| Ticker |
Name
|
Shares / Par Value |
Market Value
|
Weighting
|
|
US TREASURY BILL DSCT 05/31/2012 |
6,800,000 |
$6,799,837 |
6.79 % |
|
GEN ELEC CAP CRP 5.25 10/19/2012 |
4,474,000 |
$4,559,288 |
4.56 % |
|
GEN ELEC CAP CRP 6 06/15/2012 |
4,084,000 |
$4,099,254 |
4.10 % |
|
DEUTSCHE BK LOND 5.375 10/12/2012 |
2,970,000 |
$3,022,379 |
3.02 % |
|
BEAR STEARNS CO 6.95 08/10/2012 |
2,673,000 |
$2,712,681 |
2.71 % |
|
WELLS FARGO CO 5.25 10/23/2012 |
2,631,000 |
$2,684,615 |
2.68 % |
|
JPMORGAN CHASE 5.375 10/01/2012 |
2,568,000 |
$2,612,878 |
2.61 % |
|
MERRILL LYNCH 6.05 08/15/2012 |
2,551,000 |
$2,580,502 |
2.58 % |
|
GOLDMAN SACHS 5.7 9/1/2012 |
2,368,000 |
$2,396,103 |
2.39 % |
|
CITIGROUP INC 5.3 10/17/2012 |
2,331,000 |
$2,365,044 |
2.36 % |
|
COUNTRYWIDE FINL 5.8 06/07/2012 |
2,096,000 |
$2,100,309 |
2.10 % |
|
GOLDMAN SACHS GP 5.45 11/01/2012 |
1,929,000 |
$1,966,141 |
1.96 % |
|
BANK OF NY MELLO 4.95 11/01/2012 |
1,883,000 |
$1,921,065 |
1.92 % |
|
BARCLAYS BK PLC 5.45 09/12/2012 |
1,825,000 |
$1,850,933 |
1.85 % |
|
CITIGROUP INC 5.625 08/27/2012 |
1,648,000 |
$1,663,035 |
1.66 % |
|
ASTRAZENECA PLC 5.4 09/15/2012 |
1,579,000 |
$1,604,345 |
1.60 % |
|
IBM INTL GROUP 5.05 10/22/2012 |
1,550,000 |
$1,582,226 |
1.58 % |
|
MORGAN STANLEY 5.75 08/31/2012 |
1,500,000 |
$1,516,160 |
1.51 % |
| HSBC |
HOUSEHOLD FIN CO 6.375 11/27/2012 |
1,435,000 |
$1,474,666 |
1.47 % |
|
BB&T CORPORATION 3.85 07/27/2012 |
1,375,000 |
$1,383,469 |
1.38 % |
|
BANK OF AMERICA CORP 4.875 9/15/2012 |
1,362,000 |
$1,377,387 |
1.38 % |
|
ANHEUSER-BUSCH 3 10/15/2012 |
1,357,000 |
$1,370,145 |
1.37 % |
|
GEN ELEC CAP CRP 3.5 08/13/2012 |
1,335,000 |
$1,344,413 |
1.34 % |
|
TIME WARNER CABL 5.4 7/2/2012 |
1,284,000 |
$1,290,605 |
1.29 % |
|
HSBC HLDGS PLC 5.25 12/12/2012 |
1,262,000 |
$1,290,386 |
1.29 % |
|
IBM CORP 4.75% 11/29/12 |
1,206,000 |
$1,235,329 |
1.23 % |
|
GOLDMAN SACHS GP 3.625 08/01/2012 |
1,200,000 |
$1,206,906 |
1.21 % |
|
AMER EXPR BK FSB 5.55 10/17/2012 |
1,150,000 |
$1,172,978 |
1.17 % |
|
PROCTER & GAMBLE PG 1.375% 8/1/12 |
1,098,000 |
$1,099,795 |
1.10 % |
|
CITIGROUP INC 5.5 08/27/2012 |
1,048,000 |
$1,060,689 |
1.06 % |
|
DOW CHEMICAL CO/THE 6.000000 10/01/2012 |
987,000 |
$1,004,906 |
1.00 % |
|
EXPRESS SCRIPTS 5.25 06/15/2012 |
1,000,000 |
$1,002,891 |
1.00 % |
|
BANK OF AMER CRP 5.375 09/11/2012 |
950,000 |
$962,258 |
0.96 % |
|
TYCO ELECTRONICS 6 10/01/2012 |
935,000 |
$953,161 |
0.95 % |
|
BOTTLING GROUP LLC 4.625 11/15/2012 |
915,000 |
$933,147 |
0.93 % |
|
WALT DISNEY CO 4.7 12/01/2012 |
900,000 |
$920,328 |
0.92 % |
|
ABBOTT LABS 5.15 11/30/2012 |
898,000 |
$920,246 |
0.92 % |
|
MORGAN STANLEY 5.25 11/02/2012 |
900,000 |
$913,656 |
0.91 % |
|
WELLPOINT INC 6.8 08/01/2012 |
900,000 |
$911,019 |
0.91 % |
|
GEN ELEC CAP CRP 4.25 06/15/2012 |
900,000 |
$902,167 |
0.90 % |
|
BOEING CO 1.875 11/20/2012 |
894,000 |
$900,673 |
0.90 % |
|
KELLOGG CO 5.125 12/03/2012 |
862,000 |
$883,390 |
0.88 % |
|
BNP PARIBAS 2.125 12/21/2012 |
875,000 |
$876,844 |
0.88 % |
