Morgan Stanley Smith Barney Document BR217l … Carteras Inversiones...available by selecting...

TOTAL VALUE OF YOUR ACCOUNT (as of 8/31/16)Includes Accrued Interest

$128,305,483.55

CLIENT STATEMENT For the Period August 1-31, 2016

541 - 026956 - 145 - 4 - 1

STATEMENT FOR:CORP PUBLICA PARA LA SUPERVISION

Y SEGURO DE COOP DE PUERTO RICO C/O B R ROBLES CM DAVID & J A F VAZQUEZ

Morgan Stanley Smith Barney LLC. Member SIPC.

Access Your Account Online: www.morganstanley.com/online

Your Financial Advisor Team LATIMER-JANER/CASTANER/+ 561-391-8282

Your Branch 4855 TECHNOLOGY WAY SUITE 600 BOCA RATON, FL 33431

Telephone: 561-391-8282 ; Alt. Phone: 800-327-5890 ; Fax: 561-394-8337

#BWNJGWM

CORP PUBLICA PARA LA SUPERVISION

Y SEGURO DE COOP DE PUERTO RICO C/O

B R ROBLES CM DAVID & J A F VAZQUEZ

PO BOX 195449

SAN JUAN 00919 PUERTO RICO

Client Service Center (24 Hours a Day; 7 Days a Week): 800-869-3326

Standard Disclosures

CLIENT STATEMENT For the Period August 1-31, 2016 of 100

The following Disclosures are applicable to the enclosed statement(s). Expanded Disclosures are attached to your most recent June and December statement (or your first Statement if you have not received a statement for those months). The Expanded Disclosures are also available by selecting Account Documents when you log on to www.morganstanley.com/online or, call 800-869-3326.Questions?Questions regarding your account may be directed to your Financial Advisor or the Branch Manager for the branch office where you maintain your account. If you require further assistance, call Client Service Center at (800) 869-3326 or for account-related concerns call our Client Advocate at (866) 227-2256.Errors and InquiriesIt is your responsibility to review your statement promptly and to seek immediate clarification about entries that you do not understand or believe were made in error by contacting the Branch Manager of the office where you maintain your account. Oral communications regarding any inaccuracy or discrepancy in this statement should be re-confirmed in writing to further protect your rights, including rights under the Securities Investor Protection Act (SIPA). Your statement will be deemed correct unless we receive a written inquiry of a suspected error. See your account documentation for special rules regarding your rights and responsibilities with respect to erroneous electronic fund transfers, including a description of the transfers covered.Availability of Free Credit Balances and Financial StatementsUnder the customer protection rules of the SEC [17 CFR §240.15c3-3], we may use funds comprising free credit balances carried for customer accounts here, provided that these funds are payable to customers on demand (i.e., are free of a lien or right of set-off in our favor or on behalf of some third party to whom you have given control). A financial statement of this organization is available for your personal inspection at its offices, or a copy will be mailed to you upon your written request.Listed OptionsInformation with respect to commissions and other charges related to the execution of options transactions has been included in confirmations of such transactions previously furnished to you and such information will be made available to you promptly at your request. Promptly advise us of any material change in your investment objectives or financial situation.Important Information if you are a Margin Customer (not available for certain retirement accounts)If you have margin privileges, you may borrow money from us in exchange for pledging assets in your accounts as collateral for any outstanding margin loan. The amount you may borrow is based on the

value of the eligible securities in your margin accounts. If a security has eligible shares, the number of shares pledged as collateral will be indicated below the position.Margin Interest ChargesWe calculate interest charges on margin loans as follows: (1) multiply the applicable margin interest rate by the daily close of business net settled debit balance, and (2) divide by 360 (days). Margin interest accrues daily throughout the month and is added to your debit balance at month-end. The month-end interest charge is the sum of the daily accrued interest calculations for the month. We add the accrued interest to your debit balance and start a new calculation each time the applicable interest rate changes and at the close of every statement month. For interest rate information, log into your Morgan Stanley account at morganstanley.com/online. Select your account with a Margin agreement and click Interest Rates for more information.Information regarding Special Memorandum AccountIf you have a Margin Account, this is a combined statement of your Margin Account and Special Memorandum Account maintained for you under Section 220.5 of Regulation T issued by the Board of Governors of the Federal Reserve System. The permanent record of the Special Memorandum Account as required by Regulation T is available for your inspection at your request.Important Information About Auction Rate SecuritiesFor certain Auction Rate Securities there is no or limited liquidity. Therefore, the price(s) for these Auction Rate Securities are indicated by N/A (not available). There can be no assurance that a successful auction will occur or that a secondary market exists or will develop for a particular security.Structured Investments Risks and ConsiderationsStructured Investments (Structured Products) are complex products and may be subject to special risks. Investors should consider the concentration risk of owning the related security and their total exposure to any underlying asset. Structured Investments, which may appear in various statement product categories and are identified on the Position Description Details line as “Asset Class: Struct Inv,” may not perform in a manner consistent with the statement product category where they appear and therefore may not satisfy portfolio asset allocation needs for that category. For information on the risks and conflicts of interest related to Structured Investments generally, log in to Morgan Stanley Online and go to www.morganstanley.com/structuredproductsrisksandconflicts.Security MeasuresThis statement features several embedded security elements to safeguard its authenticity. One is a unique security mark-a blue rectangle printed in heat-sensitive ink on the back of every page. When

exposed to warmth, the blue rectangle will disappear, and then reappear.SIPC ProtectionWe are a member of Securities Investor Protection Corporation (SIPC), which protects securities of its customers up to $500,000 (including $250,000 for claims for cash). An explanatory brochure is available upon request or at www.sipc.org. Losses due to market fluctuation are not protected by SIPC and assets not held with us may not be covered by SIPC protection. To obtain information about SIPC, including an explanatory SIPC brochure, contact SIPC at 1-202-371-8300 or visit www.sipc.org.Transaction Dates and ConditionsUpon written request, we will furnish the date and time of a transaction and the name of the other party to a transaction. We and/or our affiliates may accept benefits that constitute payment for order flow. Details regarding these benefits and the source and amount of any other remuneration received or to be received by us in connection with any transaction will be furnished upon written request.Equity Research Ratings Definitions and Global Investment Manager Analysis StatusSome equity securities may have research ratings from Morgan Stanley & Co. LLC or Morningstar, Inc. Research ratings are the research providers’ opinions and not representations or guarantees of performance. For more information about each research provider's rating system, see the Research Ratings on your most recent June or December statement (or your first statement if you have not received a statement for those months), go to www.morganstanley.com/online or refer to the research provider’s research report. Research reports contain more complete information concerning the analyst's views and you should read the entire research report and not infer its contents from the rating alone. If your account contains an advisory component or is an advisory account, a GIMA status will apply.Credit Ratings from Moody's Investors Service and Standard & Poor'sThe credit rating from Moody's Investors Service and Standard & Poor's may be shown for certain securities. All credit ratings represent the opinions of the provider and are not representations or guarantees of performance. Your Financial Advisor will be pleased to provide you with further information or assistance in interpreting these credit ratings.

Revised 08/2016

Active Assets Account541-026956-145

CHANGE IN VALUE OF YOUR ACCOUNTS (includes accrued interest)

This Period(8/1/16-8/31/16)

This Year(1/1/16-8/31/16)

TOTAL BEGINNING VALUE $119,275,075.95 $52,150,853.30

Credits 10,218,013.35 11,342,335.72Debits 54.00 (2,689,760.00)Security Transfers (10,201.48) 64,083,661.36Accrued Interest On Security Transfers (10.78) 427,561.04

Net Credits/Debits/Transfers $10,207,855.09 $73,163,798.12

Change in Value (1,177,447.49) 2,990,832.13

TOTAL ENDING VALUE $128,305,483.55 $128,305,483.55

JUN 2015 SEP 2015 DEC 2015 MAR 2016 JUN 2016 AUG 20169.00

56.00

103.00

150.00

($)

Millio

ns

CHANGE IN VALUE OVER TIMEThe display of market value (total account value) and net invested capital (total amount invested minustotal withdrawn), demonstrates the impact of deposits and withdrawals.


Since 06/30/15

Account SummaryCORP PUBLICA PARA LA SUPERVISIONY SEGURO DE COOP DE PUERTO RICO C/O

This graph does not reflect corrections to Net Invested Capital or Market Value made subsequent to thedates depicted. It may exclude transactions in Annuities or positions where we are not the custodian,which could delay the reporting of Market Value or affect the Net Invested Capital.

Total Market Value Net Invested Capital

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ASSET ALLOCATION (includes accrued interest)

Cash

Fixed Income & Preferreds

Market Value Percentage

Cash $1,264,725.39 0.99

Fixed Income & Preferreds 127,040,758.16 99.01

TOTAL VALUE $128,305,483.55 100.00%

FDIC rules apply and Bank Deposits are eligible for FDIC insurance but are not covered by SIPC. Cashand securities (including MMFs) are eligible for SIPC coverage. See Expanded Disclosures.Values may include assets externally held, which are provided to you as a courtesy, and may not becovered by SIPC. For additional information, refer to the corresponding section of this statement.

This asset allocation represents holdings on a trade date basis, and projected settled Cash/ BDP andMMF balances. These classifications do not constitute a recommendation and may differ from theclassification of instruments for regulatory or tax purposes.

Account Summary



CORP PUBLICA PARA LA SUPERVISIONY SEGURO DE COOP DE PUERTO RICO C/O

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BALANCE SHEET (^ includes accrued interest)Last Period

(as of 7/31/16)This Period

(as of 8/31/16)

Cash, BDP, MMFs $758,382.37 $1,264,725.39Municipal Bonds^ 9,295,528.07 8,444,785.36Corporate Fixed Income^ 32,197,677.50 31,792,181.83Government Securities^ 77,023,488.01 86,803,790.97

Total Assets $119,275,075.95 $128,305,483.55

Total Liabilities (outstanding balance) — —

TOTAL VALUE $119,275,075.95 $128,305,483.55

CASH FLOWThis Period

(8/1/16-8/31/16)This Year

(1/1/16-8/31/16)

OPENING CASH, BDP, MMFs $758,382.37 $78,771.82

Purchases (11,640,954.89) (39,666,451.30)Sales and Redemptions 715,178.50 28,361,202.44Return of Principal 746,440.69 2,096,480.66Income and Distributions 467,611.37 1,742,146.05

Total Investment Related Activity $(9,711,724.33) $(7,466,622.15)

Electronic Transfers-Credits 10,218,013.35 11,342,335.72Electronic Transfers-Debits — (2,690,000.00)Other Debits 54.00 240.00

Total Cash Related Activity $10,218,067.35 $8,652,575.72

Total Card/Check Activity — —

CLOSING CASH, BDP, MMFs $1,264,725.39 $1,264,725.39

INCOME AND DISTRIBUTION SUMMARYThis Period

(8/1/16-8/31/16)This Year

(1/1/16-8/31/16)

Interest $403,444.70 $1,224,146.00Total Taxable Income And Distributions $403,444.70 $1,224,146.00

Interest 64,166.67 518,000.05Total Tax-Exempt Income $64,166.67 $518,000.05

TOTAL INCOME AND DISTRIBUTIONS $467,611.37 $1,742,146.05

Taxable and tax exempt income classifications are based on the characteristics of the underlyingsecurities and not the taxable status of the account.

GAIN/(LOSS) SUMMARY

Realized This Period(8/1/16-8/31/16)

Realized This Year(1/1/16-8/31/16)

UnrealizedInception to Date

(as of 8/31/16)

Short-Term Gain $1,636.38 $570,639.45 $992,040.35Short-Term (Loss) (2,090.12) (16,949.10) (99,300.23)

Total Short-Term $(453.74) $553,690.35 $892,740.12

Long-Term Gain 210.09 98,107.82 1,733,717.54 Long-Term (Loss) (63,535.82) (83,631.43) (13,866,197.20)Total Long-Term $(63,325.73) $14,476.39 $(12,132,479.66)

TOTAL GAIN/(LOSS) $(63,779.47) $568,166.74 $(11,239,739.54)

The Gain/(Loss) Summary, which may change due to basis adjustments, is provided for informationalpurposes and should not be used for tax preparation. Refer to Gain/(Loss) in the Expanded Disclosures.

Account Summary




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ADDITIONAL ACCOUNT INFORMATION

CategoryThis Period

(8/1/16-8/31/16)This Year

(1/1/16-8/31/16) CategoryThis Period

(8/1/16-8/31/16)This Year

(1/1/16-8/31/16)

Accrued Interest Paid $15,689.71 $185,870.97 Accrued Interest Received — 164,190.95Municipal Interest 5,079.75 174,681.90 U.S. Treasury Coupon Interest 121,718.75 152,968.75Municipal interest displayed in this section is subject to federal tax, and may or may not be exempt at state and local levels.

Account Detail



Investment Objectives †: Capital Appreciation, Income, Aggressive Income, Speculation Brokerage Account


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† Inform us if your investment objectives, as defined in the Expanded Disclosures, change.

HOLDINGSThis section reflects positions purchased/sold on a trade date basis. "Market Value" and "Unrealized Gain/(Loss)" may not reflect the value that could be obtained in the market. Fixed Income securities are sortedby maturity or pre-refunding date, and alphabetically within date. Estimated Annual Income a) is calculated on a pre-tax basis, b) does not include any reduction for applicable non-US withholding taxes, c) mayinclude return of principal or capital gains which could overstate such estimates, and d) for securities that have a defined maturity date within the next 12 months, is reflected only through maturity date. Actualincome or yield may be lower or higher than the estimates. Current yield reflects the income generated by an investment, and does not reflect changes in its price. Structured Investments, identified on thePosition Description Details line as "Asset Class: Struct Inv," may appear in various statement product categories. When displayed, the accrued interest, annual income and current yield for those with acontingent income feature (e.g., Range Accrual Notes or Contingent Income Notes) are estimates and assume specified accrual conditions are met during the relevant period and payment in full of all contingentinterest. For Floating Rate Securities, the accrued interest, annual income and current yield are estimates based on the current floating coupon rate and may not reflect historic rates within the accrual period.

CASH, BANK DEPOSIT PROGRAM AND MONEY MARKET FUNDS Cash, Bank Deposit Program, and Money Market Funds are generally displayed on a settlement date basis. You have the right to instruct us to liquidate your bank deposit balance(s) or shares of any money marketfund balance(s) at any time and have the proceeds of such liquidation remitted to you. Estimated Annual Income, Accrued Interest, and APY% will only be displayed for fully settled positions.

Description Market Value7-Day

Current Yield % Est Ann Income APY %MORGAN STANLEY BANK N.A. # $1,019,721.25 — $204.00 0.020MORGAN STANLEY PRIVATE BANK NA # 245,004.14 — 49.00 0.020

BANK DEPOSITS $1,264,725.39 $253.00

Percentageof Holdings Market Value Est Ann Income

CASH, BDP, AND MMFs 0.99% $1,264,725.39 $253.00

# Bank Deposits are held at Morgan Stanley Bank, N.A. and/or Morgan Stanley Private Bank, National Association, affiliates of Morgan Stanley Smith Barney LLC and each a national bank and FDIC member.

MUNICIPAL BONDS

Security Description Trade Date Face ValueOrig Unit CostAdj Unit Cost Unit Price

Orig Total CostAdj Total Cost Market Value

UnrealizedGain/(Loss)

Est Ann IncomeAccrued Interest

CurrentYield %

PUERTO RICO GOVT DEV BANK REV SENIOR NOTES SER-B

Coupon Rate 4.704%; Matures 05/01/2016; CUSIP 745177EX9

5/31/11

9/14/11

1/23/12

40,000.000

2,955,000.000

4,000,000.000

$102.000$100.000

105.250100.000104.000100.000

$23.000

23.000

23.000

$40,800.04$40,000.00

3,110,137.502,955,000.004,160,005.254,000,000.00

$9,200.00

679,650.00

920,000.00

$(30,800.00)

(2,275,350.00)

(3,080,000.00)

LT

LT

LT

A

A

ATotal 6,995,000.000 7,310,942.79

6,995,000.00 1,608,850.00 (5,386,150.00) LT— —

Account Detail




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CurrentYield %

Int. Semi-Annually May/Nov 01; In Default; Subject to Federal Tax; S&P D; Issued 05/26/11; Asset Class: FI & PrefPUERTO RICO GOVERNMENT DEV BK SNR NTS SER-A Coupon Rate 3.875%; Matures 02/01/2017; CUSIP 745177FM2

3/6/12 2,000,000.000 100.500100.046

23.001 2,010,000.002,000,915.00 460,020.00 (1,540,895.00) LT A

— —

Int. Semi-Annually Feb/Aug 01; In Default; Subject to Federal Tax; Moody CA S&P CC; Issued 02/07/12; Asset Class: FI & PrefNEW YORK N Y CITY TRANSITIONAL FIN AUTH Coupon Rate 5.210%; Matures 08/01/2017; CUSIP 64971MDD1

10/22/12 195,000.000 118.769103.672

103.626 231,599.55202,159.77 202,070.70 (89.07) LT A

10,160.00846.62

5.02

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 1.219%; Subject to Federal Tax; Moody AA1 S&P AAA; Issued 10/16/06; Asset Class: FI & PrefPUERTO RICO COMWLTH GOVT DEV BK REV-H MONTHLY Coupon Rate 4.150%; Matures 08/01/2017; CUSIP 745177FB6

12/22/11 2,000,000.000 100.000100.000

23.001 2,000,000.002,000,000.00 460,020.00 (1,539,980.00) LT A

— —

Interest Paid Monthly Sep 01; In Default; Subject to Federal Tax; Moody CA S&P CC; Issued 12/28/11; Asset Class: FI & PrefPUERTO RICO SALES TAX FING CORP SALES TAX REV FST SUB-A Coupon Rate 5.500%; Matures 08/01/2023; CUSIP 74529JHF5

5/7/14 500,000.000 92.17592.175

52.250 460,875.00460,875.00 261,250.00 (199,625.00) LT A

27,500.002,291.66

10.52

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 08/01/19; Yield to Maturity 17.752%; Federal Tax Exempt; Moody CA S&P CC; Issued 06/18/09; Asset Class: FI & PrefPUERTO RICO SALES TAX FING CORP SALES TAX REV-B

MONTHLY

Coupon Rate 6.050%; Matures 08/01/2029; CUSIP 74529JNL5

6/19/09

6/19/09

6/19/09

5,000,000.000

3,670,000.000

1,330,000.000

100.000100.000100.000100.000100.000100.000

51.500

51.500

51.500

5,000,002.005,000,001.543,670,003.673,670,002.831,330,000.001,330,000.00

2,575,000.00

1,890,050.00

684,950.00

(2,425,001.54)

(1,779,952.83)

(645,050.00)

LT

LT

LT

A

A

ATotal 10,000,000.000 10,000,005.67

10,000,004.37 5,150,000.00 (4,850,004.37) LT605,000.00

50,416.6411.74

Interest Paid Monthly Nov 01; Callable $100.00 on 10/01/16; Yield to Maturity 14.434%; Subject to Federal Tax; Moody CA S&P CC; Issued 06/25/09; Asset Class: FI & PrefILLINOIS ST GENL OBLIG Coupon Rate 5.100%; Matures 06/01/2033; CUSIP 452151LF8

7/11/12 50,000.000 97.23997.239

97.498 48,619.5048,619.50 48,749.00 129.50 LT A

2,550.00637.50

5.23

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 5.327%; Subject to Federal Tax; Moody BAA2 S&P BBB+; Issued 06/12/03; Asset Class: FI & PrefLOS ANGELES CALIF DEPT ARPTS ARPT REV BABDP-C Coupon Rate 6.582%; Matures 05/15/2039; CUSIP 544435C32

10/12/12 25,000.000 131.010128.450

139.529 32,752.5032,112.52 34,882.25 2,769.73 LT A

1,646.00484.50

4.71

Int. Semi-Annually May/Nov 15; Yield to Maturity 3.933%; Callable Extraordinary; Subject to Federal Tax; Moody A1 S&P AA-; Issued 12/03/09; Asset Class: FI & PrefCALIFORNIA ST GENL OBLIG BUILD AMERICA Coupon Rate 7.300%; Matures 10/01/2039; CUSIP 13063A7D0

5/6/15 25,000.000 145.731144.295

154.745 36,432.7536,073.70 38,686.25 2,612.55 LT A

1,825.00760.41

4.71

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 3.739%; Subject to Federal Tax; Moody AA3 S&P AA-; Issued 10/15/09; Asset Class: FI & PrefPORT AUTH N Y & N J FOR ISSUES DTD PRIOR Coupon Rate 5.647%; Matures 11/01/2040; CUSIP 73358WCX0

5/11/15 5,000.000 122.086121.433

135.847 6,104.306,071.66 6,792.35 720.69 LT A

282.0094.11

4.15

Int. Semi-Annually May/Nov 01; Yield to Maturity 3.448%; Subject to Federal Tax; Moody AA3 S&P AA-; Issued 11/01/10; Asset Class: FI & PrefTHE PORT AUTHORITY OF N Y AND N J CONS REV 174TH SERIES Coupon Rate 4.458%; Matures 10/01/2062; CUSIP 73358WJA3

9/28/12 25,000.000 100.000100.000

118.201 25,000.0025,000.00 29,550.25 4,550.25 LT A

1,115.00464.37

3.77

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 3.640%; Subject to Federal Tax; Moody AA3 S&P AA-; Issued 10/10/12; Asset Class: FI & Pref

Account Detail




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CurrentYield %

OHIO ST UNIV GEN RCPTS REV-A Coupon Rate 4.800%; Matures 06/01/2111; CUSIP 677632PA3

12/20/11 75,000.000 104.769104.756

116.025 78,576.7578,567.26 87,018.75 8,451.49 LT A

3,600.00900.00

4.13

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 4.125%; Subject to Federal Tax; Moody AA1 S&P AA; Issued 10/26/11; Asset Class: FI & Pref

Percentageof Holdings Face Value




CurrentYield %

MUNICIPAL BONDS 21,895,000.000 $22,240,908.81

$21,885,398.78 $8,387,889.55 $(13,497,509.23) LT$653,678.00$56,895.81

7.79%

TOTAL MUNICIPAL BONDS (includes accrued interest)

6.58% $8,444,785.36

CORPORATE FIXED INCOME CORPORATE BONDS





CurrentYield %

ACE INA HOLDINGS Coupon Rate 5.700%; Matures 02/15/2017; CUSIP 00440EAJ6

4/8/14 20,000.000 $112.381$102.000

$101.971 $22,476.20$20,399.92 $20,394.20 $(5.72) LT A

$570.00$50.66

2.79

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.344%; Moody A3 S&P A; Issued 02/08/07; Asset Class: FI & PrefWACHOVIA CORP Coupon Rate 5.750%; Matures 06/15/2017; CUSIP 929903DT6

4/17/14 25,000.000 113.835103.508

103.516 28,458.7525,876.92 25,879.00 2.08 LT A

1,438.00303.47

5.55

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 1.254%; Moody A2 S&P A; Issued 06/08/07; Asset Class: FI & PrefBLACKROCK INC Coupon Rate 6.250%; Matures 09/15/2017; CUSIP 09247XAC5

11/17/11 45,000.000 116.832103.221

105.268 52,574.4046,449.29 47,370.60 921.31 LT A

2,813.001,296.87

5.93

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.134%; Moody A1 S&P AA-; Issued 09/17/07; Asset Class: FI & PrefGENERAL ELECTRIC CO Coupon Rate 5.250%; Matures 12/06/2017; CUSIP 369604BC6

12/21/12 25,000.000 118.134104.734

105.208 29,533.5526,183.52 26,302.00 118.48 LT A

1,313.00309.89

4.99

Int. Semi-Annually Jun/Dec 06; Yield to Maturity 1.088%; Moody A1 S&P AA+; Issued 12/06/07; Asset Class: FI & PrefAT&T INC Coupon Rate 5.500%; Matures 02/01/2018; CUSIP 00206RAJ1

4/24/15 10,000.000 110.410105.387

105.675 11,041.0010,538.68 10,567.50 28.82 LT A

550.0045.83

5.20

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 1.438%; Moody BAA1 S&P BBB+; Issued 02/01/08; Asset Class: FI & PrefVENTAS REALTY LP/CAP CRP Coupon Rate 2.000%; Matures 02/15/2018; CUSIP 92276MBA2

11/26/14 15,000.000 100.460100.211

100.604 15,069.0015,031.69 15,090.60 58.91 LT A

300.0013.33

1.98

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 01/15/18; Yield to Call 1.553%; Moody BAA1 S&P BBB+; Issued 12/13/12; Asset Class: FI & PrefACE INA HOLDINGS Coupon Rate 5.800%; Matures 03/15/2018; CUSIP 00440EAK3

4/28/14 10,000.000 114.450105.859

106.854 11,445.0010,585.87 10,685.40 99.53 LT A

580.00267.44

5.42

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.287%; Moody A3 S&P A; Issued 02/14/08; Asset Class: FI & Pref

Account Detail




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CurrentYield %

AMERICAN TOWER TRUST I Coupon Rate 1.551%; Matures 03/15/2018; CUSIP 03027WAH5

4/18/13 30,000.000 100.830100.384

99.761 30,249.0030,115.12 29,928.30 (186.82) LT A

465.0020.67

1.55

Interest Paid Monthly Dec 15; Callable $100.00 on 03/15/17; Yield to Maturity 1.709%; Moody AAA; Issued 03/15/13; Asset Class: FI & PrefBANK OF AMERICA NA Coupon Rate 5.650%; Matures 05/01/2018; CUSIP 06051GDX4

4/15/14 50,000.000 113.803105.838

106.451 56,901.5052,919.22 53,225.50 306.28 LT A

2,825.00941.66

5.30

Int. Semi-Annually May/Nov 01; Yield to Maturity 1.706%; Moody BAA1 S&P BBB+; Issued 05/02/08; Asset Class: FI & PrefAPPLE INC Coupon Rate 1.000%; Matures 05/03/2018; CUSIP 037833AJ9

7/15/15 75,000.000 98.95198.951

99.983 74,213.2574,213.25 74,987.25 774.00 LT A

750.00245.83

1.00

Int. Semi-Annually May/Nov 03; Yield to Maturity 1.010%; Moody AA1 S&P AA+; Issued 05/03/13; Asset Class: FI & PrefDIAGEO CAPITAL PL Coupon Rate 4.850%; Matures 05/15/2018; CUSIP 25243EAF0

7/8/14 25,000.000 110.704104.837

105.894 27,676.0026,209.31 26,473.50 264.19 LT A

1,213.00357.01

4.58

Int. Semi-Annually May/Nov 15; Yield to Maturity 1.342%; Moody A3 S&P A-; Issued 05/02/03; Asset Class: FI & PrefBRITISH TRANSCO FIN CO Coupon Rate 6.625%; Matures 06/01/2018; CUSIP 111022AA7

6/3/13 25,000.000 121.399107.749

108.385 30,349.7526,937.18 27,096.25 159.07 LT A

1,656.00414.06

6.11

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 1.738%; Moody A3 S&P A-; Issued 06/04/98; Asset Class: FI & PrefNUCOR CORP Coupon Rate 5.850%; Matures 06/01/2018; CUSIP 670346AK1

1/17/12 50,000.000 120.343105.891

106.992 60,171.5052,945.70 53,496.00 550.30 LT A

2,925.00731.25

5.46

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 1.773%; Moody BAA1 S&P A-; Issued 06/02/08; Asset Class: FI & PrefWISCONSIN ELECTRIC POWER COMPANY Coupon Rate 1.700%; Matures 06/15/2018; CUSIP 976656CF3

6/10/13 25,000.000 100.000100.000

100.904 25,000.0025,000.00 25,226.00 226.00 LT A

425.0089.72

1.68

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 05/15/18; Yield to Call 1.163%; Moody A1 S&P A-; Issued 06/13/13; Asset Class: FI & PrefXTO ENERGY INC Coupon Rate 5.500%; Matures 06/15/2018; CUSIP 98385XAP1

4/23/12 35,000.000 123.139106.958

107.641 43,098.6537,435.47 37,674.35 238.88 LT A

1,925.00406.38

5.10

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 1.170%; Moody AAA S&P AA+; Issued 04/18/08; Asset Class: FI & PrefWELLPOINT INC Coupon Rate 2.300%; Matures 07/15/2018; CUSIP 94973VBE6

7/30/13 5,000.000 99.57999.579

101.487 4,978.954,978.95 5,074.35 95.40 LT A

115.0014.69

2.26

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 1.491%; Moody BAA2 S&P A (-); Issued 08/06/13; Asset Class: FI & PrefROYAL BANK OF CANADA Coupon Rate 2.200%; Matures 07/27/2018; CUSIP 78008S7D2

7/24/13 20,000.000 100.000100.000

101.535 20,000.0020,000.00 20,307.00 307.00 LT A

440.0041.55

2.16

Int. Semi-Annually Jan/Jul 27; Yield to Maturity 1.381%; Moody AA3 S&P AA-; Issued 07/29/13; Asset Class: FI & PrefTOTAL CAPITAL SA

Coupon Rate 2.125%; Matures 08/10/2018; CUSIP 89152UAG7

8/5/13

4/24/14

17,000.000

8,000.000

99.97299.972

101.423100.658

101.664

101.664

16,995.2416,995.24

8,113.848,052.62

17,282.88

8,133.12

287.64

80.50

LT

LT

A

ATotal 25,000.000 25,109.08

25,047.86 25,416.00 368.14 LT531.00

30.982.08

Int. Semi-Annually Feb/Aug 10; Yield to Maturity 1.255%; Moody AA3 S&P A+; Issued 08/12/13; Asset Class: FI & Pref

Account Detail




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CurrentYield %

METLIFE INC Coupon Rate 6.817%; Matures 08/15/2018; CUSIP 59156RAR9

12/18/12 100,000.000 126.141109.353

110.335 126,141.00109,353.06 110,335.00 981.94 LT A

6,817.00302.97

6.17

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.438%; Moody A3 (-) S&P A-; Issued 08/15/08; Asset Class: FI & PrefTORONTO-DOMINION BANK Coupon Rate 2.625%; Matures 09/10/2018; CUSIP 89114QAM0

8/11/15 50,000.000 102.458101.630

102.334 51,229.0050,815.01 51,167.00 351.99 LT A

1,313.00623.43

2.56

Int. Semi-Annually Mar/Sep 10; Yield to Maturity 1.451%; Moody AA1 S&P AA-; Issued 09/10/13; Asset Class: FI & PrefBHP BILLITON FIN USA LTD Coupon Rate 2.050%; Matures 09/30/2018; CUSIP 055451AT5

9/25/13 14,000.000 99.85499.854

101.434 13,979.5613,979.56 14,200.76 221.20 LT A

287.00119.58

2.02

Int. Semi-Annually Mar/Sep 30; Yield to Maturity 1.349%; Moody A3 S&P A; Issued 09/30/13; Asset Class: FI & PrefROYAL BANK OF CANADA Coupon Rate 2.000%; Matures 10/01/2018; CUSIP 78011DAF1

9/24/13 48,000.000 99.92099.920

101.214 47,961.6047,961.60 48,582.72 621.12 LT A

960.00400.00

1.97

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 1.406%; Moody AAA; Issued 10/01/13; Asset Class: FI & PrefIBM CORP Coupon Rate 7.625%; Matures 10/15/2018; CUSIP 459200GM7

2/16/12 100,000.000 135.819111.902

113.101 135,819.00111,902.30 113,101.00 1,198.70 LT A

7,625.002,880.55

6.74

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 1.342%; Moody AA3 S&P AA-; Issued 10/15/08; Asset Class: FI & PrefPRINCIPAL LFE GLB FND II Coupon Rate 2.250%; Matures 10/15/2018; CUSIP 74256LAG4

9/23/13 18,000.000 99.77799.777

101.760 17,959.8617,959.86 18,316.80 356.94 LT A

405.00153.00

2.21

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 1.405%; Moody A1 S&P A+; Issued 09/30/13; Asset Class: FI & PrefERAC USA FINANCE LLC Coupon Rate 2.800%; Matures 11/01/2018; CUSIP 26884TAK8

7/18/13 1,000.000 99.85299.852

102.282 998.52998.52 1,022.82 24.30 LT A

28.009.33

2.73

Int. Semi-Annually May/Nov 01; Yield to Maturity 1.722%; Moody BAA1 S&P BBB+; Issued 07/23/13; Asset Class: FI & PrefSUNTRUST BANKS INC

Coupon Rate 2.350%; Matures 11/01/2018; CUSIP 867914BF9

10/22/13

4/28/14

5,000.000

10,000.000

99.91599.915

100.419100.207

101.670

101.670

4,995.754,995.75

10,041.9010,020.66

5,083.50

10,167.00

87.75

146.34

LT

LT

A

ATotal 15,000.000 15,037.65

15,016.41 15,250.50 234.09 LT353.00117.49

2.31

Int. Semi-Annually May/Nov 01; Callable $100.00 on 10/01/18; Yield to Call 1.532%; Moody BAA1 S&P BBB+; Issued 10/25/13; Asset Class: FI & PrefPRAXAIR INC Coupon Rate 1.250%; Matures 11/07/2018; CUSIP 74005PBH6

4/29/13 25,000.000 99.95899.958

100.227 24,989.5024,989.50 25,056.75 67.25 LT A

313.0098.95

1.24

Int. Semi-Annually May/Nov 07; Yield to Maturity 1.144%; Moody A2 S&P A; Issued 05/07/13; Asset Class: FI & PrefBOTTLING GROUP LLC Coupon Rate 5.125%; Matures 01/15/2019; CUSIP 10138MAK1

9/28/15 25,000.000 110.588107.682

109.068 27,647.0026,920.41 27,267.00 346.59 ST A

1,281.00163.71

4.69

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 1.234%; Moody A1 S&P A; Issued 01/20/09; Asset Class: FI & PrefORACLE CORP Coupon Rate 2.375%; Matures 01/15/2019; CUSIP 68389XAQ8

4/15/14 50,000.000 101.993101.020

102.748 50,996.5050,510.01 51,374.00 863.99 LT A

1,188.00151.73

2.31

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 1.197%; Moody A1 S&P AA-; Issued 07/16/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

CONOCOPHILLIPS Coupon Rate 5.750%; Matures 02/01/2019; CUSIP 20825CAR5

11/17/11 85,000.000 120.551107.325

109.391 102,468.3591,226.62 92,982.35 1,755.73 LT A

4,888.00407.29

5.25

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 1.763%; Moody BAA2 S&P A-; Issued 02/03/09; Asset Class: FI & PrefARIZONA PUBLIC SERVICE Coupon Rate 8.750%; Matures 03/01/2019; CUSIP 040555CL6

2/27/13 15,000.000 135.495115.419

117.190 20,324.2517,312.90 17,578.50 265.60 LT A

1,313.00656.25

7.46

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 1.698%; Moody A2 S&P A-; Issued 02/26/09; Asset Class: FI & PrefFPL GROUP CAPITAL INC Coupon Rate 6.000%; Matures 03/01/2019; CUSIP 302570BD7

3/9/12 15,000.000 117.661106.787

110.071 17,649.1516,018.07 16,510.65 492.58 LT A

900.00450.00

5.45

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 1.859%; Moody BAA1 S&P BBB+; Issued 03/09/09; Asset Class: FI & PrefBP CAPITAL MARKETS PLC Coupon Rate 4.750%; Matures 03/10/2019; CUSIP 05565QBJ6

11/17/11 100,000.000 111.970104.424

107.800 111,970.00104,424.08 107,800.00 3,375.92 LT A

4,750.002,256.25

4.40

Int. Semi-Annually Mar/Sep 10; Yield to Maturity 1.586%; Moody A2 S&P A-; Issued 03/10/09; Asset Class: FI & PrefCONSUMERS ENERGY CO Coupon Rate 6.125%; Matures 03/15/2019; CUSIP 210518CR5

3/26/14 30,000.000 118.218109.571

111.691 35,465.4032,871.44 33,507.30 635.86 LT A

1,838.00847.29

5.48

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.420%; Moody A1 S&P A; Issued 09/12/08; Asset Class: FI & PrefNEVADA POWER CO Coupon Rate 7.125%; Matures 03/15/2019; CUSIP 641423BY3

2/11/13 10,000.000 129.281112.631

114.171 12,928.1011,263.07 11,417.10 154.03 LT A

713.00328.54

6.24

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.422%; Moody A2 S&P A+; Issued 03/02/09; Asset Class: FI & PrefNATIONAL CITY CORP SUB NOTE Coupon Rate 6.875%; Matures 05/15/2019; CUSIP 635405AM5

11/5/13 15,000.000 119.806110.097

112.904 17,970.9016,514.48 16,935.60 421.12 LT A

1,031.00303.64

6.08

Int. Semi-Annually May/Nov 15; Yield to Maturity 1.954%; Moody A3 S&P BBB+; Issued 05/04/99; Asset Class: FI & PrefTIME WARNER INC Coupon Rate 2.100%; Matures 06/01/2019; CUSIP 887317AT2

4/22/15 15,000.000 101.165100.789

101.514 15,174.7515,118.40 15,227.10 108.70 LT A

315.0078.75

2.06

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 1.535%; Moody BAA2 S&P BBB; Issued 05/28/14; Asset Class: FI & PrefPNC FUNDING CORP Coupon Rate 6.700%; Matures 06/10/2019; CUSIP 693476BF9

2/29/12 10,000.000 124.522109.970

114.125 12,452.2010,997.00 11,412.50 415.50 LT A

670.00150.75

5.87

Int. Semi-Annually Jun/Dec 10; Yield to Maturity 1.484%; Moody A3 S&P A-; Issued 06/09/09; Asset Class: FI & PrefTARGET CORP Coupon Rate 2.300%; Matures 06/26/2019; CUSIP 87612EBB1

7/24/14 25,000.000 100.787100.461

103.106 25,196.7525,115.37 25,776.50 661.13 LT A

575.00103.81

2.23

Int. Semi-Annually Jun/Dec 26; Yield to Maturity 1.177%; Moody A2 S&P A; Issued 06/26/14; Asset Class: FI & PrefAGL CAPITAL CORP Coupon Rate 5.250%; Matures 08/15/2019; CUSIP 001192AG8

1/13/12 60,000.000 113.989105.852

109.370 68,393.4063,511.12 65,622.00 2,110.88 LT A

3,150.00139.99

4.80

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.971%; Moody BAA1 S&P A-; Issued 08/10/09; Asset Class: FI & PrefREPUBLIC SERVICES INC. Coupon Rate 5.500%; Matures 09/15/2019; CUSIP 760761AB2

11/17/11 50,000.000 114.498106.086

111.135 57,249.0053,043.03 55,567.50 2,524.47 LT A

2,750.001,268.05

4.94

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.723%; Moody BAA3 S&P BBB+; Issued 03/15/10; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

SHELL INTERNATIONAL FIN Coupon Rate 4.300%; Matures 09/22/2019; CUSIP 822582AJ1

9/11/12 25,000.000 116.470107.420

108.610 29,117.5026,855.08 27,152.50 297.42 LT A

1,075.00474.79

3.95

Int. Semi-Annually Mar/Sep 22; Yield to Maturity 1.413%; Moody AA2 S&P A; Issued 09/22/09; Asset Class: FI & PrefEXELON GENERATION CO LLC Coupon Rate 5.200%; Matures 10/01/2019; CUSIP 30161MAF0

1/17/12 45,000.000 111.543104.989

109.760 50,194.3547,244.89 49,392.00 2,147.11 LT A

2,340.00975.00

4.73

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 1.924%; Moody BAA2 S&P BBB; Issued 09/23/09; Asset Class: FI & PrefDEERE & COMPANY Coupon Rate 4.375%; Matures 10/16/2019; CUSIP 244199BC8

8/16/12 30,000.000 115.085106.860

109.409 34,525.5032,058.08 32,822.70 764.62 LT A

1,313.00492.18

4.00

Int. Semi-Annually Apr/Oct 16; Yield to Maturity 1.293%; Moody A2 S&P A; Issued 10/16/09; Asset Class: FI & PrefPUBLIC SERVICE OKLAHOMA Coupon Rate 5.150%; Matures 12/01/2019; CUSIP 744533BK5

3/4/13 30,000.000 116.608108.348

110.227 34,982.4032,504.38 33,068.10 563.72 LT A

1,545.00386.25

4.67

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 1.890%; Moody A3 S&P BBB; Issued 11/13/09; Asset Class: FI & PrefANHEUSER-BUSCH INBEV Coupon Rate 5.375%; Matures 01/15/2020; CUSIP 03523TAN8

1/29/16 65,000.000 110.779109.252

111.949 72,006.3571,013.66 72,766.85 1,753.19 ST A

3,494.00446.42

4.80

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 1.713%; Moody A3 S&P A-; Issued 10/16/09; Asset Class: FI & PrefDR PEPPER SNAPPLE GROUP Coupon Rate 2.000%; Matures 01/15/2020; CUSIP 26138EAQ2

1/11/13 40,000.000 98.75098.750

100.433 39,500.0039,500.00 40,173.20 673.20 LT A

800.00102.22

1.99

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 1.867%; Moody BAA1 S&P BBB+; Issued 11/20/12; Asset Class: FI & PrefJOHN DEERE CAPITAL CORP Coupon Rate 1.700%; Matures 01/15/2020; CUSIP 24422ERY7

10/9/12 5,000.000 99.66199.661

100.900 4,983.054,983.05 5,045.00 61.95 LT A

85.0010.86

1.68

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 1.426%; Moody A2 S&P A; Issued 10/12/12; Asset Class: FI & PrefWELLS FARGO & COMPANY Coupon Rate 2.150%; Matures 01/30/2020; CUSIP 94974BGF1

4/17/15 20,000.000 100.824100.597

101.684 20,164.8020,119.36 20,336.80 217.44 LT A

430.0035.83

2.11

Int. Semi-Annually Jan/Jul 30; Yield to Maturity 1.641%; Moody A2 S&P A; Issued 02/02/15; Asset Class: FI & PrefPNC FUNDING CORP Coupon Rate 5.125%; Matures 02/08/2020; CUSIP 693476BJ1

5/1/15 35,000.000 113.819110.098

111.166 39,836.6538,534.24 38,908.10 373.86 LT A

1,794.00114.60

4.61

Int. Semi-Annually Feb/Aug 08; Yield to Maturity 1.761%; Moody A3 S&P A-; Issued 02/08/10; Asset Class: FI & PrefLINCOLN NATIONAL CORP Coupon Rate 6.250%; Matures 02/15/2020; CUSIP 534187AY5

11/7/13 20,000.000 117.719110.195

112.727 23,543.8022,039.03 22,545.40 506.37 LT A

1,250.0055.55

5.54

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 2.390%; Moody BAA1 S&P A-; Issued 12/11/09; Asset Class: FI & PrefSPECTRA ENERGY CAPITAL Coupon Rate 5.650%; Matures 03/01/2020; CUSIP 84755TAD9

7/13/12 33,000.000 115.147107.438

108.088 37,998.5135,454.64 35,669.04 214.40 LT A

1,865.00932.25

5.22

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 3.189%; Moody BAA2 S&P BBB-; Issued 08/28/09; Asset Class: FI & PrefBAXTER INTL INC Coupon Rate 4.250%; Matures 03/15/2020; CUSIP 071813BC2

7/12/13 24,000.000 109.223105.102

108.361 26,213.5225,224.47 26,006.64 782.17 LT A

1,020.00470.33

3.92

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.801%; Moody BAA2 S&P A-; Issued 03/09/10; Asset Class: FI & Pref

Account Detail




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CurrentYield %

TECO FINANCE INC Coupon Rate 5.150%; Matures 03/15/2020; CUSIP 87875UAK8

11/7/12 35,000.000 118.607109.363

110.104 41,512.4538,277.18 38,536.40 259.22 LT A

1,803.00831.15

4.67

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.168%; Moody BAA2 S&P BBB; Issued 03/15/10; Asset Class: FI & PrefDELTA AIR LINES 2012 1A Coupon Rate 4.750%; Matures 05/07/2020; CUSIP 247358AA2

6/27/12 18,000.000 100.000100.000

106.750 15,612.8513,179.87 14,069.51 889.64 LT A

626.00198.23

4.44

Int. Semi-Annually May/Nov 07; Yield to Maturity 2.807%; Factor .73221504; Moody A2 S&P A; Issued 07/03/12; Current Face 13,179.871; Asset Class: FI & PrefEOG RESOURCES Coupon Rate 4.400%; Matures 06/01/2020; CUSIP 26875PAE1

11/22/11 45,000.000 110.848105.111

107.695 49,881.6047,299.78 48,462.75 1,162.97 LT A

1,980.00495.00

4.08

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 2.248%; Moody BAA1 S&P BBB+; Issued 05/20/10; Asset Class: FI & PrefGOLDMAN SACHS GROUP INC Coupon Rate 6.000%; Matures 06/15/2020; CUSIP 38141EA66

6/20/13 55,000.000 112.698107.315

114.176 61,983.9059,023.39 62,796.80 3,773.41 LT A

3,300.00696.66

5.25

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 2.088%; Moody A3 S&P BBB+; Issued 06/03/10; Asset Class: FI & PrefCHARLES SCHWAB CORP Coupon Rate 4.450%; Matures 07/22/2020; CUSIP 808513AD7

10/23/13 10,000.000 110.582106.344

110.434 11,058.2010,634.37 11,043.40 409.03 LT A

445.0048.20

4.02

Int. Semi-Annually Jan/Jul 22; Yield to Maturity 1.669%; Moody A2 S&P A; Issued 07/22/10; Asset Class: FI & PrefWELLS FARGO & COMPANY Coupon Rate 2.600%; Matures 07/22/2020; CUSIP 94974BGM6

4/5/16 15,000.000 102.219102.017

102.952 15,332.8515,302.58 15,442.80 140.22 ST A

390.0042.24

2.52

Int. Semi-Annually Jan/Jul 22; Yield to Maturity 1.811%; Moody A2 S&P A; Issued 07/22/15; Asset Class: FI & PrefBANK OF NY MELLON CORP Coupon Rate 2.600%; Matures 08/17/2020; CUSIP 06406HDD8

6/10/16 50,000.000 103.170103.011

103.116 51,585.0051,505.40 51,558.00 52.60 ST A

1,300.0050.55

2.52

Int. Semi-Annually Feb/Aug 17; Callable $100.00 on 07/17/20; Yield to Call 1.765%; Moody A1 S&P A; Issued 08/17/15; Asset Class: FI & PrefJOHN DEER CAPITAL CORP Coupon Rate 2.450%; Matures 09/11/2020; CUSIP 24422ETB5

11/6/15 50,000.000 100.239100.201

102.996 50,119.5050,100.34 51,498.00 1,397.66 ST A

1,225.00578.47

2.37

Int. Semi-Annually Mar/Sep 11; Yield to Maturity 1.678%; Moody A2 S&P A; Issued 09/11/15; Asset Class: FI & PrefMEDCO HEALTH SOLUTIONS Coupon Rate 4.125%; Matures 09/15/2020; CUSIP 58405UAG7

11/1/12 30,000.000 111.798106.342

107.820 33,539.4031,902.60 32,346.00 443.40 LT A

1,238.00570.62

3.82

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.095%; Moody BAA2 S&P BBB+; Issued 09/10/10; Asset Class: FI & PrefVERIZON COMMUNICATIONS Coupon Rate 4.500%; Matures 09/15/2020; CUSIP 92343VBQ6

9/11/13

9/30/14

9,000.000

6,000.000

99.87099.870

108.190105.711

110.241

110.241

8,988.308,988.306,491.406,342.65

9,921.69

6,614.46

933.39

271.81

LT

LT

A

ATotal 15,000.000 15,479.70

15,330.95 16,536.15 1,205.20 LT675.00311.24

4.08

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.856%; Moody BAA1 S&P BBB+; Issued 09/18/13; Asset Class: FI & PrefCELGENE CORP Coupon Rate 3.950%; Matures 10/15/2020; CUSIP 151020AE4

12/20/12 30,000.000 108.577104.752

107.869 32,573.1031,425.58 32,360.70 935.12 LT A

1,185.00447.66

3.66

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 1.953%; Moody BAA2 S&P BBB+; Issued 10/07/10; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

WAL-MART STORES INC Coupon Rate 3.250%; Matures 10/25/2020; CUSIP 931142CZ4

9/10/12 250,000.000 110.328105.466

107.897 275,820.25263,665.53 269,742.50 6,076.97 LT A

8,125.002,843.75

3.01

Int. Semi-Annually Apr/Oct 25; Yield to Maturity 1.289%; Moody AA2 S&P AA; Issued 10/25/10; Asset Class: FI & PrefKENTUCKY UTILITIES COMPANY Coupon Rate 3.250%; Matures 11/01/2020; CUSIP 491674BE6

4/11/13 50,000.000 108.231104.701

105.565 54,115.5052,350.50 52,782.50 432.00 LT A

1,625.00541.66

3.07

Int. Semi-Annually May/Nov 01; Callable $100.00 on 08/01/20; Yield to Call 1.773%; Moody A1 S&P A; Issued 05/01/11; Asset Class: FI & PrefPPG INDUSTRIES INC Coupon Rate 3.600%; Matures 11/15/2020; CUSIP 693506BD8

1/17/13 20,000.000 107.193104.047

105.779 21,438.6020,809.47 21,155.80 346.33 LT A

720.00211.99

3.40

Int. Semi-Annually May/Nov 15; Yield to Maturity 2.155%; Moody A3 S&P A-; Issued 11/12/10; Asset Class: FI & PrefKELLOGG CO Coupon Rate 4.000%; Matures 12/15/2020; CUSIP 487836BD9

6/9/14 25,000.000 105.539103.768

109.590 26,384.7525,942.12 27,397.50 1,455.38 LT A

1,000.00211.11

3.64

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 1.673%; Moody BAA2 S&P BBB; Issued 12/13/10; Asset Class: FI & PrefTOYOTA MOTOR CREDIT CORPORATION Coupon Rate 4.250%; Matures 01/11/2021; CUSIP 89233P4S2

9/18/12 50,000.000 113.505107.424

110.593 56,752.5053,712.01 55,296.50 1,584.49 LT A

2,125.00295.13

3.84

Int. Semi-Annually Jan/Jul 11; Yield to Maturity 1.718%; Moody AA3 S&P AA-; Issued 01/11/11; Asset Class: FI & PrefCENTERPOINT ENERGY RESOURCES CORP. Coupon Rate 4.500%; Matures 01/15/2021; CUSIP 15189WAG5

10/23/13 25,000.000 109.449105.964

108.354 27,362.2526,491.12 27,088.50 597.38 LT A

1,125.00143.75

4.15

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 10/15/20; Yield to Call 2.361%; Moody BAA2 S&P A-; Issued 07/15/11; Asset Class: FI & PrefMERCK & CO INC Coupon Rate 3.875%; Matures 01/15/2021; CUSIP 58933YAA3

1/15/13 250,000.000 112.243106.951

109.606 280,607.75267,376.46 274,015.00 6,638.54 LT A

9,688.001,237.84

3.53

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 10/15/20; Yield to Call 1.465%; Moody A1 S&P AA; Issued 12/10/10; Asset Class: FI & PrefSCHLUMBERGER OILFIELD UK PLC Coupon Rate 4.200%; Matures 01/15/2021; CUSIP 80685QAA4

1/9/13 20,000.000 112.788107.287

108.620 22,557.6021,457.33 21,724.00 266.67 LT A

840.00107.33

3.86

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 10/15/20; Yield to Call 2.010%; Moody A1 S&P AA-; Issued 01/10/11; Asset Class: FI & PrefTHE KROGER CO Coupon Rate 3.300%; Matures 01/15/2021; CUSIP 501044CX7

12/16/13 15,000.000 99.75599.755

106.166 14,963.2514,963.25 15,924.90 961.65 LT A

495.0063.25

3.10

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 12/15/20; Yield to Call 1.799%; Moody BAA1 S&P BBB; Issued 12/23/13; Asset Class: FI & PrefHYDRO QUEBEC DEBENTURE SER HS Coupon Rate 9.400%; Matures 02/01/2021; CUSIP 448814DM2

3/14/12 55,000.000 148.140125.619

129.973 81,477.0069,090.29 71,485.15 2,394.86 LT A

5,170.00430.83

7.23

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 2.235%; Moody AA2 S&P A+; Issued 02/12/91; Asset Class: FI & PrefMICROSOFT CORP Coupon Rate 4.000%; Matures 02/08/2021; CUSIP 594918AL8

9/11/12 250,000.000 116.558109.051

110.902 291,395.25272,626.69 277,255.00 4,628.31 LT A

10,000.00638.88

3.60

Int. Semi-Annually Feb/Aug 08; Yield to Maturity 1.453%; Moody AAA S&P AAA; Issued 02/08/11; Asset Class: FI & PrefGENERAL ELEC CAP CORP Coupon Rate 5.300%; Matures 02/11/2021; CUSIP 369622SM8

2/13/15

2/13/15

433,000.000

217,000.000

115.386111.643115.302111.580

115.122

115.122

499,621.38483,413.28250,205.34242,129.47

498,478.26

249,814.74

15,064.98

7,685.27

LT

LT

A

A

Account Detail




of 100





CurrentYield %

Total 650,000.000 749,826.72725,542.75 748,293.00 22,750.25 LT

34,450.001,913.89

4.60

Int. Semi-Annually Feb/Aug 11; Yield to Maturity 1.749%; Moody A2 S&P AA; Issued 02/11/11; Asset Class: FI & PrefUNITEDHEALTH GROUP INC Coupon Rate 4.700%; Matures 02/15/2021; CUSIP 91324PBP6

