| Issue |
Coupon |
Maturity Date |
Amount Owned |
% of Fund |
| US Treasury Note |
|
2011-03-31 |
$884 |
32.06 |
| Euro 90 Day Dec 12 |
|
2012-12-17 |
$252 |
10.28 |
| Forward Fx Contract - Buy Usd |
|
2011-01-19 |
$25,913,000 |
6.66 |
| Cash & Cash Equivalents |
0 |
|
$31,116,922 |
5.14 |
| Forward Fx Contract - Buy Usd |
|
2011-01-28 |
$15,636,500 |
3.35 |
| US Treasury Note 0.5% |
0.5 |
2013-11-15 |
$18,870,000 |
3.1 |
| Wachovia Cmbs 2002-C1 CMO 6.287% |
6.29 |
2034-04-15 |
$14,500,000 |
2.51 |
| Forward Fx Contract - Buy Gbp |
|
2011-01-19 |
$8,140,000 |
2.09 |
| US Treasury Note 1.25% |
1.25 |
2015-10-31 |
$10,385,000 |
1.7 |
| Slm Stud Ln Tr 2008-5 FRN |
4.2 |
2018-01-25 |
$9,400,000 |
1.6 |
| FNMA 5% |
5 |
2021-12-01 |
$8,304,164 |
1.47 |
| Dexia Cr Loc N Y Brh 144A 2% |
2 |
2013-03-05 |
$8,395,000 |
1.4 |
| Royal Bk Scotland Gtd144a Mtn 144A FRN |
0.69 |
2011-04-08 |
$8,300,000 |
1.37 |
| Macquarie Bk Ltd Sr Mtn 144a 144A 4.1% |
4.1 |
2013-12-17 |
$7,595,000 |
1.36 |
| Verizon Wireless Cap 3.75% |
3.75 |
2011-05-20 |
$7,575,000 |
1.27 |
| Chester A/Rec 12 6% |
6 |
2013-03-15 |
$4,850,000 |
1.25 |
| Thornburg Mtg Tr 2007-1 CMO |
5.42 |
2037-03-25 |
$7,305,910 |
1.18 |
| Thornburg Mtg Tr 2006-6 CMO |
5.43 |
2036-12-25 |
$6,925,513 |
1.13 |
| FNMA 5.25% |
5.25 |
2012-08-01 |
$5,960,000 |
1.06 |
| Ge Cap Cmbs 2001-1 CMO 6.531% |
6.53 |
2033-05-15 |
$6,358,041 |
1.06 |
| Forward Fx Contract - Sell Usd |
|
2011-01-11 |
$8,140,000 |
-2.09 |
| Forward Fx Contract - Sell Eur |
|
2011-01-28 |
$15,636,500 |
-3.35 |
| Forward Fx Contract - Sell Gbp |
|
2011-01-19 |
$25,913,000 |
-6.66 |
| US Treasury Note |
|
2011-03-31 |
$535 |
-10.6 |
| Net Asset Plug |
0 |
|
$0 |
-49.07 |