|
CONOCOPHILLIPS 4.75 10/15/2012 |
825,000 |
$838,952 |
0.84 % |
|
KRAFT FOODS INC 6.25 06/01/2012 |
819,000 |
$820,309 |
0.82 % |
|
COX COMMUN INC 7.125 10/01/2012 |
800,000 |
$818,804 |
0.82 % |
|
SAFEWAY INC 5.8 8/15/2012 |
803,000 |
$811,589 |
0.81 % |
|
HSBC FIN CORP 5.9 06/19/2012 |
800,000 |
$802,985 |
0.80 % |
|
VIRGINIA EL&PWR 5.1 11/30/2012 |
762,000 |
$780,289 |
0.78 % |
|
AMER EXPR CENTUR 5.55 10/17/2012 |
750,000 |
$765,228 |
0.76 % |
|
QWEST COMMUNICATIONS INT 8.000000 10/01/2015 |
700,000 |
$743,275 |
0.74 % |
|
CATERP FIN SERV 4.85 12/07/2012 |
700,000 |
$717,000 |
0.72 % |
|
GOLDEN WEST FINANCIAL 4.75% 10/01/12 |
700,000 |
$710,408 |
0.71 % |
|
WELLS FARGO CO 5.125 09/01/2012 |
700,000 |
$709,019 |
0.71 % |
|
UST INC 6.625 07/15/2012 |
700,000 |
$706,283 |
0.71 % |
|
KINDER MORGAN EN 5.85 09/15/2012 |
690,000 |
$699,657 |
0.70 % |
|
LOWES COMPANIES 5.6 09/15/2012 |
650,000 |
$659,888 |
0.66 % |
|
GENERAL MILLS IN 5.65 09/10/2012 |
648,000 |
$657,905 |
0.66 % |
|
DOMINION RES 5.7 09/17/2012 |
625,000 |
$635,110 |
0.63 % |
|
CINC GAS & ELEC 5.7 9/15/2012 |
600,000 |
$609,792 |
0.61 % |
|
BERKSHIRE HATHWY 5.125 09/15/2012 |
600,000 |
$608,776 |
0.61 % |
|
ENTERPRISE PRODU 4.6 08/01/2012 |
600,000 |
$604,769 |
0.60 % |
|
JOHN DEERE CAP 5.25 10/01/2012 |
575,000 |
$585,229 |
0.58 % |
|
HEWLETT-PACK CO 6.5 07/01/2012 |
545,000 |
$548,273 |
0.55 % |
|
PETROHAWK ENERGY CORP 7.875000 06/01/2015 |
500,000 |
$522,238 |
0.52 % |
|
JOHN DEERE CAP 4.95 12/17/2012 |
500,000 |
$512,739 |
0.51 % |
|
PRINCIPAL LIFE 5.3 12/14/2012 |
498,000 |
$510,933 |
0.51 % |
|
BELLSOUTH CORP 4.75% 11/15/12 |
500,000 |
$509,960 |
0.51 % |
|
WELLS FARGO FINL 5.5 08/01/2012 |
500,000 |
$504,688 |
0.50 % |
|
PLAINS ALL AMER 4.25 09/01/2012 |
500,000 |
$504,107 |
0.50 % |
|
ALLTEL CORP 7.00% 07/01/12 |
470,000 |
$473,334 |
0.47 % |
|
MIDAMER ENER HLD 5.875 10/01/2012 |
460,000 |
$468,711 |
0.47 % |
|
MASCO CORP 5.875 07/15/2012 |
460,000 |
$461,911 |
0.46 % |
|
PRUDENTIAL FIN 3.625 09/17/2012 |
457,000 |
$461,282 |
0.46 % |
|
COVIDIEN INTL 5.45 10/15/2012 |
450,000 |
$458,698 |
0.46 % |
|
ALLIED WASTE NA 6.875 06/01/2017 |
440,000 |
$455,403 |
0.46 % |
|
3M CO 4.65 12/15/2012 |
400,000 |
$410,203 |
0.41 % |
|
AQUILA INC 11.875 07/01/2012 |
400,000 |
$404,851 |
0.40 % |
|
JOHNSON&JOHNSON 5.15 08/15/2012 |
400,000 |
$404,672 |
0.40 % |
|
BLACKROCK INC 2.25 12/10/2012 |
400,000 |
$403,727 |
0.40 % |
|
ALABAMA POWER CO 4.85 12/15/2012 |
367,000 |
$375,924 |
0.38 % |
|
PUBLIC SERV COLO 7.875 10/01/2012 |
360,000 |
$369,568 |
0.37 % |
|
SCIENCE APPLICAT 6.25 07/01/2012 |
360,000 |
$362,248 |
0.36 % |
|
SUMITOMO MITSUI 8 06/15/2012 |
300,000 |
$301,157 |
0.30 % |
|
ALCAN INC 4.875 09/15/2012 |
260,000 |
$263,647 |
0.26 % |
|
CAROLINA P & L 6.5 07/15/2012 |
250,000 |
$252,269 |
0.25 % |
|
SUNTRUST BANKS 5.25 11/05/2012 |
217,000 |
$220,639 |
0.22 % |
|
GEORGIA POWER COMPANY 5.125000 11/15/2012 |
100,000 |
$102,173 |
0.10 % |
|
SLM CORP 5.125 08/27/2012 |
100,000 |
$100,630 |
0.10 % |