| Issue |
Coupon |
Maturity Date |
Amount Owned |
% of Fund |
| FNMA CMO 5.124% |
5.12 |
2041-07-25 |
$10,461,591 |
3 |
| FNMA 4.68% |
4.68 |
2019-08-01 |
$10,339,656 |
2.83 |
| FNMA 4.9% |
4.9 |
2015-09-01 |
$9,289,403 |
2.62 |
| Fnma 4.1% 30 Year Tba |
4.1 |
2020-01-01 |
$10,000,000 |
2.59 |
| Massachusett Tl 6.67% |
6.67 |
2035-04-01 |
$9,375,000 |
2.56 |
| JPMorgan Prime Money Market Inst |
0.1 |
2011-01-03 |
$9,454,117 |
2.46 |
| FNMA 4.2% |
4.2 |
2020-07-01 |
$7,682,552 |
2.03 |
| FNMA 3.54% |
3.54 |
2020-11-01 |
$7,590,969 |
1.92 |
| Massachusetts St Hsg Fin Agy Hsg 6.532% |
6.53 |
2027-12-01 |
$6,790,000 |
1.81 |
| Crf-19 Llc 2008-19 3.98% |
3.98 |
2035-08-01 |
$7,110,692 |
1.78 |
| 90 DAY EUR FUTURE 9/12 |
|
2012-09-17 |
$25 |
-1.6 |
| 90 DAY EURO FUTURE DEC 12 |
|
2012-12-17 |
$25 |
-1.6 |
| 90 DAY EUR FUTURE 12/11 |
|
2011-12-19 |
$25 |
-1.61 |
| 90 DAU EUR FUTURE 3/12 |
|
2012-03-12 |
$25 |
-1.61 |
| 90 DAY EUR FUTURE 6/12 |
|
2012-06-18 |
$25 |
-1.61 |
| 90 DAY EUR FUTURE 3/11 |
|
2011-03-14 |
$25 |
-1.62 |
| 90 DAY EUR FUTURE 6/11 |
|
2011-06-13 |
$25 |
-1.62 |
| 90 DAY EUR FUTURE 9/11 |
|
2011-09-19 |
$25 |
-1.62 |
| Barclays Repo .29% 01/06/11 |
0.29 |
2011-01-06 |
$15,500,000 |
-4.03 |
| Mizuho Securities |
0.32 |
2011-02-03 |
$15,819,000 |
-4.12 |
| US LONG BOND(CBT) MARCH 11 |
|
2011-03-31 |
$200 |
-6.36 |
| Goldman Sach Repo .30 01/18/11 |
0.3 |
2011-01-18 |
$24,478,051 |
-6.37 |
| Deutsche Securities Repo .31 01/26/11 |
0.31 |
2011-01-26 |
$31,230,000 |
-8.13 |
| Mizuho Securities Repo .30 01/12/11 |
0.3 |
2011-01-12 |
$34,800,000 |
-9.06 |
| US 10 YEAR NOTE FUTURE 03/11 |
|
2011-03-31 |
$400 |
-12.54 |
