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Pacific Select Fund
Holdings
Inflation Managed Portfolio
7/31/2011
Security ID Security Description Quantity Rate Maturity Date Market Value
ACI00R2F0 Japan Treasury Discount Bill 19,990,000,000 0.10 10/24/2011 259,912,844.05
912810FS2 U.S. Treasury Inflation Protected Security 216,212,228 2.00 1/15/2026 250,552,783.52
99XE23529 Eurodollar (12/13) 247,250,000 0.00 12/16/2013 243,776,137.50
912810FH6 U.S. Treasury Inflation Protected Security 161,175,016 3.88 4/15/2029 234,610,381.97
912828AF7 U.S. Treasury Inflation Protected Security 224,705,003 3.00 7/15/2012 233,429,848.86
912828FL9 U.S. Treasury Inflation Protected Security 192,046,555 2.50 7/15/2016 224,289,443.28
99XH70366 Eurodollar (03/13) 218,750,000 0.00 3/18/2013 216,934,375.00
912810PS1 U.S. Treasury Inflation Protected Security 177,195,492 2.38 1/15/2027 215,071,028.74
912828EA4 U.S. Treasury Inflation Protected Security 146,366,592 1.88 7/15/2015 163,930,583.56
912828GD6 U.S. Treasury Inflation Protected Security 138,398,807 2.38 1/15/2017 161,386,017.87
912810FD5 U.S. Treasury Inflation Protected Security 114,398,348 3.63 4/15/2028 159,755,462.19
912828ET3 U.S. Treasury Inflation Protected Security 137,507,381 2.00 1/15/2016 155,608,990.26
6325C0AW1 National Australia Bank Ltd 125,700,000 0.75 7/8/2014 127,504,549.20
9128277J5 U.S. Treasury Inflation Protected Security 111,825,680 3.38 1/15/2012 113,686,571.14
99X559720 Eurodollar (09/12) 98,500,000 0.00 9/17/2012 97,879,450.00
912810FR4 U.S. Treasury Inflation Protected Security 72,417,156 2.38 1/15/2025 87,845,413.35
912828QD5 U.S. Treasury Inflation Protected Security 74,873,414 0.13 4/15/2016 78,260,238.01
912828QV5 Treasury Inflation Protected Security 70,971,336 0.63 7/15/2021 72,673,512.52
99XI60787 Eurodollar (09/13) 73,000,000 0.00 9/16/2013 72,149,550.00
20272BAG9 Commonwealth Bank of Australia 69,400,000 0.67 7/12/2013 69,434,144.80
28099X944 Eurodollar (06/13) 68,000,000 0.00 6/17/2013 67,337,000.00
25214HAB7 Dexia Credit Local SA 68,400,000 0.73 4/29/2014 66,111,541.20
912828BD1 U.S. Treasury Inflation Protected Security 59,734,627 1.88 7/15/2013 63,668,690.01
99X559696 Eurodollar (12/12) 61,000,000 0.00 12/17/2012 60,557,750.00
912810QP6 U.S. Treasury Inflation Protected Security 51,037,704 2.13 2/15/2041 59,977,264.43
91299B005 The Goldman Sachs Group Inc 57,622,981 0.30 9/2/2011 57,622,981.00
78011CAE6 The Royal Bank of Scotland Group PLC 52,000,000 1.45 10/20/2011 52,119,184.00
833656AG6 Societe Financement de l'Economie Francaise 50,100,000 0.45 7/16/2012 50,257,815.00
99XS33337 3-Month Euribor (06/12) 34,250,000 0.00 6/18/2012 48,382,087.33
99XU14159 3-Month Euribor (09/12) 34,250,000 0.00 9/17/2012 48,369,783.88
99XU40568 3-Month Euribor (12/12) 34,250,000 0.00 12/17/2012 48,337,794.91
99XU83758 3-Month Euribor (03/13) 34,250,000 0.00 3/18/2013 48,313,188.01
802815AR1 Santander US Debt SA Unipersonal 41,700,000 1.05 3/30/2012 41,628,067.50
912828DH0 U.S. Treasury Inflation Protected Security 36,821,806 1.63 1/15/2015 40,480,973.41
983TJUII4 Italy Buoni Poliennali Del Tesoro 29,131,454 2.10 9/15/2016 39,049,894.00
982QMJII2 Holmes Master Issuer PLC 25,300,000 2.96 10/15/2054 36,420,006.24
172967EL1 Citigroup Inc 33,100,000 5.30 10/17/2012 34,657,917.70
912810QQ4 U.S. Treasury Bonds 33,400,000 4.38 5/15/2041 33,687,106.40
KRW110812 Buy: KRW / Sell: USD 34,000,000,000 0.00 8/12/2011 32,225,714.53
912828BW9 U.S. Treasury Inflation Protected Security 29,003,393 2.00 1/15/2014 31,484,546.04
90261XGF3 UBS AG 30,000,000 2.25 8/12/2013 30,459,720.00
61747YCQ6 Morgan Stanley 29,656,000 2.76 5/14/2013 30,244,048.82
BRL110802 Buy: BRL / Sell: USD 45,797,521 0.00 8/2/2011 29,530,593.84
BRL110902 Buy: BRL / Sell: USD 45,797,521 0.00 9/2/2011 29,295,414.19
INR120712 Buy: INR / Sell: USD 1,358,749,340 0.00 7/12/2012 29,222,840.90
CAD110919 Buy: CAD / Sell: USD 27,571,000 0.00 9/19/2011 28,826,194.80
912828JX9 U.S. Treasury Inflation Protected Security 22,098,510 2.13 1/15/2019 25,839,721.45
MXN111118 Buy: MXN / Sell: USD 286,513,840 0.00 11/18/2011 24,173,030.02
912828NM8 U.S. Treasury Inflation Protected Security 22,004,003 1.25 7/15/2020 24,096,099.38
71645WAT8 Petrobras International Finance Co 23,100,000 3.88 1/27/2016 24,086,901.30
52205VAA3 LeasePlan Corp NV 23,260,000 3.00 5/7/2012 23,705,661.60
78011CAC0 The Royal Bank of Scotland Group PLC 23,000,000 2.63 5/11/2012 23,370,944.00
B39J6FII5 Italy Buoni Poliennali Del Tesoro 18,148,361 2.35 9/15/2019 23,265,261.94
172967FM8 Citigroup Inc 21,100,000 1.11 2/15/2013 21,110,043.60
912828MF4 U.S. Treasury Inflation Protected Security 18,879,175 1.38 1/15/2020 20,917,540.20
31416VTL8 Fannie Mae 19,227,851 4.50 4/1/2024 20,501,696.17
CNY120213 Buy: CNY / Sell: USD 123,616,090 0.00 2/13/2012 19,272,756.14
608044II6 Australia Government Bond 10,000,000 4.00 8/20/2020 19,013,149.15
20272BAD6 Commonwealth Bank of Australia 18,500,000 0.75 6/25/2014 18,644,281.50
31397JTZ7 Freddie Mac 18,328,307 0.42 2/15/2019 18,350,830.37
B29HRSII0 New South Wales Treasury Corp 14,400,000 2.75 11/20/2025 17,737,070.19
38141GEG5 The Goldman Sachs Group Inc 18,500,000 0.70 3/22/2016 17,441,541.00
KRW111114 Buy: KRW / Sell: USD 18,000,000,000 0.00 11/14/2011 16,953,802.93
912828LA6 U.S. Treasury Inflation Protected Security 14,506,962 1.88 7/15/2019 16,728,340.90
31395HHV5 Freddie Mac Structured Pass-Through Securities 15,976,238 1.47 10/25/2044 16,269,114.43
449786AG7 ING Bank NV 15,700,000 1.57 10/18/2013 15,803,588.60
912810PV4 U.S. Treasury Inflation Protected Security 13,383,440 1.75 1/15/2028 14,989,453.25
912828GX2 U.S. Treasury Inflation Protected Security 12,263,625 2.63 7/15/2017 14,612,881.80
959ZYVII1 Italy Buoni Poliennali Del Tesoro 11,875,950 2.10 9/15/2021 14,140,261.42
22238HGQ7 Countrywide Financial Corp 13,612,000 5.80 6/7/2012 14,115,235.64
07386HVS7 Bear Stearns Alt-A Trust 19,052,430 2.87 9/25/2035 13,588,097.53
34988WAF1 Fosse Master Issuer PLC 13,300,000 1.65 10/18/2054 13,327,987.19
9612EMAG4 Westpac Banking Corp 12,300,000 3.59 8/14/2014 13,123,029.90
02005NAG5 Ally Financial Inc 13,000,000 3.47 2/11/2014 12,789,413.00
PHP120315 Buy: PHP / Sell: USD 543,525,200 0.00 3/15/2012 12,667,026.09
62888WAB2 NCUA Guaranteed Notes 12,028,519 0.75 12/8/2020 12,126,311.24
