|
99XE24634
|
US Treas Notes 5Yr Futures
|
$11,994,609.38
|
20.43
|
|
455995001
|
MERRILL LYNCH REPO
|
$7,200,000.00
|
12.26
|
|
99XE24626
|
Germany Fed Rep Bonds 10Yr Ftr
|
$5,682,140.37
|
9.68
|
|
919XYPII8
|
0WR075656 2.2500% 12/20/12
|
$5,601,638.40
|
9.54
|
|
9299969W8
|
0WR073834, 3.7500% Mat 12/20/2012
|
$5,299,702.45
|
9.03
|
|
0539929D7
|
0WR075714, 3.7500% 12/20/12
|
$4,416,418.71
|
7.52
|
|
917DKKII0
|
CDS CDX NAHY9 375BPS4 8YR 3.7500% 12/20/12
|
$3,356,478.22
|
5.72
|
|
EUR080507
|
EUR080507
|
$3,075,937.92
|
5.24
|
|
99X712410
|
Euribor Futures
|
$3,018,723.00
|
5.14
|
|
345397VG5
|
Ford Motor CR Co 7.8000% 06/01/12
|
$1,279,624.20
|
2.18
|
|
B1YLHNII7
|
Federal Republic of Brazil 9.761% 07/01/10
|
$1,277,208.66
|
2.18
|
|
99X748760
|
Libor Futures
|
$1,184,814.42
|
2.02
|
|
99X694071
|
Libor Futures
|
$1,177,306.56
|
2.01
|
|
B1LT42II4
|
Government of France 3.7500% 04/25/17
|
$1,143,285.62
|
1.95
|
|
919HFLII3
|
BANK NEGARA MALAYSIA BNM
|
$1,140,322.99
|
1.94
|
|
B1N81ZII8
|
Turanalem Finance BV 8.25% 01/22/37
|
$1,108,520.00
|
1.89
|
|
292680AB1
|
Energy Future Hldgs Corp, 11.2500% 11/01/17
|
$985,050.00
|
1.68
|
|
370442BT1
|
General Motors Corp
|
$965,600.00
|
1.64
|
|
67199D9D5
|
0WR050212, 2.7500% Mat 06/20/2012
|
$798,748.18
|
1.36
|
|
B0THSGII7
|
BRAZIL (FED REP OF), 10.0000% Mat 01/01/2012
|
$776,177.87
|
1.32
|
|
GBP080507
|
GBP080507
|
$739,992.73
|
1.26
|
|
00130HBC8
|
AES Corp 7.7500% 03/01/14
|
$704,841.25
|
1.20
|
|
99XD07128
|
90 Day Linor Fut L M8
|
$704,038.51
|
1.20
|
|
370425RZ5
|
General Motors Acceptance Corp 8.000% 11/1/31
|
$682,308.05
|
1.16
|
|
999MSUII1
|
Egypt Treasury Bills
|
$678,485.06
|
1.16
|
|
277461BD0
|
Eastman Kodak Co 7.2500% 11/15/13
|
$652,800.00
|
1.11
|
|
28336LBQ1
|
El Paso Corp 7.0000% 06/15/17
|
$620,105.40
|
1.06
|
|
13799B9W5
|
CDS CDX.NA.HY8 275Bp4.8Yr 1.0000% 06/12/12
|
$532,498.78
|
0.91
|
|
313588T47
|
FEDERAL NATL MTG ASSN DISC NTS
|
$531,448.08
|
0.91
|
|
919LKEII4
|
EGYPT TREASURY BILL
|
$519,084.11
|
0.88
|
|
36186CAF0
|
GMAC LLC NOTE
|
$478,764.16
|
0.82
|
|
00130HBH7
|
AES CORP, 8.0000% Mat 10/15/2017
|
$478,225.00
|
0.81
|
|
370425RX0
|
