8-K

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 8-K

Current Report

Pursuant to Section 13 or 15 (d) of the

Securities Exchange Act of 1934

Date of Report (Date of earliest event reported): October 23, 2013 

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

(Exact Name of Registrant as Specified in Charter)

Switzerland	001-32938	98-0681223
(State or Other Jurisdiction of Incorporation)	(Commission File Number)	(I.R.S. Employer Identification No.)

Lindenstrasse 8

6340 Baar

Zug, Switzerland

(Address of Principal Executive Offices and Zip Code)

Registrant’s telephone number, including area code: 41-41-768-1080

Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:

¨ Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425)

¨ Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12)

¨ Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b))

¨ Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c))

Item 2.02.  Results of Operations and Financial Condition.

On October 23, 2013, Allied World Assurance Company Holdings, AG issued a press release reporting its third quarter results for 2013 and the availability of its third quarter 2013 financial supplement and investment supplement. The press release, financial supplement and investment supplement are furnished herewith as Exhibits 99.1, 99.2 and 99.3, respectively. The information hereunder is not deemed to be “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), is not otherwise subject to the liabilities of that section and is not incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in such a filing.

Item 9.01. Financial Statements and Exhibits.

(d)         Exhibits

Exhibit Number	Description
99.1	Press release, dated October 23, 2013, reporting third quarter results for 2013.
99.2	Third Quarter 2013 Financial Supplement.
99.3	Third Quarter 2013 Investment Supplement.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.

	ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG
Dated:   October 23, 2013	By:        /s/ Thomas A. Bradley
	Name:  Thomas A. Bradley
	Title:  Executive Vice President and Chief Financial Officer

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EXHIBIT INDEX

Exhibit Number	Description
99.1	Press release, dated October 23, 2013, reporting third quarter results for 2013.
99.2	Third Quarter 2013 Financial Supplement.
99.3	Third Quarter 2013 Investment Supplement.

EX-99.1

Exhibit 99.1

ALLIED WORLD REPORTS 53% GROWTH IN UNDERWRITING INCOME

FOR THE THIRD QUARTER 2013

• Diluted book value per share of $99.16, an increase of 3.1% from June 30, 2013

• Combined ratio of 84.2%, compared with 88.1% a year ago

• Gross premiums written increased 15.2% compared to the third quarter 2012

• Net favorable reserve development on prior loss years of $61.5 million versus $56.2 million a year ago

• The company repurchased $40.6 million of its common shares during the third quarter 2013

ZUG, Switzerland--(BUSINESS WIRE)-- Allied World Assurance Company Holdings, AG (NYSE: AWH) today reported net income of $122.8 million, or $3.54 per diluted share, for the third quarter of 2013 compared to net income of $219.6 million, or $6.00 per diluted share, for the third quarter of 2012. Net income for the nine months ended September 30, 2013 was $280.0 million, or $7.97 per diluted share, compared to net income of $534.2 million, or $14.28 per diluted share, for the first nine months of 2012.

The company reported operating income of $101.8 million, or $2.93 per diluted share, for the third quarter of 2013, compared to operating income of $79.2 million, or $2.16 per diluted share, for the third quarter of 2012. Operating income for the nine months ended September 30, 2013 was $289.5 million, or $8.24 per diluted share, compared to operating income of $258.0 million, or $6.90 per diluted share, for the first nine months of 2012.

President and Chief Executive Officer Scott Carmilani commented, “Once again, Allied World delivered an excellent underwriting performance. We benefitted from profitable growth across our well balanced, niche book of business amid an attractive rate environment. The improved investment environment also contributed to diluted book value per share growth of over 3% for the quarter.”

Third Quarter Summary (in thousands, except per share amounts) (Unaudited)

	Three months ended September 30,		Diluted per share
	2013	2012	2013	2012
Net income	$                    122,843	$          219,647	$                3.54	$                    6.00
Add after tax effect of:
Net realized investment gains	(25,395)	(141,451)	(0.73)	(3.86)
Foreign exchange loss	4,353	1,023	0.12	0.02
Operating income	$                    101,801	$            79,219	$                2.93	$                    2.16

Third Quarter Operating Results

• Gross premiums written were $580.9 million, a 15.2% increase compared to $504.4 million in the third quarter of 2012. This was attributable to growth across all three segments. U.S. Insurance grew by 17.3% helped by new business across existing lines including general casualty and programs, contributions from newer lines including primary construction, and premium rate increases across all lines of business; International grew by 9.5% in part due to new aviation business and from growth in professional liability lines across the European and Bermuda platforms; Reinsurance grew by 16.1% driven by new business in the specialty line.

• Net premiums written were $453.1 million, a 15.7% increase compared to $391.5 million in the third quarter of 2012.

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• Net premiums earned were $510.8 million, a 15.8% increase compared to $441.0 million in the third quarter of 2012.

• Underwriting income was $80.1 million, a 52.9% increase compared to $52.4 million in the third quarter of 2012 due to higher premiums earned as well as a fewer losses.

• The combined ratio was 84.2% compared to 88.1% in the third quarter of 2012 primarily due to a lower reported loss ratio offset by a slightly higher expense ratio.

• The loss and loss expense ratio was 54.2% in the third quarter of 2013 compared to 58.7% in the prior year. During the third quarter of 2013, the company recorded net favorable reserve development on prior loss years of $61.5 million, a benefit of 12.0 percentage points to the loss and loss expense ratio, compared to $56.2 million a year ago, a benefit of 12.7 percentage points.

• Excluding prior year reserve adjustments, the loss and loss expense ratio for the third quarter of 2013 was 66.2% compared to 71.4% for the third quarter of 2012.

• The company experienced no catastrophe losses for the quarter ended September 30, 2013.

• The company’s expense ratio was 30.0% for the third quarter of 2013 compared to 29.4% for the third quarter of 2012. The increase was largely driven by higher accruals for performance based compensation, the impact of a higher share price in the quarter on the stock compensation accrual, as well as increased headcount.

Investment Results

• The total return on the company’s investment portfolio for the three months ended September 30, 2013 was 0.8% compared to 2.2% for the three months ended September 30, 2012.

• The decrease in total return is primarily due to realized and unrealized gains being much lower in the third quarter of 2013 than in the third quarter of 2012.

• See the table below for the components of our investment returns:

(Expressed in millions of U.S. Dollars)	Three months ended September 30,		Nine months ended September 30,
	2013	2012	2013	2012
Net investment income	$                     39.3	$                 39.1	$               110.3	$               128.8
Net realized investment gains (losses)	27.5	149.8	(8.1)	292.0
Change in unrealized losses	-	-	-	(15.4)
Net investment income, realized gains and unrealized gains	$                     66.8	$               188.9	$               102.2	$               405.4
Average invested assets	$                8,522.7	$            8,449.4	$            8,534.9	$            8,332.5
Financial statement portfolio return	0.8%	2.2%	1.2%	4.9%
Note: net investment income, realized gains and unrealized gains are disclosed on a pre-tax basis

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Shareholders’ Equity

• As of September 30, 2013, the company’s total shareholders’ equity was $3,443.9 million, compared to $3,326.3 million as of December 31, 2012.

• As of September 30, 2013, diluted book value per share was $99.16, an increase of 3.1% compared to $96.18 as of June 30, 2013, and an increase of 7.1% compared to $92.59 as of December 31, 2012.

Capital Management

• During the third quarter of 2013, the company repurchased 427,388 of its common shares through its share repurchase program in the open market at an average price of $94.93 per share and an aggregate cost of $40.6 million.

• In May 2013, the company’s shareholders approved a quarterly dividend equal to $0.50 per share. The first dividend was paid on July 3, 2013 to shareholders of record on June 25, 2013 while the second dividend was paid on October 3, 2013 to shareholders of record on September 24, 2013. The two remaining dividends are anticipated to be paid on January 2, 2014 and April 3, 2014.

Supplementary Information

Allied World will be providing a Financial Supplement relating to third quarter 2013 and an Investment Supplement as of September 30, 2013. This information will be available in the “Investor Relations” section of the company’s website at www.awac.com.

Conference Call

Allied World will host a conference call on Thursday, October 24, 2013 at 9:00 a.m. (Eastern Time) to discuss the results for the third quarter ended September 30, 2013. The public may access a live webcast of the conference call at the “Investor Relations” section of the company’s website at www.awac.com. In addition, the conference call can be accessed by dialing (888) 317-6003 (U.S. and Canada callers) or (412) 317-6061 (international callers) and entering the passcode 4405281 approximately ten minutes prior to the call.

Following the conclusion of the presentation, a replay of the call will be available through Friday, November 8, 2013 by dialing (877) 344-7529 (U.S. and Canada callers) or (412) 317-0088 (international callers) and entering the passcode 10034009. In addition, the webcast will remain available online through Friday, November 8, 2013 at www.awac.com.

Non-GAAP Financial Measures

In presenting the company’s results, management has included and discussed in this press release certain non-generally accepted accounting principles (“non-GAAP”) financial measures within the meaning of Regulation G as promulgated by the U.S. Securities and Exchange Commission. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“U.S. GAAP”).

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“Operating income” is an internal performance measure used in the management of the company’s operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss, and other non-recurring items. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss, and other non-recurring items from the calculation of operating income because these amounts are heavily influenced by and fluctuate in part according to the availability of market opportunities and other factors. In addition to presenting net income determined in accordance with U.S. GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of the company’s financial information to more easily analyze our results of operations and underlying business performance. Operating income should not be viewed as a substitute for U.S. GAAP net income.

The company has included “diluted book value per share” because it takes into account the effect of dilutive securities; therefore, the company believes it is an important measure of calculating shareholder returns.

“Annualized net income return on average shareholders’ equity” (“ROAE”) is calculated using average shareholders’ equity, excluding the average after tax unrealized gains (or losses) on investments. Unrealized gains (losses) on investments are primarily the result of interest rate and credit spread movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements U.S. GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information.

“Annualized operating return on average shareholders’ equity” is calculated using operating income (as defined above and annualized in the manner described for net income (loss) available to shareholders under ROAE above) and average shareholders’ equity, excluding the average after tax unrealized gains (losses) on investments. Unrealized gains (losses) are excluded from equity for the reasons outlined in the annualized net income return on average shareholders’ equity explanation above.

Reconciliations of these financial measures to their most directly comparable U.S. GAAP measures are included in the attached tables.

About Allied World Assurance Company

Allied World Assurance Company Holdings, AG, through its subsidiaries and brand known as Allied World, is a global provider of innovative property, casualty and specialty insurance and reinsurance solutions. Allied World offers superior

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client service through a global network of offices and branches. All of Allied World’s rated insurance and reinsurance subsidiaries are rated A by A.M. Best Company, A by Standard & Poor’s, and A2 by Moody’s, and our Lloyd’s Syndicate 2232 is rated A+ by Standard & Poor’s and Fitch.

Please visit the following for further information on Allied World: Web: www.awac.com | Facebook: www.facebook.com/alliedworld | LinkedIn: http://www.linkedin.com/company/Allied-World.

Cautionary Statement Regarding Forward-Looking Statements

Any forward-looking statements made in this press release reflect our current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation Reform Act of 1995. Such statements involve risks and uncertainties, which may cause actual results to differ materially from those set forth in these statements. For example, our forward-looking statements could be affected by pricing and policy term trends; increased competition; the adequacy of our loss reserves; negative rating agency actions; greater frequency or severity of unpredictable catastrophic events; the impact of acts of terrorism and acts of war; the company or its subsidiaries becoming subject to significant income taxes in the United States or elsewhere; changes in regulations or tax laws; changes in the availability, cost or quality of reinsurance or retrocessional coverage; adverse general economic conditions; and judicial, legislative, political and other governmental developments, as well as management’s response to these factors, and other factors identified in our filings with the U.S. Securities and Exchange Commission. You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. We are under no obligation (and expressly disclaim any such obligation) to update or revise any forward-looking statement that may be made from time to time, whether as a result of new information, future developments or otherwise.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS

(Expressed in thousands of United States dollars, except share and per share amounts)

	Quarter Ended September 30,				Nine Months Ended September 30,
	2013		2012		2013		2012
Revenues:
Gross premiums written	$	580,893	$	504,420	$	2,183,174	$	1,832,219
Premiums ceded		(127,816)		(112,883)		(453,823)		(357,019)
Net premiums written		453,077		391,537		1,729,351		1,475,200
Change in unearned premiums		57,696		49,480		(248,079)		(202,546)
Net premiums earned		510,773		441,017		1,481,272		1,272,654
Net investment income		39,271		39,121		110,294		128,781
Net realized investment gains (losses)		27,487		149,813		(8,074)		292,057
Total revenues		577,531		629,951		1,583,492		1,693,492
Expenses:
Net losses and loss expenses		276,970		258,948		807,276		724,530
Acquisition costs		65,114		51,086		186,416		149,812
General and administrative expenses		88,553		78,572		251,818		222,917
Amortization of intangible assets		633		633		1,900		1,900
Interest expense		14,094		13,822		42,416		41,579
Foreign exchange loss (gain)		4,353		1,023		7,361		(77)
Total expenses		449,717		404,084		1,297,187		1,140,661
Income before income taxes		127,814		225,867		286,305		552,831
Income tax expense		4,971		6,220		6,332		18,677
NET INCOME	$	122,843	$	219,647	$	279,973	$	534,154
PER SHARE DATA:
Basic earnings per share	$	3.61	$	6.16	$	8.15	$	14.68
Diluted earnings per share	$	3.54	$	6.00	$	7.97	$	14.28
Weighted average common shares outstanding		33,991,359		35,652,768		34,340,227		36,379,514
Weighted average common shares and common share equivalents outstanding		34,728,193		36,616,734		35,131,092		37,393,093
Dividends paid per share	$	0.500	$	0.750	$	0.875	$	1.500

A dividend of $0.50 was also paid on October 3, 2013 to shareholders of record on September 24, 2013.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED CONDENSED CONSOLIDATED BALANCE SHEETS

(Expressed in thousands of United States dollars, except share and per share amounts)

ASSETS:	As of     September 30,     2013		As of     December 31,     2012
Fixed maturity investments trading, at fair value	$	6,047,883	$	6,626,454
Equity securities trading, at fair value		708,929		523,949
Other invested assets		905,025		783,534
Total investments		7,661,837		7,933,937
Cash and cash equivalents		1,210,564		865,364
Insurance balances receivable		740,112		510,532
Funds held		375,131		336,368
Prepaid reinsurance		327,052		277,406
Reinsurance recoverable		1,226,034		1,141,110
Accrued investment income		25,471		29,135
Net deferred acquisition costs		145,951		108,010
Goodwill		268,376		268,376
Intangible assets		49,464		51,365
Balances receivable on sale of investments		237,031		418,879
Net deferred tax assets		41,832		25,580
Other assets		68,665		63,884
Total assets	$	12,377,520	$	12,029,946
LIABILITIES:
Reserve for losses and loss expenses	$	5,780,781	$	5,645,549
Unearned premiums		1,515,746		1,218,021
Reinsurance balances payable		193,643		136,264
Balances due on purchases of investments		497,974		759,934
Senior notes		798,426		798,215
Dividends payable		16,952		—
Accounts payable and accrued liabilities		130,070		145,628
Total liabilities		8,933,592		8,703,611
SHAREHOLDERS’ EQUITY:
Common shares, 2013: par value CHF 12.30 per share and 2012: par value CHF 12.64 per share (2013: 34,972,795; 2012: 36,369,868 shares issued and 2013: 33,814,920; 2012: 34,797,781 shares outstanding)		424,837		454,980
Treasury shares, at cost (2013: 1,157,875; 2012: 1,572,087)		(85,845)		(113,818)
Retained earnings		3,104,936		2,985,173
Total shareholders’ equity		3,443,928		3,326,335
Total liabilities and shareholders’ equity	$	12,377,520	$	12,029,946

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED CONSOLIDATED SEGMENT DATA

(Expressed in thousands of United States dollars, except for ratio information)

Quarter Ended September 30, 2013	U.S.     Insurance		International   Insurance		Reinsurance		Total
Gross premiums written	$	308,709	$	132,881	$	139,303	$	580,893
Net premiums written		238,792		75,632		138,653		453,077
Net premiums earned		207,602		87,554		215,617		510,773
Net losses and loss expenses		(141,222)		(31,094)		(104,654)		(276,970)
Acquisition costs		(28,426)		282		(36,970)		(65,114)
General and administrative expenses		(41,616)		(26,450)		(20,487)		(88,553)
Underwriting (loss) income		(3,662)		30,292		53,506		80,136
Net investment income								39,271
Net realized investment gains								27,487
Amortization of intangible assets								(633)
Interest expense								(14,094)
Foreign exchange loss								(4,353)
Income before income taxes							$	127,814
GAAP Ratios:
Loss and loss expense ratio		68.0%		35.5%		48.5%		54.2%
Acquisition cost ratio		13.7%		(0.3%)		17.1%		12.7%
General and administrative expense ratio		20.0%		30.2%		9.5%		17.3%
Combined ratio		101.7%		65.4%		75.1%		84.2%
Quarter Ended September 30, 2012	U.S. Insurance		International Insurance		Reinsurance		Total
Gross premiums written	$	263,129	$	121,315	$	119,976	$	504,420
Net premiums written		200,779		71,199		119,559		391,537
Net premiums earned		173,948		85,329		181,740		441,017
Net losses and loss expenses		(109,111)		(15,099)		(134,738)		(258,948)
Acquisition costs		(22,696)		266		(28,656)		(51,086)
General and administrative expenses		(37,388)		(22,920)		(18,264)		(78,572)
Underwriting income		4,753		47,576		82		52,411
Net investment income								39,121
Net realized investment gains								149,813
Amortization of intangible assets								(633)
Interest expense								(13,822)
Foreign exchange loss								(1,023)
Income before income taxes							$	225,867
GAAP Ratios:
Loss and loss expense ratio		62.7%		17.7%		74.1%		58.7%
Acquisition cost ratio		13.0%		(0.3%)		15.8%		11.6%
General and administrative expense ratio		21.5%		26.9%		10.0%		17.8%
Combined ratio		97.2%		44.3%		99.9%		88.1%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED CONSOLIDATED SEGMENT DATA

(Expressed in thousands of United States dollars, except for ratio information)

Nine Months Ended September 30, 2013	U.S.     Insurance		International   Insurance		Reinsurance		Total
Gross premiums written	$	872,024	$	453,990	$	857,160	$	2,183,174
Net premiums written		652,464		259,771		817,116		1,729,351
Net premiums earned		593,477		258,809		628,986		1,481,272
Net losses and loss expenses		(398,910)		(90,997)		(317,369)		(807,276)
Acquisition costs		(78,824)		1,489		(109,081)		(186,416)
General and administrative expenses		(119,514)		(75,374)		(56,930)		(251,818)
Underwriting (loss) income		(3,771)		93,927		145,606		235,762
Net investment income								110,294
Net realized investment losses								(8,074)
Amortization of intangible assets								(1,900)
Interest expense								(42,416)
Foreign exchange loss								(7,361)
Income before income taxes							$	286,305
GAAP Ratios:
Loss and loss expense ratio		67.2%		35.2%		50.5%		54.5%
Acquisition cost ratio		13.3%		(0.6%)		17.3%		12.6%
General and administrative expense ratio		20.1%		29.1%		9.1%		17.0%
Combined ratio		100.6%		63.7%		76.9%		84.1%
Nine Months Ended September 30, 2012	U.S. Insurance		International Insurance		Reinsurance		Total
Gross premiums written	$	733,314	$	418,498	$	680,407	$	1,832,219
Net premiums written		551,286		255,150		668,764		1,475,200
Net premiums earned		490,091		247,805		534,758		1,272,654
Net losses and loss expenses		(309,889)		(75,432)		(339,209)		(724,530)
Acquisition costs		(63,918)		1,376		(87,270)		(149,812)
General and administrative expenses		(103,162)		(66,969)		(52,786)		(222,917)
Underwriting income		13,122		106,780		55,493		175,395
Net investment income								128,781
Net realized investment gains								292,057
Amortization of intangible assets								(1,900)
Interest expense								(41,579)
Foreign exchange gain								77
Income before income taxes							$	552,831
GAAP Ratios:
Loss and loss expense ratio		63.2%		30.4%		63.4%		56.9%
Acquisition cost ratio		13.0%		(0.6%)		16.3%		11.8%
General and administrative expense ratio		21.0%		27.0%		9.9%		17.5%
Combined ratio		97.2%		56.8%		89.6%		86.2%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED OPERATING INCOME RECONCILIATION

(Expressed in thousands of United States dollars, except share and per share amounts)

	Quarter Ended September 30,				Nine Months Ended September 30,
	2013		2012		2013		2012
Net income	$	122,843	$	219,647	$	279,973	$	534,154
Add after tax effect of:
Net realized investment (gains) losses		(25,395)		(141,451)		2,160		(276,035)
Foreign exchange loss (gain)		4,353		1,023		7,361		(77)
Operating income	$	101,801	$	79,219	$	289,494	$	258,042
Weighted average common shares outstanding:
Basic		33,991,359		35,652,768		34,340,227		36,379,514
Diluted		34,728,193		36,616,734		35,131,092		37,393,093
Basic per share data:
Net income	$	3.61	$	6.16	$	8.15	$	14.68
Add after tax effect of:
Net realized investment (gains) losses		(0.75)		(3.97)		0.06		(7.59)
Foreign exchange loss (gain)		0.13		0.03		0.22		—
Operating income	$	2.99	$	2.22	$	8.43	$	7.09
Diluted per share data:
Net income	$	3.54	$	6.00	$	7.97	$	14.28
Add after tax effect of:
Net realized investment (gains) losses		(0.73)		(3.86)		0.06		(7.38)
Foreign exchange loss (gain)		0.12		0.02		0.21		—
Operating income	$	2.93	$	2.16	$	8.24	$	6.90

10

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED DILUTED BOOK VALUE PER SHARE RECONCILIATION

(Expressed in thousands of United States dollars, except share and per share amounts)

	As of   September 30,   2013		As of   December 31,   2012		As of   September 30,   2012
Price per share at period end	$	99.39	$	78.80	$	77.25
Total shareholders’ equity	$	3,443,928	$	3,326,335	$	3,435,786
Basic common shares outstanding		33,814,920		34,797,781		35,402,558
Add: unvested restricted share units		83,240		135,123		179,986
Add: performance based equity awards		270,853		485,973		508,130
Add: employee share purchase plan		15,320		10,750		5,925
Add: dilutive options/warrants outstanding		1,050,832		1,224,607		1,306,837
Weighted average exercise price per share	$	47.77	$	47.02	$	46.14
Deduct: options bought back via treasury method		(505,057)		(730,652)		(780,502)
Common shares and common share equivalents outstanding		34,730,108		35,923,582		36,622,934
Basic book value per common share	$	101.85	$	95.59	$	97.05
Diluted book value per common share	$	99.16	$	92.59	$	93.82

11

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

UNAUDITED ANNUALIZED RETURN ON SHAREHOLDERS’ EQUITY RECONCILIATION

(Expressed in thousands of United States dollars, except for percentage information)

	Quarter Ended September 30,				Nine Months Ended September 30,
	2013		2012		2013		2012
Opening shareholders’ equity	$	3,373,229	$	3,283,901	$	3,326,335	$	3,149,022
Deduct: accumulated other comprehensive income		—		(1,414)		—		(14,484)
Adjusted opening shareholders’ equity		3,373,229		3,282,487		3,326,335		3,134,538
Closing shareholders’ equity	$	3,443,928	$	3,435,786	$	3,443,928	$	3,435,786
Deduct: accumulated other comprehensive income		—		(1,385)		—		(1,385)
Adjusted closing shareholders’ equity		3,443,928		3,434,401		3,443,928		3,434,401
Average shareholders’ equity	$	3,408,579	$	3,358,444	$	3,385,132	$	3,284,470
Net income available to shareholders	$	122,843	$	219,647	$	279,973	$	534,154
Annualized net income available to shareholders		491,372		878,588		373,297		712,205
Annualized return on average shareholders’ equity - net income available to shareholders		14.4%		26.2%		11.0%		21.7%
Operating income available to shareholders	$	101,801	$	79,219	$	289,494	$	258,042
Annualized operating income available to shareholders		407,204		316,876		385,992		344,056
Annualized return on average shareholders’ equity - operating income available to shareholders		11.9%		9.4%		11.4%		10.5%

12

Media:

Noelle Campbell

Manager, Corporate Communications

+1-646-794-0544

Noelle.campbell@awacservices.com

OR

Faye Cook

SVP, Marketing & Communications

+1-441-278-5406

Faye.cook@awac.com

Investors:

Sarah Doran

SVP, Investor Relations and Treasurer

+1-646-794-0590

Sarah.doran@awac.com

Website: www.awac.com

13

EX-99.2

Exhibit 99.2

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

3rd Quarter Ended September 30, 2013

Investor Contact:	This report is for informational purposes only. It should be read in conjunction with documents filed by Allied World Assurance Company Holdings, AG with the U.S. Securities and Exchange Commission.
Sarah Doran
Phone: (646) 794-0590
Email: sarah.doran@awac.com

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

Any forward-looking statements made in this report reflect our current views with respect to future events and financial performance and are made pursuant to the safe harbor provisions of the Private Securities Litigation reform Act of 1995. Such statements involve risks and uncertainties, which may cause actual results to differ materially from those set forth in these statements. For example, our forward-looking statements could be affected by pricing and policy term trends; increased competition; the adequacy of our loss reserves; negative rating agency actions; greater frequency or severity of unpredictable catastrophic events; the impact of acts of terrorism and acts of war; the company or its subsidiaries becoming subject to significant income taxes in the United States or elsewhere; changes in regulations or tax laws; changes in the availability, cost or quality of reinsurance or retrocessional coverage; adverse general economic conditions; and judicial, legislative, political and other governmental developments, as well as management’s response to these factors, and other factors identified in our filings with the U.S. Securities and Exchange Commission (the “SEC”). You are cautioned not to place undue reliance on these forward-looking statements, which speak only as of the date on which they are made. We are under no obligation (and expressly disclaim any such obligation) to update or revise any forward-looking statement that may be made from time to time, whether as a result of new information, future developments or otherwise.

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

FINANCIAL SUPPLEMENT TABLE OF CONTENTS

		Page
	Basis of Presentation	4
I.	Financial Highlights
	- Consolidated Financial Highlights	5
II.	Consolidated Financial Statements
	- Consolidated Statements of Operations	6
	- Consolidated Balance Sheets	7
	- Consolidated Statement of Cash Flows	8
III.	Segment Results
	- Consolidated Segment Results - Current Quarter	9
	- Consolidated Segment Results - Prior Year Quarter	10
	- Consolidated Segment Results - Current Year to Date	11
	- Consolidated Segment Results - Prior Year to Date	12
	- Gross Premiums Written by Segment and Geographic Location	13
	- Gross Premiums Written by Line of Business	14
IV.	Incurred Losses, Loss Reserves and PMLs
	- Consolidated Incurred Loss Analysis by Segment	15
	- Loss Reserve Development by Loss Year - Current Quarter and Year to Date	16
	- Loss Reserve Development by Loss Year - Prior Year Quarter and Year to Date	17
	- Reserves for Losses and Loss Expenses	18
	- Reinsurance Recoverable	19
	- Probable Maximum Losses	20
V.	Investment Portfolio
	- Consolidated Total Investment Portfolio	21
	- Investment Income, Book Yield and Portfolio Return	22
	- Additional Investment Detail	23
VI.	Capital Structure
	- Share Repurchase Detail	25
	- Capital Structure and Leverage Ratios	26
VII.	Non-GAAP Reconciliations
	- Operating Income Reconciliation and Basic and Diluted Earnings per Share	27
	- Return on Average Shareholders’ Equity and Reconciliation of Average Shareholders’ Equity	28
	- Reconciliation of Diluted Book Value per Share	29
	- Regulation G	30

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

BASIS OF PRESENTATION

DEFINITIONS AND PRESENTATION

- All financial information contained herein is unaudited.

- Unless otherwise noted, all data is in thousands of U.S. dollars, except for share, per share, percentage and ratio information.

- Allied World Assurance Company Holdings, AG, along with others in the industry, use underwriting ratios as measures of performance. The loss and loss expense ratio is calculated by dividing net losses and loss expenses by net premiums earned. The acquisition cost ratio is calculated by dividing acquisition costs by net premiums earned. The general and administrative expense ratio is calculated by dividing general and administrative expenses by net premiums earned. The expense ratio is calculated by combining the acquisition cost ratio and the general and administrative expense ratio. The combined ratio is calculated by combining the loss and loss expense ratios, the acquisition cost ratio and the general and administrative expense ratio. These ratios are relative measurements that describe for every $100 of net premiums earned, the costs of losses and expenses, respectively. The combined ratio presents the total cost per $100 of earned premium. A combined ratio below 100% demonstrates underwriting profit; a combined ratio above 100% demonstrates underwriting loss.

- In presenting the company’s results, management has included and discussed certain non-generally accepted accounting principles (“non-GAAP”) financial measures, as such term is defined in Regulation G promulgated by the SEC. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with generally accepted accounting principles (“GAAP”). The reconciliation of such non-GAAP financial measures to their respective most directly comparable GAAP financial measures in accordance with Regulation G is included in this financial supplement. See page 30 for further details.

