EN-JAPAN INC.			2,900		51,673
S63552764	FUJIMI INC			10,600		132,468
S63564066	FUJI HEAVY IND LTD			12,000		325,329
S63565923	FUJI MACHINE MFG. CO., LTD.			19,900		175,261
S63569453	FUJITSU LTD			99,000		599,854
S63577332	FUTABA CORP			5,300		91,606
S63844856	PROTO CORP			2,800		39,015
S64004336	HIS			3,000		171,287
S64106362	RESOLUTE MINING LTD			141,941		78,277
S64162811	DENTSU INC			15,600		593,038
S64218985	PAL CO LTD			4,800		92,425
S64243033	CLEAR MEDIA LTD			81,000		73,199
S64288665	HISAKA WORKS LTD			3,000		29,101
S64291263	HITACHI CHEM CO LTD			18,000		245,570
S64398134	HOSIDEN CORP			31,200		153,296
S64592199	INABA DENKISANGYO CO LTD			11,600		373,957
S64685050	JAPAN DIGITAL LABORATORY CO LT			35,800		517,264
S64709868	JSR CORP			14,000		260,057
S64745359	JAPAN TOBACCO INC.			66,800		2,101,588
S64762180	AEON DELIGHT CO. LTD.			5,200		98,107
S64873284	KEIHIN CORP			15,800		230,744
S65131260	TOKIO MARINE HOLDINGS INC			45,400		1,365,725
S65295545	CMIC HOLDINGS CO LTD			4,300		72,067

Page 47


Cusip	Security Description	Coupon	Maturity	Par	Market Value
S65342024	AEON MALL CO LTD			19,000		486,323
S65630246	SUMITOMO MITSUI FIN GRP INC			21,300		911,897
S65695058	MARUICHI STEEL TUBE LTD.			8,600		222,881
S65946048	MIMASU SEMICONDUCTOR IND CO.,			13,800		123,146
S65970451	MITSUBISHI ELEC CORP			59,000		665,709
S65973687	MITSUI CHEMICALS INC			101,000		248,124
S65974099	MITSUMI ELEC CO., LTD.			14,200		102,999
S66257205	PANAHOME CORP			49,000		337,340
S66385469	NICHICON CORP			14,100		111,858
S66395500	NINTENDO CO LTD			2,200		261,902
S66396029	NSD CO LTD			25,000		313,881
S66413733	NTT CORP			11,100		605,631
S66424284	NOK CORP			17,200		281,420
S66428046	HITACHI HIGH-TECHNOLOGIES CORP			13,700		319,802
S66431081	NOMURA HOLDINGS INC			80,400		516,821
S66575416	OITA BANK LTD			24,000		93,451
S66601071	ONO PHARM CO., LTD.			13,800		1,197,961
S66602046	TAIHEIYO CEMENT CORP			353,000		1,275,098
S66881434	MELCO HOLDINGS INC			8,500		125,125
S67103473	QANTAS AIRWAYS LTD			284,725		291,607
S67116962	JAPAN PETROLEUM EXPLORATION CO			17,600		587,037
S67132050	HONEYS CO LTD			11,870		115,144
S67442947	T&D HOLDINGS INC			76,400		910,257
S67472043	ROHM CO LTD.			20,300		907,720
S67475160	ROLAND CORP			27,500		381,585
S67728535	SAN-IN GODO BK, LTD.			30,000		203,331
S67754325	SANKYO CO LTD			6,600		278,458
S68040351	SHIMAMURA CO., LTD.			2,000		173,423
S68047455	SHINKAWA LTD			2,800		16,041
S68049279	SHINKO ELEC INDUS CO., LTD.			37,600		272,001
S68057041	SHIN-ETSU POLYMER CO LTD			31,900		119,565
S68415264	STAR MICRONICS CO., LTD.			36,200		437,275
S68655042	SUZUKI MOTOR CORP			11,200		292,982
S68694983	TACHI-S CO., LTD.			700		11,555
S68699594	TAIKISHA LTD			15,900		345,528
S68935501	TOCHIGI BANK LTD/THE			16,000		68,049
S68939149	TOKAI RUBBER INDUSTRIES INC			14,700		150,875
S68939479	HIGASHI-NIPPON BK LTD			30,000		73,991
S68940253	TOKAI RIKA CO., LTD.			12,700		213,835
S68943042	TOKYO SEIMITSU CO., LTD.			13,400		236,421
S68948983	TOKYO OHKA KOGYO CO LTD			16,500		365,456
S68972629	TOSHIBA MACH			70,000		331,699
S69005460	TOYOTA INDUSTRIES CORPORATION			10,800		520,153
S69005577	TOYODA GOSEI CO LTD			14,700		282,481
S69005916	TOYOTA BOSHOKU CORP			23,500		238,001
S69189819	USHIO INC			18,800		243,158
S69549855	ALUMINA LTD			464,530		514,507
S69849487	XEBIO CO., LTD.			10,900		189,984
S69853612	YAMANASHI CHUO BANK LTD/THE			21,000		95,024
S69854461	YAMATO KOGYO CO LTD			13,200		414,643
S69855872	YAMAZEN CORP			26,200		173,250
S69899763	ZUKEN INC			6,800		54,210
S70852595	H LUNDBECK A/S			8,707		268,427
S71030654	NOVARTIS AG			14,684		1,246,731
S71035265	PEUGEOT SA			20,661		389,979
S71103881	ROCHE HOLDING AG			9,526		2,857,746
S71107205	ADECCO SA-REG			4,692		390,668
S71109029	TECAN GROUP AG			2,571		308,514
S71235469	GROUPE STERIA			11,841		239,086
S71263412	MICRONAS SEMICONDUCTOR HOLD			14,238		112,827
S71267942	BOSSARD AG			61		17,506
S71366637	JC DECAUX SA			22,078		967,490