GENERAL MTRS ACCEP CORP, 6.8750% Mat 09/15/2011
|
$459,546.00
|
0.78
|
|
45867EAB2
|
Intergas Fin B V 6.3750% 05/14/17
|
$455,000.00
|
0.78
|
|
8799229H7
|
TELESAT GANADA TLB/DD, 1.0000% Mat 10/15/2014
|
$427,702.25
|
0.73
|
|
16299E9C1
|
CHARTER TLB, 7.4521% Mat 03/15/2014
|
$423,646.00
|
0.72
|
|
45104GAE4
|
ICICI BANK LIMITED, 6.3750% Mat 04/30/2022
|
$404,860.82
|
0.69
|
|
91499B9N4
|
Univisiopn Comm Term Loan B 1.0000% 09/15/14
|
$395,625.00
|
0.67
|
|
67199D9G8
|
0WR063058, 2.7500% Mat 06/20/2012
|
$354,999.19
|
0.60
|
|
B04FJBII9
|
Federal Republic of Germany 3.750% 01/04/15
|
$346,082.44
|
0.59
|
|
345370CA6
|
Ford Motor Co 7.450% 7/16/31
|
$345,800.00
|
0.59
|
|
41099S9B2
|
First Data Corp SR Secure 1.0000% 10/15/14
|
$333,006.41
|
0.57
|
|
Y38575DE6
|
ICICI BANK LTD, 6.3750% Mat 04/30/2022
|
$331,073.10
|
0.56
|
|
345397VA8
|
Ford Motor Credit Co
|
$294,478.47
|
0.50
|
|
8998X0AB6
|
TURANALEM FINANCE BV
|
$259,644.00
|
0.44
|
|
13799B9X3
|
CDS RESCAP 1200BPS1.1YR, 1.0000% Mat 09/20/2008
|
$253,160.01
|
0.43
|
|
651715AC8
|
NEWPAGE CORP, 10.0000% Mat 05/01/2012
|
$224,400.00
|
0.38
|
|
749121BP3
|
QWEST COMMUNICATIONS INTL INC, 7.2500% Mat 02/15/2011
|
$217,125.00
|
0.37
|
|
857689BA0
|
STATION CASINOS INC, 7.7500% Mat 08/15/2016
|
$210,600.00
|
0.36
|
|
92839UAB3
|
VISTEON CORP, 8.2500% Mat 08/01/2010
|
$205,625.00
|
0.35
|
|
003669AL2
|
ABITIBI CONSOLIDATED CO CDA, 13.7500% Mat 04/01/2011
|
$184,950.00
|
0.32
|
|
045709AE2
|
ASSOC MATERIALS, 9.7500% Mat 04/15/2012
|
$180,375.00
|
0.31
|
|
420122AF0
|
Hawker Beechcraft Acquistion 8.8750% 04/01/15
|
$174,675.00
|
0.30
|
|
35671DAS4
|
8.3750% Mat 04/01/2017
|
$170,200.00
|
0.29
|
|
999USDZ92
|
US Dollar
|
$166,045.42
|
0.28
|
|
40430CCE7
|
HSBC Bank PLC 0.000% 11/01/11
|
$161,551.72
|
0.28
|
|
873168AL2
|
TXU CORP, 5.5500% Mat 11/15/2014
|
$157,168.20
|
0.27
|
|
36186CAC7
|
GMAC LLC, 6.0000% Mat 04/01/2011
|
$155,002.40
|
0.26
|
|
502413AJ6
|
L 3 COMMUNICATIONS CORP, 7.6250% Mat 06/15/2012
|
$154,312.50
|
0.26
|
|
404119BA6
|
HCA INC
|
$151,840.00
|
0.26
|
|
867363AL7
|
Sungard Data Systems 10.2500% 08/15/15
|
$151,500.00
|
0.26
|
|
36186CAH6
|