9/13/12 20,000.000 115.196108.467

112.004 23,039.2021,693.44 22,400.80 707.36 LT A

940.0041.77

4.19

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 11/15/20; Yield to Call 1.728%; Moody A3 S&P A+; Issued 02/17/11; Asset Class: FI & PrefSTATE STREET CORP Coupon Rate 4.375%; Matures 03/07/2021; CUSIP 857477AG8

9/11/12 250,000.000 115.808108.789

111.088 289,520.25271,971.91 277,720.00 5,748.09 LT A

10,938.005,286.45

3.93

Int. Semi-Annually Mar/Sep 07; Yield to Maturity 1.807%; Moody A1 S&P A; Issued 03/07/11; Asset Class: FI & PrefHSBC HOLDINGS PLC Coupon Rate 3.400%; Matures 03/08/2021; CUSIP 404280AV1

4/15/16 1,000,000.000 103.369103.130

104.470 1,033,689.001,031,303.72 1,044,700.00 13,396.28 ST

34,000.0016,338.89

3.25

Int. Semi-Annually Mar/Sep 08; Yield to Maturity 2.352%; First Coupon 09/08/16; Moody A1 S&P A; Issued 03/08/16; Asset Class: FI & PrefKEYCORP Coupon Rate 5.100%; Matures 03/24/2021; CUSIP 49326EED1

4/26/12 75,000.000 112.448106.854

112.950 84,336.0080,140.28 84,712.50 4,572.22 LT A

3,825.001,668.12

4.51

Int. Semi-Annually Mar/Sep 24; Yield to Maturity 2.109%; Moody BAA1 S&P BBB+; Issued 03/24/11; Asset Class: FI & PrefTIME WARNER INC Coupon Rate 4.750%; Matures 03/29/2021; CUSIP 887317AK1

3/7/13 35,000.000 112.367107.392

112.181 39,328.4537,587.18 39,263.35 1,676.17 LT A

1,663.00701.94

4.23

Int. Semi-Annually Mar/Sep 29; Yield to Maturity 1.955%; Moody BAA2 S&P BBB; Issued 04/01/11; Asset Class: FI & PrefNBCUNIVERSAL MEDIA LLC Coupon Rate 4.375%; Matures 04/01/2021; CUSIP 63946BAE0

2/11/14 20,000.000 107.819105.219

111.892 21,563.8021,043.83 22,378.40 1,334.57 LT A

875.00364.58

3.91

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 1.669%; Moody A3 S&P A-; Issued 04/01/11; Asset Class: FI & PrefMCDONALDS CORPORATION Coupon Rate 3.625%; Matures 05/20/2021; CUSIP 58013MEL4

1/15/13 250,000.000 111.691106.853

107.965 279,227.75267,133.15 269,912.50 2,779.35 LT A

9,063.002,542.53

3.35

Int. Semi-Annually May/Nov 20; Yield to Maturity 1.854%; Moody BAA1 S&P BBB+; Issued 05/20/11; Asset Class: FI & PrefUS BANCORP Coupon Rate 4.125%; Matures 05/24/2021; CUSIP 91159HHA1

11/17/11 75,000.000 110.313105.478

111.109 82,734.7579,108.49 83,331.75 4,223.26 LT A

3,094.00833.59

3.71

Int. Semi-Annually May/Nov 24; Callable $100.00 on 04/23/21; Yield to Call 1.631%; Moody A1 S&P A+; Issued 05/24/11; Asset Class: FI & PrefCSX CORPORATION Coupon Rate 4.250%; Matures 06/01/2021; CUSIP 126408GV9

11/29/11 100,000.000 105.925103.205

110.159 105,925.00103,205.20 110,159.00 6,953.80 LT A

4,250.001,062.50

3.85

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 03/01/21; Yield to Call 1.885%; Moody BAA1 S&P BBB+; Issued 05/25/11; Asset Class: FI & PrefDETROIT EDISON COMPANY Coupon Rate 3.900%; Matures 06/01/2021; CUSIP 250847EG1

2/3/12 20,000.000 109.372105.073

109.805 21,874.4021,014.63 21,961.00 946.37 LT A

780.00195.00

3.55

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 03/01/21; Yield to Call 1.631%; Moody AA3 S&P A; Issued 05/18/11; Asset Class: FI & PrefLIBERTY MUTUAL GROUP, INC. Coupon Rate 5.000%; Matures 06/01/2021; CUSIP 53079EAV6

4/19/13 25,000.000 111.444107.076

110.801 27,861.0026,768.93 27,700.25 931.32 LT A

1,250.00312.50

4.51

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 2.569%; Moody BAA2 S&P BBB; Issued 05/23/11; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

NEXTERA ENERGY CAPITAL Coupon Rate 4.500%; Matures 06/01/2021; CUSIP 65339KAA8

3/28/12 20,000.000 106.629103.706

110.051 21,325.8020,741.11 22,010.20 1,269.09 LT A

900.00225.00

4.08

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 03/01/21; Yield to Call 2.145%; Moody BAA1 S&P BBB+; Issued 06/10/11; Asset Class: FI & PrefDUKE ENERGY CAROLINAS Coupon Rate 3.900%; Matures 06/15/2021; CUSIP 26442CAK0

1/26/12 25,000.000 109.911105.370

109.970 27,477.7526,342.55 27,492.50 1,149.95 LT A

975.00205.83

3.54

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 03/15/21; Yield to Call 1.613%; Moody AA2 S&P A; Issued 05/19/11; Asset Class: FI & PrefPACIFICORP Coupon Rate 3.850%; Matures 06/15/2021; CUSIP 695114CM8

5/21/12 25,000.000 109.209105.142

109.222 27,302.2526,285.56 27,305.50 1,019.94 LT A

963.00203.19

3.52

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 03/15/21; Yield to Call 1.729%; Moody A1 S&P A+; Issued 05/12/11; Asset Class: FI & PrefLINCOLN NATIONAL CORPORATION

Coupon Rate 4.850%; Matures 06/24/2021; CUSIP 534187BB4

8/23/12

5/16/13

15,000.000

5,000.000

108.827105.161114.110108.778

110.421

110.421

16,324.0515,774.12

5,705.505,438.91

16,563.15

5,521.05

789.03

82.14

LT

LT

A

ATotal 20,000.000 22,029.55

21,213.03 22,084.20 871.17 LT970.00180.52

4.39

Int. Semi-Annually Jun/Dec 24; Yield to Maturity 2.536%; Moody BAA1 S&P A-; Issued 06/24/11; Asset Class: FI & PrefMORGAN STANLEY

Coupon Rate 5.500%; Matures 07/28/2021; CUSIP 61747WAL3

1/29/15

2/19/15

50,000.000

100,000.000

115.873112.245115.640112.180

114.646

114.646

57,936.5056,122.56

115,640.00112,179.93

57,323.00

114,646.00

1,200.44

2,466.07

LT

LT

A

ATotal 150,000.000 173,576.50

168,302.49 171,969.00 3,666.51 LT8,250.00

756.254.79

Int. Semi-Annually Jan/Jul 28; Yield to Maturity 2.325%; Moody A3 S&P BBB+; Issued 07/28/11; Asset Class: FI & PrefAT&T INC Coupon Rate 3.875%; Matures 08/15/2021; CUSIP 00206RAZ5

12/12/13 90,000.000 100.875100.594

108.470 90,787.5090,534.17 97,623.00 7,088.83 LT A

3,488.00154.99

3.57

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 2.068%; Moody BAA1 S&P BBB+; Issued 08/18/11; Asset Class: FI & PrefCOCA-COLA COMPANY Coupon Rate 3.300%; Matures 09/01/2021; CUSIP 191216AV2

1/15/13 250,000.000 109.214105.543

107.893 273,035.25263,857.88 269,732.50 5,874.62 LT A

8,250.004,125.00

3.05

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 1.649%; Moody AA3 S&P AA-; Issued 08/10/11; Asset Class: FI & PrefPUBLIC SERVICE COMPANY OF NEW HAMPSHIRE Coupon Rate 3.200%; Matures 09/01/2021; CUSIP 744538AC3

1/25/13 20,000.000 103.673102.242

105.443 20,734.6020,448.31 21,088.60 640.29 LT A

640.00320.00

3.03

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/21; Yield to Call 1.993%; Moody A1 S&P A+; Issued 09/13/11; Asset Class: FI & PrefTIME WARNER CABLE INC Coupon Rate 4.000%; Matures 09/01/2021; CUSIP 88732JBA5

2/27/12 25,000.000 105.332103.014

106.645 26,333.0025,753.62 26,661.25 907.63 LT A

1,000.00500.00

3.75

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/21; Yield to Call 2.507%; Moody BA1 S&P BBB; Issued 09/12/11; Asset Class: FI & PrefAGL CAPITAL CORP Coupon Rate 3.500%; Matures 09/15/2021; CUSIP 001192AJ2

3/6/12 20,000.000 102.408101.365

105.464 20,481.6020,272.90 21,092.80 819.90 LT A

700.00322.77

3.31

Account Detail




of 100





CurrentYield %

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 06/15/21; Yield to Call 2.288%; Moody BAA1 S&P A-; Issued 09/20/11; Asset Class: FI & PrefFLUOR CORPORATION Coupon Rate 3.375%; Matures 09/15/2021; CUSIP 343412AB8

7/21/14 10,000.000 103.539102.568

107.090 10,353.9010,256.79 10,709.00 452.21 LT A

338.00155.62

3.15

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.893%; Moody A3 S&P A-; Issued 09/13/11; Asset Class: FI & PrefPROGRESS ENERGY CAROLINA Coupon Rate 3.000%; Matures 09/15/2021; CUSIP 144141DA3

6/20/12 80,000.000 104.405102.528

106.088 83,524.0082,022.33 84,870.40 2,848.07 LT A

2,400.001,106.66

2.82

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 06/15/21; Yield to Call 1.672%; Moody AA3 S&P A; Issued 09/15/11; Asset Class: FI & PrefPSEG POWER LLC Coupon Rate 4.150%; Matures 09/15/2021; CUSIP 69362BAY8

11/27/15 25,000.000 103.902103.430

106.938 25,975.5025,857.49 26,734.50 877.01 ST A

1,038.00478.40

3.88

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 06/15/21; Yield to Call 2.599%; Moody BAA1 S&P BBB+; Issued 09/19/11; Asset Class: FI & PrefBANK OF NEW YORK MELLON CORPORATION

Coupon Rate 3.550%; Matures 09/23/2021; CUSIP 06406HBY4

2/13/12

10/18/12

12,000.000

3,000.000

103.338101.882109.171105.440

107.630

107.630

12,400.5612,225.86

3,275.133,163.21

12,915.60

3,228.90

689.74

65.69

LT

LT

A

ATotal 15,000.000 15,675.69

15,389.07 16,144.50 755.43 LT533.00233.70

3.30

Int. Semi-Annually Mar/Sep 23; Callable $100.00 on 08/23/21; Yield to Call 1.935%; Moody A1 S&P A; Issued 09/23/11; Asset Class: FI & PrefINTEL CORP Coupon Rate 3.300%; Matures 10/01/2021; CUSIP 458140AJ9

2/26/13 30,000.000 105.361103.315

107.995 31,608.3030,994.56 32,398.50 1,403.94 LT A

990.00412.50

3.05

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 1.654%; Moody A1 S&P A+; Issued 09/19/11; Asset Class: FI & PrefOHIO PWR CO Coupon Rate 5.375%; Matures 10/01/2021; CUSIP 677415CP4

1/31/13 50,000.000 119.625112.086

113.861 59,812.5056,043.17 56,930.50 887.33 LT A

2,688.001,119.79

4.72

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 2.457%; Moody BAA1 S&P BBB; Issued 09/24/09; Asset Class: FI & PrefNORDSTORM INC Coupon Rate 4.000%; Matures 10/15/2021; CUSIP 655664AP5

12/3/13 25,000.000 104.460103.035

107.184 26,115.0025,758.78 26,796.00 1,037.22 LT A

1,000.00377.77

3.73

Int. Semi-Annually Apr/Oct 15; Callable $100.00 on 07/15/21; Yield to Call 2.427%; Moody BAA1 S&P BBB+; Issued 10/11/11; Asset Class: FI & PrefSTATOIL ASA Coupon Rate 2.750%; Matures 11/10/2021; CUSIP 85771PAV4

7/22/15 2,000.000 99.56299.562

104.175 1,991.241,991.24 2,083.50 92.26 LT A

55.0016.95

2.63

Int. Semi-Annually May/Nov 10; Yield to Maturity 1.901%; Moody AA3 S&P A+; Issued 11/10/14; Asset Class: FI & PrefDOW CHEMICAL COMPANY Coupon Rate 4.125%; Matures 11/15/2021; CUSIP 260543CF8

4/16/15 25,000.000 108.667106.977

109.421 27,166.7526,744.28 27,355.25 610.97 LT A

1,031.00303.64

3.76

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/21; Yield to Call 2.112%; Moody BAA2 S&P BBB (*); Issued 11/14/11; Asset Class: FI & PrefMOSAIC CO Coupon Rate 3.750%; Matures 11/15/2021; CUSIP 61945CAA1

12/12/12 50,000.000 107.151104.390

105.532 53,575.5052,195.23 52,766.00 570.77 LT A

1,875.00552.08

3.55

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/21; Yield to Call 2.554%; Moody BAA1 S&P BBB; Issued 10/24/11; Asset Class: FI & PrefGILEAD SCIENCES INC Coupon Rate 4.400%; Matures 12/01/2021; CUSIP 375558AU7

5/10/13 10,000.000 113.586108.696

112.356 11,358.6010,869.58 11,235.60 366.02 LT A

440.00110.00

3.91

Account Detail




of 100





CurrentYield %

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 09/01/21; Yield to Call 1.805%; Moody A3 S&P A; Issued 12/13/11; Asset Class: FI & PrefSIMON PROPERTY GROUP LP Coupon Rate 4.125%; Matures 12/01/2021; CUSIP 828807CG0

11/21/11 60,000.000 100.826100.473

110.591 60,495.6060,284.07 66,354.60 6,070.53 LT A

2,475.00618.75

3.72

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 09/01/21; Yield to Call 1.895%; Moody A2 S&P A; Issued 11/16/11; Asset Class: FI & PrefHEWLETT-PACKARD CO Coupon Rate 4.650%; Matures 12/09/2021; CUSIP 428236BV4

11/2/12 5,000.000 100.084100.053

109.286 5,004.205,002.64 5,464.30 461.66 LT A

233.0052.95

4.26

Int. Semi-Annually Jun/Dec 09; Yield to Maturity 2.745%; Moody BAA2 S&P BBB; Issued 12/09/11; Asset Class: FI & PrefERP OPERATING LP Coupon Rate 4.625%; Matures 12/15/2021; CUSIP 26884AAZ6

6/26/12

1/2/13

7,000.000

20,000.000

109.094105.444112.472107.774

112.147

112.147

7,636.587,381.05

22,494.4021,554.83

7,850.29

22,429.40

469.24

874.57

LT

LT

A

ATotal 27,000.000 30,130.98

28,935.88 30,279.69 1,343.81 LT1,249.00

263.624.12

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 09/15/21; Yield to Call 2.074%; Moody BAA1 S&P A-; Issued 12/12/11; Asset Class: FI & PrefVIRGINIA ELEC & POWER CO Coupon Rate 2.950%; Matures 01/15/2022; CUSIP 927804FK5

1/9/12 27,000.000 99.75999.759

105.155 26,934.9326,934.93 28,391.85 1,456.92 LT A

797.00101.77

2.80

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 10/15/21; Yield to Call 1.889%; Moody A2 S&P BBB+; Issued 01/12/12; Asset Class: FI & PrefSTATOIL ASA Coupon Rate 3.150%; Matures 01/23/2022; CUSIP 85771PAF9

11/21/11 75,000.000 99.81399.813

105.910 74,859.7574,859.75 79,432.50 4,572.75 LT A

2,363.00249.37

2.97

Int. Semi-Annually Jan/Jul 23; Yield to Maturity 1.989%; Moody AA3 S&P A+; Issued 11/23/11; Asset Class: FI & PrefPROCTER & GAMBLE CO Coupon Rate 2.300%; Matures 02/06/2022; CUSIP 742718DY2

1/15/13 250,000.000 101.801101.119

103.594 254,502.75252,798.51 258,985.00 6,186.49 LT A

5,750.00399.30

2.22

Int. Semi-Annually Feb/Aug 06; Yield to Maturity 1.606%; Moody AA3 S&P AA-; Issued 02/06/12; Asset Class: FI & PrefWALT DISNEY COMPANY Coupon Rate 2.550%; Matures 02/15/2022; CUSIP 25468PCT1

9/24/14 35,000.000 98.10098.100

104.060 34,335.0034,335.00 36,421.00 2,086.00 LT A

892.0039.66

2.44

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.766%; Moody A2 S&P A; Issued 02/14/12; Asset Class: FI & PrefCARGILL INC Coupon Rate 3.300%; Matures 03/01/2022; CUSIP 141781BB9

1/10/13 50,000.000 103.524102.231

104.656 51,762.0051,115.74 52,328.00 1,212.26 LT A

1,650.00825.00

3.15

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 12/01/21; Yield to Call 2.352%; Moody A2 S&P A; Issued 03/01/12; Asset Class: FI & PrefKIMBERLY-CLARK CORP

Coupon Rate 2.400%; Matures 03/01/2022; CUSIP 494368BH5

6/7/12

4/20/16

30,000.000

1,000,000.000

100.308100.183103.451103.254

103.526

103.526

30,092.4030,054.86

1,034,506.001,032,537.97

31,057.80

1,035,260.00

1,002.94

2,722.03

LT

ST

A

Total 1,030,000.000 1,064,598.40

1,062,592.83 1,066,317.80 1,002.942,722.03

LTST

24,720.0012,360.00

2.31

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 1.725%; Moody A2 S&P A; Issued 02/09/12; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

VENTAS REALTY L.P./VENTAS CAPITAL CORP. Coupon Rate 4.250%; Matures 03/01/2022; CUSIP 92276MAX3

3/8/16 15,000.000 104.532104.206

107.826 15,679.8015,630.88 16,173.90 543.02 ST A

638.00318.75

3.94

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 12/01/21; Yield to Call 2.643%; Moody BAA1 S&P BBB+; Issued 02/10/12; Asset Class: FI & PrefWELLS FARGO & COMPANY Coupon Rate 3.500%; Matures 03/08/2022; CUSIP 94974BFC9

9/25/15 100,000.000 103.687103.197

106.815 103,687.00103,196.77 106,815.00 3,618.23 ST A

3,500.001,681.94

3.27

Int. Semi-Annually Mar/Sep 08; Yield to Maturity 2.183%; Moody A2 S&P A; Issued 03/08/12; Asset Class: FI & PrefAT&T INC Coupon Rate 3.800%; Matures 03/15/2022; CUSIP 00206RDB5

— 90,000.000 ——

107.352 Please ProvidePlease Provide 96,616.80 N/A

3,420.001,576.99

3.53

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.376%; First Coupon 09/15/16; Moody BAA1 S&P BBB+; Issued 03/15/16; Asset Class: FI & PrefJOHN DEERE CAPITAL CORP Coupon Rate 2.750%; Matures 03/15/2022; CUSIP 24422ERM3

2/22/12 25,000.000 99.82599.825

104.015 24,956.2524,956.25 26,003.75 1,047.50 LT A

688.00317.01

2.64

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 1.981%; Moody A2 S&P A; Issued 02/27/12; Asset Class: FI & PrefLINCOLN NATIONAL CORP Coupon Rate 4.200%; Matures 03/15/2022; CUSIP 534187BC2

3/26/12 14,000.000 100.000100.000

108.137 14,000.0014,000.00 15,139.18 1,139.18 LT A

588.00271.13

3.88

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.612%; Moody BAA1 S&P A-; Issued 03/29/12; Asset Class: FI & PrefUS BANCORP Coupon Rate 3.000%; Matures 03/15/2022; CUSIP 91159HHC7

2/28/12 8,000.000 99.93099.930

105.782 7,994.407,994.40 8,462.56 468.16 LT A

240.00110.66

2.83

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 02/15/22; Yield to Call 1.880%; Moody A1 S&P A+; Issued 03/02/12; Asset Class: FI & PrefHSBC HOLDINGS PLC Coupon Rate 4.000%; Matures 03/30/2022; CUSIP 404280AN9

3/27/12 21,000.000 99.34899.348

107.047 20,863.0820,863.08 22,479.87 1,616.79 LT A

840.00350.00

3.73

Int. Semi-Annually Mar/Sep 30; Yield to Maturity 2.634%; Moody A1 S&P A; Issued 03/30/12; Asset Class: FI & PrefAPACHE CORP Coupon Rate 3.250%; Matures 04/15/2022; CUSIP 037411AZ8

6/5/15 45,000.000 99.20299.202

102.735 44,640.9044,640.90 46,230.75 1,589.85 LT A

1,463.00552.50

3.16

Int. Semi-Annually Apr/Oct 15; Callable $100.00 on 01/15/22; Yield to Call 2.699%; Moody BAA3 S&P BBB; Issued 04/09/12; Asset Class: FI & PrefBP CAPITAL MARKETS PLC Coupon Rate 3.245%; Matures 05/06/2022; CUSIP 05565QBZ0

6/3/14 20,000.000 100.862100.639

105.915 20,172.4020,127.83 21,183.00 1,055.17 LT A

649.00207.31

3.06

Int. Semi-Annually May/Nov 06; Yield to Maturity 2.134%; Moody A2 S&P A-; Issued 05/07/12; Asset Class: FI & PrefBERKSHIRE HATHAWAY FIN Coupon Rate 3.000%; Matures 05/15/2022; CUSIP 084664BT7

1/7/13 25,000.000 102.433101.556

105.840 25,608.2525,388.99 26,460.00 1,071.01 LT A

750.00220.83

2.83

Int. Semi-Annually May/Nov 15; Yield to Maturity 1.915%; Moody AA2 S&P AA; Issued 05/15/12; Asset Class: FI & PrefCATERPILLAR FINANCIAL SE Coupon Rate 2.850%; Matures 06/01/2022; CUSIP 14912L5F4

12/19/12 25,000.000 102.594101.652

104.598 25,648.5025,413.11 26,149.50 736.39 LT A

713.00178.12

2.72

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 1.999%; Moody A2 S&P A; Issued 05/30/12; Asset Class: FI & PrefHOME DEPOT INC Coupon Rate 2.625%; Matures 06/01/2022; CUSIP 437076BG6

6/25/15 70,000.000 98.52698.526

104.098 68,968.2068,968.20 72,868.60 3,900.40 LT A

1,838.00459.37

2.52

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 05/01/22; Yield to Call 1.859%; Moody A2 S&P A; Issued 06/02/15; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

DUKE REALTY LP Coupon Rate 4.375%; Matures 06/15/2022; CUSIP 26441YAV9

11/18/15 25,000.000 103.343102.984

108.970 25,835.7525,746.12 27,242.50 1,496.38 ST A

1,094.00230.90

4.01

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 03/15/22; Yield to Call 2.624%; Moody BAA2 S&P BBB; Issued 06/11/12; Asset Class: FI & PrefVIACOM INC Coupon Rate 3.125%; Matures 06/15/2022; CUSIP 92553PAM4

5/5/15 30,000.000 97.62697.626

99.899 29,287.8029,287.80 29,969.70 681.90 LT A

938.00197.91

3.12

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 03/15/22; Yield to Maturity 3.144%; Moody BAA2 S&P BBB-; Issued 06/14/12; Asset Class: FI & PrefCATERPILLAR INC Coupon Rate 2.600%; Matures 06/26/2022; CUSIP 149123BX8

5/7/14 100,000.000 97.54497.544

104.214 97,544.2597,544.25 104,214.00 6,669.75 LT A

2,600.00469.44

2.49

Int. Semi-Annually Jun/Dec 26; Callable $100.00 on 03/26/22; Yield to Call 1.801%; Moody A2 S&P A; Issued 06/26/12; Asset Class: FI & PrefAT&T INC Coupon Rate 3.000%; Matures 06/30/2022; CUSIP 00206RCM2

2/24/16 20,000.000 98.60398.603

103.115 19,720.6019,720.60 20,623.00 902.40 ST A

600.00100.00

2.90

Int. Semi-Annually Jun/Dec 30; Callable $100.00 on 04/30/22; Yield to Call 2.408%; Moody BAA1 S&P BBB+; Issued 05/04/15; Asset Class: FI & PrefEBAY INC Coupon Rate 2.600%; Matures 07/15/2022; CUSIP 278642AE3

2/12/15

2/19/15

45,000.000

45,000.000

94.43094.43093.74993.749

101.053

101.053

42,493.5042,493.5042,187.0542,187.05

45,473.85

45,473.85

2,980.35

3,286.80

LT

LT

A

ATotal 90,000.000 84,680.55

84,680.55 90,947.70 6,267.15 LT2,340.00

299.002.57

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 04/15/22; Yield to Call 2.398%; Moody BAA1 S&P BBB+; Issued 07/24/12; Asset Class: FI & PrefUNION PACIFIC CORPORATION Coupon Rate 4.163%; Matures 07/15/2022; CUSIP 907818DK1

2/24/12 50,000.000 110.139106.117

112.663 55,069.5053,058.58 56,331.50 3,272.92 LT A

2,082.00265.96

3.69

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 04/15/22; Yield to Call 1.785%; Moody A3 S&P A; Issued 06/23/11; Asset Class: FI & PrefINTEL CORP Coupon Rate 3.100%; Matures 07/29/2022; CUSIP 458140AR1

11/16/15 30,000.000 102.132101.900

106.850 30,639.6030,569.87 32,055.00 1,485.13 ST A

930.0082.66

2.90

Int. Semi-Annually Jan/Jul 29; Yield to Maturity 1.870%; Moody A1 S&P A+; Issued 07/29/15; Asset Class: FI & PrefBRISTOL-MYERS SQUIBB CO Coupon Rate 2.000%; Matures 08/01/2022; CUSIP 110122AT5

4/19/16 1,000,000.000 101.001100.946

101.009 1,010,006.001,009,459.39 1,010,090.00 630.61 ST

20,000.001,666.66

1.98

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 1.819%; Moody A2 S&P A+; Issued 07/31/12; Asset Class: FI & PrefHCP INC Coupon Rate 3.150%; Matures 08/01/2022; CUSIP 40414LAG4

9/7/12 25,000.000 97.39597.395

100.901 24,348.7524,348.75 25,225.25 876.50 LT A

788.0065.62

3.12

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 05/01/22; Yield to Call 2.976%; Moody BAA2 S&P BBB; Issued 07/23/12; Asset Class: FI & PrefSCHLUMBERGER INVESTMENT

Coupon Rate 2.400%; Matures 08/01/2022; CUSIP 806854AD7

6/24/13

6/28/13

20,000.000

5,000.000

91.75191.75192.94592.945

101.757

101.757

18,350.2018,350.20

4,647.254,647.25

20,351.40

5,087.85

2,001.20

440.60

LT

LT

A

ATotal 25,000.000 22,997.45

22,997.45 25,439.25 2,441.80 LT600.00

49.992.35

Account Detail




of 100





CurrentYield %

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 05/01/22; Yield to Call 2.070%; Moody A1 S&P AA-; Issued 07/31/12; Asset Class: FI & PrefBALTIMORE GAS & ELECTRIC Coupon Rate 2.800%; Matures 08/15/2022; CUSIP 059165EE6

8/14/12 24,000.000 99.62099.620

104.544 23,908.8023,908.80 25,090.56 1,181.76 LT A

672.0029.86

2.67

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 05/15/22; Yield to Call 1.954%; Moody A3 S&P A-; Issued 08/17/12; Asset Class: FI & PrefPACIFIC GAS & ELECTRIC Coupon Rate 2.450%; Matures 08/15/2022; CUSIP 694308HB6

8/13/12 7,000.000 99.70999.709

102.522 6,979.636,979.63 7,176.54 196.91 LT A

172.007.62

2.39

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 05/15/22; Yield to Call 1.980%; Moody A3 S&P BBB+; Issued 08/16/12; Asset Class: FI & PrefPRAXAIR INC Coupon Rate 2.200%; Matures 08/15/2022; CUSIP 74005PBB9

4/17/15 10,000.000 98.57898.578

101.609 9,857.809,857.80 10,160.90 303.10 LT A

220.009.77

2.16

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 05/15/22; Yield to Call 1.901%; Moody A2 S&P A; Issued 08/02/12; Asset Class: FI & PrefSHELL INTERNATIONAL FIN Coupon Rate 2.375%; Matures 08/21/2022; CUSIP 822582AS1

8/14/12 25,000.000 99.56799.567

102.033 24,891.7524,891.75 25,508.25 616.50 LT A

594.0016.49

2.32

Int. Semi-Annually Feb/Aug 21; Yield to Maturity 2.012%; Moody AA2 S&P A; Issued 08/21/12; Asset Class: FI & PrefBURLINGTON NORTH SANTA FE Coupon Rate 3.050%; Matures 09/01/2022; CUSIP 12189LAL5

8/16/12 15,000.000 99.58099.580

105.868 14,937.0014,937.00 15,880.20 943.20 LT A

458.00228.75

2.88

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/22; Yield to Call 1.966%; Moody A3 S&P A; Issued 08/23/12; Asset Class: FI & PrefCHARLES SCHWAB CORPORATION Coupon Rate 3.225%; Matures 09/01/2022; CUSIP 808513AG0

2/27/13 20,000.000 103.876102.566

106.351 20,775.2020,513.16 21,270.20 757.04 LT A

645.00322.50

3.03

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 2.093%; Moody A2 S&P A; Issued 08/27/12; Asset Class: FI & PrefONCOR ELECTRIC DELIVERY Coupon Rate 7.000%; Matures 09/01/2022; CUSIP 68233DAR8

1/13/12 45,000.000 128.740117.601

126.941 57,933.0052,920.29 57,123.45 4,203.16 LT A

3,150.001,575.00

5.51

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 2.185%; Moody A3 (+) S&P A; Issued 08/30/02; Asset Class: FI & PrefPPL ELECTRIC UTILITIES CORPORATION Coupon Rate 2.500%; Matures 09/01/2022; CUSIP 69351UAQ6

8/21/12 17,000.000 99.66599.665

102.187 16,943.0516,943.05 17,371.79 428.74 LT A

425.00212.50

2.44

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/22; Yield to Call 2.094%; Moody A1 S&P A; Issued 08/24/12; Asset Class: FI & PrefMERCK & CO INC Coupon Rate 2.400%; Matures 09/15/2022; CUSIP 589331AT4

6/23/16 1,000,000.000 102.545102.476

103.268 1,025,446.001,024,758.00 1,032,680.00 7,922.00 ST

24,000.0011,066.66

2.32

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 06/15/22; Yield to Call 1.803%; Moody A1 S&P AA; Issued 09/13/12; Asset Class: FI & PrefPUBLIC SERVICE COLORADO Coupon Rate 2.250%; Matures 09/15/2022; CUSIP 744448CF6

9/4/12 3,000.000 99.90299.902

102.136 2,997.062,997.06 3,064.08 67.02 LT A

68.0031.12

2.21

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 03/15/22; Yield to Call 1.842%; Moody A1 S&P A; Issued 09/11/12; Asset Class: FI & PrefWALGREEN CO Coupon Rate 3.100%; Matures 09/15/2022; CUSIP 931422AH2

5/19/16

5/20/16

13,000.000

12,000.000

99.74199.74199.75899.758

103.894

103.894

12,966.3312,966.3311,970.9611,970.96

13,506.22

12,467.28

539.89

496.32

ST

ST

A

ATotal 25,000.000 24,937.29

24,937.29 25,973.50 1,036.21 ST775.00357.36

2.98

Account Detail




of 100





CurrentYield %

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.403%; Moody BAA2 (-) S&P BBB; Issued 09/13/12; Asset Class: FI & PrefSEMPRA ENERGY Coupon Rate 2.875%; Matures 10/01/2022; CUSIP 816851AT6

9/19/12 9,000.000 99.96599.965

103.425 8,996.858,996.85 9,308.25 311.40 LT A

259.00107.81

2.78

Int. Semi-Annually Apr/Oct 01; Callable $100.00 on 07/01/22; Yield to Call 2.245%; Moody BAA1 S&P BBB+; Issued 09/24/12; Asset Class: FI & PrefGENERAL ELECTRIC CO Coupon Rate 2.700%; Matures 10/09/2022; CUSIP 369604BD4

6/22/16 1,000,000.000 104.181104.068

104.512 1,041,810.001,040,676.23 1,045,120.00 4,443.77 ST

27,000.0010,649.99

2.58

Int. Semi-Annually Apr/Oct 09; Yield to Maturity 1.913%; Moody A1 S&P AA+; Issued 10/09/12; Asset Class: FI & PrefNSTAR ELECTRIC CO Coupon Rate 2.375%; Matures 10/15/2022; CUSIP 67021CAG2

1/3/13 55,000.000 98.77598.775

101.576 54,326.2554,326.25 55,866.80 1,540.55 LT A

1,306.00493.47

2.33

Int. Semi-Annually Apr/Oct 15; Callable $100.00 on 07/15/22; Yield to Call 2.088%; Moody A2 S&P A; Issued 10/15/12; Asset Class: FI & PrefMASSMUTUAL GLOBAL FUNDING Coupon Rate 2.500%; Matures 10/17/2022; CUSIP 57629WBR0

10/10/12 100,000.000 99.25599.255

101.016 99,255.0099,255.00 101,016.00 1,761.00 LT A

2,500.00930.55

2.47

Int. Semi-Annually Apr/Oct 17; Yield to Maturity 2.321%; Moody AA2 S&P AA+; Issued 10/17/12; Asset Class: FI & PrefBANK OF MONTREAL Coupon Rate 2.550%; Matures 11/06/2022; CUSIP 06366RJJ5

1/15/13 55,000.000 98.74898.748

102.847 54,311.4054,311.40 56,565.85 2,254.45 LT A

1,403.00448.02

2.48

Int. Semi-Annually May/Nov 06; Callable $100.00 on 10/06/22; Yield to Call 2.051%; Moody AA3 S&P A+; Issued 11/06/12; Asset Class: FI & PrefAETNA INC Coupon Rate 2.750%; Matures 11/15/2022; CUSIP 008117AP8

4/20/16 1,000,000.000 100.901100.856

101.545 1,009,006.001,008,557.83 1,015,450.00 6,892.17 ST

27,500.008,097.22

2.70

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/22; Yield to Call 2.469%; Moody BAA2 S&P A- (*); Issued 11/07/12; Asset Class: FI & PrefDOW CHEMICAL CO Coupon Rate 3.000%; Matures 11/15/2022; CUSIP 260543CH4

6/8/16 26,000.000 102.706102.623

103.613 26,703.5626,682.09 26,939.38 257.29 ST A

780.00229.66

2.89

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/22; Yield to Call 2.346%; Moody BAA2 S&P BBB (*); Issued 11/14/12; Asset Class: FI & PrefALABAMA POWER CO SER S Coupon Rate 5.875%; Matures 12/01/2022; CUSIP 010392EB0

1/9/14 30,000.000 116.966112.483

120.444 35,089.8033,745.00 36,133.20 2,388.20 LT A

1,763.00440.62

4.87

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 2.339%; Moody A1 S&P A-; Issued 12/12/02; Asset Class: FI & PrefCVS CAREMARK CORP Coupon Rate 2.750%; Matures 12/01/2022; CUSIP 126650BZ2

12/15/14 60,000.000 98.45898.458

103.353 59,074.8059,074.80 62,011.80 2,937.00 LT A

1,650.00412.50

2.66

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 09/01/22; Yield to Call 2.151%; Moody BAA1 S&P BBB+; Issued 11/29/12; Asset Class: FI & PrefCHEVRON CORPORATION Coupon Rate 2.355%; Matures 12/05/2022; CUSIP 166764AB6

6/22/16 1,000,000.000 101.001100.974

102.475 1,010,006.001,009,743.20 1,024,750.00 15,006.80 ST

23,550.005,625.83

2.29

Int. Semi-Annually Jun/Dec 05; Callable $100.00 on 09/05/22; Yield to Call 1.917%; Moody AA2 S&P AA-; Issued 12/05/12; Asset Class: FI & PrefSHELL INTERNATIONAL FIN Coupon Rate 2.250%; Matures 01/06/2023; CUSIP 822582AV4

5/4/16 500,000.000 99.36099.360

100.601 496,801.00496,801.00 503,005.00 6,204.00 ST

11,250.001,718.75

2.23

Int. Semi-Annually Jan/Jul 06; Yield to Maturity 2.148%; Moody AA2 S&P A; Issued 12/06/12; Asset Class: FI & PrefTOYOTA MOTOR CREDIT CORPORATION Coupon Rate 2.625%; Matures 01/10/2023; CUSIP 89233P7F7

1/7/13 50,000.000 99.37399.373

103.528 49,686.5049,686.50 51,764.00 2,077.50 LT A

1,313.00185.93

2.53

Int. Semi-Annually Jan/Jul 10; Yield to Maturity 2.031%; Moody AA3 S&P AA-; Issued 01/10/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

BANK OF AMERICA CORP

Coupon Rate 3.300%; Matures 01/11/2023; CUSIP 06051GEU9

3/19/13

4/15/14

8/15/14

25,000.000

25,000.000

200,000.000

99.38399.38397.45397.45399.53199.531

103.936

103.936

103.936

24,845.7524,845.7524,363.2524,363.25

199,061.25199,061.25

25,984.00

25,984.00

207,872.00

1,138.25

1,620.75

8,810.75

LT

LT

LT

A

A

A2/18/15 300,000.000 101.424

101.175103.936 304,272.00

303,524.66 311,808.00 8,283.34 LT ATotal 550,000.000 552,542.25

551,794.91 571,648.00 19,853.09 LT18,150.00

2,520.833.17

Int. Semi-Annually Jan/Jul 11; Yield to Maturity 2.624%; Moody BAA1 S&P BBB+; Issued 01/11/13; Asset Class: FI & PrefECOLAB INC Coupon Rate 3.250%; Matures 01/14/2023; CUSIP 278865AU4

6/3/16 20,000.000 103.212103.106

104.509 20,642.4020,621.24 20,901.80 280.56 ST A

650.0084.86

3.10

Int. Semi-Annually Jan/Jul 14; Callable $100.00 on 11/14/22; Yield to Call 2.461%; Moody BAA1 S&P A-; Issued 01/14/16; Asset Class: FI & PrefANHEUSER-BUSCH INBEV FIN Coupon Rate 2.625%; Matures 01/17/2023; CUSIP 035242AA4

11/4/15 25,000.000 95.02395.023

102.117 23,755.7523,755.75 25,529.25 1,773.50 ST A

656.0080.20

2.56

Int. Semi-Annually Jan/Jul 17; Yield to Maturity 2.266%; Moody A3 S&P A-; Issued 01/17/13; Asset Class: FI & PrefGOLDMAN SACHS GROUP INC Coupon Rate 3.625%; Matures 01/22/2023; CUSIP 38141GRD8

1/6/15

2/20/15

25,000.000

300,000.000

102.590102.112103.287102.716

106.056

106.056

25,647.5025,527.89

309,861.00308,146.92

26,514.00

318,168.00

986.11

10,021.08

LT

LT

A

ATotal 325,000.000 335,508.50

333,674.81 344,682.00 11,007.19 LT11,781.00

1,276.303.41

Int. Semi-Annually Jan/Jul 22; Yield to Maturity 2.590%; Moody A3 S&P BBB+; Issued 01/22/13; Asset Class: FI & PrefCONAGRA FOODS INC Coupon Rate 3.200%; Matures 01/25/2023; CUSIP 205887BR2

1/22/13 21,000.000 101.036100.699

104.266 21,217.5621,146.71 21,895.86 749.15 LT A

672.0067.20

3.06

Int. Semi-Annually Jan/Jul 25; Callable $100.00 on 10/25/22; Yield to Call 2.448%; Moody BAA2 S&P BBB-; Issued 01/25/13; Asset Class: FI & PrefANHEUSER-BUSCH INBEV FIN

Coupon Rate 3.300%; Matures 02/01/2023; CUSIP 035242AL0

4/28/16

5/23/16

50,000.000

25,000.000

103.911103.729102.874102.768

105.012

105.012

51,955.5051,864.4325,718.5025,691.94

52,506.00

26,253.00

641.57

561.06

ST

ST

A

ATotal 75,000.000 77,674.00

77,556.37 78,759.00 1,202.63 ST2,475.00

206.243.14

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 12/01/22; Yield to Call 2.430%; Moody A3 S&P A-; Issued 01/25/16; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

WELLS FARGO & COMPANY

Coupon Rate 3.450%; Matures 02/13/2023; CUSIP 94974BFJ4

8/15/14

2/26/16

140,000.000

300,000.000

101.023100.802101.819101.701

104.891

104.891

141,431.85141,122.31305,457.00305,102.15

146,847.40

314,673.00

5,725.09

9,570.85

LT

ST

A

Total 440,000.000 446,888.85

446,224.46 461,520.40 5,725.099,570.85

LTST

15,180.00759.00

3.28

Int. Semi-Annually Feb/Aug 13; Yield to Maturity 2.621%; Moody A3 S&P A-; Issued 02/13/13; Asset Class: FI & PrefOCCIDENTAL PETROLEUM COR

Coupon Rate 2.700%; Matures 02/15/2023; CUSIP 674599CE3

2/21/13

8/27/15

20,000.000

20,000.000

100.427100.289

94.96694.966

101.947

101.947

20,085.4020,057.8018,993.2018,993.20

20,389.40

20,389.40

331.60

1,396.20

LT

LT

A

ATotal 40,000.000 39,078.60

39,051.00 40,778.80 1,727.80 LT1,080.00

47.992.64

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 11/15/22; Yield to Call 2.360%; Moody A3 S&P A; Issued 06/22/12; Asset Class: FI & PrefAPPLE INC Coupon Rate 2.850%; Matures 02/23/2023; CUSIP 037833BU3

6/22/16 1,000,000.000 104.484104.370

105.065 1,044,836.001,043,696.76 1,050,650.00 6,953.24 ST

28,500.00633.33

2.71

Int. Semi-Annually Feb/Aug 23; Callable $100.00 on 12/23/22; Yield to Call 1.992%; Moody AA1 S&P AA+; Issued 02/23/16; Asset Class: FI & PrefCATERPILLAR FINANCIAL SE Coupon Rate 2.625%; Matures 03/01/2023; CUSIP 14912L5Q0

8/15/14 170,000.000 98.60998.609

102.318 167,635.45167,635.45 173,940.60 6,305.15 LT A

4,463.002,231.25

2.56

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 2.240%; Moody A2 S&P A; Issued 02/28/13; Asset Class: FI & PrefBERKSHIRE HATHAWAY INC Coupon Rate 2.750%; Matures 03/15/2023; CUSIP 084670BR8

5/27/16 25,000.000 102.780102.684

104.003 25,695.0025,670.95 26,000.75 329.80 ST A

688.00317.01

2.64

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 01/15/23; Yield to Call 2.076%; First Coupon 09/15/16; Moody AA2 S&P AA; Issued 03/15/16; Asset Class: FI & PrefINDIANA MICHIGAN POWER Coupon Rate 3.200%; Matures 03/15/2023; CUSIP 454889AP1

3/13/13 15,000.000 99.83999.839

104.307 14,975.8514,975.85 15,646.05 670.20 LT A

480.00221.33

3.06

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 12/15/22; Yield to Call 2.456%; Moody BAA1 S&P BBB; Issued 03/18/13; Asset Class: FI & PrefSPECTRA ENERGY CAPITAL Coupon Rate 3.300%; Matures 03/15/2023; CUSIP 84755TAE7

2/25/13 15,000.000 99.67799.677

98.801 14,951.5514,951.55 14,820.15 (131.40) LT A

495.00228.24

3.34

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 12/15/22; Yield to Maturity 3.507%; Moody BAA2 S&P BBB-; Issued 02/28/13; Asset Class: FI & PrefVIACOM INC Coupon Rate 3.250%; Matures 03/15/2023; CUSIP 92553PAR3

3/12/13 10,000.000 99.77199.771

99.803 9,977.109,977.10 9,980.30 3.20 LT A

325.00149.86

3.25

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 12/15/22; Yield to Call 3.284%; Moody BAA2 S&P BBB-; Issued 03/14/13; Asset Class: FI & PrefVIRGINIA ELECTRIC & POWER CO Coupon Rate 2.750%; Matures 03/15/2023; CUSIP 927804FN9

3/11/13 25,000.000 99.68899.688

103.664 24,922.0024,922.00 25,916.00 994.00 LT A

688.00317.01

2.65

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 12/15/22; Yield to Call 2.124%; Moody A2 S&P BBB+; Issued 03/14/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

WAL-MART STORES INC

Coupon Rate 2.550%; Matures 04/11/2023; CUSIP 931142DH3

4/4/13

10/29/15

25,000.000

50,000.000

99.77299.77299.39299.392

104.124

104.124

24,943.0024,943.0049,696.0049,696.00

26,031.00

52,062.00

1,088.00

2,366.00

LT

ST

A

ATotal 75,000.000 74,639.00

74,639.00 78,093.00 1,088.002,366.00

LTST

1,913.00743.75

2.44

Int. Semi-Annually Apr/Oct 11; Callable $100.00 on 01/11/23; Yield to Call 1.859%; Moody AA2 S&P AA; Issued 04/11/13; Asset Class: FI & PrefMICROSOFT CORP SR NT

Coupon Rate 2.375%; Matures 05/01/2023; CUSIP 594918AT1

4/25/13

11/6/13

16,000.000

9,000.000

99.66499.66491.68391.683

102.675

102.675

15,946.2415,946.24

8,251.478,251.47

16,428.00

9,240.75

481.76

989.28

LT

LT

A

ATotal 25,000.000 24,197.71

24,197.71 25,668.75 1,471.04 LT594.00197.91

2.31

Int. Semi-Annually May/Nov 01; Callable $100.00 on 02/01/23; Yield to Call 1.930%; Moody AAA S&P AAA; Issued 05/02/13; Asset Class: FI & PrefAPPLE INC Coupon Rate 2.400%; Matures 05/03/2023; CUSIP 037833AK6

4/30/13 57,000.000 99.86799.867

102.444 56,924.1956,924.19 58,393.08 1,468.89 LT A

1,368.00448.40

2.34

Int. Semi-Annually May/Nov 03; Yield to Maturity 2.007%; Moody AA1 S&P AA+; Issued 05/03/13; Asset Class: FI & PrefBP CAPITAL MKTS PLC GTD

Coupon Rate 2.750%; Matures 05/10/2023; CUSIP 05565QCD8

5/7/13

1/7/14

18,000.000

2,000.000

98.99898.99892.31892.318

101.966

101.966

17,819.6417,819.64

1,846.361,846.36

18,353.88

2,039.32

534.24

192.96

LT

LT

A

ATotal 20,000.000 19,666.00

19,666.00 20,393.20 727.20 LT550.00169.58

2.69

Int. Semi-Annually May/Nov 10; Yield to Maturity 2.430%; Moody A2 S&P A-; Issued 05/10/13; Asset Class: FI & PrefSTATE STREET CORP

Coupon Rate 3.100%; Matures 05/15/2023; CUSIP 857477AL7

5/8/13

6/25/14

2,000.000

8,000.000

99.83899.83898.25098.250

104.539

104.539

1,996.761,996.767,860.007,860.00

2,090.78

8,363.12

94.02

503.12

LT

LT

A

ATotal 10,000.000 9,856.76

9,856.76 10,453.90 597.14 LT310.00

91.272.96

Int. Semi-Annually May/Nov 15; Yield to Maturity 2.364%; Moody A2 S&P A-; Issued 05/15/13; Asset Class: FI & PrefMERCK & CO INC Coupon Rate 2.800%; Matures 05/18/2023; CUSIP 58933YAF2

5/15/13 31,000.000 99.91399.913

105.358 30,973.0330,973.03 32,660.98 1,687.95 LT A

868.00248.34

2.65

Int. Semi-Annually May/Nov 18; Yield to Maturity 1.945%; Moody A1 S&P AA; Issued 05/20/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

ENTERGY ARKANSAS INC

Coupon Rate 3.050%; Matures 06/01/2023; CUSIP 29364DAR1

5/22/13

5/22/13

20,000.000

8,000.000

100.447100.316

99.71899.718

104.876

104.876

20,089.4020,063.16

7,977.447,977.44

20,975.20

8,390.08

912.04

412.64

LT

LT

A

ATotal 28,000.000 28,066.84

28,040.60 29,365.28 1,324.68 LT854.00213.50

2.90

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 03/01/23; Yield to Call 2.240%; Moody A2 S&P A; Issued 05/30/13; Asset Class: FI & PrefALLSTATE CORP SR NT Coupon Rate 3.150%; Matures 06/15/2023; CUSIP 020002AZ4

6/4/13 12,000.000 99.80399.803

106.399 11,976.3611,976.36 12,767.88 791.52 LT A

378.0079.79

2.96

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 2.132%; Moody A3 S&P A-; Issued 06/07/13; Asset Class: FI & PrefPACIFIC GAS AND ELECTRIC Coupon Rate 3.250%; Matures 06/15/2023; CUSIP 694308HC4

6/12/13 13,000.000 99.49399.493

106.371 12,934.0912,934.09 13,828.23 894.14 LT A

423.0089.19

3.05

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 03/15/23; Yield to Call 2.199%; Moody A3 S&P BBB+; Issued 06/14/13; Asset Class: FI & PrefPFIZER INC Coupon Rate 3.000%; Matures 06/15/2023; CUSIP 717081DH3

4/23/14 85,000.000 98.57898.578

106.989 83,791.4583,791.45 90,940.65 7,149.20 LT A

2,550.00538.33

2.80

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 1.898%; Moody A1 S&P AA; Issued 06/03/13; Asset Class: FI & PrefCHEVRON CORP Coupon Rate 3.191%; Matures 06/24/2023; CUSIP 166764AH3

6/17/13 24,000.000 100.000100.000

107.049 24,000.0024,000.00 25,691.76 1,691.76 LT A

766.00142.53

2.98

Int. Semi-Annually Jun/Dec 24; Callable $100.00 on 03/24/23; Yield to Call 2.038%; Moody AA2 S&P AA-; Issued 06/24/13; Asset Class: FI & PrefORACLE CORP Coupon Rate 3.625%; Matures 07/15/2023; CUSIP 68389XAS4

4/22/15 50,000.000 108.291107.037

109.044 54,145.5053,518.73 54,522.00 1,003.27 LT A

1,813.00231.59

3.32

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 2.200%; Moody A1 S&P AA-; Issued 07/16/13; Asset Class: FI & PrefQUEBEC PROVINCE CANADA DEBENTURE Coupon Rate 7.500%; Matures 07/15/2023; CUSIP 748148PB3

12/27/12 40,000.000 142.320128.986

132.418 56,928.0051,594.30 52,967.20 1,372.90 LT A

2,286.00292.16

4.31

FX Rate .7621661 CAD — — — — — 69,495.60 — 2,999.34383.32

Unit Price: CAD: 173.739; Int. Semi-Annually Jan/Jul 15; Yield to Maturity 2.361%; Moody AA2 S&P A+; Issued 07/08/93; Asset Class: FI & PrefTOTAL CAPITAL CANADA LTD

Coupon Rate 2.750%; Matures 07/15/2023; CUSIP 89153UAF8

1/10/13

4/24/14

18,000.000

7,000.000

99.81999.81995.53695.536

103.229

103.229

17,967.4217,967.42

6,687.526,687.52

18,581.22

7,226.03

613.80

538.51

LT

LT

A

ATotal 25,000.000 24,654.94

24,654.94 25,807.25 1,152.31 LT688.00

87.842.66

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 2.240%; Moody AA3 S&P A+; Issued 01/17/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

HALLIBURTON COMPANY

Coupon Rate 3.500%; Matures 08/01/2023; CUSIP 406216BD2

7/29/13

3/19/15

11,000.000

19,000.000

99.76699.766

103.720103.142

103.442

103.442

10,974.2610,974.2619,706.8019,596.94

11,378.62

19,653.98

404.36

57.04

LT

LT

A

ATotal 30,000.000 30,681.06

30,571.20 31,032.60 461.40 LT1,050.00

87.493.38

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 05/01/23; Yield to Call 2.927%; Moody BAA1 S&P BBB+; Issued 08/05/13; Asset Class: FI & PrefNUCOR CORP

Coupon Rate 4.000%; Matures 08/01/2023; CUSIP 670346AM7

7/24/13

4/28/15

9,000.000

16,000.000

99.92699.926

105.942105.079

108.063

108.063

8,993.348,993.34

16,950.7216,812.63

9,725.67

17,290.08

732.33

477.45

LT

LT

A

ATotal 25,000.000 25,944.06

25,805.97 27,015.75 1,209.78 LT1,000.00

83.333.70

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 05/01/23; Yield to Call 2.671%; Moody BAA1 S&P A-; Issued 07/29/13; Asset Class: FI & PrefPROLOGIS LP Coupon Rate 4.250%; Matures 08/15/2023; CUSIP 74340XAW1

