| Issue |
Coupon |
Maturity Date |
Amount Owned |
% of Fund |
| Gs + Co Joint Acct Ii Repo |
0.16 |
2011-04-01 |
$233,400,000 |
18.72 |
| US Treasury Bond (Fut) |
0 |
2011-06-30 |
$155,900,000 |
14.22 |
| US Treasury Bond (Fut) |
0 |
2011-06-21 |
$55,100,000 |
5.26 |
| US Treasury Note 1% |
1 |
2012-04-30 |
$45,000,000 |
3.63 |
| Ir201189 Irs Usd R V 03mlibor |
1 |
2014-11-02 |
$40,900,000 |
3.35 |
| GNMA |
4.5 |
|
$35,000,000 |
2.9 |
| Ir201188 Irs Usd R F 2.75000 |
2.75 |
2017-11-02 |
$34,200,000 |
2.63 |
| US Treasury Note 2.375% |
2.38 |
2011-04-15 |
$32,059,926 |
2.58 |
| US Treasury Note 2.25% |
2.25 |
2016-03-31 |
$32,000,000 |
2.57 |
| FNMA |
5 |
2099-12-01 |
$26,000,000 |
2.18 |
| FNMA |
4.5 |
2099-12-01 |
$24,000,000 |
1.96 |
| FNMA |
4 |
2099-12-01 |
$23,000,000 |
1.81 |
| Citigroup Fdg Inc Gtd Tlgp 1.875% |
1.88 |
2012-10-22 |
$20,700,000 |
1.69 |
| Ir201207 Irs Usd R V 03mlibor |
1 |
2014-11-05 |
$20,400,000 |
1.67 |
| Gmac 2.2% |
2.2 |
2012-12-19 |
$20,000,000 |
1.64 |
| US Treasury Note 2.625% |
2.62 |
2020-11-15 |
$21,800,000 |
1.63 |
| Ultra Long Us Treas Bond Ftrs Jun11 Xcbt |
0 |
2011-06-21 |
$14,900,000 |
1.48 |
| Ir201263 Irs Usd R V 03mlibor |
1 |
2014-11-23 |
$17,500,000 |
1.42 |
| US Treasury Note 1.25% |
1.25 |
2014-03-15 |
$17,500,000 |
1.4 |
| GNMA 5% |
5 |
2033-07-15 |
$16,195,791 |
1.39 |
| Ir201263 Irs Usd P F 2.11556 |
2.12 |
2014-11-23 |
$17,500,000 |
-1.4 |
| Ir201207 Irs Usd P F 1.62556 |
1.63 |
2014-11-05 |
$20,400,000 |
-1.64 |
| US Treasury Bond (Fut) |
0 |
2011-06-21 |
$24,800,000 |
-2.39 |
| Ir201188 Irs Usd P V 03mlibor |
1 |
2017-11-02 |
$34,200,000 |
-2.74 |
| Ir201189 Irs Usd P F 1.64500 |
1.64 |
2014-11-02 |
$40,900,000 |
-3.28 |