GMAC LLC 6.6250% 05/15/12
|
$151,423.00
|
0.26
|
|
165167BE6
|
CHESAPEAKE ENERGY CORP, 6.8750% Mat 01/15/2016
|
$149,250.00
|
0.25
|
|
629377AU6
|
NRG Energy 7.3750% 02/01/2016
|
$147,375.00
|
0.25
|
|
20453EAC3
|
COMPLETE PRODTN SVCS INC, 8.0000% Mat 12/15/2016
|
$144,750.00
|
0.25
|
|
27876GBE7
|
ECHOSTAR DBS CORP, 7.1250% Mat 02/01/2016
|
$140,625.00
|
0.24
|
|
451663AC2
|
Idearc Inc 8.000% 11/15/16
|
$137,025.00
|
0.23
|
|
62941FAH1
|
NTL Cable Plc 9.1250% 08/15/16
|
$135,000.00
|
0.23
|
|
165167BA4
|
CHESAPEAKE ENERGY CORP, 7.7500% Mat 01/15/2015
|
$134,550.00
|
0.23
|
|
233707AA6
|
DAE Aviation Holdings 11.2500% 08/01/15
|
$118,800.00
|
0.20
|
|
864486AB1
|
SUBURBAN PROPANE PARTNERS LP, 6.8750% Mat 12/15/2013
|
$117,600.00
|
0.20
|
|
345397VC4
|
Ford Mtr Cr Co, 8.000% 12/15/16
|
$117,589.65
|
0.20
|
|
97314XAA2
|
Wind Acquisition Fin SA 10.7500% 12/01/2015
|
$112,750.00
|
0.19
|
|
90342DAD1
|
US ONCOLOGY HLDGS INC, 10.7594% Mat 03/15/2012
|
$112,375.00
|
0.19
|
|
077447AE0
|
BELDEN + BLAKE CORP, 8.7500% Mat 07/15/2012
|
$110,825.00
|
0.19
|
|
87255MAA8
|
TL ACQUISITIONS INC, 10.5000% Mat 01/15/2015
|
$108,125.00
|
0.18
|
|
269279AB1
|
EXCO RES INC, 7.2500% Mat 01/15/2011
|
$107,525.00
|
0.18
|
|
858119AK6
|
Steel Dynamics Inc 7.3750% 11/01/12
|
$106,575.00
|
0.18
|
|
428040CA5
|
Hertz Corp 10.500% 01/01/16
|
$103,537.50
|
0.18
|
|
23326BAB0
|
Di Finance/Dyncorp Intl SR Sub Notes
|
$102,250.00
|
0.17
|
|
26816LAT9
|
DYNEGY HLDGS INC, 8.3750% Mat 05/01/2016
|
$99,500.00
|
0.17
|
|
527298AM5
|
LEVEL 3 FING INC, 9.2500% Mat 11/01/2014
|
$98,700.00
|
0.17
|
|
629377AX0
|
NRG ENERGY INC, 7.3750% Mat 01/15/2017
|
$97,500.00
|
0.17
|
|
78375PAJ6
|
Ryerson Inc, 12.0000% 11/01/15
|
$95,000.00
|
0.16
|
|
999EURZ94
|
EURO CURRENCY
|
$91,614.57
|
0.16
|
|
12502BAC7
|
CCH I LLC 11.0000% 10/01/15
|
$91,000.00
|
0.16
|
|
67000XAB2
|
NOVELIS INC NOTES
|
$89,000.00
|
0.15
|
|
02004JAD2
|
ALLTEL COMMUNICATIONS INC, 10.3750% Mat 12/01/2017
|
$86,500.00
|
0.15
|
|
707078AD3
|
PENHALL INTL CORP, 12.0000% Mat 08/01/2014
|
$85,000.00
|
0.14
|
|
21036PAG3
|
Constellation 8.3750% 12/15/14
|
$82,800.00
|
0.14
|
|
857689AV5
|