Page 48


Cusip	Security Description	Coupon	Maturity	Par	Market Value
S71450563	ENI SPA			24,093		604,684
S71541825	ING GROEP NV			33,676		476,903
S71847255	SWATCH GROUP AG			981		615,242
S72124779	ESSILOR INTL			17,253		1,740,619
S72943343	ZODIAC AEROSPACE SA			11,827		418,109
S73096810	PARSW			14,464		1,116,161
S74167636	KONTRON			16,326		111,854
S76222256	BANCHE POPOLARI UNITE SCRL			14,973		141,154
S77925592	HEINEKEN N.V.			17,510		1,219,207
SB00GWP69	AMVIG HOLDINGS LTD			196,000		75,044
SB00LBS74	CATLIN GROUP LTD			15,200		136,333
SB00MZ443	GRAFTON GROUP PLC			9,208		99,322
SB02RK082	SEGA SAMMY HOLDINGS INC			7,100		159,394
SB03J9L73	AIRASIA			1,314,000		1,026,091
SB044JP55	GEOX S.P.A.			29,589		133,354
SB05L3642	DENA			10,200		184,617
SB06MW587	KYOKUTO SEC			18,400		308,379
SB08SNH35	NATIONAL GRID PLC			164,403		2,252,974
SB09M9D26	KONE OYJ			14,401		604,179
SB09YFD03	SAFT GROUPE S.A.			4,373		152,907
SB0C2CQ38	GDF SUEZ			19,176		524,886
SB0C3TN25	MIRAIAL CO LTD			8,400		118,514
SB0J7D919	DAIICHI SANKYO			26,400		445,533
SB0KJTG51	PANALPINA WELTTRANSPORT HOLDIN			3,239		497,941
SB0LDD867	LEM HLDGS AG			112		89,133
SB0MKZN53	TSURUHA HOLDINGS INC			3,900		384,376
SB0X6W867	AIZAWA SECURITIES CO LTD			35,000		250,813
SB10RB150	INPEX CORP			26,800		348,451
SB10RZP77	UNILEVER PLC			29,895		1,276,388
SB11ZRK95	LEGRAND S.A.			16,195		1,006,555
SB13WZ262	ZUMTOBEL			5,367		133,147
SB142S608	KUEHNE & NAGEL INTERNATIONAL A			1,389		194,509
SB15C5570	TOTAL SA			13,005		853,189
SB18YFJ40	UBS AG			138,660		2,866,284
SB1DWS050	AER LINGUS PLC			46,200		104,109
SB1FRPV87	USG PEOPLE			7,441		120,195
SB1FW7515	GALP ENERGIA SA			30,357		524,459
SB1G2RD88	DAI-ICHI SEIKO CO LTD			9,500		113,740
SB1KJJ406	WHITBREAD			4,096		284,208
SB1KKBX66	ELECTROLUX AB			40,864		889,944
SB1TQ2V06	RAUBEX			52,686		111,154
SB1VP0K08	REXEL SA			19,291		506,365
SB1VQF428	ORKLA ASA			71,199		607,095
SB1WGG938	GEBERIT AG			2,211		724,610
SB1WT5G22	DSV, DE SAMMENSLUT VOGN			53,843		1,738,442
SB1Y1SQ76	JERONIMO MARTINS SGPS SA			36,947		620,232
SB1YXBJ76	AIR LIQUIDE SA			8,318		1,127,168
SB1YY4B38	UNIBAIL-RODAMCO SE			3,614		938,918
SB1YY6621	ALMIRALL SA			13,779		235,297
SB1Z4WD00	DAETWYLER HLDG AG			101		15,893
SB234WN90	DIASORIN SPA			4,408		189,246
SB23K0M28	CAPITA GROUP			22,072		403,299
SB24CGK71	RECKITT BENCKISER GROUP PLC			12,011		978,580
SB28DTJ67	BUREAU VERITAS SA			14,172		434,697
SB28SK094	HAMBURGER HAFEN UND LOGISTIK A			4,954		119,112
SB292JQ95	GROUPE EUROTUNNEL SA			31,812		406,311
SB2PDGW13	WH SMITH PLC			14,455		289,907
SB3BLR569	TRI-STAGE INC			3,600		37,998
SB3ZNGT54	GREATVIEW ASEPTIC PACKAGING CO			927,000		492,357
SB4K90R18	LIFE HEALTHCARE GROUP HOLDINGS			112,567		412,150
SB4LW4N32	HRT PARTICIPACOES EM PETROLEO			33,000		13,601
SB4R2R507	GRIFOLS INC			7,125		316,425