8/8/13 19,000.000 99.74299.742

110.937 18,950.9818,950.98 21,078.03 2,127.05 LT A

808.0035.88

3.83

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 05/15/23; Yield to Call 2.470%; Moody BAA1 S&P BBB+; Issued 08/15/13; Asset Class: FI & PrefSIERRA PACIFIC POWER COMPANY Coupon Rate 3.375%; Matures 08/15/2023; CUSIP 826418BJ3

8/12/13 16,000.000 99.79099.790

106.476 15,966.4015,966.40 17,036.16 1,069.76 LT A

540.0023.99

3.16

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 05/15/23; Yield to Call 2.326%; Moody A2 S&P A+; Issued 08/15/13; Asset Class: FI & PrefBOSTON PROPERTIES LP Coupon Rate 3.125%; Matures 09/01/2023; CUSIP 10112RAV6

9/26/13 10,000.000 91.70391.703

103.616 9,170.309,170.30 10,361.60 1,191.30 LT A

313.00156.25

3.02

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/23; Yield to Call 2.538%; Moody BAA2 S&P A-; Issued 04/11/13; Asset Class: FI & PrefBURLINGTON NORTH SANTA FE Coupon Rate 3.850%; Matures 09/01/2023; CUSIP 12189LAQ4

8/13/13 25,000.000 99.66199.661

110.780 24,915.2524,915.25 27,695.00 2,779.75 LT A

963.00481.25

3.47

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/23; Yield to Call 2.127%; Moody A3 S&P A; Issued 08/22/13; Asset Class: FI & PrefMACYS RETAIL HLDGS INC Coupon Rate 4.375%; Matures 09/01/2023; CUSIP 55616XAK3

6/29/16 25,000.000 104.006103.929

105.705 26,001.5025,982.31 26,426.25 443.94 ST A

1,094.00546.87

4.13

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 06/01/23; Yield to Call 3.420%; Moody BAA2 S&P BBB; Issued 09/06/13; Asset Class: FI & PrefVERIZON COMMUNICATIONS Coupon Rate 5.150%; Matures 09/15/2023; CUSIP 92343VBR4

2/20/15

2/4/16

125,000.000

50,000.000

113.934111.729110.892110.174

117.027

117.027

142,417.50139,661.1155,446.0055,087.24

146,283.75

58,513.50

6,622.64

3,426.26

LT

ST

A

ATotal 175,000.000 197,863.50

194,748.35 204,797.25 6,622.643,426.26

LTST

9,013.004,155.76

4.40

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.497%; Moody BAA1 S&P BBB+; Issued 09/18/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

BHP BILLITON FIN USA LTD Coupon Rate 3.850%; Matures 09/30/2023; CUSIP 055451AU2

4/28/15 15,000.000 107.629106.534

109.242 16,144.3515,980.12 16,386.30 406.18 LT A

578.00240.62

3.52

Int. Semi-Annually Mar/Sep 30; Yield to Maturity 2.422%; Moody A3 S&P A; Issued 09/30/13; Asset Class: FI & PrefAMERIPRISE FINANCIAL INC Coupon Rate 4.000%; Matures 10/15/2023; CUSIP 03076CAF3

9/3/13 50,000.000 99.51899.518

109.579 49,759.0049,759.00 54,789.50 5,030.50 LT A

2,000.00755.55

3.65

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 2.522%; Moody A3 S&P A; Issued 09/06/13; Asset Class: FI & PrefINTERCONTINENTAL EXCHANGE Coupon Rate 4.000%; Matures 10/15/2023; CUSIP 45866FAA2

10/1/13 29,000.000 99.22599.225

109.060 28,775.2528,775.25 31,627.40 2,852.15 LT A

1,160.00438.22

3.66

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 2.598%; Moody A2 S&P A; Issued 10/08/13; Asset Class: FI & PrefPUB SVC NEW HAMP Coupon Rate 3.500%; Matures 11/01/2023; CUSIP 744482BL3

11/6/13 2,000.000 99.63499.634

107.161 1,992.681,992.68 2,143.22 150.54 LT A

70.0023.33

3.26

Int. Semi-Annually May/Nov 01; Callable $100.00 on 08/01/23; Yield to Call 2.371%; Moody A1 S&P A+; Issued 11/14/13; Asset Class: FI & PrefHCP INC Coupon Rate 4.250%; Matures 11/15/2023; CUSIP 40414LAJ8

11/5/13

7/11/16

8,000.000

25,000.000

99.54099.540

104.757104.679

105.434

105.434

7,963.207,963.20

26,189.2526,169.72

8,434.72

26,358.50

471.52

188.78

LT

ST

A

ATotal 33,000.000 34,152.45

34,132.92 34,793.22 471.52188.78

LTST

1,403.00412.95

4.03

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/23; Yield to Call 3.367%; Moody BAA2 S&P BBB; Issued 11/12/13; Asset Class: FI & PrefMOSAIC CO Coupon Rate 4.250%; Matures 11/15/2023; CUSIP 61945CAC7

11/7/13 16,000.000 99.79099.790

106.733 15,966.4015,966.40 17,077.28 1,110.88 LT A

680.00200.22

3.98

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/23; Yield to Call 3.164%; Moody BAA1 S&P BBB; Issued 11/13/13; Asset Class: FI & PrefPACIFIC GAS & ELECTRIC Coupon Rate 3.850%; Matures 11/15/2023; CUSIP 694308HE0

11/6/13 5,000.000 99.81999.819

110.302 4,990.954,990.95 5,515.10 524.15 LT A

193.0056.68

3.49

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/23; Yield to Call 2.242%; Moody A3 S&P BBB+; Issued 11/12/13; Asset Class: FI & PrefPSEG POWER LLC Coupon Rate 4.300%; Matures 11/15/2023; CUSIP 69362BBA9

11/5/13 6,000.000 99.94399.943

108.138 5,996.585,996.58 6,488.28 491.70 LT A

258.0075.96

3.97

Int. Semi-Annually May/Nov 15; Callable $100.00 on 08/15/23; Yield to Call 2.995%; Moody BAA1 S&P BBB+; Issued 11/08/13; Asset Class: FI & PrefSTATE STREET CORPORATION


11/14/13

4/24/14

19,000.000

6,000.000

99.76099.760

101.782101.398

110.403

110.403

18,954.4018,954.40

6,106.926,083.88

20,976.57

6,624.18

2,022.17

540.30

LT

LT

A

ATotal 25,000.000 25,061.32

25,038.28 27,600.75 2,562.47 LT925.00259.51

3.35

Int. Semi-Annually May/Nov 20; Yield to Maturity 2.137%; Moody A1 S&P A; Issued 11/19/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

CATERPILLAR FINANCIAL SE Coupon Rate 3.750%; Matures 11/24/2023; CUSIP 14912L5X5

11/19/13 6,000.000 99.91899.918

110.593 5,995.085,995.08 6,635.58 640.50 LT A

225.0060.62

3.39

Int. Semi-Annually May/Nov 24; Yield to Maturity 2.159%; Moody A2 S&P A; Issued 11/26/13; Asset Class: FI & PrefALABAMA POWER CO Coupon Rate 3.550%; Matures 12/01/2023; CUSIP 010392FK9

12/3/13 3,000.000 99.71799.717

109.351 2,991.512,991.51 3,280.53 289.02 LT A

107.0026.62

3.26

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 2.150%; Moody A1 S&P A-; Issued 12/06/13; Asset Class: FI & PrefDTE ENERGY COMPANY Coupon Rate 3.850%; Matures 12/01/2023; CUSIP 233331AR8

11/18/13 8,000.000 99.78599.785

109.755 7,982.827,982.82 8,780.40 797.58 LT A

308.0077.00

3.50

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 09/01/23; Yield to Call 2.332%; Moody A3 S&P BBB; Issued 11/25/13; Asset Class: FI & PrefSCHLUMBERGER INVESTMENT Coupon Rate 3.650%; Matures 12/01/2023; CUSIP 806854AH8

11/25/13 12,000.000 99.66099.660

108.926 11,959.2011,959.20 13,071.12 1,111.92 LT A

438.00109.50

3.35

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 09/01/23; Yield to Call 2.264%; Moody A1 S&P AA-; Issued 12/03/13; Asset Class: FI & PrefSEMPRA ENERGY SR NT Coupon Rate 4.050%; Matures 12/01/2023; CUSIP 816851AU3

11/19/13 7,000.000 99.66599.665

110.312 6,976.556,976.55 7,721.84 745.29 LT A

284.0070.87

3.67

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 09/01/23; Yield to Call 2.439%; Moody BAA1 S&P BBB+; Issued 11/22/13; Asset Class: FI & PrefMICROSOFT CORP Coupon Rate 3.625%; Matures 12/15/2023; CUSIP 594918AW4

12/3/13 11,000.000 99.50899.508

110.387 10,945.8810,945.88 12,142.57 1,196.69 LT A

399.0084.18

3.28

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 09/15/23; Yield to Call 2.034%; Moody AAA S&P AAA; Issued 12/06/13; Asset Class: FI & PrefSTATOIL ASA Coupon Rate 2.650%; Matures 01/15/2024; CUSIP 85771PAK8

5/8/13 18,000.000 99.80299.802

102.457 17,964.3617,964.36 18,442.26 477.90 LT A

477.0060.95

2.58

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 2.286%; Moody AA3 S&P A+; Issued 05/15/13; Asset Class: FI & PrefTOTAL CAPITAL INTL SA Coupon Rate 3.700%; Matures 01/15/2024; CUSIP 89153VAG4

4/24/14 25,000.000 102.335101.840

109.520 25,583.7525,459.94 27,380.00 1,920.06 LT A

925.00118.19

3.37

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 2.289%; Moody AA3 S&P A+; Issued 08/12/13; Asset Class: FI & PrefWELLS FARGO & COMPANY Coupon Rate 4.480%; Matures 01/16/2024; CUSIP 949746RE3

4/17/14 25,000.000 104.648103.676

110.827 26,162.0025,918.91 27,706.75 1,787.84 LT A

1,120.00140.00

4.04

Int. Semi-Annually Jan/Jul 16; Yield to Maturity 2.842%; Moody A3 S&P A-; Issued 11/26/13; Asset Class: FI & PrefBANK OF AMERICA CORP Coupon Rate 4.125%; Matures 01/22/2024; CUSIP 06051GFB0

4/24/15 25,000.000 107.042106.073

108.981 26,760.5026,518.24 27,245.25 727.01 LT A

1,031.00111.71

3.78

Int. Semi-Annually Jan/Jul 22; Yield to Maturity 2.773%; Moody BAA1 S&P BBB+; Issued 01/21/14; Asset Class: FI & PrefBOSTON PROPERTIES LP

Coupon Rate 3.800%; Matures 02/01/2024; CUSIP 10112RAW4

6/18/13

1/7/14

31,000.000

9,000.000

99.69499.69496.92796.927

107.665

107.665

30,905.1430,905.14

8,723.438,723.43

33,376.15

9,689.85

2,471.01

966.42

LT

LT

A

ATotal 40,000.000 39,628.57

39,628.57 43,066.00 3,437.43 LT1,520.00

126.663.52

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 11/01/23; Yield to Call 2.620%; Moody BAA2 S&P A-; Issued 06/27/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

AMERICAN INTL GROUP Coupon Rate 4.125%; Matures 02/15/2024; CUSIP 026874CY1

7/28/15 45,000.000 103.703103.291

107.643 46,666.3546,481.08 48,439.35 1,958.27 LT A

1,856.0082.49

3.83

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 2.974%; Moody BAA1 S&P A-; Issued 10/02/13; Asset Class: FI & PrefHOME DEPOT INC Coupon Rate 3.750%; Matures 02/15/2024; CUSIP 437076BC5

9/3/13 11,000.000 99.48199.481

111.395 10,942.9110,942.91 12,253.45 1,310.54 LT A

413.0018.33

3.37

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 11/15/23; Yield to Call 2.041%; Moody A2 S&P A; Issued 09/10/13; Asset Class: FI & PrefHSBC HOLDINGS PLC Coupon Rate 4.250%; Matures 03/14/2024; CUSIP 404280AP4

2/12/15 250,000.000 105.499104.683

104.305 263,747.50261,708.32 260,762.50 (945.82) LT A

10,625.004,928.81

4.07

Int. Semi-Annually Mar/Sep 14; Yield to Maturity 3.593%; Moody A2 S&P BBB+; Issued 03/12/14; Asset Class: FI & PrefVERIZON COMMUNICATIONS

Coupon Rate 4.150%; Matures 03/15/2024; CUSIP 92343VBY9

4/17/14

4/6/15

50,000.000

25,000.000

101.986101.579107.628106.569

111.135

111.135

50,993.0050,789.5126,907.0026,642.29

55,567.50

27,783.75

4,777.99

1,141.46

LT

LT

A

ATotal 75,000.000 77,900.00

77,431.80 83,351.25 5,919.45 LT3,113.001,435.20

3.73

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 12/15/23; Yield to Call 2.471%; Moody BAA1 S&P BBB+; Issued 03/17/14; Asset Class: FI & PrefVIACOM INC Coupon Rate 3.875%; Matures 04/01/2024; CUSIP 92553PAX0

1/7/15 15,000.000 101.965101.660

103.824 15,294.7515,248.99 15,573.60 324.61 LT A

581.00242.18

3.73

Int. Semi-Annually Apr/Oct 01; Callable $100.00 on 01/01/24; Yield to Call 3.283%; Moody BAA2 S&P BBB-; Issued 03/11/14; Asset Class: FI & PrefPNC FINANCIAL SERVICES Coupon Rate 3.900%; Matures 04/29/2024; CUSIP 693475AP0

5/1/15 35,000.000 104.307103.748

107.783 36,507.4536,311.82 37,724.05 1,412.23 LT A

1,365.00462.58

3.61

Int. Semi-Annually Apr/Oct 29; Callable $100.00 on 03/29/24; Yield to Call 2.755%; Moody A3 S&P BBB+; Issued 04/28/14; Asset Class: FI & PrefPFIZER INC Coupon Rate 3.400%; Matures 05/15/2024; CUSIP 717081DM2

8/18/14 105,000.000 102.535102.065

109.568 107,661.75107,168.19 115,046.40 7,878.21 LT A

3,570.001,051.16

3.10

Int. Semi-Annually May/Nov 15; Yield to Maturity 2.051%; Moody A1 S&P AA; Issued 05/15/14; Asset Class: FI & PrefMACYS RETAIL HLDGS INC Coupon Rate 3.625%; Matures 06/01/2024; CUSIP 55616XAL1

5/1/15 32,000.000 104.140103.601

101.717 33,324.8033,152.17 32,549.44 (602.73) LT A

1,160.00290.00

3.56

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 03/01/24; Yield to Call 3.364%; Moody BAA2 S&P BBB; Issued 05/23/14; Asset Class: FI & PrefREALTY INCOME CORP Coupon Rate 3.875%; Matures 07/15/2024; CUSIP 756109AQ7

5/12/15

5/12/15

5/15/15

4,000.000

9,000.000

7,000.000

101.951101.712102.020101.772101.951101.712

106.057

106.057

106.057

4,078.044,068.469,181.809,159.497,136.577,119.85

4,242.28

9,545.13

7,423.99

173.82

385.64

304.14

LT

LT

LT

A

A

ATotal 20,000.000 20,396.41

20,347.80 21,211.40 863.60 LT775.00

99.023.65

Int. Semi-Annually Jan/Jul 15; Callable $100.00 on 04/15/24; Yield to Call 2.980%; Moody BAA1 S&P BBB+; Issued 06/25/14; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

BED BATH & BEYOND INC Coupon Rate 3.749%; Matures 08/01/2024; CUSIP 075896AA8

5/1/15 30,000.000 104.374103.818

103.777 31,312.2031,145.44 31,133.10 (12.34) LT A

1,125.0093.72

3.61

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 05/01/24; Yield to Call 3.189%; Moody BAA1 S&P BBB+; Issued 07/17/14; Asset Class: FI & PrefCBS CORP Coupon Rate 3.700%; Matures 08/15/2024; CUSIP 124857AM5

12/4/15 25,000.000 98.78198.781

105.534 24,695.2524,695.25 26,383.50 1,688.25 ST A

925.0041.11

3.50

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 05/15/24; Yield to Call 2.893%; Moody BAA2 S&P BBB; Issued 08/19/14; Asset Class: FI & PrefWELLS FARGO & COMPANY Coupon Rate 3.300%; Matures 09/09/2024; CUSIP 94974BGA2

4/24/15 100,000.000 102.918102.546

105.723 102,918.00102,545.60 105,723.00 3,177.40 LT A

3,300.001,576.66

3.12

Int. Semi-Annually Mar/Sep 09; Yield to Maturity 2.508%; Moody A2 S&P A; Issued 09/09/14; Asset Class: FI & PrefMORGAN STANLEY Coupon Rate 3.700%; Matures 10/23/2024; CUSIP 61761JVL0

3/17/15 25,000.000 101.984101.724

106.041 25,496.0025,430.90 26,510.25 1,079.35 LT A

925.00328.88

3.48

Int. Semi-Annually Apr/Oct 23; Yield to Maturity 2.863%; Moody A3 S&P BBB+; Issued 10/23/14; Asset Class: FI & PrefCONTL AIRLINES 2012-2 A Coupon Rate 4.000%; Matures 10/29/2024; CUSIP 210795QB9

9/19/12 11,000.000 100.000100.000

107.250 10,178.719,592.93 10,288.42 695.49 LT A

384.00130.02

3.73

Int. Semi-Annually Apr/Oct 29; Yield to Maturity 2.992%; Factor .87208494; Moody A3 S&P A; Issued 10/03/12; Current Face 9,592.934; Asset Class: FI & PrefWALGREENS BOOTS ALLIANCE INC Coupon Rate 3.800%; Matures 11/18/2024; CUSIP 931427AH1

4/29/15 25,000.000 103.555103.122

107.315 25,888.7525,780.62 26,828.75 1,048.13 LT A

950.00271.80

3.54

Int. Semi-Annually May/Nov 18; Callable $100.00 on 08/18/24; Yield to Call 2.770%; Moody BAA2 (-) S&P BBB; Issued 11/18/14; Asset Class: FI & PrefSTATE STREET CORP Coupon Rate 3.300%; Matures 12/16/2024; CUSIP 857477AN3

6/22/16 20,000.000 106.550106.418

107.376 21,310.0021,283.55 21,475.20 191.65 ST A

660.00137.49

3.07

Int. Semi-Annually Jun/Dec 16; Yield to Maturity 2.317%; Moody A1 S&P A; Issued 12/15/14; Asset Class: FI & PrefGOLDMAN SACHS GROUP INC Coupon Rate 3.500%; Matures 01/23/2025; CUSIP 38148LAC0

4/24/15 25,000.000 101.348101.186

103.891 25,337.0025,296.55 25,972.75 676.20 LT A

875.0092.36

3.36

Int. Semi-Annually Jan/Jul 23; Callable $100.00 on 10/23/24; Yield to Call 2.958%; Moody A3 S&P BBB+; Issued 01/23/15; Asset Class: FI & PrefJPMORGAN CHASE & CO Coupon Rate 3.125%; Matures 01/23/2025; CUSIP 46625HKC3

4/18/16 1,000,000.000 100.768100.739

102.830 1,007,676.001,007,394.36 1,028,300.00 20,905.64 ST

31,250.003,298.61

3.03

Int. Semi-Annually Jan/Jul 23; Callable $100.00 on 10/23/24; Yield to Call 2.735%; Moody A3 S&P A-; Issued 01/23/15; Asset Class: FI & PrefMICROSOFT CORP Coupon Rate 2.700%; Matures 02/12/2025; CUSIP 594918BB9

4/22/16 1,000,000.000 103.577103.448

103.508 1,035,767.001,034,480.33 1,035,080.00 599.67 ST

27,000.001,425.00

2.60

Int. Semi-Annually Feb/Aug 12; Callable $100.00 on 11/12/24; Yield to Call 2.229%; Moody AAA S&P AAA; Issued 02/12/15; Asset Class: FI & PrefBURLINGTON RESOURCES INC Coupon Rate 8.200%; Matures 03/15/2025; CUSIP 122014AH6

5/4/12 40,000.000 139.622128.588

130.253 55,848.8051,435.07 52,101.20 666.13 LT A

3,280.001,512.44

6.29

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 3.985%; Moody BAA2 S&P A-; Issued 03/15/95; Asset Class: FI & PrefORACLE CORP Coupon Rate 2.950%; Matures 05/15/2025; CUSIP 68389XBC8

6/22/16 1,000,000.000 104.059103.985

103.675 1,040,594.001,039,850.13 1,036,750.00 (3,100.13) ST

29,500.008,686.10

2.84

Int. Semi-Annually May/Nov 15; Callable $100.00 on 02/15/25; Yield to Call 2.466%; Moody A1 S&P AA-; Issued 05/05/15; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

NORFOLK SOUTHERN CORP Coupon Rate 5.590%; Matures 05/17/2025; CUSIP 655844AW8

7/6/12 5,000.000 123.383116.899

121.069 6,169.155,844.96 6,053.45 208.49 LT A

280.0080.74

4.62

Int. Semi-Annually May/Nov 17; Yield to Maturity 2.842%; Moody BAA1 S&P BBB+; Issued 05/17/05; Asset Class: FI & PrefBANK OF NEW YORK MELLON Coupon Rate 3.950%; Matures 11/18/2025; CUSIP 06406HCQ0

11/13/13 11,000.000 99.76399.763

112.432 10,973.9310,973.93 12,367.52 1,393.59 LT A

435.00124.31

3.51

Int. Semi-Annually May/Nov 18; Callable $100.00 on 10/18/25; Yield to Call 2.424%; Moody A1 S&P A; Issued 11/18/13; Asset Class: FI & PrefMORGAN STANLEY SERIES F

Coupon Rate 5.000%; Matures 11/24/2025; CUSIP 6174467X1

11/19/13

4/22/14

16,000.000

34,000.000

99.54599.545

103.547102.969

111.841

111.841

15,927.2015,927.2035,205.9835,009.36

17,894.56

38,025.94

1,967.36

3,016.58

LT

LT

A

ATotal 50,000.000 51,133.18

50,936.56 55,920.50 4,983.94 LT2,500.00

673.614.47

Int. Semi-Annually May/Nov 24; Yield to Maturity 3.488%; Moody BAA2 S&P BBB-; Issued 11/22/13; Asset Class: FI & PrefANHEUSER-BUSCH INBEV FIN Coupon Rate 3.650%; Matures 02/01/2026; CUSIP 035242AP1

5/23/16 25,000.000 104.485104.377

106.670 26,121.2526,094.23 26,667.50 573.27 ST A

913.0076.04

3.42

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 11/01/25; Yield to Call 2.819%; Moody A3 S&P A-; Issued 01/25/16; Asset Class: FI & PrefTCI COMMUNICATIONS INC DEB Coupon Rate 7.875%; Matures 02/15/2026; CUSIP 872287AF4

5/14/13 40,000.000 142.110133.038

142.591 56,844.0053,215.29 57,036.40 3,821.11 LT A

3,150.00139.99

5.52

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 2.733%; Moody A3 S&P A-; Issued 02/14/96; Asset Class: FI & PrefJOHNSON & JOHNSON Coupon Rate 2.450%; Matures 03/01/2026; CUSIP 478160BY9

6/23/16 1,000,000.000 102.295102.257

103.389 1,022,946.001,022,571.06 1,033,890.00 11,318.94 ST

24,500.0012,250.00

2.36

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 12/01/25; Yield to Call 2.046%; First Coupon 09/01/16; Moody AAA S&P AAA; Issued 03/01/16; Asset Class: FI & PrefPFIZER INC Coupon Rate 2.750%; Matures 06/03/2026; CUSIP 717081DV2

6/23/16 1,000,000.000 102.188102.153

104.003 1,021,876.001,021,528.56 1,040,030.00 18,501.44 ST

27,500.006,722.22

2.64

Int. Semi-Annually Jun/Dec 03; Yield to Maturity 2.290%; First Coupon 12/03/16; Moody A1 S&P AA; Issued 06/03/16; Asset Class: FI & PrefSIEMENS FINANCIERINGSMAT Coupon Rate 6.125%; Matures 08/17/2026; CUSIP 826200AD9

1/15/13 100,000.000 131.430124.340

132.845 131,430.00124,339.55 132,845.00 8,505.45 LT A

6,125.00238.19

4.61

Int. Semi-Annually Feb/Aug 17; Yield to Maturity 2.398%; Moody A1 S&P A+; Issued 08/16/06; Asset Class: FI & PrefNORFOLK SOUTHERN CORP NOTE Coupon Rate 7.800%; Matures 05/15/2027; CUSIP 655844AJ7

2/21/12 30,000.000 142.495132.440

142.427 42,748.5039,732.10 42,728.10 2,996.00 LT A

2,340.00688.99

5.47

Int. Semi-Annually May/Nov 15; Yield to Maturity 3.110%; Moody BAA1 S&P BBB+; Issued 05/19/97; Asset Class: FI & PrefIBM CORP Coupon Rate 6.220%; Matures 08/01/2027; CUSIP 459200AR2

2/16/12 20,000.000 130.255123.053

132.908 26,051.0024,610.62 26,581.60 1,970.98 LT A

1,244.00103.66

4.67

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 2.716%; Moody AA3 S&P AA-; Issued 08/01/97; Asset Class: FI & PrefTIME WARNER INC CO GUARNTEE Coupon Rate 6.950%; Matures 01/15/2028; CUSIP 887315BM0

1/25/12 35,000.000 121.935117.265

131.887 42,677.2541,042.65 46,160.45 5,117.80 LT A

2,433.00310.81

5.27

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 3.522%; Moody BAA2 S&P BBB; Issued 01/12/98; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

LOWES COMPANIES INC Coupon Rate 6.500%; Matures 03/15/2029; CUSIP 548661AK3

1/15/13 40,000.000 129.354124.306

136.446 51,741.6049,722.25 54,578.40 4,856.15 LT A

2,600.001,198.88

4.76

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 2.992%; Moody A3 S&P A-; Issued 02/23/99; Asset Class: FI & PrefKROGER CO SR NOTES Coupon Rate 8.000%; Matures 09/15/2029; CUSIP 501044BV2

11/29/11 40,000.000 134.816128.281

143.481 53,926.4051,312.25 57,392.40 6,080.15 LT A

3,200.001,475.55

5.57

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 3.752%; Moody BAA1 S&P BBB; Issued 09/22/99; Asset Class: FI & PrefDOW CHEMICAL CO USD Coupon Rate 7.375%; Matures 11/01/2029; CUSIP 260543BJ1

2/5/14 15,000.000 129.425125.968

136.207 19,413.7518,895.27 20,431.05 1,535.78 LT A

1,106.00368.74

5.41

Int. Semi-Annually May/Nov 01; Yield to Maturity 3.844%; Moody BAA2 S&P BBB (*); Issued 11/01/99; Asset Class: FI & PrefUNITED PARCEL SERVICE DEBENTURES Coupon Rate 8.375%; Matures 04/01/2030; CUSIP 911308AB0

8/15/12 10,000.000 151.600142.873

147.908 15,160.0014,287.26 14,790.80 503.54 LT A

838.00348.95

5.66

Int. Semi-Annually Apr/Oct 01; Stepped; Moody AA3 S&P A+; Issued 10/01/97; Asset Class: FI & PrefBURLINGTON NORTHERN SANTA FE CORPORATION Coupon Rate 7.950%; Matures 08/15/2030; CUSIP 12189TAR5

1/9/13 25,000.000 141.089135.030

151.140 35,272.2533,757.39 37,785.00 4,027.61 LT A

1,988.0088.33

5.26

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.336%; Moody A3 S&P A; Issued 08/08/00; Asset Class: FI & PrefNORTHROP GRUMMAN CORP Coupon Rate 7.750%; Matures 02/15/2031; CUSIP 666807AW2

4/2/13 20,000.000 141.648135.966

149.376 28,329.6027,193.28 29,875.20 2,681.92 LT A

1,550.0068.88

5.18

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.398%; Moody BAA1 S&P BBB+; Issued 02/27/01; Asset Class: FI & PrefAOL TIME WARNER INC Coupon Rate 7.625%; Matures 04/15/2031; CUSIP 00184AAC9

4/22/15 15,000.000 140.376137.880

140.862 21,056.4020,681.98 21,129.30 447.32 LT A

1,144.00432.08

5.41

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 3.925%; Moody BAA2 S&P BBB; Issued 04/19/01; Asset Class: FI & PrefMORGAN STANLEY Coupon Rate 7.250%; Matures 04/01/2032; CUSIP 617446HD4

1/27/15 50,000.000 140.038137.362

139.103 70,019.0068,680.76 69,551.50 870.74 LT A

3,625.001,510.41

5.21

Int. Semi-Annually Apr/Oct 01; Yield to Maturity 3.882%; Moody A3 S&P BBB+; Issued 04/03/02; Asset Class: FI & PrefALABAMA POWER CO Coupon Rate 5.700%; Matures 02/15/2033; CUSIP 010392EC8

12/12/11 40,000.000 123.363119.724

126.201 49,345.2047,889.65 50,480.40 2,590.75 LT A

2,280.00101.33

4.51

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.579%; Moody A1 S&P A-; Issued 02/19/03; Asset Class: FI & PrefTIME WARNER ENTAINMENT SR NOTES Coupon Rate 8.375%; Matures 07/15/2033; CUSIP 88731EAJ9

7/20/15 50,000.000 120.843120.124

136.703 60,421.5060,062.00 68,351.50 8,289.50 LT A

4,188.00535.06

6.12

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 5.103%; Moody BA1 S&P BBB; Issued 01/15/94; Asset Class: FI & PrefDOMINION RESOURCES, INC.

Coupon Rate 5.250%; Matures 08/01/2033; CUSIP 257469AJ5

1/18/12

1/18/12

1/18/12

25,000.000

13,000.000

12,000.000

114.826112.661114.640112.504114.748112.595

114.713

114.713

114.713

28,706.5028,165.1814,903.2014,625.5713,769.7613,511.42

28,678.25

14,912.69

13,765.56

513.07

287.12

254.14

LT

LT

LT

A

A

A

Account Detail




of 100





CurrentYield %

Total 50,000.000 57,379.4656,302.17 57,356.50 1,054.33 LT

2,625.00218.74

4.57

Int. Semi-Annually Feb/Aug 01; Yield to Maturity 4.041%; Moody BAA2 S&P BBB; Issued 07/24/03; Asset Class: FI & PrefMOSAIC CO Coupon Rate 5.450%; Matures 11/15/2033; CUSIP 61945CAD5

11/7/13 4,000.000 99.62699.626

109.637 3,985.043,985.04 4,385.48 400.44 LT A

218.0064.18

4.97

Int. Semi-Annually May/Nov 15; Callable $100.00 on 05/15/33; Yield to Call 4.615%; Moody BAA1 S&P BBB; Issued 11/13/13; Asset Class: FI & PrefGLAXOSMITHKLINE CAPITAL INC Coupon Rate 5.375%; Matures 04/15/2034; CUSIP 377372AB3

4/26/12 35,000.000 116.584114.389

126.769 40,804.4040,035.99 44,369.15 4,333.16 LT A

1,881.00710.69

4.23

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 3.351%; Moody A2 S&P A+; Issued 04/06/04; Asset Class: FI & PrefERAC USA FINANCE COMPANY Coupon Rate 6.700%; Matures 06/01/2034; CUSIP 26882PAR3

2/14/13 55,000.000 122.043119.783

134.361 67,123.6565,880.83 73,898.55 8,017.72 LT A

3,685.00921.25

4.98

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 3.981%; Moody BAA1 S&P BBB+; Issued 06/02/04; Asset Class: FI & PrefORACLE CORP Coupon Rate 4.300%; Matures 07/08/2034; CUSIP 68389XAV7

4/22/15 25,000.000 110.212109.695

110.923 27,553.0027,423.80 27,730.75 306.95 LT A

1,075.00158.26

3.87

Int. Semi-Annually Jan/Jul 08; Callable $100.00 on 01/08/34; Yield to Call 3.457%; Moody A1 S&P AA-; Issued 07/08/14; Asset Class: FI & PrefBED BATH & BEYOND INC Coupon Rate 4.915%; Matures 08/01/2034; CUSIP 075896AB6

4/29/15 25,000.000 106.787106.476

102.219 26,696.7526,619.07 25,554.75 (1,064.32) LT A

1,229.00102.39

4.80

Int. Semi-Annually Feb/Aug 01; Callable $100.00 on 02/01/34; Yield to Call 4.726%; Moody BAA1 S&P BBB+; Issued 07/17/14; Asset Class: FI & PrefMACYS RETAIL HLDGS INC Coupon Rate 4.500%; Matures 12/15/2034; CUSIP 55616XAM9

3/15/16 8,000.000 80.67580.675

94.647 6,454.006,454.00 7,571.76 1,117.76 ST A

360.0075.99

4.75

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 06/15/34; Yield to Maturity 4.948%; Moody BAA2 S&P BBB; Issued 11/18/14; Asset Class: FI & PrefVIACOM INC Coupon Rate 4.850%; Matures 12/15/2034; CUSIP 92553PAZ5

8/7/15 30,000.000 90.63090.630

100.966 27,189.0027,189.00 30,289.80 3,100.80 LT A

1,455.00307.16

4.80

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 06/15/34; Yield to Call 4.768%; Moody BAA2 S&P BBB-; Issued 12/10/14; Asset Class: FI & PrefCONSOLIDATED EDISON COMPANY OF NEW YORK, INC. Coupon Rate 5.300%; Matures 03/01/2035; CUSIP 209111EH2

6/25/12 35,000.000 122.847119.959

122.651 42,996.4541,985.56 42,927.85 942.29 LT A

1,855.00927.50

4.32

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 3.611%; Moody A2 S&P A-; Issued 03/10/05; Asset Class: FI & PrefFLORIDA POWER & LIGHT COMPANY Coupon Rate 4.950%; Matures 06/01/2035; CUSIP 341081ET0

9/19/12 20,000.000 118.372116.180

124.191 23,674.4023,236.07 24,838.20 1,602.13 LT A

990.00247.50

3.98

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 3.221%; Moody AA2 S&P A; Issued 06/07/05; Asset Class: FI & PrefPOTOMAC ELECTRIC POWER COMPANY Coupon Rate 5.400%; Matures 06/01/2035; CUSIP 737679CZ1

5/4/12 72,000.000 116.983114.917

120.399 84,227.7682,739.89 86,687.28 3,947.39 LT A

3,888.00972.00

4.48

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 3.861%; Moody A2 S&P A; Issued 06/01/05; Asset Class: FI & PrefSOUTHERN CALIFORNIA GAS COMPANY Coupon Rate 5.750%; Matures 11/15/2035; CUSIP 842434CG5

3/27/13 25,000.000 128.569125.663

133.260 32,142.2531,415.74 33,315.00 1,899.26 LT A

1,438.00423.26

4.31

Int. Semi-Annually May/Nov 15; Yield to Maturity 3.381%; Moody AA2 S&P A+; Issued 11/18/05; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

LINCOLN NATIONAL CORP Coupon Rate 6.150%; Matures 04/07/2036; CUSIP 534187AR0

11/26/14 10,000.000 120.110119.091

119.430 12,011.0011,909.06 11,943.00 33.94 LT A

615.00246.00

5.14

Int. Semi-Annually Apr/Oct 07; Yield to Maturity 4.631%; Moody BAA1 S&P A-; Issued 04/06/06; Asset Class: FI & PrefBURLINGTON NORTHN SANTA FE Coupon Rate 7.290%; Matures 06/01/2036; CUSIP 12189TAD6

1/26/12

4/19/12

40,000.000

10,000.000

134.290130.482130.077126.960

147.604

147.604

53,716.0052,192.7413,007.7012,696.02

59,041.60

14,760.40

6,848.86

2,064.38

LT

LT

A

ATotal 50,000.000 66,723.70

64,888.76 73,802.00 8,913.24 LT3,645.00

911.254.93

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 3.831%; Moody A3 S&P A; Issued 06/01/96; Asset Class: FI & PrefCATERPILLAR INC Coupon Rate 6.050%; Matures 08/15/2036; CUSIP 149123BN0

9/4/12 70,000.000 137.852133.594

133.958 96,496.4093,515.88 93,770.60 254.72 LT A

4,235.00188.22

4.51

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.641%; Moody A2 S&P A; Issued 08/08/06; Asset Class: FI & PrefCONOCOPHILLIPS CANADA Coupon Rate 5.950%; Matures 10/15/2036; CUSIP 20825VAB8

4/25/12 40,000.000 123.090120.562

120.892 49,236.0048,224.89 48,356.80 131.91 LT A

2,380.00899.11

4.92

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 4.377%; Moody BAA2 S&P A-; Issued 10/13/06; Asset Class: FI & Pref21ST CENTURY FOX AMERICA Coupon Rate 8.150%; Matures 10/17/2036; CUSIP 90131HBJ3

5/14/13 10,000.000 135.633133.947

147.140 13,563.3013,394.65 14,714.00 1,319.35 LT A

815.00303.36

5.53

Int. Semi-Annually Apr/Oct 17; Yield to Maturity 4.549%; Moody BAA1 S&P BBB+; Issued 10/17/96; Asset Class: FI & PrefCOMCAST CORP Coupon Rate 6.450%; Matures 03/15/2037; CUSIP 20030NAM3

1/25/13 20,000.000 125.273123.051

140.391 25,054.6024,610.23 28,078.20 3,467.97 LT A

1,290.00594.83

4.59

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 3.640%; Moody A3 S&P A-; Issued 03/02/06; Asset Class: FI & PrefAPPALACHIAN POWER COMPANY Coupon Rate 6.700%; Matures 08/15/2037; CUSIP 037735CK1

3/22/12 25,000.000 124.739122.312

134.430 31,184.7530,578.10 33,607.50 3,029.40 LT A

1,675.0074.44

4.98

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 4.211%; Moody BAA1 S&P BBB; Issued 08/17/07; Asset Class: FI & PrefUNITEDHEALTH GROUP INC Coupon Rate 6.625%; Matures 11/15/2037; CUSIP 91324PBE1

11/6/12 15,000.000 136.233132.852

144.892 20,434.9519,927.82 21,733.80 1,805.98 LT A

994.00292.60

4.57

Int. Semi-Annually May/Nov 15; Yield to Maturity 3.584%; Moody A3 S&P A+; Issued 11/19/07; Asset Class: FI & PrefAETNA INC Coupon Rate 6.750%; Matures 12/15/2037; CUSIP 00817YAG3

6/13/12

6/13/12

1/9/13

6,000.000

9,000.000

25,000.000

129.771126.948130.003127.153137.560134.224

139.791

139.791

139.791

7,786.267,616.88

11,700.2711,443.8034,390.0033,555.92

8,387.46

12,581.19

34,947.75

770.58

1,137.39

1,391.83

LT

LT

LT

A

A

ATotal 40,000.000 53,876.53

52,616.60 55,916.40 3,299.80 LT2,700.00

569.994.82

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 3.965%; Moody BAA2 S&P A- (*); Issued 12/04/07; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

AT&T INC Coupon Rate 6.300%; Matures 01/15/2038; CUSIP 00206RAG7

11/22/11 85,000.000 118.265116.435

126.453 100,525.2598,969.59 107,485.05 8,515.46 LT A

5,355.00684.25

4.98

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 4.381%; Moody BAA1 S&P BBB+; Issued 12/06/07; Asset Class: FI & PrefDUKE ENERGY CAROLINAS Coupon Rate 6.000%; Matures 01/15/2038; CUSIP 26442CAB0

9/27/12 10,000.000 132.010128.882

136.965 13,201.0012,888.21 13,696.50 808.29 LT A

600.0076.66

4.38

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 3.523%; Moody AA2 S&P A; Issued 01/10/08; Asset Class: FI & PrefPACIFIC GAS & ELEC CO Coupon Rate 6.350%; Matures 02/15/2038; CUSIP 694308GM3

11/19/12 40,000.000 139.527135.755

139.818 55,810.8054,301.84 55,927.20 1,625.36 LT A

2,540.00112.88

4.54

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.656%; Moody A3 S&P BBB+; Issued 03/03/08; Asset Class: FI & PrefUNITEDHEALTH GROUP INC Coupon Rate 6.875%; Matures 02/15/2038; CUSIP 91324PBK7

10/19/12 30,000.000 142.215138.256

149.043 42,664.5041,476.87 44,712.90 3,236.03 LT A

2,063.0091.66

4.61

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.580%; Moody A3 S&P A+; Issued 02/07/08; Asset Class: FI & PrefKROGER CO Coupon Rate 6.900%; Matures 04/15/2038; CUSIP 501044CK5

9/21/12 25,000.000 124.759122.702

142.232 31,189.7530,675.44 35,558.00 4,882.56 LT A

1,725.00651.66

4.85

Int. Semi-Annually Apr/Oct 15; Yield to Maturity 3.971%; Moody BAA1 S&P BBB; Issued 03/27/08; Asset Class: FI & PrefDUKE ENERGY INDIANA INC Coupon Rate 6.350%; Matures 08/15/2038; CUSIP 263901AA8

11/22/11 40,000.000 133.709130.099

141.852 53,483.6052,039.43 56,740.80 4,701.37 LT A

2,540.00112.88

4.47

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.581%; Moody AA3 S&P A; Issued 08/21/08; Asset Class: FI & PrefHALLIBURTON COMPANY Coupon Rate 6.700%; Matures 09/15/2038; CUSIP 406216AW1

3/27/12 40,000.000 131.851128.809

129.213 52,740.4051,523.49 51,685.20 161.71 LT A

2,680.001,235.77

5.18

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 4.581%; Moody BAA1 S&P BBB+; Issued 09/12/08; Asset Class: FI & PrefSPECTRA ENERGY CAPITAL Coupon Rate 7.500%; Matures 09/15/2038; CUSIP 84755TAC1

8/31/12 25,000.000 134.850131.977

121.984 33,712.5032,994.15 30,496.00 (2,498.15) LT A

1,875.00864.58

6.14

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 5.731%; Moody BAA2 S&P BBB-; Issued 09/08/08; Asset Class: FI & PrefSHELL INTERNATIONAL FIN Coupon Rate 6.375%; Matures 12/15/2038; CUSIP 822582AD4

11/29/11 40,000.000 133.095129.658

137.905 53,238.0051,863.20 55,162.00 3,298.80 LT A

2,550.00538.33

4.62

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 3.831%; Moody AA2 S&P A; Issued 12/11/08; Asset Class: FI & PrefCISCO SYSTEMS INC Coupon Rate 5.900%; Matures 02/15/2039; CUSIP 17275RAD4

2/3/12 30,000.000 124.806122.350

137.718 37,441.8036,705.02 41,315.40 4,610.38 LT A

1,770.0078.66

4.28

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 3.468%; Moody A1 S&P AA-; Issued 02/17/09; Asset Class: FI & PrefPFIZER INC Coupon Rate 7.200%; Matures 03/15/2039; CUSIP 717081CY7

3/15/12 35,000.000 144.056139.844

153.469 50,419.6048,945.31 53,714.15 4,768.84 LT A

2,520.001,161.99

4.69

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 3.687%; Moody A1 S&P AA; Issued 03/24/09; Asset Class: FI & PrefCITIGROUP INC Coupon Rate 8.125%; Matures 07/15/2039; CUSIP 172967EW7

5/23/13 14,000.000 147.052143.892

157.930 20,587.2820,144.89 22,110.20 1,965.31 LT A

1,138.00145.34

5.14

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 4.170%; Moody BAA1 S&P BBB+; Issued 07/23/09; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

NATIONWIDE MUTUAL INSURANCE COMPANY Coupon Rate 9.375%; Matures 08/15/2039; CUSIP 638671AK3

2/5/13 25,000.000 145.367142.541

159.814 36,341.7235,635.37 39,953.50 4,318.13 LT A

2,344.00104.16

5.86

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 4.975%; Moody A3 S&P A-; Issued 08/10/09; Asset Class: FI & PrefCONS EDISON CO OF NY Coupon Rate 5.500%; Matures 12/01/2039; CUSIP 209111EY5

6/22/12 45,000.000 126.464124.008

129.550 56,908.8055,803.58 58,297.50 2,493.92 LT A

2,475.00618.75

4.24

Int. Semi-Annually Jun/Dec 01; Yield to Maturity 3.611%; Moody A2 S&P A-; Issued 12/04/09; Asset Class: FI & PrefNORTHERN STATES POWER COMPANY Coupon Rate 4.850%; Matures 08/15/2040; CUSIP 665772CG2

11/23/11 40,000.000 118.712116.820

123.666 47,484.8046,727.98 49,466.40 2,738.42 LT A

1,940.0086.22

3.92

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 02/15/40; Yield to Call 3.381%; Moody AA3 S&P A; Issued 08/11/10; Asset Class: FI & PrefAPACHE CORP Coupon Rate 5.100%; Matures 09/01/2040; CUSIP 037411AW5

12/2/13 10,000.000 101.724101.633

104.336 10,172.4010,163.28 10,433.60 270.32 LT A

510.00255.00

4.88

Int. Semi-Annually Mar/Sep 01; Callable $100.00 on 03/01/40; Yield to Call 4.791%; Moody BAA3 S&P BBB; Issued 08/20/10; Asset Class: FI & PrefAT&T INC. Coupon Rate 5.350%; Matures 09/01/2040; CUSIP 04650NAB0

5/6/16

5/6/16

27,000.000

18,000.000

108.044107.989107.324107.274

114.264

114.264

29,171.8829,157.0319,318.3219,309.36

30,851.28

20,567.52

1,694.25

1,258.16

ST

ST

A

ATotal 45,000.000 48,490.20

48,466.39 51,418.80 2,952.41 ST2,408.001,203.75

4.68

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 4.383%; Moody BAA1 S&P BBB+; Issued 03/01/11; Asset Class: FI & Pref21ST CENTY FOX AMER INC Coupon Rate 6.150%; Matures 02/15/2041; CUSIP 90131HBQ7

10/15/12 15,000.000 130.816129.763

129.744 19,622.4019,464.46 19,461.60 (2.86) LT A

923.0040.99

4.74

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 4.194%; Moody BAA1 S&P BBB+; Issued 08/15/11; Asset Class: FI & PrefAT&T INC. Coupon Rate 6.375%; Matures 03/01/2041; CUSIP 00206RDG4

— 30,000.000 ——


1,913.00956.25

5.01

Int. Semi-Annually Mar/Sep 01; Yield to Maturity 4.527%; First Coupon 09/01/16; Moody BAA1 S&P BBB+; Issued 03/01/16; Asset Class: FI & PrefAGL CAPITAL CORP Coupon Rate 5.875%; Matures 03/15/2041; CUSIP 001192AH6

10/24/13 10,000.000 115.381114.554

126.426 11,538.1011,455.41 12,642.60 1,187.19 LT A

588.00270.90

4.65

Int. Semi-Annually Mar/Sep 15; Callable $100.00 on 09/15/40; Yield to Call 4.130%; Moody BAA1 S&P A-; Issued 03/21/11; Asset Class: FI & PrefKANSAS CITY POWER & LT Coupon Rate 5.300%; Matures 10/01/2041; CUSIP 485134BM1

1/12/12 50,000.000 110.901110.012

119.862 55,450.5055,006.05 59,931.00 4,924.95 LT A

2,650.001,104.16

4.42

Int. Semi-Annually Apr/Oct 01; Callable $100.00 on 04/01/41; Yield to Call 4.020%; Moody BAA1 S&P BBB+; Issued 09/20/11; Asset Class: FI & PrefJOHNSON CONTROLS INC Coupon Rate 5.250%; Matures 12/01/2041; CUSIP 478366BB2

7/12/12 50,000.000 115.510114.316

115.474 57,755.0057,158.20 57,737.00 578.80 LT A

2,625.00656.25

4.54

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 06/01/41; Yield to Call 4.234%; Moody BAA1 S&P BBB+; Issued 12/02/11; Asset Class: FI & PrefSOUTHERN CALIFORNIA EDISON COMPANY Coupon Rate 3.900%; Matures 12/01/2041; CUSIP 842400FT5

11/17/11 60,000.000 99.43899.438

108.490 59,662.8059,662.80 65,094.00 5,431.20 LT A

2,340.00585.00

3.59

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 06/01/41; Yield to Call 3.390%; Moody AA3 S&P A; Issued 11/22/11; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

ECOLAB INC


3/23/12

5/10/12

25,000.000

30,000.000

110.013109.262115.949114.719

125.743

125.743

27,503.2527,315.5334,784.7034,415.76

31,435.75

37,722.90

4,120.22

3,307.14

LT

LT

A

ATotal 55,000.000 62,287.95

61,731.29 69,158.65 7,427.36 LT3,025.00

697.434.37

Int. Semi-Annually Jun/Dec 08; Yield to Maturity 3.890%; Moody BAA1 S&P A-; Issued 12/08/11; Asset Class: FI & PrefPACIFIC GAS AND ELECTRIC COMPANY Coupon Rate 4.500%; Matures 12/15/2041; CUSIP 694308GY7

11/28/11 30,000.000 99.65599.655

115.737 29,896.5029,896.50 34,721.10 4,824.60 LT A

1,350.00284.99

3.88

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 06/15/41; Yield to Call 3.541%; Moody A3 S&P BBB+; Issued 12/01/11; Asset Class: FI & PrefCITIGROUP INC

Coupon Rate 5.875%; Matures 01/30/2042; CUSIP 172967FX4

1/19/12

10/8/13

9,000.000

1,000.000

98.54398.543

112.771112.130

129.557

129.557

8,868.878,868.871,127.711,121.30

11,660.13

1,295.57

2,791.26

174.27

LT

LT

A

ATotal 10,000.000 9,996.58

9,990.17 12,955.70 2,965.53 LT588.00

48.954.53

Int. Semi-Annually Jan/Jul 30; Yield to Maturity 4.010%; Moody BAA1 S&P BBB+; Issued 01/26/12; Asset Class: FI & PrefVIACOM INC Coupon Rate 4.500%; Matures 02/27/2042; CUSIP 92553PAL6

2/23/12 6,000.000 98.06398.063

91.848 5,883.785,883.78 5,510.88 (372.90) LT A

270.002.99

4.89

Int. Semi-Annually Feb/Aug 27; Yield to Maturity 5.074%; Moody BAA2 S&P BBB-; Issued 02/28/12; Asset Class: FI & PrefCON EDISON CO OF NY Coupon Rate 4.200%; Matures 03/15/2042; CUSIP 209111FB4

3/8/12 9,000.000 99.64499.644

111.841 8,967.968,967.96 10,065.69 1,097.73 LT A

378.00174.29

3.75

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 3.495%; Moody A2 S&P A-; Issued 03/13/12; Asset Class: FI & PrefARIZONA PUBLIC SERVICE

Coupon Rate 4.500%; Matures 04/01/2042; CUSIP 040555CN2

1/10/12

3/19/13

9,000.000

6,000.000

99.05499.054

105.182104.841

118.644

118.644

8,914.868,914.866,310.926,290.44

10,677.96

7,118.64

1,763.10

828.20

LT

LT

A

ATotal 15,000.000 15,225.78

15,205.30 17,796.60 2,591.30 LT675.00281.25

3.79

Int. Semi-Annually Apr/Oct 01; Callable $100.00 on 10/01/41; Yield to Call 3.390%; Moody A2 S&P A-; Issued 01/13/12; Asset Class: FI & PrefABB FINANCE USA INC Coupon Rate 4.375%; Matures 05/08/2042; CUSIP 00037BAC6

1/17/13 40,000.000 107.097106.596

115.941 42,838.8042,638.44 46,376.40 3,737.96 LT A

1,750.00549.30

3.77

Int. Semi-Annually May/Nov 08; Yield to Maturity 3.436%; Moody A2 S&P A; Issued 05/08/12; Asset Class: FI & PrefAMERICAN WATER CAP CORP Coupon Rate 4.300%; Matures 12/01/2042; CUSIP 03040WAJ4

12/12/12 2,000.000 99.81899.818

116.177 1,996.361,996.36 2,323.54 327.18 LT A

86.0021.50

3.70

Int. Semi-Annually Jun/Dec 01; Callable $100.00 on 06/01/42; Yield to Call 3.356%; Moody A3 S&P A; Issued 12/17/12; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

LOCKHEED MARTIN CORPORATION Coupon Rate 4.070%; Matures 12/15/2042; CUSIP 539830BB4

— 39,000.000 ——


1,587.00335.09

3.75

Int. Semi-Annually Jun/Dec 15; Yield to Maturity 3.581%; Moody BAA1 S&P BBB+; Issued 12/14/12; Asset Class: FI & PrefWISC ELEC POWER Coupon Rate 3.650%; Matures 12/15/2042; CUSIP 976656CE6

12/5/12 10,000.000 99.60299.602

106.585 9,960.209,960.20 10,658.50 698.30 LT A

365.0077.05

3.42

Int. Semi-Annually Jun/Dec 15; Callable $100.00 on 06/15/42; Yield to Call 3.270%; Moody A1 S&P A-; Issued 12/11/12; Asset Class: FI & PrefPUB SVC ELEC & GAS Coupon Rate 3.800%; Matures 01/01/2043; CUSIP 74456QBB1

1/7/13 30,000.000 99.36399.363

109.968 29,808.9029,808.90 32,990.40 3,181.50 LT A

1,140.00190.00

3.45

Int. Semi-Annually Jan/Jul 01; Callable $100.00 on 07/01/42; Yield to Call 3.228%; Moody AA3 S&P A; Issued 01/11/13; Asset Class: FI & PrefMICROSOFT CORP SR NT Coupon Rate 3.750%; Matures 05/01/2043; CUSIP 594918AU8