31396RXM4 Freddie Mac 11,777,638 0.64 8/15/2033 11,788,922.05
CAD110919 Buy: CAD / Sell: USD 11,261,000 0.00 9/19/2011 11,773,667.24
KRW111114 Buy: KRW / Sell: USD 12,451,521,000 0.00 11/14/2011 11,727,812.96
02005NAH3 Ally Financial Inc 11,700,000 3.65 6/20/2014 11,454,885.00
B4RNSXII1 Australia Government Bond 8,900,000 3.00 9/20/2025 11,446,277.89
345397TY9 Ford Motor Credit Co LLC 10,800,000 7.25 10/25/2011 10,932,872.40
62888VAA6 NCUA Guaranteed Notes 10,741,757 0.64 10/7/2020 10,770,329.63
KRW111114 Buy: KRW / Sell: USD 11,249,346,000 0.00 11/14/2011 10,595,510.85
07402FAA3 Bear Stearns Structured Products Inc 16,707,827 2.66 1/26/2036 10,506,190.88
B1GYNQII5 The Goldman Sachs Group Inc 7,500,000 1.72 11/15/2014 10,472,862.00
912810QF8 U.S. Treasury Inflation Protected Security 8,738,708 2.13 2/15/2040 10,255,695.28
INR110812 Buy: INR / Sell: USD 451,091,713 0.00 8/12/2011 10,189,409.07
00182UAD5 ANZ National International Ltd 10,000,000 0.70 8/19/2014 10,067,080.00
05571AAB1 BPCE SA 9,862,000 2.38 10/4/2013 10,057,800.15
27876GBF4 DISH DBS Corp 9,000,000 7.00 10/1/2013 9,742,500.00
MYR120423 Buy: MYR / Sell: USD 28,737,728 0.00 4/23/2012 9,499,510.11
59018YM40 Merrill Lynch & Co Inc 9,000,000 5.45 2/5/2013 9,476,676.00
05533UAB4 BBVA Bancomer SA 9,100,000 6.50 3/10/2021 9,464,000.00
25214GAB9 Dexia Credit Local SA 'NY' 9,450,000 0.65 3/5/2013 9,428,935.95
902911AM8 UST Inc 8,900,000 6.63 7/15/2012 9,363,930.30
31397JAB0 Freddie Mac 9,338,528 0.34 10/15/2020 9,298,827.71
B1VXJJ900 Penta CLO SA 7,068,643 1.93 6/4/2024 9,290,560.69
85748R009 Fixed Income Clearing Corp 8,839,820 0.01 8/1/2011 8,839,820.44
026874BS5 American International Group Inc 7,900,000 8.18 5/15/2068 8,640,625.00
78010XAF8 The Royal Bank of Scotland Group PLC 8,300,000 2.68 8/23/2013 8,467,635.10
59018YJ36 Merrill Lynch & Co Inc 8,000,000 6.05 8/15/2012 8,353,640.00
89354FAD3 TransCapitalInvest Ltd for OJSC AK Transneft 7,500,000 7.70 8/7/2013 8,338,057.50
INR110812 Buy: INR / Sell: USD 367,000,000 0.00 8/12/2011 8,289,917.59
912828CP3 U.S. Treasury Inflation Protected Security 7,395,300 2.00 7/15/2014 8,139,452.39
20272BAL8 Commonwealth Bank of Australia 8,100,000 0.53 9/17/2014 8,113,008.60
172967FG1 Citigroup Inc 7,912,000 2.26 8/13/2013 8,036,780.15
205944AB7 Con-way Inc 7,000,000 7.25 1/15/2018 7,973,476.00
9612EAAA3 Westpac Securities NZ Ltd 7,800,000 2.50 5/25/2012 7,920,619.20
B2QH7JII3 Citigroup Inc 5,000,000 6.40 3/27/2013 7,582,352.29
INR110812 Buy: INR / Sell: USD 334,000,000 0.00 8/12/2011 7,544,502.66
23613NAA8 DanFin Funding Ltd 7,400,000 0.95 7/16/2013 7,402,131.20
31407UMR5 Fannie Mae 6,920,513 2.66 11/1/2034 7,315,473.88
25214BAB0 Dexia Credit Local SA 7,300,000 0.90 9/23/2011 7,304,876.40
99WPWXII7 Merrill Lynch & Co Inc 5,000,000 1.60 2/16/2012 7,167,957.72
B1Z5FXII1 Italy Buoni Poliennali Del Tesoro 5,818,234 2.60 9/15/2023 7,074,849.75
INR110812 Buy: INR / Sell: USD 309,500,000 0.00 8/12/2011 6,991,088.54
99RTETII4 SLM Student Loan Trust 5,000,000 1.69 10/25/2023 6,716,980.92
127210AB8 Cadbury Schweppes US Finance LLC 6,200,000 5.13 10/1/2013 6,715,052.60
SWPC286J1 Dow Jones CDX EM14 52,500,000 0.00 12/20/2015 6,659,054.62
977ABKII3 Arran Residential Mortgages Funding PLC 4,600,000 2.87 11/19/2047 6,603,419.86
912828PP9 U.S. Treasury Inflation Protected Security 5,938,658 1.13 1/15/2021 6,396,118.23
871557AA2 Symphony CLO Ltd 6,500,000 0.50 5/15/2019 6,158,160.65
06740M9A3 Barclays Bank PLC 'NY' 6,100,000 1.39 12/16/2011 6,122,905.50
172967FE6 Citigroup Inc 5,600,000 6.00 12/13/2013 6,081,577.60
IDR111031 Buy: IDR / Sell: USD 50,668,800,000 0.00 10/31/2011 5,891,606.75
026874BT3 American International Group Inc 4,900,000 8.25 8/15/2018 5,825,487.50
85590AAD6 Starwood Hotels & Resorts Worldwide Inc 5,500,000 7.88 5/1/2012 5,775,000.00
INR110812 Buy: INR / Sell: USD 249,500,000 0.00 8/12/2011 5,635,788.66
44920UAC2 Hyundai Capital Services 5,300,000 4.38 7/27/2016 5,549,126.50
459745GC3 International Lease Finance Corp 5,100,000 7.13 9/1/2018 5,457,000.00
574599BD7 Masco Corp 5,300,000 6.13 10/3/2016 5,428,811.20
29078EAC9 Embarq Corp 5,000,000 6.74 6/1/2013 5,410,780.00
59020U5W1 Merrill Lynch Mortgage Investors Inc 8,440,897 5.74 3/25/2036 5,400,152.29
83162CRL9 Small Business Administration Participation Certificates 4,889,271 5.29 12/1/2027 5,385,237.58
94983YAQ2 Wells Fargo Mortgage-Backed Securities Trust 6,059,086 2.73 7/25/2036 5,050,154.54
B3SSHYII1 Australia Government Bond 4,200,000 2.50 9/20/2030 4,981,115.50
07402FAC9 Bear Stearns Structured Products Inc 7,500,961 5.00 12/26/2046 4,858,458.70
78010JCT7 The Royal Bank of Scotland Group PLC 4,800,000 3.00 12/9/2011 4,842,936.00
INR110812 Buy: INR / Sell: USD 214,308,827 0.00 8/12/2011 4,840,878.78
B1VX1CII5 American International Group Inc 370,000,000 0.31 4/3/2012 4,787,790.87
31395M2F5 Freddie Mac Structured Pass-Through Securities 4,756,947 1.48 2/25/2045 4,772,509.86
912828MY3 U.S. Treasury Inflation Protected Security 4,326,500 0.50 4/15/2015 4,584,739.60
761655AA7 Rexam PLC 4,200,000 6.75 6/1/2013 4,556,626.20
3623414A4 GSR Mortgage Loan Trust 5,625,174 2.80 1/25/2036 4,536,486.17
879868AL1 Temple-Inland Inc 4,000,000 6.63 1/15/2018 4,494,244.00
260543BZ5 The Dow Chemical Co 4,300,000 4.85 8/15/2012 4,479,206.80
B02YX8II1 Granite Mortgages PLC 2,846,766 1.02 9/20/2044 4,462,550.29
31396V4Q8 Fannie Mae 4,468,197 0.25 7/25/2037 4,402,338.81
30215EAJ6 Export-Import Bank of Korea 4,400,000 0.47 10/4/2011 4,401,086.80
PHP111115 Buy: PHP / Sell: USD 186,500,000 0.00 11/15/2011 4,386,804.81
85590AAL8 Starwood Hotels & Resorts Worldwide Inc 3,900,000 6.75 5/15/2018 4,377,750.00
KRW110812 Buy: KRW / Sell: USD 4,488,000,000 0.00 8/12/2011 4,253,794.32
78011HT39 The Royal Bank of Scotland Group PLC 4,200,000 1.62 10/15/2012 4,218,114.60
912828HN3 U.S. Treasury Inflation Protected Security 3,688,265 1.63 1/15/2018 4,165,721.74
SGD110909 Buy: SGD / Sell: USD 5,000,000 0.00 9/9/2011 4,152,817.25
12644CAQ3 Credit Suisse Mortgage Capital Certificates 3,700,000 5.47 9/18/2039 4,101,141.05
B1BDFNII2 Merrill Lynch & Co Inc 2,900,000 1.70 8/9/2013 4,095,593.75
995VZXII1 Bank of America Corp 2,500,000 0.92 6/11/2012 4,077,471.57
025816BA6 American Express Co 3,500,000 7.25 5/20/2014 4,037,166.00