Page 4

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED FINANCIAL HIGHLIGHTS

	Three Months Ended September 30,						Nine Months Ended September 30,
	2013		2012		Change		2013		2012		Change
HIGHLIGHTS
Gross premiums written	$	580,893	$	504,420		15.2%	$	2,183,174	$	1,832,219		19.2%
Net premiums written		453,077		391,537		15.7%		1,729,351		1,475,200		17.2%
Net premiums earned		510,773		441,017		15.8%		1,481,272		1,272,654		16.4%
Underwriting income		80,136		52,411		52.9%		235,762		175,395		34.4%
Net income		122,843		219,647		(44.1%)		279,973		534,154		(47.6%)
Operating income		101,801		79,219		28.5%		289,494		258,042		12.2%
Total shareholders’ equity		3,443,928		3,435,786		0.2%		3,443,928		3,435,786		0.2%
Cash flows from operating activities		204,530		198,446		3.1%		338,172		500,219		(32.4%)
PER SHARE AND SHARE DATA
Basic earnings per share
Net income	$	3.61	$	6.16		(41.4%)	$	8.15	$	14.68		(44.5%)
Operating income	$	2.99	$	2.22		34.7%	$	8.43	$	7.09		18.9%
Diluted earnings per share
Net income	$	3.54	$	6.00		(41.0%)	$	7.97	$	14.28		(44.2%)
Operating income	$	2.93	$	2.16		35.6%	$	8.24	$	6.90		19.4%
Book value per share	$	101.85	$	97.05		4.9%	$	101.85	$	97.05		4.9%
Diluted book value per share	$	99.16	$	93.82		5.7%	$	99.16	$	93.82		5.7%
FINANCIAL RATIOS
Annualized return on average equity (ROAE), net income		14.4%		26.2%		(11.8) pts		11.0%		21.7%		(10.7) pts
Annualized ROAE, operating income		11.9%		9.4%		2.5 pts		11.4%		10.5%		0.9 pts
Financial statement portfolio return		0.8%		2.2%		(1.4) pts		1.2%		4.9%		(3.7) pts
GAAP Ratios
Loss and loss expense ratio		54.2%		58.7%		4.5 pts		54.5%		56.9%		2.4 pts
Acquisition cost ratio		12.7%		11.6%		(1.1) pts		12.6%		11.8%		(0.8) pts
General and administrative expense ratio		17.3%		17.8%		0.5 pts		17.0%		17.5%		0.5 pts
Expense ratio		30.0%		29.4%		(0.6) pts		29.6%		29.3%		(0.3) pts
Combined ratio		84.2%		88.1%		3.9 pts		84.1%		86.2%		2.1 pts

Page 5

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED STATEMENTS OF OPERATIONS

	Three Months Ended										Nine Months Ended
	September 30,   2013		June 30,       2013		March 31,     2013		December 31,   2012		September 30,   2012		September 30,   2013		September 30,   2012
Revenues
Gross premiums written	$	580,893	$	765,200	$	837,081	$	497,052	$	504,420	$	2,183,174	$	1,832,219
Net premiums written	$	453,077	$	581,222	$	695,052	$	362,623	$	391,537	$	1,729,351	$	1,475,200
Net premiums earned	$	510,773	$	507,271	$	463,228	$	476,244	$	441,017	$	1,481,272	$	1,272,654
Net investment income		39,271		37,635		33,388		38,360		39,121		110,294		128,781
Net realized investment gains (losses)		27,487		(115,198)		79,637		14,379		149,813		(8,074)		292,057
Total revenues	$	577,531	$	429,708	$	576,253	$	528,983	$	629,951	$	1,583,492	$	1,693,492
Expenses
Net losses and loss expenses	$	276,970	$	275,128	$	255,178	$	414,734	$	258,948	$	807,276	$	724,530
Acquisition costs		65,114		64,617		56,685		55,910		51,086		186,416		149,812
General and administrative expenses		88,553		80,585		82,680		84,404		78,572		251,818		222,917
Amortization of intangible assets		633		634		633		633		633		1,900		1,900
Interest expense		14,094		14,188		14,134		13,826		13,822		42,416		41,579
Foreign exchange loss (gain)		4,353		490		2,518		860		1,023		7,361		(77)
Total expenses	$	449,717	$	435,642	$	411,828	$	570,367	$	404,084	$	1,297,187	$	1,140,661
Income (Loss) before income taxes	$	127,814	$	(5,934)	$	164,425	$	(41,384)	$	225,867	$	286,305	$	552,831
Income tax expense (benefit)		4,971		(4,072)		5,433		(237)		6,220		6,332		18,677
Net income (loss)	$	122,843	$	(1,862)	$	158,992	$	(41,147)	$	219,647	$	279,973	$	534,154
GAAP Ratios
Loss and loss expense ratio		54.2%		54.2%		55.1%		87.1%		58.7%		54.5%		56.9%
Acquisition cost ratio		12.7%		12.7%		12.2%		11.7%		11.6%		12.6%		11.8%
General and administrative expense ratio		17.3%		15.9%		17.8%		17.7%		17.8%		17.0%		17.5%
Expense ratio		30.0%		28.6%		30.0%		29.4%		29.4%		29.6%		29.3%
Combined ratio		84.2%		82.8%		85.1%		116.5%		88.1%		84.1%		86.2%
Per Share Data
Basic earnings per share
Net income (loss)	$	3.61	$	(0.05)	$	4.59	$	(1.17)	$	6.16	$	8.15	$	14.68
Operating income (loss)	$	2.99	$	3.01	$	2.43	$	(1.58)	$	2.22	$	8.43	$	7.09
Diluted earnings per share
Net income (loss)	$	3.54	$	(0.05)	$	4.49	$	(1.17)	$	6.00	$	7.97	$	14.28
Operating income (loss)	$	2.93	$	2.95	$	2.38	$	(1.58)	$	2.16	$	8.24	$	6.90

Page 6

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED BALANCE SHEETS

	As of     September 30, 2013		As of     December 31, 2012
ASSETS
Fixed maturity investments trading, at fair value	$	6,047,883	$	6,626,454
Equity securities trading, at fair value		708,929		523,949
Other invested assets		905,025		783,534
Total investments		7,661,837		7,933,937
Cash and cash equivalents		953,047		681,879
Restricted cash		257,517		183,485
Insurance balances receivable		740,112		510,532
Funds held		375,131		336,368
Prepaid reinsurance		327,052		277,406
Reinsurance recoverable		1,226,034		1,141,110
Accrued investment income		25,471		29,135
Net deferred acquisition costs		145,951		108,010
Goodwill		268,376		268,376
Intangible assets		49,464		51,365
Balances receivable on sale of investments		237,031		418,879
Net deferred tax assets		41,832		25,580
Other assets		68,665		63,884
TOTAL ASSETS	$	12,377,520	$	12,029,946
LIABILITIES
Reserve for losses and loss expenses	$	5,780,781	$	5,645,549
Unearned premiums		1,515,746		1,218,021
Reinsurance balances payable		193,643		136,264
Balances due on purchases of investments		497,974		759,934
Senior notes		798,426		798,215
Dividends payable		16,952		—
Accounts payable and accrued liabilities		130,070		145,628
TOTAL LIABILITIES	$	8,933,592	$	8,703,611
SHAREHOLDERS’ EQUITY
Common shares: 2013: par value CHF 12.30 per share and 2012: par value CHF 12.64 per share (2013: 34,972,795; 2012: 36,369,868 shares issued and 2013: 33,814,920; 2012: 34,797,781 shares outstanding)	$	424,837	$	454,980
Treasury shares, at cost (2013: 1,157,875; 2012: 1,572,087)		(85,845)		(113,818)
Retained earnings		3,104,936		2,985,173
TOTAL SHAREHOLDERS’ EQUITY	$	3,443,928	$	3,326,335
TOTAL LIABILITIES AND SHAREHOLDERS’ EQUITY	$	12,377,520	$	12,029,946
Book value per share	$	101.85	$	95.59
Diluted book value per share	$	99.16	$	92.59

Page 7

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED STATEMENTS OF CASH FLOWS

	Three Months Ended										Nine Months Ended
	September 30,   2013		June 30,     2013		March 31,     2013		December 31,   2012		September 30,   2012		September 30,   2013		September 30,   2012
CASH FLOWS PROVIDED BY OPERATING ACTIVITIES:
Net income (loss)	$	122,843	$	(1,862)	$	158,992	$	(41,147)	$	219,647	$	279,973	$	534,154
Adjustments to reconcile net (loss) income to cash provided by operating activities:
Net realized gains (losses) on sales of investments		(13,183)		(24,388)		(38,533)		119,490		(16,791)		(76,104)		(63,625)
Mark to market adjustments		(15,562)		141,810		(46,112)		45,045		(130,693)		80,136		(225,425)
Stock compensation expense		2,716		2,571		3,995		4,524		3,824		9,282		13,118
Undistributed income of equity method investments		(1,997)		(2,316)		-		-		-		(4,313)		-
Changes in:
Reserve for losses and loss expenses, net of reinsurance recoverables		37,407		7,623		5,278		131,174		69,359		50,308		151,041
Unearned premiums, net of prepaid reinsurance		(57,697)		73,952		231,824		(113,621)		(49,481)		248,079		202,545
Insurance balances receivable		74,508		(147,121)		(156,967)		38,227		65,616		(229,580)		(121,422)
Funds held		12,468		(17,019)		(34,212)		(130,149)		25,069		(38,763)		18,602
Reinsurance balances payable		(12,241)		87,423		(17,803)		15,832		(7,874)		57,379		(4,107)
Net deferred acquisition costs		7,861		(11,661)		(34,141)		19,517		2,291		(37,941)		(27,193)
Net deferred tax assets		(1,282)		(12,813)		(2,157)		(1,650)		5,308		(16,252)		1,850
Accounts payable and accrued liabilities		27,061		25,179		(70,780)		30,811		16,982		(18,540)		(2,996)
Other items, net		21,628		(1,305)		14,185		11,166		(4,811)		34,508		23,677
Net cash provided by operating activities		204,530		120,073		13,569		129,219		198,446		338,172		500,219
CASH FLOWS PROVIDED BY (USED IN) INVESTING ACTIVITIES:
Net sales (purchases) of investments		188,616		68,966		(98,465)		121,770		(536,260)		159,117		(277,412)
Purchases of fixed assets		(808)		(985)		(2,378)		(1,173)		(1,162)		(4,171)		(2,041)
Change in restricted cash		(63,471)		(127,346)		116,785		(136,562)		192,453		(74,032)		35,685
Net cash (used in) provided by investing activities		124,337		(59,365)		15,942		(15,965)		(344,969)		80,914		(243,768)
CASH FLOWS USED IN FINANCING ACTIVITIES:
Dividends paid — par value reduction		-		-		(12,981)		(13,104)		(26,718)		(12,981)		(54,721)
Dividends paid		(17,117)		-		-		-		-		(17,117)		-
Proceeds from the exercise of stock options		3,172		2,821		2,472		1,423		2,407		8,465		9,104
Share repurchases		(37,592)		(46,326)		(36,245)		(59,196)		(55,797)		(120,163)		(204,746)
Net cash used in financing activities		(51,537)		(43,505)		(46,754)		(70,877)		(80,108)		(141,796)		(250,363)
Effect of exchange rate changes on foreign currency cash		1,614		(5,681)		(2,055)		(15)		1,698		(6,122)		(567)
NET INCREASE (DECREASE) IN CASH AND CASH EQUIVALENTS		278,944		11,522		(19,298)		42,362		(224,933)		271,168		5,521
CASH AND CASH EQUIVALENTS, BEGINNING OF PERIOD		674,103		662,581		681,879		639,517		864,450		681,879		633,996
CASH AND CASH EQUIVALENTS, END OF PERIOD	$	953,047	$	674,103	$	662,581	$	681,879	$	639,517	$	953,047	$	639,517

Page 8

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – CURRENT QUARTER

	Three Months Ended September 30, 2013
	U.S.     Insurance		International   Insurance		Reinsurance		Consolidated   Totals
Revenues
Gross premiums written	$	308,709	$	132,881	$	139,303	$	580,893
Net premiums written	$	238,792	$	75,632	$	138,653	$	453,077
Net premiums earned	$	207,602	$	87,554	$	215,617	$	510,773
Total revenues	$	207,602	$	87,554	$	215,617	$	510,773
Expenses
Net losses and loss expenses	$	141,222	$	31,094	$	104,654	$	276,970
Acquisition costs		28,426		(282)		36,970		65,114
General and administrative expenses		41,616		26,450		20,487		88,553
Total expenses	$	211,264	$	57,262	$	162,111	$	430,637
Underwriting (loss) income	$	(3,662)	$	30,292	$	53,506	$	80,136
Net investment income								39,271
Net realized investment gains								27,487
Amortization of intangible assets								(633)
Interest expense								(14,094)
Foreign exchange loss								(4,353)
Income before income taxes							$	127,814
GAAP Ratios
Loss and loss expense ratio		68.0%		35.5%		48.5%		54.2%
Acquisition cost ratio		13.7%		(0.3%)		17.1%		12.7%
General and administrative expense ratio		20.0%		30.2%		9.5%		17.3%
Expense ratio		33.7%		29.9%		26.6%		30.0%
Combined ratio		101.7%		65.4%		75.1%		84.2%

Page 9

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – PRIOR YEAR QUARTER

	Three Months Ended September 30, 2012
	U.S.     Insurance		International   Insurance		Reinsurance		Consolidated   Totals
Revenues
Gross premiums written	$	263,129	$	121,315	$	119,976	$	504,420
Net premiums written	$	200,779	$	71,199	$	119,559	$	391,537
Net premiums earned	$	173,948	$	85,329	$	181,740	$	441,017
Total revenues	$	173,948	$	85,329	$	181,740	$	441,017
Expenses
Net losses and loss expenses	$	109,111	$	15,099	$	134,738	$	258,948
Acquisition costs		22,696		(266)		28,656		51,086
General and administrative expenses		37,388		22,920		18,264		78,572
Total expenses	$	169,195	$	37,753	$	181,658	$	388,606
Underwriting income	$	4,753	$	47,576	$	82	$	52,411
Net investment income								39,121
Net realized investment gains								149,813
Amortization of intangible assets								(633)
Interest expense								(13,822)
Foreign exchange loss								(1,023)
Income before income taxes							$	225,867
GAAP Ratios
Loss and loss expense ratio		62.7%		17.7%		74.1%		58.7%
Acquisition cost ratio		13.0%		(0.3%)		15.8%		11.6%
General and administrative expense ratio		21.5%		26.9%		10.0%		17.8%
Expense ratio		34.5%		26.6%		25.8%		29.4%
Combined ratio		97.2%		44.3%		99.9%		88.1%

Page 10

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – CURRENT YEAR TO DATE

	Nine Months Ended September 30, 2013
	U.S.     Insurance		International   Insurance		Reinsurance		Consolidated   Totals
Revenues
Gross premiums written	$	872,024	$	453,990	$	857,160	$	2,183,174
Net premiums written	$	652,464	$	259,771	$	817,116	$	1,729,351
Net premiums earned	$	593,477	$	258,809	$	628,986	$	1,481,272
Total revenues	$	593,477	$	258,809	$	628,986	$	1,481,272
Expenses
Net losses and loss expenses	$	398,910	$	90,997	$	317,369	$	807,276
Acquisition costs		78,824		(1,489)		109,081		186,416
General and administrative expenses		119,514		75,374		56,930		251,818
Total expenses	$	597,248	$	164,882	$	483,380	$	1,245,510
Underwriting (loss) income	$	(3,771)	$	93,927	$	145,606	$	235,762
Net investment income								110,294
Net realized investment losses								(8,074)
Amortization of intangible assets								(1,900)
Interest expense								(42,416)
Foreign exchange loss								(7,361)
Income before income taxes							$	286,305
GAAP Ratios
Loss and loss expense ratio		67.2%		35.2%		50.5%		54.5%
Acquisition cost ratio		13.3%		(0.6%)		17.3%		12.6%
General and administrative expense ratio		20.1%		29.1%		9.1%		17.0%
Expense ratio		33.4%		28.5%		26.4%		29.6%
Combined ratio		100.6%		63.7%		76.9%		84.1%

Page 11

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED SEGMENT RESULTS – PRIOR YEAR TO DATE

	Nine Months Ended September 30, 2012
	U.S.     Insurance		International   Insurance		Reinsurance		Consolidated   Totals
Revenues
Gross premiums written	$	733,314	$	418,498	$	680,407	$	1,832,219
Net premiums written	$	551,286	$	255,150	$	668,764	$	1,475,200
Net premiums earned	$	490,091	$	247,805	$	534,758	$	1,272,654
Total revenues	$	490,091	$	247,805	$	534,758	$	1,272,654
Expenses
Net losses and loss expenses	$	309,889	$	75,432	$	339,209	$	724,530
Acquisition costs		63,918		(1,376)		87,270		149,812
General and administrative expenses		103,162		66,969		52,786		222,917
Total expenses	$	476,969	$	141,025	$	479,265	$	1,097,259
Underwriting income	$	13,122	$	106,780	$	55,493	$	175,395
Net investment income								128,781
Net realized investment gains								292,057
Amortization of intangible assets								(1,900)
Interest expense								(41,579)
Foreign exchange gain								77
Income before income taxes							$	552,831
GAAP Ratios
Loss and loss expense ratio		63.2%		30.4%		63.4%		56.9%
Acquisition cost ratio		13.0%		(0.6%)		16.3%		11.8%
General and administrative expense ratio		21.0%		27.0%		9.9%		17.5%
Expense ratio		34.0%		26.4%		26.2%		29.3%
Combined ratio		97.2%		56.8%		89.6%		86.2%

Page 12

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

GROSS PREMIUMS WRITTEN BY SEGMENT AND GEOGRAPHIC LOCATION

	Three Months Ended								Nine Months Ended
	September 30, 2013				September 30, 2012				September 30, 2013				September 30, 2012
	Amount		% of Total		Amount		% of Total		Amount		% of Total		Amount		% of Total
Gross Premiums Written by Segment
U.S. Insurance	$	308,709		53.1%	$	263,129		52.2%	$	872,024		39.9%	$	733,314		40.0%
International Insurance		132,881		22.9%		121,315		24.1%		453,990		20.8%		418,498		22.8%
Reinsurance		139,303		24.0%		119,976		23.7%		857,160		39.3%		680,407		37.2%
Total	$	580,893		100.0%	$	504,420		100.0%	$	2,183,174		100.0%	$	1,832,219		100.0%
Gross Premiums Written by Underwriting Location
United States	$	377,618		65.0%	$	312,807		62.0%	$	1,296,212		59.4%	$	1,051,355		57.4%
Bermuda		111,103		19.1%		108,955		21.6%		550,815		25.2%		484,313		26.4%
Europe		52,004		9.0%		46,836		9.3%		198,747		9.1%		182,220		9.9%
Singapore		35,515		6.1%		31,902		6.3%		122,546		5.6%		101,213		5.5%
Hong Kong		4,653		0.8%		3,920		0.8%		14,854		0.7%		13,118		0.8%
Total	$	580,893		100.0%	$	504,420		100.0%	$	2,183,174		100.0%	$	1,832,219		100.0%
Direct Premiums Written by Insured Location(1)
United States	$	381,061		86.3%	$	329,327		85.7%	$	1,155,368		87.1%	$	991,574		86.1%
United Kingdom		27,905		6.3%		13,448		3.5%		58,180		4.4%		35,522		3.1%
Australia		4,345		1.0%		4,719		1.2%		14,004		1.1%		14,193		1.2%
Germany		285		0.1%		177		0.0%		8,378		0.6%		12,721		1.1%
Canada		2,096		0.5%		1,878		0.5%		6,798		0.5%		6,348		0.6%
All other		25,898		5.8%		34,895		9.1%		83,286		6.3%		91,454		7.9%
Total	$	441,590		100.0%	$	384,444		100.0%	$	1,326,014		100.0%	$	1,151,812		100.0%

(1) Excludes reinsurance segment gross premiums written.

Page 13

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

GROSS PREMIUMS WRITTEN BY LINE OF BUSINESS

	Three Months Ended								Nine Months Ended
	September 30, 2013				September 30, 2012				September 30, 2013				September 30, 2012
	Amount		% of Total		Amount		% of Total		Amount		% of Total		Amount		% of Total
U.S. Insurance
General casualty	$	107,222		34.7%	$	77,860		29.6%	$	271,466		31.1%	$	204,609		27.9%
Professional liability		66,199		21.4%		66,425		25.2%		193,727		22.2%		192,282		26.2%
Healthcare		43,378		14.1%		52,357		19.9%		143,417		16.4%		145,633		19.9%
Programs		41,114		13.3%		32,220		12.2%		107,715		12.4%		81,108		11.1%
General property		18,686		6.1%		15,653		5.9%		73,980		8.5%		71,292		9.7%
Other		32,110		10.4%		18,614		7.2%		81,719		9.4%		38,390		5.2%
Total	$	308,709		100.0%	$	263,129		100.0%	$	872,024		100.0%	$	733,314		100.0%
International Insurance
Professional liability	$	43,808		33.0%	$	37,741		31.1%	$	134,171		29.6%	$	121,557		29.0%
General property		22,701		17.1%		22,211		18.3%		126,569		27.9%		120,228		28.7%
General casualty		28,597		21.5%		32,667		26.9%		96,959		21.4%		97,517		23.3%
Healthcare		18,603		14.0%		17,746		14.6%		66,320		14.6%		58,076		13.9%
Aviation		13,110		9.9%		-		0.0%		13,110		2.9%		-		0.0%
Other		6,062		4.5%		10,950		9.1%		16,861		3.6%		21,120		5.1%
Total	$	132,881		100.0%	$	121,315		100.0%	$	453,990		100.0%	$	418,498		100.0%
Reinsurance
Property	$	72,530		52.1%	$	59,368		49.5%	$	436,548		50.9%	$	334,717		49.2%
Casualty		56,044		40.2%		60,695		50.6%		230,335		26.9%		209,088		30.7%
Specialty		10,729		7.7%		(87)		-0.1%		190,277		22.2%		136,602		20.1%
Total	$	139,303		100.0%	$	119,976		100.0%	$	857,160		100.0%	$	680,407		100.0%

Page 14

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED INCURRED LOSS ANALYSIS BY SEGMENT

	Three Months Ended								Nine Months Ended
	September 30, 2013				September 30, 2012				September 30, 2013				September 30, 2012
	Amount		% of NPE(1)		Amount		% of NPE(1)		Amount		% of NPE(1)		Amount		% of NPE(1)
U.S. Insurance
Current year - non-catastrophe	$	137,470		66.2%	$	115,663		66.4%	$	387,553		65.3%	$	329,823		67.3%
Current year - property catastrophe		-		0.0%		1,675		1.0%		-		0.0%		1,675		0.3%
Prior year - increase (decrease)		3,752		1.8%		(8,227)		(4.7%)		11,357		1.9%		(21,609)		(4.4%)
Net losses and loss expenses	$	141,222		68.0%	$	109,111		62.7%	$	398,910		67.2%	$	309,889		63.2%
International Insurance
Current year - non-catastrophe	$	60,853		69.5%	$	51,754		60.7%	$	176,116		68.1%	$	161,494		65.2%
Current year - property catastrophe		-		0.0%		2,325		2.7%		-		0.0%		2,325		0.9%
Prior year - increase (decrease)		(29,759)		(34.0%)		(38,980)		(45.7%)		(85,119)		(32.9%)		(88,387)		(35.7%)
Net losses and loss expenses	$	31,094		35.5%	$	15,099		17.7%	$	90,997		35.2%	$	75,432		30.4%
Reinsurance
Current year - non-catastrophe	$	140,097		64.9%	$	142,685		78.4%	$	397,555		63.2%	$	365,771		68.4%
Current year - property catastrophe		-		0.0%		1,000		0.6%		-		0.0%		1,000		0.2%
Prior year - increase (decrease)		(35,443)		(16.4%)		(8,947)		(4.9%)		(80,186)		(12.7%)		(27,562)		(5.2%)
Net losses and loss expenses	$	104,654		48.5%	$	134,738		74.1%	$	317,369		50.5%	$	339,209		63.4%
Consolidated
Current year - non-catastrophe	$	338,420		66.2%	$	310,102		70.3%	$	961,224		64.9%	$	857,088		67.3%
Current year - property catastrophe		-		0.0%		5,000		1.1%		-		0.0%		5,000		0.4%
Prior year - increase (decrease)		(61,450)		(12.0%)		(56,154)		(12.7%)		(153,948)		(10.4%)		(137,558)		(10.8%)
Net losses and loss expenses	$	276,970		54.2%	$	258,948		58.7%	$	807,276		54.5%	$	724,530		56.9%

(1) “NPE” means net premiums earned.

Page 15

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

NET LOSS RESERVE DEVELOPMENT BY LOSS YEAR – CURRENT QUARTER AND YEAR TO DATE

(Favorable) Unfavorable	Three Months Ended September 30, 2013
Development ($ in millions)	Prior		2004		2005		2006		2007		2008		2009		2010		2011		2012		Total
U.S. Insurance
General casualty	$	-	$	-	$	-	$	-	$	(4.6)	$	-	$	(0.3)	$	-	$	0.6	$	3.0	$	(1.3)
Programs		-		-		-		-		(0.2)		(1.7)		(1.2)		(1.4)		0.5		0.5		(3.5)
General property		-		0.6		(0.2)		3.2		-		-		-		0.2		(0.2)		(1.0)		2.6
Healthcare		(3.0)		(0.8)		0.2		-		-		(2.1)		(2.3)		-		10.1		5.1		7.2
Professional liability		-		(0.4)		(1.1)		(9.3)		(0.7)		0.9		0.3		(3.6)		2.4		10.5		(1.0)
Other		-		-		-		-		-		-		-		-		(0.2)		-		(0.2)
Total	$	(3.0)	$	(0.6)	$	(1.1)	$	(6.1)	$	(5.5)	$	(2.9)	$	(3.5)	$	(4.8)	$	13.2	$	18.1	$	3.8
International Insurance
General casualty	$	0.7	$	(0.6)	$	(1.4)	$	(2.3)	$	(1.8)	$	(4.1)	$	(0.6)	$	(2.9)	$	(0.1)	$	-	$	(13.1)
General property		-		-		3.4		(0.1)		(0.1)		(0.1)		(0.1)		(0.8)		(1.3)		(2.5)		(1.6)
Professional liability		0.2		(0.4)		1.4		(1.1)		(3.6)		(0.2)		(0.3)		(0.2)		(0.4)		-		(4.6)
Healthcare		(0.7)		(0.2)		(0.2)		(0.5)		(3.1)		(0.3)		(4.9)		(0.2)		(0.3)		-		(10.4)
Total	$	0.2	$	(1.2)	$	3.2	$	(4.0)	$	(8.6)	$	(4.7)	$	(5.9)	$	(4.1)	$	(2.1)	$	(2.5)	$	(29.7)
Reinsurance
Property	$	-	$	0.1	$	1.0	$	-	$	-	$	-	$	(0.4)	$	(2.2)	$	(6.0)	$	(14.2)	$	(21.7)
Casualty		(1.6)		(2.4)		0.6		0.1		0.3		(2.0)		(1.4)		(0.7)		(0.2)		0.4		(6.9)
Specialty		-		(0.1)		(0.1)		(0.1)		(0.1)		(0.1)		(0.2)		0.3		(5.9)		(0.6)		(6.9)
Total	$	(1.6)	$	(2.4)	$	1.5	$	-	$	0.2	$	(2.1)	$	(2.0)	$	(2.6)	$	(12.1)	$	(14.4)	$	(35.5)
Consolidated
U.S. insurance	$	(3.0)	$	(0.6)	$	(1.1)	$	(6.1)	$	(5.5)	$	(2.9)	$	(3.5)	$	(4.8)	$	13.2	$	18.1	$	3.8
International insurance		0.2		(1.2)		3.2		(4.0)		(8.6)		(4.7)		(5.9)		(4.1)		(2.1)		(2.5)		(29.7)
Reinsurance		(1.6)		(2.4)		1.5		-		0.2		(2.1)		(2.0)		(2.6)		(12.1)		(14.4)		(35.5)
Total	$	(4.4)	$	(4.2)	$	3.6	$	(10.1)	$	(13.9)	$	(9.7)	$	(11.4)	$	(11.5)	$	(1.0)	$	1.2	$	(61.4)
(Favorable) Unfavorable	Nine Months Ended September 30, 2013
Development ($ in millions)	Prior		2004		2005		2006		2007		2008		2009		2010		2011		2012		Total
U.S. Insurance
General casualty	$	-	$	(0.7)	$	(0.5)	$	-	$	(9.1)	$	(3.1)	$	(0.2)	$	-	$	2.6	$	3.5	$	(7.5)
Programs		-		-		-		(1.4)		(3.5)		(1.5)		(1.9)		(4.1)		(0.1)		3.3		(9.2)
General property		-		0.7		(0.2)		3.5		(0.2)		(1.3)		(1.3)		-		1.3		1.0		3.5
Healthcare		(3.1)		(1.8)		(1.4)		(2.7)		(2.3)		(8.3)		(3.5)		(1.6)		23.2		14.1		12.6
Professional liability		-		(0.9)		(2.5)		(6.6)		(3.4)		(2.9)		0.4		(6.3)		4.5		28.8		11.1
Other		-		-		-		-		-		-		-		(0.1)		(0.6)		1.6		0.9
Total	$	(3.1)	$	(2.7)	$	(4.6)	$	(7.2)	$	(18.5)	$	(17.1)	$	(6.5)	$	(12.1)	$	30.9	$	52.3	$	11.4
International Insurance
General casualty	$	7.0	$	1.8	$	(8.4)	$	(9.0)	$	(10.5)	$	(8.8)	$	(1.8)	$	(3.1)	$	(0.1)	$	0.9	$	(32.0)
General property		-		-		3.3		(0.3)		1.0		(1.1)		(3.6)		(4.8)		(10.8)		(10.6)		(26.9)
Professional liability		(0.1)		(5.4)		4.7		(4.0)		(14.5)		0.1		(6.8)		(0.6)		(0.5)		-		(27.1)
Healthcare		(0.8)		(0.5)		(0.7)		(1.6)		5.1		(4.8)		5.7		(1.1)		(0.4)		-		0.9
Total	$	6.1	$	(4.1)	$	(1.1)	$	(14.9)	$	(18.9)	$	(14.6)	$	(6.5)	$	(9.6)	$	(11.8)	$	(9.7)	$	(85.1)
Reinsurance
Property	$	-	$	0.2	$	(1.3)	$	0.1	$	-	$	(0.2)	$	(0.5)	$	(5.1)	$	(14.5)	$	(49.7)	$	(71.0)
Casualty		(1.4)		(3.6)		0.3		0.8		(1.9)		(5.6)		(1.8)		0.2		3.1		5.7		(4.2)
Specialty		-		(0.4)		(0.6)		0.2		(0.1)		(3.2)		0.7		0.2		(3.6)		1.8		(5.0)
Total	$	(1.4)	$	(3.8)	$	(1.6)	$	1.1	$	(2.0)	$	(9.0)	$	(1.6)	$	(4.7)	$	(15.0)	$	(42.2)	$	(80.2)
Consolidated
U.S. insurance	$	(3.1)	$	(2.7)	$	(4.6)	$	(7.2)	$	(18.5)	$	(17.1)	$	(6.5)	$	(12.1)	$	30.9	$	52.3	$	11.4
International insurance		6.1		(4.1)		(1.1)		(14.9)		(18.9)		(14.6)		(6.5)		(9.6)		(11.8)		(9.7)		(85.1)
Reinsurance		(1.4)		(3.8)		(1.6)		1.1		(2.0)		(9.0)		(1.6)		(4.7)		(15.0)		(42.2)		(80.2)
Total	$	1.6	$	(10.6)	$	(7.3)	$	(21.0)	$	(39.4)	$	(40.7)	$	(14.6)	$	(26.4)	$	4.1	$	0.4	$	(153.9)