4/25/13 25,000.000 98.61698.616

104.221 24,654.0024,654.00 26,055.25 1,401.25 LT A

938.00312.49

3.60

Int. Semi-Annually May/Nov 01; Callable $100.00 on 11/01/42; Yield to Call 3.502%; Moody AAA S&P AAA; Issued 05/02/13; Asset Class: FI & PrefSOUTHERN POWER CO Coupon Rate 5.250%; Matures 07/15/2043; CUSIP 843646AJ9

7/10/13 1,000.000 99.71599.715

110.772 997.15997.15 1,107.72 110.57 LT A

53.006.70

4.78

Int. Semi-Annually Jan/Jul 15; Yield to Maturity 4.551%; Moody BAA1 S&P BBB+; Issued 07/16/13; Asset Class: FI & PrefCOMMONWEALTH EDISON Coupon Rate 4.600%; Matures 08/15/2043; CUSIP 202795JB7

8/12/13 15,000.000 99.77499.774

119.928 14,966.1014,966.10 17,989.20 3,023.10 LT A

690.0030.66

3.83

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 02/15/43; Yield to Call 3.446%; Moody A2 S&P A-; Issued 08/19/13; Asset Class: FI & PrefBHP BILLITON FIN USA LTD Coupon Rate 5.000%; Matures 09/30/2043; CUSIP 055451AV0

9/25/13

12/10/13

10/8/14

17,000.000

5,000.000

13,000.000

99.98599.985

102.137102.043112.587112.150

119.415

119.415

119.415

16,997.4516,997.45

5,106.855,102.17

14,636.3114,579.55

20,300.55

5,970.75

15,523.95

3,303.10

868.58

944.40

LT

LT

LT

A

A

ATotal 35,000.000 36,740.61

36,679.17 41,795.25 5,116.08 LT1,750.00

729.164.18

Int. Semi-Annually Mar/Sep 30; Yield to Maturity 3.840%; Moody A3 S&P A; Issued 09/30/13; Asset Class: FI & PrefMAGELLAN MIDSTREAM PARTN Coupon Rate 5.150%; Matures 10/15/2043; CUSIP 559080AG1

10/3/13 10,000.000 99.56099.560

109.631 9,956.009,956.00 10,963.10 1,007.10 LT A

515.00194.55

4.69

Int. Semi-Annually Apr/Oct 15; Callable $100.00 on 04/15/43; Yield to Call 4.524%; Moody BAA1 S&P BBB+; Issued 10/10/13; Asset Class: FI & PrefPECO ENERGY CO Coupon Rate 4.800%; Matures 10/15/2043; CUSIP 693304AR8

9/16/13 15,000.000 99.63399.633

123.885 14,944.9514,944.95 18,582.75 3,637.80 LT A

720.00272.00

3.87

Int. Semi-Annually Apr/Oct 15; Callable $100.00 on 04/15/43; Yield to Call 3.425%; Moody AA3 S&P A-; Issued 09/23/13; Asset Class: FI & PrefKENTUCKY UTILITIES COMPANY Coupon Rate 4.650%; Matures 11/15/2043; CUSIP 491674BJ5

11/6/13 10,000.000 99.28099.280

120.821 9,928.009,928.00 12,082.10 2,154.10 LT A

465.00136.91

3.84

Int. Semi-Annually May/Nov 15; Callable $100.00 on 05/15/43; Yield to Call 3.450%; Moody A1 S&P A; Issued 11/14/13; Asset Class: FI & Pref

Account Detail




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CurrentYield %

LOUISVILLE GAS AND ELECTRIC COMPANY Coupon Rate 4.650%; Matures 11/15/2043; CUSIP 546676AV9

11/6/13 10,000.000 99.28099.280

120.332 9,928.009,928.00 12,033.20 2,105.20 LT A

465.00136.91

3.86

Int. Semi-Annually May/Nov 15; Callable $100.00 on 05/15/43; Yield to Call 3.475%; Moody A1 S&P A; Issued 11/14/13; Asset Class: FI & PrefCVS CAREMARK CORP Coupon Rate 5.300%; Matures 12/05/2043; CUSIP 126650CD0

12/2/13 5,000.000 99.80699.806

125.012 4,990.304,990.30 6,250.60 1,260.30 LT A

265.0063.30

4.23

Int. Semi-Annually Jun/Dec 05; Callable $100.00 on 06/05/43; Yield to Call 3.802%; Moody BAA1 S&P BBB+; Issued 12/05/13; Asset Class: FI & PrefGILEAD SCIENCES INC Coupon Rate 4.800%; Matures 04/01/2044; CUSIP 375558AX1

5/1/14 5,000.000 105.225105.020

115.645 5,261.255,250.99 5,782.25 531.26 LT A

240.00100.00

4.15

Int. Semi-Annually Apr/Oct 01; Callable $100.00 on 10/01/43; Yield to Call 3.863%; Moody A3 S&P A; Issued 03/07/14; Asset Class: FI & PrefWELLS FARGO & COMPANY

Coupon Rate 4.650%; Matures 11/04/2044; CUSIP 94974BGE4

2/5/15

4/24/15

25,000.000

50,000.000

111.710111.373105.699105.565

109.798

109.798

27,927.5027,843.2252,849.5052,782.57

27,449.50

54,899.00

(393.72)

2,116.43

LT

LT

A

ATotal 75,000.000 80,777.00

80,625.79 82,348.50 1,722.71 LT3,488.001,133.43

4.23

Int. Semi-Annually May/Nov 04; Yield to Maturity 4.063%; Moody A3 S&P A-; Issued 11/04/14; Asset Class: FI & PrefWALGREENS BOOTS ALLIANCE

Coupon Rate 4.800%; Matures 11/18/2044; CUSIP 931427AC2

5/15/15

5/15/15

7,000.000

18,000.000

98.44898.44898.26598.265

112.288

112.288

6,891.366,891.36

17,687.7017,687.70

7,860.16

20,211.84

968.80

2,524.14

LT

LT

A

ATotal 25,000.000 24,579.06

24,579.06 28,072.00 3,492.94 LT1,200.00

343.334.27

Int. Semi-Annually May/Nov 18; Callable $100.00 on 05/18/44; Yield to Call 4.057%; Moody BAA2 (-) S&P BBB; Issued 11/18/14; Asset Class: FI & PrefNORFOLK SOUTHERN CORPORATION Coupon Rate 6.000%; Matures 03/15/2105; CUSIP 655844AV0

8/21/12 25,000.000 117.499117.461

123.672 29,374.7529,365.36 30,918.00 1,552.64 LT A

1,500.00691.66

4.85

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 4.838%; Moody BAA1 S&P BBB+; Issued 03/11/05; Asset Class: FI & PrefCORPORATE BONDS 27,508,000.000 $29,034,445.32

$28,608,577.57 $29,521,622.10 $583,634.11$152,408.05

LTST

$957,641.00$247,122.50

3.24%

OTHER FIXED INCOME





CurrentYield %

JOHN DEERE OWNER TR 2013-B A-3 Coupon Rate 0.870%; Matures 08/15/2017; CUSIP 477879AC4

8/27/13 75,000.000 $99.980$99.980

$99.983 $4,899.36$2,857.94 $2,858.02 $0.08 LT A

$25.00$1.10

0.87

Interest Paid Monthly Aug 15; Yield to Maturity .887%; Factor .03811351; Moody AAA; Issued 09/04/13; Current Face 2,858.513; Asset Class: FI & Pref

Account Detail




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CurrentYield %

AFIN 2013-4 A3 Coupon Rate 1.090%; Matures 03/20/2018; CUSIP 13975FAC4

11/21/13 96,000.000 99.99099.990

99.957 27,326.5819,402.57 19,396.16 (6.41) LT A

212.006.46

1.09

Interest Paid Monthly Aug 20; Yield to Maturity 1.117%; Factor .20213027; Moody AAA S&P AAA; Issued 11/27/13; Current Face 19,404.506; Asset Class: FI & PrefFORDO 2013-D A3 Coupon Rate 0.670%; Matures 04/15/2018; CUSIP 34530GAD4

11/19/13 62,000.000 99.99099.990

99.936 13,836.1411,326.85 11,320.72 (6.13) LT A

76.003.37

0.67

Interest Paid Monthly Aug 15; Yield to Maturity .709%; Factor .18270935; Moody AAA; Issued 11/26/13; Current Face 11,327.980; Asset Class: FI & PrefWORLD OMNI AUTO RECEIVABLES TRUST 2013-A A3 Coupon Rate 0.640%; Matures 04/16/2018; CUSIP 98160KAC9

5/21/13 57,000.000 99.99099.990

99.959 5,378.793,595.90 3,594.78 (1.12) LT A

23.001.02

0.63

Interest Paid Monthly Aug 15; Yield to Maturity .665%; Factor .06309220; S&P AAA; Issued 05/29/13; Current Face 3,596.255; Asset Class: FI & PrefCARMX 2013-4 A3 Coupon Rate 1.100%; Matures 07/16/2018; CUSIP 14313PAC1

10/30/13 62,000.000 99.99099.990

99.955 19,478.9416,572.07 16,566.27 (5.80) LT A

182.008.10

1.09

Interest Paid Monthly Aug 15; Yield to Maturity 1.124%; Factor .26731825; Moody AAA; Issued 11/07/13; Current Face 16,573.732; Asset Class: FI & PrefCNH 2013-C A3 Coupon Rate 1.020%; Matures 08/15/2018; CUSIP 12613SAC6

8/20/13 217,000.000 99.98099.980

99.990 39,806.0327,005.31 27,008.01 2.70 LT A

276.0012.24

1.02

Interest Paid Monthly Aug 15; Yield to Maturity 1.025%; Factor .12447333; Moody AAA S&P AAA; Issued 08/29/13; Current Face 27,010.713; Asset Class: FI & PrefNISSAN AUTO RECV 2013-C A-3 Coupon Rate 0.670%; Matures 08/15/2018; CUSIP 65477MAC2

12/4/13 144,000.000 99.97099.970

99.912 43,972.2938,925.27 38,902.68 (22.59) LT A

261.0011.59

0.67

Interest Paid Monthly Aug 15; Yield to Maturity .715%; Factor .27039547; Moody AAA; Issued 12/11/13; Current Face 38,936.948; Asset Class: FI & PrefAMERICREDIT AUTO RECV 2013-5 A-3 Coupon Rate 0.900%; Matures 09/10/2018; CUSIP 03065EAD7

11/5/13 29,492.000 99.98099.980

99.971 4,898.153,332.97 3,332.66 (0.31) LT A

30.001.91

0.90

Interest Paid Monthly Aug 08; Yield to Maturity .914%; Factor .11303528; Moody AAA; Issued 11/14/13; Current Face 3,333.636; Asset Class: FI & PrefCNH EQUIPMENT TR 2013-D A-3 Coupon Rate 0.770%; Matures 10/15/2018; CUSIP 12618SAC1

11/14/13 64,000.000 99.99099.990

99.938 26,768.1122,950.58 22,938.64 (11.94) LT A

177.007.85

0.77

Interest Paid Monthly Aug 15; Yield to Maturity .799%; Factor .35863864; S&P AAA; Issued 11/20/13; Current Face 22,952.873; Asset Class: FI & PrefDCENT 2013-A5 A5 Coupon Rate 1.040%; Matures 04/15/2019; CUSIP 254683BE4

10/22/13 343,000.000 99.98099.980

100.004 342,931.40342,931.40 343,013.72 82.32 LT A

3,567.00158.54

1.03

Interest Paid Monthly Aug 15; Yield to Maturity 1.038%; Moody AAA S&P AAA; Issued 10/29/13; Asset Class: FI & PrefCPS AUTO RECV TR 2013-A A Coupon Rate 1.310%; Matures 06/15/2020; CUSIP 12625AAA5

3/12/13 338,000.000 99.98099.980

99.057 72,936.1463,184.23 62,600.92 (583.31) LT A

828.0036.79

1.32

Interest Paid Monthly Aug 15; Yield to Maturity 1.567%; Factor .18697299; Moody AA1 S&P AA-; Issued 03/20/13; Current Face 63,196.871; Asset Class: FI & PrefNGN 2010-C1 A2 Coupon Rate 2.900%; Matures 10/29/2020; CUSIP 62888XAB0

4/30/13 300,000.000 106.760106.760

100.000 57,335.014,742.64 4,442.34 (300.30) LT A

129.001.43

2.90

Interest Paid Monthly Jul 27; Yield to Maturity 2.899%; Factor .01480780; S&P AA+; Issued 11/10/10; Current Face 4,442.340; Asset Class: FI & PrefCOMM MTG TR 2012-9W57 A Coupon Rate 2.364%; Matures 02/10/2029; CUSIP 126191AA3

8/9/13 250,000.000 102.430102.430

100.247 256,075.00256,075.00 250,617.50 (5,457.50) LT A

5,911.00410.52

2.35

Interest Paid Monthly Aug 12; Yield to Maturity 2.341%; Moody AAA; Issued 02/06/12; Asset Class: FI & Pref

Account Detail




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CurrentYield %

GS MTG SECS TR 2013-NYC5 A Coupon Rate 2.318%; Matures 01/10/2030; CUSIP 36197RAA5

3/18/13 195,000.000 102.490102.490

100.482 199,855.50199,855.50 195,939.90 (3,915.60) LT A

4,520.00263.67

2.30

Interest Paid Monthly Aug 10; Yield to Maturity 2.276%; Moody AAA S&P AAA; Issued 03/01/13; Asset Class: FI & PrefMASTR ASSET TR 2003-11 8-A-1 Coupon Rate 5.500%; Matures 12/25/2033; CUSIP 55265K2N8

5/29/13 1,250,000.000 104.680104.680

101.505 60,126.8154,213.42 52,569.09 (1,644.33) LT A

2,848.00237.36

5.41

Interest Paid Monthly Aug 25; Yield to Maturity 5.365%; Factor .04143173; S&P A+; Issued 11/01/03; Current Face 51,789.662; Asset Class: FI & PrefWELLS FARGO MBS 2004-P II-A-1 Coupon Rate 2.987%; Matures 09/25/2034; CUSIP 94980MAB4

11/29/11 1,000,000.000 93.37093.370

102.959 87,286.6983,244.81 91,793.96 8,549.15 LT A

2,664.00221.98

2.90

Interest Paid Monthly Aug 25; Yield to Maturity 2.777%; Floater; Factor .08915584; Moody BAA1 S&P AA+; Issued 08/01/04; Current Face 89,155.840; Asset Class: FI & PrefLBUBS 2007-C2 A3 Coupon Rate 5.430%; Matures 02/15/2040; CUSIP 50180JAD7

1/23/13 250,000.000 114.680114.680

101.004 232,378.80141,786.82 124,878.23 (16,908.59) LT A

6,713.00335.67

5.37

Interest Paid Monthly Aug 17; Yield to Maturity 5.354%; Factor .49454767; S&P AA-; Issued 04/11/07; Current Face 123,636.918; Asset Class: FI & PrefBACM 2006-3 A4 Coupon Rate 5.889%; Matures 07/10/2044; CUSIP 059500AD0

4/26/12 270,000.000 112.530112.530

99.856 48,728.564,595.12 4,077.58 (517.54) LT A

240.0020.03

5.88

Interest Paid Monthly Aug 10; Yield to Maturity 5.899%; Floater; Factor .01512395; S&P A+; Issued 08/01/06; Current Face 4,083.466; Asset Class: FI & PrefUBSBB 2013-C6 A4 Coupon Rate 3.244%; Matures 04/10/2046; CUSIP 90349GBF1

4/11/13 286,000.000 102.990102.990

106.817 294,551.40294,551.40 305,496.62 10,945.22 LT A

9,279.00721.67

3.03

Interest Paid Monthly Aug 12; Yield to Maturity 2.899%; Moody AAA; Issued 04/01/13; Asset Class: FI & PrefBANC AMER CMBS 2006-5 A-4 Coupon Rate 5.414%; Matures 09/10/2047; CUSIP 05950XAE6

5/8/12 225,000.000 110.800110.800

99.943 94,019.9021,199.70 19,122.39 (2,077.31) LT A

1,036.0086.32

5.41

Interest Paid Monthly Aug 10; Yield to Maturity 5.418%; Factor .08503690; Moody AAA S&P AAA; Issued 10/01/06; Current Face 19,133.302; Asset Class: FI & PrefCOBALT CMBS MTG TR 2006-C1 A-4 Coupon Rate 5.223%; Matures 08/15/2048; CUSIP 190749AE1

5/8/12 225,000.000 109.730109.730

99.931 122,077.6170,919.54 64,586.35 (6,333.19) LT A

3,376.00262.55

5.22

Interest Paid Monthly Aug 17; Yield to Maturity 5.227%; Factor .28724867; S&P AAA; Issued 12/01/06; Current Face 64,630.951; Asset Class: FI & PrefMLCFC 2007-9 A4 Coupon Rate 5.700%; Matures 09/12/2049; CUSIP 60688CAE6

11/21/12 250,000.000 116.830116.830

103.243 278,860.12264,595.38 233,823.68 (30,771.70) LT A

12,909.001,075.77

5.52

Interest Paid Monthly Aug 12; Yield to Maturity 5.486%; Factor .90591589; S&P AAA; Issued 11/01/07; Current Face 226,478.972; Asset Class: FI & PrefDBRR CMBS RE-REMIC TR 2013-EZ3 A Coupon Rate 1.636%; Matures 12/18/2049; CUSIP 23306DAA2

8/28/13 172,000.000 99.89099.890

99.927 46,614.9318,175.66 18,182.39 6.73 LT A

298.0011.57

1.63

Interest Paid Monthly Aug 22; Yield to Maturity 1.639%; Factor .10578883; Moody AAA; Issued 08/15/13; Current Face 18,195.679; Asset Class: FI & PrefSPRINGLEAF MTG LN TR 2013-2 A Coupon Rate 1.780%; Matures 12/25/2065; CUSIP 85172GAA5

7/3/13 260,000.000 98.98098.980

99.489 112,867.72101,801.05 102,324.55 523.50 LT A

1,831.00152.56

1.78

Interest Paid Monthly Aug 25; Yield to Maturity 1.796%; Floater; Factor .39557737; S&P AAA; Issued 06/01/13; Current Face 102,850.116; Asset Class: FI & PrefOTHER FIXED INCOME 6,420,492.000 $2,493,009.98

$2,067,841.13 $2,019,387.16 $(48,453.97) LT$57,411.00$4,050.07

2.84%

Account Detail




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CurrentYield %

CORPORATE FIXED INCOME 33,928,492.000 $31,527,455.30

$30,676,418.70 $31,541,009.26 $535,180.14$152,408.05

LTST

$1,015,052.00$251,172.57

3.22%

TOTAL CORPORATE FIXED INCOME (includes accrued interest)

24.78% $31,792,181.83

Fixed income securities that are denominated in any currency other than U.S. dollars (USD) display the representative price, value, income and interest amounts in both (1) USD equivalent amounts calculated usinga reference FX rate as of the close of the last business day in the statement period, and (2) the foreign currency in which the security is denominated. We may charge fees for conversion of FX, hence the exact USDamount needed to purchase non-USD denominated securities may be more than the price displayed and the exact USD amount received upon the sale of non-USD denominated securities may be less than the valuedisplayed.

Watchlist and CreditWatch Indicators: (*) = developing/uncertain (+) = On Watchlist/CreditWatch Upgrade (-) = On Watchlist/CreditWatch Downgrade

GOVERNMENT SECURITIES TREASURY SECURITIES





CurrentYield %

UNITED STATES TREASURY NOTE Coupon Rate 2.750%; Matures 05/31/2017; CUSIP 912828NG1

9/25/15 750,000.000 $103.547$101.586

$101.578 $776,601.56$761,895.84 $761,835.00 $(60.84) ST A

$20,625.00$5,184.42

2.70

Int. Semi-Annually May/Nov 30; Yield to Maturity .641%; Moody AAA; Issued 05/31/10; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 0.875%; Matures 10/15/2017; CUSIP 912828F54

8/11/15 820,000.000 100.242100.125

100.184 821,985.94821,026.76 821,508.80 482.04 LT A

7,175.002,705.32

0.87

Int. Semi-Annually Apr/Oct 15; Yield to Maturity .710%; Moody AAA; Issued 10/15/14; Asset Class: FI & PrefUNITED STATES TREASURY NOTE

Coupon Rate 0.750%; Matures 12/31/2017; CUSIP 912828UE8

3/25/14

6/16/15

250,000.000

500,000.000

97.96997.96999.58699.586

100.008

100.008

244,921.88244,921.88497,929.69497,929.69

250,020.00

500,040.00

5,098.12

2,110.31

LT

LT

A

ATotal 750,000.000 742,851.57

742,851.57 750,060.00 7,208.43 LT5,625.00

947.690.74

Int. Semi-Annually Jun/Dec 30; Yield to Maturity .744%; Moody AAA; Issued 12/31/12; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 1.000%; Matures 05/31/2018; CUSIP 912828VE7

4/19/16

—

490,000.000

260,000.000

100.414100.345

——

100.352

100.352

492,029.00491,692.39

Please ProvidePlease Provide

491,724.80

260,915.20

32.41

N/A

ST A

Total 750,000.000 0.00

491,692.39 752,640.00 32.41 ST7,500.001,885.24

0.99

Int. Semi-Annually May/Nov 30; Yield to Maturity .797%; Moody AAA; Issued 05/31/13; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

UNITED STATES TREASURY NOTE

Coupon Rate 1.250%; Matures 11/30/2018; CUSIP 912828A34

6/30/15

6/30/15

7/7/15

75,000.000

65,000.000

60,000.000

100.254100.168100.254100.168100.480100.319

100.902

100.902

100.902

75,190.4375,126.0565,165.0465,109.2560,287.8260,191.50

75,676.50

65,586.30

60,541.20

550.45

477.05

349.70

LT

LT

LT

A

A

A7/8/15 50,000.000 100.626

100.417100.902 50,312.91

50,208.47 50,451.00 242.53 LT ATotal 250,000.000 250,956.20

250,635.27 252,255.00 1,619.73 LT3,125.00

785.511.23

Int. Semi-Annually May/Nov 31; Yield to Maturity .844%; Moody AAA; Issued 11/30/13; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 1.250%; Matures 01/31/2019; CUSIP 912828SD3

9/25/15 750,000.000 100.359100.261

100.930 752,695.31751,957.35 756,975.00 5,017.65 ST A

9,375.00789.74

1.23

Int. Semi-Annually Jan/Jul 31; Yield to Maturity .860%; Moody AAA; Issued 01/31/12; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 1.375%; Matures 01/31/2020; CUSIP 912828UL2

8/25/15 500,000.000 100.063100.048

101.219 500,312.50500,242.42 506,095.00 5,852.58 LT A

6,875.00579.14

1.35

Int. Semi-Annually Jan/Jul 31; Yield to Maturity 1.011%; Moody AAA; Issued 01/31/13; Asset Class: FI & PrefU S TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 05/15/2020; CUSIP 912833KZ2

9/27/12

6/9/14

360,000.000

10,000.000

90.96095.49988.63092.733

96.056

96.056

327,456.00343,797.60

8,863.009,273.27

345,801.60

9,605.60

2,004.00

332.33

LT

LT

A

ATotal 370,000.000 336,319.00

353,070.87 355,407.20 2,336.33 LT— —

Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 02/15/2021; CUSIP 912833LC2

11/19/13

11/20/13

25,000.000

95,000.000

85.11090.54885.02090.479

94.725

94.725

21,277.5022,637.0180,769.0085,954.93

23,681.25

89,988.75

1,044.24

4,033.82

LT

LT

A

ATotal 120,000.000 102,046.50

108,591.94 113,670.00 5,078.06 LT— —

Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.250%; Matures 03/31/2021; CUSIP 912828C57

8/29/14 250,000.000 101.633101.160

104.773 254,082.03252,899.80 261,932.50 9,032.70 LT A

5,625.002,351.43

2.14

Int. Semi-Annually Mar/Sep 30; Yield to Maturity 1.177%; Moody AAA; Issued 03/31/14; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.125%; Matures 08/15/2021; CUSIP 912828RC6

8/26/15 1,000,000.000 102.074101.738

104.336 1,020,742.191,017,376.43 1,043,360.00 25,983.57 LT A

21,250.00923.91

2.03

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.221%; Moody AAA; Issued 08/15/11; Asset Class: FI & Pref

Account Detail




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CurrentYield %

UNITED STATES TREASURY NOTE

Coupon Rate 2.000%; Matures 10/31/2021; CUSIP 912828F96

3/19/15

—

1,000,000.000

500,000.000

101.492101.179

——

103.770

103.770

1,014,921.881,011,794.37

Please ProvidePlease Provide

1,037,700.00

518,850.00

25,905.63

N/A

LT A

Total 1,500,000.000 0.00

1,011,794.37 1,556,550.00 25,905.63 LT30,000.0010,027.17

1.92

Int. Semi-Annually Apr/Oct 30; Yield to Maturity 1.244%; Moody AAA; Issued 10/31/14; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 02/15/2022; CUSIP 912833LG3

6/9/14 10,000.000 83.00087.603

93.036 8,300.008,760.30 9,303.60 543.30 LT A

— —

Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 05/15/2022; CUSIP 912833LH1

7/1/15 250,000.000 85.71887.991

92.542 214,295.00219,978.69 231,355.00 11,376.31 LT A

— —

Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.000%; Matures 11/30/2022; CUSIP 912828M80

6/15/16 250,000.000 103.898103.777

103.723 259,746.10259,441.25 259,307.50 (133.75) ST A

5,000.001,256.83

1.92

Int. Semi-Annually May/Nov 31; Yield to Maturity 1.376%; Moody AAA; Issued 11/30/15; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 1.750%; Matures 05/15/2023; CUSIP 912828VB3

12/17/14 500,000.000 98.01398.013

102.141 490,064.50490,064.50 510,705.00 20,640.50 LT A

8,750.002,567.93

1.71

Int. Semi-Annually May/Nov 15; Yield to Maturity 1.414%; Moody AAA; Issued 05/15/13; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.500%; Matures 08/15/2023; CUSIP 912828VS6

2/3/16 2,000,000.000 106.039105.603

107.102 2,120,781.252,112,053.30 2,142,040.00 29,986.70 ST A

50,000.002,173.91

2.33

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.424%; Moody AAA; Issued 08/15/13; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.750%; Matures 02/15/2024; CUSIP 912828B66

9/15/15 500,000.000 104.711104.215

109.145 523,554.69521,075.22 545,725.00 24,649.78 ST A

13,750.00597.82

2.51

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.451%; Moody AAA; Issued 02/15/14; Asset Class: FI & PrefUNITED STATES TREASURY NOTE

Coupon Rate 2.375%; Matures 08/15/2024; CUSIP 912828D56

8/28/15

8/28/15

999,000.000

1,000.000

102.183101.958102.191101.965

106.539

106.539

1,020,806.301,018,562.53

1,021.911,019.65

1,064,324.61

1,065.39

45,762.08

45.74

LT

LT

Total 1,000,000.000 1,021,828.21

1,019,582.18 1,065,390.00 45,807.82 LT23,750.00

1,032.602.22

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.500%; Moody AAA; Issued 08/15/14; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.250%; Matures 11/15/2024; CUSIP 912828G38

8/28/15 1,000,000.000 100.999100.899

105.656 1,009,992.191,008,994.84 1,056,560.00 47,565.16 LT

22,500.006,603.26

2.12

Int. Semi-Annually May/Nov 15; Yield to Maturity 1.514%; Moody AAA; Issued 11/15/14; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 11/15/2024; CUSIP 912833LT5

2/3/16 2,000,000.000 84.10485.063

88.014 1,682,080.001,701,258.72 1,760,280.00 59,021.28 ST A

— —

Account Detail




of 100





CurrentYield %

Issued 08/15/94; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 02/15/2025; CUSIP 912833LU2

2/3/16 1,000,000.000 83.51584.481

87.363 835,150.00844,809.32 873,630.00 28,820.68 ST A

— —

Issued 02/15/95; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 05/15/2025; CUSIP 912833LV0

2/3/16 2,000,000.000 82.88283.834

86.886 1,657,640.001,676,687.24 1,737,720.00 61,032.76 ST A

— —

Issued 11/15/96; Asset Class: FI & PrefUNITED STATES TREASURY NOTE Coupon Rate 2.000%; Matures 08/15/2025; CUSIP 912828K74

2/3/16 1,250,000.000 101.199101.133

103.664 1,264,990.231,264,156.84 1,295,800.00 31,643.16 ST A

25,000.001,086.95

1.92

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.560%; Moody AAA; Issued 08/15/15; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT

Zero Coupon; Matures 05/15/2028; CUSIP 912833WQ9

1/26/15

2/3/16

10,000.000

990,000.000

74.21576.91575.76876.759

80.602

80.602

7,421.507,691.47

750,103.20759,915.48

8,060.20

797,959.80

368.73

38,044.32

LT

ST

A

ATotal 1,000,000.000 757,524.70

767,606.95 806,020.00 368.7338,044.32

LTST

— —

Issued 11/16/98; Asset Class: FI & PrefUNITED STATES TREASURY BOND Coupon Rate 5.375%; Matures 02/15/2031; CUSIP 912810FP8

4/16/15 1,250,000.000 142.172139.054

146.992 1,777,148.441,738,169.92 1,837,400.00 99,230.08 LT A

67,188.002,921.19

3.65

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 1.696%; Moody AAA; Issued 02/15/01; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 02/15/2031; CUSIP 912833XZ8

2/26/15 500,000.000 67.39269.961

75.522 336,960.00349,803.67 377,610.00 27,806.33 LT A

— —

Issued 02/15/01; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 05/15/2031; CUSIP 9128337P9

2/3/16 2,000,000.000 69.02769.997

74.830 1,380,540.001,399,939.04 1,496,600.00 96,660.96 ST A

— —

Issued 08/15/07; Asset Class: FI & PrefUNITED STATES TREASURY BOND Coupon Rate 4.500%; Matures 05/15/2038; CUSIP 912810PX0

2/20/15 250,000.000 133.758132.104

144.445 334,394.53330,260.52 361,112.50 30,851.98 LT A

11,250.003,301.63

3.11

Int. Semi-Annually May/Nov 15; Yield to Maturity 1.973%; Moody AAA; Issued 05/15/08; Asset Class: FI & PrefUNITED STATES TREASURY BOND Coupon Rate 3.500%; Matures 02/15/2039; CUSIP 912810QA9

2/10/15

3/30/15

300,000.000

200,000.000

118.043117.170118.266117.451

126.086

126.086

354,128.91351,510.26236,531.25234,901.50

378,258.00

252,172.00

26,747.74

17,270.50

LT

LT

A

ATotal 500,000.000 590,660.16

586,411.76 630,430.00 44,018.24 LT17,500.00

760.862.77

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 2.046%; Moody AAA; Issued 02/15/09; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

US TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 11/15/2039; CUSIP 912834EV6

7/28/16 1,000,000.000 60.31860.440

59.292 603,184.83604,400.71 592,920.00 (11,480.71) ST

— —

Issued 11/16/09; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 05/15/2040; CUSIP 912834HV3

7/28/16 1,000,000.000 59.33559.456

58.294 593,354.71594,563.77 582,940.00 (11,623.77) ST

— —

Issued 05/17/10; Asset Class: FI & PrefUS TREASURY BOND FED STRIP INTEREST PAYMENT Zero Coupon; Matures 02/15/2042; CUSIP 912834LB2

7/28/16 1,000,000.000 56.23656.355

55.631 562,362.85563,547.23 556,310.00 (7,237.23) ST

— —

Issued 02/15/12; Asset Class: FI & PrefUNITED STATES TREASURY BOND Coupon Rate 3.000%; Matures 11/15/2044; CUSIP 912810RJ9

10/23/15 462,000.000 101.866101.830

116.406 470,619.20470,456.27 537,795.72 67,339.45 ST A

13,860.004,067.60

2.57

Int. Semi-Annually May/Nov 15; Yield to Maturity 2.215%; Moody AAA; Issued 11/15/14; Asset Class: FI & PrefUNITED STATES TREASURY BOND Coupon Rate 2.500%; Matures 02/15/2045; CUSIP 912810RK6

6/23/16 1,000,000.000 99.39499.394

105.609 993,937.50993,937.50 1,056,090.00 62,152.50 ST

25,000.001,086.95

2.36

Int. Semi-Annually Feb/Aug 15; Yield to Maturity 2.233%; Moody AAA; Issued 02/15/15; Asset Class: FI & PrefUNITED STATES TREASURY BOND Coupon Rate 2.500%; Matures 05/15/2046; CUSIP 912810RS9

6/23/16 1,000,000.000 99.30099.300

105.840 993,000.00993,000.00 1,058,400.00 65,400.00 ST

25,000.007,336.95

2.36

Int. Semi-Annually May/Nov 15; Yield to Maturity 2.230%; Moody AAA; Issued 05/15/16; Asset Class: FI & PrefTREASURY SECURITIES 30,532,000.000 $26,040,701.89

$27,582,994.75 $29,313,732.82 $411,707.52$539,265.35

LTST

$425,723.00$60,974.05

1.45%

FEDERAL AGENCIES





CurrentYield %

FHLMC 15 YR GOLD E01251 Coupon Rate 5.500%; Matures 11/01/2017; CUSIP 31294KL86

5/24/12 5,000,000.000 $107.870$107.870

$101.909 $34,557.20$26,401.07 $24,942.12 $(1,458.95) LT A

$1,346.00$112.17

5.39

Interest Paid Monthly Nov 01; Yield to Maturity 3.807%; Factor .00489498; Issued 11/01/02; Current Face 24,474.900; Asset Class: FI & PrefFHLMC REMIC SERIES 2613 H Coupon Rate 4.500%; Matures 05/15/2018; CUSIP 31393REN6

3/28/12 45,000.000 106.500106.500

102.279 7,260.015,987.00 5,749.71 (237.29) LT A

253.0021.08

4.40

Interest Paid Monthly Aug 15; Yield to Maturity 3.115%; Factor .12492440; Issued 05/01/03; Current Face 5,621.598; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 725432 Coupon Rate 7.000%; Matures 11/01/2018; CUSIP 31402C4R0

8/22/13 4,750,000.000 106.250106.250

101.341 6,447.603,753.92 3,580.47 (173.45) LT A

247.0020.60

6.89

Interest Paid Monthly Apr 01; Yield to Maturity 6.322%; Factor .00074381; Issued 04/01/04; Current Face 3,533.098; Asset Class: FI & PrefFHLMC 15 YR GOLD E01603 Coupon Rate 5.000%; Matures 03/01/2019; CUSIP 31294KX83

3/5/12 1,000,000.000 107.620107.620

102.848 28,934.0424,878.43 23,775.28 (1,103.15) LT A

1,156.0096.32

4.86

Interest Paid Monthly Mar 01; Yield to Maturity 3.795%; Factor .02311692; Issued 03/01/04; Current Face 23,116.920; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FEDERAL NATIONAL MTG ASSN POOL 761326 Coupon Rate 5.000%; Matures 04/01/2019; CUSIP 31403XYX7

7/9/12 450,000.000 108.560108.560

103.268 20,371.6317,405.14 16,556.68 (848.46) LT A

802.0066.80

4.84

Interest Paid Monthly Apr 01; Yield to Maturity 3.661%; Factor .03562831; Issued 04/01/04; Current Face 16,032.740; Asset Class: FI & PrefFED NATL MTG ASSN Zero Coupon; Matures 10/09/2019; CUSIP 313586RC5

9/9/14 200,000.000 88.74892.480

95.817 177,495.25184,960.06 191,634.00 6,673.94 LT A

— —

S&P AA-; Issued 10/09/84; Asset Class: FI & PrefRESOLUTION FDG CORP INT PMT Zero Coupon; Matures 10/15/2019; CUSIP 76116FAA5

3/31/15 500,000.000 93.06595.176

96.524 465,323.05475,882.04 482,620.00 6,737.96 LT A

— —

Issued 10/15/89; Asset Class: FI & PrefFNMA REMIC TRUST 2010-M3 A3 Coupon Rate 4.332%; Matures 03/25/2020; CUSIP 31398M6U5

12/15/11 230,000.000 111.280111.280

107.798 239,493.70234,356.62 227,023.50 (7,333.12) LT A

9,123.00760.26

4.01

Interest Paid Monthly Aug 25; Yield to Maturity 2.053%; Floater; Factor .91565586; Issued 04/01/10; Current Face 210,600.848; Asset Class: FI & PrefFEDL NATL MTG ASSOC 10 YR POOL MA0419 Coupon Rate 4.500%; Matures 05/01/2020; CUSIP 31417YPD3

12/20/11 500,000.000 106.620106.620

102.579 75,091.7066,410.75 63,893.71 (2,517.04) LT A

2,803.00233.57

4.38

Interest Paid Monthly Apr 01; Yield to Maturity 3.739%; Factor .12457465; Issued 04/01/10; Current Face 62,287.325; Asset Class: FI & PrefFEDERAL NATIONAL MORTGAGE ASSOC RELOCATION LOAN839226 Coupon Rate 4.000%; Matures 09/01/2020; CUSIP 31407SLF7

12/15/11 880,000.000 103.560103.560

102.632 18,599.8517,234.90 17,080.45 (154.45) LT A

666.0055.47

3.89

Interest Paid Monthly Sep 01; Yield to Maturity 3.292%; Factor .01891185; Issued 09/01/05; Current Face 16,642.428; Asset Class: FI & PrefRESOLUTION FDG CORP INT PMT Zero Coupon; Matures 10/15/2020; CUSIP 76116FAE7

3/31/15

6/10/16

574,000.000

226,000.000

90.50292.84294.26094.542

94.774

94.774

519,483.03532,914.74213,027.60213,664.11

544,002.76

214,189.24

11,088.02

525.13

LT

ST

A

ATotal 800,000.000 732,510.63

746,578.85 758,192.00 11,088.02525.13

LTST

— —

Issued 10/15/90; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 889069 Coupon Rate 5.500%; Matures 01/01/2021; CUSIP 31410GW66

2/21/12 1,500,000.000 108.810108.810

103.313 75,307.8761,724.35 58,606.08 (3,118.27) LT A

3,120.00259.99

5.32

Interest Paid Monthly Jan 01; Yield to Maturity 4.645%; Factor .03781782; Issued 01/01/08; Current Face 56,726.730; Asset Class: FI & PrefFHLMC 15 YR GOLD G11989 Coupon Rate 5.500%; Matures 04/01/2021; CUSIP 3128M1C23

6/4/12 1,765,000.000 109.240109.240

106.341 82,582.0673,789.89 71,831.66 (1,958.23) LT A

3,715.00309.59

5.17

Interest Paid Monthly Apr 01; Yield to Maturity 3.972%; Factor .03827106; Issued 04/01/06; Current Face 67,548.421; Asset Class: FI & PrefFHLMC 15 YR GOLD G12319 Coupon Rate 5.000%; Matures 06/01/2021; CUSIP 3128M1PC7

2/27/12 719,000.000 108.000108.000

106.373 37,174.4133,997.56 33,485.39 (512.17) LT A

1,574.00131.16

4.70

Interest Paid Monthly Aug 01; Yield to Maturity 3.530%; Factor .04378195; Issued 08/01/06; Current Face 31,479.222; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FHLMC 15 YR GOLD G12317 Coupon Rate 5.500%; Matures 08/01/2021; CUSIP 3128M1PA1

6/11/13 2,200,000.000 108.000108.000

107.231 89,658.7882,458.75 81,871.61 (587.14) LT A

4,199.00349.94

5.12

Interest Paid Monthly Aug 01; Yield to Maturity 3.870%; Factor .03470486; Issued 08/01/06; Current Face 76,350.692; Asset Class: FI & PrefFHLMC 15 YR GOLD G13621 Coupon Rate 6.500%; Matures 08/01/2021; CUSIP 3128MCG66

2/21/12 170,000.000 108.280108.280

101.379 3,508.751,992.99 1,865.97 (127.02) LT A

120.009.96

6.43

Interest Paid Monthly Jul 01; Yield to Maturity 6.169%; Factor .01082702; Issued 07/01/09; Current Face 1,840.593; Asset Class: FI & PrefFNMA 7 YR BALLOON AM6602 Coupon Rate 2.630%; Matures 09/01/2021; CUSIP 3138L7KQ8

— 250,000.000 ——


6,575.00547.91

2.51

Interest Paid Monthly Sep 01; Yield to Maturity 1.647%; Issued 09/01/14; Asset Class: FI & PrefFHLMC 15 YR GOLD G13481 Coupon Rate 5.500%; Matures 12/01/2021; CUSIP 3128MCCS2

2/9/12 1,139,997.000 109.180109.180

106.564 81,231.3173,449.78 71,689.89 (1,759.89) LT A

3,700.00308.33

5.16

Interest Paid Monthly Feb 01; Yield to Maturity 4.096%; Factor .05901246; Issued 02/01/09; Current Face 67,274.027; Asset Class: FI & PrefFHLMC 30 YR GOLD G12674 Coupon Rate 5.000%; Matures 12/01/2021; CUSIP 3128MBFP7

2/16/12 2,000,000.000 107.840107.840

105.206 122,160.64111,501.86 108,778.41 (2,723.45) LT A

5,170.00430.81

4.75

Interest Paid Monthly Apr 01; Yield to Maturity 3.893%; Factor .05169782; Issued 04/01/07; Current Face 103,395.640; Asset Class: FI & PrefFED HOME LN BK Coupon Rate 1.950%; Matures 02/28/2022; CUSIP 313382CK7

6/14/13 200,000.000 97.64997.649

102.841 195,297.88195,297.88 205,682.00 10,384.12 LT A

3,900.0032.49

1.89

Int. Semi-Annually Feb/Aug 28; Yield to Maturity 1.411%; Moody AAA S&P AA+; Issued 02/28/13; Asset Class: FI & PrefFNMA 7 YR BALLOON 470622 Coupon Rate 2.750%; Matures 03/01/2022; CUSIP 31381TYT1

1/30/12 500,000.000 100.710100.710

105.012 465,313.13464,424.02 484,262.68 19,838.66 LT A

12,682.001,056.80

2.61

Interest Paid Monthly Mar 01; Yield to Maturity 1.789%; Factor .92229971; Issued 03/01/12; Current Face 461,149.855; Asset Class: FI & PrefFNMA 7 YR BALLOON 471881 Coupon Rate 2.670%; Matures 07/01/2022; CUSIP 31381VFW0

6/8/12 250,000.000 100.060100.060

104.530 250,150.00250,150.00 261,325.00 11,175.00 LT A

6,675.00556.24

2.55

Interest Paid Monthly Jul 01; Yield to Maturity 1.847%; Issued 07/01/12; Asset Class: FI & PrefFHLMC 10 YR GOLD C90580 Coupon Rate 6.000%; Matures 09/01/2022; CUSIP 31335HUD3

4/13/12 8,337,552.000 112.120112.120

113.745 116,028.17106,163.62 107,702.28 1,538.66 LT A

5,681.00473.43

5.27

Interest Paid Monthly Sep 01; Yield to Maturity 3.445%; Factor .01135675; Issued 09/01/02; Current Face 94,687.494; Asset Class: FI & PrefFED HOME LN BK Coupon Rate 2.250%; Matures 09/09/2022; CUSIP 3130A6AP2

9/9/15 1,000,000.000 99.95799.957

104.231 999,566.00999,566.00 1,042,310.00 42,744.00 ST

22,500.0010,750.00

2.15

Int. Semi-Annually Mar/Sep 09; Yield to Maturity 1.512%; Moody AAA S&P AA+; Issued 08/10/15; Asset Class: FI & PrefFHLMC 20 YR GOLD C90584 Coupon Rate 5.500%; Matures 10/01/2022; CUSIP 31335HUH4

4/5/12 4,000,000.000 110.120110.120

111.703 55,576.0651,121.98 51,856.86 734.88 LT A

2,553.00212.77

4.92

Interest Paid Monthly Oct 01; Yield to Maturity 3.357%; Factor .01160597; Issued 10/01/02; Current Face 46,423.880; Asset Class: FI & PrefFED FARM CR BK Coupon Rate 1.930%; Matures 10/18/2022; CUSIP 3133EA5E4

8/15/14 80,000.000 95.12295.122

101.921 76,097.7076,097.70 81,536.80 5,439.10 LT A

1,544.00570.42

1.89

Int. Semi-Annually Apr/Oct 18; Yield to Maturity 1.600%; Moody AAA S&P AA+; Issued 10/18/12; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FHR 2520 LL Coupon Rate 5.500%; Matures 11/15/2022; CUSIP 31392XWV6

7/5/12 15,000.000 108.120108.120

109.478 16,218.0016,218.00 16,421.70 203.70 LT A

825.0068.74

5.02

Interest Paid Monthly Aug 15; Yield to Maturity 3.772%; Lottery Bond; Moody AAA; Issued 11/01/02; Asset Class: FI & PrefFHLMC 15 YR GOLD G12987 Coupon Rate 5.500%; Matures 02/01/2023; CUSIP 3128MBRG4

7/9/12 1,420,000.000 109.280109.280

108.432 73,187.5466,990.19 66,470.34 (519.85) LT A

3,372.00280.96

5.07

Interest Paid Monthly Jan 01; Yield to Maturity 3.996%; Factor .04317001; Issued 01/01/08; Current Face 61,301.414; Asset Class: FI & PrefFHLMC 20 YR GOLD C90651 Coupon Rate 6.000%; Matures 02/01/2023; CUSIP 31335HWL3

6/8/12 4,884,272.000 110.400110.400

113.745 140,116.91127,477.70 131,340.13 3,862.43 LT A

6,928.00577.34

5.27

Interest Paid Monthly Feb 01; Yield to Maturity 3.583%; Factor .02364097; Issued 02/01/03; Current Face 115,468.928; Asset Class: FI & PrefFHLMC REMIC SERIES 3416 BJ Coupon Rate 4.000%; Matures 02/15/2023; CUSIP 31397RC46

2/14/14 200,000.000 104.750104.750

104.161 11,164.6410,381.83 10,323.45 (58.38) LT A

396.0033.03

3.83

Interest Paid Monthly Aug 15; Yield to Maturity 3.279%; Factor .04955528; Issued 02/01/08; Current Face 9,911.056; Asset Class: FI & PrefFHLMC REMIC SERIES K-029 A-2 Coupon Rate 3.320%; Matures 02/25/2023; CUSIP 3137B36J2

7/11/13 51,000.000 98.70098.700

109.231 50,337.0050,337.00 55,707.81 5,370.81 LT A

1,693.00141.09

3.03

Interest Paid Monthly Aug 25; Yield to Maturity 1.805%; Floater; Issued 07/01/13; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 254688 Coupon Rate 5.500%; Matures 03/01/2023; CUSIP 31371K2V2

12/10/12 1,000,000.000 110.090110.090

112.396 29,590.9827,391.99 27,965.75 573.76 LT A

1,368.00114.03

4.89

Interest Paid Monthly Feb 01; Yield to Maturity 3.361%; Factor .02488145; Issued 02/01/03; Current Face 24,881.450; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 254690 Coupon Rate 5.500%; Matures 04/01/2023; CUSIP 31371K2X8

1/30/12 4,000,000.000 109.500109.500

112.409 131,601.63122,640.70 125,898.79 3,258.09 LT A

6,160.00513.33

4.89

Interest Paid Monthly Mar 01; Yield to Maturity 3.381%; Factor .02800016; Issued 03/01/03; Current Face 112,000.640; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL AD0364 Coupon Rate 5.000%; Matures 05/01/2023; CUSIP 31418MMN9

3/28/12 1,000,000.000 108.250108.250

106.391 85,767.2777,405.03 76,075.73 (1,329.30) LT A

3,575.00297.94

4.69

Interest Paid Monthly Oct 01; Yield to Maturity 3.901%; Factor .07150580; Issued 10/01/09; Current Face 71,505.800; Asset Class: FI & PrefFNMA REMIC TRUST 2003-34 BC Coupon Rate 5.500%; Matures 05/25/2023; CUSIP 31393CEX7

2/9/12 500,000.000 111.250111.250

109.595 191,750.28167,042.19 164,557.19 (2,485.00) LT A

8,258.00688.18

5.01

Interest Paid Monthly Aug 25; Yield to Maturity 3.866%; Factor .30030056; Issued 04/01/03; Current Face 150,150.280; Asset Class: FI & PrefFED HOME LN BK Coupon Rate 2.500%; Matures 05/30/2023; CUSIP 3133833R0

8/15/14 200,000.000 99.81299.812

105.260 199,623.25199,623.25 210,520.00 10,896.75 LT A

5,000.001,250.00

2.37

Int. Semi-Annually May/Nov 30; Yield to Maturity 1.672%; Moody AAA S&P AA+; Issued 05/30/13; Asset Class: FI & PrefFED HOME LN BK Coupon Rate 2.125%; Matures 06/09/2023; CUSIP 3133834G3

9/9/15 1,000,000.000 98.23998.239

103.628 982,386.00982,386.00 1,036,280.00 53,894.00 ST

21,250.004,840.27

2.05

Int. Semi-Annually Jun/Dec 09; Yield to Maturity 1.558%; Moody AAA S&P AA+; Issued 05/09/13; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 254799 Coupon Rate 5.000%; Matures 07/01/2023; CUSIP 31371K7L9

3/7/13 1,000,000.000 109.120109.120

110.645 46,542.0543,480.81 44,088.46 607.65 LT A

1,992.00166.02

4.51

Interest Paid Monthly Jun 01; Yield to Maturity 3.250%; Factor .03984678; Issued 06/01/03; Current Face 39,846.780; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FHLMC 20 YR GOLD C90691 Coupon Rate 5.500%; Matures 07/01/2023; CUSIP 31335HXU2

4/5/12 2,000,000.000 110.150110.150

111.756 98,804.7491,748.08 93,085.77 1,337.69 LT A

4,581.00381.76

4.92

Interest Paid Monthly Jul 01; Yield to Maturity 3.547%; Factor .04164688; Issued 07/01/03; Current Face 83,293.760; Asset Class: FI & PrefFEDERAL HOME LO 1543 VN Coupon Rate 7.000%; Matures 07/15/2023; CUSIP 312916Z44

2/21/12 75,000.000 114.370114.370

110.863 20,245.0518,443.81 17,878.25 (565.56) LT A

1,129.0094.07

6.31

Interest Paid Monthly Aug 15; Yield to Maturity 5.105%; Factor .21501920; Issued 07/01/93; Current Face 16,126.440; Asset Class: FI & PrefFED NATL MTG ASSN Coupon Rate 2.125%; Matures 10/30/2023; CUSIP 3136G0X97

8/15/14 200,000.000 96.49696.496

103.217 192,991.25192,991.25 206,434.00 13,442.75 LT A

4,250.001,416.66

2.05

Int. Semi-Annually Apr/Oct 30; Yield to Maturity 1.647%; Moody AAA S&P AA+; Issued 10/30/12; Asset Class: FI & PrefFED FARM CR BK Coupon Rate 2.130%; Matures 11/09/2023; CUSIP 3133EC2C7

8/15/14 200,000.000 96.18296.182

103.027 192,363.36192,363.36 206,054.00 13,690.64 LT A

4,260.001,325.33

2.06

Int. Semi-Annually May/Nov 09; Yield to Maturity 1.681%; Moody AAA S&P AA+; Issued 11/09/12; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 995264 Coupon Rate 6.500%; Matures 12/01/2023; CUSIP 31416BTV0

10/2/13 400,000.000 111.120111.120

111.076 47,552.5343,427.63 43,410.42 (17.21) LT A

2,540.00211.69

5.85

Interest Paid Monthly Dec 01; Yield to Maturity 4.679%; Factor .09770434; Issued 12/01/08; Current Face 39,081.736; Asset Class: FI & PrefFHLMC SERIES 1643 PK Coupon Rate 6.500%; Matures 12/15/2023; CUSIP 3133T2YT1

3/5/12 80,000.000 110.500110.500

109.609 11,182.2110,013.55 9,932.80 (80.75) LT A

589.0049.08

5.92

Interest Paid Monthly Aug 15; Yield to Maturity 4.914%; Factor .11327541; Issued 12/01/93; Current Face 9,062.033; Asset Class: FI & PrefFANNIE MAE REMI1994-3 PL OID Coupon Rate 5.500%; Matures 01/25/2024; CUSIP 31359F5S3

4/12/12 535,000.000 111.030111.030

108.175 126,216.04112,863.46 109,961.31 (2,902.15) LT A

5,591.00465.90

5.08

Interest Paid Monthly Aug 25; Yield to Maturity 4.202%; Factor .19000246; Issued 01/01/94; Current Face 101,651.316; Asset Class: FI & PrefFHLMC SERIES K-037 A-2 Coupon Rate 3.490%; Matures 01/25/2024; CUSIP 3137B7YY9

10/9/14 125,000.000 105.780105.780

110.717 132,225.00132,225.00 138,396.25 6,171.25 LT A

4,363.00363.54

3.15

Interest Paid Monthly Aug 25; Yield to Maturity 1.929%; S&P AAA; Issued 03/01/14; Asset Class: FI & PrefFHR 2756 NA Coupon Rate 5.000%; Matures 02/15/2024; CUSIP 31394PXG3

3/29/12 125,000.000 108.000108.000

108.500 18,746.4317,651.35 17,733.07 81.72 LT A

817.0068.09

4.60

Interest Paid Monthly Aug 15; Yield to Maturity 3.685%; Factor .13075077; Issued 02/01/04; Current Face 16,343.846; Asset Class: FI & PrefFED FARM CR BK Coupon Rate 2.330%; Matures 02/21/2024; CUSIP 3133ECG73