STATION CASINOS INC, 6.0000% Mat 04/01/2012
|
$82,500.00
|
0.14
|
|
00130HBL8
|
AES CORP, 7.7500% Mat 10/15/2015
|
$81,000.00
|
0.14
|
|
65556TAB3
|
NORCRAFT COS LP, 9.0000% Mat 11/01/2011
|
$81,000.00
|
0.14
|
|
28140JAD2
|
EDUCATION MGMT LLC ED MGMT FIN, 10.2500% Mat 06/01/2016
|
$80,000.00
|
0.14
|
|
293791AV1
|
ENTERPRISE PRODS OPER L P, 8.3750% Mat 08/01/2066
|
$77,983.20
|
0.13
|
|
75605EAW0
|
REALOGY CORP, 12.3750% Mat 04/15/2015
|
$76,500.00
|
0.13
|
|
25459HAB1
|
DIRECTV HLDGS LLC, 8.3750% Mat 03/15/2013
|
$76,406.25
|
0.13
|
|
858119AL4
|
STEEL DYNAMICS INC, 7.7500% Mat 04/15/2016
|
$75,468.75
|
0.13
|
|
26816LAW2
|
Dynegy Holdings Inc 7.7500% 06/01/19
|
$75,200.00
|
0.13
|
|
65562VAA2
|
NORDIC TEL CO HLDG APS, 8.8750% Mat 05/01/2016
|
$73,125.00
|
0.12
|
|
45928HAA4
|
INTERNATIONAL COAL GROUP INC, 10.2500% Mat 07/15/2014
|
$72,187.50
|
0.12
|
|
45820EAX0
|
Intelsat Bermuda 11.250% 06/15/16
|
$71,312.50
|
0.12
|
|
88033GBA7
|
Tenet Healthcare Corp 9.8750% 07/01/2014
|
$70,992.50
|
0.12
|
|
135087WV2
|
CANADA GOVT, 4.0000% Mat 12/01/2031
|
$69,940.74
|
0.12
|
|
17453BAS0
|
CITIZENS COMMUNICATIONS CO, 7.8750% Mat 01/15/2027
|
$69,000.00
|
0.12
|
|
CAD080507
|
CAD080507
|
$67,272.38
|
0.11
|
|
999BRLZ97
|
BRAZILIAN REAL
|
$66,459.82
|
0.11
|
|
89855VAB6
|
Tube City IMS Corp 9.7500% 02/01/15
|
$66,375.00
|
0.11
|
|
01950PAC6
|
Allied Security 11.3750% 07/15/11
|
$64,875.00
|
0.11
|
|
97381WAC8
|
WINDSTREAM CORP, 8.1250% Mat 08/01/2013
|
$64,187.50
|
0.11
|
|
716745AB0
|
PETROPLUS FIN LTD, 7.0000% Mat 05/01/2017
|
$62,825.00
|
0.11
|
|
629377AT9
|
NRG ENERGY INC, 7.2500% Mat 02/01/2014
|
$59,400.00
|
0.10
|
|
283701AA8
|
EL PASO PERFORMANCE LINKED TR, 7.7500% Mat 07/15/2011
|
$55,481.71
|
0.09
|
|
686286AC9
|
ORION PWR HLDGS INC, 12.0000% Mat 05/01/2010
|
$54,875.00
|
0.09
|
|
59151KAE8
|
METHANEX CORP, 8.7500% Mat 08/15/2012
|
$53,875.00
|
0.09
|
|
74955WAJ8
|
R H DONNELLEY CORP, 8.8750% Mat 10/15/2017
|
$53,550.00
|
0.09
|
|
256669AG7
|
DOLLAR GEN CORP, 11.8750% Mat 07/15/2017
|
$52,800.00
|
0.09
|
|
281023AR2
|
EDISON MISSION ENERGY, 7.7500% Mat 06/15/2016
|
$51,750.00
|
0.09
|
|
404119AU3
|
HCA INC FORMERLY HCA HEALTHCAR, 9.1250% Mat 11/15/2014