22238HGR5 Countrywide Financial Corp 4,000,000 0.71 5/7/2012 3,996,844.00
IDR111031 Buy: IDR / Sell: USD 34,225,000,000 0.00 10/31/2011 3,979,574.04
71654QAX0 Petroleos Mexicanos 3,700,000 5.50 1/21/2021 3,966,400.00
3128NFFX0 Freddie Mac 3,747,192 4.75 7/1/2036 3,948,639.24
368266AN2 Gaz Capital SA 3,700,000 5.09 11/29/2015 3,931,250.00
305915AC4 Xstrata Canada Corp 3,700,000 7.35 6/5/2012 3,889,599.10
53079EAC8 Liberty Mutual Group Inc 3,600,000 5.75 3/15/2014 3,839,691.60
61752LAA3 Morgan Stanley Capital I 3,868,499 0.25 10/15/2020 3,812,187.14
41161PA86 Harborview Mortgage Loan Trust 6,092,125 0.43 3/19/2036 3,773,873.30
INR110812 Buy: INR / Sell: USD 166,000,000 0.00 8/12/2011 3,749,663.00
31414R7J8 Fannie Mae 3,494,864 4.50 4/1/2023 3,726,398.94
MYR110811 Buy: MYR / Sell: USD 11,013,928 0.00 8/11/2011 3,708,389.24
152312AN4 Centex Corp 3,500,000 5.70 5/15/2014 3,666,250.00
PHP111115 Buy: PHP / Sell: USD 154,700,000 0.00 11/15/2011 3,638,813.43
12645AAS2 Credit Suisse Mortgage Capital Certificates 3,200,000 5.47 9/18/2039 3,515,356.48
45974VA81 International Lease Finance Corp 3,400,000 5.63 9/20/2013 3,480,750.00
912828KM1 U.S. Treasury Inflation Protected Security 3,245,382 1.25 4/15/2014 3,472,052.89
912828JE1 U.S. Treasury Inflation Protected Security 3,101,251 1.38 7/15/2018 3,463,226.14
40414LAA7 HCP Inc 3,000,000 6.70 1/30/2018 3,436,392.00
959LQXII7 Magnolia Funding Ltd 2,369,681 3.00 4/20/2017 3,432,052.55
61747WAE9 Morgan Stanley 3,400,000 1.85 1/24/2014 3,398,742.00
949746804 Wells Fargo & Co 7.500% 3,200 7.50 3,397,440.00
CNY111115 Buy: CNY / Sell: USD 21,812,000 0.00 11/15/2011 3,390,392.24
45974VB80 International Lease Finance Corp 3,200,000 6.63 11/15/2013 3,344,000.00
SGD110909 Buy: SGD / Sell: USD 4,000,000 0.00 9/9/2011 3,322,253.80
SGD110909 Buy: SGD / Sell: USD 4,000,000 0.00 9/9/2011 3,322,253.80
31394VL73 Fannie Mae 3,090,044 2.52 5/25/2035 3,297,134.56
38741YBZ1 Granite Master Issuer PLC 3,424,254 0.23 12/20/2054 3,273,586.94
78442FEH7 SLM Corp 2,912,000 8.45 6/15/2018 3,260,950.78
88880LAA1 Tobacco Settlement Finance Authority WV 'A' 4,335,000 7.47 6/1/2047 3,221,208.45
SGD110909 Buy: SGD / Sell: USD 3,865,202 0.00 9/9/2011 3,210,295.51
85590AAK0 Starwood Hotels & Resorts Worldwide Inc 3,000,000 6.25 2/15/2013 3,195,000.00
912810PZ5 U.S. Treasury Inflation Protected Security 2,567,636 2.50 1/15/2029 3,180,659.59
31359M7M9 Fannie Mae 3,050,000 5.38 4/11/2022 3,145,135.60
3128NHPT4 Freddie Mac 3,034,556 6.23 9/1/2036 3,132,046.11
617446B99 Morgan Stanley 3,200,000 0.55 1/9/2014 3,098,812.80
459745FY6 International Lease Finance Corp 2,900,000 6.50 9/1/2014 3,088,500.00
CNY111115 Buy: CNY / Sell: USD 19,462,960 0.00 11/15/2011 3,025,264.46
36186CBQ5 General Motors Acceptance Corp 3,000,000 6.88 9/15/2011 3,021,750.00
02660BAA0 American Home Mortgage Assets 6,131,093 0.96 2/25/2047 3,000,808.37
929766UK7 Wachovia Bank Commercial Mortgage Trust 2,800,000 5.09 8/15/2041 2,995,639.92
912828HW3 U.S. Treasury Inflation Protected Security 2,896,719 0.63 4/15/2013 2,993,350.65
59018YE72 Merrill Lynch & Co Inc 3,000,000 0.48 6/5/2012 2,991,894.00
IDR111031 Buy: IDR / Sell: USD 25,364,400,000 0.00 10/31/2011 2,949,291.68
9612EMAJ8 Westpac Banking Corp 2,900,000 0.53 9/10/2014 2,905,495.50
76126CUK6 RACERS CLO 2,966,426 0.48 7/25/2017 2,903,865.17
985JYHII6 Arran Residential Mortgages Funding PLC 2,017,003 2.62 5/16/2047 2,897,823.11
IDR120131 Buy: IDR / Sell: USD 24,939,600,000 0.00 1/31/2012 2,864,097.96
B282WHII2 Merrill Lynch & Co Inc 2,000,000 2.28 9/27/2012 2,821,596.02
9127952A8 U.S. Treasury Bills 2,801,000 0.08 8/25/2011 2,800,859.95
INR110812 Buy: INR / Sell: USD 122,688,000 0.00 8/12/2011 2,771,317.19
135087ZQ0 Canadian Government Bond 2,500,000 2.75 9/1/2016 2,704,746.45
05950XAE6 Banc of America Commercial Mortgage Inc 2,500,000 5.41 9/10/2047 2,698,443.75
92858GAB0 Vodafone Americas Finance 2 2,588,325 1.00 8/11/2015 2,678,916.01
459745GA7 International Lease Finance Corp 2,500,000 6.75 9/1/2016 2,662,500.00
SGD110909 Buy: SGD / Sell: USD 3,200,000 0.00 9/9/2011 2,657,803.04
CNY111115 Buy: CNY / Sell: USD 16,858,000 0.00 11/15/2011 2,620,357.25
07386HZJ3 Bear Stearns Alt-A Trust 4,913,763 2.64 1/25/2036 2,560,348.04
26357RAB0 Duane Street CLO 2,620,014 0.52 11/8/2017 2,536,489.19
36228CZU0 GS Mortgage Securities Corp II 2,500,000 1.32 3/6/2020 2,460,806.00
05951EAM9 Banc of America Funding Corp 3,445,361 5.77 1/20/2047 2,419,792.37
78442FBS6 SLM Corp 2,472,000 5.68 1/31/2014 2,416,923.84
92845GAF7 Vita Capital III Ltd 2,400,000 1.37 1/1/2012 2,385,600.00
B2RM71II0 American International Group Inc 1,400,000 8.63 5/22/2038 2,349,737.45
92658TAG3 Videotron Ltee 2,309,000 6.88 1/15/2014 2,346,521.25
55607EAD2 Macquarie Bank Ltd 2,320,000 2.60 1/20/2012 2,344,554.88
9127953E9 U.S. Treasury Bills 2,341,000 0.18 8/18/2011 2,340,940.75
73316NAA3 Popular ABS Mortgage Pass-Through Trust 2,625,121 0.28 6/25/2047 2,325,563.12
36242D4W0 GSR Mortgage Loan Trust 2,888,547 2.77 5/25/2035 2,308,300.20
345397VG5 Ford Motor Credit Co LLC 2,200,000 7.80 6/1/2012 2,298,850.40
B10S5FII9 Wood Street CLO BV 1,675,343 1.76 3/29/2021 2,294,897.64
31737UAH1 FIH Erhvervsbank AS 2,200,000 2.00 6/12/2013 2,250,644.00
SGD110909 Buy: SGD / Sell: USD 2,700,000 0.00 9/9/2011 2,242,521.31
PHP120315 Buy: PHP / Sell: USD 95,900,000 0.00 3/15/2012 2,234,979.72
910MDSII8 ING Bank Australia Ltd 2,000,000 5.67 6/24/2014 2,212,023.30
55616XAD9 Macy's Retail Holdings Inc 2,000,000 5.88 1/15/2013 2,125,648.00
B1P2PQII3 Merrill Lynch & Co Inc 1,500,000 1.87 1/31/2014 2,109,222.31
MYR110811 Buy: MYR / Sell: USD 6,160,000 0.00 8/11/2011 2,074,071.82
05966TAB3 Banco Santander Brasil SA 2,000,000 4.50 4/6/2015 2,057,500.00
PHP120315 Buy: PHP / Sell: USD 87,000,000 0.00 3/15/2012 2,027,562.42
41161VAC4 Harborview Mortgage Loan Trust 3,148,784 0.39 9/19/2046 1,966,048.73
5252M0FD4 Lehman Brothers Holdings Inc 7,000,000 6.88 5/2/2018 1,951,250.00
MYR110811 Buy: MYR / Sell: USD 5,692,800 0.00 8/11/2011 1,916,765.59
10778XAB2 BRFkredit AS 1,900,000 0.50 4/15/2013 1,901,596.00
912810FQ6 U.S. Treasury Inflation Protected Security 1,323,754 3.38 4/15/2032 1,878,075.42
05956MAA2 Banc of America Large Loan Inc 1,700,000 5.64 2/17/2051 1,870,600.44
PHP111115 Buy: PHP / Sell: USD 79,100,000 0.00 11/15/2011 1,860,569.76
