| Issue |
Coupon |
Maturity Date |
Amount Owned |
% of Fund |
| Gs + Co Joint Acct Ii Repo |
0.16 |
2011-04-01 |
$176,100,000 |
27.28 |
| US Treasury Bond (Fut) |
0 |
2011-06-30 |
$42,000,000 |
7.47 |
| FNMA |
4.5 |
2099-12-01 |
$41,000,000 |
6.46 |
| FNMA |
5.5 |
2099-12-01 |
$26,000,000 |
4.31 |
| GNMA |
4.5 |
|
$26,000,000 |
4.16 |
| Ir201189 Irs Usd R V 03mlibor |
1 |
2014-11-02 |
$26,000,000 |
4.11 |
| US Treasury Bond (Fut) |
0 |
2011-06-21 |
$17,800,000 |
3.3 |
| Ir201188 Irs Usd R F 2.75000 |
2.75 |
2017-11-02 |
$21,700,000 |
3.22 |
| FNMA |
5 |
2099-12-01 |
$17,000,000 |
2.76 |
| Gr129235 Irs Usd R V 03mlibor |
1 |
2016-06-15 |
$15,700,000 |
2.53 |
| FHLMC |
5 |
2099-12-01 |
$15,000,000 |
2.43 |
| GNMA |
5 |
2099-12-01 |
$14,000,000 |
2.3 |
| Gr129234 Irs Usd R V 03mlibor |
1 |
2016-06-15 |
$14,000,000 |
2.26 |
| Gr109865 Irs Usd R V 03mlibor |
1 |
2021-06-15 |
$13,000,000 |
2.17 |
| Ir201207 Irs Usd R V 03mlibor |
1 |
2014-11-05 |
$12,800,000 |
2.02 |
| Fhlmc Gold Single Family 4.00% |
4 |
2099-12-01 |
$12,000,000 |
1.83 |
| Ir201263 Irs Usd R V 03mlibor |
1 |
2014-11-23 |
$10,900,000 |
1.71 |
| Ir201263 Irs Usd P F 2.11556 |
2.12 |
2014-11-23 |
$10,900,000 |
-1.69 |
| Ir201207 Irs Usd P F 1.62556 |
1.63 |
2014-11-05 |
$12,800,000 |
-1.98 |
| Gr109865 Irs Usd P F 2.75000 |
2.75 |
2021-06-15 |
$13,000,000 |
-2.01 |
| Gr129234 Irs Usd P F 1.75000 |
1.75 |
2016-06-15 |
$14,000,000 |
-2.17 |
| Ultra Long Us Treas Bond Ftrs Jun11 Xcbt |
0 |
2011-06-21 |
$12,500,000 |
-2.39 |
| Gr129235 Irs Usd P F 1.75000 |
1.75 |
2016-06-15 |
$15,700,000 |
-2.43 |
| Ir201188 Irs Usd P V 03mlibor |
1 |
2017-11-02 |
$21,700,000 |
-3.36 |
| Ir201189 Irs Usd P F 1.64500 |
1.64 |
2014-11-02 |
$26,000,000 |
-4.03 |