|
$51,625.00
|
0.09
|
|
345397SM6
|
FORD MOTOR CREDIT CO, 7.3750% Mat 10/28/2009
|
$50,130.03
|
0.09
|
|
492914AQ9
|
KEY ENERGY SVCS INC, 8.3750% Mat 12/01/2014
|
$50,125.00
|
0.09
|
|
00828DAC5
|
AFFINION GROUP, 10.1250% Mat 10/15/2013
|
$49,937.50
|
0.09
|
|
966387AE2
|
WHITING PETEROLEUM, 7.0000% Mat 02/01/2014
|
$49,750.00
|
0.08
|
|
591324AJ7
|
METALS USA INC, 11.1250% Mat 12/01/2015
|
$49,250.00
|
0.08
|
|
90343VAA6
|
US INVESTIGATIONS SVCS INC, 10.5000% Mat 11/01/2015
|
$49,200.00
|
0.08
|
|
527288BC7
|
LEUCADIA NATL CORP, 7.1250% Mat 03/15/2017
|
$47,625.00
|
0.08
|
|
018772AJ2
|
ALLIANCE ONE INTL INC, 8.5000% Mat 05/15/2012
|
$47,250.00
|
0.08
|
|
373200AT1
|
GEORGIA GULF CORP, 10.7500% Mat 10/15/2016
|
$46,200.00
|
0.08
|
|
969457BM1
|
Williams Cos Inc 8.7500% 03/15/2032
|
$44,080.00
|
0.08
|
|
594087AJ7
|
MICHAELS STORES INC, 10.0000% Mat 11/01/2014
|
$44,000.00
|
0.07
|
|
640204AB9
|
NIEMAN MARCUS GROUP INC, 7.1250% Mat 06/01/2028
|
$44,000.00
|
0.07
|
|
805844AE7
|
SBARRO INC, 10.3750% Mat 02/01/2015
|
$41,750.00
|
0.07
|
|
000305AB8
|
AAC Group Holding Corp Sr Dis Note
|
$40,750.00
|
0.07
|
|
92203RAB8
|
VANGUARD HEALTH HKDG CO I LLC, 1.0000% Mat 10/01/2015
|
$38,500.00
|
0.07
|
|
24869QAB8
|
DENNYS HLDGS INC, 10.0000% Mat 10/01/2012
|
$37,000.00
|
0.06
|
|
65542WAA5
|
NORANDA ALUM HLDG CORP, 11.1459% Mat 11/15/2014
|
$37,000.00
|
0.06
|
|
92336GAE6
|
VERASUN ENERGY CORP, 9.3750% Mat 06/01/2017
|
$34,500.00
|
0.06
|
|
404030AC2
|
H + E EQUIP SVCS INC, 8.3750% Mat 07/15/2016
|
$33,200.00
|
0.06
|
|
210805DA2
|
CONTINENTAL AIRLS, 8.3880% Mat 05/01/2022
|
$32,875.44
|
0.06
|
|
420029AF7
|
HAWAIIAN TELCOM COMMUNICATIONS, 12.5000% Mat 05/01/2015
|
$32,850.00
|
0.06
|
|
873168AQ1
|
TXU CORP 11/15/34, 6.5500% Mat 11/15/2034
|
$31,994.01
|
0.05
|
|
28368EAE6
|
EL PASO ENERGY CORP MTN, 7.75% Mat 01/15/2032
|
$31,993.09
|
0.05
|
|
870757AA9
|
SWIFT TRANSN CO INC, 12.6143% Mat 05/15/2015
|
$30,187.50
|
0.05
|
|
76113BAM1
|
RESIDENTIAL CAP CORP, 6.0000% Mat 02/22/2011
|
$29,700.00
|
0.05
|
|
97381WAD6
|
WINDSTREAM CORP SR NOTE
|
$29,625.00
|
0.05
|
|
003924AG2
|