PHP111115 Buy: PHP / Sell: USD 79,000,000 0.00 11/15/2011 1,858,217.59
PHP111115 Buy: PHP / Sell: USD 78,700,000 0.00 11/15/2011 1,851,161.07
12667GJJ3 Countrywide Alternative Loan Trust 2,200,000 5.50 6/25/2035 1,840,223.00
833656AA9 Societe Financement de l'Economie Francaise 1,800,000 2.13 1/30/2012 1,814,315.40
B46D2MII8 The Royal Bank of Scotland Group PLC 1,800,000 1.15 4/23/2012 1,811,012.40
46630EAC4 JPMorgan Chase Commercial Mortgage Securities Corp 1,650,000 5.43 12/12/2043 1,796,973.42
05955FAA8 Banc of America Large Loan Inc 1,600,000 5.61 6/24/2050 1,765,955.52
MYR111110 Buy: MYR / Sell: USD 5,246,285 0.00 11/10/2011 1,754,535.10
MYR110811 Buy: MYR / Sell: USD 5,100,000 0.00 8/11/2011 1,717,169.85
MYR110811 Buy: MYR / Sell: USD 5,100,000 0.00 8/11/2011 1,717,169.85
86359B7K1 Structured Asset Securities Corp 2,142,346 1.69 4/25/2035 1,711,791.20
46629PAC2 JPMorgan Chase Commercial Mortgage Securities Corp 1,590,000 5.34 5/15/2047 1,702,402.19
45660N6S9 IndyMac Index Mortgage Loan Trust 2,233,488 2.66 12/25/2034 1,628,922.94
07387VAA7 Bear Stearns Asset-Backed Securities Trust 2,584,750 1.19 10/25/2037 1,616,667.91
118217AS7 Buckeye Tobacco Settlement Financing Authority of OH 'A2' 2,100,000 6.00 6/1/2042 1,602,363.00
17307GXP8 Citigroup Mortgage Loan Trust Inc 1,706,759 2.37 8/25/2035 1,601,190.52
07387AAB1 Bear Stearns Adjustable Rate Mortgage Trust 2,063,303 2.76 3/25/2035 1,585,529.95
46632TAA3 JPMorgan Mortgage Trust 1,910,326 5.40 7/27/2037 1,581,173.84
07387ACJ2 Bear Stearns Adjustable Rate Mortgage Trust 1,698,249 2.34 8/25/2035 1,577,025.66
929227R65 Washington Mutual Mortgage Pass-Through Certificates 1,601,618 2.58 6/25/2033 1,570,119.66
05950EAE8 Banc of America Commercial Mortgage Inc 1,400,000 5.73 5/10/2045 1,563,052.82
SWPC276J3 Dow Jones CDX EM14 12,200,000 0.00 12/20/2015 1,547,437.46
07384M7D8 Bear Stearns Adjustable Rate Mortgage Trust 1,653,193 2.73 3/25/2035 1,532,597.12
981SELII3 Swan 1,378,703 6.16 4/25/2041 1,525,695.36
78442FBX5 SLM Corp 1,535,000 5.16 3/17/2014 1,519,343.00
752477II2 SLM Student Loan Trust 1,083,309 1.74 9/15/2021 1,511,481.96
12668BE33 Countrywide Alternative Loan Trust 2,370,757 0.40 7/25/2046 1,504,121.96
93364CAA6 Washington Mutual Mortgage Pass-Through Certificates 2,208,213 1.03 5/25/2047 1,498,483.23
05966TAE7 Banco Santander Brasil SA 1,500,000 0.00 12/28/2011 1,489,800.00
02262BAB0 Alzette European CLO SA 1,536,760 0.57 12/15/2020 1,489,770.85
990UNGII8 Lehman Brothers Holdings Inc 4,210,000 1.00 6/12/2013 1,466,966.40
PHP111115 Buy: PHP / Sell: USD 61,188,060 0.00 11/15/2011 1,439,249.74
59024WAB3 MLCC Mortgage Investors Inc 1,595,338 5.69 6/25/2037 1,402,670.68
9127953L3 U.S. Treasury Bills 1,400,000 0.15 9/29/2011 1,399,905.92
02149CAJ0 Countrywide Alternative Loan Trust 2,126,990 6.00 1/25/2037 1,367,431.13
63937BAA9 Navigare Funding CLO Ltd 1,400,000 0.52 5/20/2019 1,353,125.61
17307GXQ6 Citigroup Mortgage Loan Trust Inc 1,558,178 2.45 8/25/2035 1,335,906.76
B00Z1FII9 Harvest CLO I SA 966,644 2.00 3/29/2017 1,326,512.11
36242DUL5 GSR Mortgage Loan Trust 1,496,261 3.04 1/25/2035 1,310,086.43
368287AD0 Gaz Capital SA 1,200,000 7.34 4/11/2013 1,306,200.00
34539KAE4 Ford Motor Co 1,303,463 1.00 12/15/2013 1,304,070.12
585525FC7 Mellon Residential Funding Corp 1,414,314 0.89 11/15/2031 1,291,918.63
45112EAA7 ICICI Bank Ltd 1,300,000 2.01 2/24/2014 1,271,462.40
466247TQ6 JPMorgan Mortgage Trust 1,531,448 3.12 8/25/2035 1,266,739.65
92922FW87 Washington Mutual Mortgage Pass-Through Certificates 1,452,335 5.51 8/25/2035 1,266,566.21
B1J36KII2 Morgan Stanley 900,000 1.73 11/29/2013 1,262,017.15
12669GN64 Countrywide Home Loan Mortgage Pass-Through Trust 1,391,216 0.53 6/25/2035 1,261,180.08
CAD110919 Buy: CAD / Sell: USD 1,199,000 0.00 9/19/2011 1,253,585.56
05962GAA7 Banco Mercantil del Norte SA 1,200,000 4.38 7/19/2015 1,233,000.00
67073VAB8 NYLIM Flatiron CLO Ltd 1,300,000 0.49 8/8/2020 1,229,770.53
571748AP7 Marsh & McLennan Cos Inc 1,092,000 5.75 9/15/2015 1,228,438.85
94981XAA1 Wells Fargo Mortgage-Backed Securities Trust 1,296,108 4.98 12/25/2034 1,222,187.17
SGD110909 Buy: SGD / Sell: USD 1,453,923 0.00 9/9/2011 1,207,575.38
345397TZ6 Ford Motor Credit Co LLC 1,100,000 7.00 10/1/2013 1,185,618.50
MYR110811 Buy: MYR / Sell: USD 3,500,000 0.00 8/11/2011 1,178,449.90
PHP120315 Buy: PHP / Sell: USD 50,000,000 0.00 3/15/2012 1,165,265.76
9127953K5 U.S. Treasury Bills 1,160,000 0.07 9/15/2011 1,159,934.15
39538RAB5 Greenpoint Mortgage Funding Trust 1,726,942 0.41 6/25/2045 1,150,042.30
59020UL60 MLCC Mortgage Investors Inc 1,356,001 0.44 11/25/2035 1,145,993.07
MYR110811 Buy: MYR / Sell: USD 3,400,000 0.00 8/11/2011 1,144,779.90
MYR110811 Buy: MYR / Sell: USD 3,400,000 0.00 8/11/2011 1,144,779.90
MYR110811 Buy: MYR / Sell: USD 3,400,000 0.00 8/11/2011 1,144,779.90
B1RM80II3 Merrill Lynch & Co Inc 700,000 1.00 2/21/2012 1,144,190.00
31415SVA7 Fannie Mae 1,067,817 4.50 8/1/2023 1,138,559.91
B5B6BBII8 Italy Certification di Credito Del Tesoro 900,000 2.43 10/15/2017 1,131,855.63
MYR110811 Buy: MYR / Sell: USD 3,300,000 0.00 8/11/2011 1,111,109.90
46630GAA3 JPMorgan Mortgage Trust 1,209,992 2.80 7/25/2035 1,110,258.41
17307GTK4 Citigroup Mortgage Loan Trust Inc 2,211,620 2.80 8/25/2035 1,103,314.41
31406KBE9 Fannie Mae 1,035,300 4.87 4/1/2035 1,090,142.89
532716AM9 Limited Brands Inc 1,000,000 6.90 7/15/2017 1,085,000.00
SGD110909 Buy: SGD / Sell: USD 1,300,000 0.00 9/9/2011 1,079,732.48
SGD110909 Buy: SGD / Sell: USD 1,300,000 0.00 9/9/2011 1,079,732.48
SGD110909 Buy: SGD / Sell: USD 1,300,000 0.00 9/9/2011 1,079,732.48
CNY111115 Buy: CNY / Sell: USD 6,862,000 0.00 11/15/2011 1,066,608.82
576433UL8 MASTR Adjustable Rate Mortgages Trust 1,076,265 2.77 11/21/2034 1,060,342.72
863579VM7 Structured Adjustable Rate Mortgage Loan Trust 1,388,223 2.58 8/25/2035 1,060,327.38
31408B5A2 Fannie Mae 966,807 5.38 1/1/2036 1,041,185.23
78442FBQ0 SLM Corp 1,055,000 5.61 2/1/2014 1,033,214.25
31408DC85 Fannie Mae 931,555 5.33 11/1/2035 1,003,864.33
SGD110909 Buy: SGD / Sell: USD 1,200,000 0.00 9/9/2011 996,676.14
SGD110909 Buy: SGD / Sell: USD 1,200,000 0.00 9/9/2011 996,676.14
SGD110909 Buy: SGD / Sell: USD 1,200,000 0.00 9/9/2011 996,676.14
12514AAE1 Citigroup/Deutsche Bank Commercial Mortgage Trust 900,000 5.89 11/15/2044 990,645.66