Page 49


Cusip	Security Description	Coupon	Maturity	Par	Market Value
SB4RLNR19	NORMA GROUP AG			3,262	172,933
SB4YVF563	BRENNTAG AG			4,622	857,757
SB505PN71	NXP SEMICONDUCTORS NV			10,900	641,029
SB574ZG08	DELTA LLOYD NV			14,378	398,807
SB601QS44	DAI-ICHI LIFE INSURANCE CO. LT			18,400	268,000
SB60BD273	SUPERGROUP PLC			5,948	169,270
SB62G1B54	EDENRED			17,045	535,036
SB671GT81	FIBRA UNO ADMINISTRACION SA			139,900	452,762
SB68SQD28	COVIDIEN PLC			8,124	598,414
SB7FNMQ21	ELEMENT FINANCIAL CORP			36,900	497,795
SB7VQL460	GROUPE FNAC			1,030	53,221
SB86S2N06	FORTIS			9,016	401,929
SB88MHC49	HUGO BOSS AG			4,518	601,397
SB8BRV460	JAPAN AIRLINES CO LTD			7,800	384,755
SB946ZZ65	SPIRAX-SARCO ENGINEERING PLC			8,695	418,931
SBBHXPN68	BANCO POPULAR ESPANOL SA			22,092	166,857
SBCRWZ184	COM FN RICHEMONT			8,208	784,236
SBCZM1B24	PROSIEBENSAT1 MEDIA AG			12,365	566,137
W04008152	ALFA LAVAL AB			25,188	680,248
W10020118	ATLAS COPCO AB			36,030	1,037,518
W84237143	SKF AB			67,059	1,713,826
Y594BL106	PTT GLOBAL CHEMICAL PCL			237,800	529,625
	NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD			40,483	34,786,367
				24,892,188	834,893,297

Page 50

Allied World Assurance Co Holdings, AG - FORM 8-K - EX-99.3 - FIRST QUARTER 2014 INVESTMENT SUPPLEMENT. - April 23, 2014

Attached files

Allied World Assurance Co Holdings, AG Reports