|
99XI72352
|
US Treasury Notes 5Yr Futures
|
$15,809,320.38
|
39.22
|
|
99S02U4Q3
|
0Wp075732 CDS USD R F 0.6000% 12/20/12
|
$4,832,550.00
|
11.99
|
|
706451BG5
|
6.6250% Mat 06/15/2035
|
$1,296,025.12
|
3.22
|
|
48632FAE1
|
Kaupthing Bank 7.6250% 02/28/15
|
$1,092,993.00
|
2.71
|
|
88732JAH1
|
Time Warner Cable Inc 5.8500% 05/01/17
|
$1,027,516.32
|
2.55
|
|
45599E002
|
MORGAN STANLEY TRI PARTY
|
$1,000,000.00
|
2.48
|
|
931142CL5
|
WAL MART STORES INC, 4.2500% Mat 04/15/2013
|
$995,468.00
|
2.47
|
|
48667QAB1
|
Kazmunaigaz Fin Sub Bv Gtd 8.3750% 07/02/13
|
$971,697.50
|
2.41
|
|
99S02U4T7
|
0Wp064850 CDS USD R F 0.3500% 06/20/12
|
$956,760.20
|
2.37
|
|
91911TAH6
|
6.8750% Mat 11/21/2036
|
$852,500.06
|
2.11
|
|
025816AY5
|
American Express Co 7.0000% 03/19/18
|
$811,237.60
|
2.01
|
|
172967EP2
|
Citigroup Inc 6.8750% 03/05/38
|
$774,380.00
|
1.92
|
|
423081II1
|
RUSSIAN FEDERATION, 5.0% Mat 03/31/2030
|
$723,443.09
|
1.79
|
|
74973DAB5
|
RSHB CAPTL (RUSS AG BK) - RSHB CAPTL (RUSS AG BK)
|
$721,617.00
|
1.79
|
|
494550AY2
|
Kinder Morgan Energy Partners 5.9500% 02/15/18
|
$707,605.80
|
1.76
|
|
368266AF9
|
Gaz Cap SA Luxembourg 6.510% 03/07/22
|
$675,000.00
|
1.67
|
|
492386AU1
|
Kerr-McGee Corp 6.9500% 07/01/24
|
$655,063.29
|
1.63
|
|
761713AU0
|
Reynolds Amern Inc 6.7500% 06/15/17
|
$599,873.40
|
1.49
|
|
377372AD9
|
GLAXOSMITHLINE CAP INC, 5.6500% Mat 05/15/2018
|
$598,828.20
|
1.49
|
|
694308GL5
|
Pacific Gas & Elec Co 5.6250% 11/30/17
|
$578,793.60
|
1.44
|
|
98385XAH9
|
XTO Energy Inc 5.6500% 04/01/16
|
$575,858.80
|
1.43
|
|
59156RAP3
|
MetLife Inc 6.4000% 12/15/36
|
$569,239.45
|
1.41
|
|
931142CJ0
|
Wal Mart Stores Inc, 5.8000% 2/15/18
|
$529,023.00
|
1.31
|
|
073902PN2
|
BEAR STEARNS COS INC, 5.5500% Mat 01/22/2017
|
$509,166.90
|
1.26
|
|
494550AW6
|
KINDER MORGAN ENERGY PARTNERS, 6.9500% Mat 01/15/2038
|
$507,762.12
|
1.26
|
|
893830AR0
|
TRANSOCEAN INC, 5.2500% Mat 03/15/2013
|
$505,744.50
|
1.25
|
|
86787EAM9
|
SUNTRUST BK ATLANTA GA, 7.2500% Mat 03/15/2018
|
$499,819.00
|
1.24
|
|
36962G3U6
|
GENERAL ELEC CAP CORP MTN, 5.6250% Mat 05/01/2018
|
$484,425.00
|
1.20
|
|
94973VAM9
|
WELLPOINT INC, 5.8750% Mat 06/15/2017
|
$474,436.13
|
1.18
|
|
00206RAG7
|
AT&T INC, 6.3000% Mat 01/15/2038
|
$473,905.00
|
1.18
|
|
36962G3M4
|