B0FGXKII9 Harbourmaster CLO Ltd 714,425 1.73 6/15/2020 967,273.35
SWPC521J6 Dow Jones CDX EM14 7,600,000 0.00 12/20/2015 963,977.43
52517PQ46 Lehman Brothers Holdings Inc 3,600,000 1.00 12/23/2008 963,000.00
45661EAV6 IndyMac Index Mortgage Loan Trust 1,518,942 0.40 5/25/2046 959,071.20
86359LRW1 Structured Asset Mortgage Investments Inc 1,547,674 0.47 2/25/2036 950,653.20
94983PAF5 Wells Fargo Mortgage-Backed Securities Trust 1,000,000 5.62 4/25/2036 930,932.00
466247UG6 JPMorgan Mortgage Trust 1,168,696 3.03 8/25/2035 927,332.45
SGD110909 Buy: SGD / Sell: USD 1,100,000 0.00 9/9/2011 913,619.79
07389VAA5 Bear Stearns Asset-Backed Securities Trust 1,235,662 0.30 11/25/2036 900,174.49
07384M4J8 Bear Stearns Adjustable Rate Mortgage Trust 1,018,523 4.95 1/25/2035 898,456.07
059512AB9 Banc of America Commercial Mortgage Inc 875,201 5.62 6/10/2049 896,648.99
639107AA9 Nautique Funding Ltd CDO 962,297 0.50 4/15/2020 895,607.92
05949A6C9 Banc of America Mortgage Securities Inc 1,057,317 2.87 6/25/2035 887,154.30
00174EAB5 AMMC CLO 900,000 0.48 5/3/2018 880,021.74
86359LPD5 Structured Asset Mortgage Investments Inc 1,263,875 0.44 7/19/2035 870,274.68
38741YCD9 Granite Master Issuer PLC 907,739 0.29 12/20/2054 867,798.84
9127953K5 U.S. Treasury Bills 860,000 0.16 9/15/2011 859,899.03
02687QBC1 American International Group Inc 800,000 5.60 10/18/2016 858,836.80
B11Z90II1 HSBC Finance Corp 600,000 1.81 4/5/2013 853,943.21
833656AE1 Societe Financement de l'Economie Francaise 800,000 3.38 5/5/2014 853,125.60
B0ZN1PII6 Morgan Stanley 600,000 1.76 3/1/2013 853,096.59
059512AQ6 Banc of America Commercial Mortgage Inc 875,202 0.36 6/10/2049 847,637.64
17284TAJ6 CIT Group Inc 833,333 6.25 8/11/2015 837,574.16
126670UT3 Countrywide Asset-Backed Certificates 979,952 0.38 6/25/2036 825,405.00
31406UN79 Fannie Mae 751,268 4.74 3/1/2035 791,941.94
999GBPZ94 POUND STERLING 479,627 0.00 787,284.84
92922F5T1 Washington Mutual Mortgage Pass-Through Certificates 958,010 0.45 11/25/2045 778,291.99
058739AB9 Ballyrock CLO II Ltd 'B' 800,000 1.21 11/20/2015 757,391.46
60688CAE6 Merrill Lynch/Countrywide Commercial Mortgage Trust 700,000 5.70 9/12/2049 756,503.65
SWPC285J2 Dow Jones CDX EM14 5,900,000 0.00 12/20/2015 748,350.90
585525EN4 Mellon Residential Funding Corp 824,899 0.63 12/15/2030 747,290.00
86360KAE8 Structured Asset Mortgage Investments Inc 1,315,710 0.41 5/25/2036 738,870.64
16165VAJ7 ChaseFlex Trust 960,228 6.00 2/25/2037 737,497.65
CAD110919 Buy: CAD / Sell: USD 700,000 0.00 9/19/2011 731,868.14
38741YDC0 Granite Master Issuer PLC 764,412 0.28 12/20/2054 730,777.98
05949CED4 Banc of America Mortgage Securities Inc 895,097 3.03 8/25/2035 726,012.59
EUR110919 Buy: EUR / Sell: USD 504,000 0.00 9/19/2011 723,395.44
64352VQR5 New Century Home Equity Loan Trust 1,178,509 0.37 5/25/2036 715,111.65
17311XAA3 Citigroup Mortgage Loan Trust Inc 1,001,692 0.27 1/25/2037 711,158.61
59020UW68 Merrill Lynch Mortgage Investors Inc 815,166 5.42 12/25/2035 695,270.43
81743WAA9 Sequoia Mortgage Trust 781,847 0.54 10/19/2026 689,423.97
94981WAA3 Wells Fargo Mortgage-Backed Securities Trust 703,014 2.77 9/25/2034 688,606.24
92925CDA7 Washington Mutual Mortgage Pass-Through Certificates 892,355 1.26 2/25/2046 683,357.94
31394ANT9 Fannie Mae 713,466 0.34 8/25/2034 682,500.37
31407NBS1 Fannie Mae 617,028 5.22 9/1/2035 659,039.69
31408GAM9 Fannie Mae 604,167 5.51 3/1/2036 652,742.50
36290PAS6 GSMPS Mortgage Loan Trust 640,272 7.00 6/25/2043 651,358.14
31392VW99 Freddie Mac 641,916 5.50 3/15/2017 648,913.31
B1JC1LII5 Aquilae CLO PLC 473,248 2.06 1/17/2023 637,484.26
31407T6E5 Fannie Mae 594,947 5.16 10/1/2035 632,172.87
SWPC630L9 Dow Jones CDX EM15 4,600,000 0.00 6/20/2016 623,251.59
126670HG6 Countrywide Asset-Backed Certificates 698,873 0.44 4/25/2036 614,062.34
999EURZ94 EURO CURRENCY 417,008 0.00 599,198.61
31336CLR2 Freddie Mac 559,121 2.49 1/1/2034 586,255.36
50182BAA8 LCM LP CDO 600,000 0.48 3/21/2019 565,741.47
86359LDX4 Structured Asset Mortgage Investments Inc 645,874 0.52 10/19/2034 563,651.80
31394ACF1 Fannie Mae 553,558 5.95 2/25/2044 559,118.33
63936JAB1 Navigator CDO Ltd 565,349 1.11 11/15/2015 549,818.63
455434BF6 Indianapolis Power & Light Co 500,000 6.30 7/1/2013 546,742.00
39538WEA2 Greenpoint Mortgage Funding Trust 867,454 0.46 11/25/2045 536,926.94
52517P5X5 Lehman Brothers Holdings Inc 1,900,000 6.20 9/26/2014 524,875.00
SGD111209 Buy: SGD / Sell: USD 630,075 0.00 12/9/2011 523,565.12
CNY120213 Buy: CNY / Sell: USD 3,276,000 0.00 2/13/2012 510,755.11
SWP085400 France CPI Excluding Tobacco 11,800,000 0.00 10/15/2011 506,305.37
31393CX40 Fannie Mae 501,233 0.54 5/25/2042 500,394.50
118217AR9 Buckeye Tobacco Settlement Financing Authority of OH 'A2' 650,000 5.75 6/1/2034 492,121.50
55616XAA5 Macy's Retail Holdings Inc 400,000 7.45 7/15/2017 483,120.00
31396L4T4 Fannie Mae 485,625 0.25 12/25/2036 478,742.90
93363QAC2 Washington Mutual Mortgage Pass-Through Certificates 618,296 1.76 11/25/2046 461,129.18
52517P5Y3 Lehman Brothers Holdings Inc 1,700,000 7.00 9/27/2027 461,125.00
94980QAA7 Wells Fargo Mortgage-Backed Securities Trust 483,345 2.76 11/25/2034 460,286.06
SWPC742J9 Dow Jones CDX EM14 3,600,000 0.00 12/20/2015 456,620.89
50179AAE7 LB-UBS Commercial Mortgage Trust 420,000 5.42 2/15/2040 454,942.45
74930AAA5 RBSCF Trust 400,000 6.01 12/16/2049 445,194.08
86360DAA2 Structured Asset Securities Corp 539,258 2.74 10/25/2035 436,865.94
CNY111115 Buy: CNY / Sell: USD 2,751,571 0.00 11/15/2011 427,695.99
CNY111115 Buy: CNY / Sell: USD 2,702,000 0.00 11/15/2011 419,990.82
SWP084775 France CPI Excluding Tobacco 14,700,000 0.00 12/15/2011 413,498.18
863579JG4 Structured Adjustable Rate Mortgage Loan Trust 638,930 1.68 1/25/2035 411,878.94
761118EN4 Residential Accredit Loans Inc 666,257 0.49 8/25/2035 404,982.39
40430GAD2 HFC Home Equity Loan Trust 452,845 0.50 1/20/2035 402,716.82
3128JMRL3 Freddie Mac 373,878 5.09 10/1/2035 400,655.79
3128QPF56 Freddie Mac 369,750 5.71 3/1/2036 400,358.86
466247TZ6 JPMorgan Mortgage Trust 414,463 5.43 9/25/2035 387,356.02
45660LMG1 IndyMac Index Mortgage Loan Trust 633,043 0.43 7/25/2035 387,016.92
9127953F6 U.S. Treasury Bills 380,000 0.16 9/1/2011 379,960.26
45254NFL6 Impac CMB Trust 410,635 1.19 7/25/2033 379,119.58
125581FX1 CIT Group Inc 373,711 7.00 5/1/2017 375,112.42