8/15/14 200,000.000 97.32697.326

103.937 194,651.25194,651.25 207,874.00 13,222.75 LT A

4,660.00129.44

2.24

Int. Semi-Annually Feb/Aug 21; Yield to Maturity 1.765%; Moody AAA S&P AA+; Issued 02/21/13; Asset Class: FI & PrefFED FARM CR BK

Coupon Rate 2.350%; Matures 08/14/2024; CUSIP 3133EAJ90

8/27/15

9/9/15

1,000,000.000

1,000,000.000

97.99397.99397.85997.859

104.199

104.199

979,926.00979,926.00978,586.00978,586.00

1,041,990.00

1,041,990.00

62,064.00

63,404.00

LT

ST

Total 2,000,000.000 1,958,512.00

1,958,512.00 2,083,980.00 62,064.0063,404.00

LTST

47,000.002,219.44

2.25

Account Detail




of 100





CurrentYield %

Int. Semi-Annually Feb/Aug 14; Yield to Maturity 1.781%; S&P AA+; Issued 08/14/12; Asset Class: FI & PrefFHLMC REMIC SERIES 2835 HB Coupon Rate 5.500%; Matures 08/15/2024; CUSIP 31395EYP6

12/28/12 156,000.000 110.000110.000

108.659 37,429.0734,967.36 34,541.07 (426.29) LT A

1,748.00145.69

5.06

Interest Paid Monthly Aug 15; Yield to Maturity 4.208%; Factor .20377247; Issued 08/01/04; Current Face 31,788.505; Asset Class: FI & PrefFHLMC REMIC SERIES 2862 GB Coupon Rate 5.000%; Matures 09/15/2024; CUSIP 31395FLE2

2/28/12 300,000.000 109.110109.110

107.989 62,000.0557,568.98 56,977.51 (591.47) LT A

2,638.00219.84

4.62

Interest Paid Monthly Aug 15; Yield to Maturity 3.835%; Factor .17587445; Issued 09/01/04; Current Face 52,762.335; Asset Class: FI & PrefFHLMC REMIC SERIES 3575 EB Coupon Rate 4.000%; Matures 09/15/2024; CUSIP 31398JUA9

6/25/13 200,000.000 104.870104.870

105.961 135,650.80127,781.30 129,110.65 1,329.35 LT A

4,874.00406.15

3.77

Interest Paid Monthly Aug 15; Yield to Maturity 3.154%; Factor .60923667; Issued 09/01/09; Current Face 121,847.334; Asset Class: FI & PrefFANNIE MAE 2004 95 AK Coupon Rate 5.500%; Matures 01/25/2025; CUSIP 31394BY73

6/26/12 160,000.000 110.870110.870

110.839 62,227.1957,085.83 57,069.86 (15.97) LT A

2,832.00235.99

4.96

Interest Paid Monthly Aug 25; Yield to Maturity 3.969%; Factor .32180612; Issued 12/01/04; Current Face 51,488.979; Asset Class: FI & PrefFED FARM CR BK Coupon Rate 2.440%; Matures 02/12/2025; CUSIP 3133ECF82

8/25/15 1,000,000.000 98.88998.889

104.227 988,886.00988,886.00 1,042,270.00 53,384.00 LT

24,400.001,287.77

2.34

Int. Semi-Annually Feb/Aug 12; Yield to Maturity 1.896%; Moody AAA S&P AA+; Issued 02/12/13; Asset Class: FI & PrefFHLMC 20 YR GOLD C90893 Coupon Rate 5.500%; Matures 04/01/2025; CUSIP 31335H7E7

3/5/12 1,500,000.000 110.060110.060

111.779 118,649.78112,602.84 114,361.55 1,758.71 LT A

5,627.00468.92

4.92

Interest Paid Monthly Apr 01; Yield to Maturity 3.873%; Factor .06820694; Issued 04/01/05; Current Face 102,310.410; Asset Class: FI & PrefFED FARM CR BK

Coupon Rate 2.680%; Matures 05/13/2025; CUSIP 3133EEK74

8/27/15

9/10/15

1,000,000.000

1,000,000.000

99.99599.99599.77299.772

106.050

106.050

999,946.00999,946.00997,716.00997,716.00

1,060,500.00

1,060,500.00

60,554.00

62,784.00

LT

ST

Total 2,000,000.000 1,997,662.00

1,997,662.00 2,121,000.00 60,554.0062,784.00

LTST

53,600.0016,080.00

2.52

Int. Semi-Annually May/Nov 13; Yield to Maturity 1.921%; Moody AAA S&P AA+; Issued 05/13/15; Asset Class: FI & PrefFHLMC REMIC SERIES 3672 DB

Coupon Rate 4.000%; Matures 05/15/2025; CUSIP 31398QE52

3/27/12

4/26/12

75,000.000

50,000.000

106.000106.000106.000106.000

106.140

106.140

59,012.8155,951.9539,341.8637,301.30

56,025.85

37,350.56

73.90

49.26

LT

LT

A

ATotal 125,000.000 98,354.67

93,253.25 93,376.42 123.16 LT3,519.00

293.243.76


Account Detail




of 100





CurrentYield %

FHLMC 20 YR GOLD G30301

Coupon Rate 5.500%; Matures 06/01/2025; CUSIP 3128CUKN5

6/1/12

6/4/12

480,000.000

550,000.000

109.710109.710109.560109.560

111.733

111.733

71,490.5168,118.3881,762.0177,945.59

69,374.45

79,491.55

1,256.07

1,545.96

LT

LT

A

ATotal 1,030,000.000 153,252.52

146,063.97 148,866.00 2,802.03 LT7,328.00

610.654.92

Interest Paid Monthly Sep 01; Yield to Maturity 3.903%; Factor .12935310; Issued 09/01/06; Current Face 133,233.693; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL AE0096 Coupon Rate 5.500%; Matures 07/01/2025; CUSIP 31419ADA2

7/6/12 570,000.000 110.530110.530

112.386 103,831.8896,532.79 98,153.75 1,620.96 LT A

4,803.00400.29

4.89

Interest Paid Monthly Jun 01; Yield to Maturity 3.833%; Factor .15322155; Issued 06/01/10; Current Face 87,336.284; Asset Class: FI & PrefFED FARM CR BK

Coupon Rate 2.470%; Matures 09/30/2025; CUSIP 3133EEF47

6/23/15

8/25/15

210,000.000

1,000,000.000

96.44496.44498.43198.431

103.987

103.987

202,532.10202,532.10984,306.00984,306.00

218,372.70

1,039,870.00

15,840.60

55,564.00

LT

LT

Total 1,210,000.000 1,186,838.10

1,186,838.10 1,258,242.70 71,404.60 LT29,887.0012,452.91

2.37

Int. Semi-Annually Mar/Sep 30; Yield to Maturity 1.988%; Moody AAA S&P AA+; Issued 04/30/15; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 255935 Coupon Rate 5.000%; Matures 11/01/2025; CUSIP 31371MHL4

6/26/12 350,000.000 108.750108.750

110.645 21,411.1219,828.52 20,174.03 345.51 LT A

912.0075.97

4.52

Interest Paid Monthly Oct 01; Yield to Maturity 3.624%; Factor .05209463; Issued 10/01/05; Current Face 18,233.120; Asset Class: FI & PrefFHLMC REMIC SERIES 3885 AC Coupon Rate 4.000%; Matures 06/15/2026; CUSIP 3137ABST9

1/6/12 500,000.000 107.960107.960

106.018 539,800.00539,800.00 530,090.00 (9,710.00) LT A

20,000.001,666.66

3.77

Interest Paid Monthly Aug 15; Yield to Maturity 3.276%; Issued 06/01/11; Asset Class: FI & PrefFHLMC 30 YR GOLD C90982 Coupon Rate 5.500%; Matures 07/01/2026; CUSIP 3128P7CT8

4/10/12 610,000.000 109.530109.530

111.712 46,136.8842,905.58 43,760.31 854.73 LT A

2,154.00179.54

4.92

Interest Paid Monthly Jul 01; Yield to Maturity 4.044%; Factor .06421712; Issued 07/01/06; Current Face 39,172.443; Asset Class: FI & PrefFHLMC REMIC SERIES 3188 GE Coupon Rate 6.000%; Matures 07/15/2026; CUSIP 31396UNR7

7/8/13 75,000.000 108.310108.310

113.722 38,409.5736,548.24 38,374.47 1,826.23 LT A

2,025.00168.72

5.27

Interest Paid Monthly Aug 15; Yield to Maturity 4.280%; Factor .44992141; Issued 07/01/06; Current Face 33,744.106; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 256351 Coupon Rate 6.000%; Matures 08/01/2026; CUSIP 31371MWL7

8/15/12

9/7/12

1,166,000.000

500,000.000

111.150111.150110.930110.930

114.347

114.347

69,825.0164,637.7129,855.6527,662.85

66,496.87

28,514.95

1,859.16

852.10

LT

LT

A

ATotal 1,666,000.000 99,680.66

92,300.56 95,011.83 2,711.26 LT4,985.00

415.455.24

Interest Paid Monthly Jul 01; Yield to Maturity 4.214%; Factor .04987443; Issued 07/01/06; Current Face 83,090.800; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FEDERAL NATIONAL MTG ASSN POOL 888079 Coupon Rate 6.500%; Matures 10/01/2026; CUSIP 31410FUC7

5/24/12 748,926.000 113.340113.340

115.212 64,507.9860,655.86 61,657.69 1,001.83 LT A

3,479.00289.88

5.64

Interest Paid Monthly Dec 01; Yield to Maturity 4.597%; Factor .07145797; Issued 12/01/06; Current Face 53,516.732; Asset Class: FI & PrefFHLMC 20 YR GOLD C91007 Coupon Rate 5.500%; Matures 12/01/2026; CUSIP 3128P7DL4

4/19/12 1,140,000.000 109.620109.620

111.703 59,307.8053,848.02 54,871.23 1,023.21 LT A

2,702.00225.14

4.92

Interest Paid Monthly Dec 01; Yield to Maturity 4.090%; Factor .04308986; Issued 12/01/06; Current Face 49,122.440; Asset Class: FI & PrefFANNIE MAE REMI1997-22 PC Coupon Rate 4.500%; Matures 03/18/2027; CUSIP 31359N5F4

6/8/12 1,151,000.000 110.620110.620

107.666 202,982.49193,433.79 188,268.32 (5,165.47) LT A

7,869.00655.73

4.17

Interest Paid Monthly Aug 18; Yield to Maturity 3.619%; Factor .15192294; Issued 03/01/97; Current Face 174,863.304; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 256751 Coupon Rate 5.500%; Matures 06/01/2027; CUSIP 31371NEY7

6/19/12 750,000.000 109.210109.210

112.366 42,679.7739,587.51 40,731.52 1,144.01 LT A

1,994.00166.14

4.89

Interest Paid Monthly May 01; Yield to Maturity 4.068%; Factor .04833197; Issued 05/01/07; Current Face 36,248.978; Asset Class: FI & PrefFHLMC 20 YR GOLD C91065 Coupon Rate 6.000%; Matures 07/01/2027; CUSIP 3128P7FE8

7/17/12 250,000.000 109.500109.500

113.804 17,914.5116,874.19 17,537.44 663.25 LT A

925.0077.05

5.27

Interest Paid Monthly Jul 01; Yield to Maturity 4.385%; Factor .06164088; Issued 07/01/07; Current Face 15,410.220; Asset Class: FI & PrefFHLMC REMIC SERIES 4100 DA Coupon Rate 1.500%; Matures 08/15/2027; CUSIP 3137ASXW9

9/11/12 1,062,734.000 100.620100.620

99.456 731,279.35553,732.86 547,327.12 (6,405.74) LT A

8,255.00687.90

1.50

Interest Paid Monthly Aug 15; Yield to Maturity 1.554%; Factor .51783501; Issued 08/01/12; Current Face 550,320.872; Asset Class: FI & PrefFNMA REMIC TRUST 2012-102 BJ Coupon Rate 1.500%; Matures 09/25/2027; CUSIP 3136A8SX9

9/11/12 1,250,000.000 100.590100.590

99.510 812,566.83640,858.03 633,977.36 (6,880.67) LT A

9,556.00796.37

1.50

Interest Paid Monthly Aug 25; Yield to Maturity 1.548%; Factor .50967932; Issued 08/01/12; Current Face 637,099.150; Asset Class: FI & PrefFHLMC 20 YR GOLD C91116 Coupon Rate 6.000%; Matures 11/01/2027; CUSIP 3128P7GZ0

3/8/12 1,500,000.000 109.930109.930

113.807 92,860.1587,634.49 90,725.17 3,090.68 LT A

4,783.00398.59

5.27

Interest Paid Monthly Nov 01; Yield to Maturity 4.419%; Factor .05314563; Issued 11/01/07; Current Face 79,718.445; Asset Class: FI & PrefFHLMC 20 YR GOLD G30458 Coupon Rate 6.000%; Matures 12/01/2027; CUSIP 3128CUQK5

2/28/12 299,858.000 111.060111.060

113.790 38,519.7535,819.87 36,700.37 880.50 LT A

1,935.00161.26

5.27

Interest Paid Monthly Oct 01; Yield to Maturity 4.429%; Factor .10755998; Issued 10/01/09; Current Face 32,252.720; Asset Class: FI & PrefFHLMC 20 YR GOLD C91148 Coupon Rate 5.500%; Matures 01/01/2028; CUSIP 3128P7HZ9

5/8/12 1,500,000.000 109.900109.900

111.744 80,598.6674,885.85 76,142.35 1,256.50 LT A

3,748.00312.30

4.92

Interest Paid Monthly Jan 01; Yield to Maturity 4.187%; Factor .04542666; Issued 01/01/08; Current Face 68,139.990; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 257125 Coupon Rate 5.500%; Matures 03/01/2028; CUSIP 31371NSN6

2/24/12 1,000,000.000 109.310109.310

112.435 59,205.1954,898.41 56,467.87 1,569.46 LT A

2,762.00230.18

4.89

Interest Paid Monthly Feb 01; Yield to Maturity 4.131%; Factor .05022268; Issued 02/01/08; Current Face 50,222.680; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 257126 Coupon Rate 6.000%; Matures 03/01/2028; CUSIP 31371NSP1

6/14/13 1,000,000.000 109.430109.430

114.356 107,336.25101,822.78 106,406.33 4,583.55 LT A

5,583.00465.24

5.24

Interest Paid Monthly Feb 01; Yield to Maturity 4.396%; Factor .09304832; Issued 02/01/08; Current Face 93,048.320; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FED FARM CR BK Coupon Rate 2.400%; Matures 05/11/2028; CUSIP 3133EF7G6

5/5/16 1,225,000.000 100.500100.489

101.660 1,231,131.001,230,993.74 1,245,335.00 14,341.26 ST

29,400.008,983.33

2.36

Int. Semi-Annually May/Nov 11; Yield to Maturity 2.238%; First Coupon 11/11/16; Moody AAA S&P AA+; Issued 05/11/16; Asset Class: FI & PrefFHLMC REMIC SERIES 2116 ZA Coupon Rate 6.000%; Matures 01/15/2029; CUSIP 3133THTM9

4/16/12 915,000.000 112.340112.340

112.636 115,846.29107,637.95 107,921.55 283.60 LT A

5,749.00479.07

5.32

Interest Paid Monthly Aug 15; Yield to Maturity 4.645%; Factor .10471524; Issued 01/01/99; Current Face 95,814.445; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 995954 Coupon Rate 6.000%; Matures 03/01/2029; CUSIP 31416CMB9

1/3/13 5,000,000.000 109.650109.650

114.356 425,006.62399,329.62 416,468.19 17,138.57 LT A

21,851.001,820.92

5.24

Interest Paid Monthly Jul 01; Yield to Maturity 4.487%; Factor .07283714; Issued 07/01/09; Current Face 364,185.700; Asset Class: FI & PrefFHLMC REMIC SERIES 2135 JZ Coupon Rate 6.000%; Matures 03/15/2029; CUSIP 3133TJWM1

5/9/12 390,000.000 112.930112.930

109.141 49,051.4045,611.75 44,081.39 (1,530.36) LT A

2,423.00201.94

5.49

Interest Paid Monthly Aug 15; Yield to Maturity 5.009%; Factor .10356257; Issued 03/01/99; Current Face 40,389.402; Asset Class: FI & PrefFHLMC REMIC SERIES 2154 PL Coupon Rate 6.500%; Matures 05/15/2029; CUSIP 3133TKW48

4/19/12 990,000.000 115.620115.620

115.296 94,396.8087,854.56 87,608.36 (246.20) LT A

4,939.009,624.84

5.63

Interest Paid Monthly Sep 15; Yield to Maturity 4.870%; First Coupon 06/15/19; Factor .07675314; Issued 05/01/99; Current Face 75,985.609; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL MA0156 Coupon Rate 5.000%; Matures 08/01/2029; CUSIP 31417YE60

2/28/12 187,000.000 108.460108.460

110.913 44,919.7041,620.93 42,562.25 941.32 LT A

1,919.00159.89

4.50

Interest Paid Monthly Jul 01; Yield to Maturity 3.915%; Factor .20521095; Issued 07/01/09; Current Face 38,374.448; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL AD0121 Coupon Rate 4.500%; Matures 09/01/2029; CUSIP 31418MD33

2/24/12 150,000.000 107.000107.000

109.125 31,952.5330,267.16 30,868.26 601.10 LT A

1,273.00106.07

4.12

Interest Paid Monthly Aug 01; Yield to Maturity 3.614%; Factor .18858045; Issued 08/01/09; Current Face 28,287.068; Asset Class: FI & PrefFHLMC REMIC SERIES 2215 PH Coupon Rate 6.500%; Matures 02/15/2030; CUSIP 3133TNHW7

4/10/12 1,000,000.000 114.560114.560

114.718 137,067.09128,224.77 128,401.62 176.85 LT A

7,275.00606.27

5.66

Interest Paid Monthly Aug 15; Yield to Maturity 4.985%; Factor .11192805; Issued 02/01/00; Current Face 111,928.050; Asset Class: FI & PrefFHLMC REMIC SERIES 2218 ZB

Coupon Rate 6.000%; Matures 03/15/2030; CUSIP 3133TNM84

5/29/12

6/12/12

680,000.000

355,000.000

112.620112.620113.000113.000

114.265

114.265

97,392.9691,372.0351,079.3347,862.53

92,706.66

48,398.33

1,334.63

535.80

LT

LT

A

ATotal 1,035,000.000 148,472.29

139,234.56 141,105.00 1,870.43 LT7,409.00

617.445.25

Interest Paid Monthly Aug 15; Yield to Maturity 4.575%; Factor .11931330; Issued 03/01/00; Current Face 123,489.266; Asset Class: FI & PrefRESOLUTION FDG CORP INT PMT Zero Coupon; Matures 04/15/2030; CUSIP 76116FAC1

3/11/16 200,000.000 65.98366.902

71.807 131,966.00133,803.00 143,614.00 9,811.00 ST A

— —

Issued 04/15/90; Asset Class: FI & PrefFED FARM CR BK Coupon Rate 2.470%; Matures 08/15/2030; CUSIP 3133EGQX6

8/4/16 500,000.000 100.001100.001

99.683 500,006.00500,005.98 498,415.00 (1,590.98) ST

12,350.00548.88

2.47

Int. Semi-Annually Feb/Aug 15; Callable $100.00 on 08/15/17; Yield to Maturity 2.497%; First Coupon 02/15/17; Moody AAA S&P AA+; Issued 08/15/16; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FNMA REMIC TRUST 2001-81 HE Coupon Rate 6.500%; Matures 01/25/2032; CUSIP 31392BQR0

11/21/11 15,000,000.000 113.810113.810

115.496 376,755.29340,459.66 345,503.28 5,043.62 LT A

19,445.001,620.38

5.62

Interest Paid Monthly Aug 25; Yield to Maturity 5.041%; Factor .01994316; Issued 12/01/01; Current Face 299,147.400; Asset Class: FI & PrefGNR 2004-42 AC Coupon Rate 6.000%; Matures 03/20/2032; CUSIP 38374G2Y7

5/9/12 350,000.000 109.530109.530

102.653 24,784.7219,728.39 18,489.71 (1,238.68) LT A

1,081.0090.05

5.84

Interest Paid Monthly Aug 20; Yield to Maturity 5.739%; Factor .05146245; Issued 06/01/04; Current Face 18,011.858; Asset Class: FI & PrefGNR 2002 44 JC Coupon Rate 6.000%; Matures 07/20/2032; CUSIP 38373XYB6

5/24/12 30,000.000 113.000113.000

114.765 16,436.5515,102.39 15,338.27 235.88 LT A

802.0066.82

5.22

Interest Paid Monthly Oct 20; Yield to Maturity 4.672%; Factor .44549815; Issued 07/01/02; Current Face 13,364.944; Asset Class: FI & PrefGNR 2002-51 D

Coupon Rate 6.000%; Matures 07/20/2032; CUSIP 38373XX92

2/17/12

6/5/12

231,000.000

170,000.000

112.300112.300113.000113.000

113.258

113.258

28,105.3125,811.7120,852.9819,114.03

26,031.89

19,157.67

220.18

43.64

LT

LT

A

ATotal 401,000.000 48,958.29

44,925.74 45,189.57 263.82 LT2,394.00

199.495.29

Interest Paid Monthly Aug 20; Yield to Maturity 4.797%; Factor .09950044; Issued 07/01/02; Current Face 39,899.676; Asset Class: FI & PrefFHLMC REMIC SERIES 2489 PE Coupon Rate 6.000%; Matures 08/15/2032; CUSIP 31392RYX3

12/28/12 500,000.000 113.310113.310

115.020 56,185.4152,532.36 53,325.14 792.78 LT A

2,782.00231.80

5.21

Interest Paid Monthly Aug 15; Yield to Maturity 4.655%; Factor .09272326; Issued 08/01/02; Current Face 46,361.630; Asset Class: FI & PrefFHLMC 20 YR GOLD U80068 Coupon Rate 3.500%; Matures 10/01/2032; CUSIP 3132G7CD5

2/8/13 500,000.000 107.120107.120

106.799 395,209.05386,195.42 385,038.13 (1,157.29) LT A

12,618.001,051.53

3.27

Interest Paid Monthly Oct 01; Yield to Maturity 2.965%; Factor .72105195; Issued 10/01/12; Current Face 360,525.975; Asset Class: FI & PrefGNR 2002 69 BE

Coupon Rate 5.500%; Matures 10/20/2032; CUSIP 38373VWZ9

4/10/12

5/18/12

193,000.000

50,000.000

113.310113.310113.870113.870

111.587

111.587

164,011.34153,137.7542,763.2639,869.06

150,809.12

39,069.72

(2,328.63)

(799.34)

LT

LT

A

ATotal 243,000.000 206,774.60

193,006.81 189,878.85 (3,127.97) LT9,359.00

779.904.92

Interest Paid Monthly Aug 20; Yield to Maturity 4.483%; Factor .70025581; Issued 10/01/02; Current Face 170,162.162; Asset Class: FI & PrefGNR 2002 69 PD Coupon Rate 5.500%; Matures 10/20/2032; CUSIP 38373VWR7

3/5/12

7/17/12

2/5/13

80,000.000

105,000.000

30,000.000

113.180113.180115.120115.120113.000113.000

112.948

112.948

112.948

61,640.7255,809.9482,833.2074,506.1223,064.6720,895.44

55,695.53

73,100.39

20,885.82

(114.41)

(1,405.73)

(9.62)

LT

LT

LT

A

A

A9/4/13 105,000.000 109.250

109.250112.948 76,993.71

70,707.03 73,100.39 2,393.36 LT A

Account Detail




of 100





CurrentYield %

Total 320,000.000 244,532.30221,918.53 222,782.15 863.60 LT

10,848.00904.03

4.86

Interest Paid Monthly Aug 20; Yield to Maturity 4.373%; Factor .61638473; Issued 10/01/02; Current Face 197,243.114; Asset Class: FI & PrefGNR 2002-80 B Coupon Rate 5.500%; Matures 11/20/2032; CUSIP 38373V2C3

1/10/13 136,000.000 113.810113.810

112.751 88,699.2281,180.49 80,425.10 (755.39) LT A

3,923.00326.92

4.87

Interest Paid Monthly Aug 20; Yield to Maturity 4.392%; Factor .52448410; Issued 11/01/02; Current Face 71,329.838; Asset Class: FI & PrefFHR 2535 AW Coupon Rate 5.500%; Matures 12/15/2032; CUSIP 31393GTJ3

8/15/13 83,000.000 107.500107.500

112.559 15,504.2814,587.32 15,273.80 686.48 LT A

746.0062.19

4.88

Interest Paid Monthly Aug 15; Yield to Maturity 4.410%; Factor .16348911; Issued 12/01/02; Current Face 13,569.596; Asset Class: FI & PrefFHR 2543 YX Coupon Rate 6.000%; Matures 12/15/2032; CUSIP 31393HGW6

4/10/12 300,000.000 112.750112.750

112.741 93,236.3686,393.71 86,386.81 (6.90) LT A

4,597.00383.12

5.32

Interest Paid Monthly Oct 15; Yield to Maturity 4.858%; Factor .25541377; Issued 12/01/02; Current Face 76,624.131; Asset Class: FI & PrefFREDDIE MAC 2538 DD Coupon Rate 5.500%; Matures 12/15/2032; CUSIP 31393GAK0

11/1/13 34,000.000 107.500107.500

113.004 36,550.0036,550.00 38,421.36 1,871.36 LT A

1,870.00155.83

4.86

Interest Paid Monthly Aug 15; Yield to Maturity 4.375%; Lottery Bond; Moody AAA; Issued 12/01/02; Asset Class: FI & PrefFREDDIE MAC 2544 KE Coupon Rate 5.500%; Matures 12/15/2032; CUSIP 31393FPW0

5/3/12 116,000.000 110.120110.120

112.891 42,074.2839,377.11 40,367.97 990.86 LT A

1,967.00163.89

4.87

Interest Paid Monthly Oct 15; Yield to Maturity 4.384%; Factor .30826179; Issued 12/01/02; Current Face 35,758.368; Asset Class: FI & PrefGNR 2002-92 PB Coupon Rate 5.500%; Matures 12/20/2032; CUSIP 38373YLN2

3/8/12

6/4/12

6/26/12

82,000.000

71,991.000

107,000.000

110.000110.000110.500110.500110.500110.500

111.623

111.623

111.623

29,822.1427,400.8226,345.5224,165.6039,159.4535,917.25

27,805.10

24,411.18

36,282.27

404.28

245.58

365.02

LT

LT

LT

A

A

A2/5/13 135,000.000 111.000

111.000111.623 49,710.60

45,521.21 45,776.70 255.49 LT ATotal 395,991.000 145,037.71

133,004.88 134,275.27 1,270.37 LT6,616.00

551.344.92

Interest Paid Monthly Aug 20; Yield to Maturity 4.487%; Factor .30377852; Issued 12/01/02; Current Face 120,293.560; Asset Class: FI & PrefFREDDIE MAC 2554 MN

Coupon Rate 5.500%; Matures 01/15/2033; CUSIP 31393J3Z9

4/5/12

6/27/12

7/17/12

100,000.000

69,000.000

127,000.000

111.250111.250113.000113.000113.750113.750

113.224

113.224

113.224

53,725.5349,982.7737,951.7835,030.6270,548.0464,904.59

50,869.65

35,100.06

64,604.46

886.88

69.44

(300.13)

LT

LT

LT

A

A

A8/13/12 126,000.000 113.370

113.370113.224 69,645.70

64,178.42 64,095.76 (82.66) LT A

Account Detail




of 100





CurrentYield %

Total 422,000.000 231,871.05214,096.40 214,669.95 573.53 LT

10,428.00868.98

4.85

Interest Paid Monthly Aug 15; Yield to Maturity 4.361%; Factor .44928334; Issued 01/01/03; Current Face 189,597.569; Asset Class: FI & PrefFHR 2572 LL Coupon Rate 5.350%; Matures 02/15/2033; CUSIP 31393KGA7

2/13/13 168,000.000 113.180113.180

113.500 190,142.40190,142.40 190,680.00 537.60 LT A

8,988.00748.99

4.71

Interest Paid Monthly Aug 15; Yield to Maturity 4.205%; Lottery Bond; Moody AAA; Issued 02/01/03; Asset Class: FI & PrefFREDDIE MAC 2569 LD

Coupon Rate 5.500%; Matures 02/15/2033; CUSIP 31393KDS1

4/5/12

5/3/12

7/23/12

80,000.000

87,000.000

41,000.000

112.710112.710112.000112.000113.370113.370

112.630

112.630

112.630

41,702.9538,195.8544,904.0241,276.3221,569.2319,690.00

38,168.73

41,508.49

19,561.47

(27.12)

232.17

(128.53)

LT

LT

LT

A

A

A12/20/12 60,000.000 111.000

111.000112.630 30,535.95

28,212.26 28,626.55 414.29 LT ATotal 268,000.000 138,712.15

127,374.43 127,865.26 490.81 LT6,244.00

520.334.88

Interest Paid Monthly Aug 15; Yield to Maturity 4.412%; Factor .42360756; Issued 02/01/03; Current Face 113,526.826; Asset Class: FI & PrefGNR 2003 10 KJ Coupon Rate 5.500%; Matures 02/20/2033; CUSIP 38373SBV8

4/13/12 185,000.000 113.750113.750

113.687 146,052.88134,283.22 134,208.84 (74.38) LT A

6,493.00541.06

4.83

Interest Paid Monthly Aug 20; Yield to Maturity 4.329%; Factor .63811450; Issued 02/01/03; Current Face 118,051.182; Asset Class: FI & PrefFNMA REMIC TRUST 2003-11 BX Coupon Rate 5.500%; Matures 02/25/2033; CUSIP 31392HMN0

5/24/12 53,000.000 112.000112.000

112.440 27,849.9325,320.56 25,420.03 99.47 LT A

1,243.00103.61

4.88

Interest Paid Monthly Aug 25; Yield to Maturity 4.429%; Factor .42655925; Issued 01/01/03; Current Face 22,607.640; Asset Class: FI & PrefFHR 2581 B Coupon Rate 5.500%; Matures 03/15/2033; CUSIP 31393LWQ2

2/7/14 25,000.000 110.460110.460

110.792 20,353.6418,864.15 18,920.84 56.69 LT A

939.0078.27

4.96

Interest Paid Monthly Oct 15; Yield to Maturity 4.563%; Factor .68311238; Issued 03/01/03; Current Face 17,077.810; Asset Class: FI & PrefGOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2003 19 GT

Coupon Rate 5.000%; Matures 03/16/2033; CUSIP 38373SYG6

3/29/12

7/5/12

80,000.000

48,000.000

109.870109.870110.500110.500

111.523

111.523

39,064.3536,087.2523,629.2921,776.51

36,630.18

21,978.10

542.93

201.59

LT

LT

A

ATotal 128,000.000 62,693.64

57,863.76 58,608.29 744.52 LT2,628.00

218.964.48


Account Detail




of 100





CurrentYield %

GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2003 20 MB

Coupon Rate 5.500%; Matures 03/16/2033; CUSIP 38373STN7

2/27/12

5/18/12

4/4/13

71,000.000

53,000.000

127,000.000

114.000114.000114.000114.000113.780113.780

113.393

113.393

113.393

61,605.6957,543.7645,990.2142,955.20

109,918.80102,731.75

57,237.36

42,726.48

102,382.32

(306.40)

(228.72)

(349.43)

LT

LT

LT

A

A

ATotal 251,000.000 217,514.70

203,230.71 202,346.17 (884.55) LT9,815.00

817.884.85

Interest Paid Monthly Aug 16; Yield to Maturity 4.355%; Factor .71094343; Issued 03/01/03; Current Face 178,446.801; Asset Class: FI & PrefGNMA REMIC TRUST 2003-20 LC Coupon Rate 5.500%; Matures 03/20/2033; CUSIP 38373SUL9

12/5/12 200,000.000 115.680115.680

113.859 148,611.72136,718.84 134,566.65 (2,152.19) LT A

6,500.00541.69

4.83

Interest Paid Monthly Aug 20; Yield to Maturity 4.319%; Factor .59093551; Issued 03/01/03; Current Face 118,187.102; Asset Class: FI & PrefFNR 2003 15 PG Coupon Rate 5.500%; Matures 03/25/2033; CUSIP 31392JLN7

11/21/11

3/29/12

10/1/13

60,000.000

57,000.000

112,000.000

109.180109.180110.120110.120108.370108.370

110.055

110.055

110.055

17,727.0815,876.3317,052.8215,212.3732,730.2429,415.95

16,003.56

15,203.38

29,873.32

127.23

(8.99)

457.37

LT

LT

LT

A

A

ATotal 229,000.000 67,510.14

60,504.65 61,080.28 575.61 LT3,052.00

254.374.99

Interest Paid Monthly Aug 25; Yield to Maturity 4.624%; Factor .24235712; Issued 02/01/03; Current Face 55,499.780; Asset Class: FI & PrefFNR 2003 45 JA Coupon Rate 5.500%; Matures 03/25/2033; CUSIP 31393CSU8

7/25/12

2/5/13

33,000.000

22,000.000

111.000111.000108.000108.000

100.400

100.400

7,656.852,815.394,633.571,826.20

2,546.53

1,697.68

(268.86)

(128.52)

LT

LT

A

ATotal 55,000.000 12,290.42

4,641.59 4,244.22 (397.38) LT233.00

19.375.48

Interest Paid Monthly Aug 25; Yield to Maturity 5.463%; Factor .07686030; Issued 05/01/03; Current Face 4,227.316; Asset Class: FI & PrefFREDDIE MAC 2598 QE

Coupon Rate 5.500%; Matures 04/15/2033; CUSIP 31393NVW6

3/19/12

4/4/12

83,000.000

110,000.000

110.750110.750111.750111.750

113.092

113.092

45,192.9442,131.8360,716.8356,341.54

43,022.77

57,018.13

890.94

676.59

LT

LT

A

ATotal 193,000.000 105,909.77

98,473.37 100,040.91 1,567.53 LT4,865.00

405.444.86


Account Detail




of 100





CurrentYield %

GNR 2003-29 PD

Coupon Rate 5.500%; Matures 04/16/2033; CUSIP 38373S7F8

4/24/12

5/7/12

110,000.000

82,000.000

114.870114.870114.870114.870

112.312

112.312

112,576.35108,665.7883,920.5381,005.40

106,245.94

79,201.51

(2,419.84)

(1,803.89)

LT

LT

A

ATotal 192,000.000 196,496.88

189,671.18 185,447.46 (4,223.73) LT9,081.00

756.794.89

Interest Paid Monthly Aug 16; Yield to Maturity 4.444%; Factor .85999021; Issued 04/01/03; Current Face 165,118.120; Asset Class: FI & PrefFNR 2003-24 MZ Coupon Rate 5.500%; Matures 04/25/2033; CUSIP 31393AE45

2/29/12 34,000.000 109.460109.460

110.413 22,239.8021,686.37 21,875.17 188.80 LT A

1,090.0090.80

4.98

Interest Paid Monthly Aug 25; Yield to Maturity 4.598%; Factor .58270997; Issued 03/01/03; Current Face 19,812.139; Asset Class: FI & PrefFNR 2003-30 JQ Coupon Rate 5.500%; Matures 04/25/2033; CUSIP 31393AWC7

10/2/13 75,000.000 109.000109.000

110.719 44,603.5540,878.84 41,523.52 644.68 LT A

2,063.00171.89

4.96

Interest Paid Monthly Aug 25; Yield to Maturity 4.573%; Factor .50004698; Issued 03/01/03; Current Face 37,503.524; Asset Class: FI & PrefFHR 2613 LL Coupon Rate 5.000%; Matures 05/15/2033; CUSIP 31393RFB1

1/2/13 229,000.000 112.180112.180

114.656 256,892.20256,892.20 262,562.24 5,670.04 LT A

11,450.00954.16

4.36

Interest Paid Monthly Aug 15; Yield to Maturity 3.806%; Lottery Bond; Issued 05/01/03; Asset Class: FI & PrefFREDDIE MAC 2613 BY

Coupon Rate 5.500%; Matures 05/15/2033; CUSIP 31393RDS6

4/5/12

4/26/12

137,000.000

148,000.000

112.250112.250113.000113.000

113.378

113.378

69,029.1664,371.6775,325.8870,004.83

65,018.53

70,239.00

646.86

234.17

LT

LT

A

ATotal 285,000.000 144,355.04

134,376.50 135,257.54 881.03 LT6,561.00

546.784.85

Interest Paid Monthly Aug 15; Yield to Maturity 4.363%; Factor .41858904; Issued 05/01/03; Current Face 119,297.876; Asset Class: FI & PrefFNR 2003 33 PG

Coupon Rate 5.500%; Matures 05/25/2033; CUSIP 31393BGN9

4/2/12

6/21/12

7/12/12

116,000.000

46,000.000

74,000.000

112.560112.560111.120111.120111.500111.500

112.080

112.080

112.080

51,583.7046,240.1920,102.5118,102.0432,488.2229,220.27

46,043.00

18,258.43

29,372.26

(197.19)

156.39

151.99

LT

LT

LT

A

A

A9/25/13 34,000.000 107.620

107.620112.080 14,225.23

12,958.34 13,495.36 537.02 LT ATotal 270,000.000 118,399.66

106,520.84 107,169.06 648.21 LT5,259.00

438.254.90

Interest Paid Monthly Aug 25; Yield to Maturity 4.467%; Factor .35414211; Issued 04/01/03; Current Face 95,618.370; Asset Class: FI & PrefFNR 2003-32 UJ Coupon Rate 5.500%; Matures 05/25/2033; CUSIP 31393BNT8

3/13/12 69,000.000 111.810111.810

113.417 77,148.9077,148.90 78,257.73 1,108.83 LT A

3,795.00316.24

4.84

Interest Paid Monthly Aug 25; Yield to Maturity 4.361%; Issued 04/01/03; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FHR 2624 QH

Coupon Rate 5.000%; Matures 06/15/2033; CUSIP 31393RJ92

2/24/12

4/4/12

5/23/12

55,000.000

50,000.000

45,000.000

110.000110.000109.560109.560110.180110.180

111.243

111.243

111.243

27,949.4026,316.3025,263.7623,828.2122,922.1121,566.75

26,613.67

24,194.24

21,774.82

297.37

366.03

208.07

LT

LT

LT

A

A

ATotal 150,000.000 76,135.27

71,711.26 72,582.74 871.47 LT3,262.00

271.864.49

Interest Paid Monthly Aug 15; Yield to Maturity 4.069%; Factor .43498014; Issued 06/01/03; Current Face 65,247.021; Asset Class: FI & PrefFANNIE MAE 2003 46 PJ

Coupon Rate 5.500%; Matures 06/25/2033; CUSIP 31393CWJ8

4/4/12

5/18/12

1/3/13

81,000.000

50,000.000

15,000.000

111.250111.250113.310113.310112.000112.000

112.658

112.658

112.658

45,411.2239,289.5228,791.4224,701.88

8,492.097,324.89

39,786.77

24,559.73

7,367.92

497.25

(142.15)

43.03

LT

LT

LT

A

A

ATotal 146,000.000 82,694.73

71,316.29 71,714.43 398.13 LT3,501.00

291.764.88

Interest Paid Monthly Aug 25; Yield to Maturity 4.424%; Factor .43600522; Issued 05/01/03; Current Face 63,656.762; Asset Class: FI & PrefFNMA REMIC TRUST 2003-48 GH

Coupon Rate 5.500%; Matures 06/25/2033; CUSIP 31393CLX9

3/1/12

4/17/12

250,000.000

100,000.000

116.710116.710114.750114.750

113.529

113.529

223,887.48201,044.9987,604.9179,067.47

195,565.38

78,226.15

(5,479.61)

(841.32)

LT

LT

A

ATotal 350,000.000 311,492.39

280,112.46 273,791.54 (6,320.93) LT13,264.00

1,105.334.84

Interest Paid Monthly Aug 25; Yield to Maturity 4.356%; Factor .68904117; Issued 05/01/03; Current Face 241,164.410; Asset Class: FI & PrefFNR 2003 45 JB Coupon Rate 5.500%; Matures 06/25/2033; CUSIP 31393CSV6

2/24/12 47,000.000 113.000113.000

112.137 53,110.0053,110.00 52,704.39 (405.61) LT A

2,585.00215.41

4.90

Interest Paid Monthly Aug 25; Yield to Maturity 4.465%; Issued 05/01/03; Asset Class: FI & PrefFHLMC REMIC SERIES 2864 NB Coupon Rate 5.500%; Matures 07/15/2033; CUSIP 31395G2D3

4/18/12 220,000.000 112.750112.750

103.561 82,130.1668,021.65 62,477.96 (5,543.69) LT A

3,318.00276.51

5.31

Interest Paid Monthly Aug 15; Yield to Maturity 5.180%; Factor .27422556; Issued 09/01/04; Current Face 60,329.623; Asset Class: FI & PrefFHR 2644 PH Coupon Rate 5.000%; Matures 07/15/2033; CUSIP 31393WNY1

4/4/12 71,000.000 109.120109.120

110.494 31,546.9129,337.13 29,706.53 369.40 LT A

1,344.00112.02

4.52


Account Detail




of 100





CurrentYield %

FREDDIE MAC 2638 MJ

Coupon Rate 5.000%; Matures 07/15/2033; CUSIP 31393WZN2

5/18/12

9/23/13

63,000.000

87,000.000

111.000111.000106.620106.620

109.485

109.485

46,236.9242,494.2360,040.3356,366.93

41,914.24

57,881.56

(579.99)

1,514.63

LT

LT

A

ATotal 150,000.000 106,277.25

98,861.16 99,795.81 934.64 LT4,558.00

379.794.56

Interest Paid Monthly Aug 15; Yield to Maturity 4.209%; Factor .60766810; Issued 07/01/03; Current Face 91,150.215; Asset Class: FI & PrefGNR 2003-58 PC Coupon Rate 5.000%; Matures 07/20/2033; CUSIP 38374BNY5

2/8/12 108,000.000 111.620111.620

110.933 120,549.60120,549.60 119,807.64 (741.96) LT A

5,400.00449.99

4.50

Interest Paid Monthly Aug 20; Yield to Maturity 4.096%; Issued 07/01/03; Asset Class: FI & PrefFHR 2665 LL

Coupon Rate 5.500%; Matures 08/15/2033; CUSIP 31394GYZ0

5/31/12

7/23/12

32,000.000

69,000.000

110.120110.120110.750110.750

113.321

113.321

35,238.4035,238.4076,417.5076,417.50

36,262.72

78,191.49

1,024.32

1,773.99

LT

LT

A

ATotal 101,000.000 111,655.90

111,655.90 114,454.21 2,798.31 LT5,555.00

462.914.85

Interest Paid Monthly Aug 15; Yield to Maturity 4.379%; Lottery Bond; Moody AAA; Issued 08/01/03; Asset Class: FI & PrefFHR 2669 LL

Coupon Rate 5.500%; Matures 08/15/2033; CUSIP 31394HC25

5/30/12

7/25/12

5/21/13

39,000.000

37,000.000

117,000.000

110.500110.500110.250110.250108.000108.000

113.302

113.302

113.302

43,095.0043,095.0040,792.5040,792.50

126,360.00126,360.00

44,187.78

41,921.74

132,563.34

1,092.78

1,129.24

6,203.34

LT

LT

LT

A

A

ATotal 193,000.000 210,247.50

210,247.50 218,672.86 8,425.36 LT10,615.00

884.584.85

Interest Paid Monthly Aug 15; Yield to Maturity 4.380%; Lottery Bond; Moody AAA; Issued 08/01/03; Asset Class: FI & PrefGNR 2003 65 AP

Coupon Rate 5.500%; Matures 08/20/2033; CUSIP 38374BQX4

5/31/12

7/23/12

57,000.000

74,000.000

112.870112.870113.750113.750

113.062

113.062

33,163.1130,608.4843,495.7240,047.15

30,660.54

39,804.92

52.06

(242.23)

LT

LT

A

ATotal 131,000.000 76,658.83

70,655.63 70,465.47 (190.17) LT3,428.00

285.654.86

Interest Paid Monthly Oct 20; Yield to Maturity 4.399%; Factor .47576056; Issued 08/01/03; Current Face 62,324.633; Asset Class: FI & PrefFNR 2003-80 LL

Coupon Rate 5.000%; Matures 08/25/2033; CUSIP 31393DQ20

2/21/12

5/30/12

22,000.000

80,000.000

107.680107.680108.310108.310

112.891

112.891

23,689.6023,689.6086,648.0086,648.00

24,836.02

90,312.80

1,146.42

3,664.80

LT

LT

A

A

Account Detail




of 100





CurrentYield %

Total 102,000.000 110,337.60110,337.60 115,148.82 4,811.22 LT

5,100.00424.99

4.42

Interest Paid Monthly Aug 25; Yield to Maturity 3.951%; Lottery Bond; Moody AAA; Issued 07/01/03; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 748662 Coupon Rate 5.500%; Matures 09/01/2033; CUSIP 31403GWX6

9/26/13 1,600,000.000 108.710108.710

108.280 138,641.05129,681.78 129,168.82 (512.96) LT A

6,561.00546.75

5.07

Interest Paid Monthly Sep 01; Yield to Maturity 4.783%; Factor .07455718; Issued 09/01/03; Current Face 119,291.488; Asset Class: FI & PrefFREDDIE MAC 2696 LL

Coupon Rate 5.500%; Matures 10/15/2033; CUSIP 31394KRS5

5/2/12

7/12/12

2/12/13

66,000.000

51,000.000

137,000.000

109.120109.120108.500108.500109.310109.310

114.207

114.207

114.207

72,019.2072,019.2055,335.0055,335.00

149,754.70149,754.70

75,376.62

58,245.57

156,463.59

3,357.42

2,910.57

6,708.89

LT

LT

LT

A

A

ATotal 254,000.000 277,108.90

277,108.90 290,085.78 12,976.88 LT13,970.00

1,164.164.81

Interest Paid Monthly Aug 15; Yield to Maturity 4.317%; Lottery Bond; Moody AAA; Issued 10/01/03; Asset Class: FI & PrefGOVERNMENT NATIONAL MORTGAGE ASSOC 2003 84 PC Coupon Rate 5.500%; Matures 10/20/2033; CUSIP 38374CYU9

4/30/12 143,000.000 114.870114.870

112.204 161,519.04158,507.53 154,828.74 (3,678.79) LT A

7,589.00632.44

4.90

Interest Paid Monthly Aug 20; Yield to Maturity 4.472%; Factor .96495537; Issued 10/01/03; Current Face 137,988.618; Asset Class: FI & PrefFANIE MAE 2003 107 LL

Coupon Rate 5.500%; Matures 11/25/2033; CUSIP 31393T6E1

5/1/12

5/23/12

6/4/12

110,000.000

103,000.000

58,000.000

110.870110.870110.890110.890110.750110.750

113.697

113.697

113.697

121,957.00121,957.00114,216.70114,216.7064,235.0064,235.00

125,066.70

117,107.91

65,944.26

3,109.70

2,891.21

1,709.26

LT

LT

LT

A

A

ATotal 271,000.000 300,408.70

300,408.70 308,118.87 7,710.17 LT14,905.00

1,242.084.83

Interest Paid Monthly Aug 25; Yield to Maturity 4.361%; Lottery Bond; Moody AAA; Issued 10/01/03; Asset Class: FI & PrefFREDDIE MAC 2715 QH

Coupon Rate 5.500%; Matures 12/15/2033; CUSIP 31394MPA2

11/17/11

2/1/12

118,000.000

55,000.000

111.030111.030112.000112.000

113.451

113.451

36,777.9033,924.8117,393.8015,950.55

34,664.53

16,157.19

739.72

206.64

LT

LT

A

ATotal 173,000.000 54,171.70

49,875.36 50,821.73 946.36 LT2,464.00

205.314.84

Interest Paid Monthly Aug 15; Yield to Maturity 4.382%; Factor .25893755; Issued 12/01/03; Current Face 44,796.196; Asset Class: FI & PrefGNR 2003-110 HC Coupon Rate 5.000%; Matures 12/20/2033; CUSIP 38374EQ91

4/11/12 104,000.000 109.310109.310

111.993 40,299.1637,272.13 38,186.97 914.84 LT A

1,705.00142.07

4.46

Interest Paid Monthly Oct 20; Yield to Maturity 4.030%; Factor .32786195; Issued 12/01/03; Current Face 34,097.643; Asset Class: FI & Pref

Account Detail




of 100





CurrentYield %

FHR 2728 DC Coupon Rate 6.000%; Matures 01/15/2034; CUSIP 31394P4P5

2/9/12 300,000.000 114.870114.870

115.190 128,073.79115,732.35 116,054.75 322.40 LT A

6,045.00503.75

5.20

Interest Paid Monthly Aug 15; Yield to Maturity 4.709%; Factor .33583573; Issued 01/01/04; Current Face 100,750.719; Asset Class: FI & PrefFHR 3028 ME Coupon Rate 5.000%; Matures 02/15/2034; CUSIP 31396AFH2

1/30/14 125,000.000 105.000105.000

100.461 18,759.9713,450.90 12,869.43 (581.47) LT A

641.0053.37

4.98

Interest Paid Monthly Aug 15; Yield to Maturity 4.960%; Factor .10248306; Issued 09/01/05; Current Face 12,810.382; Asset Class: FI & PrefGNR 2004 18 WD Coupon Rate 5.500%; Matures 02/20/2034; CUSIP 38374FN75

5/2/12 101,000.000 113.000113.000

113.405 108,798.73108,798.74 109,188.68 389.94 LT A

5,296.00441.29

4.85

Interest Paid Monthly Aug 20; Yield to Maturity 4.393%; Factor .95328782; Issued 03/01/04; Current Face 96,282.070; Asset Class: FI & PrefGNR 2004-15 AY

Coupon Rate 5.500%; Matures 02/20/2034; CUSIP 38374FET7

3/30/12

5/7/12

12/20/12

89,000.000

88,000.000

84,000.000

113.620113.620114.120114.120115.180115.180

113.415

113.415

113.415

82,159.3178,072.9381,676.7477,535.4178,853.7474,698.52

77,932.05

77,056.41

73,553.85

(140.88)

(479.00)

(1,144.67)

LT

LT

LT

A

A

ATotal 261,000.000 242,689.79

230,306.86 228,542.33 (1,764.55) LT11,083.00

923.584.84

Interest Paid Monthly Aug 20; Yield to Maturity 4.392%; Factor .77206819; Issued 02/01/04; Current Face 201,509.798; Asset Class: FI & PrefGNR 2005-13 BD Coupon Rate 5.000%; Matures 02/20/2034; CUSIP 38374KUH4

6/27/12 100,000.000 108.750108.750

100.661 24,511.1214,515.55 13,435.85 (1,079.70) LT A

667.0055.61

4.96

Interest Paid Monthly Aug 20; Yield to Maturity 4.943%; Factor .13347631; Issued 02/01/05; Current Face 13,347.631; Asset Class: FI & PrefFNR 2004-1 LL Coupon Rate 5.500%; Matures 02/25/2034; CUSIP 31393UW33

5/3/12 51,000.000 110.120110.120

111.782 56,161.2056,161.20 57,008.82 847.62 LT A

2,805.00233.74

4.92

Interest Paid Monthly Aug 25; Yield to Maturity 4.518%; Lottery Bond; Moody AAA; Issued 01/01/04; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 725229 Coupon Rate 6.000%; Matures 03/01/2034; CUSIP 31402CVW9

6/4/12 4,000,000.000 111.750111.750

116.221 158,026.83147,555.06 153,458.58 5,903.52 LT A

7,922.00660.20

5.16

Interest Paid Monthly Feb 01; Yield to Maturity 4.637%; Factor .03301008; Issued 02/01/04; Current Face 132,040.320; Asset Class: FI & PrefFHLMC 30 YR GOLD G05379 Coupon Rate 5.500%; Matures 03/01/2034; CUSIP 3128M7JY3

2/28/12 600,000.000 109.530109.530

112.357 58,792.3156,361.48 57,816.18 1,454.70 LT A

2,830.00235.84

4.89

Interest Paid Monthly Mar 01; Yield to Maturity 4.474%; Factor .08576262; Issued 03/01/09; Current Face 51,457.572; Asset Class: FI & PrefGOVERNMENT NATIONAL MORTGAGE ASSOC 2004 72 BC Coupon Rate 5.500%; Matures 03/20/2034; CUSIP 38374HF70

1/2/13 97,000.000 110.560110.560

103.981 47,277.5739,337.03 36,996.23 (2,340.80) LT A

1,957.00163.07

5.28

Interest Paid Monthly Aug 20; Yield to Maturity 5.152%; Factor .36680206; Issued 09/01/04; Current Face 35,579.800; Asset Class: FI & PrefFNMA REMIC TRUST 2004-14 QB Coupon Rate 5.250%; Matures 03/25/2034; CUSIP 31393U6B4

3/13/12 72,000.000 110.000110.000

114.575 79,200.0079,200.00 82,494.00 3,294.00 LT A

3,780.00314.99

4.58


Account Detail




of 100





CurrentYield %

FHLMC REMIC SERIES 2778 MM Coupon Rate 5.250%; Matures 04/15/2034; CUSIP 31394WT81