Page 16

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

NET LOSS RESERVE DEVELOPMENT BY LOSS YEAR – PRIOR QUARTER AND YEAR TO DATE

(Favorable) Unfavorable	Three Months Ended September 30, 2012
Development ($ in millions)	Prior		2004		2005		2006		2007		2008		2009		2010		2011		Total
U.S. Insurance
General casualty	$	(0.3)	$	(0.6)	$	(0.2)	$	(3.9)	$	(0.2)	$	(1.4)	$	(0.2)	$	-	$	-	$	(6.8)
Programs		-		-		-		(0.7)		(0.9)		0.6		3.5		6.5		4.3		13.3
General property		-		0.3		-		(0.1)		-		-		-		(0.1)		(0.1)		-
Healthcare		1.4		1.7		(0.7)		(1.5)		(1.6)		(0.8)		(0.1)		(0.4)		(0.7)		(2.7)
Professional liability		(1.0)		(1.4)		(0.8)		(0.9)		(3.3)		(1.1)		(1.5)		(1.6)		(0.4)		(12.0)
Other		-		-		-		-		-		-		-		-		-		-
Total	$	0.1	$	-	$	(1.7)	$	(7.1)	$	(6.0)	$	(2.7)	$	1.7	$	4.4	$	3.1	$	(8.2)
International Insurance
General casualty	$	(0.8)	$	(2.6)	$	12.8	$	(3.5)	$	(9.5)	$	(1.1)	$	(1.6)	$	-	$	-	$	(6.3)
General property		-		0.6		(0.1)		1.3		(0.5)		-		(0.3)		(0.8)		(5.4)		(5.2)
Professional liability		-		(0.5)		(1.9)		(12.5)		(2.0)		(4.1)		-		-		-		(21.0)
Healthcare		(0.2)		(0.2)		(0.9)		(0.8)		(0.7)		(3.7)		-		-		-		(6.5)
Total	$	(1.0)	$	(2.7)	$	9.9	$	(15.5)	$	(12.7)	$	(8.9)	$	(1.9)	$	(0.8)	$	(5.4)	$	(39.0)
Reinsurance
Property	$	0.1	$	(0.1)	$	0.2	$	0.1	$	(2.5)	$	(1.5)	$	(1.6)	$	0.2	$	(7.4)	$	(12.5)
Casualty		(0.9)		0.1		2.9		(1.1)		(2.8)		(0.9)		0.5		6.2		1.9		5.9
Specialty		(0.2)		(0.2)		(0.3)		(0.7)		(1.4)		-		0.3		1.1		(1.0)		(2.4)
Total	$	(1.0)	$	(0.2)	$	2.8	$	(1.7)	$	(6.7)	$	(2.4)	$	(0.8)	$	7.5	$	(6.5)	$	(9.0)
Consolidated
U.S. insurance	$	0.1	$	-	$	(1.7)	$	(7.1)	$	(6.0)	$	(2.7)	$	1.7	$	4.4	$	3.1	$	(8.2)
International insurance		(1.0)		(2.7)		9.9		(15.5)		(12.7)		(8.9)		(1.9)		(0.8)		(5.4)		(39.0)
Reinsurance		(1.0)		(0.2)		2.8		(1.7)		(6.7)		(2.4)		(0.8)		7.5		(6.5)		(9.0)
Total	$	(1.9)	$	(2.9)	$	11.0	$	(24.3)	$	(25.4)	$	(14.0)	$	(1.0)	$	11.1	$	(8.8)	$	(56.2)
(Favorable) Unfavorable	Nine Months Ended September 30, 2012
Development ($ in millions)	Prior		2004		2005		2006		2007		2008		2009		2010		2011		Total
U.S. Insurance
General casualty	$	(0.7)	$	0.3	$	(0.8)	$	(12.0)	$	(0.3)	$	(2.4)	$	(0.6)	$	(0.1)	$	-	$	(16.6)
Programs		-		-		-		(0.8)		(1.1)		-		3.5		13.8		8.1		23.5
General property		-		1.0		(0.3)		(0.1)		(0.2)		1.7		(0.4)		(0.6)		1.0		2.1
Healthcare		1.7		(1.0)		(3.3)		(3.8)		(4.4)		0.3		(1.8)		3.1		(0.2)		(9.4)
Professional liability		(1.0)		(1.5)		(1.1)		(0.8)		(18.4)		(1.2)		(4.3)		(2.5)		9.8		(21.0)
Other		-		-		-		-		-		-		-		-		(0.2)		(0.2)
Total	$	-	$	(1.2)	$	(5.5)	$	(17.5)	$	(24.4)	$	(1.6)	$	(3.6)	$	13.7	$	18.5	$	(21.6)
International Insurance
General casualty	$	3.4	$	(5.7)	$	8.0	$	(14.9)	$	(16.7)	$	(8.7)	$	(1.6)	$	-	$	20.0	$	(16.2)
General property		-		0.8		(1.6)		0.3		0.6		(2.2)		(2.1)		(7.4)		(2.3)		(13.9)
Professional liability		(0.2)		(2.8)		(5.0)		(27.6)		(9.2)		2.9		-		-		-		(41.9)
Healthcare		(0.9)		(0.8)		(2.0)		(1.6)		(4.8)		(6.3)		-		-		-		(16.4)
Total	$	2.3	$	(8.5)	$	(0.6)	$	(43.8)	$	(30.1)	$	(14.3)	$	(3.7)	$	(7.4)	$	17.7	$	(88.4)
Reinsurance
Property	$	0.1	$	(0.9)	$	0.4	$	-	$	(2.4)	$	(1.8)	$	0.4	$	(1.0)	$	(1.9)	$	(7.1)
Casualty		0.2		3.3		0.2		(6.2)		(12.2)		(2.1)		0.4		6.1		6.9		(3.4)
Specialty		(0.5)		(3.4)		(5.4)		(2.5)		(3.6)		(0.1)		0.3		1.1		(3.0)		(17.1)
Total	$	(0.2)	$	(1.0)	$	(4.8)	$	(8.7)	$	(18.2)	$	(4.0)	$	1.1	$	6.2	$	2.0	$	(27.6)
Consolidated
U.S. insurance	$	-	$	(1.2)	$	(5.5)	$	(17.5)	$	(24.4)	$	(1.6)	$	(3.6)	$	13.7	$	18.5	$	(21.6)
International insurance		2.3		(8.5)		(0.6)		(43.8)		(30.1)		(14.3)		(3.7)		(7.4)		17.7		(88.4)
Reinsurance		(0.2)		(1.0)		(4.8)		(8.7)		(18.2)		(4.0)		1.1		6.2		2.0		(27.6)
Total	$	2.1	$	(10.7)	$	(10.9)	$	(70.0)	$	(72.7)	$	(19.9)	$	(6.2)	$	12.5	$	38.2	$	(137.6)

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RESERVE FOR LOSSES AND LOSS EXPENSES

	As of September 30, 2013
	U.S.         Insurance		International         Insurance		Reinsurance		Consolidated         Total
Case reserves (net of reinsurance recoverable)	$	460,059	$	351,098	$	462,991	$	1,274,148
IBNR (net of reinsurance recoverable)		1,044,672		1,178,284		1,057,643		3,280,599
Total	$	1,504,731	$	1,529,382	$	1,520,634	$	4,554,747
IBNR/Total reserves (net of reinsurance recoverable)		69.4%		77.0%		69.6%		72.0%
	As of December 31, 2012
	U.S. Insurance		International Insurance		Reinsurance		Consolidated Total
Case reserves (net of reinsurance recoverable)	$	402,473	$	422,859	$	479,546	$	1,304,878
IBNR (net of reinsurance recoverable)		978,414		1,223,229		997,918		3,199,561
Total	$	1,380,887	$	1,646,088	$	1,477,464	$	4,504,439
IBNR/Total reserves (net of reinsurance recoverable)		70.9%		74.3%		67.5%		71.0%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

REINSURANCE RECOVERABLE

	September 30, 2013							December 31, 2012
Top Ten Reinsurers	A.M. Best   Rating	Reinsurance     Recoverable		Percentage		Collateral		A.M. Best   Rating	Reinsurance     Recoverable		Percentage		Collateral
Munich Re	A+	$	197,681		16.1%	$	41,638	A+	$	165,036		14.5%	$	26,379
Arch Re	A+		148,011		12.1%		3,857	A+		148,553		13.0%		6,318
Axis Capital	A		146,746		12.0%		6,485	A		137,459		12.0%		17,046
Platinum Underwriters	A		104,537		8.5%		-	A		104,536		9.2%		-
Markel (including Alterra)	A		86,160		7.0%		41,398	A		76,649		6.7%		53,936
Odyssey Reinsurance Company	A		82,160		6.7%		-	A		86,854		7.6%		-
XL Group	A		67,718		5.5%		27,026	A		57,142		5.0%		30,409
National Indemnity Company	A++		57,901		4.7%		-	A++		60,708		5.3%		-
Transatlantic Holdings, Inc.	A		54,877		4.5%		-	A		54,337		4.8%		-
Swiss Re	A+		45,197		3.7%		-	A+		32,080		2.8%		-
Top ten reinsurers			990,988		80.8%		120,404			923,354		80.9%		134,088
Other reinsurers’ balances			235,046		19.2%		13,765			217,756		19.1%		12,452
Total reinsurance recoverable		$	1,226,034		100.0%	$	134,169		$	1,141,110		100.0%	$	146,540
A.M Best Rating		Reinsurance Recoverable		Percentage		Collateral			Reinsurance Recoverable		Percentage		Collateral
A++		$	72,897		5.9%	$	-		$	78,053		6.7%	$	-
A+			638,261		52.1%		58,908			440,027		38.6%		38,963
A			504,407		41.1%		74,571			612,780		53.7%		107,577
A-			1,414		0.2%		-			592		0.1%		-
Total “A-” or higher			1,216,979		99.3%		133,479			1,131,452		99.1%		146,540
B++			3,970		0.3%		690			5,296		0.5%		-
NR			5,085		0.4%		-			4,362		0.4%		-
Total reinsurance recoverable		$	1,226,034		100.0%	$	134,169		$	1,141,110		100.0%	$	146,540

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

PROBABLE MAXIMUM LOSSES

($ in millions)		Consolidated Estimated Net Loss				($ in millions)			Consolidated Estimated Net Loss
Zone	Peril	1-in-100 Year PML		1-in-250 Year PML		Zone		Peril	1-in-100 Year PML		1-in-250 Year PML
U.S. total	Hurricane	$	556	$	719	U.S. Southeast	(1)	Hurricane	$	405	$	544
U.S. total	Earthquake	$	349	$	505	U.S. Gulf Coast	(2)	Hurricane	$	315	$	451
						U.S. Northeast	(3)	Hurricane	$	207	$	389
						California		Earthquake	$	316	$	443
						(1) Florida, Georgia, North Carolina and South Carolina. (2) Alabama, Louisiana, Mississippi and Texas. (3) Connecticut, Maine, Massachusetts, New Hampshire, New York, Rhode Island and Vermont.

The above tables show our largest Probable Maximum Losses (“PMLs”) from a single catastrophic event (1) within a specifc peril which corresponds to peak industry catastrophe exposures and (2) within a defined zone which corresponds to peak industry catastrophe exposures at September 1, 2013. A zone is a geographic area in which the insurance risks are considered to be correlated to a single catastrophic event. Net loss estimates and zonal aggregates are before income tax and net of reinsurance and retrocessional recoveries. The 1-in-100 year and 1-in-250 year return periods refer to the frequency with which losses of a given amount or greater are expected to occur.

We develop the estimates of losses expected from certain catastrophes for our portfolio of insurance and reinsurance contracts using commercially available catastrophe models, including RMS and AIR. These estimates include assumptions regarding the location, size and magnitude of an event, the frequency of events, the construction type and susceptibility to damage of property in a zone, policy terms and conditions and the cost of rebuilding property in a zone, among other assumptions. If the estimates and assumptions that are entered into the risk model are incorrect, or if the risk model proves to be an inaccurate forecasting tool, the losses the Company might incur from an actual catastrophe could be materially higher than its expectation of losses generated from modeled catastrophe scenarios. Further, the Company cannot assure that such third party models are free of defects in the modeling logic or in the software code.

Our PML estimates are based on assumptions that are inherently subject to significant uncertainties and contingencies. These uncertainties and contingencies can affect actual losses and could cause actual losses to differ materially from those expressed above. Investors should not rely on the information set forth in this presentation when considering investment in the Company. The information contained in this presentation has not been audited nor has it been subject to independent verification. Our estimated net losses from peak zone catastrophes may change from period to period as a result of several factors, which include but are not limited to, updates to vendor catastrophe models, changes in our own modeling, changes in our underwriting portfolios, changes to our reinsurance purchasing strategy and changes in foreign exchange rates. The events presented reflect a specific set of proscribed calculations and do not necessarily reflect all events that may impact us. The estimates set forth above speak only as of the date of this presentation and the Company undertakes no obligation to update or revise such information to reflect the occurrence of future events, including, but not limited to, the composition of the Company’s business.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CONSOLIDATED TOTAL INVESTMENT PORTFOLIO

	September 30, 2013					December 31, 2012
	Fair Value		Average   Rating	Portfolio   Percentage		Fair Value		Average   Rating	Portfolio   Percentage
Cash and cash equivalents	$	1,210,563	AAA		13.5%	$	865,364	AAA		9.8%
U.S. government securities		1,522,185	AA+		17.1%		1,529,158	AA+		17.3%
U.S. government agencies		328,151	AA+		3.7%		336,755	AA+		3.8%
Non-U.S. government and government agencies		209,625	AA+		2.4%		261,627	AA+		3.0%
State, municipalities and political subdivisions		95,381	AA		1.1%		40,444	AA-		0.5%
Mortgage-backed securities:
Agency MBS		859,686	AA+		9.7%		1,400,917	AA+		15.9%
Non-agency RMBS		78,820	A-		0.9%		90,256	BBB+		1.0%
Non-agency high yield		174,188	CCC+		2.0%		176,776	CCC		2.0%
CMBS		260,467	AA+		2.9%		290,424	AA+		3.4%
Total mortgage-backed securities		1,373,161			15.5%		1,958,373			22.3%
Corporate securities(1):
Financials		841,930	A		9.5%		866,140	A+		9.8%
Industrials		1,146,793	BBB		12.9%		1,153,909	BBB-		13.1%
Utilities		74,764	BBB		0.9%		69,153	BBB-		0.8%
Total corporate securities		2,063,487			23.3%		2,089,202			23.7%
Asset-backed securities:
Credit cards		22,271	AAA		0.3%		24,906	AAA		0.3%
Auto receivables		20,419	AAA		0.2%		31,251	AAA		0.4%
Student Loans		114,188	AA+		1.3%		133,042	AA+		1.5%
Collateralized loan obligations		227,775	AA+		2.6%		190,196	AA+		2.2%
Other		71,241	AAA		0.7%		31,500	AAA		0.3%
Total asset-backed securities		455,894			5.1%		410,895			4.7%
Other invested assets:
Private equity		198,556	N/A		2.2%		151,009	N/A		1.7%
Hedge funds		537,415	N/A		6.1%		504,879	N/A		5.7%
Other private securities		137,954	N/A		1.6%		127,646	N/A		1.5%
High yield loan fund		31,100	N/A		0.4%		—	N/A		0.0%
Total other invested assets		905,025			10.3%		783,534			8.9%
Equities		708,929	N/A		8.0%		523,949	N/A		6.0%
Total investment portfolio	$	8,872,401			100.0%	$	8,799,301			100.0%
Annualized book yield, year to date		1.8%					2.1%
Duration(2)		2.0 years					2.0 years
Average credit quality (S&P)		AA-					AA-

(1) Includes $360.4 million and $354.1 million of floating-rate bank loans as of September 30, 2013 and December 31, 2012, respectively.

(2) Includes only cash and cash equivalents and fixed maturity investments.

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

INVESTMENT INCOME, BOOK YIELD AND PORTFOLIO RETURN

	Three Months Ended				Nine Months Ended
	September 30,       2013		September 30,       2012		September 30,       2013		September 30,       2012
NET INVESTMENT INCOME
Fixed maturity investments	$	31,179	$	36,778	$	96,366	$	120,883
Equity securities		6,110		5,211		13,718		13,706
Other invested assets: hedge funds and private equity		3,812		164		6,001		4,387
Other invested assets: other private securities		1,997		-		5,115		-
Cash and cash equivalents		302		640		1,319		1,797
Expenses		(4,129)		(3,672)		(12,225)		(11,992)
Net investment income	$	39,271	$	39,121	$	110,294	$	128,781
NET REALIZED INVESTMENT GAINS (LOSSES)
Net realized gains (losses) on sale:
Fixed maturity investments	$	(4,836)	$	12,867	$	24,714	$	77,371
Equity securities		13,913		7,463		30,100		6,449
Other invested assets: hedge funds and private equity		2,068		194		16,761		(8,021)
Mark-to-market gains (losses):
Fixed maturity investments		30,383		99,821		(101,205)		144,024
Equity securities		(17,198)		18,913		(18,555)		38,516
Other invested assets: hedge funds and private equity		7,326		11,517		36,719		33,910
Net realized and unrealized (losses) gains on derivatives		(4,169)		(962)		3,392		(192)
Net realized investment gains (losses)	$	27,487	$	149,813	$	(8,074)	$	292,057
CHANGE IN NET UNREALIZED GAINS ON INVESTMENTS	$	-	$	(45)	$	-	$	(15,488)
TOTAL FINANCIAL STATEMENT PORTFOLIO RETURN	$	66,758	$	188,889	$	102,220	$	405,350
ANNUALIZED INVESTMENT BOOK YIELD
Net investment income, recurring	$	39,271	$	39,121	$	110,294	$	128,781
Annualized net investment income		157,084		156,484		147,059		171,708
Average aggregate invested assets, at cost	$	8,361,648	$	8,223,397	$	8,325,506	$	8,143,931
Annualized investment book yield		1.9%		1.9%		1.8%		2.1%
FINANCIAL STATEMENT PORTFOLIO RETURN
Total financial statement portfolio return	$	66,758	$	188,889	$	102,220	$	405,350
Average aggregate invested assets, at fair value	$	8,522,686	$	8,449,366	$	8,534,852	$	8,332,460
Financial statement portfolio return		0.8%		2.2%		1.2%		4.9%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

ADDITIONAL INVESTMENT DETAIL

Other Invested Assets:					Top 10 Corporate Exposures:
Fund Details	Carrying Value   September 30, 2013		Unfunded   Commitments		Corporate		Fair Value   September 30,   2013		Portfolio     Percentage
Private Equity:					JPMorgan Chase & Co		$	51,166		0.6%
Primary and secondary	$	131,449	$	252,571	Verizon Communications Inc			48,132		0.5%
Mezzanine debt		58,116		203,969	Morgan Stanley			48,117		0.5%
Distressed		8,991		5,102	Bank of America Corp			47,354		0.5%
Total private equity		198,556		461,642	General Electric Co			34,383		0.4%
Hedge Funds:					Mitsubishi UFJ Financial Group			32,819		0.4%
Distressed		150,775		-	BP PLC			29,893		0.3%
Equity long/short		116,019		-	Citigroup Inc			27,697		0.3%
Multi-strategy		131,224		-	Swedbank AB			26,579		0.3%
Global macro		19,641		-	Wells Fargo & Co			26,473		0.3%
Event driven		18,445		-
Relative value credit		101,311		-
Total hedge funds		537,415		-
Other private securities		137,954		5,000
High yield loan fund		31,100		-
Total other invested assets	$	905,025	$	466,642
Fixed Income Credit Quality:	September 30, 2013				December 31, 2012
Rating	Fair Value		Percentage		Fair Value	Percentage
U.S. government and agencies	$	1,850,336		30.6%	$         1,865,913	28.2%
AAA/Aaa		712,633		11.8%	866,692	13.1%
AA/Aa		1,438,546		23.8%	1,905,341	28.8%
A/A		921,687		15.2%	876,080	13.2%
BBB/Baa		465,220		7.7%	393,878	5.9%
Total BBB/Baa and above		5,388,422		89.1%	5,907,904	89.2%
BB/Bb		227,274		3.8%	245,888	3.7%
B/B		312,914		5.2%	262,317	4.0%
CCC+ and below		119,274		1.9%	210,345	3.1%
Total	$	6,047,884		100.0%	$         6,626,454	100.0%

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ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

ADDITIONAL INVESTMENT DETAIL

TOTAL EXPOSURE BY ASSET TYPE AND REGION - SEPTEMBER 30, 2013

Region	Country	Sovereign*		Sovereign   Guaranteed   Financial Institutions		State and   Municipalities		Mortgage-Backed Securities						Asset- Backed   Securities		Corporate Securities
								Agency MBS		MBS		CMBS				Financials		Industrials		Utilities		Equity   Securities		Total   Exposure
Africa	South Africa	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	-	$	6,161	$	-	$	-	$	6,161
Australia	Australia		28,254		44,519		-		-		-		-		-		15,062		21,810		-		22,404		132,049
	Marshall Islands		-		-		-		-		-		-		-		-		1,752		-		-		1,752
	Total		28,254		44,519		-		-		-		-		-		15,062		23,562		-		22,404		133,801
Europe	Belgium		-		-		-		-		-		-		-		-		16,241		-		-		16,241
	France		-		-		-		-		-		-		2,787		28,877		20,767		-		6,096		58,527
	Germany		28,805		929		-		-		-		-		2,047		940		8,912		-		-		41,633
	Ireland		-		-		-		-		-		-		5,709		-		563		-		-		6,272
	Italy		-		-		-		-		-		-		-		496		-		-		-		496
	Luxembourg		-		-		-		-		-		-		3,788		-		17,921		-		-		21,709
	Netherlands		-		35,042		-		-		-		-		-		25,809		19,385		-		17,197		97,433
	Norway		6,832		-		-		-		-		-		-		21,016		2,770		-		729		31,347
	Russia		-		-		-		-		-		-		-		2,496		10,046		2,074		-		14,616
	Spain		-		-		-		-		-		-		-		5,761		13,453		-		-		19,214
	Sweden		5,884		-		-		-		-		-		-		42,119		-		-		-		48,003
	Switzerland		2,355		-		-		-		-		-		-		7,510		561		-		14,915		25,341
	United Kingdom		25,849		5,387		-		-		2,017		-		14,654		38,381		79,370		434		13,592		179,684
	Total		69,725		41,358		-		-		2,017		-		28,985		173,405		189,989		2,508		52,529		560,516
Latin	Brazil		-		-		-		-		-		-		-		1,609		6,753		-		2,821		11,183
America	Chile		-		-		-		-		-		-		-		183		-		-		-		183
	Mexico		24,551		-		-		-		-		-		-		-		2,139		-		8,057		34,747
	Puerto Rico		-		-		-		-		-		-		-		-		-		-		-		-
	Total		24,551		-		-		-		-		-		-		1,792		8,892		-		10,878		46,113
North	Bermuda		-		-		-		-		-		-		-		-		2,118		-		-		2,118
America	Canada		59,312		-		-		-		-		-		-		46,818		52,143		7,521		13,029		178,823
	Cayman Islands		-		-		-		-		-		-		190,109		-		1,122		-		-		191,231
	United States		1,877,190		-		95,381		859,686		152,032		359,426		236,800		490,771		850,441		61,540		503,814		5,487,081
	Total		1,936,502		-		95,381		859,686		152,032		359,426		426,909		537,589		905,824		69,061		516,843		5,859,253
Asia /	China		-		-		-		-		-		-		-		-		-		-		67,472		67,472
Middle East	Hong Kong		-		-		-		-		-		-		-		-		-		-		3,666		3,666
	Israel		-		-		-		-		-		-		-		-		308		-		-		308
	Japan		-		-		-		-		-		-		-		26,226		7,914		-		6,209		40,349
	Philippines		-		-		-		-		-		-		-		-		-		-		544		544
	Qatar		-		-		-		-		-		-		-		-		275		-		-		275
	Singapore		-		-		-		-		-		-		-		-		-		-		28,384		28,384
	South Korea		-		-		-		-		-		-		-		2,133		-		3,195		-		5,328
	Taiwan		-		-		-		-		-		-		-		-		3,868		-		-		3,868
	UAE		-		-		-		-		-		-		-		775		-		-		-		775
	Total		-		-		-		-		-		-		-		29,134		12,365		3,195		106,275		150,969
	Grand Total	$	2,059,032	$	85,877	$	95,381	$	859,686	$	154,049	$	359,426	$	455,894	$	756,982	$	1,146,793	$	74,764	$	708,929	$	6,756,813

*Allied World has no direct exposure to any of the Sovereign governments of Portugal, Italy, Ireland, Greece or Spain.

Page 24

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

SHARE REPURCHASE DETAIL

Period	Aggregate Cost     of Shares Repurchased		Number of Shares     Repurchased		Average Price paid Per Share     Repurchased		Average Diluted Book   Value Per Share (1)		Average Repurchase     Price to Diluted     Book Value		Remaining Share Repurchase     Authorization
Three Months Ended:
March 31, 2012	$	93,023		1,430,804	$	65.01	$	82.80		78.5%
June 30, 2012		66,436		905,383		73.38		86.86		84.5%
September 30, 2012		47,590		605,898		78.54		91.03		86.3%
December 31, 2012		56,893		713,874		79.70		93.21		85.5%
Total - 2012	$	263,942		3,655,959	$	72.20	$	87.20		82.8%
Three Months Ended:
March 31, 2013	$	36,245		432,117	$	83.88	$	94.55		88.7%
June 30, 2013		46,326		508,328		91.13		96.34		94.6%
September 30, 2013		40,574		427,388		94.93		97.67		97.2%
Total - 2013	$	123,145		1,367,833	$	90.03	$	96.19		93.6%	$	287,085

(1) Average of beginning and ending diluted book value per share for each period presented and weighted average total.

Page 25

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

CAPITAL STRUCTURE AND LEVERAGE RATIOS

	As of   September 30, 2013		As of     December 31, 2012
Senior notes	$	798,426	$	798,215
Shareholders’ equity		3,443,928		3,326,335
Total capitalization	$	4,242,354	$	4,124,550
Leverage ratios
Debt to total capitalization		18.8%		19.4%
Net premiums written (trailing 12 months)	$	2,091,974	$	1,837,823
Net premiums written (trailing 12 months) to shareholders’ equity		0.61 x		0.55 x
Total investments and cash & cash equivalents	$	8,872,401	$	8,799,301
Total investments and cash & cash equivalents to shareholders’ equity		2.58 x		2.65 x
Reserve for losses and loss expenses	$	5,780,781	$	5,645,549
Deduct: reinsurance recoverable		(1,226,034)		(1,141,110)
Net reserve for losses and loss expenses	$	4,554,747		4,504,439
Net reserve for losses and loss expenses to shareholders’ equity		1.32 x		1.35 x

Page 26

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

OPERATING INCOME RECONCILIATION AND

BASIC AND DILUTED EARNINGS PER SHARE INFORMATION

	Three Months Ended											Nine Months Ended
	September 30,   2013		June 30,       2013			March 31,       2013		December 31,  2012		September 30, 2012		September 30,   2013		September 30,   2012
Net income (loss)	$	122,843	$	(1,862)		$	158,992	$	(41,147)	$	219,647	$	279,973	$	534,154
Add after tax effect of:
Net realized investment (gains) losses		(25,395)		104,897			(77,342)		(15,104)		(141,451)		2,160		(276,035)
Foreign exchange loss (gain)		4,353		490			2,518		860		1,023		7,361		(77)
Operating income (loss)	$	101,801	$	103,525		$	84,168	$	(55,391)	$	79,219	$	289,494	$	258,042
Weighted average common shares outstanding
Basic		33,991,359		34,422,553			34,613,606		35,097,043		35,652,768		34,340,227		36,379,514
Diluted		34,728,193		35,136,296	*		35,431,843		35,097,043		36,616,734		35,131,092		37,393,093
Basic per share data
Net income (loss)	$	3.61	$	(0.05)		$	4.59	$	(1.17)	$	6.16	$	8.15	$	14.68
Add after tax effect of:
Net realized investment (gains) losses		(0.75)		3.05			(2.23)		(0.43)		(3.97)		0.06		(7.59)
Foreign exchange loss (gain)		0.13		0.01			0.07		0.02		0.03		0.22		-
Operating income (loss)	$	2.99	$	3.01		$	2.43	$	(1.58)	$	2.22	$	8.43	$	7.09
Diluted per share data
Net income (loss)	$	3.54	$	(0.05)	*	$	4.49	$	(1.17)	$	6.00	$	7.97	$	14.28
Add after tax effect of:
Net realized investment (gains) losses		(0.73)		2.99			(2.18)		(0.43)		(3.86)		0.06		(7.38)
Foreign exchange loss (gain)		0.12		0.01			0.07		0.02		0.02		0.21		-
Operating income (loss)	$	2.93	$	2.95		$	2.38	$	(1.58)	$	2.16	$	8.24	$	6.90

* Diluted weighted average common shares outstanding were only used in the calculation of diluted operating income per share. There were no common share equivalents included

in calculating diluted earnings per share as there was a net loss and any additional shares would be anti-dilutive.