173145AA1 Citigroup Mortgage Loan Trust Inc 683,099 0.26 1/25/2037 374,336.69
294751DU3 Equity One Asset-Backed Securities Inc 503,097 0.49 4/25/2034 370,095.91
43710LAB0 Home Equity Asset Trust 368,435 0.25 5/25/2037 360,416.64
31362DEY0 Fannie Mae 350,377 2.64 8/1/2017 356,032.82
161630AQ1 Chase Mortgage Finance Corp 400,808 2.75 2/25/2037 354,247.51
SWPC29220 Masco Corp 6.125% due 10/03/16 5,300,000 0.00 12/20/2016 347,166.20
BRL111103 Buy: BRL / Sell: USD 530,000 0.00 11/3/2011 334,016.07
SGD110909 Buy: SGD / Sell: USD 400,000 0.00 9/9/2011 332,225.38
02005NAB6 Ally Financial Inc 300,000 8.30 2/12/2015 329,250.00
999JPYZ94 JAPANESE YEN 25,282,435 0.00 328,407.29
07389RAN6 Bear Stearns Asset-Backed Securities Trust 344,638 0.26 12/25/2036 324,251.54
81378GAB4 Securitized Asset-Backed Receivables LLC Trust 329,804 0.23 1/25/2037 315,820.64
78442FBJ6 SLM Corp 300,000 5.29 11/21/2013 299,193.00
17311VAD1 Citigroup Mortgage Loan Trust Inc 309,476 0.23 12/25/2036 298,988.70
04544TAB7 Asset-Backed Securities Corp Home Equity 348,266 0.27 5/25/2037 294,011.94
14149YAQ1 Cardinal Health Inc 250,000 6.00 6/15/2017 289,405.00
31405U6G9 Fannie Mae 275,243 2.14 12/1/2034 286,695.01
31406DAF3 Fannie Mae 280,029 1.48 10/1/2044 284,485.28
9127953K5 U.S. Treasury Bills 280,000 0.05 9/15/2011 279,983.55
SWP086192 France CPI Excluding Tobacco 7,400,000 0.00 10/15/2011 278,647.49
61753EAA8 Morgan Stanley Asset-Backed Securities Capital I 284,357 0.23 1/25/2037 277,026.57
31407XUZ2 Fannie Mae 259,501 2.41 11/1/2035 269,993.87
125581FW3 CIT Group Inc 266,936 7.00 5/1/2016 267,937.01
SWU0A0188 BRL-CDI-Compounded 59,900,000 0.00 1/2/2013 267,591.55
3133TSQG1 Freddie Mac Structured Pass-Through Securities 266,054 0.45 8/25/2031 258,677.43
52517PL33 Lehman Brothers Holdings Inc 900,000 1.00 11/24/2008 240,750.00
31406UPU6 Fannie Mae 234,421 4.75 3/1/2035 238,958.55
31396WTU0 Fannie Mae 233,656 0.54 7/25/2037 233,475.45
31362NX27 Fannie Mae 224,240 3.32 3/1/2018 233,310.74
05949AUZ1 Banc of America Mortgage Securities Inc 258,802 5.06 11/25/2034 231,751.62
12669EQK5 Countrywide Home Loan Mortgage Pass-Through Trust 234,103 2.79 11/19/2033 225,902.53
78490FSC4 SLM Corp 223,000 4.66 3/15/2012 223,539.66
17307GW53 Citigroup Mortgage Loan Trust Inc 243,684 2.66 12/25/2035 215,250.51
12669VAB4 Countrywide Asset-Backed Certificates 214,997 0.27 10/25/2047 212,161.22
31405YPX3 Fannie Mae 204,129 1.48 9/1/2044 204,537.15
20846QJQ2 Conseco Finance Securitizations Corp 189,248 6.68 12/1/2033 201,846.41
86359BGF2 Structured Adjustable Rate Mortgage Loan Trust 215,201 2.54 2/25/2034 200,322.31
38122NPB2 Golden State Tobacco Securitization Corp CA 'A1' 300,000 5.13 6/1/2047 200,142.00
31394RNM7 Freddie Mac 199,422 0.54 12/15/2030 199,449.64
78490FB32 SLM Corp 200,000 5.61 12/15/2013 196,422.00
31393KF75 Freddie Mac 194,426 4.50 2/15/2017 195,270.94
41161PWB5 Harborview Mortgage Loan Trust 324,529 0.47 2/19/2036 192,660.65
784423AD7 SLC Student Loan Trust 184,994 0.37 8/15/2019 184,707.85
SWU095908 BRL-CDI-Compounded 17,100,000 0.00 1/2/2013 179,485.32
SWU0A0774 BRL-CDI-Compounded 23,900,000 0.00 1/2/2013 171,304.52
125581FV5 CIT Group Inc 160,161 7.00 5/1/2015 160,961.81
999CHFZ99 SWISS FRANC 123,000 0.00 156,279.75
SWPC847L8 United Kingdom Index-Linked Treasury Gilt 4.250% due 06/07/32 10,500,000 0.00 6/20/2016 152,438.70
75970NAA5 Renaissance Home Equity Loan Trust 217,275 0.95 12/25/2032 150,177.09
31391Q7B4 Fannie Mae 145,318 1.48 11/1/2042 145,305.71
SWPC147E1 Temple-Inland Inc 6.875% due 01/15/18 4,000,000 0.00 3/20/2018 140,388.24
SWPC910G1 United Kingdom Index-Linked Treasury Gilt 4.250% due 06/07/32 8,300,000 0.00 6/20/2015 137,401.94
SWU096153 BRL-CDI-Compounded 34,100,000 0.00 1/2/2013 134,608.20
46630KAR7 JPMorgan Mortgage Acquisition Corp 153,779 0.25 3/25/2047 129,346.97
17313QAL2 Citigroup Mortgage Loan Trust Inc 192,844 5.66 9/25/2037 126,423.76
36828QLZ7 GE Capital Commercial Mortgage Corp 125,105 4.71 5/10/2043 125,042.87
SWPC781J1 Japanese Government Bond OAT 2.000% due 03/21/22 13,200,000 0.00 12/20/2015 124,361.05
16679BAA9 Chevy Chase Mortgage Funding Corp 263,065 0.32 5/25/2048 115,024.79
SWU096070 BRL-CDI-Compounded 20,500,000 0.00 1/2/2013 113,236.50
86363DAH4 Structured Asset Mortgage Investments Inc 194,690 0.32 3/25/2037 111,291.92
86358RW45 Amortizing Residential Collateral Trust 125,612 0.77 7/25/2032 111,042.36
31405PRS1 Fannie Mae 110,061 1.48 7/1/2044 110,233.14
12669GPN5 Countrywide Home Loan Mortgage Pass-Through Trust 173,197 0.51 3/25/2035 104,849.44
31408DB45 Fannie Mae 101,703 3.57 2/1/2036 102,609.47
SWU0A0196 BRL-CDI-Compounded 22,900,000 0.00 1/2/2013 102,301.28
929227XB7 Washington Mutual Mortgage Pass-Through Certificates 116,968 1.46 11/25/2042 100,764.31
12668AVP7 Countrywide Alternative Loan Trust 145,969 0.47 12/25/2035 98,351.84
32028GAC9 First Franklin Mortgage Loan Asset-Backed Certificates 97,760 0.24 11/25/2036 97,407.17
70069FKS5 Park Place Securities Inc 107,892 0.45 9/25/2035 96,792.20
59025CAB6 Merrill Lynch First Franklin Mortgage Loan Trust 97,725 0.25 7/25/2037 95,428.95
36202J5M6 Government National Mortgage Association 87,575 2.63 9/20/2022 91,072.50
125581FU7 CIT Group Inc 89,317 7.00 5/1/2014 90,098.82
SWPC806J2 United Kingdom Index-Linked Treasury Gilt 4.250% due 06/07/32 5,600,000 0.00 12/20/2015 88,484.71
84752BAB5 Specialty Underwriting & Residential Finance 96,443 0.25 1/25/2038 87,484.22
00442EAE5 ACE Securities Corp 87,955 0.24 12/25/2036 85,663.35
31406VGS9 Fannie Mae 81,019 2.38 5/1/2035 85,223.46
SWPC96S96 Starwood Hotels & Resorts Worldwide Inc 6.750% due 05/15/18 3,900,000 0.00 6/20/2018 84,877.00
1248MGAJ3 Credit-Based Asset Servicing & Securitization LLC 304,163 0.26 1/25/2037 83,180.67
SWPC28180 International Lease Finance Corp 6.625% due 11/15/13 3,200,000 0.00 12/20/2013 82,108.20
12669FN58 Countrywide Home Loan Mortgage Pass-Through Trust 109,628 2.80 8/25/2034 80,475.03
118217AU2 Buckeye Tobacco Settlement Financing Authority of OH 'A2' 100,000 5.88 6/1/2047 74,025.00
99XY55527 Put - OTC 1-Year Interest Rate Swap 71,400,000 2.00 11/19/2012 73,656.24
31405SZ31 Fannie Mae 70,736 4.86 3/1/2035 71,505.48
31373UV38 Fannie Mae 67,559 2.32 1/1/2025 70,470.74
SWPC40987 American International Group Inc 6.250% due 05/01/36 4,400,000 0.00 3/20/2013 70,392.37