9/19/13 191,000.000 107.810107.810

112.088 205,917.10205,917.10 214,088.08 8,170.98 LT A

10,028.00835.62

4.68

Interest Paid Monthly Aug 15; Yield to Maturity 4.267%; Lottery Bond; Issued 04/01/04; Asset Class: FI & PrefGNMA REMIC TRUST 2004-93 PC Coupon Rate 5.000%; Matures 04/16/2034; CUSIP 38374J6F8

4/30/12 252,000.000 110.400110.400

103.212 104,491.7984,279.77 78,792.42 (5,487.35) LT A

3,817.00318.08

4.84

Interest Paid Monthly Aug 16; Yield to Maturity 4.729%; Factor .30293799; Issued 11/01/04; Current Face 76,340.373; Asset Class: FI & PrefFNR 2004-24 BY Coupon Rate 5.000%; Matures 04/25/2034; CUSIP 31393XKQ9

3/28/12 75,000.000 109.250109.250

112.293 45,236.4040,969.97 42,111.13 1,141.16 LT A

1,875.00156.25

4.45

Interest Paid Monthly Aug 25; Yield to Maturity 4.020%; Factor .50001492; Issued 03/01/04; Current Face 37,501.119; Asset Class: FI & PrefFREDDIE MAC 2799 PB

Coupon Rate 5.500%; Matures 05/15/2034; CUSIP 31394XX68

2/28/12

3/1/12

117,000.000

40,000.000

114.000114.000113.120113.120

113.097

113.097

79,881.4272,786.3927,006.0924,692.15

72,209.83

24,687.12

(576.56)

(5.03)

LT

LT

A

ATotal 157,000.000 106,887.51

97,478.54 96,896.96 (581.59) LT4,712.00

392.684.86

Interest Paid Monthly Aug 15; Yield to Maturity 4.425%; Factor .54570691; Issued 05/01/04; Current Face 85,675.985; Asset Class: FI & PrefFHLMC REMIC SERIES 3064 OG Coupon Rate 5.500%; Matures 06/15/2034; CUSIP 31396ERF5

3/28/12 60,000.000 108.750108.750

101.729 9,783.047,328.30 6,855.17 (473.13) LT A

371.0030.88

5.41

Interest Paid Monthly Aug 15; Yield to Maturity 5.347%; Factor .11231110; Issued 11/01/05; Current Face 6,738.666; Asset Class: FI & PrefGNR 2005-5 EC Coupon Rate 5.000%; Matures 07/20/2034; CUSIP 38374KNP4

3/5/12 128,000.000 111.250111.250

108.071 57,121.8755,594.19 54,005.56 (1,588.63) LT A

2,499.00208.21

4.62

Interest Paid Monthly Aug 20; Yield to Maturity 4.346%; Factor .39040864; Issued 01/01/05; Current Face 49,972.306; Asset Class: FI & PrefGNR 2005-3 OB Coupon Rate 5.000%; Matures 08/20/2034; CUSIP 38374KRT2

2/12/13 100,000.000 111.750111.750

105.215 111,750.00111,750.00 105,215.00 (6,535.00) LT A

5,000.00416.66

4.75

Interest Paid Monthly Aug 20; Yield to Maturity 4.571%; Issued 01/01/05; Asset Class: FI & PrefFHLMC REMIC SERIES 3659 VG

Coupon Rate 5.000%; Matures 09/15/2034; CUSIP 31398VVS2

2/24/12

12/20/12

135,000.000

50,000.000

112.500112.500113.000113.000

111.967

111.967

151,875.00151,875.0056,500.0056,500.00

151,155.45

55,983.50

(719.55)

(516.50)

LT

LT

A

ATotal 185,000.000 208,375.00

208,375.00 207,138.95 (1,236.05) LT9,250.00

770.834.46


Account Detail




of 100





CurrentYield %

GNR 2004-93 PD

Coupon Rate 5.000%; Matures 11/16/2034; CUSIP 38374J6G6

4/17/12

5/24/12

8/9/12

100,000.000

54,000.000

110,000.000

110.870110.870112.000112.000114.750114.750

113.944

113.944

113.944

110,870.00110,870.0060,480.0060,480.00

126,225.00126,225.00

113,944.00

61,529.76

125,338.40

3,074.00

1,049.76

(886.60)

LT

LT

LT

A

A

A— 51,000.000 —

—113.944 Please Provide

Please Provide 58,111.44 N/A Total 315,000.000 0.00

297,575.00 358,923.60 3,237.16 LT15,750.00

1,312.494.38

Interest Paid Monthly Aug 16; Yield to Maturity 3.921%; Issued 11/01/04; Asset Class: FI & PrefFREDDIE MAC 2901 KB Coupon Rate 5.000%; Matures 12/15/2034; CUSIP 31395KRZ8

5/18/12 102,000.000 109.750109.750

109.501 43,346.5340,428.32 40,336.60 (91.72) LT A

1,842.00153.48

4.56

Interest Paid Monthly Aug 15; Yield to Maturity 4.247%; Factor .36114453; Issued 12/01/04; Current Face 36,836.742; Asset Class: FI & PrefGNR 2005-98 DA

Coupon Rate 5.500%; Matures 12/20/2034; CUSIP 38374MSX8

1/2/13

8/20/13

110,000.000

54,000.000

110.310110.310105.430105.430

101.383

101.383

33,175.3520,079.7314,245.77

9,421.24

18,454.74

9,059.59

(1,624.99)

(361.65)

LT

LT

A

ATotal 164,000.000 47,421.12

29,500.97 27,514.34 (1,986.64) LT1,493.00

124.385.42

Interest Paid Monthly Aug 20; Yield to Maturity 5.380%; Factor .16548179; Issued 12/01/05; Current Face 27,139.014; Asset Class: FI & PrefFNMA REMIC TRUST 2004-91 BR

Coupon Rate 5.500%; Matures 12/25/2034; CUSIP 31394BYB4

4/10/12

4/17/12

5/23/12

289,000.000

64,000.000

40,000.000

115.000115.000113.810113.810114.870114.870

116.813

116.813

116.813

332,350.00332,350.0072,838.4072,838.4045,948.0045,948.00

337,589.57

74,760.32

46,725.20

5,239.57

1,921.92

777.20

LT

LT

LT

A

A

ATotal 393,000.000 451,136.40

451,136.40 459,075.09 7,938.69 LT21,615.00

1,801.244.70

Interest Paid Monthly Aug 25; Yield to Maturity 4.177%; Issued 11/01/04; Asset Class: FI & PrefFNR 2005-5 CK Coupon Rate 5.000%; Matures 01/25/2035; CUSIP 31394B4Z4

8/16/13 145,000.000 106.000106.000

108.593 26,167.7624,326.19 24,921.26 595.07 LT A

1,147.0095.62

4.60

Interest Paid Monthly Aug 25; Yield to Maturity 4.318%; Factor .15827061; Issued 01/01/05; Current Face 22,949.238; Asset Class: FI & PrefFHR 2963 DE Coupon Rate 6.000%; Matures 04/15/2035; CUSIP 31395TM92

3/22/12 134,000.000 116.090116.090

115.455 155,560.60155,560.60 154,709.70 (850.90) LT A

8,040.00669.99

5.19


Account Detail




of 100





CurrentYield %

GNR 2005-33 AY

Coupon Rate 5.500%; Matures 04/16/2035; CUSIP 38374K2D4

3/8/12

4/17/12

5/3/12

79,000.000

238,000.000

95,000.000

113.930113.930114.780114.780113.120113.120

114.335

114.335

114.335

52,182.6047,287.18

158,830.77143,522.9662,137.7956,460.04

47,455.27

142,966.51

57,066.46

168.09

(556.45)

606.42

LT

LT

LT

A

A

A6/28/12 25,000.000 113.750

113.750114.335 16,478.72

14,940.65 15,017.49 76.84 LT ATotal 437,000.000 289,629.88

262,210.83 262,505.75 294.90 LT12,628.00

1,052.304.81

Interest Paid Monthly Aug 16; Yield to Maturity 4.367%; Factor .52538564; Issued 04/01/05; Current Face 229,593.525; Asset Class: FI & PrefGNMA REMIC TRUST 2005-28 AJ Coupon Rate 5.500%; Matures 04/20/2035; CUSIP 38374K3X9

4/16/12 275,000.000 111.750111.750

106.833 75,046.4965,094.19 62,230.04 (2,864.15) LT A

3,204.00266.97

5.14

Interest Paid Monthly Aug 20; Yield to Maturity 4.935%; Factor .21181758; Issued 04/01/05; Current Face 58,249.834; Asset Class: FI & PrefFHLMC REMIC SERIES 2978 JG

Coupon Rate 5.500%; Matures 05/15/2035; CUSIP 31395UKP5

7/25/12

10/3/12

35,000.000

57,000.000

114.250114.250113.000113.000

112.534

112.534

23,398.7421,016.8237,420.2533,852.91

20,701.14

33,713.30

(315.68)

(139.61)

LT

LT

A

ATotal 92,000.000 60,818.99

54,869.73 54,414.45 (455.29) LT2,659.00

221.624.88

Interest Paid Monthly Aug 15; Yield to Maturity 4.501%; Factor .52558473; Issued 05/01/05; Current Face 48,353.795; Asset Class: FI & PrefGOVERNMENT NATL MORTGAGE ASSOC 2005-41 PA Coupon Rate 4.000%; Matures 05/20/2035; CUSIP 38374LCL3

9/18/13 1,281,667.000 98.50098.500

110.311 69,897.1969,862.78 78,239.93 8,377.15 LT A

2,837.00236.42

3.62

Interest Paid Monthly Aug 20; Yield to Maturity 3.260%; Factor .05533940; Issued 05/01/05; Current Face 70,926.683; Asset Class: FI & PrefFNMA REMIC TRUST 2005-70 KB Coupon Rate 5.500%; Matures 05/25/2035; CUSIP 31394EW20

2/21/12 559,000.000 110.590110.590

105.287 47,313.9238,763.88 36,905.08 (1,858.80) LT A

1,928.00160.65

5.22

Interest Paid Monthly Aug 25; Yield to Maturity 5.059%; Factor .06270463; Issued 07/01/05; Current Face 35,051.888; Asset Class: FI & PrefGNR 2005-48 CY Coupon Rate 5.000%; Matures 06/20/2035; CUSIP 38374LHA2

5/23/12 223,000.000 112.870112.870

109.850 160,257.98145,118.26 141,235.40 (3,882.86) LT A

6,429.00535.71

4.55

Interest Paid Monthly Aug 20; Yield to Maturity 4.234%; Factor .57655225; Issued 06/01/05; Current Face 128,571.152; Asset Class: FI & PrefGNR 2005-49 B

Coupon Rate 5.500%; Matures 06/20/2035; CUSIP 38374LKD2

4/17/12

8/30/13

164,000.000

80,000.000

114.500114.500108.500108.500

112.076

112.076

121,908.88110,222.7155,209.0150,949.68

107,889.25

52,628.90

(2,333.46)

1,679.22

LT

LT

A

ATotal 244,000.000 177,117.89

161,172.39 160,518.16 (654.24) LT7,877.00

656.434.90


Account Detail




of 100





CurrentYield %

GNR 2005-56 BD

Coupon Rate 5.000%; Matures 07/20/2035; CUSIP 38374LRM5

5/1/12

6/14/12

127,000.000

40,000.000

111.430111.430112.120112.120

111.337

111.337

96,862.9088,810.2130,764.7228,144.93

88,736.08

27,948.37

(74.13)

(196.56)

LT

LT

A

ATotal 167,000.000 127,627.62

116,955.14 116,684.46 (270.69) LT5,240.00

436.674.49

Interest Paid Monthly Aug 20; Yield to Maturity 4.129%; Factor .62756261; Issued 07/01/05; Current Face 104,802.956; Asset Class: FI & PrefGNR 2005-63 B

Coupon Rate 5.000%; Matures 08/20/2035; CUSIP 38374LG88

6/19/12

10/11/12

1/14/13

180,000.000

88,000.000

75,000.000

113.180113.180113.370113.370112.530112.530

111.245

111.245

111.245

164,171.45155,705.0280,429.0976,250.2467,918.1564,504.50

153,042.97

74,821.01

63,767.90

(2,662.05)

(1,429.23)

(736.60)

LT

LT

LT

A

A

ATotal 343,000.000 312,518.69

296,459.76 291,631.90 (4,827.88) LT13,108.00

1,092.304.49

Interest Paid Monthly Aug 20; Yield to Maturity 4.139%; Factor .76429394; Issued 08/01/05; Current Face 262,152.821; Asset Class: FI & PrefFNMA REMIC TRUST 2005-68 PG Coupon Rate 5.500%; Matures 08/25/2035; CUSIP 31394E7B8

7/1/13 200,000.000 109.250109.250

113.251 48,815.6543,841.26 45,446.83 1,605.57 LT A

2,207.00183.92

4.85

Interest Paid Monthly Aug 25; Yield to Maturity 4.458%; Factor .20064652; Issued 07/01/05; Current Face 40,129.304; Asset Class: FI & PrefFNMA REMIC TRUST 2007-116 PB Coupon Rate 5.500%; Matures 08/25/2035; CUSIP 31396X7A6

6/12/12 190,000.000 113.000113.000

113.925 99,058.9887,339.84 88,054.78 714.94 LT A

4,251.00354.25

4.82

Interest Paid Monthly Aug 25; Yield to Maturity 4.409%; Factor .40679944; Issued 12/01/07; Current Face 77,291.894; Asset Class: FI & PrefGNR 2005-70 BY Coupon Rate 5.000%; Matures 09/20/2035; CUSIP 38374L2G5

5/9/12 100,000.000 112.120112.120

111.244 84,136.3179,214.26 78,595.35 (618.91) LT A

3,533.00294.38

4.49

Interest Paid Monthly Aug 20; Yield to Maturity 4.141%; Factor .70651321; Issued 09/01/05; Current Face 70,651.321; Asset Class: FI & PrefFHLMC REMIC SERIES 3072 CA Coupon Rate 6.000%; Matures 11/15/2035; CUSIP 31396FJ38

5/25/12 300,000.000 115.500115.500

110.752 207,432.78191,201.57 183,341.61 (7,859.96) LT A

9,933.00827.71

5.41

Interest Paid Monthly Aug 15; Yield to Maturity 5.114%; Factor .55180828; Issued 11/01/05; Current Face 165,542.484; Asset Class: FI & PrefFNR 2005-97 B Coupon Rate 5.500%; Matures 11/25/2035; CUSIP 31394UMJ8

6/18/12 55,000.000 112.870112.870

103.014 42,695.3837,341.94 34,081.18 (3,260.76) LT A

1,820.00151.63

5.34

Interest Paid Monthly Aug 25; Yield to Maturity 5.248%; Factor .60152782; Issued 10/01/05; Current Face 33,084.030; Asset Class: FI & PrefFNR 2005-106 UK Coupon Rate 5.500%; Matures 12/25/2035; CUSIP 31394UN32

2/21/12 150,000.000 108.680108.680

106.331 88,211.4284,210.87 82,390.74 (1,820.13) LT A

4,262.00355.14

5.17

Interest Paid Monthly Aug 25; Yield to Maturity 4.985%; Factor .51656773; Issued 11/01/05; Current Face 77,485.160; Asset Class: FI & PrefFHR 3098 KG Coupon Rate 5.500%; Matures 01/15/2036; CUSIP 31396GS85

10/9/12 55,000.000 114.500114.500

111.855 47,964.3444,847.62 43,811.62 (1,036.00) LT A

2,154.00179.52

4.91


Account Detail




of 100





CurrentYield %

FHR 3113 GG

Coupon Rate 5.500%; Matures 02/15/2036; CUSIP 31396HDH9

3/1/12

5/18/12

34,000.000

53,000.000

110.620110.620108.870108.870

112.710

112.710

37,610.8037,610.8057,701.1057,701.10

38,321.40

59,736.30

710.60

2,035.20

LT

LT

A

ATotal 87,000.000 95,311.90

95,311.90 98,057.70 2,745.80 LT4,785.00

398.744.87

Interest Paid Monthly Aug 15; Yield to Maturity 4.512%; Lottery Bond; Issued 02/01/06; Asset Class: FI & PrefFNMA REMIC TRUST 2006-9 DG

Coupon Rate 5.500%; Matures 03/25/2036; CUSIP 31395BBS1

2/17/12

10/3/12

3/12/13

115,000.000

65,000.000

49,000.000

114.000114.000114.000114.000112.870112.870

112.251

112.251

112.251

113,323.78106,755.4664,052.6360,340.0447,732.3245,036.23

105,117.60

59,414.29

44,789.23

(1,637.86)

(925.75)

(247.00)

LT

LT

LT

A

A

ATotal 229,000.000 225,108.73

212,131.73 209,321.14 (2,810.61) LT10,256.00

854.684.89

Interest Paid Monthly Aug 25; Yield to Maturity 4.548%; Factor .81430558; Issued 02/01/06; Current Face 186,475.978; Asset Class: FI & PrefFHLMC REMIC SERIES 3148 CY Coupon Rate 6.000%; Matures 04/15/2036; CUSIP 31396JU29

11/21/11 55,000.000 113.560113.560

115.189 29,239.9427,559.02 27,954.35 395.33 LT A

1,456.00121.34

5.20

Interest Paid Monthly Aug 15; Yield to Maturity 4.796%; Factor .44124089; Issued 04/01/06; Current Face 24,268.249; Asset Class: FI & PrefGNR 2006-17 TW Coupon Rate 6.000%; Matures 04/20/2036; CUSIP 38374MU98

3/20/12 325,000.000 116.180116.180

118.886 377,585.00377,010.52 385,791.63 8,781.11 LT A

19,470.001,622.52

5.04

Interest Paid Monthly Aug 20; Yield to Maturity 4.536%; Factor .99847854; Issued 04/01/06; Current Face 324,505.526; Asset Class: FI & PrefFHLMC REMIC SERIES 3154 KW Coupon Rate 6.000%; Matures 05/15/2036; CUSIP 31396RND5

2/23/12

3/8/12

5/7/12

62,000.000

42,000.000

125,000.000

114.500114.500114.250114.250114.250114.250

114.806

114.806

114.806

20,731.0318,636.1913,995.3712,596.9541,653.5737,490.93

18,685.99

12,658.25

37,673.38

49.80

61.30

182.45

LT

LT

LT

A

A

A5/24/12 62,000.000 113.750

113.750114.806 20,510.19

18,514.12 18,685.99 171.87 LT ATotal 291,000.000 96,890.16

87,238.19 87,703.63 465.42 LT4,584.00

381.965.22

Interest Paid Monthly Aug 15; Yield to Maturity 4.826%; Factor .26251858; Issued 05/01/06; Current Face 76,392.907; Asset Class: FI & PrefFHLMC REMIC SERIES 3158 NE Coupon Rate 5.500%; Matures 05/15/2036; CUSIP 31396NX27

4/10/12 625,000.000 114.780114.780

110.821 490,624.36455,959.30 440,232.32 (15,726.98) LT A

21,849.001,820.71

4.96


Account Detail




of 100





CurrentYield %

FHLMC REMIC SERIES 3178 PE Coupon Rate 5.500%; Matures 06/15/2036; CUSIP 31396RRB5

5/25/12 196,000.000 114.620114.620

111.980 209,643.99205,114.80 200,390.46 (4,724.34) LT A

9,842.00820.19

4.91

Interest Paid Monthly Aug 15; Yield to Maturity 4.573%; Factor .91302049; Issued 06/01/06; Current Face 178,952.016; Asset Class: FI & PrefFNMA REMIC TRUST 2006-53 PE Coupon Rate 5.500%; Matures 06/25/2036; CUSIP 31395NGV3

1/23/12 500,000.000 114.500114.500

112.619 552,409.59527,503.70 518,837.89 (8,665.81) LT A

25,339.002,111.54

4.88

Interest Paid Monthly Aug 25; Yield to Maturity 4.528%; Factor .92140384; Issued 05/01/06; Current Face 460,701.920; Asset Class: FI & PrefFNMA REMIC TRUST 2007-85 BD Coupon Rate 6.000%; Matures 06/25/2036; CUSIP 31396XQX5

9/20/13 50,000.000 106.250106.250

101.022 16,236.3610,050.24 9,555.71 (494.53) LT A

568.0047.29

5.94

Interest Paid Monthly Aug 25; Yield to Maturity 5.911%; Factor .18918092; Issued 08/01/07; Current Face 9,459.046; Asset Class: FI & PrefFHR 3349 HE

Coupon Rate 5.500%; Matures 07/15/2036; CUSIP 31397JVF8

5/29/12

12/13/12

55,000.000

95,000.000

109.120109.120108.560108.560

102.520

102.520

12,036.639,964.76

20,524.8617,123.53

9,362.05

16,170.82

(602.71)

(952.71)

LT

LT

A

ATotal 150,000.000 32,561.49

27,088.29 25,532.88 (1,555.42) LT1,370.00

114.145.36

Interest Paid Monthly Aug 15; Yield to Maturity 5.293%; Factor .16603512; Issued 07/01/07; Current Face 24,905.268; Asset Class: FI & PrefFHR 3212 BK

Coupon Rate 5.500%; Matures 09/15/2036; CUSIP 31397BC25

3/7/12

3/30/12

50,000.000

106,000.000

111.250111.250111.000111.000

113.511

113.511

8,965.838,102.84

18,932.0717,139.42

8,267.51

17,527.14

164.67

387.72

LT

LT

A

ATotal 156,000.000 27,897.90

25,242.26 25,794.66 552.39 LT1,250.00

104.154.84

Interest Paid Monthly Aug 15; Yield to Maturity 4.472%; Factor .14566908; Issued 09/01/06; Current Face 22,724.376; Asset Class: FI & PrefFHR 3213 PE Coupon Rate 6.000%; Matures 09/15/2036; CUSIP 31397B2W0

5/3/12 152,000.000 117.930117.930

113.977 95,900.2282,391.48 79,629.72 (2,761.76) LT A

4,192.00349.32

5.26

Interest Paid Monthly Aug 15; Yield to Maturity 4.897%; Factor .45963640; Issued 09/01/06; Current Face 69,864.733; Asset Class: FI & PrefGNR 2007-41 PB Coupon Rate 5.500%; Matures 09/20/2036; CUSIP 38375KXG2

2/27/12 150,000.000 108.750108.750

100.020 8,910.681,605.74 1,476.83 (128.91) LT A

81.006.76

5.48

Interest Paid Monthly Aug 20; Yield to Maturity 5.498%; Factor .00984362; Issued 07/01/07; Current Face 1,476.543; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 745948 Coupon Rate 6.500%; Matures 10/01/2036; CUSIP 31403DWH8

11/22/11 395,000.000 110.870110.870

115.840 17,889.0516,549.32 17,291.17 741.85 LT A

970.0080.85

5.60

Interest Paid Monthly Oct 01; Yield to Maturity 5.217%; Factor .03778931; Issued 10/01/06; Current Face 14,926.777; Asset Class: FI & PrefFHLMC 30 YR GOLD G02419 Coupon Rate 6.500%; Matures 10/01/2036; CUSIP 3128M4AU7

12/29/11 1,081,000.000 111.620111.620

118.786 45,618.3142,165.22 44,872.22 2,707.00 LT A

2,455.00204.61

5.47

Interest Paid Monthly Oct 01; Yield to Maturity 5.006%; Factor .03494513; Issued 10/01/06; Current Face 37,775.686; Asset Class: FI & PrefFHR 3255 QE Coupon Rate 5.500%; Matures 12/15/2036; CUSIP 31397EAD7

7/1/13 87,000.000 106.750106.750

112.550 37,968.5836,224.14 38,192.28 1,968.14 LT A

1,866.00155.52

4.88

Account Detail




of 100





CurrentYield %

Interest Paid Monthly Aug 15; Yield to Maturity 4.546%; Factor .39004161; Issued 12/01/06; Current Face 33,933.620; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 906211 Coupon Rate 6.000%; Matures 01/01/2037; CUSIP 31411EYG6

8/7/13 545,000.000 109.750109.750

114.674 46,641.4643,944.29 45,915.88 1,971.59 LT A

2,402.00200.20

5.23

Interest Paid Monthly Dec 01; Yield to Maturity 4.856%; Factor .07346855; Issued 12/01/06; Current Face 40,040.360; Asset Class: FI & PrefFHR 3270 AT

Coupon Rate 5.500%; Matures 01/15/2037; CUSIP 31397EQH1

2/23/12

8/14/12

48,000.000

50,000.000

112.000112.000112.500112.500

113.674

113.674

13,125.0411,901.0213,774.3412,452.24

12,078.89

12,582.18

177.87

129.94

LT

LT

A

ATotal 98,000.000 26,899.38

24,353.26 24,661.08 307.81 LT1,193.00

99.434.83

Interest Paid Monthly Aug 15; Yield to Maturity 4.470%; Factor .22137319; Issued 01/01/07; Current Face 21,694.573; Asset Class: FI & PrefGNMA REMIC TRUST 2007-71 PA Coupon Rate 5.000%; Matures 01/20/2037; CUSIP 38375L6G0

4/26/12 670,000.000 107.750107.750

103.739 41,989.9335,304.36 33,990.15 (1,314.21) LT A

1,638.00136.52

4.81

Interest Paid Monthly Aug 20; Yield to Maturity 4.712%; Factor .04890309; Issued 11/01/07; Current Face 32,765.070; Asset Class: FI & PrefFHR 3290 PE Coupon Rate 5.500%; Matures 03/15/2037; CUSIP 31397FQV7

12/5/11 210,000.000 110.500110.500

112.433 99,870.2890,235.66 91,814.17 1,578.51 LT A

4,491.00374.28

4.89

Interest Paid Monthly Aug 15; Yield to Maturity 4.561%; Factor .38886300; Issued 03/01/07; Current Face 81,661.230; Asset Class: FI & PrefFNMA REMIC TRUST 2007-13 H Coupon Rate 5.500%; Matures 03/25/2037; CUSIP 31396PL25

3/29/12 88,000.000 111.500111.500

112.317 45,702.5541,317.07 41,619.81 302.74 LT A

2,038.00169.83

4.89

Interest Paid Monthly Aug 25; Yield to Maturity 4.570%; Factor .42108711; Issued 02/01/07; Current Face 37,055.666; Asset Class: FI & PrefFHLMC REMIC SERIES 3302 UT Coupon Rate 6.000%; Matures 04/15/2037; CUSIP 31397GB82

1/11/13 1,000,000.000 115.730115.730

114.478 623,488.10412,562.86 408,099.63 (4,463.23) LT A

21,389.001,782.43

5.24

Interest Paid Monthly Aug 15; Yield to Maturity 4.878%; Factor .35648739; Issued 04/01/07; Current Face 356,487.390; Asset Class: FI & PrefFHR 3316 CD Coupon Rate 5.500%; Matures 05/15/2037; CUSIP 31397HJC3

7/23/12 110,000.000 108.750108.750

112.682 16,651.1415,176.21 15,724.92 548.71 LT A

768.0063.96

4.88

Interest Paid Monthly Aug 15; Yield to Maturity 4.548%; Factor .12686487; Issued 05/01/07; Current Face 13,955.136; Asset Class: FI & PrefFNMA REMIC TRUST 2007-76 PE Coupon Rate 6.000%; Matures 08/25/2037; CUSIP 31396WZ41

7/10/13 25,000.000 107.370107.370

111.715 11,867.7110,270.51 10,686.13 415.62 LT A

574.0047.82

5.37

Interest Paid Monthly Aug 25; Yield to Maturity 5.085%; Factor .38262135; Issued 07/01/07; Current Face 9,565.534; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 257007 Coupon Rate 6.000%; Matures 10/01/2037; CUSIP 31371NNY7

6/1/12 750,000.000 111.810111.810

114.353 58,377.3153,943.12 55,170.00 1,226.88 LT A

2,895.00241.22

5.24

Interest Paid Monthly Nov 01; Yield to Maturity 4.900%; Factor .06432713; Issued 11/01/07; Current Face 48,245.348; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL 888890 Coupon Rate 6.500%; Matures 10/01/2037; CUSIP 31410GRK1

11/22/11 215,000.000 110.870110.870

114.983 12,089.9311,121.68 11,534.26 412.58 LT A

652.0054.33

5.65

Interest Paid Monthly Nov 01; Yield to Maturity 5.310%; Factor .04665710; Issued 11/01/07; Current Face 10,031.276; Asset Class: FI & PrefFNMA REMIC TRUST 2013-83 CA Coupon Rate 3.500%; Matures 10/25/2037; CUSIP 3136AFW83

7/25/13 250,000.000 103.620103.620

104.302 175,751.77163,023.69 164,096.66 1,072.97 LT A

5,506.00458.87

3.35

Account Detail




of 100





CurrentYield %

Interest Paid Monthly Aug 25; Yield to Maturity 3.218%; Factor .62931359; Issued 07/01/13; Current Face 157,328.398; Asset Class: FI & PrefGNR 2007-70 PE Coupon Rate 5.500%; Matures 11/20/2037; CUSIP 38375LP79

6/28/12

7/24/12

200,000.000

200,000.000

114.150114.150115.000115.000

112.777

112.777

116,077.29100,548.77117,315.25101,297.49

99,339.36

99,339.36

(1,209.41)

(1,958.13)

LT

LT

A

ATotal 400,000.000 233,392.54

201,846.26 198,678.73 (3,167.54) LT9,689.00

807.444.87

Interest Paid Monthly Aug 20; Yield to Maturity 4.554%; Factor .44042387; Issued 11/01/07; Current Face 176,169.548; Asset Class: FI & PrefGNMA REMIC TRUST 2009-69 TG Coupon Rate 5.000%; Matures 02/20/2038; CUSIP 38373AC46

5/7/12 100,000.000 112.340112.340

109.143 48,006.3141,900.12 40,707.72 (1,192.40) LT A

1,865.00155.40

4.58

Interest Paid Monthly Aug 20; Yield to Maturity 4.341%; Factor .37297601; Issued 08/01/09; Current Face 37,297.601; Asset Class: FI & PrefGNMA REMIC TRUST 2009-61 PD Coupon Rate 5.000%; Matures 03/16/2038; CUSIP 38376FCQ3

2/28/12 371,000.000 112.310112.310

101.373 131,838.9779,902.26 72,121.19 (7,781.07) LT A

3,557.00296.43

4.93

Interest Paid Monthly Aug 16; Yield to Maturity 4.896%; Factor .19176384; Issued 08/01/09; Current Face 71,144.385; Asset Class: FI & PrefGNMA REMIC TRUST 2009-61 PK Coupon Rate 5.000%; Matures 03/16/2038; CUSIP 38376FFW7

7/5/12 300,000.000 106.500106.500

101.400 19,895.7311,953.09 11,380.68 (572.41) LT A

561.0046.76

4.92

Interest Paid Monthly Aug 16; Yield to Maturity 4.894%; Factor .03741186; Issued 08/01/09; Current Face 11,223.558; Asset Class: FI & PrefFNMA REMIC TRUST 2009-71 XB Coupon Rate 5.000%; Matures 03/25/2038; CUSIP 31398FAQ4

3/29/12

4/4/12

75,000.000

50,000.000

108.870108.870108.870108.870

100.206

100.206

17,901.955,165.91

11,934.623,443.94

4,754.79

3,169.86

(411.12)

(274.08)

LT

LT

A

ATotal 125,000.000 29,836.57

8,609.85 7,924.66 (685.20) LT395.00

32.954.98

Interest Paid Monthly Aug 25; Yield to Maturity 4.984%; Factor .06326702; Issued 08/01/09; Current Face 7,908.378; Asset Class: FI & PrefGNMA 08-33 PB Coupon Rate 5.500%; Matures 04/20/2038; CUSIP 38375QEY1

8/16/13

9/4/13

75,000.000

50,000.000

108.000108.000107.500107.500

113.654

113.654

43,353.4839,043.3028,701.7625,908.36

41,087.28

27,391.52

2,043.98

1,483.16

LT

LT

A

ATotal 125,000.000 72,055.24

64,951.66 68,478.81 3,527.14 LT3,314.00

276.154.83

Interest Paid Monthly Aug 20; Yield to Maturity 4.505%; Factor .48201607; Issued 04/01/08; Current Face 60,252.009; Asset Class: FI & PrefGNR 2008-31 PC Coupon Rate 5.500%; Matures 04/20/2038; CUSIP 38374D5M7

3/26/12 100,000.000 113.120113.120

112.776 69,505.0861,091.23 60,905.45 (185.78) LT A

2,970.00247.52

4.87

Interest Paid Monthly Aug 20; Yield to Maturity 4.564%; Factor .54005686; Issued 04/01/08; Current Face 54,005.686; Asset Class: FI & PrefGNR 2008-38 PL Coupon Rate 5.500%; Matures 05/20/2038; CUSIP 38375QGF0

3/30/12 85,000.000 113.620113.620

112.693 79,241.9475,531.16 74,914.91 (616.25) LT A

3,656.00304.68

4.88


Account Detail




of 100





CurrentYield %

GNR 2008-41 PE

Coupon Rate 5.500%; Matures 05/20/2038; CUSIP 38374D7K9

3/23/12

5/2/12

500,000.000

121,000.000

115.430115.430115.780115.780

112.551

112.551

548,635.84533,167.15133,193.36129,417.68

519,869.14

125,808.33

(13,298.01)

(3,609.35)

LT

LT

A

ATotal 621,000.000 681,829.20

662,584.83 645,677.48 (16,907.36) LT31,552.00

2,629.344.88

Interest Paid Monthly Oct 20; Yield to Maturity 4.581%; Factor .92379304; Issued 05/01/08; Current Face 573,675.478; Asset Class: FI & PrefGNMA 08-65 JP Coupon Rate 5.750%; Matures 08/20/2038; CUSIP 38375X3Z5

2/8/12 100,000.000 115.710115.710

112.869 106,349.32102,337.99 99,825.31 (2,512.68) LT A

5,086.00423.79

5.09

Interest Paid Monthly Aug 20; Yield to Maturity 4.796%; Factor .88443517; Issued 08/01/08; Current Face 88,443.517; Asset Class: FI & PrefGNR 2008-65 MP Coupon Rate 6.000%; Matures 08/20/2038; CUSIP 38375X2P8

2/29/12 50,000.000 115.750115.750

115.554 57,875.0057,875.00 57,777.00 (98.00) LT A

3,000.00249.99

5.19

Interest Paid Monthly Aug 20; Yield to Maturity 4.842%; Issued 08/01/08; Asset Class: FI & PrefGNR 2008-65 PG Coupon Rate 6.000%; Matures 08/20/2038; CUSIP 38375XZ72

3/7/12

2/12/13

54,000.000

99,000.000

115.620115.620116.000116.000

114.095

114.095

60,108.6658,362.07

110,575.41107,348.78

57,592.28

105,585.84

(769.79)

(1,762.94)

LT

LT

A

ATotal 153,000.000 170,684.07

165,710.85 163,178.13 (2,532.73) LT8,581.00

715.095.25

Interest Paid Monthly Oct 20; Yield to Maturity 4.941%; Factor .93476820; Issued 08/01/08; Current Face 143,019.535; Asset Class: FI & PrefFHLMC 30 YR GOLD G04676 Coupon Rate 6.000%; Matures 09/01/2038; CUSIP 3128M6Q50

1/25/12 1,000,000.000 110.180110.180

114.897 121,332.12109,614.27 114,307.04 4,692.77 LT A

5,969.00497.43

5.22

Interest Paid Monthly Aug 01; Yield to Maturity 4.887%; Factor .09948654; Issued 08/01/08; Current Face 99,486.540; Asset Class: FI & PrefFNMA REMIC TRUST 2013-96 YA Coupon Rate 3.500%; Matures 09/25/2038; CUSIP 3136AGAY8

7/31/13 250,000.000 102.210102.210

105.492 197,110.20187,930.18 193,964.68 6,034.50 LT A

6,435.00536.27

3.31

Interest Paid Monthly Aug 25; Yield to Maturity 3.153%; Factor .73546691; Issued 08/01/13; Current Face 183,866.728; Asset Class: FI & PrefGNMA REMIC TRUST 2009-127 PL Coupon Rate 4.250%; Matures 10/20/2038; CUSIP 38376P6D7

12/28/12 330,000.000 106.790106.790

104.483 77,270.8566,198.83 64,768.72 (1,430.11) LT A

2,635.00219.54

4.06

Interest Paid Monthly Aug 20; Yield to Maturity 3.944%; Factor .18784766; Issued 12/01/09; Current Face 61,989.728; Asset Class: FI & PrefFHLMC REMIC SERIES 3804 FN Coupon Rate 0.957%; Matures 03/15/2039; CUSIP 3137A7EQ9

2/27/12 625,000.000 100.310100.310

100.373 72,602.4268,045.25 68,087.98 42.73 LT A

650.0028.87

0.95

Interest Paid Monthly Aug 15; Yield to Maturity .939%; Floater; Factor .10853594; Issued 02/15/11; Current Face 67,834.962; Asset Class: FI & PrefFNMA REMIC TRUST 2009-10 PE Coupon Rate 5.500%; Matures 03/25/2039; CUSIP 31397NHH1

9/9/15 1,000,000.000 107.680107.680

106.454 73,536.6347,701.67 47,158.69 (542.98) ST

2,436.00203.03

5.16

Interest Paid Monthly Aug 25; Yield to Maturity 5.019%; Factor .04429960; Issued 02/01/09; Current Face 44,299.600; Asset Class: FI & PrefGNMA REMIC TRUST 2009-45 DA Coupon Rate 4.500%; Matures 06/20/2039; CUSIP 38374VJZ3

1/11/13 1,000,000.000 107.720107.720

107.958 126,433.9886,943.70 87,135.79 192.09 LT A

3,632.00302.67

4.16

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CurrentYield %

Interest Paid Monthly Aug 20; Yield to Maturity 3.966%; Factor .08071268; Issued 06/01/09; Current Face 80,712.680; Asset Class: FI & PrefFHLMC REMIC SERIES 3553 PE Coupon Rate 5.500%; Matures 07/15/2039; CUSIP 31398ENL4

12/15/11 800,000.000 107.600107.600

104.942 45,196.6040,472.30 39,472.53 (999.77) LT A

2,069.00172.39

5.24

Interest Paid Monthly Aug 15; Yield to Maturity 5.130%; Factor .04701708; Issued 07/01/09; Current Face 37,613.664; Asset Class: FI & PrefGNR 2009-58 JQ Coupon Rate 5.500%; Matures 07/20/2039; CUSIP 38375DU55

5/1/12 201,000.000 117.780117.780

114.598 236,737.80236,737.80 230,341.98 (6,395.82) LT A

11,055.00921.24

4.79

Interest Paid Monthly Aug 20; Yield to Maturity 4.474%; Issued 07/01/09; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL AC3237 Coupon Rate 5.000%; Matures 10/01/2039; CUSIP 31417MS38

6/6/13 200,000.000 109.500109.500

112.656 71,138.7167,321.62 69,261.96 1,940.34 LT A

3,074.00256.17

4.43

Interest Paid Monthly Sep 01; Yield to Maturity 4.143%; Factor .30740468; Issued 09/01/09; Current Face 61,480.936; Asset Class: FI & PrefGNR 2009-93 AY Coupon Rate 5.000%; Matures 10/20/2039; CUSIP 38376KGV7

12/21/12 161,000.000 112.750112.750

111.763 145,514.24136,811.28 135,613.65 (1,197.63) LT A

6,067.00505.58

4.47

Interest Paid Monthly Aug 20; Yield to Maturity 4.200%; Factor .75366698; Issued 10/01/09; Current Face 121,340.384; Asset Class: FI & PrefFNMA REMIC TRUST 2013-58 A Coupon Rate 2.000%; Matures 12/25/2039; CUSIP 3136AEJA6

2/18/16 670,000.000 100.375100.375

101.055 504,606.62462,800.73 465,936.02 3,135.29 ST

9,221.00768.45

1.97

Interest Paid Monthly Aug 25; Yield to Maturity 1.943%; Factor .68816674; Issued 05/01/13; Current Face 461,071.716; Asset Class: FI & PrefFHLMC REMIC SERIES 4030 PA Coupon Rate 3.500%; Matures 06/15/2040; CUSIP 3137APMH0

4/13/12 1,000,000.000 105.500105.500

102.976 609,377.48455,407.42 444,512.17 (10,895.25) LT A

15,108.001,259.02

3.39

Interest Paid Monthly Aug 15; Yield to Maturity 3.318%; Factor .43166580; Issued 04/01/12; Current Face 431,665.800; Asset Class: FI & PrefFHLMC REMIC SERIES 3715 PC Coupon Rate 4.500%; Matures 08/15/2040; CUSIP 3137A0TC9

4/26/12 110,000.000 108.250108.250

110.950 119,075.00119,075.00 122,045.00 2,970.00 LT A

4,950.00412.49

4.05

Interest Paid Monthly Aug 15; Yield to Maturity 3.800%; Issued 08/01/10; Asset Class: FI & PrefFHLMC REMIC SERIES 4384 LA Coupon Rate 3.500%; Matures 09/15/2040; CUSIP 3137BDKF2

9/9/15 1,000,000.000 105.813105.813

104.995 956,063.72821,389.09 815,043.09 (6,346.00) ST

27,169.002,264.11

3.33

Interest Paid Monthly Aug 15; Yield to Maturity 3.200%; Factor .77626848; Issued 09/01/14; Current Face 776,268.480; Asset Class: FI & PrefFNMA REMIC TRUST 2011-52 LB Coupon Rate 5.500%; Matures 06/25/2041; CUSIP 31397UDM8

4/20/12 225,000.000 115.500115.500

121.876 259,875.00259,875.00 274,221.00 14,346.00 LT A

12,375.001,031.24

4.51

Interest Paid Monthly Aug 25; Yield to Maturity 4.088%; Issued 05/01/11; Asset Class: FI & PrefFNMA REMIC TRUST 2016-42 HE Coupon Rate 2.500%; Matures 09/25/2041; CUSIP 3136ASY75

8/4/16 3,000,000.000 102.863102.863

101.973 3,008,303.953,008,297.95 2,982,283.79 (26,014.16) ST

73,115.006,092.87

2.45

Interest Paid Monthly Aug 25; Yield to Maturity 2.395%; Factor .97486060; Issued 06/01/16; Current Face 2,924,581.800; Asset Class: FI & PrefFNMA REMIC TRUST 2012-100 NA Coupon Rate 2.000%; Matures 11/25/2041; CUSIP 3136A8NH9

9/11/12 1,250,000.000 101.930101.930

100.397 895,017.60734,373.61 723,328.82 (11,044.79) LT A

14,409.001,200.78

1.99

Interest Paid Monthly Aug 25; Yield to Maturity 1.980%; Factor .57637485; Issued 08/01/12; Current Face 720,468.562; Asset Class: FI & PrefFHLMC REMIC SERIES 4000 PD Coupon Rate 2.000%; Matures 01/15/2042; CUSIP 3137ALY78

3/28/12 1,000,000.000 100.250100.250

100.919 424,633.65312,096.64 314,179.35 2,082.71 LT A

6,226.00518.86

1.98


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CurrentYield %

FHLMC REMIC SERIES 4034 PJ Coupon Rate 2.000%; Matures 03/15/2042; CUSIP 3137ANNR2

4/2/12 1,000,000.000 100.000100.000

101.083 424,015.20308,429.20 311,769.48 3,340.28 LT A

6,169.00514.04

1.97

Interest Paid Monthly Aug 15; Yield to Maturity 1.946%; Factor .30842920; Issued 04/01/12; Current Face 308,429.200; Asset Class: FI & PrefFREDDIE MAC FHR 4034 PK Coupon Rate 2.250%; Matures 03/15/2042; CUSIP 3137ANNS0

4/2/12 1,000,000.000 101.000101.000

101.855 428,255.30311,513.49 314,150.56 2,637.07 LT A

6,940.00578.30

2.20

Interest Paid Monthly Aug 15; Yield to Maturity 2.155%; Factor .30842920; Issued 04/01/12; Current Face 308,429.200; Asset Class: FI & PrefFHLMC REMIC SERIES 4231 PA Coupon Rate 3.500%; Matures 05/15/2042; CUSIP 3137B3J33

9/9/15 1,000,000.000 105.813105.813

105.516 784,167.27680,387.73 678,481.19 (1,906.54) ST

22,505.001,875.45

3.31

Interest Paid Monthly Aug 15; Yield to Maturity 3.184%; Factor .64301262; Issued 07/01/13; Current Face 643,012.620; Asset Class: FI & PrefGNMA REMIC TRUST 2012-116 BC Coupon Rate 1.500%; Matures 06/16/2042; CUSIP 38375C5X4

9/11/12 1,450,000.000 99.87099.870

98.970 1,034,974.01904,512.57 896,361.35 (8,151.22) LT A

13,585.001,132.11

1.51

Interest Paid Monthly Aug 16; Yield to Maturity 1.549%; Factor .62461377; Issued 09/01/12; Current Face 905,689.966; Asset Class: FI & PrefFHLMC 30 YR GOLD S05711 Coupon Rate 3.500%; Matures 07/15/2042; CUSIP 3128HXKY0

7/23/12 250,000.000 104.900104.900

106.463 196,997.04194,049.06 196,940.37 2,891.31 LT A

6,474.00539.53

3.28

Interest Paid Monthly Jul 01; Yield to Maturity 3.133%; Factor .73993923; Issued 07/01/12; Current Face 184,984.808; Asset Class: FI & PrefFHLMC 30 YR GOLD S05783 Coupon Rate 0.992%; Matures 07/15/2042; CUSIP 3128HXM85

7/23/12 250,000.000 100.260100.260

99.959 178,571.10176,011.56 175,483.13 (528.43) LT A

1,742.00145.12

0.99

Interest Paid Monthly Jul 01; Yield to Maturity .994%; Factor .70222046; Issued 07/01/12; Current Face 175,555.115; Asset Class: FI & PrefFNMA GRANTOR TRUST 2002-T19 A1 Coupon Rate 6.500%; Matures 07/25/2042; CUSIP 31392GVP7

11/22/11 2,000,000.000 114.000114.000

116.153 194,122.98181,001.68 184,420.06 3,418.38 LT A

10,320.00860.02

5.59

Interest Paid Monthly Aug 25; Yield to Maturity 5.341%; Factor .07938670; Issued 12/01/02; Current Face 158,773.400; Asset Class: FI & PrefFNMA REMIC TRUST 2012-100 DB Coupon Rate 3.000%; Matures 09/25/2042; CUSIP 3136A8MX5

— 175,000.000 ——


5,250.00437.49

2.86

Interest Paid Monthly Aug 25; Yield to Maturity 2.746%; Issued 08/01/12; Asset Class: FI & PrefFNMA REMIC TRUST 2013-6 LD Coupon Rate 2.000%; Matures 02/25/2043; CUSIP 3136ABZ22

9/9/15 1,300,000.000 98.62598.625

100.470 944,916.01828,925.87 844,432.76 15,506.89 ST

16,810.001,400.80

1.99

Interest Paid Monthly Aug 25; Yield to Maturity 1.977%; Factor .64652500; Issued 01/01/13; Current Face 840,482.500; Asset Class: FI & PrefFEDERAL NATIONAL MTG ASSN POOL MA1546 Coupon Rate 3.500%; Matures 08/01/2043; CUSIP 31418AWG9

7/31/13 250,000.000 98.48098.480

106.665 208,367.81207,073.28 224,283.82 17,210.54 LT A

7,359.00613.28

3.28

Interest Paid Monthly Jul 01; Yield to Maturity 3.132%; Factor .84107750; Issued 07/01/13; Current Face 210,269.375; Asset Class: FI & PrefFHLMC REMIC SERIES 4480 EA Coupon Rate 3.500%; Matures 11/15/2043; CUSIP 3137BKCB4

9/9/15 1,000,000.000 106.305106.305

106.372 1,038,082.32923,831.18 924,416.13 584.95 ST

30,416.002,534.70

3.29

Interest Paid Monthly Aug 15; Yield to Maturity 3.149%; Factor .86904085; Issued 06/01/15; Current Face 869,040.850; Asset Class: FI & PrefFNMA REMIC TRUST 2016-54 PA Coupon Rate 3.000%; Matures 02/25/2044; CUSIP 3136ATFK5

8/2/16 3,000,000.000 104.500104.500

104.168 3,122,342.143,122,336.14 3,112,416.36 (9,919.78) ST

89,636.001,493.94

2.87

Interest Paid Monthly Aug 25; Yield to Maturity 2.782%; Factor .99596049; Issued 07/01/16; Current Face 2,987,881.470; Asset Class: FI & Pref

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CurrentYield %

GNMA REMIC TRUST 2015-100 PG Coupon Rate 2.500%; Matures 07/20/2045; CUSIP 38379NQ21

8/18/15 1,000,000.000 100.769100.769

102.481 1,004,295.50865,383.59 880,088.08 14,704.49 LT

21,470.001,789.12

2.43

Interest Paid Monthly Aug 20; Yield to Maturity 2.381%; Factor .85878171; Issued 07/01/15; Current Face 858,781.710; Asset Class: FI & PrefGOVERNMENT NATIONAL MTG ASSN POOL MA3106 Coupon Rate 4.000%; Matures 09/20/2045; CUSIP 36179RNX3

8/2/16 2,446,000.000 107.250107.250

106.881 2,059,383.792,059,377.79 2,052,292.37 (7,085.42) ST

76,807.006,400.55

3.74

Interest Paid Monthly Sep 01; Factor .78502280; Issued 09/01/15; Current Face 1,920,165.769; Asset Class: FI & PrefGOVERNMENT NATIONAL MTG ASSN POOL MA3244 Coupon Rate 3.500%; Matures 11/20/2045; CUSIP 36179RS91

8/4/16 2,006,000.000 106.690106.690

106.192 1,910,345.561,910,339.56 1,901,418.15 (8,921.41) ST

62,669.005,222.42

3.29

Interest Paid Monthly Nov 01; Factor .89259594; Issued 11/01/15; Current Face 1,790,547.456; Asset Class: FI & PrefFNMA REMIC TRUST 2016-54 GA Coupon Rate 2.500%; Matures 11/25/2045; CUSIP 3136ATHG2

8/17/16 1,000,000.000 103.363103.363

103.026 1,024,883.741,024,877.74 1,021,541.21 (3,336.53) ST

24,788.00413.14

2.42

Interest Paid Monthly Feb 25; Yield to Maturity 2.356%; Factor .99153730; Issued 07/01/16; Current Face 991,537.300; Asset Class: FI & PrefWFRBS 2012-C6 A4 Coupon Rate 3.440%; Matures 04/15/2056; CUSIP 92936QAG3

— 120,000.000 ——


4,128.00343.99

3.20

Interest Paid Monthly Aug 17; Yield to Maturity 3.114%; Moody AAA; Issued 04/01/12; Asset Class: FI & PrefTENN VALLEY AUTH Coupon Rate 4.625%; Matures 09/15/2060; CUSIP 880591EJ7

3/17/15 250,000.000 118.154117.928

128.262 295,385.00294,819.86 320,655.00 25,835.14 LT A

11,563.005,331.59

3.60

Int. Semi-Annually Mar/Sep 15; Yield to Maturity 3.386%; Moody AAA S&P AA+; Issued 09/15/10; Asset Class: FI & PrefFEDERAL AGENCIES 177,545,997.000 $59,129,275.86

$55,972,333.23 $57,223,522.26 $418,141.91$201,066.72

LTST

$1,916,977.00$205,561.84

3.35%





CurrentYield %

GOVERNMENT SECURITIES 208,077,997.000 $85,169,977.75

$83,555,327.98 $86,537,255.08 $829,849.43$740,332.07

LTST

$2,342,700.00$266,535.89

2.71%

TOTAL GOVERNMENT SECURITIES (includes accrued interest)

67.65% $86,803,790.97

Percentageof Holdings Total Cost Market Value



CurrentYield %

TOTAL MARKET VALUE $136,117,145.46 $127,730,879.28 $(12,132,479.66)$892,740.12

LTST

$4,011,683.00$574,604.27

3.13%

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TOTAL VALUE (includes accrued interest) 100.00% $128,305,483.55

A - You executed this transaction elsewhere and later transferred the security to this account. Another financial institution has provided the transaction detail for this position.Unrealized Gain/(Loss) totals only reflect positions that have both cost basis and market value information available. Cash, MMF, Deposits and positions stating 'Please Provide' or 'Pending Corporate Actions' are notincluded.

