Docstoc

Security ID Security Description Quantity Rate Maturity Date

Document Sample
Security ID Security Description Quantity Rate Maturity Date Powered By Docstoc
					                                                                    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)

				
DOCUMENT INFO
Shared By:
Categories:
Tags:
Stats:
views:169
posted:8/13/2011
language:English
pages:10