SWPC838J4 United Kingdom Index-Linked Treasury Gilt 4.250% due 06/07/32 4,400,000 0.00 12/20/2015 69,523.70
63860KAB8 Nationstar Home Equity Loan Trust 67,827 0.25 6/25/2037 67,037.79
83611DAA6 Soundview Home Equity Loan Trust 206,730 0.25 11/25/2036 66,376.95
SWPC627L4 Dow Jones CDX IG16 5Y 20,700,000 0.00 6/20/2016 64,075.84
07384YEM4 Bear Stearns Asset-Backed Securities Trust 71,351 0.85 10/25/2032 62,365.86
SWPC279E1 Centex Corp 5.250% due 06/15/15 3,500,000 0.00 6/20/2014 59,444.98
SWPC040H2 United Kingdom Index-Linked Treasury Gilt 4.250% due 06/07/32 3,400,000 0.00 6/20/2015 56,285.14
251513AR8 Deutsche ALT-A Securities Inc Alternate Loan Trust 112,665 0.29 10/25/2036 47,223.90
36202KTG0 Government National Mortgage Association 43,656 2.63 7/20/2025 45,399.31
SWPC443J1 Japanese Government Bond OAT 2.000% due 03/21/22 4,600,000 0.00 12/20/2015 43,337.94
36202K2K0 Government National Mortgage Association 40,750 3.38 5/20/2026 42,275.24
59023AAB2 Merrill Lynch Mortgage Investors Inc 43,140 0.26 7/25/2037 42,224.39
SWPC753J5 Japanese Government Bond OAT 2.000% due 03/21/22 4,300,000 0.00 12/20/2015 40,511.55
3128NC6C3 Freddie Mac 38,537 2.90 8/1/2035 40,012.00
36225CBA3 Government National Mortgage Association 33,332 2.38 1/20/2027 34,500.88
36202KRS6 Government National Mortgage Association 30,878 2.50 2/20/2025 31,999.42
36202KPP4 Government National Mortgage Association 28,247 2.13 10/20/2024 29,148.75
44328AAB6 HSI Asset Securitization Corp Trust 37,070 0.24 10/25/2036 26,710.29
07389MAA5 Bear Stearns Asset-Backed Securities Trust 26,790 0.24 11/25/2036 25,771.17
7839929B8 Ryland Mortgage Securities Corp 30,344 4.23 10/1/2027 24,181.34
31360YKA1 Fannie Mae 22,959 4.99 8/1/2024 23,510.00
31365DKK0 Fannie Mae 22,267 2.44 12/1/2022 23,376.67
36225CAN6 Government National Mortgage Association 21,802 2.13 11/20/2026 22,498.41
SWPC445J9 Japanese Government Bond OAT 2.000% due 03/21/22 2,300,000 0.00 12/20/2015 21,668.97
31361HL65 Fannie Mae 20,641 3.59 7/1/2026 21,295.00
SWPC444J0 Japanese Government Bond OAT 2.000% due 03/21/22 2,100,000 0.00 12/20/2015 19,784.71
86358RSE8 Structured Asset Securities Corp 19,983 2.31 1/25/2032 17,105.49
86359PAB6 Structured Asset Securities Corp 16,936 0.24 10/25/2036 16,905.40
SWPC18447 Marsh & McLennan Cos Inc 5.750% due 09/15/15 3,000,000 0.00 9/20/2015 15,968.71
36225CA22 Government National Mortgage Association 12,935 2.13 12/20/2026 13,348.37
81375FDN0 Securitized Asset Sales Inc 14,009 2.90 11/26/2023 13,274.07
SWPC939G8 Brazil Government Bond 12.250% due 03/06/30 3,900,000 0.00 6/20/2015 9,900.35
32027NQU8 First Franklin Mortgage Loan Asset-Backed Certificates 9,785 0.56 12/25/2034 9,699.90
SWPC983G3 Brazil Government Bond 12.250% due 03/06/30 3,000,000 0.00 6/20/2015 7,615.65
36202KDB8 Government National Mortgage Association 6,398 3.38 5/20/2023 6,637.05
SWPC656G9 Brazil Government Bond 12.250% due 03/06/30 2,300,000 0.00 6/20/2015 5,838.67
SWPC723H6 Petrobras International SP 8.375% due 12/10/18 1,400,000 0.00 9/20/2012 5,684.31
86360PAF4 Structured Asset Securities Corp 5,678 0.24 5/25/2036 5,619.85
SWPC998G6 Brazil Government Bond 12.250% due 03/06/30 1,700,000 0.00 6/20/2015 4,315.54
SWPC941G4 Brazil Government Bond 12.250% due 03/06/30 1,200,000 0.00 6/20/2015 3,046.26
36202KF59 Government National Mortgage Association 2,777 2.63 9/20/2023 2,887.51
SWPC01A95 Cardinal Health Inc 6.000% due 06/15/17 250,000 0.00 6/20/2017 2,842.63
07384YUG9 Bear Stearns Asset-Backed Securities Trust 2,610 0.52 1/25/2036 2,606.07
SWPC96M50 Liberty Mutual Group Inc 5.750% due 03/15/14 3,600,000 0.00 3/20/2014 2,050.29
17499K9V1 CITIGROUP FUTURES CASH COLLATERAL 2,000 0.01 12/31/2030 2,000.00
453083LR6 Imperial Savings Association 1,097 7.03 2/25/2018 1,072.20
617463AA2 Morgan Stanley IXIS Real Estate Capital Trust 2,384 0.24 11/25/2036 781.66
31360QT50 Fannie Mae 574 5.00 3/1/2024 588.28
999CADZ91 CANADIAN DOLLAR 442 0.00 462.38
36245CAA0 GSAMP Trust 392 0.26 10/25/2036 387.89
999AUDZ93 AUSTRALIAN DOLLAR 171 0.00 187.54
99XS80569 Put - OTC 10-Year Interest Rate Swap (8,300,000) 10.00 7/10/2012 (36.52)
99XS01524 Put - OTC 10-Year Interest Rate Swap (14,800,000) 10.00 7/10/2012 (65.12)
99Z211742 Put - OTC Australian dollar versus U.S. dollar (3,900,000) 1.00 8/18/2011 (158.53)
99Z152078 Put - OTC Australian dollar versus U.S. dollar (12,600,000) 1.00 8/18/2011 (512.17)
99XZ84920 Put - OTC Dow Jones CDX IG15 5Y Index (3,700,000) 1.20 9/21/2011 (1,482.04)
99Z054530 Put - OTC Dow Jones CDX IG15 5Y Index (4,300,000) 1.20 9/21/2011 (1,722.37)
99XZ84946 Call - OTC Dow Jones CDX IG15 5Y Index (3,700,000) 0.80 9/21/2011 (4,514.19)
99Z054522 Call - OTC Dow Jones CDX IG15 5Y Index (4,300,000) 0.80 9/21/2011 (5,246.22)
SWPC287L5 Alcoa Inc 5.720% due 02/23/19 100,000 0.00 3/20/2018 (7,556.18)
SWPC97Y22 Marsh & McLennan Cos Inc 5.750% due 09/15/15 3,000,000 0.00 9/20/2015 (12,740.05)
99XY06850 Put - OTC 2-Year Interest Rate Swap (6,700,000) 2.25 9/24/2012 (14,118.91)
99XX05482 Put - OTC 3-Year Interest Rate Swap (9,700,000) 3.00 6/18/2012 (15,490.90)
SWPC15765 Macy's Retail Holdings Inc 7.450% due 07/15/17 400,000 0.00 9/20/2017 (18,856.54)
SWPC01A20 UST Inc 6.625% due 07/15/12 8,900,000 0.00 9/20/2012 (25,941.61)
99XY04707 Floor - OTC U.S. CPI Urban Consumers NSA (8,700,000) 0.00 9/29/2020 (26,254.34)
SWPC00Z25 Xstrata Canada Corp 7.350% due 06/05/12 3,700,000 0.00 6/20/2012 (28,276.14)
SWPC504J7 France Government Bond OAT 4.250% due 04/25/19 800,000 0.00 12/20/2015 (28,634.38)
99XU67371 Floor - OTC U.S. CPI Urban Consumers NSA (9,800,000) 0.00 3/10/2020 (31,622.93)
SWPC00W85 Cadbury Schweppes UC Finance LLC 5.125% due 10/01/13 6,200,000 0.00 12/20/2013 (34,904.83)
99XX73795 Put - OTC 2-Year Interest Rate Swap (17,000,000) 2.25 9/24/2012 (35,824.10)
SWPC79639 Limited Brands Inc 6.900% due 07/15/17 1,000,000 0.00 9/20/2017 (38,851.53)
SWPC387G5 International Lease Finance Corp 5.550% due 09/05/12 700,000 0.00 9/20/2013 (39,148.11)
99XW99792 Put - OTC 3-Year Interest Rate Swap (30,000,000) 3.00 6/18/2012 (47,910.00)
SWPC585B6 Dish DBS Corp 6.625% due 10/01/14 1,100,000 0.00 12/20/2013 (51,320.52)
SWPC323H0 France Government Bond OAT 4.250% due 04/25/19 2,000,000 0.00 6/20/2015 (58,268.30)
99Z249262 5YR US TREASURY NOTE FTR OPTN SEP11 1221 PUT (136,000) 121.00 8/26/2011 (58,437.57)