Page 27

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RETURN ON AVERAGE SHAREHOLDERS’ EQUITY AND RECONCILIATION OF AVERAGE SHAREHOLDERS’ EQUITY

	Three Months Ended										Nine Months Ended
	September 30,  2013		June 30,         2013		March 31,       2013		December 31,  2012		September 30,  2012		September 30,  2013		September 30,  2012
Opening shareholders’ equity	$	3,373,229	$	3,431,963	$	3,326,335	$	3,435,786	$	3,283,901	$	3,326,335	$	3,149,022
Deduct: accumulated other comprehensive income		-		-		-		(1,385)		(1,414)		-		(14,484)
Adjusted opening shareholders’ equity	$	3,373,229	$	3,431,963	$	3,326,335	$	3,434,401	$	3,282,487	$	3,326,335	$	3,134,538
Closing shareholders’ equity	$	3,443,928	$	3,373,229	$	3,431,963	$	3,326,335	$	3,435,786	$	3,443,928	$	3,435,786
Deduct: accumulated other comprehensive income		-		-		-		-		(1,385)		-		(1,385)
Adjusted closing shareholders’ equity	$	3,443,928	$	3,373,229	$	3,431,963	$	3,326,335	$	3,434,401	$	3,443,928	$	3,434,401
Average adjusted shareholders’ equity	$	3,408,579	$	3,402,596	$	3,379,149	$	3,380,368	$	3,358,444	$	3,385,132	$	3,284,470
Net income (loss) available to shareholders	$	122,843	$	(1,862)	$	158,992	$	(41,147)	$	219,647	$	279,973	$	534,154
Annualized net income (loss) available to shareholders	$	491,372	$	(7,448)	$	635,968	$	(164,588)	$	878,588	$	373,297	$	712,205
Annualized return on average shareholders’ equity - net income (loss) available to shareholders		14.4%		(0.2%)		18.8%		(4.9%)		26.2%		11.0%		21.7%
Operating income (loss) available to shareholders	$	101,801	$	103,525	$	84,168	$	(55,391)	$	79,219	$	289,494	$	258,042
Annualized operating income (loss) available to shareholders	$	407,204	$	414,100	$	336,672	$	(221,564)	$	316,876	$	385,992	$	344,056
Annualized return on average shareholders’ equity - operating income (loss) available to shareholders		11.9%		12.2%		10.0%		(6.6%)		9.4%		11.4%		10.5%

Page 28

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

RECONCILIATION OF DILUTED BOOK VALUE PER SHARE

	As of       September 30,       2013		As of       December 31,       2012		As of       September 30,       2012
Price per share at period end	$	99.39	$	78.80	$	77.25
Total shareholders’ equity	$	3,443,928	$	3,326,335	$	3,435,786
Basic common shares outstanding		33,814,920		34,797,781		35,402,558
Add: unvested restricted stock units		83,240		135,123		179,986
Add: performance based equity awards		270,853		485,973		508,130
Add: employee purchase plan		15,320		10,750		5,925
Add: dilutive options outstanding		1,050,832		1,224,607		1,306,837
Weighted average exercise price per share	$	47.77	$	47.02	$	46.14
Deduct: options bought back via treasury method		(505,057)		(730,652)		(780,502)
Common shares and common share equivalents outstanding		34,730,108		35,923,582		36,622,934
Basic book value per common share	$	101.85	$	95.59	$	97.05
Year-to-date percentage change in basic book value per common share		6.5%		(1.5%)
Diluted book value per common share	$	99.16	$	92.59	$	93.82
Year-to-date percentage change in dilutive book value per common share		7.1%		(1.3%)

Page 29

ALLIED WORLD ASSURANCE COMPANY HOLDINGS, AG

REGULATION G

In presenting the company’s results, management has included and discussed certain non-GAAP financial measures. Management believes that these non-GAAP measures, which may be defined differently by other companies, better explain the company’s results of operations in a manner that allows for a more complete understanding of the underlying trends in the company’s business. However, these measures should not be viewed as a substitute for those determined in accordance with GAAP.

OPERATING INCOME

Operating income is an internal performance measure used by the company in the management of its operations and represents after-tax operational results excluding, as applicable, net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss, impairment of intangible assets and other non-recurring items. The company excludes net realized investment gains or losses, net impairment charges recognized in earnings, net foreign exchange gain or loss and other non-recurring items from its calculation of operating income because these amounts are heavily influenced by and fluctuate in part according to the availability of market opportunities and other factors. In addition to presenting net income determined in accordance with GAAP, the company believes that showing operating income enables investors, analysts, rating agencies and other users of its financial information to more easily analyze the company’s results of operations and the company’s underlying business performance. Operating income should not be viewed as a substitute for GAAP net income. See page 27 for the reconciliation of net income to operating income.

ANNUALIZED RETURN ON AVERAGE SHAREHOLDERS’ EQUITY (“ROAE”)

Annualized return on average shareholders’ equity is calculated using average shareholders’ equity, excluding the average after tax unrealized gains or losses on investments. Unrealized gains (losses) on investments are primarily the result of interest rate and credit spread movements and the resultant impact on fixed income securities. Such gains (losses) are not related to management actions or operational performance, nor are they likely to be realized. Therefore, the company believes that excluding these unrealized gains (losses) provides a more consistent and useful measurement of operating performance, which supplements GAAP information. In calculating ROAE, the net income (loss) available to shareholders for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net income (loss) available to shareholders. The company presents ROAE as a measure that is commonly recognized as a standard of performance by investors, analysts, rating agencies and other users of its financial information. See page 28 for the reconciliation of average shareholders’ equity.

ANNUALIZED OPERATING RETURN ON AVERAGE SHAREHOLDERS’ EQUITY

Annualized operating return on average shareholders’ equity is calculated using operating income (as defined above and annualized in the manner described for net income (loss) available to shareholders under ROAE above), and average shareholders’ equity, excluding the average after tax unrealized gains (losses) on investments. Unrealized gains (losses) are excluded from equity for the reasons outlined in the annualized return on average shareholders’ equity explanation above. See page 27 for the reconciliation of net income to operating income and page 28 for the reconciliation of average shareholders’ equity.

DILUTED BOOK VALUE PER SHARE

The company has included diluted book value per share because it takes into account the effect of dilutive securities; therefore, the company believes it is an important measure of calculating shareholder returns. See page 29 for the reconciliation of diluted book value per share to basic book value per share.

ANNUALIZED INVESTMENT BOOK YIELD

Annualized investment book yield is calculated by dividing normalized net investment income by average aggregate invested assets at book value. In calculating annualized investment book yield, normalized net investment income for the period is multiplied by the number of such periods in a calendar year in order to arrive at annualized net investment income. Normalized net investment income is adjusted for known annual or non-recurring items. Aggregate invested assets includes cash and cash equivalents, fixed maturity securities, equity securities, other invested assets and the net balances receivable or payable on purchases and sales of investments. The company utilizes and presents the investment yield in order to better disclose the performance of the company’s investments and to show the components of the company’s ROAE. See page 22 for the calculation of annualized investment book yield.

Page 30

EX-99.3

Exhibit 99.3

	Allied World Assurance Company Holdings, AG
	Securities Listing as at September 30, 2013

Cusip	Security Description	Coupon	Maturity		Par		Market Value
U.S. Government Securities
912796BA6	UNITED STATES TREASURY	0.00		4/3/2014		271,000		270,820
912796BJ7	UNITED STATES TREASURY	0.00		5/29/2014		583,000		582,495
912796BQ1	UNITED STATES TREASURY	0.00		12/19/2013		2,800,000		2,799,923
912796BS7	UNITED STATES TREASURY	0.00		1/2/2014		4,800,000		4,799,225
912796BT5	UNITED STATES TREASURY	0.00		7/24/2014		1,100,000		1,099,028
912796BU2	UNITED STATES TREASURY	0.00		1/16/2014		4,000,000		3,999,138
912796BY4	UNITED STATES TREASURY	0.00		2/13/2014		4,400,000		4,399,175
912810EZ7	UNITED STATES TREASURY	6.63		2/15/2027		625,000		875,631
912828DC1	UNITED STATES TREASURY	4.25		11/15/2014		1,000,000		1,045,900
912828EW6	UNITED STATES TREASURY	4.50		2/15/2016		300,000		328,863
912828FY1	UNITED STATES TREASURY	4.63		11/15/2016		825,000		925,031
912828GX2	UNITED STATES TREASURY	2.63		7/15/2017		8,800,000		11,262,024
912828KF6	UNITED STATES TREASURY	1.88		2/28/2014		5,350,000		5,389,965
912828KN9	UNITED STATES TREASURY	1.88		4/30/2014		715,000		722,457
912828KY5	UNITED STATES TREASURY	2.63		6/30/2014		495,000		504,321
912828KZ2	UNITED STATES TREASURY	3.25		6/30/2016		500,000		536,750
912828LC2	UNITED STATES TREASURY	2.63		7/31/2014		2,465,000		2,516,519
912828LP3	UNITED STATES TREASURY	3.00		9/30/2016		500,000		534,720
912828LS7	UNITED STATES TREASURY	2.38		10/31/2014		1,625,000		1,664,098
912828LZ1	UNITED STATES TREASURY	2.13		11/30/2014		1,000,000		1,022,890
912828ME7	UNITED STATES TREASURY	2.63		12/31/2014		1,000,000		1,030,620
912828MH0	UNITED STATES TREASURY	2.25		1/31/2015		1,000,000		1,027,480
912828MR8	UNITED STATES TREASURY	2.38		2/28/2015		1,080,000		1,113,080
912828MY3	UNITED STATES TREASURY	0.50		4/15/2015		11,380,000		12,534,948
912828NA4	UNITED STATES TREASURY	3.13		4/30/2017		1,000,000		1,078,860
912828NP1	UNITED STATES TREASURY	1.75		7/31/2015		1,000,000		1,026,440
912828NV8	UNITED STATES TREASURY	1.25		8/31/2015		200,000		203,582
912828NW6	UNITED STATES TREASURY	1.88		8/31/2017		500,000		516,270
912828NZ9	UNITED STATES TREASURY	1.25		9/30/2015		1,000,000		1,018,440
912828PJ3	UNITED STATES TREASURY	1.38		11/30/2015		1,000,000		1,021,460
912828PS3	UNITED STATES TREASURY	2.00		1/31/2016		3,500,000		3,628,485
912828PT1	UNITED STATES TREASURY	2.63		1/31/2018		500,000		530,535
912828PZ7	UNITED STATES TREASURY	1.25		3/15/2014		7,950,000		7,993,169
912828QF0	UNITED STATES TREASURY	2.00		4/30/2016		1,000,000		1,038,670
912828QH6	UNITED STATES TREASURY	1.25		2/15/2014		1,000,000		1,004,410
912828QJ2	UNITED STATES TREASURY	2.13		2/29/2016		13,375,000		13,918,961
912828QM5	UNITED STATES TREASURY	1.00		5/15/2014		2,200,000		2,212,452
912828QP8	UNITED STATES TREASURY	1.75		5/31/2016		500,000		516,010
912828QQ6	UNITED STATES TREASURY	2.38		5/31/2018		4,480,000		4,702,253
912828QR4	UNITED STATES TREASURY	1.50		6/30/2016		1,000,000		1,025,480
912828QT0	UNITED STATES TREASURY	2.38		6/30/2018		250,000		262,328
912828QX1	UNITED STATES TREASURY	1.50		7/31/2016		175,000		179,417
912828RE2	UNITED STATES TREASURY	1.50		8/31/2018		750,000		755,085
912828RF9	UNITED STATES TREASURY	1.00		8/31/2016		2,000,000		2,021,220
912828RG7	UNITED STATES TREASURY	0.25		9/15/2014		57,750,000		57,824,498
912828RJ1	UNITED STATES TREASURY	1.00		9/30/2016		100,000		101,033
912828RL6	UNITED STATES TREASURY	0.50		10/15/2014		2,000,000		2,007,580
912828RM4	UNITED STATES TREASURY	1.00		10/31/2016		1,950,000		1,968,194
912828RQ5	UNITED STATES TREASURY	0.38		11/15/2014		1,800,000		1,804,500
912828RS1	UNITED STATES TREASURY	0.25		11/30/2013		66,130,000		66,150,500
912828RV4	UNITED STATES TREASURY	0.25		12/15/2014		30,100,000		30,131,605
912828RX0	UNITED STATES TREASURY	0.88		12/31/2016		6,006,500		6,027,102
912828RZ5	UNITED STATES TREASURY	0.25		1/15/2015		1,000,000		1,000,950
912828SC5	UNITED STATES TREASURY	0.88		1/31/2017		1,000,000		1,002,360
912828SE1	UNITED STATES TREASURY	0.25		2/15/2015		1,000,000		1,000,760
912828SJ0	UNITED STATES TREASURY	0.88		2/28/2017		1,625,000		1,627,210
912828SK7	UNITED STATES TREASURY	0.38		3/15/2015		1,000,000		1,002,400

912828SL5	UNITED STATES TREASURY	0.25	3/31/2014	1,000,000	1,000,900
912828SM3	UNITED STATES TREASURY	1.00	3/31/2017	1,000,000	1,004,650
912828SP6	UNITED STATES TREASURY	0.38	4/15/2015	250,000	250,543
912828SR2	UNITED STATES TREASURY	0.25	4/30/2014	75,979,000	76,061,817
912828SS0	UNITED STATES TREASURY	0.88	4/30/2017	1,000,000	999,280
912828SU5	UNITED STATES TREASURY	0.25	5/15/2015	400,000	399,968
912828SY7	UNITED STATES TREASURY	0.63	5/31/2017	1,000,000	988,950
912828SZ4	UNITED STATES TREASURY	0.38	6/15/2015	1,000,000	1,001,760
912828TA8	UNITED STATES TREASURY	0.25	6/30/2014	284,828,000	285,149,856
912828TB6	UNITED STATES TREASURY	0.75	6/30/2017	750,000	744,105
912828TD2	UNITED STATES TREASURY	0.25	7/15/2015	750,000	749,460
912828TF7	UNITED STATES TREASURY	0.13	7/31/2014	16,505,000	16,508,299
912828TG5	UNITED STATES TREASURY	0.50	7/31/2017	1,000,000	981,220
912828TM2	UNITED STATES TREASURY	0.63	8/31/2017	21,200,000	20,872,460
912828TP5	UNITED STATES TREASURY	0.25	9/15/2015	600,000	599,154
912828TS9	UNITED STATES TREASURY	0.63	9/30/2017	3,000,000	2,949,060
912828TT7	UNITED STATES TREASURY	0.25	10/15/2015	750,000	748,605
912828TU4	UNITED STATES TREASURY	0.25	10/31/2014	126,440,000	126,582,877
912828TW0	UNITED STATES TREASURY	0.75	10/31/2017	25,985,000	25,629,526
912828TX8	UNITED STATES TREASURY	0.38	11/15/2015	9,960,000	9,961,793
912828TZ3	UNITED STATES TREASURY	0.25	11/30/2014	52,475,000	52,532,728
912828UA6	UNITED STATES TREASURY	0.63	11/30/2017	750,000	734,768
912828UC2	UNITED STATES TREASURY	0.25	12/15/2015	500,000	498,600
912828UD0	UNITED STATES TREASURY	0.13	12/31/2014	20,790,000	20,780,437
912828UE8	UNITED STATES TREASURY	0.75	12/31/2017	750,000	737,363
912828UG3	UNITED STATES TREASURY	0.38	1/15/2016	2,585,000	2,583,216
912828UH1	UNITED STATES TREASURY	0.13	1/15/2023	24,000,000	23,616,752
912828UJ7	UNITED STATES TREASURY	0.88	1/31/2018	12,315,000	12,156,013
912828UK4	UNITED STATES TREASURY	0.25	1/31/2015	54,600,000	54,651,870
912828UM0	UNITED STATES TREASURY	0.38	2/15/2016	42,500,000	42,453,675
912828UP3	UNITED STATES TREASURY	0.25	2/28/2015	47,000,000	47,031,485
912828UR9	UNITED STATES TREASURY	0.75	2/28/2018	1,000,000	980,640
912828US7	UNITED STATES TREASURY	0.38	3/15/2016	600,000	598,920
912828UT5	UNITED STATES TREASURY	0.25	3/31/2015	23,500,000	23,511,516
912828UU2	UNITED STATES TREASURY	0.75	3/31/2018	2,850,000	2,789,637
912828UW8	UNITED STATES TREASURY	0.25	4/15/2016	12,596,000	12,523,195
912828UY4	UNITED STATES TREASURY	0.13	4/30/2015	600,000	598,902
912828UZ1	UNITED STATES TREASURY	0.63	4/30/2018	56,750,000	55,166,108
912828VC1	UNITED STATES TREASURY	0.25	5/15/2016	52,500,000	52,148,776
912828VD9	UNITED STATES TREASURY	0.25	5/31/2015	600,000	599,904
912828VE7	UNITED STATES TREASURY	1.00	5/31/2018	650,000	641,687
912828VG2	UNITED STATES TREASURY	0.50	6/15/2016	65,550,000	65,482,485
912828VH0	UNITED STATES TREASURY	0.38	6/30/2015	12,809,000	12,830,902
912828VK3	UNITED STATES TREASURY	1.38	6/30/2018	750,000	752,048
912828VL1	UNITED STATES TREASURY	0.63	7/15/2016	54,000,000	54,072,362
912828VQ0	UNITED STATES TREASURY	1.38	7/31/2018	128,000,000	128,232,959
912828VR8	UNITED STATES TREASURY	0.63	8/15/2016	500,000	500,260
912828VU1	UNITED STATES TREASURY	0.38	8/31/2015	500,000	500,575
912828VW7	UNITED STATES TREASURY	0.88	9/15/2016	1,000,000	1,007,300
912828VY3	UNITED STATES TREASURY	0.25	9/30/2015	1,000,000	998,480
				1,518,872,500	1,522,185,161
U.S. Government Agencies
31331KHW3	FED FARM CR BKS	1.63	11/19/2014	750,000	762,068
313375RN9	FHLB	1.00	3/11/2016	1,050,000	1,060,616
313379DD8	FHLB	1.00	6/21/2017	250,000	249,900
3133802C0	FHLB	1.05	7/26/2017	50,000	49,530
3133802Q9	FHLB	1.65	7/18/2019	5,000,000	4,851,350
3133812C8	FHLB	1.50	5/8/2020	4,990,000	4,694,849
313383V81	FHLB	0.38	8/28/2015	350,000	350,213
3133EAZF8	FED FARM CR BKS	0.63	3/23/2016	100,000	99,762
3133EAZU5	FED FARM CR BKS	0.45	4/24/2015	100,000	99,989
3133XVNU1	FHLB	2.75	12/12/2014	74,500,000	76,758,840
3134G3PD6	FHLMC	0.55	2/27/2014	250,000	250,415
3134G3S50	FHLMC	0.63	11/1/2016	750,000	745,635
3134G3W63	FHLMC	1.03	11/28/2017	14,400,000	14,129,856

3134G3ZH6	FHLMC	1.00	7/25/2017	75,000	74,327
3135G0ES8	FNMA	1.38	11/15/2016	1,000,000	1,017,440
3135G0HG1	FNMA	0.38	3/16/2015	250,000	250,445
3135G0MN0	FNMA	1.13	6/28/2017	150,000	149,016
3135G0NZ2	FNMA	1.13	9/12/2017	200,000	198,054
3135G0PE7	FNMA	0.38	3/25/2015	150,000	149,946
3135G0PQ0	FNMA	0.88	10/26/2017	400,000	394,264
3135G0QM8	FNMA	1.50	10/23/2019	9,925,000	9,498,821
3135G0RK1	FNMA	0.90	11/7/2017	100,000	98,957
3135G0RL9	FNMA	1.55	10/29/2019	12,625,000	12,109,269
3135G0RX3	FNMA	0.50	11/27/2015	150,000	149,793
3135G0SY0	FNMA	1.60	12/24/2020	1,505,000	1,404,195
3135G0UQ4	FNMA	0.60	3/4/2016	250,000	249,378
3135G0VX8	FNMA	0.63	9/26/2016	250,000	248,443
3135G0XG3	FNMA	1.00	5/21/2018	250,000	245,808
3135G0XH1	FNMA	0.50	5/20/2016	250,000	249,295
3135G0XM0	FNMA	1.13	5/25/2018	10,745,000	10,477,342
3135G0YT4	FNMA	1.63	11/27/2018	28,450,000	28,361,521
3136G02M2	FNMA	1.18	10/30/2018	3,690,000	3,573,296
3136G0M73	FNMA	1.13	10/3/2018	8,000,000	7,841,269
3137EAAJ8	FHLMC	5.13	10/18/2016	250,000	283,143
3137EACW7	FHLMC	2.00	8/25/2016	34,000,000	35,261,400
3137EADA4	FHLMC	0.63	12/29/2014	500,000	502,560
3137EADC0	FHLMC	1.00	3/8/2017	82,000,000	82,130,383
3137EADF3	FHLMC	1.25	5/12/2017	6,000,000	6,046,620
3137EADL0	FHLMC	1.00	9/29/2017	200,000	198,334
3137EADN6	FHLMC	0.75	1/12/2018	600,000	585,270
31398A4M1	FNMA	1.63	10/26/2015	21,500,000	22,040,295
31398AU34	FNMA	2.38	7/28/2015	250,000	259,430
				326,255,000	328,151,337
Non U.S. Government Securities & Agencies
00254ELS9	SVENSK EXPORTKREDIT AB	1.13	4/5/2018	6,000,000	5,883,720
013051DA2	ALBERTA PROVINCE OF	2.75	12/1/2014	950,000	941,735
038461AC3	AID-EGYPT	4.45	9/15/2015	25,000,000	26,854,150
135087A38	CANADA GOVERNMENT	1.50	8/1/2015	500,000	489,396
135087A46	CANADA GOVERNMENT	1.50	9/1/2017	2,450,000	2,368,901
135087A87	CANADA GOVERNMENT	1.25	3/1/2018	1,500,000	1,426,609
135087B37	CANADA GOVERNMENT	1.25	9/1/2018	1,700,000	1,607,095
135087YS7	CANADA GOVERNMENT	3.00	6/1/2014	2,015,000	1,986,186
135087YU2	CANADA GOVERNMENT	2.00	12/1/2014	8,860,000	8,713,083
135087ZC1	CANADA GOVERNMENT	2.50	6/1/2015	2,500,000	2,486,651
135087ZF4	CANADA GOVERNMENT	3.00	12/1/2015	1,100,000	1,110,573
135087ZN7	CANADA GOVERNMENT	2.00	3/1/2014	400,000	390,741
135087ZQ0	CANADA GOVERNMENT	2.75	9/1/2016	5,450,000	5,502,827
135087ZR8	CANADA GOVERNMENT	2.25	8/1/2014	5,200,000	5,110,316
135087ZT4	CANADA GOVERNMENT	1.50	11/1/2013	650,000	632,592
135087ZV9	CANADA GOVERNMENT	1.50	3/1/2017	4,400,000	4,282,817
135087ZX5	CANADA GOVERNMENT	1.00	2/1/2015	3,000,000	2,915,110
282645AQ3	EKSPORTFINANS A/S	5.50	5/25/2016	200,000	208,964
28264QGC2	EKSPORTFINANS A/S	5.50	6/26/2017	3,500,000	3,653,955
28264QR63	EKSPORTFINANS A/S	3.00	11/17/2014	2,000,000	2,006,163
500769BM5	KREDITANSTALT FUER WIEDERAUFBA	4.38	2/9/2016	900,000	929,330
642866FT9	NEW BRUNSWICK PROVINCE OF	4.50	2/4/2015	900,000	913,703
683234WM6	ONTARIO PROVINCE OF	4.50	3/8/2015	900,000	916,161
68323AAW4	ONTARIO PROVINCE OF	3.15	6/2/2022	12,400,000	11,958,603
68323ABJ2	ONTARIO PROVINCE OF	0.95	5/26/2015	3,800,000	3,832,224
748148RK1	QUEBEC PROVINCE	5.25	10/1/2013	850,000	826,962
803854JF6	SASKATCHEWAN PROVINCE	5.25	6/3/2014	900,000	899,636
D20658J64	GERMANY (FEDERAL REPUBLIC OF)	3.50	1/4/2016	19,800,000	28,804,936
G924507Q5	UNITED KINGDOM GILT	2.75	1/22/2015	6,290,000	10,497,718
G92451GE0	UNITED KINGDOM GILT	1.75	1/22/2017	8,690,000	14,435,659
G9T44MEB4	UNITED KINGDOM GILT	1.00	9/7/2017	570,000	915,766
H7351MFG3	SWITZERLAND (CONFEDERATION OF)	4.25	6/5/2017	1,850,000	2,355,438
J1348FAB1	EKSPORTFINANS A/S	0.89	6/16/2015	100,000,000	962,535
P4R0C9EK5	MEXICAN BONOS	7.75	11/13/2042	987,558	8,004,865

P9767GWU1	MEXICAN BONOS	8.00	12/7/2023	1,900,000	16,545,653
Q0819ACW8	AUSTRALIA COMMONWEALTH OF	5.75	5/15/2021	26,500,000	28,253,807
				264,612,558	209,624,580
State and Municipal
100853SH4	BOSTON MASS	5.00	3/1/2023	5,000,000	6,034,900
13062PHG0	CALIFORNIA ST	5.25	2/1/2023	3,000,000	3,572,820
20772JPU0	CONNECTICUT (STATE OF)	5.00	8/15/2022	5,100,000	6,045,183
29270CWX9	ENERGY NORTHWEST WASH ELEC REV	5.00	7/1/2023	2,500,000	2,881,800
29270CXR1	ENERGY NORTHWEST WASH ELEC REV	5.00	7/1/2021	2,000,000	2,361,220
419791S58	HAWAII ST- REF-EF	5.00	11/1/2023	5,000,000	5,880,550
4521518V8	ILLINOIS ST	4.42	1/1/2015	10,998,000	11,342,567
645918U92	NJ ST EDA PENSION	5.00	3/1/2023	4,015,000	4,574,290
64966B3L5	NEW YORK N Y	0.97	1/15/2016	5,250,000	5,256,090
64966KYW7	NEW YORK NY	5.00	8/1/2023	3,885,000	4,550,889
64971M5E8	NEW YORK NY CITY TRANSITIONAL	4.08	11/1/2020	3,000,000	3,157,410
6499026P3	NEW YORK ST DORM AUTH	4.00	8/15/2022	4,490,000	4,886,332
679110EF9	OKLAHOMA ST STUDENT LN AUTH	0.68	7/19/2020	891,525	882,414
74526QZL9	PUERTO RICO ELEC PWR AUTH	5.00	7/1/2020	2,000,000	1,671,040
759136RD8	REGIONAL TRANSN DIST COLO	5.00	11/1/2023	3,165,000	3,722,388
76541VMN4	RICHMOND VA	5.00	3/1/2025	5,000,000	5,830,950
83714RBA0	SOUTH CAROLINA STUDENT LN	0.35	12/2/2019	2,863,484	2,841,579
914026MM8	UNIVERSITY ALA GEN REV	5.00	7/1/2022	4,000,000	4,754,080
914119VD1	UNIVERSITY CINCINNATI OHIO	5.00	6/1/2022	1,535,000	1,797,086
91412GSB2	UNIVERSITY CALIFORNIA	1.80	7/1/2019	7,500,000	7,249,950
927781Q56	VIRGINIA COLLEGE BLDG AUTH VA	5.00	2/1/2021	5,000,000	5,933,450
98458PAB1	YALE UNIVERSITY	2.90	10/15/2014	150,000	153,763
				86,343,010	95,380,751
Agency MBS
01F0304A3	FNMA	3.00	9/28/2020	2,350,000	2,432,984
01F0306A1	FNMA	3.00	5/26/2030	9,740,000	9,516,284
01F0326A7	FNMA	3.50	6/3/2029	5,405,000	5,503,810
01F0406A0	FNMA	4.00	1/16/2029	9,000,000	9,437,344
01F0406B8	FNMA	4.00	10/7/2029	39,000,000	40,756,523
01F0426A6	FNMA	4.50	12/12/2027	8,970,000	9,579,680
01F0506A9	FNMA	5.00	2/18/2026	1,080,000	1,171,294
02R0306A6	FHLMC GOLD	3.00	1/8/2031	1,475,000	1,435,475
31283HVE2	FHLMC GOLD	6.00	6/21/2025	8,598	9,486
31283HWZ4	FHLMC GOLD	6.00	7/22/2025	5,882	6,489
31283K4C9	FHLMC GOLD	5.00	4/29/2017	3,516,150	3,734,359
31283KJU3	FHLMC GOLD	6.50	5/18/2014	65,000	65,917
31283KN87	FHLMC GOLD	5.00	10/26/2015	969	1,027
3128GNW87	FHLMC GOLD	5.00	5/18/2015	734	741
3128GNY77	FHLMC GOLD	5.00	5/17/2015	5,529	5,853
3128GP3U5	FHLMC GOLD	5.00	6/18/2015	810	853
3128GP3V3	FHLMC GOLD	5.00	6/19/2015	5,392	5,708
3128GP4U4	FHLMC GOLD	5.00	6/22/2015	2,513	2,566
3128GP7M9	FHLMC GOLD	5.00	6/18/2015	761	766
3128GPSA2	FHLMC GOLD	5.00	6/2/2015	1,047	1,057
3128GQ3Q2	FHLMC GOLD	5.00	7/5/2015	1,785	1,880
3128GQ6E6	FHLMC GOLD	5.00	7/4/2015	2,244	2,377
3128GQGA3	FHLMC GOLD	5.00	6/18/2015	2,234	2,366
3128GQJT9	FHLMC GOLD	5.00	6/19/2015	1,877	1,912
3128GQK26	FHLMC GOLD	5.00	6/18/2015	3,104	3,288
3128GQK34	FHLMC GOLD	5.00	6/19/2015	925	935
3128GQKB6	FHLMC GOLD	5.00	6/18/2015	915	928
3128GQP54	FHLMC GOLD	5.00	6/19/2015	3,436	3,530
3128GQQQ7	FHLMC GOLD	5.00	7/5/2015	2,682	2,842
3128GQQZ7	FHLMC GOLD	5.00	7/4/2015	4,595	4,867
3128GQSG7	FHLMC GOLD	5.00	7/5/2015	936	946
3128GQU58	FHLMC GOLD	5.00	7/5/2015	1,848	1,957
3128GQU90	FHLMC GOLD	5.00	7/4/2015	692	698
3128GQVB4	FHLMC GOLD	5.00	7/5/2015	1,394	1,475
3128GQW31	FHLMC GOLD	5.00	7/4/2015	3,399	3,600
3128GQW49	FHLMC GOLD	5.00	7/5/2015	4,586	4,857
3128GR3Y3	FHLMC GOLD	5.00	7/4/2015	5,090	5,391