GENERAL ELEC CAP CORP MTN, 6.3750% Mat 11/15/2067
|
$473,718.50
|
1.18
|
|
86800YAA4
|
SUNTRUST CAP VIII, 6.1000% Mat 12/15/2036
|
$469,952.70
|
1.17
|
|
337932AC1
|
First Energy Corp 7.3750% 11/15/31
|
$468,934.78
|
1.16
|
|
222372AJ3
|
COUNTRYWIDE FINL, 6.2500% Mat 05/15/2016
|
$450,296.89
|
1.12
|
|
939322AN3
|
Washington Mutual Inc 4.6250% 04/01/14
|
$449,479.52
|
1.12
|
|
94978SAA7
|
WELLS FARGO CAP X, 5.9500% Mat 12/15/2036
|
$445,946.55
|
1.11
|
|
852060AS1
|
Sprint Capital Corp 8.375% 3/15/12
|
$430,986.26
|
1.07
|
|
314275AB4
|
MACYS RETAIL HLDGS INC, 5.3500% Mat 03/15/2012
|
$418,486.05
|
1.04
|
|
060505CK8
|
BANK OF AMERICA CORP SR NOTE
|
$416,229.54
|
1.03
|
|
89417EAA7
|
TRAVELERS COS INC, 6.2500% Mat 03/15/2067
|
$413,048.16
|
1.02
|
|
693506BB2
|
PPG INDS INC, 6.6500% Mat 03/15/2018
|
$408,400.00
|
1.01
|
|
025816AU3
|
American Express Co 6.8000% 09/01/66
|
$407,417.12
|
1.01
|
|
264399EF9
|
DUKE ENERGY CORP SR NOTE
|
$401,676.60
|
1.00
|
|
126650BL3
|
CVS CAREMARK CORP, 6.9430% Mat 01/10/2030
|
$392,070.14
|
0.97
|
|
6174466Q7
|
MORGAN STANLEY GROUP INC, 6.6250% Mat 04/01/2018
|
$379,674.00
|
0.94
|
|
20030NAX9
|
COMCAST CORP NEW, 6.4000% Mat 05/15/2038
|
$370,157.20
|
0.92
|
|
524908R36
|
Lehman Bros Hldgs Inc 6.5000% 07/19/17
|
$366,027.94
|
0.91
|
|
87927VAQ1
|
TELECOM ITALIA CAPITAL NOTES
|
$357,434.22
|
0.89
|
|
257469AF3
|
DOMINION RES INC DEL, 5.7000% Mat 09/17/2012
|
$355,698.35
|
0.88
|
|
14149YAH1
|
CARDINAL HEALTH INC, 5.8500% Mat 12/15/2017
|
$342,912.50
|
0.85
|
|
88732JAN8
|
TIME WARNER CABLE INC, 7.3000% Mat 07/01/2038
|
$338,930.36
|
0.84
|
|
983024AN0
|
WYETH, 5.9500% Mat 04/01/2037
|
$334,128.36
|
0.83
|
|
991ATKII6
|
TNK BP Finance SA 7.5000% 07/18/16
|
$328,595.25
|
0.82
|
|
694308GE1
|
Pacific Gas + Elec Co 6.0500% 03/01/34
|
$299,865.17
|
0.74
|
|
313588T47
|
FEDERAL NATL MTG ASSN DISC NTS
|
$284,679.94
|
0.71
|
|
98385XAA4
|
XTO Energy Inc SR Note
|
$279,176.82
|
0.69
|
|
172967CQ2
|
CITIGROUP INC, 5.0000% Mat 09/15/2014
|
$278,211.00
|
0.69
|
|
52517P4Z1
|
LEHMAN BROTHERS HLDGS INC, 7.2050% Mat 09/15/2022
|
$242,501.75
|
0.60
|
|
8265Q0YC0
|
Sigma Finance Inc 144A 3C7 7.998% 06/22/17
|
$236,000.00
|
0.59
|
|
172967EQ0
|
CITIGROUP INC, 5.5000% Mat 04/11/2013
|
$234,476.64
|
0.58
|
|
780641AG1
|
ROYAL KPN NV, 8.0000% Mat 10/01/2010