99XW85205 Put - OTC 3-Year Interest Rate Swap (40,600,000) 3.00 6/18/2012 (64,838.20)
99XU70870 Floor - OTC U.S. CPI Urban Consumers NSA (26,500,000) 0.00 3/12/2020 (68,571.93)
99Z147219 Put - OTC 10-Year Interest Rate Swap (52,900,000) 3.75 10/11/2011 (73,181.86)
SWPC97X31 Macy's Retail Holdings Inc 5.875% due 01/15/13 2,000,000 0.00 3/20/2013 (73,985.96)
SWPC001H9 France Government Bond OAT 4.250% due 04/25/19 2,600,000 0.00 6/20/2015 (75,748.80)
SWPC01G16 Rexam PLC 6.750% due 06/01/13 4,200,000 0.00 6/20/2013 (82,210.98)
99XW86443 Put - OTC 3-Year Interest Rate Swap (51,700,000) 3.00 6/18/2012 (82,564.90)
SWPC432J4 France Government Bond OAT 4.250% due 04/25/19 2,400,000 0.00 12/20/2015 (85,903.13)
SWPC97X23 Starwoods Hotel & Resorts Worldwide Inc 6.250% due 02/15/13 3,000,000 0.00 3/20/2013 (92,543.08)
SWPC599B0 Dish DBS Corp 6.625% due 10/01/14 2,000,000 0.00 12/20/2013 (93,310.03)
99XW92987 Put - OTC 3-Year Interest Rate Swap (60,800,000) 3.00 6/18/2012 (97,097.60)
99XW90387 Put - OTC 3-Year Interest Rate Swap (61,000,000) 3.00 6/18/2012 (97,417.00)
SWPC593B6 Dish DBS Corp 6.625% due 10/01/14 2,100,000 0.00 12/20/2013 (97,975.54)
99Z235683 5YR US TREASURY NOTE FTR OPTN SEP11 121 CALL (136,000) 121.00 8/26/2011 (119,000.00)
SWPC283L9 Alcoa Inc 5.720% due 02/23/19 1,900,000 0.00 3/20/2018 (143,567.40)
SWPC752J6 France Government Bond OAT 4.250% due 04/25/19 4,600,000 0.00 12/20/2015 (164,647.67)
99XY53233 Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement (31,100,000) 0.00 10/11/2011 (168,608.03)
99XY51088 Call & Put - OTC 1-Year vs. 1-Year Forward Volatility Agreement (31,300,000) 0.01 10/11/2011 (169,692.32)
SWPC170N1 FRANCE GOV'T SW SP CBK 4,000,000 0.00 6/20/2016 (172,095.21)
SWPC06E58 Embarq Corp 7.082% due 06/01/16 5,000,000 0.00 6/20/2013 (175,739.04)
SWPC592B7 Dish DBS Corp 6.625% due 10/01/14 3,800,000 0.00 12/20/2013 (177,289.06)
SWPC791J9 France Government Bond OAT 4.250% due 04/25/19 5,000,000 0.00 12/20/2015 (178,964.86)
99XY55386 Put - OTC 1-Year Interest Rate Swap (71,400,000) 1.00 11/19/2012 (193,329.78)
99XV08795 Floor - OTC U.S. CPI Urban Consumers NSA (90,900,000) 0.00 4/7/2020 (245,632.71)
SWPC046E3 Starwoods Hotel & Resorts Worldwide Inc 7.875% due 05/01/12 5,500,000 0.00 6/20/2012 (257,672.01)
02399V007 CREDIT SUISSE FOB3 CASH CALL (BROKER) (270,000) 0.00 12/31/2030 (270,000.00)
99Z257307 317U204C0 IRO USD 1Y P1.75 DUB JUL13 1.75 PUT (79,800,000) 1.75 7/11/2013 (297,638.04)
SWPC00R99 Health Care Properties Inc 6.700% due 01/30/18 3,000,000 0.00 3/20/2018 (299,767.57)
BRL110902 Buy: USD / Sell: BRL 530,000 0.00 9/2/2011 (339,026.42)
SWPC726J9 France Government Bond OAT 4.250% due 04/25/19 10,900,000 0.00 12/20/2015 (390,143.40)
SWPC174N7 FRANCE GOV'T SW SP MYC 9,200,000 0.00 6/20/2016 (395,818.99)
916DCJ001 ROYAL BANK CASH COLL BROKER (430,000) 0.00 12/31/2030 (430,000.00)
SWPC720G1 Brazil Government Bond 12.250% due 03/06/30 13,400,000 0.00 6/20/2020 (459,222.41)
SWU004405 BRL-CDI-Compounded 72,500,000 0.00 1/2/2012 (638,235.14)
00899Z007 BARCLAYS BCYD CASH COLL 12/30 VAR (650,000) 1.00 12/31/2030 (650,000.00)
SWPC745B3 Con-way Inc 7.250% due 01/15/18 7,000,000 0.00 3/20/2018 (715,530.78)
99XX72623 Put - OTC 2-Year Interest Rate Swap (340,100,000) 2.25 9/24/2012 (716,692.73)
05399G003 BNP PARIBUS BPS CASH COLL (730,000) 0.00 12/31/2030 (730,000.00)
99Z125017 Call - OTC 10-Year Interest Rate Swap (52,900,000) 3.00 10/11/2011 (836,687.56)
916CHL003 DEUTSCHE CASH COLL BROKER (970,000) 1.00 12/31/2030 (970,000.00)
99XY30587 Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement (67,600,000) 0.00 10/11/2011 (1,014,862.58)
01F052680 Fannie Mae (1,000,000) 5.50 8/1/2041 (1,083,750.30)
99XY44349 Call & Put - OTC 1-Year vs. 2-Year Forward Volatility Agreement (77,200,000) 0.00 11/14/2011 (1,187,187.00)
EUR111019 Buy: USD / Sell: EUR 980,000 0.00 10/19/2011 (1,405,502.67)
SWU0453Q2 3-Month USD-LIBOR 22,700,000 0.00 6/15/2041 (1,896,983.62)
916XKV001 JP MORGAN JPM CASH COLL BROKER (2,170,000) 0.00 12/31/2030 (2,170,000.00)
91099G006 UBS AG UAG CASH COLL (BROKER) (2,310,000) 0.00 12/31/2030 (2,310,000.00)
916VTU008 BANK OF AMER BOS CASH (3,970,000) 0.00 12/31/2030 (3,970,000.00)
SWU0448Q0 3-Month USD-LIBOR 55,500,000 0.00 6/15/2041 (4,637,999.59)
EUR111019 Buy: USD / Sell: EUR 3,388,000 0.00 10/19/2011 (4,859,023.51)
IDR111031 Buy: USD / Sell: IDR 51,318,750,000 0.00 10/31/2011 (5,967,180.87)
916CHK005 CITI CASH COLL BROKER (5,980,000) 0.00 12/31/2030 (5,980,000.00)
EUR111019 Buy: USD / Sell: EUR 4,728,000 0.00 10/19/2011 (6,780,833.29)
MYR110811 Buy: USD / Sell: MYR 21,329,000 0.00 8/11/2011 (7,181,473.68)
EUR111019 Buy: USD / Sell: EUR 6,371,000 0.00 10/19/2011 (9,137,201.54)
MXN111118 Buy: USD / Sell: MXN 110,418,670 0.00 11/18/2011 (9,315,968.24)
MYR110811 Buy: USD / Sell: MYR 28,737,728 0.00 8/11/2011 (9,675,992.18)
SGD110909 Buy: USD / Sell: SGD 13,041,600 0.00 9/9/2011 (10,831,876.28)
BRL110902 Buy: USD / Sell: BRL 17,496,000 0.00 9/2/2011 (11,191,709.84)
KRW110812 Buy: USD / Sell: KRW 12,451,521,000 0.00 8/12/2011 (11,801,740.04)
CNY111115 Buy: USD / Sell: CNY 75,939,770 0.00 11/15/2011 (11,803,851.39)
PHP111115 Buy: USD / Sell: PHP 547,872,600 0.00 11/15/2011 (12,886,917.74)
GBP110913 Buy: USD / Sell: GBP 7,935,000 0.00 9/13/2011 (13,019,212.28)
JPY111017 Buy: USD / Sell: JPY 1,121,656,000 0.00 10/17/2011 (14,582,706.57)
CAD110919 Buy: USD / Sell: CAD 16,435,000 0.00 9/19/2011 (17,183,218.29)
INR110812 Buy: USD / Sell: INR 855,339,200 0.00 8/12/2011 (19,320,685.23)
EUR111019 Buy: USD / Sell: EUR 15,354,000 0.00 10/19/2011 (22,020,497.95)
KRW110812 Buy: USD / Sell: KRW 26,036,479,000 0.00 8/12/2011 (24,677,768.81)
AUD110831 Buy: USD / Sell: AUD 26,260,000 0.00 8/31/2011 (28,747,747.10)
BRL110802 Buy: USD / Sell: BRL 45,797,521 0.00 8/2/2011 (29,530,593.55)
INR110812 Buy: USD / Sell: INR 1,358,749,340 0.00 8/12/2011 (30,691,880.25)
912810QQ4 U.S. Treasury Bond (33,400,000) 4.38 5/15/2041 (33,687,106.40)
JPY111024 Buy: USD / Sell: JPY 4,166,000,000 0.00 10/24/2011 (54,166,000.59)
JPY111024 Buy: USD / Sell: JPY 6,831,000,000 0.00 10/24/2011 (88,816,118.58)
JPY111024 Buy: USD / Sell: JPY 8,993,000,000 0.00 10/24/2011 (116,926,270.59)
EUR111019 Buy: USD / Sell: EUR 157,012,000 0.00 10/19/2011 (225,184,474.63)