ALLOCATION OF ASSETS (^includes accrued interest)

Cash EquitiesFixed Income &

Preferred Securities AlternativesAnnuities &

InsuranceStructured

Investments OtherCash, BDP, MMFs $1,264,725.39 — — — — — —Municipal Bonds^ — — $8,444,785.36 — — — —Corporate Fixed Income^ — — 31,792,181.83 — — — —Government Securities^ — — 86,803,790.97 — — — —

TOTAL ALLOCATION OF ASSETS^ $1,264,725.39 — $127,040,758.16 — — — —

ACTIVITYCASH FLOW ACTIVITY BY DATEActivityDate

SettlementDate Activity Type Description Comments Quantity Price Credits/(Debits)

8/1 Funds Received WIRED FUNDS RECEIVED BANCO POPULAR DE PUERTO RICOCORP PUB SUPERVISION Y SEGUROS

$5,000,000.00

8/1 Interest Income BRISTOL MYERS CO 2000 22AU01 CUSIP: 110122AT5 10,000.008/1 Interest Income NEW YORK N Y C BE 5210 17AU01 CUSIP: 64971MDD1 5,079.758/1 Interest Income HYDRO QUEBEC 9400 21FB01 CUSIP: 448814DM2 2,585.008/1 Interest Income CONOCOPHILLIPS 5750 19FB01 CUSIP: 20825CAR5 2,443.758/1 Interest Income DOMINION RESOURCE 5250 33AU01 CUSIP: 257469AJ5 1,312.508/1 Interest Income ANHEUSER-BUSCH IN 3300 *23FB01 CUSIP: 035242AL0 1,278.758/1 Interest Income BOSTON PROPERTIES 3800 *24FB01 CUSIP: 10112RAW4 760.008/1 Interest Income IBM CORP 6220 27AU01 CUSIP: 459200AR2 622.008/1 Interest Income BED BATH & BEYOND 4915 *34AU01 CUSIP: 075896AB6 614.388/1 Interest Income BED BATH & BEYOND 3749 *24AU01 CUSIP: 075896AA8 562.358/1 Interest Income HALLIBURTON CO 3500 *23AU01 CUSIP: 406216BD2 525.008/1 Interest Income NUCOR CORP 4000 *23AU01 CUSIP: 670346AM7 500.008/1 Interest Income ANHEUSER-BUSCH 3650 *26FB01 CUSIP: 035242AP1 471.468/1 Interest Income HCP INC 3150 *22AU01 CUSIP: 40414LAG4 393.758/1 Interest Income SCHLUMBERGER INV 2400 *22AU01 CUSIP: 806854AD7 300.008/1 Interest Income AT&T INC 5500 18FB01 CUSIP: 00206RAJ1 275.008/2 Tax Exempt Interest Income PUERTO RICO SA BE 6050 *29AU01 CUSIP: 74529JNL5 50,416.678/2 Tax Exempt Interest Income PR SALES TAX-A BE 5500 *23AU01 CUSIP: 74529JHF5 13,750.008/2 Write Off WRITE-OFF DEBIT 18.00

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CASH FLOW ACTIVITY BY DATE (CONTINUED)ActivityDate


8/3 Funds Received WIRED FUNDS RECEIVED BANCO POPULAR DE PUERTO RICOCORP PUB SUPERVISION Y SEGUROS

5,000,000.00

8/3 Interest Income WELLS FARGO & CO 2150 20JA30 CUSIP: 94974BGF1 215.008/3 Write Off WRITE-OFF DEBIT 12.008/4 8/15 Bought FFCB 2470 *30AU15 500,000.000 100.0000 (500,006.00)8/5 Write Off WRITE-OFF DEBIT 18.008/8 Interest Income MICROSOFT CORP 4000 21FB08 CUSIP: 594918AL8 5,000.008/8 Interest Income PROCTER & GAMBLE 2300 22FB06 CUSIP: 742718DY2 2,875.008/8 Interest Income PNC FUNDING COP 5125 20FB08 CUSIP: 693476BJ1 896.888/8 Interest Income AMCAR 2013-5 A3 0900 *18SPRG CUSIP: 03065EAD7 3.688/8 Principal Payment AMCAR 2013-5 A3 0900 *18SPRG CUSIP: 03065EAD7 1,570.408/8 8/31 Bought GNMA POOL MA3106 4000 45SP20 ACCRUED INTEREST 6,400.55

a/o 08/02/162,446,000.000 107.2500 (2,065,784.34)

8/8 8/31 Bought GNMA POOL MA3244 3500 45NV20 ACCRUED INTEREST 5,222.44 a/o 08/04/16

2,006,000.000 106.6902 (1,915,568.00)

8/10 Interest Income BACM 2006-5 A4 5414 47SPRG CUSIP: 05950XAE6 314.558/10 Interest Income TOTAL CAPITAL SA 2125 18AU10 CUSIP: 89152UAG7 265.638/10 Interest Income BACM 2006-3 A4 5889 44JLRG CUSIP: 059500AD0 39.218/10 Principal Payment BACM 2006-5 A4 5414 47SPRG CUSIP: 05950XAE6 50,586.618/10 Principal Payment BACM 2006-3 A4 5889 44JLRG CUSIP: 059500AD0 4,082.248/11 Interest Income GECC 5300 21FB11 CUSIP: 369622SM8 17,225.008/12 Interest Income MICROSOFT CORP 2700 *25FB12 CUSIP: 594918BB9 13,500.008/12 Interest Income FFCB 2440 25FB12 CUSIP: 3133ECF82 12,200.008/12 Interest Income MLCFC 2007-9 A4 5700 49SPRG CUSIP: 60688CAE6 1,156.238/12 Interest Income UBSBB 2013-C6 A4 3244 46APRG CUSIP: 90349GBF1 773.228/12 Interest Income COMM 2012-9W57 A 2364 29FBRG CUSIP: 126191AA3 492.638/12 Interest Income GSMS 2013-NYC5 A 2318 30JARG CUSIP: 36197RAA5 376.688/12 Principal Payment MLCFC 2007-9 A4 5700 49SPRG CUSIP: 60688CAE6 10,306.158/12 8/5 Bought FNR 2016-54 PA 3000 44FBRG ACCRUED INTEREST 995.95

a/o 08/02/163,000,000.000 104.5000 (3,123,338.09)

8/12 8/9 Bought FNR 2016-42 HE 2500 41SPRG ACCRUED INTEREST 1,624.78 a/o 08/04/16

3,000,000.000 102.8625 (3,009,928.73)

8/15 Interest Income US TSY BOND 5375 31FB15 CUSIP: 912810FP8 33,593.758/15 Interest Income US TSY NOTE 2500 23AU15 CUSIP: 912828VS6 25,000.008/15 Interest Income FFCB 2350 24AU14 CUSIP: 3133EAJ90 23,500.008/15 Interest Income US TSY BOND 2500 45FB15 CUSIP: 912810RK6 12,500.008/15 Interest Income US TSY NOTE 2000 25AU15 CUSIP: 912828K74 12,500.008/15 Interest Income US TSY NOTE 2375 24AU15 CUSIP: 912828D56 11,875.008/15 Interest Income US TSY NOTE 2125 21AU15 CUSIP: 912828RC6 10,625.008/15 Interest Income US TSY BOND 3500 39FB15 CUSIP: 912810QA9 8,750.008/15 Interest Income WELLS FARGO CO 3450 23FB13 CUSIP: 94974BFJ4 7,590.008/15 Interest Income US TSY NOTE 2750 24FB15 CUSIP: 912828B66 6,875.00

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8/15 Interest Income METLIFE INC 6817 18AU15 CUSIP: 59156RAR9 3,408.508/15 Interest Income FHR 4480 EA 3500 43NVRG CUSIP: 3137BKCB4 2,566.898/15 Interest Income FHR 4384 LA 3500 40SPRG CUSIP: 3137BDKF2 2,300.118/15 Interest Income CATERPILLAR INC 6050 36AU15 CUSIP: 149123BN0 2,117.508/15 Interest Income FHR 4231 PA 3500 42MYRG CUSIP: 3137B3J33 1,900.618/15 Interest Income FHR 3158 NE 5500 36MYRG CUSIP: 31396NX27 1,836.568/15 Interest Income FHR 3302 UT 6000 37APRG CUSIP: 31397GB82 1,809.998/15 Interest Income AT&T INC 3875 21AU15 CUSIP: 00206RAZ5 1,743.758/15 Interest Income FHR 3885 AC 4000 26JNRG CUSIP: 3137ABST9 1,666.678/15 Interest Income TCI COMMUNICATION 7875 26FBRG CUSIP: 872287AF4 1,575.008/15 Interest Income AGL CAPITAL CORP 5250 19AU15 CUSIP: 001192AG8 1,575.008/15 Interest Income FHR 4030 PA 3500 40JNRG CUSIP: 3137APMH0 1,298.738/15 Interest Income PACIFIC G&E 6350 38FB15 CUSIP: 694308GM3 1,270.008/15 Interest Income DUKE ENERGY 6350 38AU15 CUSIP: 263901AA8 1,270.008/15 Interest Income FHR 2696 LL 5500 33OCRG CUSIP: 31394KRS5 1,177.928/15 Interest Income NATIONWIDE MUTUAL 9375 39AU15 CUSIP: 638671AK3 1,171.888/15 Interest Income ALABAMA PWR CO 5700 33FB15 CUSIP: 010392EC8 1,140.008/15 Interest Income FHLMC 20G U80068 3500 32OC01 CUSIP: 3132G7CD5 1,061.568/15 Interest Income UNITEDHEALTH GRP 6875 38FB15 CUSIP: 91324PBK7 1,031.258/15 Interest Income BURLINGTON NTHRN 7950 30AU15 CUSIP: 12189TAR5 993.758/15 Interest Income NORTHERN STATES P 4850 *40AU15 CUSIP: 665772CG2 970.008/15 Interest Income FHR 2613 LL 5000 33MYRG CUSIP: 31393RFB1 954.178/15 Interest Income AMERICAN INTL GRP 4125 24FB15 CUSIP: 026874CY1 928.138/15 Interest Income FHR 2669 LL 5500 33AURG CUSIP: 31394HC25 893.758/15 Interest Income CISCO SYSTEMS INC 5900 39FB15 CUSIP: 17275RAD4 885.008/15 Interest Income FHR 2554 MN 5500 33JARG CUSIP: 31393J3Z9 880.648/15 Interest Income FHR 2778 MM 5250 34APRG CUSIP: 31394WT81 866.258/15 Interest Income FHR 3072 CA 6000 35NVRG CUSIP: 31396FJ38 847.868/15 Interest Income APPALACHIAN POWER 6700 37AU15 CUSIP: 037735CK1 837.508/15 Interest Income FHR 3178 PE 5500 36JNRG CUSIP: 31396RRB5 829.538/15 Interest Income NORTHROP GRUMMAN 7750 31FB15 CUSIP: 666807AW2 775.008/15 Interest Income FHR 3659 VG 5000 34SPRG CUSIP: 31398VVS2 770.838/15 Interest Income FHR 2572 LL 5350 33FBRG CUSIP: 31393KGA7 749.008/15 Interest Income FHR 4100 DA 1500 27AURG CUSIP: 3137ASXW9 714.228/15 Interest Income FHR 2963 DE 6000 35APRG CUSIP: 31395TM92 670.008/15 Interest Income FHR 2218 ZB 6000 30MHRG CUSIP: 3133TNM84 627.548/15 Interest Income LINCOLN NATL CORP 6250 20FB15 CUSIP: 534187AY5 625.008/15 Interest Income FHR 2215 PH 6500 30FBRG CUSIP: 3133TNHW7 619.548/15 Interest Income FHLMC 20G G30301 5500 25JN01 CUSIP: 3128CUKN5 618.238/15 Interest Income FHLMC 20G C90651 6000 23FB01 CUSIP: 31335HWL3 603.408/15 Interest Income FHR 4034 PK 2250 42MHRG CUSIP: 3137ANNS0 595.068/15 Interest Income ACE INA HOLDINGS 5700 17FB15 CUSIP: 00440EAJ6 570.00

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8/15 Interest Income FHR 2613 BY 5500 33MYRG CUSIP: 31393RDS6 549.418/15 Interest Income FHLMC 30G S05711 3500 42JL15 CUSIP: 3128HXKY0 543.348/15 Interest Income OCCIDENTAL PETROL 2700 *23FB15 CUSIP: 674599CE3 540.008/15 Interest Income FHR 4034 PJ 2000 42MHRG CUSIP: 3137ANNR2 528.948/15 Interest Income FHR 2569 LD 5500 33FBRG CUSIP: 31393KDS1 527.598/15 Interest Income FHR 4000 PD 2000 42JARG CUSIP: 3137ALY78 526.308/15 Interest Income FHLMC 30G G04676 6000 38SP01 CUSIP: 3128M6Q50 524.128/15 Interest Income FHR 2728 DC 6000 34JARG CUSIP: 31394P4P5 522.258/15 Interest Income FHR 2116 ZA 6000 29JARG CUSIP: 3133THTM9 490.198/15 Interest Income FHLMC 10G C90580 6000 22SP01 CUSIP: 31335HUD3 483.078/15 Interest Income FHLMC 20G C90893 5500 25AP01 CUSIP: 31335H7E7 474.288/15 Interest Income UNITEDHEALTH GRP 4700 *21FB15 CUSIP: 91324PBP6 470.008/15 Interest Income FHR 2665 LL 5500 33AURG CUSIP: 31394GYZ0 467.508/15 Interest Income CBS CORP 3700 *24AU15 CUSIP: 124857AM5 462.508/15 Interest Income 21ST CENTY FOX 6150 41FB15 CUSIP: 90131HBQ7 461.258/15 Interest Income WALT DISNEY CO 2550 22FB15 CUSIP: 25468PCT1 446.258/15 Interest Income FHLMC 30G G12674 5000 21DE01 CUSIP: 3128MBFP7 444.848/15 Interest Income FHR 3575 EB 4000 24SPRG CUSIP: 31398JUA9 419.708/15 Interest Income FHR 2154 PL 6500 29MYRG CUSIP: 3133TKW48 414.898/15 Interest Income FHR 3715 PC 4500 40AURG CUSIP: 3137A0TC9 412.508/15 Interest Income FHR 2598 QE 5500 33APRG CUSIP: 31393NVW6 410.918/15 Interest Income FHR 2799 PB 5500 34MYRG CUSIP: 31394XX68 404.648/15 Interest Income PROLOGIS LP 4250 *23AU15 CUSIP: 74340XAW1 403.758/15 Interest Income FHR 3113 GG 5500 36FBRG CUSIP: 31396HDH9 403.338/15 Interest Income FHLMC 20G C91116 6000 27NV01 CUSIP: 3128P7GZ0 402.738/15 Interest Income FHR 2638 MJ 5000 33JLRG CUSIP: 31393WZN2 389.958/15 Interest Income FHLMC 20G C90691 5500 23JL01 CUSIP: 31335HXU2 389.068/15 Interest Income FHR 2543 YX 6000 32DERG CUSIP: 31393HGW6 387.148/15 Interest Income FHR 3154 KW 6000 36MYRG CUSIP: 31396RND5 385.968/15 Interest Income FHR 3290 PE 5500 37MHRG CUSIP: 31397FQV7 385.918/15 Interest Income FHR 3213 PE 6000 36SPRG CUSIP: 31397B2W0 364.218/15 Interest Income FHLMC 15G G12317 5500 21AU01 CUSIP: 3128M1PA1 361.068/15 Interest Income COMMONWEALTH ED 4600 *43AU15 CUSIP: 202795JB7 345.008/15 Interest Income BALTIMORE GAS 2800 *22AU15 CUSIP: 059165EE6 336.008/15 Interest Income FHLMC 15G G11989 5500 21AP01 CUSIP: 3128M1C23 324.248/15 Interest Income FHLMC 15G G13481 5500 21DE01 CUSIP: 3128MCCS2 319.588/15 Interest Income FHLMC 20G C91148 5500 28JA01 CUSIP: 3128P7HZ9 319.238/15 Interest Income FHR 3672 DB 4000 25MYRG CUSIP: 31398QE52 302.858/15 Interest Income DCET 2013-A5 A5 1040 *19APRG CUSIP: 254683BE4 297.278/15 Interest Income FHR 2864 NB 5500 33JLRG CUSIP: 31395G2D3 291.888/15 Interest Income FHLMC 15G G12987 5500 23FB01 CUSIP: 3128MBRG4 288.118/15 Interest Income FHR 2624 QH 5000 33JNRG CUSIP: 31393RJ92 276.15

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8/15 Interest Income SIERRA PACIFIC PO 3375 *23AU15 CUSIP: 826418BJ3 270.008/15 Interest Income FHLMC 30G G05379 5500 34MH01 CUSIP: 3128M7JY3 236.628/15 Interest Income FHR 2489 PE 6000 32AURG CUSIP: 31392RYX3 234.758/15 Interest Income FHLMC 20G C91007 5500 26DE01 CUSIP: 3128P7DL4 233.558/15 Interest Income FHR 2862 GB 5000 24SPRG CUSIP: 31395FLE2 225.138/15 Interest Income FHR 2978 JG 5500 35MYRG CUSIP: 31395UKP5 224.218/15 Interest Income FHLMC 20G C90584 5500 22OC01 CUSIP: 31335HUH4 218.648/15 Interest Income FHLMC 30G G02419 6500 36OC01 CUSIP: 3128M4AU7 209.518/15 Interest Income HOME DEPOT INC 3750 *24FB15 CUSIP: 437076BC5 206.258/15 Interest Income FHR 2715 QH 5500 33DERG CUSIP: 31394MPA2 206.028/15 Interest Income FHR 2135 JZ 6000 29MHRG CUSIP: 3133TJWM1 205.478/15 Interest Income FHR 3098 KG 5500 36JARG CUSIP: 31396GS85 183.288/15 Interest Income FHLMC 30G C90982 5500 26JL01 CUSIP: 3128P7CT8 183.188/15 Interest Income FHR 3553 PE 5500 39JLRG CUSIP: 31398ENL4 176.138/15 Interest Income FHR 3188 GE 6000 26JLRG CUSIP: 31396UNR7 171.338/15 Interest Income FHR 2544 KE 5500 32DERG CUSIP: 31393FPW0 165.338/15 Interest Income FHLMC 20G G30458 6000 27DE01 CUSIP: 3128CUQK5 164.798/15 Interest Income FHR 2538 DD 5500 32DERG CUSIP: 31393GAK0 160.428/15 Interest Income FHR 3255 QE 5500 36DERG CUSIP: 31397EAD7 156.618/15 Interest Income FHR 2901 KB 5000 34DERG CUSIP: 31395KRZ8 156.408/15 Interest Income FHLMC 30G S05783 0992 42JL15 CUSIP: 3128HXM85 152.998/15 Interest Income VENTAS REALTY LP 2000 *18FB15 CUSIP: 92276MBA2 150.008/15 Interest Income FHR 2835 HB 5500 24AURG CUSIP: 31395EYP6 148.038/15 Interest Income FHLMC 15G G12319 5000 21JN01 CUSIP: 3128M1PC7 135.358/15 Interest Income FHLMC 15G E01251 5500 17NV01 CUSIP: 31294KL86 123.958/15 Interest Income FHR 3148 CY 6000 36APRG CUSIP: 31396JU29 123.678/15 Interest Income FHR 3349 HE 5500 36JLRG CUSIP: 31397JVF8 118.808/15 Interest Income FHR 2644 PH 5000 33JLRG CUSIP: 31393WNY1 114.908/15 Interest Income PRAXAIR INC 2200 *22AU15 CUSIP: 74005PBB9 110.008/15 Interest Income FHR 3212 BK 5500 36SPRG CUSIP: 31397BC25 105.458/15 Interest Income FHLMC 15G E01603 5000 19MH01 CUSIP: 31294KX83 101.848/15 Interest Income FHR 3270 AT 5500 37JARG CUSIP: 31397EQH1 100.768/15 Interest Income FHR 1543 VN 7000 23JLRG CUSIP: 312916Z44 97.118/15 Interest Income PACIFIC GAS ELEC 2450 *22AU15 CUSIP: 694308HB6 85.758/15 Interest Income FHR 2581 B 5500 33MHRG CUSIP: 31393LWQ2 81.308/15 Interest Income FHLMC 20G C91065 6000 27JL01 CUSIP: 3128P7FE8 78.398/15 Interest Income CPS 2013-A A 1310 *20JNRG CUSIP: 12625AAA5 72.378/15 Interest Income FHR 2756 NA 5000 24FBRG CUSIP: 31394PXG3 69.388/15 Interest Income FHR 2520 LL 5500 22NVRG CUSIP: 31392XWV6 68.758/15 Interest Income FHR 3316 CD 5500 37MYRG CUSIP: 31397HJC3 66.388/15 Interest Income FHR 2535 AW 5500 32DERG CUSIP: 31393GTJ3 63.538/15 Interest Income FHR 3028 ME 5000 34FBRG CUSIP: 31396AFH2 61.91

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8/15 Interest Income FHR 3804 FN 0957 39MHRG CUSIP: 3137A7EQ9 55.928/15 Interest Income FHR 1643 PK 6500 23DERG CUSIP: 3133T2YT1 50.708/15 Interest Income AMERICAN TOWER TR 1551 *18MH15 CUSIP: 03027WAH5 38.788/15 Interest Income FHR 3064 OG 5500 34JNRG CUSIP: 31396ERF5 35.728/15 Interest Income FHR 3416 BJ 4000 23FBRG CUSIP: 31397RC46 34.058/15 Interest Income CNH 2013-C A3 1020 *18AURG CUSIP: 12613SAC6 33.878/15 Interest Income NAROT 2013-C A3 0670 *18AURG CUSIP: 65477MAC2 24.588/15 Interest Income FHR 2613 H 4500 18MYRG CUSIP: 31393REN6 22.808/15 Interest Income CNH 2013-D A3 0770 *18OCRG CUSIP: 12618SAC1 17.188/15 Interest Income CARMX 2013-4 A3 1100 *18JLRG CUSIP: 14313PAC1 12.998/15 Interest Income FHLMC 15G G13621 6500 21AU01 CUSIP: 3128MCG66 12.098/15 Interest Income FORDO 2013-D A3 0670 *18APRG CUSIP: 34530GAD4 7.738/15 Interest Income JDOT 2013-B A3 0870 17AURG CUSIP: 477879AC4 3.568/15 Interest Income WORLD OMNI AUTO 0640 *18APRG CUSIP: 98160KAC9 2.878/15 Interest Income-Adj DANAHER CORP 5400 19MH01

ACCRUED BOND INTERESTCUSIP: 235851AH5 738.00

8/15 Principal Payment FHR 4100 DA 1500 27AURG CUSIP: 3137ASXW9 21,056.308/15 Principal Payment FHR 4030 PA 3500 40JNRG CUSIP: 3137APMH0 13,613.148/15 Principal Payment CNH 2013-C A3 1020 *18AURG CUSIP: 12613SAC6 12,838.708/15 Principal Payment FHR 4384 LA 3500 40SPRG CUSIP: 3137BDKF2 12,340.428/15 Principal Payment FHR 4480 EA 3500 43NVRG CUSIP: 3137BKCB4 11,034.378/15 Principal Payment FHR 4034 PK 2250 42MHRG CUSIP: 3137ANNS0 8,934.068/15 Principal Payment FHR 4034 PJ 2000 42MHRG CUSIP: 3137ANNR2 8,934.068/15 Principal Payment FHR 4231 PA 3500 42MYRG CUSIP: 3137B3J33 8,624.908/15 Principal Payment FHR 3302 UT 6000 37APRG CUSIP: 31397GB82 5,510.158/15 Principal Payment FHLMC 30G G04676 6000 38SP01 CUSIP: 3128M6Q50 5,337.828/15 Principal Payment FHLMC 20G C90651 6000 23FB01 CUSIP: 31335HWL3 5,219.438/15 Principal Payment NAROT 2013-C A3 0670 *18AURG CUSIP: 65477MAC2 5,078.548/15 Principal Payment FHR 4000 PD 2000 42JARG CUSIP: 3137ALY78 4,459.988/15 Principal Payment FHR 3804 FN 0957 39MHRG CUSIP: 3137A7EQ9 4,220.438/15 Principal Payment FHR 3575 EB 4000 24SPRG CUSIP: 31398JUA9 4,063.468/15 Principal Payment FHR 3072 CA 6000 35NVRG CUSIP: 31396FJ38 4,029.448/15 Principal Payment CNH 2013-D A3 0770 *18OCRG CUSIP: 12618SAC1 3,821.648/15 Principal Payment FHR 2728 DC 6000 34JARG CUSIP: 31394P4P5 3,699.978/15 Principal Payment FHR 3158 NE 5500 36MYRG CUSIP: 31396NX27 3,457.128/15 Principal Payment FHLMC 20G U80068 3500 32OC01 CUSIP: 3132G7CD5 3,437.978/15 Principal Payment FHLMC 30G G12674 5000 21DE01 CUSIP: 3128MBFP7 3,366.408/15 Principal Payment FHR 2864 NB 5500 33JLRG CUSIP: 31395G2D3 3,354.168/15 Principal Payment FHLMC 15G G11989 5500 21AP01 CUSIP: 3128M1C23 3,197.458/15 Principal Payment CPS 2013-A A 1310 *20JNRG CUSIP: 12625AAA5 3,095.918/15 Principal Payment FHR 3213 PE 6000 36SPRG CUSIP: 31397B2W0 2,976.088/15 Principal Payment CARMX 2013-4 A3 1100 *18JLRG CUSIP: 14313PAC1 2,911.41

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8/15 Principal Payment FHR 3672 DB 4000 25MYRG CUSIP: 31398QE52 2,879.898/15 Principal Payment FHR 2799 PB 5500 34MYRG CUSIP: 31394XX68 2,609.148/15 Principal Payment FHLMC 15G E01251 5500 17NV01 CUSIP: 31294KL86 2,569.358/15 Principal Payment FHR 2554 MN 5500 33JARG CUSIP: 31393J3Z9 2,543.038/15 Principal Payment FHR 3290 PE 5500 37MHRG CUSIP: 31397FQV7 2,538.858/15 Principal Payment FORDO 2013-D A3 0670 *18APRG CUSIP: 34530GAD4 2,514.368/15 Principal Payment FHLMC 15G G13481 5500 21DE01 CUSIP: 3128MCCS2 2,455.698/15 Principal Payment FHLMC 30G S05783 0992 42JL15 CUSIP: 3128HXM85 2,455.018/15 Principal Payment FHR 2215 PH 6500 30FBRG CUSIP: 3133TNHW7 2,448.848/15 Principal Payment FHR 2638 MJ 5000 33JLRG CUSIP: 31393WZN2 2,437.658/15 Principal Payment FHLMC 15G G12317 5500 21AU01 CUSIP: 3128M1PA1 2,429.858/15 Principal Payment FHR 2116 ZA 6000 29JARG CUSIP: 3133THTM9 2,224.108/15 Principal Payment JDOT 2013-B A3 0870 17AURG CUSIP: 477879AC4 2,055.858/15 Principal Payment FHR 3028 ME 5000 34FBRG CUSIP: 31396AFH2 2,048.138/15 Principal Payment FHR 3178 PE 5500 36JNRG CUSIP: 31396RRB5 2,036.778/15 Principal Payment FHR 2218 ZB 6000 30MHRG CUSIP: 3133TNM84 2,017.788/15 Principal Payment FHLMC 10G C90580 6000 22SP01 CUSIP: 31335HUD3 1,933.398/15 Principal Payment FHLMC 20G C91007 5500 26DE01 CUSIP: 3128P7DL4 1,835.578/15 Principal Payment WORLD OMNI AUTO 0640 *18APRG CUSIP: 98160KAC9 1,788.238/15 Principal Payment FHLMC 20G G30301 5500 25JN01 CUSIP: 3128CUKN5 1,654.768/15 Principal Payment FHLMC 20G C90691 5500 23JL01 CUSIP: 31335HXU2 1,593.568/15 Principal Payment FHR 2569 LD 5500 33FBRG CUSIP: 31393KDS1 1,583.208/15 Principal Payment FHLMC 15G G12987 5500 23FB01 CUSIP: 3128MBRG4 1,563.128/15 Principal Payment FHLMC 20G C91148 5500 28JA01 CUSIP: 3128P7HZ9 1,512.708/15 Principal Payment FHLMC 15G E01603 5000 19MH01 CUSIP: 31294KX83 1,325.318/15 Principal Payment FHLMC 30G S05711 3500 42JL15 CUSIP: 3128HXKY0 1,303.558/15 Principal Payment FHLMC 20G C90584 5500 22OC01 CUSIP: 31335HUH4 1,288.128/15 Principal Payment FHR 2862 GB 5000 24SPRG CUSIP: 31395FLE2 1,268.248/15 Principal Payment FHR 2598 QE 5500 33APRG CUSIP: 31393NVW6 1,193.068/15 Principal Payment FHLMC 20G C90893 5500 25AP01 CUSIP: 31335H7E7 1,173.138/15 Principal Payment FHR 3064 OG 5500 34JNRG CUSIP: 31396ERF5 1,053.928/15 Principal Payment FHR 2624 QH 5000 33JNRG CUSIP: 31393RJ92 1,027.938/15 Principal Payment FHR 3349 HE 5500 36JLRG CUSIP: 31397JVF8 1,014.598/15 Principal Payment FHLMC 15G G12319 5000 21JN01 CUSIP: 3128M1PC7 1,007.138/15 Principal Payment FHLMC 30G G02419 6500 36OC01 CUSIP: 3128M4AU7 906.488/15 Principal Payment FHLMC 20G C91116 6000 27NV01 CUSIP: 3128P7GZ0 829.038/15 Principal Payment FHR 3098 KG 5500 36JARG CUSIP: 31396GS85 821.108/15 Principal Payment FHR 3553 PE 5500 39JLRG CUSIP: 31398ENL4 815.498/15 Principal Payment FHR 2543 YX 6000 32DERG CUSIP: 31393HGW6 804.718/15 Principal Payment FHR 3154 KW 6000 36MYRG CUSIP: 31396RND5 799.028/15 Principal Payment FHLMC 30G C90982 5500 26JL01 CUSIP: 3128P7CT8 796.478/15 Principal Payment FHLMC 20G G30458 6000 27DE01 CUSIP: 3128CUQK5 706.39

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8/15 Principal Payment FHR 2135 JZ 6000 29MHRG CUSIP: 3133TJWM1 705.148/15 Principal Payment FHR 2901 KB 5000 34DERG CUSIP: 31395KRZ8 700.018/15 Principal Payment FHR 2644 PH 5000 33JLRG CUSIP: 31393WNY1 690.558/15 Principal Payment FHR 2581 B 5500 33MHRG CUSIP: 31393LWQ2 660.848/15 Principal Payment FHR 2154 PL 6500 29MYRG CUSIP: 3133TKW48 609.628/15 Principal Payment FHR 2489 PE 6000 32AURG CUSIP: 31392RYX3 588.258/15 Principal Payment FHR 2613 BY 5500 33MYRG CUSIP: 31393RDS6 573.338/15 Principal Payment FHR 2978 JG 5500 35MYRG CUSIP: 31395UKP5 565.098/15 Principal Payment FHR 3316 CD 5500 37MYRG CUSIP: 31397HJC3 527.158/15 Principal Payment FHR 1543 VN 7000 23JLRG CUSIP: 312916Z44 521.438/15 Principal Payment FHR 3188 GE 6000 26JLRG CUSIP: 31396UNR7 521.208/15 Principal Payment FHR 2835 HB 5500 24AURG CUSIP: 31395EYP6 509.108/15 Principal Payment FHR 3148 CY 6000 36APRG CUSIP: 31396JU29 465.208/15 Principal Payment FHR 2613 H 4500 18MYRG CUSIP: 31393REN6 457.198/15 Principal Payment FHLMC 15G G13621 6500 21AU01 CUSIP: 3128MCG66 391.948/15 Principal Payment FHR 2544 KE 5500 32DERG CUSIP: 31393FPW0 313.668/15 Principal Payment FHR 2756 NA 5000 24FBRG CUSIP: 31394PXG3 306.718/15 Principal Payment FHR 3416 BJ 4000 23FBRG CUSIP: 31397RC46 302.718/15 Principal Payment FHR 1643 PK 6500 23DERG CUSIP: 3133T2YT1 297.008/15 Principal Payment FHR 2535 AW 5500 32DERG CUSIP: 31393GTJ3 290.858/15 Principal Payment FHR 3270 AT 5500 37JARG CUSIP: 31397EQH1 288.388/15 Principal Payment FHR 3212 BK 5500 36SPRG CUSIP: 31397BC25 282.258/15 Principal Payment FHLMC 20G C91065 6000 27JL01 CUSIP: 3128P7FE8 268.158/15 Principal Payment FHR 3255 QE 5500 36DERG CUSIP: 31397EAD7 236.838/15 Principal Payment FHLMC 30G G05379 5500 34MH01 CUSIP: 3128M7JY3 171.378/15 Principal Payment FHR 2715 QH 5500 33DERG CUSIP: 31394MPA2 152.488/15 8/15 Redemption US TSY BD FED STR00000 16AU15 REDEMPTION OF MATURED BOND

CUSIP: 912833KJ8160,000.000 100.0000 160,000.00

8/15 8/15 Redemption DANAHER CORP 5400 19MH01 REDEMPTION OF CALLED BONDCUSIP: 235851AH5

30,000.000 110.5950 33,178.50

8/16 8/17 Called Security FHR 2778 MM 5250 34APRG CALLED REDEMPTION 08/17/16 7,000.000 100.0000 7,000.008/16 8/17 Called Security FHR 2696 LL 5500 33OCRG CALLED REDEMPTION 08/17/16 3,000.000 100.0000 3,000.008/16 8/17 Called Security FHR 2669 LL 5500 33AURG CALLED REDEMPTION 08/17/16 2,000.000 100.0000 2,000.008/16 8/17 Called Security FHR 2665 LL 5500 33AURG CALLED REDEMPTION 08/17/16 1,000.000 100.0000 1,000.008/16 8/17 Called Security FHR 3113 GG 5500 36FBRG CALLED REDEMPTION 08/17/16 1,000.000 100.0000 1,000.008/16 8/17 Called Security FHR 2538 DD 5500 32DERG CALLED REDEMPTION 08/17/16 1,000.000 100.0000 1,000.008/16 Interest Income GNR 2004-93 PD 5000 34NVRG CUSIP: 38374J6G6 1,312.508/16 Interest Income GNR 2012-116 BC 1500 42JNRG CUSIP: 38375C5X4 1,143.038/16 Interest Income GNR 2005-33 AY 5500 35APRG CUSIP: 38374K2D4 1,065.448/16 Interest Income GNR 2003 20 MB 5500 33MHRG CUSIP: 38373STN7 836.898/16 Interest Income GNR 2003-29 PD 5500 33APRG CUSIP: 38373S7F8 769.768/16 Interest Income GNR 2009-61 PD 5000 38MHRG CUSIP: 38376FCQ3 351.06

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8/16 Interest Income GNR 2004-93 PC 5000 34APRG CUSIP: 38374J6F8 333.698/16 Interest Income GNR 2003 19 GT 5000 33MHRG CUSIP: 38373SYG6 221.818/16 Interest Income GNR 2009-61 PK 5000 38MHRG CUSIP: 38376FFW7 55.388/16 Principal Payment GNR 2009-61 PD 5000 38MHRG CUSIP: 38376FCQ3 13,110.448/16 Principal Payment GNR 2012-116 BC 1500 42JNRG CUSIP: 38375C5X4 8,736.738/16 Principal Payment GNR 2003 20 MB 5500 33MHRG CUSIP: 38373STN7 4,146.838/16 Principal Payment GNR 2004-93 PC 5000 34APRG CUSIP: 38374J6F8 3,745.748/16 Principal Payment GNR 2005-33 AY 5500 35APRG CUSIP: 38374K2D4 2,865.308/16 Principal Payment GNR 2003-29 PD 5500 33APRG CUSIP: 38373S7F8 2,828.378/16 Principal Payment GNR 2009-61 PK 5000 38MHRG CUSIP: 38376FFW7 2,068.278/16 Principal Payment GNR 2003 19 GT 5000 33MHRG CUSIP: 38373SYG6 682.258/17 Interest Income SIEMENS 6125 26AU17 CUSIP: 826200AD9 3,062.508/17 Interest Income LBUBS 2007-C2 A3 5430 40FBRG CUSIP: 50180JAD7 915.238/17 Interest Income BANK OF NY MELLON 2600 *20AU17 CUSIP: 06406HDD8 650.008/17 Interest Income CWCI 2006-C1 A4 5223 48AURG CUSIP: 190749AE1 443.708/17 Interest Income WFRBS 2012-C6 A4 3440 56APRG CUSIP: 92936QAG3 344.008/17 Principal Payment LBUBS 2007-C2 A3 5430 40FBRG CUSIP: 50180JAD7 78,623.488/17 Principal Payment CWCI 2006-C1 A4 5223 48AURG CUSIP: 190749AE1 37,310.478/17 8/22 Bought FNR 2016-54 GA 2500 45NVRG ACCRUED INTEREST 1,445.99 1,000,000.000 103.3625 (1,026,329.73)8/18 Interest Income FNR 1997 22 PC 4500 27MHRG CUSIP: 31359N5F4 661.128/18 Principal Payment FNR 1997 22 PC 4500 27MHRG CUSIP: 31359N5F4 1,435.458/18 Write Off WRITE-OFF DEBIT 6.008/19 Funds Received BROKER TO BROKER TRANSFER FROM MERRILL LYNCH PIERCE F & 218,013.358/22 Interest Income GNR 2008-41 PE 5500 38MYRG CUSIP: 38374D7K9 2,683.938/22 Interest Income FFCB 2330 24FB21 CUSIP: 3133ECG73 2,330.008/22 Interest Income GNR 2015-100 PG 2500 45JLRG CUSIP: 38379NQ21 1,864.018/22 Interest Income GNR 2006-17 TW 6000 36APRG CUSIP: 38374MU98 1,622.538/22 Interest Income GNR 2005-63 B 5000 35AURG CUSIP: 38374LG88 1,115.138/22 Interest Income GNR 2004-15 AY 5500 34FBRG CUSIP: 38374FET7 941.388/22 Interest Income GNR 2002 69 PD 5500 32OCRG CUSIP: 38373VWR7 927.018/22 Interest Income GNR 2009-58 JQ 5500 39JLRG CUSIP: 38375DU55 921.258/22 Interest Income GNR 2007-70 PE 5500 37NVRG CUSIP: 38375LP79 823.698/22 Interest Income GNR 2002 69 BE 5500 32OCRG CUSIP: 38373VWZ9 788.778/22 Interest Income GNR 2008-65 PG 6000 38AURG CUSIP: 38375XZ72 732.058/22 Interest Income GNR 2005-49 B 5500 35JNRG CUSIP: 38374LKD2 671.058/22 Interest Income GNR 2003 84 PC 5500 33OCRG CUSIP: 38374CYU9 642.848/22 Interest Income GNR 2002-92 PB 5500 32DERG CUSIP: 38373YLN2 563.428/22 Interest Income GNR 2003 10 KJ 5500 33FBRG CUSIP: 38373SBV8 546.708/22 Interest Income GNR 2003-20 LC 5500 33MHRG CUSIP: 38373SUL9 546.698/22 Interest Income GNR 2005-48 CY 5000 35JNRG CUSIP: 38374LHA2 544.898/22 Interest Income GNR 2009-93 AY 5000 39OCRG CUSIP: 38376KGV7 520.788/22 Interest Income GNR 2003-58 PC 5000 33JLRG CUSIP: 38374BNY5 450.00

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8/22 Interest Income GNR 2005-56 BD 5000 35JLRG CUSIP: 38374LRM5 445.088/22 Interest Income GNR 2004 18 WD 5500 34FBRG CUSIP: 38374FN75 441.298/22 Interest Income GNMA 08-65 JP 5750 38AURG CUSIP: 38375X3Z5 434.318/22 Interest Income GNR 2005-3 OB 5000 34AURG CUSIP: 38374KRT2 416.678/22 Interest Income GNR 2002-80 B 5500 32NVRG CUSIP: 38373V2C3 330.148/22 Interest Income GNR 2008-38 PL 5500 38MYRG CUSIP: 38375QGF0 310.138/22 Interest Income GNR 2009-45 DA 4500 39JNRG CUSIP: 38374VJZ3 308.988/22 Interest Income GNR 2005-70 BY 5000 35SPRG CUSIP: 38374L2G5 300.078/22 Interest Income SHELL INTL FIN 2375 22AU21 CUSIP: 822582AS1 296.888/22 Interest Income GNR 2003 65 AP 5500 33AURG CUSIP: 38374BQX4 289.848/22 Interest Income GNMA 08-33 PB 5500 38APRG CUSIP: 38375QEY1 282.038/22 Interest Income GNR 2005-28 AJ 5500 35APRG CUSIP: 38374K3X9 274.418/22 Interest Income GNR 2008-31 PC 5500 38APRG CUSIP: 38374D5M7 252.998/22 Interest Income GNR 2008-65 MP 6000 38AURG CUSIP: 38375X2P8 250.008/22 Interest Income GNR 2005-41 PA 4000 35MYRG CUSIP: 38374LCL3 236.478/22 Interest Income GNR 2009-127 PL 4250 38OCRG CUSIP: 38376P6D7 229.358/22 Interest Income GNR 2005-5 EC 5000 34JLRG CUSIP: 38374KNP4 212.788/22 Interest Income GNR 2002-51 D 6000 32JLRG CUSIP: 38373XX92 203.548/22 Interest Income GNR 2004 72 BC 5500 34MHRG CUSIP: 38374HF70 169.258/22 Interest Income GNR 200-69 TG 5000 38FBRG CUSIP: 38373AC46 158.328/22 Interest Income GNR 2003-110 HC 5000 33DERG CUSIP: 38374EQ91 144.118/22 Interest Income GNR 2007-71 PA 5000 37JARG CUSIP: 38375L6G0 141.618/22 Interest Income GNR 2005-98 DA 5500 34DERG CUSIP: 38374MSX8 139.778/22 Interest Income GNR 2004-42 AC 6000 32MHRG CUSIP: 38374G2Y7 95.538/22 Interest Income GNR 2002 44 JC 6000 32JLRG CUSIP: 38373XYB6 68.298/22 Interest Income GNR 2005-13 BD 5000 34FBRG CUSIP: 38374KUH4 63.618/22 Interest Income DBRR 2013-EZ3 A 1636 *49DERG CUSIP: 23306DAA2 31.638/22 Interest Income AFIN 2013-4 A3 1090 *18MHRG CUSIP: 13975FAC4 24.838/22 Interest Income GNR 2007-41PB 5500 36SPRG CUSIP: 38375KXG2 12.538/22 Principal Payment GNR 2015-100 PG 2500 45JLRG CUSIP: 38379NQ21 35,943.958/22 Principal Payment GNR 2008-41 PE 5500 38MYRG CUSIP: 38374D7K9 11,909.918/22 Principal Payment AFIN 2013-4 A3 1090 *18MHRG CUSIP: 13975FAC4 7,931.688/22 Principal Payment GNR 2005-63 B 5000 35AURG CUSIP: 38374LG88 5,478.778/22 Principal Payment GNR 2002 69 PD 5500 32OCRG CUSIP: 38373VWR7 5,014.078/22 Principal Payment DBRR 2013-EZ3 A 1636 *49DERG CUSIP: 23306DAA2 5,004.138/22 Principal Payment GNR 2004-15 AY 5500 34FBRG CUSIP: 38374FET7 3,881.398/22 Principal Payment GNR 2009-93 AY 5000 39OCRG CUSIP: 38376KGV7 3,646.348/22 Principal Payment GNR 2007-70 PE 5500 37NVRG CUSIP: 38375LP79 3,544.028/22 Principal Payment GNR 2008-65 PG 6000 38AURG CUSIP: 38375XZ72 3,389.748/22 Principal Payment GNR 2005-98 DA 5500 34DERG CUSIP: 38374MSX8 3,356.598/22 Principal Payment GNR 2005-49 B 5500 35JNRG CUSIP: 38374LKD2 3,187.388/22 Principal Payment GNR 2009-127 PL 4250 38OCRG CUSIP: 38376P6D7 2,767.44

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8/22 Principal Payment GNR 2002-92 PB 5500 32DERG CUSIP: 38373YLN2 2,634.728/22 Principal Payment GNR 2003 84 PC 5500 33OCRG CUSIP: 38374CYU9 2,266.328/22 Principal Payment GNR 2005-48 CY 5000 35JNRG CUSIP: 38374LHA2 2,201.928/22 Principal Payment GNMA 08-65 JP 5750 38AURG CUSIP: 38375X3Z5 2,195.828/22 Principal Payment GNR 2005-56 BD 5000 35JLRG CUSIP: 38374LRM5 2,016.548/22 Principal Payment GNR 2002 69 BE 5500 32OCRG CUSIP: 38373VWZ9 1,934.358/22 Principal Payment GNR 2005-13 BD 5000 34FBRG CUSIP: 38374KUH4 1,918.248/22 Principal Payment GNR 2009-45 DA 4500 39JNRG CUSIP: 38374VJZ3 1,680.828/22 Principal Payment GNR 2005-28 AJ 5500 35APRG CUSIP: 38374K3X9 1,620.898/22 Principal Payment GNR 2005-70 BY 5000 35SPRG CUSIP: 38374L2G5 1,364.998/22 Principal Payment GNR 2004 72 BC 5500 34MHRG CUSIP: 38374HF70 1,347.988/22 Principal Payment GNMA 08-33 PB 5500 38APRG CUSIP: 38375QEY1 1,282.258/22 Principal Payment GNR 2007-41PB 5500 36SPRG CUSIP: 38375KXG2 1,256.408/22 Principal Payment GNR 2003 10 KJ 5500 33FBRG CUSIP: 38373SBV8 1,229.548/22 Principal Payment GNR 2007-71 PA 5000 37JARG CUSIP: 38375L6G0 1,221.888/22 Principal Payment GNR 2008-31 PC 5500 38APRG CUSIP: 38374D5M7 1,191.268/22 Principal Payment GNR 2008-38 PL 5500 38MYRG CUSIP: 38375QGF0 1,187.948/22 Principal Payment GNR 2005-5 EC 5000 34JLRG CUSIP: 38374KNP4 1,095.018/22 Principal Payment GNR 2004-42 AC 6000 32MHRG CUSIP: 38374G2Y7 1,093.388/22 Principal Payment GNR 2003-20 LC 5500 33MHRG CUSIP: 38373SUL9 1,090.718/22 Principal Payment GNR 2003 65 AP 5500 33AURG CUSIP: 38374BQX4 912.558/22 Principal Payment GNR 2002-51 D 6000 32JLRG CUSIP: 38373XX92 807.828/22 Principal Payment GNR 2002-80 B 5500 32NVRG CUSIP: 38373V2C3 701.458/22 Principal Payment GNR 200-69 TG 5000 38FBRG CUSIP: 38373AC46 698.208/22 Principal Payment GNR 2003-110 HC 5000 33DERG CUSIP: 38374EQ91 489.678/22 Principal Payment GNR 2002 44 JC 6000 32JLRG CUSIP: 38373XYB6 293.538/22 Principal Payment GNR 2005-41 PA 4000 35MYRG CUSIP: 38374LCL3 14.328/23 Interest Income APPLE INC 2850 *23FB23 CUSIP: 037833BU3 14,250.008/25 8/26 Called Security FNR 2003-80 LL 5000 33AURG CALLED REDEMPTION 08/26/16 1,000.000 100.0000 1,000.008/25 Interest Income FNR 2006-53 PE 5500 36JNRG CUSIP: 31395NGV3 2,149.808/25 Interest Income FNMA POOL 995954 6000 29MH01 CUSIP: 31416CMB9 1,840.408/25 Interest Income FNR 04-91 BR 5500 34DERG CUSIP: 31394BYB4 1,801.258/25 Interest Income FNR 2001-81 HE 6500 32JARG CUSIP: 31392BQR0 1,643.888/25 Interest Income FNR 2013-6 LD 2000 43FBRG CUSIP: 3136ABZ22 1,418.068/25 Interest Income FNR 2003 107 LL 5500 33NVRG CUSIP: 31393T6E1 1,297.088/25 Interest Income FNR 2012-100 NA 2000 41NVRG CUSIP: 3136A8NH9 1,217.338/25 Interest Income FNR 2003-48 GH 5500 33JNRG CUSIP: 31393CLX9 1,118.708/25 Interest Income FNMA 7BL 470622 2750 22MH01 CUSIP: 31381TYT1 1,093.608/25 Interest Income FNR 2011-52 LB 5500 41JNRG CUSIP: 31397UDM8 1,031.258/25 Interest Income FNR 2006-9 DG 5500 36MHRG CUSIP: 31395BBS1 869.328/25 Interest Income FNGT 2002-T19 A1 6500 42JLRG CUSIP: 31392GVP7 868.818/25 Interest Income FNR 2012-102 BJ 1500 27SPRG CUSIP: 3136A8SX9 803.46

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8/25 Interest Income FNR 2013-58 A 2000 *39DERG CUSIP: 3136AEJA6 780.428/25 Interest Income FNA 2010-M3 A3 4332 20MHRG CUSIP: 31398M6U5 761.358/25 Interest Income FNR 2003-34 BC 5500 23MYRG CUSIP: 31393CEX7 700.598/25 Interest Income FNMA POOL 725229 6000 34MH01 CUSIP: 31402CVW9 673.008/25 Interest Income FNMA POOL MA1546 3500 43AU01 CUSIP: 31418AWG9 618.318/25 Interest Income FNMA 7BL 471881 2670 22JL01 CUSIP: 31381VFW0 574.798/25 Interest Income FNMA 7BL AM6602 2630 21SP01 CUSIP: 3138L7KQ8 566.048/25 Interest Income FNMA POOL 748662 5500 33SP01 CUSIP: 31403GWX6 548.548/25 Interest Income FNR 2013-96 YA 3500 38SPRG CUSIP: 3136AGAY8 542.638/25 Interest Income FNMA POOL 254690 5500 23AP01 CUSIP: 31371K2X8 523.888/25 Interest Income FN94 003-PL 5500 24JARG CUSIP: 31359F5S3 473.298/25 Interest Income FNMA POOL 257126 6000 28MH01 CUSIP: 31371NSP1 470.878/25 Interest Income FNR 2013-83 CA 3500 37OCRG CUSIP: 3136AFW83 469.818/25 Interest Income FNR 2003 33 PG 5500 33MYRG CUSIP: 31393BGN9 443.408/25 Interest Income FNR 2012-100 DB M 3000 42SPRG CUSIP: 3136A8MX5 437.508/25 Interest Income FNR 2003-80 LL 5000 33AURG CUSIP: 31393DQ20 437.508/25 Interest Income FNMA POOL 256351 6000 26AU01 CUSIP: 31371MWL7 425.098/25 Interest Income FNMA POOL AE0096 5500 25JL01 CUSIP: 31419ADA2 409.068/25 Interest Income FHMS K037 A2 3490 24JARG CUSIP: 3137B7YY9 363.548/25 Interest Income FNR 2007-116 PB 5500 35AURG CUSIP: 31396X7A6 362.748/25 Interest Income FNR 2005-106 UK 5500 35DERG CUSIP: 31394UN32 359.528/25 Interest Income FNR 2003-32 UJ 5500 33MYRG CUSIP: 31393BNT8 316.258/25 Interest Income FNR 2004-14 QB 5250 34MHRG CUSIP: 31393U6B4 315.008/25 Interest Income FNMA POOL AD0364 5000 23MY01 CUSIP: 31418MMN9 311.658/25 Interest Income FNR 2003 46 PJ 5500 33JNRG CUSIP: 31393CWJ8 297.118/25 Interest Income FNMA POOL 888079 6500 26OC01 CUSIP: 31410FUC7 291.888/25 Interest Income FNMA POOL 889069 5500 21JA01 CUSIP: 31410GW66 277.758/25 Interest Income FNMA POOL AC3237 5000 39OC01 CUSIP: 31417MS38 262.178/25 Interest Income FNR 2003 15 PG 5500 33MHRG CUSIP: 31392JLN7 257.638/25 Interest Income MASTR 2003-11 8A1 5500 33DERG CUSIP: 55265K2N8 256.218/25 Interest Income FNMA 10YR MA0419 4500 20MY01 CUSIP: 31417YPD3 249.838/25 Interest Income FNMA POOL 257007 6000 37OC01 CUSIP: 31371NNY7 245.058/25 Interest Income FNR 2004 95 AK 5500 25JARG CUSIP: 31394BY73 241.208/25 Interest Income FNR 2004-1 LL 5500 34FBRG CUSIP: 31393UW33 238.338/25 Interest Income FNMA POOL 257125 5500 28MH01 CUSIP: 31371NSN6 234.918/25 Interest Income WFMBS 2004-P 2A1 2987 *34SPRG CUSIP: 94980MAB4 226.448/25 Interest Income FNMA POOL 995264 6500 23DE01 CUSIP: 31416BTV0 219.998/25 Interest Income FNR 2003 45 JB 5500 33JNRG CUSIP: 31393CSV6 215.428/25 Interest Income FNR 2009-10 PE 5500 39MHRG CUSIP: 31397NHH1 211.938/25 Interest Income FNMA POOL 906211 6000 37JA01 CUSIP: 31411EYG6 202.948/25 Interest Income FNR 2005-68 PG 5500 35AURG CUSIP: 31394E7B8 188.568/25 Interest Income FNR 2003-30 JQ 5500 33APRG CUSIP: 31393AWC7 174.45