|
$232,887.82
|
0.58
|
|
52517P5X5
|
LEHMAN BROTHERS HLDGS INC, 6.2000% Mat 09/26/2014
|
$219,805.48
|
0.55
|
|
929903DT6
|
WACHOVIA CORP NEW, 5.7500% Mat 06/15/2017
|
$217,091.59
|
0.54
|
|
524908XA3
|
LEHMAN BROS CAP TR VII NOTE
|
$208,964.48
|
0.52
|
|
30161NAC5
|
EXELON CORP, 5.6250% Mat 06/15/2035
|
$207,522.48
|
0.51
|
|
02364WAN5
|
AMERICA MOVIL SAB DE CV, 5.6250% Mat 11/15/2017
|
$193,618.40
|
0.48
|
|
22238HBD1
|
COUNTRYWIDE FINL CORP, 5.4300% Mat 03/24/2009
|
$192,098.40
|
0.48
|
|
172967EH0
|
CITIGROUP INC, 6.0000% Mat 08/15/2017
|
$191,102.00
|
0.47
|
|
82463MAA7
|
Shinsei Fin Cayman Ltd 6.4180% 01/29/49
|
$189,880.74
|
0.47
|
|
76117HAA0
|
RESONA PFD GLOBAL SECS CALLABLE BONDS
|
$184,925.00
|
0.46
|
|
00873NAD5
|
AIFUL CORPORATION AIFUL CORPORATION - AIFUL CORP 6.0% 12/12/2011
|
$181,958.92
|
0.45
|
|
87261GAF2
|
TNK BP FIN S A, 7.8750% Mat 03/13/2018
|
$145,125.00
|
0.36
|
|
76114EAF9
|
RESIDENTIAL CAP LLC, 9.6250% Mat 05/15/2015
|
$135,240.00
|
0.34
|
|
78442FAZ1
|
SLM CORP MEDIUM TERM NTS, 5.6250% Mat 08/01/2033
|
$128,372.78
|
0.32
|
|
032479AD9
|
7.5000% Mat 05/01/2031
|
$123,620.40
|
0.31
|
|
999USDZ92
|
US Dollar
|
$103,304.94
|
0.26
|
|
87261GAB1
|
TNK-BP FINANCE COMPANY GUARNT
|
$94,870.00
|
0.24
|
|
87261GAD7
|
TNK BP FIN S A SR MEDIUM TERM, 6.6250% Mat 03/20/2017
|
$88,750.00
|
0.22
|
|
76114EAE2
|
Residential Cap LLC 1.0000% 05/15/10
|
$76,050.00
|
0.19
|
|
939322AV5
|
WASHINGTON MUT INC, 5.2500% Mat 09/15/2017
|
$68,065.29
|
0.17
|
|
92343VAL8
|
VERIZON COMMUNICATIONS INC, 5.5000% Mat 02/15/2018
|
$57,183.18
|
0.14
|
|
873168AN8
|
TXU CORP, 6.5000% Mat 11/15/2024
|
$37,140.10
|
0.09
|
|
40411CAA0
|
HBOS CAP FDG NO 2 L P, 6.0710% Mat 06/30/2049
|
$34,625.12
|
0.09
|
|
912828HA1
|
United States Treasury Notes 4.7500% 08/15/17
|
$31,790.64
|
0.08
|
|
92343VAM6
|
VERIZON COMMUNICATIONS INC, 6.1000% Mat 04/15/2018
|
$29,837.52
|
0.07
|
|
78442FBG2
|
SLM Corp 5.0000% 10/01/13
|
$25,968.78
|
0.06
|
|
126650AQ3
|
CVS CORP, 5.7890% Mat 01/10/2026
|
$24,434.33
|
0.06
|
|
99S02U4U4
|
0WP064850 CDS USD P F .00000, 0.0000% Mat 06/20/2012
|
($1,000,000.00)
|
-2.48
|
|
99S02U4R1
|
0WP075732 CDS USD P F .00000, 0.0000% Mat 12/20/2012
|
($5,000,000.00)
|
-12.40
|
|
99XI39260
|
US Treasury Notes 10Yr Future
|
($8,999,828.13)
|
-22.33
|