ABITIBI CONSOLIDATED INC, 8.5500% Mat 08/01/2010
|
$29,000.00
|
0.05
|
|
404119AX7
|
HCA INC, 9.2500% Mat 11/15/2016
|
$28,080.00
|
0.05
|
|
87952N9A4
|
TELESAT CANANDA TERM II, 1.0000% Mat 10/15/2014
|
$24,857.91
|
0.04
|
|
969457BB5
|
WILLIAMS COS INC, 7.5000% Mat 01/15/2031
|
$21,997.50
|
0.04
|
|
873168AN8
|
TXU CORP, 6.5000% Mat 11/15/2024
|
$21,452.34
|
0.04
|
|
880779AS2
|
TEREX CORP NEW, 7.3750% Mat 01/15/2014
|
$19,900.00
|
0.03
|
|
281023AX9
|
EDISON MISSION ENERGY, 7.2000% Mat 05/15/2019
|
$19,850.00
|
0.03
|
|
420029AD2
|
HAWAIIAN TELCOM COMMUNICATIONS, 9.7500% Mat 05/01/2013
|
$16,350.00
|
0.03
|
|
594087AM0
|
MICHAELS STORES INC, 11.3750% Mat 11/01/2016
|
$15,800.00
|
0.03
|
|
370442691
|
General Motors Corp
|
$13,740.00
|
0.02
|
|
87999V9D5
|
TELESAT CANADA DELAYED DRAW, 8.0000% Mat 10/15/2014
|
$11,697.83
|
0.02
|
|
292680AA3
|
ENERGY FUTURE HLDGS CORP, 10.8750% Mat 11/01/2017
|
$10,150.00
|
0.02
|
|
281023AU5
|
EDISON MISSION ENERGY, 7.0000% Mat 05/15/2017
|
$10,000.00
|
0.02
|
|
281023BA8
|
EDISON MISSION ENERGY, 7.6250% Mat 05/15/2027
|
$9,450.00
|
0.02
|
|
99LKCE903
|
Euro Currency
|
$6,113.73
|
0.01
|
|
404119AR0
|
HCA Inc Formerly HCA,6.500% 02/15/16
|
$5,932.50
|
0.01
|
|
999CADZ91
|
CANADIAN DOLLAR
|
$3,385.30
|
0.01
|
|
99XH67719
|
U S TREAS NOTES 5YR FUTURES
|
$585.98
|
0.00
|
|
52536PAE8
|
Leiner Health Prods Inc 11.000% 06/01/12
|
$187.50
|
0.00
|
|
99XG32137
|
BRITISH POUND FUTURE
|
($123,200.00)
|
-0.21
|
|
0539919G2
|
0WP063753, 1.0000% Mat 07/20/2008
|
($300,000.00)
|
-0.51
|
|
67199D9F0
|
0WP063050, 1.0000% Mat 06/20/2012
|
($396,000.00)
|
-0.67
|
|
0539919F4
|
0W9063738, 1.0000% Mat 06/20/2012
|
($594,000.00)
|
-1.01
|
|
99XG31766
|
US Treas Notes 10Yr Futures
|
($594,765.63)
|
-1.01
|
|
JPY080507
|
JPY080507
|
($849,063.29)
|
-1.45
|
|
6919979A0
|
0WP050214, 1.0000% Mat 06/20/2012
|
($891,000.00)
|
-1.52
|
|
917DBDII6
|
CDS, 1.0000% Mat 12/20/2012
|
($3,762,000.00)
|
-6.41
|
|
919ZUXII0
|
0WP075716, 1.0000% Mat 12/20/2012
|
($4,950,000.00)
|
-8.43
|
|
9299959Z3
|
0WP073836, 1.0000% Mat 12/20/2012
|
($5,940,000.00)
|
-10.12
|
|
919XYNII3
|
0WP075658, 1.0000% Mat 12/20/2012
|
($6,000,000.00)
|
-10.22
|
