| Issue |
Coupon |
Maturity Date |
Amount Owned |
% of Fund |
| 3mo Euribor Interest Rate Ftrs Sep11 Xlif |
|
2011-09-19 |
$46,250,000 |
22.04 |
| Deutsche Bank Tri Party Repo Tri Party |
0.15 |
2011-04-01 |
$27,034,000 |
9.26 |
| Bank Of America Repo Term |
0.06 |
2011-04-01 |
$23,294,000 |
7.98 |
| Ultra Long Us Treas Bond Ftrs Jun11 Xcbt |
0 |
2011-06-21 |
$17,600,000 |
7.45 |
| 90day Eurodollar Futures Cme Mar13 Xcme |
0 |
2013-03-18 |
$19,000,000 |
6.36 |
| US Treasury Note 2.25% |
2.25 |
2016-03-31 |
$15,830,000 |
5.43 |
| 0wp190010 Cds Usd R V 00mevent Red Cd 2165brhk9 |
1 |
2015-12-20 |
$14,100,000 |
4.83 |
| US Treasury Note 2.375% |
2.38 |
2017-07-31 |
$13,415,000 |
4.5 |
| US Treasury Note 3.5% |
3.5 |
2020-05-15 |
$12,889,000 |
4.47 |
| US Treasury Note 3.625% |
3.62 |
2021-02-15 |
$10,490,000 |
3.64 |
| US Treasury Note 2.75% |
2.75 |
2018-02-28 |
$10,550,000 |
3.59 |
| US Treasury Note 1.875% |
1.88 |
2017-10-31 |
$8,680,000 |
2.81 |
| FNMA |
0 |
2011-07-05 |
$6,700,000 |
2.29 |
| Citigroup 5.5% |
5.5 |
2017-02-15 |
$5,570,000 |
1.98 |
| Ford Motor Credit Co 7% |
7 |
2013-10-01 |
$4,800,000 |
1.77 |
| Euro BOBL (Fut) |
0 |
2011-06-08 |
$2,800,000 |
1.56 |
| Engy Transfer Prtnrs L P 6.7% |
6.7 |
2018-07-01 |
$3,800,000 |
1.47 |
| Merrill Lynch Co Inc Mtn Be 5.45% |
5.45 |
2013-02-05 |
$3,490,000 |
1.27 |
| Delhaize Grp Sa 6.5% |
6.5 |
2017-06-15 |
$3,014,000 |
1.16 |
| US Treasury Note 2.125% |
2.12 |
2016-02-29 |
$3,330,000 |
1.14 |
| FHLMC |
0 |
2011-05-26 |
$3,220,000 |
1.1 |
| 0wp190010 Cds Usd P F 5.00000 |
5 |
2015-12-20 |
$14,100,000 |
-4.99 |
| US Treasury Bond (Fut) |
0 |
2011-06-30 |
$15,700,000 |
-5.88 |
| 90day Eurodollar Futures Cme Mar12 Xcme |
0 |
2012-03-19 |
$19,000,000 |
-6.45 |
| US Treasury Bond (Fut) |
0 |
2011-06-21 |
$101,700,000 |
-41.53 |