3128GR6N4	FHLMC GOLD	5.00	8/7/2015	5,049	5,348
3128GRBH1	FHLMC GOLD	5.00	7/4/2015	1,278	1,293
3128GRFT1	FHLMC GOLD	5.00	7/20/2015	3,413	3,615
3128GRJD2	FHLMC GOLD	5.00	7/20/2015	571	605
3128GRLA5	FHLMC GOLD	5.00	7/21/2015	5,469	5,793
3128GRM71	FHLMC GOLD	5.00	7/20/2015	795	804
3128GRP94	FHLMC GOLD	5.00	7/19/2015	575	580
3128GRQA0	FHLMC GOLD	5.00	7/20/2015	2,516	2,667
3128GRSP5	FHLMC GOLD	5.00	7/20/2015	1,894	2,004
3128GRSY6	FHLMC GOLD	5.00	7/20/2015	3,487	3,693
3128GRUF4	FHLMC GOLD	5.00	7/21/2015	746	753
3128GRUT4	FHLMC GOLD	5.00	7/21/2015	4,033	4,275
3128GRWQ8	FHLMC GOLD	5.00	7/4/2015	298	301
3128GRYD5	FHLMC GOLD	5.00	8/7/2015	1,523	1,550
3128GS5Y9	FHLMC GOLD	5.00	8/6/2015	2,387	2,435
3128GSDJ3	FHLMC GOLD	5.00	8/6/2015	4,405	4,666
3128GSGB7	FHLMC GOLD	5.00	8/6/2015	3,624	3,839
3128GSGU5	FHLMC GOLD	5.00	8/6/2015	6,480	6,863
3128GSKE6	FHLMC GOLD	5.00	8/6/2015	5,102	5,404
3128GSKV8	FHLMC GOLD	5.00	8/6/2015	3,370	3,471
3128GSLX3	FHLMC GOLD	5.00	8/7/2015	1,150	1,179
3128GSLY1	FHLMC GOLD	5.00	8/6/2015	4,756	5,038
3128GSNL7	FHLMC GOLD	5.00	8/6/2015	1,683	1,718
3128GSQN0	FHLMC GOLD	5.00	8/6/2015	3,989	4,227
3128GSSN8	FHLMC GOLD	5.00	8/7/2015	7,360	7,796
3128GV2N9	FHLMC GOLD	5.00	11/11/2015	13,177	13,957
3128GV3C2	FHLMC GOLD	5.00	11/12/2015	5,711	6,049
3128GV3D0	FHLMC GOLD	5.00	11/12/2015	9,729	10,304
3128GV3Z1	FHLMC GOLD	5.00	11/13/2015	10,843	11,485
3128GV7G9	FHLMC GOLD	5.00	11/12/2015	2,887	3,060
3128GVBY5	FHLMC GOLD	5.00	10/12/2015	616	652
3128GVH94	FHLMC GOLD	5.00	10/25/2015	1,600	1,633
3128GVJA9	FHLMC GOLD	5.00	10/26/2015	4,363	4,621
3128GVJB7	FHLMC GOLD	5.00	10/27/2015	3,499	3,708
3128GVJQ4	FHLMC GOLD	5.00	10/27/2015	5,596	5,928
3128GVLF5	FHLMC GOLD	5.00	10/27/2015	2,688	2,849
3128GVLH1	FHLMC GOLD	5.00	10/27/2015	3,538	3,747
3128GVLJ7	FHLMC GOLD	5.00	10/27/2015	7,609	8,059
3128GVMM9	FHLMC GOLD	5.00	10/12/2015	709	715
3128GVNL0	FHLMC GOLD	5.00	10/27/2015	3,058	3,241
3128GVNM8	FHLMC GOLD	5.00	10/27/2015	2,873	3,043
3128GVNN6	FHLMC GOLD	5.00	10/28/2015	4,744	5,150
3128GVNV8	FHLMC GOLD	5.00	10/25/2015	1,449	1,475
3128GVNX4	FHLMC GOLD	5.00	10/27/2015	27,386	29,007
3128GVPM6	FHLMC GOLD	5.00	10/27/2015	3,405	3,607
3128GVPN4	FHLMC GOLD	5.00	10/28/2015	2,680	2,841
3128GVPP9	FHLMC GOLD	5.00	10/27/2015	6,163	6,527
3128GVQH6	FHLMC GOLD	5.00	10/27/2015	7,366	7,802
3128GVRA0	FHLMC GOLD	5.00	10/29/2015	1,638	1,678
3128GVRC6	FHLMC GOLD	5.00	10/29/2015	4,006	4,243
3128GVRE2	FHLMC GOLD	5.00	10/26/2015	4,370	4,511
3128GVRS1	FHLMC GOLD	5.00	10/27/2015	1,693	1,734
3128GVRT9	FHLMC GOLD	5.00	10/28/2015	5,300	5,613
3128GVRY8	FHLMC GOLD	5.00	10/28/2015	24,382	25,825
3128GVT83	FHLMC GOLD	5.00	10/27/2015	8,279	8,769
3128GVTN0	FHLMC GOLD	5.00	10/27/2015	2,593	2,653
3128GVTW0	FHLMC GOLD	5.00	10/28/2015	5,474	5,798
3128GVUD0	FHLMC GOLD	5.00	10/27/2015	570	604
3128GVUE8	FHLMC GOLD	5.00	10/28/2015	5,270	5,582
3128GVUX6	FHLMC GOLD	5.00	11/12/2015	2,340	2,480
3128GVVE7	FHLMC GOLD	5.00	11/12/2015	13,082	13,857
3128GVVF4	FHLMC GOLD	5.00	11/13/2015	6,125	6,487
3128GVVJ6	FHLMC GOLD	5.00	11/11/2015	11,226	11,891
3128GVVY3	FHLMC GOLD	5.00	11/12/2015	4,646	4,922
3128GVW22	FHLMC GOLD	5.00	10/29/2015	1,806	1,913

3128GVW89	FHLMC GOLD	5.00	11/13/2015	2,843	3,013
3128GVZV5	FHLMC GOLD	5.00	11/13/2015	5,384	5,703
3128GW5Q7	FHLMC GOLD	5.00	11/29/2015	5,699	6,040
3128GW6G8	FHLMC GOLD	5.00	11/28/2015	3,517	3,726
3128GWAQ1	FHLMC GOLD	5.00	11/11/2015	1,428	1,456
3128GWAT5	FHLMC GOLD	5.00	11/12/2015	8,928	9,456
3128GWAU2	FHLMC GOLD	5.00	11/13/2015	11,336	12,007
3128GWB49	FHLMC GOLD	5.00	11/12/2015	786	833
3128GWB80	FHLMC GOLD	5.00	11/13/2015	6,834	7,239
3128GWBH0	FHLMC GOLD	5.00	11/12/2015	7,789	8,250
3128GWC89	FHLMC GOLD	5.00	11/14/2015	3,494	3,701
3128GWCL0	FHLMC GOLD	5.00	11/15/2015	6,101	6,462
3128GWCW6	FHLMC GOLD	5.00	11/13/2015	2,706	2,866
3128GWDP0	FHLMC GOLD	5.00	11/15/2015	3,964	4,199
3128GWEG9	FHLMC GOLD	5.00	11/15/2015	15,829	16,766
3128GWEK0	FHLMC GOLD	5.00	11/12/2015	4,171	4,421
3128GWEP9	FHLMC GOLD	5.00	11/13/2015	1,520	1,610
3128GWF86	FHLMC GOLD	5.00	11/12/2015	4,901	5,191
3128GWFN3	FHLMC GOLD	5.00	11/15/2015	3,938	4,173
3128GWHH4	FHLMC GOLD	5.00	11/13/2015	3,485	3,692
3128GWJG4	FHLMC GOLD	5.00	11/29/2015	10,478	11,098
3128GWK31	FHLMC GOLD	5.00	11/14/2015	4,477	4,742
3128GWK56	FHLMC GOLD	5.00	11/29/2015	5,277	5,590
3128GWMS4	FHLMC GOLD	5.00	11/29/2015	2,985	3,163
3128GWP85	FHLMC GOLD	5.00	11/27/2015	2,895	3,068
3128GWQ27	FHLMC GOLD	5.00	11/29/2015	7,259	7,688
3128GWQ92	FHLMC GOLD	5.00	11/29/2015	6,293	6,666
3128GWQN1	FHLMC GOLD	5.00	11/27/2015	5,632	5,965
3128GWQY7	FHLMC GOLD	5.00	11/29/2015	2,493	2,642
3128GWR42	FHLMC GOLD	5.00	11/29/2015	7,225	7,652
3128GWRF7	FHLMC GOLD	5.00	11/28/2015	3,313	3,509
3128GWV21	FHLMC GOLD	5.00	11/28/2015	6,612	7,003
3128GWVL9	FHLMC GOLD	5.00	11/27/2015	897	951
3128GWWM6	FHLMC GOLD	5.00	11/28/2015	782	828
3128GWXD5	FHLMC GOLD	5.00	11/27/2015	3,536	3,748
3128GWXW3	FHLMC GOLD	5.00	11/28/2015	5,801	6,144
3128GWYS1	FHLMC GOLD	5.00	11/29/2015	343	364
3128GWZQ4	FHLMC GOLD	5.00	11/27/2015	4,887	5,176
3128GX3H7	FHLMC GOLD	5.00	12/14/2015	5,641	5,975
3128GX5V4	FHLMC GOLD	5.00	12/12/2015	8,107	8,587
3128GXAX4	FHLMC GOLD	5.00	11/30/2015	13,706	14,518
3128GXBC9	FHLMC GOLD	5.00	11/29/2015	2,704	2,866
3128GXEA0	FHLMC GOLD	5.00	12/14/2015	4,745	5,026
3128GXEK8	FHLMC GOLD	5.00	12/13/2015	2,305	2,441
3128GXFT8	FHLMC GOLD	5.00	12/15/2015	7,248	7,677
3128GXHA7	FHLMC GOLD	5.00	12/16/2015	9,687	10,260
3128GXHQ2	FHLMC GOLD	5.00	12/13/2015	8,989	9,521
3128GXN36	FHLMC GOLD	5.00	12/14/2015	8,282	8,772
3128GY2H6	FHLMC GOLD	5.00	1/17/2016	7,497	7,943
3128GYF66	FHLMC GOLD	5.00	12/30/2015	1,901	1,937
3128GYG73	FHLMC GOLD	5.00	12/29/2015	8,815	9,338
3128GYKK9	FHLMC GOLD	5.00	12/30/2015	682	723
3128GYLX0	FHLMC GOLD	5.00	12/30/2015	772	779
3128GYNT7	FHLMC GOLD	5.00	1/16/2016	954	966
3128GYQC1	FHLMC GOLD	5.00	1/19/2016	7,015	7,431
3128GYS88	FHLMC GOLD	5.00	1/16/2016	262	264
3128GYTW4	FHLMC GOLD	5.00	1/17/2016	1,206	1,222
3128GYU44	FHLMC GOLD	5.00	1/16/2016	5,829	6,176
3128GYU51	FHLMC GOLD	5.00	1/17/2016	5,467	5,792
3128GYV35	FHLMC GOLD	5.00	1/18/2016	9,231	9,779
3128GYVB7	FHLMC GOLD	5.50	1/20/2016	34,315	36,650
3128GYVZ4	FHLMC GOLD	5.00	1/16/2016	7,352	7,789
3128GYZE7	FHLMC GOLD	5.00	1/16/2016	4,867	5,156
3128H22V4	FHLMC GOLD	5.00	2/20/2016	3,619	3,834
3128H25K5	FHLMC GOLD	5.00	2/18/2016	1,660	1,690

3128H26F5	FHLMC GOLD	5.00	2/2/2016	77	82
3128H26M0	FHLMC GOLD	5.50	2/5/2016	431,727	461,104
3128H26W8	FHLMC GOLD	5.50	1/19/2016	205,245	219,211
3128H27K3	FHLMC GOLD	5.00	2/19/2016	1,504	1,531
3128H2B69	FHLMC GOLD	5.00	1/16/2016	10,483	11,106
3128H2B77	FHLMC GOLD	5.00	1/19/2016	10,058	10,656
3128H2B85	FHLMC GOLD	5.00	1/17/2016	7,701	8,159
3128H2C84	FHLMC GOLD	5.00	1/17/2016	1,306	1,331
3128H2E41	FHLMC GOLD	5.00	2/3/2016	10,233	10,841
3128H2ED1	FHLMC GOLD	5.00	1/16/2016	17,237	18,261
3128H2EG4	FHLMC GOLD	5.00	1/19/2016	9,775	10,355
3128H2LV3	FHLMC GOLD	5.00	1/16/2016	7,946	8,418
3128H2LY7	FHLMC GOLD	5.00	2/4/2016	5,270	5,584
3128H2QV8	FHLMC GOLD	5.00	2/3/2016	12,295	13,026
3128H2T86	FHLMC GOLD	5.00	2/3/2016	428	454
3128H2TF0	FHLMC GOLD	5.00	2/3/2016	10,680	11,315
3128H2TJ2	FHLMC GOLD	5.00	2/3/2016	2,049	2,093
3128H2TW3	FHLMC GOLD	5.00	2/5/2016	8,690	9,206
3128H2VW0	FHLMC GOLD	5.00	2/3/2016	12,150	12,872
3128H2YM9	FHLMC GOLD	5.00	2/5/2016	2,010	2,130
3128H2YN7	FHLMC GOLD	5.00	2/2/2016	3,150	3,345
3128H2YS6	FHLMC GOLD	5.00	2/6/2016	4,319	4,586
3128H2ZJ5	FHLMC GOLD	5.00	2/3/2016	3,839	4,068
3128H2ZT3	FHLMC GOLD	5.00	2/19/2016	3,715	3,938
3128H2ZU0	FHLMC GOLD	5.00	2/20/2016	8,774	9,295
3128H32W0	FHLMC GOLD	5.00	2/20/2016	4,595	4,867
3128H3C25	FHLMC GOLD	5.00	2/20/2016	1,299	1,323
3128H3CD1	FHLMC GOLD	5.00	2/20/2016	2,924	3,098
3128H3FG1	FHLMC GOLD	5.00	2/21/2016	5,703	6,042
3128H3MN8	FHLMC GOLD	5.00	2/21/2016	11,538	12,224
3128H3N72	FHLMC GOLD	5.00	2/19/2016	3,151	3,346
3128H3RY9	FHLMC GOLD	5.00	3/4/2016	11,646	12,337
3128H3S36	FHLMC GOLD	5.00	2/22/2016	4,604	4,877
3128H3SZ5	FHLMC GOLD	5.00	3/7/2016	6,223	6,593
3128H3V65	FHLMC GOLD	5.00	3/5/2016	2,343	2,402
3128H3WF4	FHLMC GOLD	5.00	2/20/2016	4,943	5,236
3128H3XU0	FHLMC GOLD	5.00	3/5/2016	5,608	5,955
3128H45V7	FHLMC GOLD	5.00	3/24/2016	7,610	8,062
3128H4J59	FHLMC GOLD	5.00	3/22/2016	5,094	5,397
3128H4JG5	FHLMC GOLD	5.00	3/7/2016	5,506	5,846
3128H4JT7	FHLMC GOLD	5.00	3/21/2016	10,771	11,411
3128H5JX5	FHLMC GOLD	5.00	4/9/2016	10,069	10,667
3128H5RP3	FHLMC GOLD	5.00	4/9/2016	5,407	5,740
3128H5TK2	FHLMC GOLD	5.00	4/8/2016	13,825	14,647
3128H6BG8	FHLMC GOLD	5.00	4/10/2016	12,442	13,181
3128H6CZ5	FHLMC GOLD	5.00	4/8/2016	9,070	9,608
3128H6FR0	FHLMC GOLD	5.00	4/23/2016	8,466	8,969
3128H6FU3	FHLMC GOLD	5.00	4/24/2016	5,718	6,071
3128H6WU4	FHLMC GOLD	5.50	4/28/2016	109,607	118,317
3128H6XM1	FHLMC GOLD	5.00	4/25/2016	2,259	2,394
3128H6ZC1	FHLMC GOLD	5.50	4/11/2016	39,740	42,897
3128H77K2	FHLMC GOLD	5.50	6/5/2016	130,169	140,513
3128JLDM8	FHLMC	2.54	9/3/2024	146,328	153,829
3128JLEY1	FHLMC	2.62	9/13/2024	228,466	244,997
3128JLHB8	FHLMC	2.65	9/16/2024	46,084	47,663
3128JMW45	FHLMC	2.98	7/7/2025	61,181	64,512
3128JMY68	FHLMC	2.89	6/26/2025	77,860	84,711
3128JMZG5	FHLMC	2.88	6/25/2025	116,498	121,852
3128JNAL9	FHLMC	2.78	8/5/2025	138,369	147,093
3128JRP26	FHLMC	2.69	11/14/2024	1,473,426	1,540,580
3128K17K1	FHLMC GOLD	5.00	3/28/2027	1,577,676	1,698,794
3128K9KT0	FHLMC GOLD	5.50	6/22/2027	56,621	61,169
3128KA4Z1	FHLMC GOLD	6.00	10/12/2027	43,765	47,639
3128KALC3	FHLMC GOLD	6.00	10/20/2027	3,948	4,290
3128KE5H2	FHLMC GOLD	6.50	3/30/2028	114,036	126,628

3128KJ6T4	FHLMC GOLD	6.00	4/3/2028	190,534	207,040
3128KLSB4	FHLMC GOLD	5.00	1/6/2028	532,925	573,363
3128KU3J4	FHLMC GOLD	6.00	8/16/2028	136,089	147,883
3128KULK1	FHLMC GOLD	6.00	8/17/2028	3,273	3,557
3128KVAR6	FHLMC GOLD	6.50	11/2/2028	66,438	73,796
3128KWBZ5	FHLMC GOLD	6.00	9/8/2028	9,011	10,030
3128KWFX6	FHLMC GOLD	6.00	10/16/2028	18,083	20,128
3128KWFY4	FHLMC GOLD	6.00	11/5/2028	19,441	21,640
3128KWH30	FHLMC GOLD	6.00	10/16/2028	36,396	39,544
3128KWMW0	FHLMC GOLD	6.00	11/24/2028	218,900	238,401
3128KWT29	FHLMC GOLD	6.00	10/16/2028	14,410	16,039
3128KWT78	FHLMC GOLD	6.00	10/29/2028	26,701	28,979
3128KWTK9	FHLMC GOLD	6.00	11/24/2028	23,719	26,402
3128KWTP8	FHLMC GOLD	6.00	11/5/2028	17,673	19,672
3128KWTZ6	FHLMC GOLD	6.00	9/27/2028	16,326	18,172
3128KYXE4	FHLMC GOLD	6.00	6/13/2028	14,225	15,833
3128L0SP8	FHLMC GOLD	6.00	11/19/2028	6,519	7,100
3128L0SR4	FHLMC GOLD	6.00	11/27/2028	205,827	224,553
3128L1WN6	FHLMC GOLD	5.50	11/7/2028	185,881	200,812
3128L1WP1	FHLMC GOLD	6.00	1/8/2029	37,383	40,616
3128LAFP0	FHLMC GOLD	6.00	1/23/2029	836,769	909,202
3128LXUJ7	FHLMC GOLD	6.00	3/10/2028	164,481	178,730
3128M4GD9	FHLMC GOLD	6.00	4/25/2028	49,467	53,752
3128M4XA6	FHLMC GOLD	5.50	6/4/2028	1,515,841	1,645,276
3128M4YR8	FHLMC GOLD	6.00	9/2/2028	130,508	141,796
3128M4ZG1	FHLMC GOLD	6.00	7/30/2028	2,261	2,517
3128M5GA2	FHLMC GOLD	6.00	10/16/2028	390,356	424,120
3128M5J27	FHLMC GOLD	6.00	12/23/2028	248,089	270,189
3128M5NP1	FHLMC GOLD	6.00	12/11/2028	2,670	2,901
3128M5R93	FHLMC GOLD	5.50	12/4/2028	26,021	28,111
3128M5RA0	FHLMC GOLD	6.00	1/14/2029	14,946	16,239
3128M6AV0	FHLMC GOLD	5.50	12/13/2028	56,944	61,533
3128M6JM1	FHLMC GOLD	5.00	12/18/2028	10,459,669	11,258,864
3128M6SA7	FHLMC GOLD	6.00	7/9/2029	468,646	509,213
3128M6SN9	FHLMC GOLD	5.00	9/9/2027	1,332,133	1,434,401
3128M6UB2	FHLMC GOLD	6.00	4/26/2029	51,824	57,691
3128M7AZ9	FHLMC GOLD	6.00	9/14/2029	140,679	156,606
3128M7NR3	FHLMC GOLD	5.00	8/13/2029	1,197,990	1,289,987
3128M7PN0	FHLMC GOLD	5.00	9/13/2029	641,778	707,339
3128M7QZ2	FHLMC GOLD	5.00	5/16/2029	1,062,767	1,144,356
3128M83K8	FHLMC GOLD	4.50	12/10/2030	13,056,737	13,902,589
3128M8AV6	FHLMC GOLD	5.50	2/21/2030	3,529,659	3,814,056
3128M8CY8	FHLMC GOLD	5.00	7/18/2030	1,933,140	2,080,846
3128M8HQ0	FHLMC GOLD	4.00	2/21/2030	420,551	439,617
3128M8TX2	FHLMC GOLD	6.00	1/1/2029	1,234,654	1,341,613
3128M8VG6	FHLMC GOLD	4.00	5/18/2030	4,234,739	4,442,182
3128M9CM2	FHLMC GOLD	4.00	2/27/2019	780,876	816,405
3128M9H88	FHLMC GOLD	4.00	5/19/2031	681,131	712,122
3128MCUW3	FHLMC GOLD	4.00	5/30/2020	3,953,548	4,187,491
3128MJH94	FHLMC GOLD	5.00	9/6/2028	811,860	873,893
3128MJM98	FHLMC GOLD	4.00	6/20/2029	770,703	805,566
3128MJP95	FHLMC GOLD	4.50	8/4/2030	1,227,839	1,307,587
3128MJQD5	FHLMC GOLD	4.50	8/22/2030	887,707	945,364
3128MJRD4	FHLMC GOLD	4.00	12/15/2030	179,872	188,056
3128MJS43	FHLMC GOLD	3.50	6/28/2031	1,774,306	1,802,677
3128MMAC7	FHLMC GOLD	5.00	10/21/2016	293,210	311,407
3128MMM67	FHLMC GOLD	3.50	6/30/2020	486,104	511,923
3128MMNX7	FHLMC GOLD	3.50	11/4/2020	6,507,324	6,852,956
3128MMQ55	FHLMC GOLD	2.50	10/1/2021	497,176	500,270
3128NCBH6	FHLMC	2.23	5/3/2025	236,573	244,227
3128P7JE4	FHLMC GOLD	5.00	12/9/2021	6,274	6,758
3128P7JH7	FHLMC GOLD	5.00	12/14/2021	119,853	129,088
3128PR7G8	FHLMC GOLD	4.00	3/4/2020	982,041	1,040,152
3128PRVD8	FHLMC GOLD	4.00	2/16/2020	664,306	703,615
3128PRWU9	FHLMC GOLD	4.00	3/4/2020	812,833	860,930

3128PRZ85	FHLMC GOLD	4.00	3/5/2020	394,554	417,901
3128PSBA4	FHLMC GOLD	4.00	3/21/2020	1,580,306	1,673,817
3128PUGE6	FHLMC GOLD	3.50	6/11/2020	656,383	691,247
3128PUQT2	FHLMC GOLD	3.50	7/27/2020	655,760	690,590
3128PURZ7	FHLMC GOLD	3.50	7/24/2020	789,268	831,189
3128PUVC3	FHLMC GOLD	3.50	7/20/2020	582,466	613,403
3128PUVP4	FHLMC GOLD	3.50	7/24/2020	482,479	508,105
3128PUW73	FHLMC GOLD	3.50	8/8/2020	800,147	842,646
3128PUXF4	FHLMC GOLD	3.50	7/20/2020	455,602	479,801
3128PVBD1	FHLMC GOLD	4.00	9/7/2020	612,034	649,201
3128PVCG3	FHLMC GOLD	4.00	8/30/2020	613,610	650,873
3128PWV21	FHLMC GOLD	3.00	10/16/2020	3,980,460	4,116,638
3128PWWS3	FHLMC GOLD	3.00	10/3/2020	2,410,999	2,493,482
312906J50	FHLMC	8.50	9/17/2016	43,853	48,819
312929CM2	FHLMC GOLD	6.00	9/16/2029	6,062	6,748
31292K4D6	FHLMC GOLD	4.00	12/3/2029	788,059	823,707
31292KJH1	FHLMC GOLD	6.00	8/5/2028	1,124	1,252
31292LF67	FHLMC GOLD	4.00	12/26/2030	313,797	328,024
31292LL60	FHLMC GOLD	3.50	10/18/2030	2,511,584	2,551,784
31292SAD2	FHLMC GOLD	3.50	11/13/2030	1,229,079	1,248,666
312930LH1	FHLMC GOLD	6.00	11/8/2029	10,908	12,143
312930LQ1	FHLMC GOLD	6.00	12/5/2029	26,883	29,926
312930RC6	FHLMC GOLD	6.00	10/3/2029	14,707	16,377
312930RV4	FHLMC GOLD	6.00	9/25/2029	7,454	8,298
312930TB6	FHLMC GOLD	6.00	10/22/2029	7,377	8,215
312931D62	FHLMC GOLD	4.00	1/4/2029	135,857	141,966
312931GN2	FHLMC GOLD	6.00	11/9/2029	12,221	13,404
312931TJ7	FHLMC GOLD	5.00	6/7/2029	1,493,298	1,623,091
312932CX2	FHLMC GOLD	4.50	2/27/2029	1,333,821	1,428,901
312932ZE9	FHLMC GOLD	5.00	6/30/2029	56,512	62,498
312933F41	FHLMC GOLD	4.50	3/28/2029	440,116	468,223
3129345K4	FHLMC GOLD	5.00	9/1/2029	123,126	135,704
312934CX8	FHLMC GOLD	4.00	1/29/2029	661,542	691,291
312934ML3	FHLMC GOLD	4.00	3/3/2029	19,969	20,867
312934PJ5	FHLMC GOLD	5.00	8/5/2029	70,022	77,440
312934R38	FHLMC GOLD	5.00	7/20/2029	48,870	54,047
312934SQ6	FHLMC GOLD	4.00	3/15/2029	41,929	43,815
312935AT6	FHLMC GOLD	5.00	8/18/2029	118,219	130,295
312935KY4	FHLMC GOLD	4.50	5/20/2029	174,197	187,677
312935LV9	FHLMC GOLD	4.50	6/5/2029	135,467	144,298
312935MV8	FHLMC GOLD	4.50	6/14/2029	1,221,834	1,302,634
312936LH8	FHLMC GOLD	5.00	10/7/2029	227,127	244,554
312936LM7	FHLMC GOLD	5.00	10/3/2029	367,360	404,887
3129385D1	FHLMC GOLD	5.00	11/17/2029	64,931	70,946
312938TU7	FHLMC GOLD	5.00	12/6/2029	505,647	550,007
312941TK3	FHLMC GOLD	4.00	1/9/2030	864,475	905,940
312942F83	FHLMC GOLD	4.00	12/5/2029	1,101,505	1,154,339
312942L52	FHLMC GOLD	4.50	2/25/2030	981,418	1,044,997
312943HT3	FHLMC GOLD	4.00	1/19/2030	10,923,174	11,426,396
312943LY7	FHLMC GOLD	4.00	12/27/2029	329,666	345,478
312943UJ0	FHLMC GOLD	4.00	9/27/2029	35,436	37,039
312943Y31	FHLMC GOLD	4.00	2/15/2030	1,427,843	1,493,623
312943ZY2	FHLMC GOLD	4.00	3/23/2030	654,798	684,417
312944BJ9	FHLMC GOLD	4.00	12/16/2029	2,944,077	3,078,005
312944BN0	FHLMC GOLD	4.00	1/7/2030	1,845,875	1,930,099
312944PJ4	FHLMC GOLD	4.00	1/3/2030	567,826	593,511
3129455Y0	FHLMC GOLD	4.50	12/11/2026	257,727	274,466
3129456C7	FHLMC GOLD	4.00	3/22/2030	1,003,108	1,048,586
312945NC8	FHLMC GOLD	4.00	1/24/2030	1,407,324	1,470,984
312945ZD3	FHLMC GOLD	4.00	2/21/2030	253,810	265,317
312946FN1	FHLMC GOLD	4.50	6/5/2030	1,307,659	1,392,592
312946GL4	FHLMC GOLD	4.00	3/26/2030	288,827	301,922
312946JE7	FHLMC GOLD	4.50	12/25/2026	427,856	455,646
312946X35	FHLMC GOLD	4.50	2/2/2027	1,775,194	1,890,493
31294KDZ5	FHLMC GOLD	5.00	4/16/2015	599	634