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8/25 Interest Income FNR 2007-13 H 5500 37MHRG CUSIP: 31396PL25 172.028/25 Interest Income FNMA POOL 256751 5500 27JN01 CUSIP: 31371NEY7 171.078/25 Interest Income FNMA POOL 254799 5000 23JL01 CUSIP: 31371K7L9 169.948/25 Interest Income FNR 2005-70 KB 5500 35MYRG CUSIP: 31394EW20 166.708/25 Interest Income FNMA POOL MA0156 5000 29AU01 CUSIP: 31417YE60 165.358/25 Interest Income FNR 2004-24 BY 5000 34APRG CUSIP: 31393XKQ9 159.698/25 Interest Income SLFMT 2013-2A A 1780 *65DERG CUSIP: 85172GAA5 158.498/25 Interest Income FNR 2005-97 B 5500 35NVRG CUSIP: 31394UMJ8 157.958/25 Interest Income FHMS K029 A2 3320 23FBRG CUSIP: 3137B36J2 141.108/25 Interest Income FNMA POOL 254688 5500 23MH01 CUSIP: 31371K2V2 116.568/25 Interest Income FNMA POOL AD0121 4500 29SP01 CUSIP: 31418MD33 108.408/25 Interest Income FNR 2003-11 BX 5500 33FBRG CUSIP: 31392HMN0 104.768/25 Interest Income FNR 2005-5 CK 5000 35JARG CUSIP: 31394B4Z4 97.568/25 Interest Income FNMA POOL 745948 6500 36OC01 CUSIP: 31403DWH8 82.408/25 Interest Income FNMA POOL 255935 5000 25NV01 CUSIP: 31371MHL4 77.908/25 Interest Income FNMA POOL 761326 5000 19AP01 CUSIP: 31403XYX7 70.668/25 Interest Income FNR 2007-85 BD 6000 36JNRG CUSIP: 31396XQX5 58.548/25 Interest Income FNMA RELOC839226 4000 20SP01 CUSIP: 31407SLF7 57.298/25 Interest Income FNMA POOL 888890 6500 37OC01 CUSIP: 31410GRK1 55.658/25 Interest Income FNR 2009-71 XB 5000 38MHRG CUSIP: 31398FAQ4 54.228/25 Interest Income FNR 2007-76 PE 6000 37AURG CUSIP: 31396WZ41 49.128/25 Interest Income FNMA POOL 725432 7000 18NV01 CUSIP: 31402C4R0 24.278/25 Interest Income FNR 2003 45 JA 5500 33MHRG CUSIP: 31393CSU8 22.688/25 Principal Payment FNR 2013-6 LD 2000 43FBRG CUSIP: 3136ABZ22 10,354.608/25 Principal Payment FNR 2012-100 NA 2000 41NVRG CUSIP: 3136A8NH9 9,932.318/25 Principal Payment FNR 2006-53 PE 5500 36JNRG CUSIP: 31395NGV3 8,344.808/25 Principal Payment FNR 2013-58 A 2000 *39DERG CUSIP: 3136AEJA6 7,181.808/25 Principal Payment FNR 2012-102 BJ 1500 27SPRG CUSIP: 3136A8SX9 5,671.858/25 Principal Payment FNR 2009-71 XB 5000 38MHRG CUSIP: 31398FAQ4 5,104.298/25 Principal Payment FNR 2001-81 HE 6500 32JARG CUSIP: 31392BQR0 4,340.548/25 Principal Payment FNMA 10YR MA0419 4500 20MY01 CUSIP: 31417YPD3 4,336.248/25 Principal Payment MASTR 2003-11 8A1 5500 33DERG CUSIP: 55265K2N8 4,110.118/25 Principal Payment SLFMT 2013-2A A 1780 *65DERG CUSIP: 85172GAA5 4,000.318/25 Principal Payment FNMA POOL 995954 6000 29MH01 CUSIP: 31416CMB9 3,899.558/25 Principal Payment FNMA POOL 889069 5500 21JA01 CUSIP: 31410GW66 3,875.058/25 Principal Payment FNR 2013-83 CA 3500 37OCRG CUSIP: 3136AFW83 3,748.358/25 Principal Payment FNMA POOL AD0364 5000 23MY01 CUSIP: 31418MMN9 3,291.448/25 Principal Payment FNR 2006-9 DG 5500 36MHRG CUSIP: 31395BBS1 3,193.688/25 Principal Payment FNR 2003-48 GH 5500 33JNRG CUSIP: 31393CLX9 2,915.668/25 Principal Payment FNR 2003-34 BC 5500 23MYRG CUSIP: 31393CEX7 2,705.288/25 Principal Payment FNMA POOL 725229 6000 34MH01 CUSIP: 31402CVW9 2,562.688/25 Principal Payment FNMA POOL 254690 5500 23AP01 CUSIP: 31371K2X8 2,302.72

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8/25 Principal Payment FNR 2007-85 BD 6000 36JNRG CUSIP: 31396XQX5 2,248.718/25 Principal Payment FNR 2013-96 YA 3500 38SPRG CUSIP: 3136AGAY8 2,178.308/25 Principal Payment FNR 2009-10 PE 5500 39MHRG CUSIP: 31397NHH1 1,938.888/25 Principal Payment FNMA POOL 256351 6000 26AU01 CUSIP: 31371MWL7 1,930.448/25 Principal Payment FNMA POOL AE0096 5500 25JL01 CUSIP: 31419ADA2 1,914.618/25 Principal Payment FNR 2007-116 PB 5500 35AURG CUSIP: 31396X7A6 1,850.788/25 Principal Payment WFMBS 2004-P 2A1 2987 *34SPRG CUSIP: 94980MAB4 1,790.108/25 Principal Payment FNMA POOL MA1546 3500 43AU01 CUSIP: 31418AWG9 1,725.038/25 Principal Payment FNGT 2002-T19 A1 6500 42JLRG CUSIP: 31392GVP7 1,621.608/25 Principal Payment FN94 003-PL 5500 24JARG CUSIP: 31359F5S3 1,612.258/25 Principal Payment FNMA POOL 995264 6500 23DE01 CUSIP: 31416BTV0 1,532.978/25 Principal Payment FNMA POOL AC3237 5000 39OC01 CUSIP: 31417MS38 1,441.728/25 Principal Payment FNR 2005-97 B 5500 35NVRG CUSIP: 31394UMJ8 1,376.608/25 Principal Payment FNR 2005-70 KB 5500 35MYRG CUSIP: 31394EW20 1,319.848/25 Principal Payment FNMA POOL MA0156 5000 29AU01 CUSIP: 31417YE60 1,311.358/25 Principal Payment FNR 2003 46 PJ 5500 33JNRG CUSIP: 31393CWJ8 1,167.128/25 Principal Payment FNR 2004 95 AK 5500 25JARG CUSIP: 31394BY73 1,135.478/25 Principal Payment FNMA POOL 257126 6000 28MH01 CUSIP: 31371NSP1 1,125.768/25 Principal Payment FNR 2003 33 PG 5500 33MYRG CUSIP: 31393BGN9 1,123.998/25 Principal Payment FNMA POOL 256751 5500 27JN01 CUSIP: 31371NEY7 1,076.558/25 Principal Payment FNMA POOL 257125 5500 28MH01 CUSIP: 31371NSN6 1,030.968/25 Principal Payment FNR 2005-68 PG 5500 35AURG CUSIP: 31394E7B8 1,011.138/25 Principal Payment FNR 2005-106 UK 5500 35DERG CUSIP: 31394UN32 954.988/25 Principal Payment FNMA POOL 254799 5000 23JL01 CUSIP: 31371K7L9 939.638/25 Principal Payment FNMA POOL 761326 5000 19AP01 CUSIP: 31403XYX7 927.228/25 Principal Payment FNR 2004-24 BY 5000 34APRG CUSIP: 31393XKQ9 825.218/25 Principal Payment FNMA 7BL 470622 2750 22MH01 CUSIP: 31381TYT1 773.408/25 Principal Payment FNMA POOL 257007 6000 37OC01 CUSIP: 31371NNY7 766.078/25 Principal Payment FNR 2003 45 JA 5500 33MHRG CUSIP: 31393CSU8 721.048/25 Principal Payment FNR 2003 15 PG 5500 33MHRG CUSIP: 31392JLN7 710.348/25 Principal Payment FNMA POOL 725432 7000 18NV01 CUSIP: 31402C4R0 634.938/25 Principal Payment FNMA POOL AD0121 4500 29SP01 CUSIP: 31418MD33 621.848/25 Principal Payment FNR 2003-30 JQ 5500 33APRG CUSIP: 31393AWC7 558.178/25 Principal Payment FNMA POOL 254688 5500 23MH01 CUSIP: 31371K2V2 551.058/25 Principal Payment FNMA RELOC839226 4000 20SP01 CUSIP: 31407SLF7 548.878/25 Principal Payment FNMA POOL 906211 6000 37JA01 CUSIP: 31411EYG6 548.288/25 Principal Payment FNR 2007-13 H 5500 37MHRG CUSIP: 31396PL25 474.748/25 Principal Payment FNR 2005-5 CK 5000 35JARG CUSIP: 31394B4Z4 465.468/25 Principal Payment FNMA POOL 255935 5000 25NV01 CUSIP: 31371MHL4 465.178/25 Principal Payment FNMA POOL 748662 5500 33SP01 CUSIP: 31403GWX6 391.398/25 Principal Payment FNMA POOL 888079 6500 26OC01 CUSIP: 31410FUC7 370.908/25 Principal Payment FNR 2003-24 MZ 5500 33APRG CUSIP: 31393AE45 301.10

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8/25 Principal Payment FNA 2010-M3 A3 4332 20MHRG CUSIP: 31398M6U5 300.498/25 Principal Payment FNMA POOL 745948 6500 36OC01 CUSIP: 31403DWH8 285.878/25 Principal Payment FNR 2007-76 PE 6000 37AURG CUSIP: 31396WZ41 258.548/25 Principal Payment FNR 2003-11 BX 5500 33FBRG CUSIP: 31392HMN0 250.028/25 Principal Payment FNMA POOL 888890 6500 37OC01 CUSIP: 31410GRK1 243.358/26 8/29 Called Security FNR 2003 107 LL 5500 33NVRG CALLED REDEMPTION 08/29/16 5,000.000 100.0000 5,000.008/26 8/29 Called Security FNR 2004-1 LL 5500 34FBRG CALLED REDEMPTION 08/29/16 1,000.000 100.0000 1,000.008/29 Interest Income FHLB 1950 22FB28 CUSIP: 313382CK7 1,950.008/29 Interest Income VIACOM INC 4500 42FB27 CUSIP: 92553PAL6 135.008/29 Interest Income NGN 2010-C1 A2 2900 *20OCRG CUSIP: 62888XAB0 10.748/29 Interest Income-Adj FNMA 2300 *24NV27

ACCRUED BOND INTERESTCUSIP: 3136G06K2 2,875.00

8/29 Principal Payment NGN 2010-C1 A2 2900 *20OCRG CUSIP: 62888XAB0 4,442.348/29 8/29 Redemption FNMA 2300 *24NV27 REDEMPTION OF CALLED BOND

CUSIP: 3136G06K2500,000.000 100.0000 500,000.00

8/31 Interest Income MORGAN STANLEY BANK N.A.(Period 08/01-08/31)

61.90

8/31 Interest Income MORGAN STANLEY PRIVATE BANK NA(Period 08/01-08/31)

4.14

NET CREDITS/(DEBITS) $506,343.02

Purchase and Sale transactions above may have received an average price execution. Details regarding the actual prices are available upon request.

MONEY MARKET FUND (MMF) AND BANK DEPOSIT PROGRAM ACTIVITYActivityDate Activity Type Description Credits/(Debits)8/1 Automatic Investment BANK DEPOSIT PROGRAM $35,414.508/2 Automatic Investment BANK DEPOSIT PROGRAM 5,064,184.678/3 Automatic Investment BANK DEPOSIT PROGRAM 227.008/4 Automatic Investment BANK DEPOSIT PROGRAM 5,000,000.008/5 Automatic Investment BANK DEPOSIT PROGRAM 18.008/8 Automatic Investment BANK DEPOSIT PROGRAM 10,345.968/10 Automatic Investment MSILF GOVT SEC PART 8,912,048.488/10 Automatic Redemption BANK DEPOSIT PROGRAM (8,860,881.69)8/11 Automatic Investment MSILF GOVT SEC PART 21,346.458/12 Automatic Investment MSILF GOVT SEC PART 26,965.858/15 Automatic Redemption MSILF GOVT SEC PART (5,963,984.04)8/16 Automatic Investment MSILF GOVT SEC PART 57,236.528/17 Automatic Investment MSILF GOVT SEC PART 83,251.21

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MONEY MARKET FUND (MMF) AND BANK DEPOSIT PROGRAM ACTIVITY (CONTINUED)ActivityDate Activity Type Description Credits/(Debits)8/18 Automatic Investment MSILF GOVT SEC PART 55,194.748/19 Automatic Investment MSILF GOVT SEC PART 218,019.358/22 Automatic Redemption MSILF GOVT SEC PART (869,725.26)8/23 Automatic Investment MSILF GOVT SEC PART 14,250.008/25 Automatic Investment MSILF GOVT SEC PART 159,697.278/26 Automatic Investment MSILF GOVT SEC PART 15,298.048/29 Automatic Investment MSILF GOVT SEC PART 503,085.008/30 Automatic Investment MSILF GOVT SEC PART 13,328.088/31 Automatic Investment BANK DEPOSIT PROGRAM 61.908/31 Automatic Investment BANK DEPOSIT PROGRAM 4.148/31 Automatic Redemption BANK DEPOSIT PROGRAM (735,340.65)8/31 Automatic Redemption MSILF GOVT SEC PART (3,246,011.69)

NET ACTIVITY FOR PERIOD $514,033.83

TRANSFERS, CORPORATE ACTIONS AND ADDITIONAL ACTIVITYSECURITY TRANSFERSActivityDate Activity Type Security (Symbol) Comments Quantity Accrued Interest Amount8/9 Transfer out of Account FNR 2003 107 LL 5500 33NVRG TO MERRILL LYNCH

PIERCE F &7,000.000 $(8.56) $(7,943.50)

8/9 Transfer out of Account FNR 2003-80 LL 5000 33AURG TO MERRILL LYNCHPIERCE F &

2,000.000 (2.22) (2,257.98)

TOTAL SECURITY TRANSFERS $(10,201.48)

Total Accrued Interest $(10.78)

REALIZED GAIN/(LOSS) DETAILLONG-TERM GAIN/(LOSS)

Security DescriptionDateAcquired

DateSold Quantity

SalesProceeds

Orig / AdjTotal Cost

RealizedGain/(Loss) Comments

AFIN 2013-4 A3 1.090 3-20-18 11/21/13 08/20/16 7,931.680 $7,931.68 $7,930.89 $0.79 AAMCAR 2013-5 A3 .900 9-10-18 11/05/13 08/08/16 1,570.400 1,570.40 1,570.09 0.31 ABACM 2006-3 A4 5.889 7-10-44 04/26/12 08/10/16 4,082.240 4,082.24 4,593.74 (511.50) ABACM 2006-5 A4 5.414 9-10-47 05/08/12 08/10/16 50,586.610 50,586.61 56,049.96 (5,463.35) ACARMX 2013-4 A3 1.100 7-16-18 10/30/13 08/15/16 2,911.410 2,911.41 2,911.12 0.29 ACNH 2013-C A3 1.020 8-15-18 08/20/13 08/15/16 12,838.700 12,838.70 12,836.13 2.57 ACNH 2013-D A3 .770 10-15-18 11/14/13 08/15/16 3,821.640 3,821.64 3,821.26 0.38 ACPS 2013-A A 1.310 6-15-20 03/12/13 08/15/16 3,095.910 3,095.91 3,095.29 0.62 A

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LONG-TERM GAIN/(LOSS) (CONTINUED)


DateSold Quantity

SalesProceeds



CWCI 2006-C1 A4 5.223 8-15-48 05/08/12 08/17/16 37,310.470 37,310.47 40,940.78 (3,630.31) ADANAHER CORP 5.400 3-01-19 03/14/13 08/15/16 30,000.000 33,178.50 33,178.50 0.00 ADBRR 2013-EZ3 A 1.636 12-18-49 08/28/13 08/22/16 5,004.130 5,004.13 4,998.63 5.50 AFHLMC 10G C90580 6.000 9-01-22 04/13/12 08/15/16 1,933.390 1,933.39 2,167.72 (234.33) AFHLMC 15G E01251 5 1/2 11-01-17 05/24/12 08/15/16 2,569.350 2,569.35 2,771.56 (202.21) AFHLMC 15G E01603 5.000 3-01-19 03/05/12 08/15/16 1,325.310 1,325.31 1,426.30 (100.99) AFHLMC 15G G11989 5 1/2 4-01-21 06/04/12 08/15/16 3,197.450 3,197.45 3,492.89 (295.44) AFHLMC 15G G12317 5 1/2 8-01-21 06/11/13 08/15/16 2,429.850 2,429.85 2,624.24 (194.39) AFHLMC 15G G12319 5.000 6-01-21 02/27/12 08/15/16 1,007.130 1,007.13 1,087.70 (80.57) AFHLMC 15G G12987 5 1/2 2-01-23 07/09/12 08/15/16 1,563.120 1,563.12 1,708.18 (145.06) AFHLMC 15G G13481 5 1/2 12-01-21 02/09/12 08/15/16 2,455.690 2,455.69 2,681.12 (225.43) AFHLMC 15G G13621 6 1/2 8-01-21 02/21/12 08/15/16 391.940 391.94 424.39 (32.45) AFHLMC 20G C90584 5 1/2 10-01-22 04/05/12 08/15/16 1,288.120 1,288.12 1,418.48 (130.36) AFHLMC 20G C90651 6.000 2-01-23 06/08/12 08/15/16 5,219.430 5,219.43 5,762.25 (542.82) AFHLMC 20G C90691 5 1/2 7-01-23 04/05/12 08/15/16 1,593.560 1,593.56 1,755.31 (161.75) AFHLMC 20G C90893 5 1/2 4-01-25 03/05/12 08/15/16 1,173.130 1,173.13 1,291.15 (118.02) AFHLMC 20G C91007 5 1/2 12-01-26 04/19/12 08/15/16 1,835.570 1,835.57 2,012.15 (176.58) AFHLMC 20G C91065 6.000 7-01-27 07/17/12 08/15/16 268.150 268.15 293.62 (25.47) AFHLMC 20G C91116 6.000 11-01-27 03/08/12 08/15/16 829.030 829.03 911.35 (82.32) AFHLMC 20G C91148 5 1/2 1-01-28 05/08/12 08/15/16 1,512.700 1,512.70 1,662.46 (149.76) AFHLMC 20G G30301 5 1/2 6-01-25 06/01/12 08/15/16 771.150 771.15 846.03 (74.88) A

06/04/12 08/15/16 883.609 883.61 968.08 (84.47) AFHLMC 20G G30458 6.000 12-01-27 02/28/12 08/15/16 706.390 706.39 784.52 (78.13) AFHLMC 20G U80068 3 1/2 10-01-32 02/08/13 08/15/16 3,437.970 3,437.97 3,682.75 (244.78) AFHLMC 30G C90982 5 1/2 7-01-26 04/10/12 08/15/16 796.470 796.47 872.37 (75.90) AFHLMC 30G G02419 6 1/2 10-01-36 12/29/11 08/15/16 906.480 906.48 1,011.81 (105.33) AFHLMC 30G G04676 6.000 9-01-38 01/25/12 08/15/16 5,337.820 5,337.82 5,881.21 (543.39) AFHLMC 30G G05379 5 1/2 3-01-34 02/28/12 08/15/16 171.370 171.37 187.70 (16.33) AFHLMC 30G G12674 5.000 12-01-21 02/16/12 08/15/16 3,366.400 3,366.40 3,630.33 (263.93) AFHLMC 30G S05711 3 1/2 7-15-42 07/23/12 08/15/16 1,303.550 1,303.55 1,367.42 (63.87) AFHLMC 30G S05783 .992 7-15-42 07/23/12 08/15/16 2,455.010 2,455.01 2,461.39 (6.38) AFHR 1543 VN 7.000 7-15-23 02/21/12 08/15/16 521.430 521.43 596.36 (74.93) AFHR 1643 PK 6 1/2 12-15-23 03/05/12 08/15/16 297.000 297.00 328.19 (31.19) AFHR 2116 ZA 6.000 1-15-29 04/16/12 08/15/16 2,224.100 2,224.10 2,498.55 (274.45) AFHR 2135 JZ 6.000 3-15-29 05/09/12 08/15/16 705.140 705.14 796.31 (91.17) AFHR 2154 PL 6 1/2 5-15-29 04/19/12 08/15/16 609.620 609.62 704.84 (95.22) AFHR 2215 PH 6 1/2 2-15-30 04/10/12 08/15/16 2,448.840 2,448.84 2,805.39 (356.55) AFHR 2218 ZB 6.000 3-15-30 05/29/12 08/15/16 1,325.691 1,325.69 1,492.99 (167.30) A

06/12/12 08/15/16 692.088 692.09 782.06 (89.97) AFHR 2489 PE 6.000 8-15-32 12/28/12 08/15/16 588.250 588.25 666.55 (78.30) AFHR 2535 AW 5 1/2 12-15-32 08/15/13 08/15/16 290.850 290.85 312.66 (21.81) AFHR 2538 DD 5 1/2 12-15-32 11/01/13 08/16/16 1,000.000 1,000.00 1,075.00 (75.00) A

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FHR 2543 YX 6.000 12-15-32 04/10/12 08/15/16 804.710 804.71 907.31 (102.60) AFHR 2544 KE 5 1/2 12-15-32 05/03/12 08/15/16 313.660 313.66 345.40 (31.74) AFHR 2554 MN 5 1/2 1-15-33 04/05/12 08/15/16 602.613 602.61 670.41 (67.80) A

06/27/12 08/15/16 415.803 415.80 469.86 (54.06) A07/17/12 08/15/16 765.319 765.32 870.55 (105.23) A08/13/12 08/15/16 759.293 759.29 860.81 (101.52) A

FHR 2569 LD 5 1/2 2-15-33 04/05/12 08/15/16 472.597 472.60 532.66 (60.06) A05/03/12 08/15/16 513.949 513.95 575.62 (61.67) A07/23/12 08/15/16 242.205 242.21 274.59 (32.38) A12/20/12 08/15/16 354.447 354.45 393.44 (38.99) A

FHR 2581 B 5 1/2 3-15-33 02/07/14 08/15/16 660.840 660.84 729.96 (69.12) AFHR 2598 QE 5 1/2 4-15-33 03/19/12 08/15/16 513.077 513.08 568.23 (55.15) A

04/04/12 08/15/16 679.982 679.98 759.88 (79.90) AFHR 2613 BY 5 1/2 5-15-33 04/05/12 08/15/16 275.600 275.60 309.36 (33.76) A

04/26/12 08/15/16 297.729 297.73 336.43 (38.70) AFHR 2613 H 4 1/2 5-15-18 03/28/12 08/15/16 457.190 457.19 486.91 (29.72) AFHR 2624 QH 5.000 6-15-33 02/24/12 08/15/16 376.907 376.91 414.60 (37.69) A

04/04/12 08/15/16 342.643 342.64 375.40 (32.76) A05/23/12 08/15/16 308.379 308.38 339.77 (31.39) A

FHR 2638 MJ 5.000 7-15-33 05/18/12 08/15/16 1,023.813 1,023.81 1,136.43 (112.62) A09/23/13 08/15/16 1,413.837 1,413.84 1,507.43 (93.59) A

FHR 2644 PH 5.000 7-15-33 04/04/12 08/15/16 690.550 690.55 753.53 (62.98) AFHR 2665 LL 5 1/2 8-15-33 05/31/12 08/16/16 1,000.000 1,000.00 1,101.20 (101.20) AFHR 2669 LL 5 1/2 8-15-33 05/30/12 08/16/16 2,000.000 2,000.00 2,210.00 (210.00) AFHR 2696 LL 5 1/2 10-15-33 05/02/12 08/16/16 3,000.000 3,000.00 3,273.60 (273.60) AFHR 2715 QH 5 1/2 12-15-33 11/17/11 08/15/16 104.003 104.00 115.47 (11.47) A

02/01/12 08/15/16 48.476 48.48 54.29 (5.81) AFHR 2728 DC 6.000 1-15-34 02/09/12 08/15/16 3,699.970 3,699.97 4,250.16 (550.19) AFHR 2756 NA 5.000 2-15-24 03/29/12 08/15/16 306.710 306.71 331.25 (24.54) AFHR 2778 MM 5 1/4 4-15-34 09/19/13 08/16/16 7,000.000 7,000.00 7,546.70 (546.70) AFHR 2799 PB 5 1/2 5-15-34 02/28/12 08/15/16 1,944.390 1,944.39 2,216.60 (272.21) A

03/01/12 08/15/16 664.749 664.75 751.96 (87.21) AFHR 2835 HB 5 1/2 8-15-24 12/28/12 08/15/16 509.100 509.10 560.01 (50.91) AFHR 2862 GB 5.000 9-15-24 02/28/12 08/15/16 1,268.240 1,268.24 1,383.78 (115.54) AFHR 2864 NB 5 1/2 7-15-33 04/18/12 08/15/16 3,354.160 3,354.16 3,781.82 (427.66) AFHR 2901 KB 5.000 12-15-34 05/18/12 08/15/16 700.010 700.01 768.26 (68.25) AFHR 2978 JG 5 1/2 5-15-35 07/25/12 08/15/16 214.979 214.98 245.61 (30.63) A

10/03/12 08/15/16 350.110 350.11 395.62 (45.51) AFHR 3028 ME 5.000 2-15-34 01/30/14 08/15/16 2,048.130 2,048.13 2,150.54 (102.41) AFHR 3064 OG 5 1/2 6-15-34 03/28/12 08/15/16 1,053.920 1,053.92 1,146.14 (92.22) AFHR 3072 CA 6.000 11-15-35 05/25/12 08/15/16 4,029.440 4,029.44 4,654.00 (624.56) AFHR 3098 KG 5 1/2 1-15-36 10/09/12 08/15/16 821.100 821.10 940.16 (119.06) A

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FHR 3113 GG 5 1/2 2-15-36 03/01/12 08/16/16 1,000.000 1,000.00 1,106.20 (106.20) AFHR 3148 CY 6.000 4-15-36 11/21/11 08/15/16 465.200 465.20 528.28 (63.08) AFHR 3154 KW 6.000 5-15-36 02/23/12 08/15/16 170.237 170.24 194.92 (24.68) A

03/08/12 08/15/16 115.322 115.32 131.76 (16.44) A05/07/12 08/15/16 343.221 343.22 392.13 (48.91) A05/24/12 08/15/16 170.237 170.24 193.64 (23.40) A

FHR 3158 NE 5 1/2 5-15-36 04/10/12 08/15/16 3,457.120 3,457.12 3,968.08 (510.96) AFHR 3178 PE 5 1/2 6-15-36 05/25/12 08/15/16 2,036.770 2,036.77 2,334.55 (297.78) AFHR 3188 GE 6.000 7-15-26 07/08/13 08/15/16 521.200 521.20 564.51 (43.31) AFHR 3212 BK 5 1/2 9-15-36 03/07/12 08/15/16 90.464 90.46 100.64 (10.18) A

03/30/12 08/15/16 191.785 191.79 212.88 (21.09) AFHR 3213 PE 6.000 9-15-36 05/03/12 08/15/16 2,976.080 2,976.08 3,509.69 (533.61) AFHR 3255 QE 5 1/2 12-15-36 07/01/13 08/15/16 236.830 236.83 252.82 (15.99) AFHR 3270 AT 5 1/2 1-15-37 02/23/12 08/15/16 141.247 141.25 158.20 (16.95) A

08/14/12 08/15/16 147.132 147.13 165.52 (18.39) AFHR 3290 PE 5 1/2 3-15-37 12/05/11 08/15/16 2,538.850 2,538.85 2,805.43 (266.58) AFHR 3302 UT 6.000 4-15-37 01/11/13 08/15/16 5,510.150 5,510.15 6,376.90 (866.75) AFHR 3316 CD 5 1/2 5-15-37 07/23/12 08/15/16 527.150 527.15 573.28 (46.13) AFHR 3349 HE 5 1/2 7-15-36 05/29/12 08/15/16 372.016 372.02 405.94 (33.92) A

12/13/12 08/15/16 642.573 642.57 697.58 (55.01) AFHR 3416 BJ 4.000 2-15-23 02/14/14 08/15/16 302.710 302.71 317.09 (14.38) AFHR 3553 PE 5 1/2 7-15-39 12/15/11 08/15/16 815.490 815.49 877.47 (61.98) AFHR 3575 EB 4.000 9-15-24 06/25/13 08/15/16 4,063.460 4,063.46 4,261.35 (197.89) AFHR 3672 DB 4.000 5-15-25 03/27/12 08/15/16 1,727.934 1,727.93 1,831.61 (103.68) A

04/26/12 08/15/16 1,151.956 1,151.96 1,221.07 (69.11) AFHR 3804 FN .957 3-15-39 02/27/12 08/15/16 4,220.430 4,220.43 4,233.51 (13.08) AFHR 4000 PD 2.000 1-15-42 03/28/12 08/15/16 4,459.980 4,459.98 4,471.13 (11.15) AFHR 4030 PA 3 1/2 6-15-40 04/13/12 08/15/16 13,613.140 13,613.14 14,361.86 (748.72) AFHR 4034 PJ 2.000 3-15-42 04/02/12 08/15/16 8,934.060 8,934.06 8,934.06 0.00 AFHR 4034 PK 2 1/4 3-15-42 04/02/12 08/15/16 8,934.060 8,934.06 9,023.40 (89.34) AFHR 4100 DA 1 1/2 8-15-27 09/11/12 08/15/16 21,056.300 21,056.30 21,186.85 (130.55) AFN94 003-PL 5 1/2 1-25-24 04/12/12 08/25/16 1,612.250 1,612.25 1,790.08 (177.83) AFNA 2010-M3 A3 4.332 3-25-20 12/15/11 08/25/16 300.490 300.49 334.39 (33.90) AFNGT 2002-T19 A1 6 1/2 7-25-42 11/22/11 08/25/16 1,621.600 1,621.60 1,848.62 (227.02) AFNMA 10YR MA0419 4 1/2 5-01-20 12/20/11 08/25/16 4,336.240 4,336.24 4,623.30 (287.06) AFNMA 7BL 470622 2 3/4 3-01-22 01/30/12 08/25/16 773.400 773.40 778.89 (5.49) AFNMA POOL 254688 5 1/2 3-01-23 12/10/12 08/25/16 551.050 551.05 606.65 (55.60) AFNMA POOL 254690 5 1/2 4-01-23 01/30/12 08/25/16 2,302.720 2,302.72 2,521.48 (218.76) AFNMA POOL 254799 5.000 7-01-23 03/07/13 08/25/16 939.630 939.63 1,025.32 (85.69) AFNMA POOL 255935 5.000 11-01-25 06/26/12 08/25/16 465.170 465.17 505.87 (40.70) AFNMA POOL 256351 6.000 8-01-26 08/15/12 08/25/16 1,351.076 1,351.08 1,501.72 (150.64) A

09/07/12 08/25/16 579.363 579.36 642.69 (63.33) A

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FNMA POOL 256751 5 1/2 6-01-27 06/19/12 08/25/16 1,076.550 1,076.55 1,175.70 (99.15) AFNMA POOL 257007 6.000 10-01-37 06/01/12 08/25/16 766.070 766.07 856.54 (90.47) AFNMA POOL 257125 5 1/2 3-01-28 02/24/12 08/25/16 1,030.960 1,030.96 1,126.94 (95.98) AFNMA POOL 257126 6.000 3-01-28 06/14/13 08/25/16 1,125.760 1,125.76 1,231.92 (106.16) AFNMA POOL 725229 6.000 3-01-34 06/04/12 08/25/16 2,562.680 2,562.68 2,863.79 (301.11) AFNMA POOL 725432 7.000 11-01-18 08/22/13 08/25/16 634.930 634.93 674.61 (39.68) AFNMA POOL 745948 6 1/2 10-01-36 11/22/11 08/25/16 285.870 285.87 316.94 (31.07) AFNMA POOL 748662 5 1/2 9-01-33 09/26/13 08/25/16 391.390 391.39 425.48 (34.09) AFNMA POOL 761326 5.000 4-01-19 07/09/12 08/25/16 927.220 927.22 1,006.59 (79.37) AFNMA POOL 888079 6 1/2 10-01-26 05/24/12 08/25/16 370.900 370.90 420.38 (49.48) AFNMA POOL 888890 6 1/2 10-01-37 11/22/11 08/25/16 243.350 243.35 269.80 (26.45) AFNMA POOL 889069 5 1/2 1-01-21 02/21/12 08/25/16 3,875.050 3,875.05 4,216.44 (341.39) AFNMA POOL 906211 6.000 1-01-37 08/07/13 08/25/16 548.280 548.28 601.74 (53.46) AFNMA POOL 995264 6 1/2 12-01-23 10/02/13 08/25/16 1,532.970 1,532.97 1,703.44 (170.47) AFNMA POOL 995954 6.000 3-01-29 01/03/13 08/25/16 3,899.550 3,899.55 4,275.86 (376.31) AFNMA POOL AC3237 5.000 10-01-39 06/06/13 08/25/16 1,441.720 1,441.72 1,578.68 (136.96) AFNMA POOL AD0121 4 1/2 9-01-29 02/24/12 08/25/16 621.840 621.84 665.37 (43.53) AFNMA POOL AD0364 5.000 5-01-23 03/28/12 08/25/16 3,291.440 3,291.44 3,562.98 (271.54) AFNMA POOL AE0096 5 1/2 7-01-25 07/06/12 08/25/16 1,914.610 1,914.61 2,116.22 (201.61) AFNMA POOL MA0156 5.000 8-01-29 02/28/12 08/25/16 1,311.350 1,311.35 1,422.29 (110.94) AFNMA POOL MA1546 3 1/2 8-01-43 07/31/13 08/25/16 1,725.030 1,725.03 1,698.81 26.22 AFNMA RELOC839226 4.000 9-01-20 12/15/11 08/25/16 548.870 548.87 568.41 (19.54) AFNR 1997 22 PC 4 1/2 3-18-27 06/08/12 08/18/16 1,435.450 1,435.45 1,587.89 (152.44) AFNR 2001-81 HE 6 1/2 1-25-32 11/21/11 08/25/16 4,340.540 4,340.54 4,939.97 (599.43) AFNR 2003 107 LL 5 1/2 11-25-33 04/10/12 08/26/16 5,000.000 5,000.00 5,625.00 (625.00) AFNR 2003 15 PG 5 1/2 3-25-33 11/21/11 08/25/16 186.115 186.12 203.20 (17.08) A

03/29/12 08/25/16 176.809 176.81 194.70 (17.89) A10/01/13 08/25/16 347.415 347.42 376.49 (29.07) A

FNR 2003 33 PG 5 1/2 5-25-33 04/02/12 08/25/16 482.899 482.90 543.55 (60.65) A06/21/12 08/25/16 191.494 191.49 212.79 (21.30) A07/12/12 08/25/16 308.056 308.06 343.48 (35.42) A09/25/13 08/25/16 141.539 141.54 152.32 (10.78) A

FNR 2003 45 JA 5 1/2 3-25-33 07/25/12 08/25/16 432.624 432.62 480.21 (47.59) A02/05/13 08/25/16 288.416 288.42 311.49 (23.07) A

FNR 2003 46 PJ 5 1/2 6-25-33 04/04/12 08/25/16 647.511 647.51 720.36 (72.85) A05/18/12 08/25/16 399.698 399.70 452.90 (53.20) A01/03/13 08/25/16 119.909 119.91 134.30 (14.39) A

FNR 2003-11 BX 5 1/2 2-25-33 05/24/12 08/25/16 250.020 250.02 280.02 (30.00) AFNR 2003-24 MZ 5 1/2 4-25-33 02/29/12 08/25/16 301.100 301.10 329.58 (28.48) AFNR 2003-30 JQ 5 1/2 4-25-33 10/02/13 08/25/16 558.170 558.17 608.41 (50.24) AFNR 2003-34 BC 5 1/2 5-25-23 02/09/12 08/25/16 2,705.280 2,705.28 3,009.62 (304.34) AFNR 2003-48 GH 5 1/2 6-25-33 03/01/12 08/25/16 2,082.614 2,082.61 2,430.62 (348.01) A

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DateSold Quantity

SalesProceeds



04/17/12 08/25/16 833.045 833.05 955.92 (122.87) AFNR 2003-80 LL 5.000 8-25-33 02/21/12 08/25/16 1,000.000 1,000.00 1,076.80 (76.80) AFNR 2004 95 AK 5 1/2 1-25-25 06/26/12 08/25/16 1,135.470 1,135.47 1,258.90 (123.43) AFNR 2004-1 LL 5 1/2 2-25-34 05/03/12 08/26/16 1,000.000 1,000.00 1,101.20 (101.20) AFNR 2004-24 BY 5.000 4-25-34 03/28/12 08/25/16 825.210 825.21 901.54 (76.33) AFNR 2005-106 UK 5 1/2 12-25-35 02/21/12 08/25/16 954.980 954.98 1,037.87 (82.89) AFNR 2005-5 CK 5.000 1-25-35 08/16/13 08/25/16 465.460 465.46 493.39 (27.93) AFNR 2005-68 PG 5 1/2 8-25-35 07/01/13 08/25/16 1,011.130 1,011.13 1,104.66 (93.53) AFNR 2005-70 KB 5 1/2 5-25-35 02/21/12 08/25/16 1,319.840 1,319.84 1,459.61 (139.77) AFNR 2005-97 B 5 1/2 11-25-35 06/18/12 08/25/16 1,376.600 1,376.60 1,553.77 (177.17) AFNR 2006-53 PE 5 1/2 6-25-36 01/23/12 08/25/16 8,344.800 8,344.80 9,554.80 (1,210.00) AFNR 2006-9 DG 5 1/2 3-25-36 02/17/12 08/25/16 1,603.813 1,603.81 1,828.35 (224.54) A

10/03/12 08/25/16 906.503 906.50 1,033.41 (126.91) A03/12/13 08/25/16 683.363 683.36 771.31 (87.95) A

FNR 2007-116 PB 5 1/2 8-25-35 06/12/12 08/25/16 1,850.780 1,850.78 2,091.38 (240.60) AFNR 2007-13 H 5 1/2 3-25-37 03/29/12 08/25/16 474.740 474.74 529.34 (54.60) AFNR 2007-76 PE 6.000 8-25-37 07/10/13 08/25/16 258.540 258.54 277.59 (19.05) AFNR 2007-85 BD 6.000 6-25-36 09/20/13 08/25/16 2,248.710 2,248.71 2,389.25 (140.54) AFNR 2009-71 XB 5.000 3-25-38 03/29/12 08/25/16 3,062.574 3,062.57 3,334.22 (271.65) A

04/04/12 08/25/16 2,041.716 2,041.72 2,222.82 (181.10) AFNR 2012-100 NA 2.000 11-25-41 09/11/12 08/25/16 9,932.310 9,932.31 10,124.00 (191.69) AFNR 2012-102 BJ 1 1/2 9-25-27 09/11/12 08/25/16 5,671.850 5,671.85 5,705.31 (33.46) AFNR 2013-83 CA 3 1/2 10-25-37 07/25/13 08/25/16 3,748.350 3,748.35 3,884.04 (135.69) AFNR 2013-96 YA 3 1/2 9-25-38 07/31/13 08/25/16 2,178.300 2,178.30 2,226.44 (48.14) AFORDO 2013-D A3 .670 4-15-18 11/19/13 08/15/16 2,514.360 2,514.36 2,514.11 0.25 AGNMA 08-33 PB 5 1/2 4-20-38 08/16/13 08/20/16 769.350 769.35 830.90 (61.55) A

09/04/13 08/20/16 512.900 512.90 551.37 (38.47) AGNMA 08-65 JP 5 3/4 8-20-38 02/08/12 08/20/16 2,195.820 2,195.82 2,540.78 (344.96) AGNR 200-69 TG 5.000 2-20-38 05/07/12 08/20/16 698.200 698.20 784.36 (86.16) AGNR 2002 44 JC 6.000 7-20-32 05/24/12 08/20/16 293.530 293.53 331.69 (38.16) AGNR 2002 69 BE 5 1/2 10-20-32 04/10/12 08/20/16 1,536.335 1,536.34 1,740.82 (204.48) A

05/18/12 08/20/16 398.014 398.01 453.22 (55.21) AGNR 2002 69 PD 5 1/2 10-20-32 03/05/12 08/20/16 1,253.517 1,253.52 1,418.73 (165.21) A

07/17/12 08/20/16 1,645.241 1,645.24 1,894.00 (248.76) A02/05/13 08/20/16 470.069 470.07 531.18 (61.11) A09/04/13 08/20/16 1,645.241 1,645.24 1,797.43 (152.19) A

GNR 2002-51 D 6.000 7-20-32 02/17/12 08/20/16 465.352 465.35 522.59 (57.24) A06/05/12 08/20/16 342.467 342.47 386.99 (44.52) A

GNR 2002-80 B 5 1/2 11-20-32 01/10/13 08/20/16 701.450 701.45 798.32 (96.87) AGNR 2002-92 PB 5 1/2 12-20-32 03/08/12 08/20/16 545.585 545.59 600.14 (54.55) A

06/04/12 08/20/16 478.991 478.99 529.29 (50.30) A06/26/12 08/20/16 711.922 711.92 786.67 (74.75) A

Account Detail




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DateSold Quantity

SalesProceeds



02/05/13 08/20/16 898.220 898.22 997.02 (98.80) AGNR 2003 10 KJ 5 1/2 2-20-33 04/13/12 08/20/16 1,229.540 1,229.54 1,398.60 (169.06) AGNR 2003 19 GT 5.000 3-16-33 03/29/12 08/16/16 426.406 426.41 468.49 (42.08) A

07/05/12 08/16/16 255.843 255.84 282.71 (26.87) AGNR 2003 20 MB 5 1/2 3-16-33 02/27/12 08/16/16 1,173.007 1,173.01 1,337.23 (164.22) A

05/18/12 08/16/16 875.625 875.63 998.21 (122.58) A04/04/13 08/16/16 2,098.196 2,098.20 2,387.33 (289.13) A

GNR 2003 65 AP 5 1/2 8-20-33 05/31/12 08/20/16 397.063 397.06 448.17 (51.11) A07/23/12 08/20/16 515.486 515.49 586.37 (70.88) A

GNR 2003 84 PC 5 1/2 10-20-33 04/30/12 08/20/16 2,266.320 2,266.32 2,603.32 (337.00) AGNR 2003-110 HC 5.000 12-20-33 04/11/12 08/20/16 489.670 489.67 535.26 (45.59) AGNR 2003-20 LC 5 1/2 3-20-33 12/05/12 08/20/16 1,090.710 1,090.71 1,261.73 (171.02) AGNR 2003-29 PD 5 1/2 4-16-33 04/24/12 08/16/16 1,620.420 1,620.42 1,861.38 (240.96) A

05/07/12 08/16/16 1,207.949 1,207.95 1,387.57 (179.62) AGNR 2004 72 BC 5 1/2 3-20-34 01/02/13 08/20/16 1,347.980 1,347.98 1,490.33 (142.35) AGNR 2004-15 AY 5 1/2 2-20-34 03/30/12 08/20/16 1,323.539 1,323.54 1,503.81 (180.27) A

05/07/12 08/20/16 1,308.667 1,308.67 1,493.45 (184.78) A12/20/12 08/20/16 1,249.182 1,249.18 1,438.81 (189.63) A

GNR 2004-42 AC 6.000 3-20-32 05/09/12 08/20/16 1,093.380 1,093.38 1,197.58 (104.20) AGNR 2004-93 PC 5.000 4-16-34 04/30/12 08/16/16 3,745.740 3,745.74 4,135.30 (389.56) AGNR 2005-13 BD 5.000 2-20-34 06/27/12 08/20/16 1,918.240 1,918.24 2,086.09 (167.85) AGNR 2005-28 AJ 5 1/2 4-20-35 04/16/12 08/20/16 1,620.890 1,620.89 1,811.34 (190.45) AGNR 2005-33 AY 5 1/2 4-16-35 03/08/12 08/16/16 517.983 517.98 590.14 (72.16) A

04/17/12 08/16/16 1,560.506 1,560.51 1,791.15 (230.64) A05/03/12 08/16/16 622.891 622.89 704.61 (81.72) A06/28/12 08/16/16 163.918 163.92 186.46 (22.54) A

GNR 2005-41 PA 4.000 5-20-35 09/18/13 08/20/16 14.320 14.32 14.11 0.21 AGNR 2005-48 CY 5.000 6-20-35 05/23/12 08/20/16 2,201.920 2,201.92 2,485.31 (283.39) AGNR 2005-49 B 5 1/2 6-20-35 04/17/12 08/20/16 2,142.337 2,142.34 2,452.98 (310.64) A

08/30/13 08/20/16 1,045.042 1,045.04 1,133.87 (88.83) AGNR 2005-5 EC 5.000 7-20-34 03/05/12 08/20/16 1,095.010 1,095.01 1,218.20 (123.19) AGNR 2005-56 BD 5.000 7-20-35 05/01/12 08/20/16 1,533.536 1,533.54 1,708.82 (175.28) A

06/14/12 08/20/16 483.003 483.00 541.54 (58.54) AGNR 2005-63 B 5.000 8-20-35 06/19/12 08/20/16 2,875.156 2,875.16 3,254.10 (378.94) A

10/11/12 08/20/16 1,405.631 1,405.63 1,593.56 (187.93) A01/14/13 08/20/16 1,197.981 1,197.98 1,348.09 (150.11) A

GNR 2005-70 BY 5.000 9-20-35 05/09/12 08/20/16 1,364.990 1,364.99 1,530.43 (165.44) AGNR 2005-98 DA 5 1/2 12-20-34 01/02/13 08/20/16 2,251.371 2,251.37 2,483.49 (232.12) A

08/20/13 08/20/16 1,105.218 1,105.22 1,165.23 (60.01) AGNR 2007-41PB 5 1/2 9-20-36 02/27/12 08/20/16 1,256.400 1,256.40 1,366.34 (109.94) AGNR 2007-70 PE 5 1/2 11-20-37 06/28/12 08/20/16 1,772.010 1,772.01 2,022.75 (250.74) A

07/24/12 08/20/16 1,772.010 1,772.01 2,037.81 (265.80) A

Account Detail




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DateSold Quantity

SalesProceeds



GNR 2007-71 PA 5.000 1-20-37 04/26/12 08/20/16 1,221.880 1,221.88 1,316.58 (94.70) AGNR 2008-31 PC 5 1/2 4-20-38 03/26/12 08/20/16 1,191.260 1,191.26 1,347.55 (156.29) AGNR 2008-38 PL 5 1/2 5-20-38 03/30/12 08/20/16 1,187.940 1,187.94 1,349.74 (161.80) AGNR 2008-41 PE 5 1/2 5-20-38 03/23/12 08/20/16 9,589.299 9,589.30 11,068.93 (1,479.63) A

05/02/12 08/20/16 2,320.610 2,320.61 2,686.80 (366.19) AGNR 2008-65 PG 6.000 8-20-38 03/07/12 08/20/16 1,196.378 1,196.38 1,383.25 (186.87) A

02/12/13 08/20/16 2,193.361 2,193.36 2,544.30 (350.94) AGNR 2009-127 PL 4 1/4 10-20-38 12/28/12 08/20/16 2,767.440 2,767.44 2,955.35 (187.91) AGNR 2009-45 DA 4 1/2 6-20-39 01/11/13 08/20/16 1,680.820 1,680.82 1,810.58 (129.76) AGNR 2009-61 PD 5.000 3-16-38 02/28/12 08/16/16 13,110.440 13,110.44 14,724.34 (1,613.90) AGNR 2009-61 PK 5.000 3-16-38 07/05/12 08/16/16 2,068.270 2,068.27 2,202.71 (134.44) AGNR 2009-93 AY 5.000 10-20-39 12/21/12 08/20/16 3,646.340 3,646.34 4,111.25 (464.91) AGNR 2012-116 BC 1 1/2 6-16-42 09/11/12 08/16/16 8,736.730 8,736.73 8,725.37 11.36 AGNR 2015-100 PG 2 1/2 7-20-45 08/18/15 08/20/16 35,943.950 35,943.95 36,220.27 (276.32)JDOT 2013-B A3 .870 8-15-17 08/27/13 08/15/16 2,055.850 2,055.85 2,055.44 0.41 ALBUBS 2007-C2 A3 5.430 2-15-40 01/23/13 08/17/16 78,623.480 78,623.48 90,165.41 (11,541.93) AMASTR 2003-11 8A1 5 1/2 12-25-33 05/29/13 08/25/16 4,110.110 4,110.11 4,302.46 (192.35) AMLCFC 2007-9 A4 5.700 9-12-49 11/21/12 08/12/16 10,306.150 10,306.15 12,040.68 (1,734.53) ANAROT 2013-C A3 .670 8-15-18 12/04/13 08/15/16 5,078.540 5,078.54 5,077.02 1.52 ANGN 2010-C1 A2 2.900 10-29-20 04/30/13 08/29/16 4,442.340 4,442.34 4,742.64 (300.30) ASLFMT 2013-2A A 1.780 12-25-65 07/03/13 08/25/16 4,000.310 4,000.31 3,959.51 40.80 AUS TSY BD FED STR .000 8-15-16 09/19/13 08/15/16 160,000.000 160,000.00 160,000.00 0.00 AWFMBS 2004-P 2A1 2.987 9-25-34 11/29/11 08/25/16 1,790.100 1,790.10 1,671.42 118.68 AWORLD OMNI AUTO .640 4-16-18 05/21/13 08/15/16 1,788.230 1,788.23 1,788.05 0.18 A

Long-Term This Period $910,144.23 $973,469.96 $(63,325.73)

Long-Term Year to Date $4,703,956.87 $4,689,480.48 $14,476.39

SHORT-TERM GAIN/(LOSS)


DateSold Quantity

SalesProceeds



FHR 4231 PA 3 1/2 5-15-42 09/09/15 08/15/16 8,624.900 8,624.90 9,126.22 (501.32)FHR 4384 LA 3 1/2 9-15-40 09/09/15 08/15/16 12,340.420 12,340.42 13,057.71 (717.29)FHR 4480 EA 3 1/2 11-15-43 09/09/15 08/15/16 11,034.370 11,034.37 11,730.05 (695.68)FNMA 2.300 11-27-24 05/02/16 08/29/16 500,000.000 500,000.00 498,506.00 1,494.00FNR 2009-10 PE 5 1/2 3-25-39 09/09/15 08/25/16 1,938.880 1,938.88 2,087.78 (148.90)FNR 2013-58 A 2.000 12-25-39 02/18/16 08/25/16 7,181.800 7,181.80 7,208.73 (26.93)FNR 2013-6 LD 2.000 2-25-43 09/09/15 08/25/16 10,354.600 10,354.60 10,212.22 142.38

Short-Term This Period $551,474.97 $551,928.71 $(453.74)

Short-Term Year to Date $25,589,535.29 $25,035,844.94 $553,690.35

Account Detail




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SHORT-TERM GAIN/(LOSS) (CONTINUED)Sales

ProceedsOrig / Adj

Total CostRealized

Gain/(Loss)

Net Realized Gain/(Loss) This Period $1,461,619.20 $1,525,398.67 $(63,779.47)

Net Realized Gain/(Loss) Year to Date $30,293,492.16 $29,725,325.42 $568,166.74

Treasury regulations require that we report on Form 1099-B a) adjusted cost basis on the sale of covered securities acquired on or after 1/1/11 (or the applicable date for the type of security), b) the gain or loss aseither long-term or short-term, and c) basis adjustments on covered securities due to wash sales, certain corporate actions and transfers by gift or inheritance. This section may not reflect all the basis adjustmentsrequired when filing your tax return. Refer to the Expanded Disclosures.

A - You executed this transaction elsewhere and later transferred the security to this account. Another financial institution has provided the transaction detail for this position.

MESSAGESUpdate to Morgan Stanley’s Independent Equity Research ProviderEffective August 2016, Morgan Stanley switched its independent third-party equity research provider from Standard & Poor’s (S&P) to Morningstar, the largest independent research provider, whose core competenceis to deliver analyst-driven research. This shift demonstrates Morgan Stanley’s continued commitment to servicing our clients. Equity Research, content and ratings currently based on S&P will be replaced withMorningstar, while S&P Credit Ratings will continue to be displayed on your statements.Please contact your Financial Advisor or Private Wealth Advisor if you have any questions.Notice Regarding Potential Puerto Rico Risk ExposureAs you may be aware, securities issued by the Commonwealth of Puerto Rico or affiliates of the Commonwealth have been, and continue to be volatile due to repeated downgrades, relatively high debt loads, defaultsof certain securities, proposed or enacted legislative changes (including whether one or more issuers will be entitled to seek bankruptcy protection which could affect the interests of bondholders), and litigation, amongother factors. These factors may further affect the value, liquidity, and credit quality of your Puerto Rico securities or mutual funds that hold these securities. Particular consideration should be given to situations whereoverall exposure to Puerto Rico debt makes up a significant part of one's investments, even if that exposure is spread across multiple issuers or securities. The use of margin or other forms of borrowing against accountsthat hold Puerto Rico municipal bonds or mutual funds may increase the above-described risks. If you have any questions regarding the Commonwealth of Puerto Rico or affiliates of the Commonwealth or any of theabove information, please contact your Financial Advisor or Private Wealth Advisor. Public filings are available on the Municipal Securities Rulemaking Board's, EMMA website at http://emma.msrb.org. Thiscommunication is a notification and not a research report prepared by the research department of Morgan Stanley & Co. LLC or Morgan Stanley Smith Barney LLC. In providing this notification, Morgan Stanley is notexpressing a view on the likelihood of occurrence of any of the events or effects described above and is not making a recommendation to investors concerning their Puerto Rico investments.

Morgan Stanley Smith Barney Document BR217l … Carteras Inversiones...available by selecting...

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