31294KFJ9	FHLMC GOLD	5.00	5/17/2015	662	701
31294KHD0	FHLMC GOLD	5.00	7/5/2015	2,382	2,523
31294KHL2	FHLMC GOLD	5.00	7/20/2015	3,627	3,841
31294KJT3	FHLMC GOLD	5.00	8/22/2015	1,632	1,730
31294KKU8	FHLMC GOLD	5.00	10/27/2015	2,045	2,166
31294MAK7	FHLMC GOLD	4.00	4/2/2020	465,075	492,595
31294MJP7	FHLMC GOLD	3.50	11/7/2020	2,651,278	2,792,099
31294NSD2	FHLMC GOLD	2.50	4/27/2021	10,742,074	10,808,746
312962CQ4	FHLMC GOLD	5.00	4/24/2016	3,419	3,623
312962CT8	FHLMC GOLD	5.00	4/24/2016	397	401
312962KD4	FHLMC GOLD	5.50	5/30/2016	53,363	57,603
312962KT9	FHLMC GOLD	5.00	5/26/2016	6,230	6,615
312962MD2	FHLMC GOLD	5.00	6/12/2016	12,805	13,566
312962Q63	FHLMC GOLD	5.50	6/2/2016	8,912	9,620
312962UW1	FHLMC GOLD	5.50	6/17/2016	552,566	596,474
312963VY4	FHLMC GOLD	5.50	7/7/2016	176,476	190,499
312963WH0	FHLMC GOLD	5.50	7/5/2016	13,896	15,000
312963ZG9	FHLMC GOLD	5.50	6/17/2016	16,551	17,866
3129642B4	FHLMC GOLD	5.50	8/22/2016	36,042	39,000
312964KG3	FHLMC GOLD	5.00	8/3/2016	1,551	1,574
312964WX3	FHLMC GOLD	5.50	6/1/2016	253,265	273,390
312965QA7	FHLMC GOLD	5.50	6/17/2016	102,394	110,531
312966WU4	FHLMC GOLD	5.50	9/26/2016	910,832	985,588
312968QL7	FHLMC GOLD	5.50	7/4/2016	835,403	892,249
31296NEK9	FHLMC GOLD	5.00	7/16/2025	1,253,146	1,354,642
31296QYE4	FHLMC GOLD	6.00	1/16/2026	4,211	4,665
31296SBH8	FHLMC GOLD	6.00	1/2/2026	6,189	6,856
31297SFC4	FHLMC GOLD	5.50	1/9/2027	48,525	52,566
31297US50	FHLMC GOLD	5.50	1/23/2027	59,986	64,982
3132FCBT1	FHLMC GOLD	5.00	7/17/2027	1,000,000	1,077,401
3132GDC67	FHLMC GOLD	4.00	4/5/2030	380,217	397,454
3132GDRC8	FHLMC GOLD	4.50	1/30/2027	2,238,430	2,383,816
3132GDS86	FHLMC GOLD	4.50	8/13/2030	3,485,268	3,711,637
3132GE6P0	FHLMC GOLD	5.00	12/24/2030	527,554	574,092
3132GJ3K3	FHLMC GOLD	4.00	8/18/2030	1,121,881	1,172,743
3132GLCK8	FHLMC GOLD	4.00	9/26/2030	920,007	961,717
3132GLLL6	FHLMC GOLD	4.00	8/28/2030	407,082	425,586
3132GLUA0	FHLMC GOLD	4.00	10/18/2030	1,741,198	1,820,138
3132GLWW0	FHLMC GOLD	4.00	9/20/2030	294,570	307,925
3132GMHA3	FHLMC GOLD	3.50	7/22/2030	1,645,592	1,671,816
3132GMJN3	FHLMC GOLD	4.00	10/15/2030	397,396	415,462
3132GRLZ2	FHLMC GOLD	4.00	11/10/2030	229,166	239,775
3132GRN80	FHLMC GOLD	4.00	10/27/2030	666,563	696,866
3132GUKK9	FHLMC GOLD	3.50	10/23/2030	3,290,517	3,342,955
3132GUX90	FHLMC GOLD	3.50	11/8/2030	1,464,813	1,488,316
3132HM5D9	FHLMC GOLD	3.50	1/12/2031	1,066,136	1,083,126
3132HQEQ1	FHLMC GOLD	3.00	9/12/2030	481,143	468,658
3132HQFE7	FHLMC GOLD	4.00	5/23/2031	221,277	231,945
3132HQRK0	FHLMC GOLD	3.00	12/17/2030	239,893	233,668
3132J9JD1	FHLMC GOLD	3.00	3/13/2031	1,714,645	1,670,085
31342A6F1	FHLMC	2.41	8/17/2024	274,969	289,898
31349UCW6	FHLMC	2.28	3/17/2025	130,906	138,808
31349UEJ3	FHLMC	2.38	4/18/2025	227,545	240,520
31349ULB2	FHLMC	2.40	6/13/2025	234,628	250,107
31349UMF2	FHLMC	2.38	6/28/2025	359,615	375,293
313602YQ1	FANNIE MAE FNMA_89-44	9.00	2/19/2016	37,831	41,732
3136A77K2	FNMA	2.80	10/21/2015	1,185,116	1,157,070
31371LHQ5	FNMA	4.00	11/25/2013	2,731	2,740
31371LNH8	FNMA	4.00	1/25/2014	2,643	2,667
31371LZJ1	FNMA	4.00	6/13/2014	62,627	64,240
31371M5M5	FNMA	5.50	2/26/2028	105,993	115,220
31371MEP8	FNMA	5.00	12/15/2026	4,211	4,557
31371MG92	FNMA	4.00	10/16/2014	25,889	26,939
31371N4F9	FNMA	6.00	7/11/2022	176,603	193,874
31371NP25	FNMA	5.50	11/11/2028	391,426	425,391

31371NVX0	FNMA	5.00	8/19/2028	907,802	981,986
31379T6G4	FNMA	5.00	12/25/2013	672	676
3137A83K2	FHR_3820D DA	4.00	9/26/2016	17,859,009	19,139,678
3137AEH65	FHLMC_3917	0.68	2/12/2016	1,926,438	1,927,235
3137AEV77	FHLMC	2.70	3/26/2018	8,300,000	8,589,089
3137ANMN2	FHLMC MULTIFAMILY STRUCTURED P	2.22	11/19/2018	500,000	503,421
3137B1UG5	FHLMC	2.64	12/5/2022	7,400,000	7,039,176
31381QFF8	FNMA	3.75	2/21/2016	8,326,148	8,943,174
31385RB58	FNMA	8.50	1/20/2024	735,380	766,777
31385XK48	FNMA	2.35	6/16/2024	162,014	168,123
31388XVV3	FNMA	2.20	6/16/2024	4,599,129	4,749,104
31389EVA0	FNMA	6.50	6/17/2015	496,757	528,563
31389EVB8	FNMA	6.50	6/17/2015	748,854	799,687
3138A1B91	FNMA	4.50	7/10/2030	498,317	533,630
3138A1BA8	FNMA	4.00	2/23/2030	2,010,307	2,108,577
3138A1CT6	FNMA	4.00	2/23/2026	63,087	66,171
3138A1HR5	FNMA	4.00	1/10/2030	1,549,030	1,626,624
3138A1K59	FNMA	4.00	1/28/2030	182,899	191,817
3138A1MA6	FNMA	4.00	3/9/2030	226,212	237,270
3138A1SU6	FNMA	4.00	2/8/2030	215,224	225,774
3138A2CK3	FNMA	4.00	6/8/2020	2,025,935	2,152,208
3138A2DD8	FNMA	4.00	1/22/2030	38,915	40,812
3138A2FJ3	FNMA	4.00	6/10/2020	105,661	112,247
3138A2HF9	FNMA	4.00	3/2/2030	649,679	681,525
3138A2HG7	FNMA	4.00	2/19/2030	381,314	399,905
3138A2PD5	FNMA	3.50	6/2/2020	2,856,018	3,015,931
3138A2ZZ5	FNMA	4.00	7/18/2030	646,036	677,616
3138A3BH9	FNMA	4.00	1/22/2030	599,626	628,861
3138A3DJ3	FNMA	4.00	8/2/2020	139,091	147,794
3138A3VB0	FNMA	4.00	2/3/2030	3,331,395	3,499,076
3138A3WC7	FNMA	4.00	3/9/2030	214,543	225,064
3138A4CC7	FNMA	4.00	7/18/2030	110,078	115,459
3138A4J89	FNMA	4.00	3/10/2030	671,868	704,710
3138A4KH7	FNMA	4.00	2/3/2030	57,640	60,450
3138A4NR2	FNMA	4.00	2/19/2030	22,673	23,782
3138A4PA7	FNMA	4.00	3/10/2030	31,745	33,297
3138A54P4	FNMA	4.00	2/25/2030	119,081	124,902
3138A5RN4	FNMA	4.00	7/15/2020	48,339	51,364
3138A5YL0	FNMA	4.50	6/11/2030	309,153	330,437
3138A6E97	FNMA	4.00	2/27/2030	491,213	515,225
3138A6JV3	FNMA	4.00	2/10/2030	263,631	276,518
3138A6LD0	FNMA	5.00	9/17/2030	210,981	230,269
3138A6LJ7	FNMA	4.00	7/14/2020	10,379,638	11,029,087
3138A6RH5	FNMA	4.00	2/16/2030	19,116	20,050
3138A7FR4	FNMA	4.00	3/8/2030	289,268	303,408
3138A7G69	FNMA	4.00	7/13/2020	54,880	58,314
3138A7HY7	FNMA	3.50	12/2/2029	914,542	931,802
3138A7ZQ4	FNMA	4.00	4/4/2030	531,741	557,734
3138A8A48	FNMA	4.00	3/19/2030	633,707	664,684
3138A8E77	FNMA	4.00	3/10/2030	219,920	230,671
3138A8MD5	FNMA	4.00	3/12/2030	3,196,098	3,352,332
3138A8UL8	FNMA	4.50	6/24/2030	34,374	36,770
3138A9CZ5	FNMA	4.00	4/4/2030	3,470,608	3,644,186
3138A9N26	FNMA	4.00	3/14/2030	114,778	120,388
3138AA4M0	FNMA	4.50	7/7/2030	4,335,096	4,657,331
3138AAKX8	FNMA	4.00	4/28/2030	125,837	132,178
3138AARE3	FNMA	4.00	3/20/2030	182,314	191,227
3138AAYW5	FNMA	4.00	4/1/2030	398,706	418,196
3138AB2D0	FNMA	4.00	3/14/2030	91,230	95,689
3138ABZC6	FNMA	5.50	2/18/2031	218,554	238,660
3138ADER2	FNMA	4.00	4/25/2030	243,450	255,350
3138ADUG8	FNMA	5.00	11/27/2030	599,704	654,529
3138AEZG1	FNMA	4.00	7/27/2030	617,132	647,299
3138AFH86	FNMA	4.00	5/16/2030	375,807	394,178
3138AFKH2	FNMA	4.00	9/5/2020	52,475	55,758

3138AFRR3	FNMA	4.00	5/24/2030	110,186	115,572
3138AFXZ8	FNMA	4.00	9/17/2020	169,351	179,947
3138AG6Q6	FNMA	4.00	9/24/2020	183,347	194,819
3138AGQB7	FNMA	4.00	8/24/2020	186,295	197,951
3138AGQQ4	FNMA	4.00	9/15/2020	42,323	44,971
3138AHTD8	FNMA	5.00	12/6/2030	131,452	143,852
3138AJK50	FNMA	4.50	9/18/2030	2,055,745	2,199,031
3138AKEL9	FNMA	4.00	9/18/2020	130,823	139,009
3138AMXV2	FNMA	4.00	7/22/2030	433,888	455,098
3138ANBY8	FNMA	4.00	8/10/2030	119,864	125,723
3138ANWY5	FNMA	4.00	8/8/2030	181,029	189,878
3138ANZG1	FNMA	4.50	11/3/2030	171,808	183,784
3138AS4N9	FNMA	4.50	12/14/2030	2,064,718	2,208,629
3138AT4B3	FNMA	4.00	1/27/2031	764,598	802,094
3138AUMZ7	FNMA	4.00	9/26/2030	1,204,820	1,263,715
3138AUP84	FNMA	4.50	1/15/2031	44,992	48,128
3138AVH24	FNMA	4.00	9/22/2030	112,925	118,445
3138AVWL5	FNMA	4.00	8/22/2030	113,595	119,148
3138AW3N1	FNMA	4.00	9/8/2030	42,942	45,041
3138AX5G2	FNMA	4.00	12/4/2030	194,545	204,086
3138AXHV6	FNMA	4.00	9/6/2030	47,873	50,213
3138AXRL7	FNMA	4.00	10/6/2030	551,462	578,419
3138AXST9	FNMA	4.50	12/10/2030	753,508	806,028
3138E03K3	FNMA	4.00	11/7/2030	331,899	348,175
3138E04T3	FNMA	3.50	8/18/2030	405,101	412,781
3138E2GH2	FNMA	4.00	10/17/2030	2,137,364	2,241,844
3138E47K1	FNMA	4.00	11/2/2030	234,621	246,089
3138E4AC5	FNMA	4.00	10/26/2030	236,107	247,649
3138E4EB3	FNMA	2.50	12/28/2020	852,819	858,773
3138E4F89	FNMA	4.00	11/4/2030	70,619	74,082
3138E4UV1	FNMA	4.00	10/6/2030	4,431,290	4,647,904
3138E6KZ8	FNMA	4.00	11/1/2030	411,803	431,998
3138E7HR8	FNMA	2.50	1/10/2021	3,647,340	3,672,807
3138E7JB1	FNMA	2.50	1/11/2021	881,672	887,828
3138E8KX9	FNMA	2.50	1/18/2021	3,884,899	3,912,025
3138E8L75	FNMA	2.50	2/1/2021	4,845,011	4,878,841
3138EBLJ2	FNMA	4.00	2/25/2031	131,657	138,114
3138ECAA1	FNMA	2.50	1/18/2021	2,229,794	2,245,364
3138ECLK7	FNMA	4.00	2/22/2031	410,816	430,963
3138ECLU5	FNMA	4.00	2/23/2031	385,276	404,170
3138ECTY9	FNMA	2.50	1/4/2021	642,548	647,035
3138ECWS8	FNMA	2.50	1/17/2021	4,069,215	4,097,628
3138ECYM9	FNMA	2.50	1/2/2021	649,498	654,033
3138ECYV9	FNMA	2.50	1/16/2021	837,597	843,446
3138EGH72	FNMA	4.00	8/3/2020	714,248	758,766
3138EGHV9	FNMA	4.00	6/30/2020	105,409	111,980
3138EGTA2	FNMA	5.00	8/24/2028	397,814	431,745
3138EHCM2	FNMA	5.00	4/21/2028	560,329	608,122
3138EJCC0	FNMA	4.00	8/12/2030	2,942,068	3,085,884
3138EJEW4	FNMA	4.00	11/5/2030	628,774	660,220
3138EJRB6	FNMA	3.50	3/2/2031	5,453,116	5,720,540
3138EJRP5	FNMA	4.38	12/5/2017	6,322,684	6,915,046
3138EKNF8	FNMA	3.00	1/6/2031	384,109	375,757
3138EKW35	FNMA	6.00	4/5/2031	10,170,193	11,089,282
3138ELJN4	FNMA	4.00	12/29/2031	5,852,639	6,141,379
3138LQES9	FNMA	4.00	12/17/2030	733,211	769,168
3138LQSU9	FNMA	2.50	2/27/2021	5,850,842	5,891,695
3138LSR85	FNMA	3.00	11/5/2030	106,990	104,664
3138LTLA4	FNMA	3.00	2/19/2021	1,156,042	1,197,706
3138LUZP3	FNMA	2.50	1/29/2021	1,124,731	1,133,219
3138LVEU3	FNMA	4.00	4/7/2031	717,770	753,715
3138LVH89	FNMA	3.00	11/4/2030	95,376	93,302
3138LVJ87	FNMA	3.00	3/9/2021	2,329,754	2,413,718
3138LX5F2	FNMA	4.00	4/20/2031	207,101	217,258
3138LXT41	FNMA	3.00	9/8/2030	53,453	52,291

3138M13D8	FNMA	3.50	2/6/2031	3,562,060	3,630,032
3138M13G1	FNMA	3.50	2/21/2031	6,596,276	6,722,148
3138M3MH4	FNMA	4.00	4/5/2031	1,055,948	1,107,732
3138M6RS8	FNMA	2.50	3/21/2021	1,802,645	1,815,232
3138M7GY5	FNMA	3.00	9/24/2030	133,018	130,126
3138M7W27	FNMA	3.00	8/30/2030	142,967	139,815
3138M93L3	FNMA	3.00	9/6/2030	76,677	75,010
3138M9BU4	FNMA	3.00	10/6/2030	2,244,704	2,194,992
3138MBAT3	FNMA	3.00	11/29/2030	61,277	59,945
3138MC2V5	FNMA	3.00	10/19/2030	122,951	120,277
3138MCFB5	FNMA	3.00	10/14/2030	136,328	133,363
3138MCT46	FNMA	3.00	12/8/2030	61,022	59,712
3138MDWE8	FNMA	3.00	9/24/2030	64,242	62,845
3138MFNJ2	FNMA	3.00	10/3/2030	93,146	91,121
3138MFPE1	FNMA	2.50	4/21/2021	733,233	738,625
3138MFSR9	FNMA	3.50	3/2/2031	1,522,492	1,551,544
3138MFW37	FNMA	3.00	1/15/2031	176,996	173,148
3138MFW52	FNMA	3.00	12/18/2030	89,169	87,230
3138MGMC6	FNMA	3.00	11/23/2030	197,202	192,970
3138MHKF9	FNMA	3.50	3/5/2031	44,568	45,419
3138MHKP7	FNMA	3.00	11/25/2030	77,794	76,103
3138MHKQ5	FNMA	3.00	11/18/2030	140,327	137,234
3138MHXJ7	FNMA	3.00	1/5/2031	54,312	53,131
3138MJ6T1	FNMA	3.00	11/6/2030	108,447	106,089
3138MJGD5	FNMA	3.00	11/12/2030	151,002	147,718
3138MJQU6	FNMA	3.00	10/3/2030	150,117	146,852
3138MJXK0	FNMA	3.00	1/9/2031	1,391,183	1,360,374
3138MKB70	FNMA	3.00	11/23/2030	107,322	104,989
3138MKQH2	FNMA	3.00	2/14/2031	326,068	319,070
3138ML5B6	FNMA	3.00	1/12/2031	321,450	314,460
3138MLE67	FNMA	3.00	10/21/2030	463,621	453,539
3138MLMY7	FNMA	3.00	11/16/2030	56,319	55,094
3138MLTC8	FNMA	3.00	1/10/2031	270,975	265,083
3138MMAB8	FNMA	3.00	1/29/2031	299,821	293,301
3138MMCE0	FNMA	3.00	10/29/2030	61,680	60,338
3138MMJ37	FNMA	3.00	11/8/2030	109,216	106,842
3138MMKP6	FNMA	3.00	12/4/2030	54,371	53,189
3138MMNW8	FNMA	3.00	10/23/2030	252,160	246,677
3138MMY63	FNMA	3.00	9/11/2030	167,911	164,260
3138MN5G1	FNMA	3.00	11/29/2030	302,239	295,752
3138MNAT7	FNMA	3.00	11/12/2030	84,901	83,055
3138MNJQ4	FNMA	3.00	11/22/2030	80,516	78,765
3138MNQL7	FNMA	3.00	11/8/2030	576,530	563,820
3138MNQP8	FNMA	3.00	11/10/2030	450,946	441,140
3138MP2W4	FNMA	3.00	12/8/2030	61,744	60,419
3138MPBU8	FNMA	3.00	11/12/2030	130,397	127,561
3138MPDQ5	FNMA	3.00	12/19/2030	234,112	229,021
3138MPZC2	FNMA	3.00	10/27/2030	394,533	385,954
3138MQH89	FNMA	2.50	6/10/2021	158,364	159,530
3138MQHG1	FNMA	3.00	11/18/2030	124,175	121,475
3138MQJZ7	FNMA	3.00	1/23/2031	217,945	213,206
3138MQM91	FNMA	3.00	2/6/2031	312,955	306,150
3138MQTN3	FNMA	3.00	11/13/2030	245,797	240,453
3138MQWF6	FNMA	3.00	9/22/2030	55,355	54,151
3138MR5R8	FNMA	3.00	1/3/2031	76,914	75,264
3138MRD24	FNMA	3.00	11/10/2030	66,478	65,032
3138MRK75	FNMA	3.00	12/4/2030	668,490	653,954
3138MRRX1	FNMA	3.00	11/8/2030	214,764	210,094
3138MRTR2	FNMA	3.00	10/23/2030	67,490	66,023
3138MRUJ8	FNMA	3.00	11/8/2030	243,074	237,789
3138MRXV8	FNMA	3.00	12/13/2030	133,449	130,585
3138MTD79	FNMA	4.50	4/24/2031	497,834	535,587
3138NJAE8	FNMA	3.63	8/26/2017	2,212,154	2,311,811
3138NJAK4	FNMA	3.42	7/18/2017	2,977,928	3,132,831
3138NWVM8	FNMA	3.00	11/26/2030	50,644	49,557

3138NXFU6	FNMA	3.00	12/23/2030	451,914	442,214
3138NXJA6	FNMA	3.00	11/9/2030	692,983	677,914
3138NXRK5	FNMA	3.00	12/2/2030	118,187	115,650
3138NYDM4	FNMA	3.00	12/13/2030	81,021	79,283
3138NYEN1	FNMA	3.50	5/22/2031	287,732	293,222
3138NYHT5	FNMA	3.00	11/24/2030	95,554	93,476
3138NYQP3	FNMA	3.00	12/21/2030	68,729	67,254
3138NYVT9	FNMA	3.00	11/9/2030	553,215	541,341
3138W02A6	FNMA	3.00	12/11/2030	84,113	82,308
3138W02X6	FNMA	3.00	10/18/2030	108,914	106,576
3138W0G60	FNMA	3.00	11/29/2030	141,657	138,616
3138W0XW4	FNMA	3.00	11/6/2030	332,083	324,862
3138W0YR4	FNMA	3.00	12/10/2030	59,271	57,982
3138W17M3	FNMA	3.00	2/5/2031	203,767	199,393
3138W1LY1	FNMA	3.00	12/18/2030	84,664	82,847
3138W3W90	FNMA	3.00	3/14/2031	383,259	375,033
3138W4AP6	FNMA	3.00	5/3/2031	166,729	163,151
3138W4P88	FNMA	3.00	1/4/2031	898,579	879,293
3138W7WP5	FNMA	3.00	2/11/2031	180,700	176,821
3138W9GW4	FNMA	3.50	8/8/2031	4,779,737	4,872,548
3138W9KB5	FNMA	2.50	10/9/2021	89,015	89,638
3138W9RL6	FNMA	2.50	10/28/2021	2,464,997	2,482,256
3138WMWQ0	FNMA	3.00	1/29/2031	674,488	660,011
3138WMZ20	FNMA	2.50	3/1/2028	4,963,893	4,998,648
3138WN5M7	FNMA	3.00	2/19/2031	557,475	545,510
3138WN7K9	FNMA	3.00	2/22/2031	108,898	106,560
3138WNDF3	FNMA	3.50	7/11/2031	2,873,841	2,930,575
3138WQM33	FNMA	3.00	2/7/2031	57,833	56,592
3138WQNS7	FNMA	3.50	10/16/2031	46,126	47,005
3138WQNW8	FNMA	3.50	7/5/2031	593,212	597,731
3138WQNX6	FNMA	3.50	8/15/2031	196,812	200,576
3138WVBY6	FNMA	2.50	10/13/2021	46,134	46,460
3138X0QR2	FNMA	2.50	9/28/2021	981,432	988,303
3138X1ZV1	FNMA	3.00	5/10/2031	1,244,643	1,217,036
3138X3EQ1	FNMA	3.50	8/21/2031	1,919,840	1,957,118
3138X76Z1	FNMA	2.50	11/4/2021	3,304,852	3,327,991
31391YV87	FNMA	6.00	5/21/2025	1,280	1,415
31393QDY5	FHLMC	5.50	12/22/2013	574,961	582,741
31397BRY9	FHLMC_3221	5.00	11/20/2013	230,264	230,841
31400JM55	FNMA	5.50	6/29/2025	862	954
31400QJ87	FNMA	2.40	4/13/2024	19,230	20,614
31402DCV0	FNMA	5.00	2/17/2026	21,234	23,045
31402GP98	FNMA	5.00	6/26/2025	4,938	5,444
31402LQU9	FNMA	5.00	6/26/2025	31,485	34,393
31402QXK2	FNMA	8.50	9/8/2024	378,478	431,556
31402RF87	FNMA	5.00	10/14/2026	2,854,759	3,098,253
31402RSN0	FNMA	5.00	1/17/2027	1,879,988	2,034,467
31402YSV7	FNMA	2.63	8/23/2024	20,146	21,601
31403DC56	FNMA	4.50	8/14/2017	1,116,729	1,186,101
31403DC72	FNMA	4.50	7/27/2017	907,715	964,103
31403DJG5	FNMA	5.50	5/4/2026	12,510	13,760
31403KDB6	FNMA	2.32	9/10/2024	10,350	10,759
31404BPJ5	FNMA	4.00	6/21/2025	287,292	301,794
31404DG28	FNMA	5.00	12/10/2025	6,535	7,092
31404MAB4	FNMA	5.50	1/18/2026	5,538	6,092
31404NBP0	FNMA	2.51	6/8/2025	92,164	96,784
31404NHA7	FNMA	5.00	1/26/2026	35,003	37,989
31404SFP5	FNMA	5.50	1/27/2026	3,980	4,400
31405NQY4	FNMA	6.00	7/15/2026	12,027	13,289
31405QNR5	FNMA	5.50	6/7/2026	571	631
31405UMM8	FNMA	2.43	3/17/2025	102,532	108,673
31405UTZ2	FNMA	2.47	4/10/2025	24,197	25,584
31406BB90	FNMA	2.49	5/18/2025	144,229	151,977
31406BEZ9	FNMA	2.51	5/3/2025	129,535	137,396
31406BJF8	FNMA	2.46	5/15/2025	142,960	152,950

31406BQQ6	FNMA	2.46	5/14/2025	186,828	196,737
31406DG67	FNMA	2.72	5/14/2025	595,043	621,027
31406EDN1	FNMA	5.00	6/29/2026	12,277	13,382
31406HLF2	FNMA	6.00	11/30/2026	102,740	112,343
31406MYP5	FNMA	2.26	5/22/2025	248,466	262,310
31406RNA9	FNMA	6.00	5/16/2027	2,763	3,021
31406TLC3	FNMA	2.69	8/8/2025	283,886	301,566
31406TWR8	FNMA	1.84	2/21/2025	829,010	863,976
31406VHE9	FNMA	2.47	7/26/2025	155,040	164,304
31406YZV5	FNMA	5.00	12/1/2026	25,312	27,392
31407CE29	FNMA	5.50	2/17/2027	726	802
31407FG53	FNMA	5.50	1/11/2027	1,199	1,324
31407FUW8	FNMA	2.35	9/2/2025	2,835,607	2,938,113
31407VS22	FNMA	5.00	1/3/2027	19,441	21,038
31407VS89	FNMA	5.00	12/22/2026	31,034	33,584
31408AG53	FNMA	6.00	8/2/2027	17,323	19,022
31408FYG8	FNMA	6.00	7/12/2027	2,962	3,230
31408GFA0	FNMA	6.00	6/5/2027	236,459	258,562
31408JD32	FNMA	5.00	5/4/2027	865,121	936,208
31409A5P0	FNMA	6.00	8/21/2027	68,036	74,708
31409AYE3	FNMA	6.00	9/7/2027	163,774	179,835
31409CRY3	FNMA	6.00	7/25/2027	150,522	165,283
31409GML7	FNMA	6.50	1/21/2028	477,551	528,543
31409JVL1	FNMA	6.00	11/8/2027	878,942	958,668
31409UB38	FNMA	6.00	9/4/2027	17,604	19,201
31409VYW7	FNMA	6.00	9/14/2027	35,679	39,178
31409WAE1	FNMA	6.00	9/7/2027	280,967	306,407
31410CJV5	FNMA	6.00	10/1/2027	14,286	15,291
31410FUS2	FNMA	5.50	2/7/2028	40,013	43,496
31410FVW2	FNMA	5.50	3/17/2028	2,739	2,978
31410GD83	FNMA	2.44	1/30/2025	47,815	51,570
31410GDF7	FNMA	1.83	6/6/2024	207,042	221,116
31410GDL4	FNMA	2.39	8/7/2025	802,359	837,495
31410GDN0	FNMA	2.34	7/30/2024	135,946	143,130
31410GDP5	FNMA	2.38	10/10/2025	1,917,814	2,021,311
31410GDY6	FNMA	2.53	8/29/2025	51,941	55,668
31410KDC5	FNMA	5.00	11/25/2028	24,741	26,763
31410KEM2	FNMA	5.50	1/18/2029	2,277,172	2,474,768
31410KLD4	FNMA	5.50	1/20/2029	377,634	410,473
31410KMQ4	FNMA	5.50	2/7/2029	195,654	212,668
31410KNA8	FNMA	5.50	3/13/2029	81,347	88,421
31410KS47	FNMA	5.50	4/19/2027	5,727	6,299
31410KU36	FNMA	5.00	2/11/2029	13,846	14,978
31410KX74	FNMA	5.50	10/22/2027	2,984,101	3,276,929
31410LBU5	FNMA	4.00	4/23/2020	1,115,268	1,184,542
31410LC91	FNMA	5.50	1/25/2031	1,515,444	1,647,228
31410MMX5	FNMA	6.00	9/21/2027	242,158	265,906
31410NT24	FNMA	6.00	11/18/2027	18,000	19,652
31410QR86	FNMA	5.50	1/25/2028	102,932	111,893
31410RDL0	FNMA	6.00	1/12/2028	24,988	27,254
31411A5M3	FNMA	5.50	2/13/2028	6,157,030	6,693,040
31411A7C3	FNMA	5.50	2/20/2028	1,718,034	1,867,600
31411E2F3	FNMA	5.50	3/16/2028	10,470	11,382
31411EFN2	FNMA	5.50	2/16/2028	192,757	209,538
31411KLN1	FNMA	5.50	4/14/2028	147,078	159,840
31411NUT2	FNMA	5.50	1/23/2028	142,057	154,383
31411VMN6	FNMA	5.50	3/10/2028	4,858,717	5,280,319
31412DXY9	FNMA	5.50	3/4/2028	19,567	21,271
31412ESY3	FNMA	6.00	4/27/2028	31,753	34,866
31412HXU8	FNMA	6.00	7/27/2029	164,307	179,150
31412MYZ5	FNMA	5.50	1/21/2029	189,630	206,120
31412N3V6	FNMA	4.50	2/1/2029	190,980	203,835
31412N6G6	FNMA	4.50	2/11/2029	41,520	44,765
31412NXE1	FNMA	5.00	7/7/2029	1,360,214	1,506,238
31412NZ33	FNMA	5.00	5/5/2029	46,084	50,685

31412PA50	FNMA	4.50	2/10/2029	176,932	188,842
31412PBJ9	FNMA	4.50	6/20/2019	11,699,607	12,427,572
31412PBN0	FNMA	4.00	12/2/2028	244,720	256,597
31412PP88	FNMA	5.00	6/15/2029	131,010	144,519
31412PR60	FNMA	4.50	3/27/2029	183,003	195,322
31412PRN3	FNMA	4.00	7/13/2019	2,012,952	2,137,984
31412PXF3	FNMA	4.50	4/15/2029	72,802	78,877
31412Q2V0	FNMA	4.50	9/28/2029	2,458,649	2,663,814
31412QE70	FNMA	5.00	9/4/2029	3,093,321	3,423,294
31412QKA6	FNMA	4.00	9/24/2019	31,248	33,189
31412QPN3	FNMA	5.50	11/13/2028	457,197	496,869
31412QPQ6	FNMA	6.00	7/29/2027	1,002,784	1,096,519
31412RAP2	FNMA	4.00	8/24/2026	9,337	9,787
31412RG76	FNMA	4.00	1/24/2020	1,925,707	2,053,469
31412RGG6	FNMA	5.00	2/23/2030	300,909	333,024
31412RL54	FNMA	4.00	1/19/2030	2,237,569	2,346,661
31412RL62	FNMA	4.00	1/20/2030	584,604	613,106
31412RNY9	FNMA	4.00	2/18/2030	67,327	70,598
31412TM26	FNMA	5.50	2/15/2029	1,790,965	1,951,660
31412UEQ9	FNMA	4.50	6/24/2029	340,584	367,891
31412UH37	FNMA	5.00	5/10/2029	790,024	856,391
31412URR3	FNMA	4.00	8/16/2019	2,452,047	2,604,354
31413BTW1	FNMA	5.50	5/30/2028	823,859	895,347
31413CLH0	FNMA	6.00	8/9/2028	927,524	1,018,457
31413HKW7	FNMA	6.00	10/4/2028	6,958	7,587
31413NY66	FNMA	6.00	11/1/2028	758,811	831,473
31413R2P0	FNMA	6.00	1/11/2029	1,083,539	1,189,767
31413TWV0	FNMA	5.50	11/3/2028	114,946	124,920
31413UKQ1	FNMA	6.50	12/27/2028	446,213	493,733
31414ANH1	FNMA	5.50	11/1/2028	200,307	217,688
31414GGE3	FNMA	4.50	6/28/2028	59,798	63,783
31414HZ67	FNMA	5.50	10/1/2028	65,269	70,933
31414NCH5	FNMA	6.00	10/8/2029	984,766	1,081,074
31414NH31	FNMA	5.00	7/1/2029	1,435,407	1,588,526
31414NH49	FNMA	5.00	6/30/2029	1,436,005	1,584,079
31414SL27	FNMA	5.00	10/24/2028	227,134	245,695
31414SX81	FNMA	5.50	1/28/2029	189,814	206,320
31414SZC0	FNMA	5.50	2/3/2029	293,916	319,417
31415AZ79	FNMA	5.00	11/26/2028	13,288	14,374
31415BCQ0	FNMA	5.50	3/27/2029	111,130	121,364
31415P3Y2	FNMA	5.50	2/1/2026	2,990	3,284
31415SPY2	FNMA	6.00	10/11/2029	90,796	98,998
31415SRP9	FNMA	5.50	5/29/2029	92,647	100,703
31415WA60	FNMA	4.50	3/12/2029	34,755	37,542
31415YLZ0	FNMA	4.00	8/18/2019	719,059	763,723
31416AQ29	FNMA	4.00	8/17/2019	144,843	153,840
31416B3Y2	FNMA	4.50	3/18/2029	235,753	251,622
31416BMK1	FNMA	5.00	9/21/2028	216,766	234,544
31416BRU4	FNMA	6.00	6/28/2028	505,454	552,701
31416BS90	FNMA	4.50	12/26/2028	647,735	690,896
31416BTB4	FNMA	5.00	3/1/2027	610,899	661,096
31416JZM6	FNMA	5.00	4/26/2029	1,529,862	1,674,444
31416LR57	FNMA	4.50	2/18/2029	71,072	75,856
31416M5A8	FNMA	5.00	5/11/2029	800,456	871,116
31416MLA0	FNMA	4.50	5/22/2029	14,373	15,496
31416MTR5	FNMA	5.00	7/30/2029	19,844	21,511
31416MVP6	FNMA	4.50	3/9/2029	47,949	51,696
31416N5T5	FNMA	4.50	4/21/2029	139,647	150,559
31416NC42	FNMA	4.50	3/15/2029	7,632,869	8,146,640
31416NRD6	FNMA	4.50	4/25/2029	13,156	14,184
31416QJZ9	FNMA	5.00	7/4/2029	64,416	71,287
31416QMS1	FNMA	4.00	7/29/2019	472,234	501,566
31416RSJ3	FNMA	4.00	3/20/2029	104,711	109,793
31416S6B2	FNMA	4.50	5/8/2029	84,978	92,069
31416SD40	FNMA	4.50	5/14/2029	77,985	84,492

31416SED9	FNMA	5.00	8/20/2029	58,023	64,216
31416SLC3	FNMA	4.50	5/24/2029	81,170	87,943
31416T5T2	FNMA	4.50	6/3/2029	777,715	830,063
31416TAG4	FNMA	4.50	5/14/2029	122,867	133,119
31416TAL3	FNMA	5.00	8/14/2029	62,022	68,638
31416TE47	FNMA	4.50	6/3/2029	77,185	83,216
31416TEE5	FNMA	4.50	6/5/2029	110,787	120,032
31416TEF2	FNMA	4.50	5/29/2029	71,877	77,494
31416TKG3	FNMA	5.00	7/11/2029	74,616	82,580
31416WD66	FNMA	5.00	3/15/2030	556,351	615,729
31416WFG2	FNMA	4.00	2/9/2020	11,900	12,641
31416XJ92	FNMA	4.00	2/8/2030	312,934	328,191
31416XKB5	FNMA	4.00	2/9/2030	117,560	123,292
31416XYZ7	FNMA	4.00	4/3/2030	625,330	655,897
31416Y3T3	FNMA	4.00	9/11/2030	1,567,790	1,646,201
31416Y6N3	FNMA	4.00	9/21/2030	1,930,700	2,025,078
31416YDN5	FNMA	4.00	5/1/2030	24,261	25,447
31416YLM8	FNMA	4.50	9/1/2030	1,113,708	1,191,334
31416YVF2	FNMA	4.50	10/13/2030	5,485,015	5,867,323
31417ASC4	FNMA	4.00	9/21/2030	187,756	196,934
31417ASD2	FNMA	4.00	9/21/2030	953,925	1,000,556
31417C3Q6	FNMA	3.00	9/16/2030	2,562,848	2,507,121
31417CDE2	FNMA	3.50	11/22/2030	1,464,631	1,492,546
31417CQQ1	FNMA	3.00	9/4/2030	116,421	113,854
31417CQS7	FNMA	3.00	9/8/2030	61,765	60,422
31417CSH9	FNMA	3.00	9/4/2030	1,965,225	1,921,901
31417CSM8	FNMA	3.00	9/4/2030	1,223,906	1,197,293
31417CVV4	FNMA	4.00	6/24/2031	241,925	253,789
31417D4F7	FNMA	3.00	10/27/2030	827,160	808,925
31417D4G5	FNMA	3.00	10/28/2030	1,597,098	1,562,370
31417DRG0	FNMA	3.50	2/20/2031	2,629,422	2,679,269
31417ECE9	FNMA	3.00	10/27/2030	1,666,080	1,629,350
31417ECF6	FNMA	3.00	10/25/2030	1,686,982	1,649,792
31417ECL3	FNMA	3.00	10/24/2030	669,115	654,566
31417ECT6	FNMA	3.00	11/7/2030	226,197	221,279
31417EH20	FNMA	2.50	6/7/2021	2,788,980	2,808,454
31417EHE4	FNMA	3.00	10/24/2030	1,049,774	1,026,947
31417EJE2	FNMA	3.00	11/9/2030	1,599,411	1,564,633
31417EMX6	FNMA	3.00	11/13/2030	1,651,285	1,615,379
31417ENK3	FNMA	3.00	11/27/2030	330,153	322,974
31417ET35	FNMA	3.00	12/5/2030	810,681	793,282
31417ET43	FNMA	3.00	12/2/2030	1,277,480	1,250,062
31417GF35	FNMA	3.00	3/3/2031	984,499	962,662
31417J2B5	FNMA	5.00	10/4/2029	37,075	41,032
31417JSB7	FNMA	4.50	6/9/2029	26,921	29,083
31417KUM7	FNMA	4.00	3/26/2029	92,935	97,446
31417KXH5	FNMA	4.50	5/29/2029	2,522,269	2,724,503
31417LBJ3	FNMA	4.50	6/11/2029	994,708	1,061,662
31417LLX1	FNMA	5.00	8/16/2029	87,120	96,413
31417M2V4	FNMA	4.50	7/25/2029	48,082	51,937
31417M2W2	FNMA	4.50	7/26/2029	9,273	9,998
31417MFB4	FNMA	4.50	6/5/2029	155,848	168,026
31417MPN7	FNMA	5.00	9/22/2029	64,311	71,175
31417MQT3	FNMA	5.00	10/14/2029	50,305	55,675
31417MTC7	FNMA	4.50	6/22/2029	366,959	396,382
31417MVC4	FNMA	4.50	7/15/2029	334,624	361,454
31417MYL1	FNMA	4.50	8/8/2029	1,991,571	2,125,625
31417QS62	FNMA	4.00	10/8/2019	10,107	10,735
31417SYT1	FNMA	4.50	8/3/2029	67,569	72,849
31417UXN0	FNMA	4.00	12/17/2019	52,480	55,751
31417VJS3	FNMA	4.50	8/22/2029	11,060	11,949
31417VQR7	FNMA	4.00	6/20/2029	395,066	414,327
31417VQT3	FNMA	4.50	10/14/2029	1,331,150	1,437,881
31417VYY3	FNMA	4.00	12/17/2019	137,880	146,474
31417Y3H8	FNMA	4.00	9/26/2020	833,254	885,390

31417Y6F9	FNMA	4.00	9/22/2030	44,610	46,790
31417YF44	FNMA	4.00	3/29/2029	43,235	45,334
31417YTT4	FNMA	4.00	1/12/2030	242,210	254,019
31417YUH8	FNMA	4.00	10/28/2029	261,668	274,426
31417YVG9	FNMA	4.00	2/5/2030	240,994	252,744
31417YW37	FNMA	4.00	3/18/2030	235,058	246,548
31417YX51	FNMA	4.00	5/9/2030	305,434	320,365
31417YXX0	FNMA	4.50	5/5/2030	1,309,947	1,401,251
31418AEA2	FNMA	4.00	1/2/2031	320,855	336,590
31418AGR3	FNMA	3.50	5/12/2024	2,097,559	2,179,436
31418AKQ0	FNMA	4.00	6/28/2031	412,582	432,815
31418ALS5	FNMA	3.50	2/11/2031	2,609,082	2,658,544
31418AM96	FNMA	3.50	3/24/2031	2,103,060	2,143,191
31418AQ35	FNMA	3.50	6/3/2031	44,301	44,638
31418AR26	FNMA	3.50	7/3/2031	254,360	256,298
31418MRL8	FNMA	5.50	6/29/2028	13,801,193	15,055,563
31418MSR4	FNMA	5.50	11/13/2029	291,779	317,152
31418MT93	FNMA	4.50	10/17/2029	1,109,539	1,184,222
31418MUL4	FNMA	4.50	9/1/2029	523,182	564,064
31418PCP8	FNMA	5.00	6/14/2030	189,670	206,499
31418RHE4	FNMA	4.00	1/21/2020	184,224	195,706
31418SJB6	FNMA	4.00	1/22/2020	14,546	15,452
31418UCZ5	FNMA	4.00	2/8/2020	77,819	82,669
31418UVY7	FNMA	4.00	2/26/2020	155,263	164,940
31418UYE8	FNMA	4.00	1/22/2029	20,186	21,214
31418VQY1	FNMA	4.00	12/2/2029	70,679	74,125
31418W6Y1	FNMA	5.00	5/18/2030	330,905	359,716
31418W7J3	FNMA	5.00	5/22/2030	269,779	291,912
31418XF52	FNMA	4.50	3/4/2030	6,861,508	7,333,903
31419AG27	FNMA	4.00	12/3/2029	20,159	21,141
31419ANB9	FNMA	4.00	1/4/2030	107,036	112,254
31419ANK9	FNMA	5.50	2/9/2030	433,972	471,710
31419AQ83	FNMA	4.00	2/3/2030	9,257,379	9,708,723
31419BBT1	FNMA	4.00	3/7/2030	3,912,037	4,102,768
31419BW68	FNMA	4.00	12/4/2029	98,863	103,683
31419DJY8	FNMA	4.00	3/28/2020	2,561,456	2,721,108
31419DLW9	FNMA	4.00	12/16/2029	108,414	113,700
31419E6N4	FNMA	4.00	3/27/2030	1,461,802	1,533,259
31419ED71	FNMA	4.00	1/30/2030	281,996	295,745
31419EK40	FNMA	4.00	2/3/2030	103,085	108,221
31419ESN0	FNMA	4.00	1/28/2030	1,356,677	1,422,822
31419EU80	FNMA	5.00	5/22/2030	232,270	254,737
31419EW70	FNMA	4.00	1/14/2030	165,276	173,334
31419FCP9	FNMA	4.00	9/25/2020	1,095,552	1,164,100
31419FEM4	FNMA	4.50	4/2/2030	1,594,697	1,704,487
31419FFW1	FNMA	4.00	1/15/2030	52,259	54,806
31419FSH0	FNMA	4.00	6/8/2020	35,003	37,185
31419FVA1	FNMA	4.00	1/19/2030	531,607	557,526
31419FVW3	FNMA	4.00	1/9/2030	46,736	49,015
31419G2T0	FNMA	4.00	1/2/2030	25,568	26,815
31419GB94	FNMA	4.00	1/14/2030	356,665	374,054
31419GJA3	FNMA	4.00	12/25/2029	206,719	216,798
31419H6Y3	FNMA	4.00	12/30/2029	37,462	39,288
31419HBS0	FNMA	4.00	12/28/2029	105,506	110,650
31419HC67	FNMA	4.00	3/7/2030	1,398,767	1,467,143
31419HKN1	FNMA	4.00	12/26/2029	213,252	223,650
31419HVP4	FNMA	4.00	1/14/2030	144,108	151,134
31419JEA2	FNMA	4.00	1/25/2030	229,138	240,310
31419JLP1	FNMA	4.00	12/20/2029	113,990	119,548
31419KR49	FNMA	4.00	1/1/2030	47,664	49,988
31419L5A7	FNMA	4.00	1/6/2030	993,583	1,042,252
31419LZ63	FNMA	4.00	1/10/2030	73,178	76,746
31419LZZ9	FNMA	4.00	12/23/2029	272,656	285,950
36176ABB4	GNMA	3.50	5/12/2030	230,046	236,795
36176FUE6	GNMA	3.50	8/16/2030	107,227	110,373

36176MA29	GNMA	4.00	7/12/2030	289,747	306,070
36176QLG7	GNMA	2.50	3/23/2021	1,686,069	1,717,243
36176QPR9	GNMA	3.50	5/12/2030	473,491	487,382
36176R7D8	GNMA	3.50	5/12/2030	863,901	889,253
36176V5Q2	GNMA	3.50	9/7/2030	37,562	38,664
36176WGG0	GNMA	3.50	7/5/2030	1,057,962	1,089,000
36176XCT4	GNMA	3.50	8/16/2030	1,187,922	1,222,773
36176XEZ8	GNMA	2.50	12/27/2020	521,260	530,876
36177NXQ8	GNMA	3.50	9/7/2030	325,097	334,635
36177R5R8	GNMA	3.50	9/7/2030	1,301,013	1,339,193
36177RXF3	GNMA	3.50	7/26/2030	2,980,531	3,067,974
36177S3E7	GNMA	3.50	8/16/2030	1,856,777	1,911,252
36177X2H0	GNMA	2.50	2/1/2021	1,257,573	1,280,771
36177YR32	GNMA	2.50	2/18/2021	756,521	770,476
36178CHK2	GNMA	3.00	9/26/2030	4,487,533	4,433,026
36178GHC1	GNMA	2.50	3/6/2021	420,112	427,862
36178NB99	GNMA	2.50	2/24/2021	8,520,566	8,677,743
36178QYX4	GNMA	3.00	10/1/2030	181,599	179,399
36178TPE0	GNMA	4.00	8/1/2031	75,610	79,886
36179A3K0	GNMA	3.00	9/26/2030	9,382,581	9,268,616
36179MC32	GNMA	4.50	8/9/2031	149,375	161,261
36179ME48	GNMA	4.00	5/10/2031	400,262	424,519
36179MG79	GNMA	4.50	9/23/2031	581,880	628,181
36179MNG1	GNMA	3.00	8/29/2030	939,849	931,086
36179MNK2	GNMA	4.50	8/29/2031	1,828,729	1,974,246
36179MQN3	GNMA	3.00	9/18/2030	473,181	468,769
36179MQP8	GNMA	3.50	4/9/2031	908,769	937,993
36179MSZ4	GNMA	4.50	10/11/2031	78,333	84,566
36179MVQ0	GNMA	2.50	7/28/2030	58,361	54,392
36179MVR8	GNMA	3.00	1/21/2031	959,638	950,690
36179MVU1	GNMA	4.50	10/27/2031	713,953	770,764
36179NA99	GNMA	2.50	12/8/2030	394,363	367,526
36180MYG6	GNMA	3.00	12/4/2030	981,650	972,482
36202F2N5	GNMA	4.50	2/17/2031	1,303,755	1,407,498
36202F4R4	GNMA	4.00	11/24/2030	10,822,360	11,478,231
36202F4S2	GNMA	4.50	6/25/2031	1,380,449	1,490,295
36202FSE7	GNMA	4.50	7/26/2030	360,675	389,375
36202FXC5	GNMA	4.50	11/5/2030	328,361	354,490
36202FZY5	GNMA	4.00	9/20/2030	1,682,033	1,783,075
36202FZZ2	GNMA	4.50	1/22/2031	1,859,615	2,007,589
36206XC43	GNMA	7.00	7/5/2024	875	1,017
3620A9SW2	GNMA	4.50	4/5/2029	366,672	394,523
3620ARBK6	GNMA	5.50	9/12/2028	422,675	463,990
3620ASLM9	GNMA	4.00	6/21/2030	568,297	600,313
3620C04Y1	GNMA	4.50	2/11/2030	1,211,304	1,310,272
3620C1WV4	GNMA	3.50	7/26/2030	2,977,654	3,065,013
36210B5G6	GNMA	5.00	6/23/2029	581,036	634,601
36212PPP1	GNMA	7.00	6/13/2024	8,581	9,972
36212U5G2	GNMA	7.00	7/5/2024	8,136	9,455
36213FZX4	GNMA	4.00	11/18/2030	8,838,272	9,349,383
36213HGU7	GNMA	7.00	5/22/2024	1,566	1,820
36225DM43	GNMA	1.63	3/9/2025	8,416,912	8,782,264
36230PCQ1	GNMA	2.50	12/10/2020	1,079,831	1,099,750
36230PCY4	GNMA	3.50	4/2/2030	258,755	266,346
36230RVV5	GNMA	3.50	10/11/2029	13,833,836	14,264,874
36241KL71	GNMA	5.50	4/6/2028	92,411	101,032
36241KWJ3	GNMA	6.00	7/9/2029	623,238	688,904
36241KZ68	GNMA	5.00	5/10/2029	306,381	333,973
36241LG59	GNMA	5.50	5/25/2030	471,045	514,663
36241LY91	GNMA	3.50	5/25/2030	323,528	333,019
36291YJZ1	GNMA	6.00	12/3/2027	4,665	5,160
36296QL49	GNMA	5.00	6/1/2029	921,213	1,006,139
36296QRY7	GNMA	5.00	6/23/2029	778,756	850,549
36297FYL0	GNMA	4.50	4/25/2029	74,687	80,360
				822,029,618	859,685,947

Non Agency RMBS
05948X6X4	BANK OF AMERICA MTG SEC	4.75	12/5/2015	1,597,359	1,635,551
12667FFN0	CWALT_04-J4	0.76	3/28/2017	6,745,743	6,386,256
16162WLM9	CHASE	5.50	2/26/2018	5,833,655	5,856,273
161630AC2	CHASE	2.82	6/25/2018	7,393,704	7,362,103
161630AN8	CHASE	2.82	4/29/2019	2,018,426	1,897,593
161630AQ1	CHASE	2.72	11/7/2017	1,592,158	1,563,969
1729733P2	CMSI	5.00	2/14/2015	3,498,211	3,528,303
38741YCA5	GRANITE MASTER ISSUER PLC GRAN	0.26	9/19/2016	2,056,853	2,016,641
449670EQ7	IMC HOME EQUITY LOAN TRUST	6.84	1/19/2022	63,246	62,607
46630GAA3	JP MORGAN MORTGAGE TRUST JPMMT	2.82	2/6/2018	4,387,999	4,347,893
46630GAD7	JP MORGAN MORTGAGE TRUST JPMMT	2.84	8/30/2018	1,528,766	1,484,020
46630GAN5	JPMMT_07-A1	2.74	6/14/2018	1,000,250	1,004,678
46630GAS4	JP MORGAN MORTGAGE TRUST JPMMT	2.91	12/25/2018	4,666,407	4,673,831
525170BL9	LABS	5.00	8/11/2017	5,612,202	5,653,390
576433QQ2	MARM_04-8	1.69	4/3/2019	1,208,804	1,073,936
589929W53	MLMI	2.52	8/26/2020	129,911	129,057
62889EAA3	NGN_11-R3	0.58	6/13/2016	1,198,434	1,199,932
76110H2P3	RES ASSET SEC	3.05	9/12/2019	1,056,646	670,282
76110HHG7	RFMSI_03-Q16	5.00	7/27/2015	3,152,678	3,229,083
863579KY3	SARM	2.56	3/23/2020	2,194,900	2,007,918
86359BGD7	SASC_04-15	2.59	6/8/2018	108,049	108,356
86359BVE8	SASC_04-15	2.51	4/20/2018	7,805,775	7,867,027
92922F4P0	WAMU	0.96	7/28/2020	4,686,990	4,548,996
92922FB49	WASHINGTON MUTUAL	0.55	9/20/2018	294,001	272,488
92922FZF8	WAMU_04-A12	0.58	7/20/2018	5,362,815	4,763,247
949781AA6	WFMBS	2.61	1/25/2019	2,441,770	2,434,376
94982BAG5	WFMBS	2.65	6/8/2018	3,031,490	3,042,042
				80,667,243	78,819,848
Non Agency High Yield Mandate
02148JAF4	CWALT_06-39CB	0.78	8/21/2019	1,610,217	1,044,268
02660UAE0	AHMA_06-3	1.09	9/25/2026	9,488,972	6,700,922
07384MWF5	BSARM_04-10	2.86	8/9/2020	18,867	18,437
12513XAH5	CITIGROUP/DEUTSCHE BANK COMMER	5.57	2/16/2016	16,450,000	14,802,302
12667GES8	CWALT_05-9CB	6.00	9/2/2019	8,422,550	6,307,808
12668AV36	CWALT_05-73CB	5.75	3/13/2019	4,834,001	4,232,897
14986DAJ9	CITIGROUP/DEUTSCHE BANK COMMER	5.69	2/19/2020	5,250,000	4,782,645
20047EAJ1	COMM	5.38	12/12/2016	9,685,300	9,121,577
22541QUJ9	CS FIRST BOSTON MORTGAGE SECUR	2.79	5/16/2023	113,724	110,953
2254582H0	CSFB_05-8	7.00	12/25/2021	3,364,394	2,467,625
22545LAH2	CREDIT SUISSE MORTGAGE CAPITAL	5.37	11/30/2016	14,400,000	12,268,613
232434AE0	CWALT_06-OC8	0.43	5/28/2028	18,803,817	7,145,093
23245GAD3	CWALT_06-OC9	0.43	7/20/2023	4,650,618	1,839,491
25151AAG6	DBALT	0.46	5/17/2021	12,491,959	7,241,451
40431HAJ6	HALO	0.48	1/22/2020	4,223,735	1,325,915
456687AC6	INDX_07-FL4	0.36	1/2/2019	2,555,262	2,138,266
45668WAC1	INX	0.43	1/16/2025	5,000,000	2,350,205
46625YA37	JPMCC	5.68	5/13/2029	4,900,000	4,686,904
46629YAH2	JP MORGAN CHASE COMMERICAL MOR	5.50	2/26/2017	8,005,154	7,281,888
466306AA5	JPALT_08-R2	6.00	3/27/2020	3,381,782	2,620,063
525221HA8	LXS	0.44	6/18/2024	3,399,417	2,312,413
52524HAJ9	LXS	0.90	1/10/2017	2,342,219	1,854,035
55027WAA0	LUM_07-2	0.41	9/13/2021	3,368,981	2,041,215
55027XAA8	LUM_06-5	0.37	4/4/2022	5,858,124	3,679,868
55312VAK4	MLCFC_06-4	5.24	11/28/2016	4,871,500	4,705,421
55312YBD3	MERRIL LYNCH COUNTRYWIDE	0.70	12/27/2017	78,431,761	1,278,438
761118QM3	RALI	1.15	7/2/2022	3,605,366	2,393,040
863579J90	SARM	2.49	10/12/2019	8,759,954	6,323,697
86359LQM4	STRUCTURED ASSET MORTGAGE INV	2.30	3/3/2022	3,137,448	2,246,774
92977QAH1	WBCMT	5.83	7/30/2016	17,109,886	15,793,451
92978MAJ5	WBCMT_06-C28	5.63	10/17/2016	15,600,000	13,976,758
92978PAJ8	WACHOVIA BANK COMMERCIAL MORTG	5.37	12/15/2016	11,270,000	10,261,707
93934FMA7	WASHINGTON MUTUAL MORTGAGE PAS	0.78	12/13/2018	4,921,801	3,487,652
93936RAA2	WAL	0.99	7/29/2024	7,209,023	5,346,543
				307,535,830	174,188,334

CMBS
055236AA1	BAMLL_11-07C1	5.38	5/17/2015	6,073,644	6,534,756
059500AD0	BACM	5.89	3/23/2015	14,500,000	15,915,490
05950EAE8	BACM	5.73	12/11/2015	8,615,000	9,445,916
05950WAF5	BANC OF AMERICA	5.63	3/23/2015	1,000,000	1,096,490
059511AF2	BACM_07-2	5.74	6/26/2015	1,558,112	1,707,581
059511AH8	BACM	5.80	10/10/2018	2,550,000	2,804,184
059512AB9	BACM_07-3	5.86	11/18/2013	57,295	57,272
059512AQ6	BACM_07-3	0.35	12/25/2013	57,295	57,208
07387BEB5	BSCMS	5.41	4/29/2015	2,500,000	2,670,050
07388NAE6	BEAR STEARNS COMMERCIAL MORTGA	5.54	5/27/2015	3,520,000	3,876,400
07388PAE1	BSCMS	5.20	10/6/2015	7,480,000	8,220,146
07388QAC3	BSCMS_07-PW17	5.74	3/10/2015	1,024,288	1,055,928
12513EAG9	CD_07-CD4	5.39	5/30/2015	800,000	852,808
12513YAC4	CD_07-CD4	5.21	11/11/2013	233,136	233,290
12513YAF7	CD_07-CD4	5.32	8/13/2016	2,800,000	3,095,260
126192AE3	COMM_12-LC4	4.06	1/25/2022	1,000,000	1,019,540
12622DAA2	COMM_10-C1	3.16	5/20/2015	8,991,282	9,289,433
12624XAC2	COMM_13-CR6	2.62	8/14/2020	750,000	728,813
17310MAE0	CITIGROUP	5.43	1/5/2016	2,026,000	2,230,160
17318UAD6	CITIGROUP COMMERCIAL MORTGAGE	3.02	6/10/2022	500,000	480,540
17320DAG3	CGCMT_13-GC11	3.09	2/10/2023	8,200,000	7,820,340
17321JAJ3	CGCMT_13-GC15	1.31	11/5/2018	23,855,000	1,824,908
190749AE1	CWCAPITAL COBALT	5.22	10/8/2015	5,000,000	5,424,050
20047QAE5	COMM	5.95	2/22/2015	4,000,000	4,377,400
20173QAE1	GCCFC	5.44	6/28/2017	5,000,000	5,532,300
225458DM7	CSFB	5.01	6/3/2014	947,944	981,330
22545DAD9	CREDIT SUISSE MORTGAGE CAPITAL	5.99	2/28/2015	4,948,295	5,413,831
22545RAB2	CSMC	0.35	4/2/2014	495,440	493,348
22545YAE1	CSMC_07-C2	5.53	7/1/2015	4,582,873	4,936,762
233050AN3	DBUBS_11-LC1	3.74	12/21/2015	487,078	512,635
23305XAD3	DBUBS_11-LC2A	4.54	3/21/2021	600,000	645,108
23306AAA8	DBRR_12-EZ1	0.95	4/23/2014	3,602,282	3,600,625
3136A56W1	FNMA	2.98	8/18/2017	1,700,000	1,680,596
3136A7MJ8	FNMA_12-M8	1.52	6/13/2015	2,000,000	1,989,196
3136A7MK5	FNMA_12-M8	1.80	3/27/2018	2,100,000	2,068,500
3136A9MN5	FNMA	2.30	9/13/2017	200,000	185,219
3136AEGQ4	FNMA_13-M7	2.28	10/11/2017	10,200,000	9,387,142
3137ARPY6	FHMS_19-K710	1.88	3/25/2019	10,700,000	10,529,132
3137ATRW4	FHLMC	2.37	4/5/2022	10,000,000	9,422,100
3137B2HN3	FHLMC_13-HN	3.11	1/11/2023	24,000,000	23,755,200
36191YAY4	GSMS_11-GC5	1.47	12/20/2014	691,831	696,805
36192BAA5	GSMSCII_12-GC6	2.36	12/25/2017	14,910,388	1,847,039
36192KAW7	GNMA	2.79	5/14/2018	18,503,698	2,493,059
36197XAK0	GS MORTGAGE SECURITIES TRUST G	3.14	4/25/2023	250,000	238,708
36228CVU4	GSMS CMO	4.75	8/14/2014	410,000	428,093
36228CZW6	GS MORTGAGE SECURITIES CORP	1.46	2/6/2014	4,777,716	4,784,214
36246LAC5	GSMSC_07-GG10	5.99	9/25/2015	1,000,000	1,068,130
46625YSF1	JPMCC_05-LDP3	4.96	9/30/2013	32,415	32,383
46629GAE8	JPMCC	5.55	3/27/2015	13,681,716	15,002,412
46629PAC2	JPMCC	5.34	6/16/2015	1,900,000	2,089,126
46629PAD0	JPMCC_06-LDP9	5.26	6/2/2015	2,910,169	3,120,661
46629PAM0	JPMCC	5.30	10/25/2015	758,145	761,579
46630EAC4	JPMCC	5.43	5/13/2015	1,334,510	1,456,431
46630JAC3	JP MORGAN CHASE COMMERCIAL MOR	5.42	7/3/2016	6,250,000	6,907,437
46635GAA8	JPMCC_2010-C2	2.75	9/16/2015	621,671	640,800
46636VAC0	JPMCC_11-C5	4.17	5/11/2019	1,000,000	1,053,160
46637WAD5	JPMCC_12-CBX	3.48	12/17/2021	1,000,000	994,000
50179MAE1	LBUBS	5.37	2/3/2016	1,500,000	1,649,190
52108MAF0	LBUBS	5.20	6/30/2015	1,450,000	1,543,032
52108MFS7	LBUBS	5.66	1/9/2015	750,000	814,732
55312VAD0	MLCFC_06-4	5.17	6/13/2015	1,900,000	2,073,945
617458AC8	MORGAN STANLEY CAPITAL	3.88	12/30/2015	3,500,000	3,695,160
617459AD4	MORGAN STANLEY CAPITAL I	4.66	3/12/2021	800,000	870,392
61745M5G4	MSC	4.89	9/16/2014	500,000	528,325

61745ML43	MSC	5.27	2/28/2014	1,700,576	1,734,995
61750CAF4	MSC_06-HQ9	5.73	3/11/2015	2,271,084	2,493,083
61750HAE6	MSC_06-HQ10	5.33	5/27/2015	4,250,000	4,659,658
61750WAX1	MSC	5.33	6/2/2015	1,750,000	1,917,510
61761DAB8	MSBAM_12-C6	1.87	9/10/2017	550,000	554,845
62888XAC8	NCUA_10-C1	2.65	4/17/2015	9,345,366	9,640,464
90269CAD2	UBS-BARCLAYS COMMERCIAL MORTGA	3.53	5/10/2022	350,000	346,997
90270YBF5	UBSBCMT_13-C5	3.18	1/25/2023	500,000	479,340
90349DAJ1	COMMERCIAL MORTGAGE PASS-THROU	2.34	3/25/2018	6,641,313	845,658
92890NAU3	WFRBS_12-C10	2.88	11/1/2022	1,000,000	938,720
92930RAF9	WFRBS_12-C9	2.42	7/2/2018	6,497,341	834,973
92935JBC8	WF-RBS_11-C2	4.87	12/15/2020	750,000	824,168
92936TAB8	WF-RBS COMMERCIAL MORTGAGE TRU	3.43	5/15/2022	500,000	495,825
92937EAD6	WF-RBS COMMERCIAL MORTGAGE TRU	3.04	11/15/2022	319,000	304,259
92976BLJ9	WBCMT	0.26	11/15/2013	1,590,686	1,570,079
92976VAF5	WBCMT	5.92	3/30/2016	4,000,000	4,399,440
92977RAD8	WACHOVIA BANK COMMERCIAL MORTG	6.01	3/13/2015	1,250,000	1,378,638
94988HAC5	WFCM_12-LC5	2.92	6/30/2022	325,000	308,097
				312,677,588	260,466,548
Corporate Debt Securities - Financials
001055AH5	AFLAC INC	2.65	2/15/2017	250,000	256,176
00163MAL8	PROLOGIS LP	4.50	8/15/2017	250,000	267,956
002799AL8	ABBEY NATIONAL TREASURY SERVIC	3.05	8/23/2018	3,650,000	3,701,442
00448MAA9	ACHMEA HYPOTHEEKBANK N.V. - LT	3.20	11/3/2014	34,000,000	35,042,440
02005NAB6	ALLY FINANCIAL INC	8.30	2/12/2015	3,375,000	3,636,563
02005NAQ3	ALLY FINANCIAL INC	2.95	7/18/2016	1,750,000	1,760,938
025816AU3	AMERICAN EXPRESS COMPANY	6.80	9/1/2016	250,000	265,000
025816AW9	AMERICAN EXPRESS COMPANY	5.50	9/12/2016	4,000,000	4,444,211
025816BG3	AMERICAN EXPRESS COMPANY	1.55	5/22/2018	5,400,000	5,266,922
0258M0DA4	AMERICAN EXPRESS CREDIT CORPOR	2.75	9/15/2015	11,500,000	11,928,213
0258M0DD8	AMERICAN EXPRESS CREDIT CORPOR	2.38	3/24/2017	500,000	513,239
0258M0DE6	AMERICAN EXPRESS CREDIT CORPOR	1.75	6/12/2015	250,000	254,308
02687QBC1	AMERICAN INTERNATIONAL GROUP I	5.60	10/18/2016	1,250,000	1,395,136
02687QDG0	AMERICAN INTERNATIONAL GROUP I	5.85	1/16/2018	5,250,000	5,975,051
029912BD3	AMERICAN TOWER CORPORATION	4.50	1/15/2018	250,000	263,842
046265AF1	ASTORIA FINANCIAL CORPORATION	5.00	5/19/2017	100,000	105,809
05253JAB7	AUSTRALIA & NEW ZEALAND BANKIN	0.90	2/12/2016	250,000	249,560
05253JAC5	AUSTRALIA & NEW ZEALAND BANKIN	1.45	5/15/2018	300,000	291,193
05348EAM1	AVALONBAY COMMUNITIES INC	5.70	3/15/2017	250,000	279,048
055299AL5	BBVA US SENIOR SA UNIPERSONAL	4.66	10/9/2015	284,000	295,608
05531FAG8	BB&T CORP	3.20	2/16/2016	625,000	654,854
05531FAL7	BB&T CORP	1.60	8/15/2017	9,300,000	9,216,896
05567L7E1	BNP PARIBAS SA	2.38	9/14/2017	500,000	505,378
05567LU54	BNP PARIBAS SA	3.60	2/23/2016	2,870,000	3,019,855
05571AAB1	BPCE SA	2.38	10/4/2013	5,310,000	5,310,292
05572FAA1	BNP PARIBAS COVERED BONDS SA	2.20	11/2/2015	10,400,000	10,675,495
05574LPT9	BNP PARIBAS SA	2.70	8/20/2018	160,000	161,535
05947KAK6	BANCO BRADESCO S.A.	2.36	5/16/2014	1,600,000	1,609,167
060505CS1	BANK OF AMERICA CORP	5.63	10/14/2016	5,000,000	5,550,769
060505DH4	BANK OF AMERICA CORP	6.00	9/1/2017	8,775,000	9,970,112
06050TKN1	BANK OF AMERICA CORP	5.30	3/15/2017	250,000	275,738
06051GEA3	BANK OF AMERICA CORP	6.50	8/1/2016	6,000,000	6,797,593
06051GEB1	BANK OF AMERICA CORP	4.50	4/1/2015	400,000	420,016
06051GED7	BANK OF AMERICA CORP	3.70	9/1/2015	12,100,000	12,653,408
06051GEK1	BANK OF AMERICA CORP	3.75	7/12/2016	250,000	264,379
06366QW86	BANK OF MONTREAL	2.50	1/11/2017	500,000	514,794
06366RHA6	BANK OF MONTREAL	1.40	9/11/2017	300,000	294,999
063679JJ4	BANK OF MONTREAL	2.63	1/25/2016	6,000,000	6,265,320
063679ZT4	BANK OF MONTREAL	1.95	1/30/2017	2,600,000	2,668,302
06406HBN8	BANK OF NEW YORK MELLON CORP/T	3.10	1/15/2015	3,000,000	3,093,129
06406HBX6	BANK OF NEW YORK MELLON CORP/T	2.30	7/28/2016	1,100,000	1,137,378
06406HCC1	BANK OF NEW YORK MELLON CORP/T	1.20	1/20/2015	5,000,000	5,037,151
064149A64	BANK OF NOVA SCOTIA TORONTO BR	3.40	1/22/2015	250,000	258,520
064149C47	BANK OF NOVA SCOTIA TORONTO BR	2.05	10/7/2015	200,000	204,682
064159AL0	BANK OF NOVA SCOTIA TORONTO BR	1.85	1/12/2015	150,000	152,047

064159AM8	BANK OF NOVA SCOTIA TORONTO BR	2.55	1/12/2017	250,000	258,045
064159BA3	BANK OF NOVA SCOTIA TORONTO BR	0.75	10/9/2015	250,000	249,618
064159BE5	BANK OF NOVA SCOTIA TORONTO BR	1.38	12/18/2017	150,000	146,884
064159BV7	BANK OF NOVA SCOTIA TORONTO BR	0.95	3/15/2016	100,000	99,818
06415CAD1	BANK OF NOVA SCOTIA TORONTO BR	1.05	3/20/2015	1,200,000	1,209,708
06415CAE9	BANK OF NOVA SCOTIA TORONTO BR	1.75	3/22/2017	6,000,000	6,111,540
064255AB8	BANK OF TOKYO-MITSUBISHI UFJ L	3.85	1/22/2015	8,000,000	8,276,776
064255AN2	BANK OF TOKYO-MITSUBISHI UFJ L	1.55	9/9/2016	4,600,000	4,620,404
06675EAA8	BANQUE PSA FINANCE	3.38	4/4/2014	850,000	851,082
06739FGF2	BARCLAYS BANK PLC	5.00	9/22/2016	350,000	386,315
06739GBB4	BARCLAYS BANK PLC	3.90	4/7/2015	5,000,000	5,223,399
07385TAJ5	BEAR STEARNS CO INC	5.70	11/15/2014	2,000,000	2,110,956
073902PR3	BEAR STEARNS CO INC	6.40	10/2/2017	3,000,000	3,487,765
073902RU4	BEAR STEARNS CO INC	7.25	2/1/2018	13,800,000	16,544,674
09247XAD3	BLACKROCK INC.	3.50	12/10/2014	250,000	258,970
097014AN4	BOEING CAPITAL CORPORATION	2.13	7/15/2016	150,000	154,943
125577BA3	CIT GROUP INC	5.25	4/1/2014	3,700,000	3,783,250
125581GE2	CIT GROUP INC	4.75	2/15/2015	600,000	621,000
136069DM0	CANADIAN IMPERIAL BANK OF COMM	2.60	7/2/2015	10,500,000	10,886,506
136069ET4	CANADIAN IMPERIAL BANK OF COMM	0.90	10/1/2015	300,000	300,437
136069FA4	CANADIAN IMPERIAL BANK OF COMM	1.55	1/23/2018	150,000	146,980
14040HAX3	CAPITAL ONE FINANCIAL CORP	3.15	7/15/2016	500,000	522,090
14042E3V0	CAPITAL ONE FIN CORP	1.50	3/22/2018	100,000	96,991
172967BW0	CITIGROUP INC	4.88	5/7/2015	500,000	527,991
172967DY4	CITIGROUP INC	5.50	2/15/2017	250,000	274,613
172967ES6	CITIGROUP INC	6.13	5/15/2018	13,500,000	15,565,883
172967EV9	CITIGROUP INC	8.50	5/22/2019	4,000,000	5,100,356
172967EY3	CITIGROUP INC	6.38	8/12/2014	471,000	494,037
172967FA4	CITIGROUP INC	6.01	1/15/2015	350,000	371,807
172967FY2	CITIGROUP INC	2.65	3/2/2015	5,000,000	5,106,948
172967GB1	CITIGROUP INC	2.25	8/7/2015	250,000	254,896
20035CAB6	COMERICA BANK	5.20	8/22/2017	250,000	276,443
20271RAA8	COMMONWEALTH BANK OF AUSTRALIA	1.95	3/16/2015	4,800,000	4,895,606
20271RAB6	COMMONWEALTH BANK OF AUSTRALIA	1.25	9/18/2015	250,000	252,548
20271RAC4	COMMONWEALTH BANK OF AUSTRALIA	1.90	9/18/2017	250,000	251,047
20272BAF1	COMMONWEALTH BANK OF AUSTRALIA	3.63	6/25/2014	40,000,000	40,931,124
20272BAK0	COMMONWEALTH BANK OF AUSTRALIA	2.90	9/17/2014	3,500,000	3,587,395
21685WBL0	RABOBANK NEDERLAND NV	2.13	10/13/2015	5,000,000	5,120,432
21686CAD2	RABOBANK NEDERLAND NV	3.38	1/19/2017	500,000	528,575
21987AAB6	CORPBANCA	3.13	1/15/2018	200,000	182,500
22532LAK0	CREDIT AGRICOLE SA	0.00	10/3/2016	8,000,000	7,995,280
22541HCC4	CREDIT SUISSE NEW YORK NY	6.00	2/15/2018	200,000	225,368
22541LBK8	CREDIT SUISSE (USA) INC	5.13	8/15/2015	300,000	323,614
22546QAE7	CREDIT SUISSE NEW YORK NY	3.50	3/23/2015	300,000	311,982
22966RAA4	CUBESMART	4.80	4/15/2022	4,025,000	4,176,795
23329PAA8	DNB BANK ASA	3.20	4/3/2017	5,275,000	5,508,330
24422ERQ4	JOHN DEERE CAPITAL CORP	0.88	4/17/2015	4,510,000	4,534,148
24422ERW1	JOHN DEERE CAPITAL CORP	1.20	10/10/2017	200,000	196,971
25155FAA4	DEUTSCHE ANNINGTON FINANCE BV	3.20	10/2/2017	3,325,000	3,329,788
251591AU7	DDR CORP	7.50	4/1/2017	350,000	409,967
2515A14E8	DEUTSCHE BK LDN	3.25	1/11/2016	900,000	939,762
25466AAC5	DISCOVER BANK/GREENWOOD DE	2.00	2/21/2018	250,000	243,916
25466AAD3	DISCOVER BANK/GREENWOOD DE	4.20	8/8/2023	4,750,000	4,723,989
25600WAA8	DNB BOLIGKREDITT AS	2.10	10/14/2015	1,200,000	1,233,744
25600WAB6	DNB BOLIGKREDITT AS	2.90	3/29/2016	6,200,000	6,494,685
25600WAD2	DNB BOLIGKREDITT AS	1.45	3/21/2018	900,000	887,985
26441YAM9	DUKE REALTY LP	5.95	2/15/2017	300,000	335,429
26884AAX1	ERP OPER LP	5.75	6/15/2017	300,000	337,467
316773CK4	FIFTH THIRD BANK	3.63	1/25/2016	500,000	526,141
345397VC4	FORD MOTOR CREDIT COMPANY LLC	8.00	12/15/2016	5,510,000	6,513,313
345397VT7	FORD MOTOR CREDIT COMPANY LLC	5.00	5/15/2018	5,000,000	5,478,211
345397WJ8	FORD MOTOR CREDIT COMPANY LLC	1.70	5/9/2016	3,800,000	3,800,428
354613AH4	FRANKLIN RESOURCES INC	1.38	9/15/2017	3,250,000	3,186,493
36186CBX0	ALLY FINANCIAL INC	2.46	12/1/2014	195,000	195,488
36962G3U6	GENERAL ELECTRIC CAP CORP	5.63	5/1/2018	400,000	458,660

36962G4C5	GENERAL ELECTRIC CAP CORP	5.90	5/13/2014	700,000	723,779
36962G5M2	GENERAL ELECTRIC CAP CORP	2.15	1/9/2015	6,725,000	6,858,922
36962G5N0	GENERAL ELECTRIC CAP CORP	2.90	1/9/2017	750,000	783,642
36962G5W0	GENERAL ELECTRIC CAP CORP	2.30	4/27/2017	5,000,000	5,126,294
36962G6K5	GENERAL ELECTRIC CAP CORP	1.60	11/20/2017	6,000,000	5,938,137
36962G6M1	GENERAL ELECTRIC CAP CORP	1.00	12/11/2015	6,025,000	6,028,061
36962G6R0	GENERAL ELECTRIC CAP CORP	1.00	1/8/2016	3,780,000	3,780,384
38141EA25	GOLDMAN SACHS GROUP INC	7.50	2/15/2019	9,000,000	10,826,830
38141GEA8	GOLDMAN SACHS GROUP INC	5.13	1/15/2015	200,000	210,333
38141GEE0	GOLDMAN SACHS GROUP INC	5.35	1/15/2016	600,000	652,120
38141GEG5	GOLDMAN SACHS GROUP INC	0.70	3/22/2016	4,150,000	4,114,974
38141GEU4	GOLDMAN SACHS GROUP INC	5.63	1/15/2017	250,000	275,425
38143UAW1	GOLDMAN SACHS GROUP INC	5.00	10/1/2014	200,000	208,501
38143USC6	GOLDMAN SACHS GROUP INC	3.63	2/7/2016	8,600,000	9,045,770
40411EAB4	BANK OF SCOTLAND PLC	5.25	2/21/2017	17,005,000	19,052,062
40414LAB5	HCP	2.70	2/1/2014	8,875,000	8,932,955
40414LAC3	HCP	3.75	2/1/2016	500,000	528,350
40428HPG1	HSBC BANK USA INC	2.38	2/13/2015	7,850,000	8,014,826
40428HPH9	HSBC BANK USA INC	1.63	1/16/2018	250,000	244,242
40429CCS9	HSBC FINANCE CORPORATION	5.00	6/30/2015	250,000	266,029
40429CFN7	HSBC FINANCE CORPORATION	5.50	1/19/2016	300,000	327,556
40429CGD8	HSBC FINANCE CORPORATION	6.68	1/15/2021	7,500,000	8,534,867
40430LAA7	HSBC FINANCE CAPITAL TRUST IX	5.91	11/30/2015	200,000	202,500
416518AA6	HARTFORD FINANCIAL SERVICES GR	4.00	10/15/2017	300,000	320,878
42217KAZ9	HEALTH CARE REIT INC	2.25	3/15/2018	4,500,000	4,445,333
44106MAH5	HOSPITALITY PROPERTIES TRUST	6.30	12/15/2015	250,000	270,389
449786AL6	INT’L NEDERLAND BANK NV	4.00	3/15/2016	5,600,000	5,925,760
449786AR3	INT’L NEDERLAND BANK NV	2.00	9/25/2015	6,500,000	6,598,221
451102AH0	ICAHN ENTERPRISES LP / ICAHN E	8.00	1/15/2014	370,000	387,575
45685EAE6	ING US INC	2.90	2/15/2018	250,000	251,120
459745GJ8	INTERNATIONAL LEASE FINANCE CO	5.75	5/15/2016	3,000,000	3,180,840
46115HAG2	INTESA SANPAOLO SPA	3.13	1/15/2016	250,000	249,991
46115HAJ6	INTESA SANPAOLO SPA	3.88	1/16/2018	250,000	245,960
46625HHR4	JPMORGAN CHASE & CO	3.40	6/24/2015	10,000,000	10,414,785
46625HHX1	JPMORGAN CHASE & CO	3.45	3/1/2016	7,150,000	7,518,821
46625HJA9	JPMORGAN CHASE & CO	3.15	7/5/2016	950,000	995,512
46625HJL5	JPMORGAN CHASE & CO	1.63	5/15/2018	250,000	241,996
47102XAF2	JANUS CAPITAL GROUP INC	6.70	6/15/2017	250,000	278,572
472319AJ1	JEFFERIES GROUP INC	3.88	11/9/2015	250,000	260,001
472319AK8	JEFFERIES GROUP INC	5.13	4/13/2018	300,000	321,048
48126EAA5	JPMORGAN CHASE & CO	2.00	8/15/2017	9,775,000	9,851,396
49327M2A1	KEY BANK NATIONAL ASSOCIATION	1.65	2/1/2018	7,150,000	7,023,172
49427RAH5	KILROY RELTY	4.80	4/15/2018	500,000	542,405
49446RAH2	KIMCO REALTY CORPORATION	5.70	5/1/2017	250,000	282,383
539473AG3	LLOYDS TSB BANK PLC	4.88	1/21/2016	150,000	161,337
539473AQ1	LLOYDS TSB BANK PLC	4.20	3/28/2017	100,000	107,244
55342UAD6	MPT OPT PARTNER	6.38	2/15/2020	5,000,000	5,062,500
564759QB7	MANUFACTURERS AND TRADERS TRUS	5.63	12/1/2016	250,000	257,295
56501RAA4	MANULIFE FINANCIAL CORP	3.40	9/17/2015	400,000	417,589
59018YJ69	MERRILL LYNCH & CO. INC.	6.40	8/28/2017	5,000,000	5,743,769
59018YUW9	MERRILL LYNCH & CO. INC.	5.00	1/15/2015	5,150,000	5,401,063
59156RAR9	METLIFE INC	6.82	8/15/2018	300,000	363,035
60688QAA3	MIZUHO CORPORATE BANK LTD	2.55	3/17/2017	3,225,000	3,271,032
6174466Q7	MORGAN STANLEY	6.63	4/1/2018	5,000,000	5,794,188
6174467U7	MORGAN STANLEY	2.13	4/25/2018	500,000	487,302
617446V71	MORGAN STANLEY	6.25	8/28/2017	10,500,000	11,919,439
61746SBR9	MORGAN STANLEY	5.38	10/15/2015	7,000,000	7,516,769
61747YCE3	MORGAN STANLEY	6.00	4/28/2015	3,500,000	3,745,541
61747YDD4	MORGAN STANLEY	3.80	4/29/2016	9,400,000	9,865,224
61747YDT9	MORGAN STANLEY	4.75	3/22/2017	8,050,000	8,707,833
631103AE8	NASDAQ OMX GROUP INC /THE	5.25	1/16/2018	250,000	269,451
63254AAA6	NATIONAL AUSTRALIA BANK LIMITE	2.00	3/9/2015	3,200,000	3,262,859
63254AAB4	NATIONAL AUSTRALIA BANK LIMITE	2.75	3/9/2017	400,000	415,466
63254AAC2	NATIONAL AUSTRALIA BANK LIMITE	1.60	8/7/2015	300,000	304,529
63307A2A2	NATIONAL BK OF CANADA	1.50	6/26/2015	250,000	253,330

63307AAA3	NATIONAL BK OF CANADA	1.45	11/7/2017	5,000,000	4,903,868
637432HT5	NATIONAL RURAL UTILITIES COOP	5.45	4/10/2017	250,000	282,035
637432ML6	NATIONAL RURAL UTILITIES COOP	1.90	11/1/2015	4,500,000	4,599,571
638585AN9	BANK OF AMERICA CORP	7.75	8/15/2015	250,000	277,127
65535HAD1	NOMURA HOLDINGS INC	2.00	9/13/2016	4,350,000	4,328,300
65557FAF3	NORDEA BANK AB	0.72	5/13/2016	5,000,000	5,015,700
686330AG6	ORIX CORP	3.75	3/9/2017	300,000	310,075
693476AT0	PNC FUNDING CORP - GTD	5.25	11/15/2015	350,000	378,638
693476BH5	PNC FUNDING CORP - GTD	3.63	2/8/2015	1,985,000	2,059,563
69349LAC2	PNC BANK NA	4.88	9/21/2017	250,000	275,402
69371RK88	PACCAR FINANCIAL CORP	0.75	8/14/2015	300,000	300,131
742651DS8	PRIVATE EXPORT FUNDING CORPORA	1.88	7/15/2018	100,000	100,699
74432QAY1	PRUDENTIAL FINANCIAL INC	6.10	6/15/2017	100,000	114,031
74432QBL8	PRUDENTIAL FINANCIAL INC	3.88	1/14/2015	750,000	778,691
74977EPZ0	RABOBANK NEDERLAND NV	1.70	3/19/2018	2,625,000	2,587,079
756109AJ3	REALTY INCOME CORP	5.95	9/15/2016	200,000	223,628
7591EPAJ9	REGIONS FINANCIAL CORPORATION	2.00	5/15/2018	4,000,000	3,863,795
78008S7D2	ROYAL BANK OF CANADA	2.20	7/27/2018	300,000	301,503
78008SVD5	ROYAL BANK OF CANADA	1.50	1/16/2018	250,000	245,794
78008TLB8	ROYAL BANK OF CANADA	2.30	7/20/2016	1,000,000	1,032,312
78010XAG6	ROYAL BANK OF SCOTLAND PLC	3.95	9/21/2015	650,000	683,086
78011DAC8	ROYAL BANK OF CANADA	1.20	9/19/2017	9,500,000	9,389,895
78403DAB6	SBA TOWER TRUST	5.10	4/15/2042	5,300,000	5,721,032
78442FCJ5	SLM CORP	5.38	5/15/2014	4,000,000	4,080,010
80282KAB2	SANTANDER HOLDINGS USA INC	3.00	8/24/2015	3,940,000	4,044,456
828807BM8	SIMON PROPERTY GROUP LP	5.10	6/15/2015	400,000	428,533
828807CM7	SIMON PROPERTY GROUP LP	1.50	2/1/2018	14,000,000	13,630,971
830505AP8	SKANDINAVISKA ENSKILDA BANKEN	1.75	3/19/2018	2,665,000	2,615,359
83368RAC6	SOCIETE GENERALE	2.75	10/12/2017	350,000	358,202
84603MXU5	SOVEREIGN BANK	8.75	5/30/2018	2,475,000	2,965,806
84650WAB2	SPAREBNK 1 BOLIG	2.63	5/27/2016	200,000	208,464
84650WAD8	SPAREBNK 1 BOLIG	2.30	6/30/2017	6,500,000	6,683,040
865622AU8	SUMITOMO MITSUI BANKING CORP	1.35	7/18/2015	300,000	301,723
865622AV6	SUMITOMO MITSUI BANKING CORP	1.80	7/18/2017	250,000	248,722
865622AY0	SUMITOMO MITSUI BANKING CORP	1.50	1/18/2018	5,000,000	4,869,249
86787GAG7	SUNTRUST BANK/ATLANTA GA	5.00	9/1/2015	100,000	106,144
867914BE2	SUNTRUST BANKS INC	3.50	12/20/2016	250,000	262,944
86960BAB8	SVENSKA HANDELSBANKEN AB	2.88	4/4/2017	5,000,000	5,157,820
86960BAC6	SVENSKA HANDELSBANKEN AB	1.63	3/21/2018	250,000	245,061
86960BAD4	SVENSKA HANDELSBANKEN AB	0.70	3/21/2016	2,500,000	2,505,675
87020LAA4	SWEDBANK HYPOTEK AB	2.95	3/28/2016	8,100,000	8,496,819
87020LAB2	SWEDBANK HYPOTEK AB	0.70	3/28/2014	6,700,000	6,706,527
87020PAA5	SWEDBANK AB	2.13	9/29/2017	3,525,000	3,516,285
87020PAC1	SWEDBANK AB	1.75	3/12/2018	8,025,000	7,859,408
89114QAE8	TORONTO-DOMINION BANK/THE	2.38	10/19/2016	300,000	310,293
89114QAG3	TORONTO-DOMINION BANK/THE	1.40	4/30/2018	200,000	194,858
90261XBY7	UBS AG	5.88	7/15/2016	185,000	203,681
90261XEM0	UBS AG	5.88	12/20/2017	591,000	678,297
90261XGD8	UBS AG	4.88	8/4/2020	5,500,000	6,091,005
90264AAA7	UBS PD FD TST IV	6.24		250,000	266,250
90331HKP7	US BANK NATIONAL ASSOCIATION	4.95	10/30/2014	250,000	262,178
90520EAC5	UNION BANK NA	3.00	6/6/2016	7,800,000	8,174,399
90520EAE1	UNION BANK NA	2.13	6/16/2017	3,400,000	3,404,184
90520GAA4	UNION BANK NA	5.95	5/11/2016	250,000	276,171
90521APH5	UNION BANK NA	1.50	8/26/2016	5,000,000	5,029,075
90521APJ1	UNION BANK NA	2.63	8/26/2018	3,000,000	3,038,022
91159HHB9	US BANCORP	2.20	10/14/2016	350,000	359,331
91159HHD5	US BANCORP	1.65	4/15/2017	500,000	501,887
91529YAG1	UNUM GROUP	7.13	9/30/2016	250,000	286,501
92277GAA5	VENTAS REALTY LP/CAP CRP	1.55	9/26/2016	4,117,000	4,131,950
929903DT6	WACHOVIA CORP	5.75	6/15/2017	17,300,000	19,845,722
949746QU8	WELLS FARGO & COMPANY	3.68	6/15/2016	650,000	692,270
94974BFA3	WELLS FARGO & COMPANY	1.25	2/13/2015	250,000	251,947
94974BFD7	WELLS FARGO & COMPANY	2.10	5/8/2017	250,000	255,329
94974BFE5	WELLS FARGO & COMPANY	1.50	7/1/2015	5,020,000	5,082,997

94974BFG0	WELLS FARGO & COMPANY	1.50	1/16/2018	350,000	344,396
959802AR0	WESTERN UNION CO/THE	2.88	12/10/2017	250,000	248,869
961214BH5	WESTPAC BANKING CORP	4.20	2/27/2015	600,000	628,224
961214BV4	WESTPAC BANKING CORP	2.00	8/14/2017	4,125,000	4,163,392
961214BY8	WESTPAC BANKING CORP	0.95	1/12/2016	100,000	100,055
961214BZ5	WESTPAC BANKING CORP	1.60	1/12/2018	250,000	247,030
BRSA6EXM7	DYNCORP INTERNATIONAL INC	0.00	7/7/2016	46,522	46,696
BRSAC4WT8	WAHA AEROSPACE BV	3.93	7/28/2020	735,000	775,425
BRSBG70Y9	REALOGY CORP	0.00	10/10/2016	371,049	371,049
BRSBG72X9	REALOGY CORP	0.00	3/6/2014	3,105,275	3,119,506
BRSBK3FH4	SI ORGANIZATION INC	0.00	11/22/2016	96,648	95,803
BRSC101R2	SPRINGLEAF FINANCIAL FUNDING C	0.00	5/10/2017	902,400	902,400
BRSE9BR07	DJO FINANCE LLC/DJO FINANCE CO	0.00	9/15/2017	2,093,506	2,096,778
BRSEVCW87	RPI FINANCE TRUST	0.00	11/9/2018	185,606	186,147
BRSFP5Y76	CNO FINANCIAL GROUP INC	0.00	9/28/2016	676,000	677,690
BRSFY8S44	ISTAR FINL INC.	0.00	10/16/2013	1,151,628	1,152,348
BRSG101A0	CUNNINGHAM LINDSEY GROUP INC	0.00	12/10/2019	754,300	751,471
BRSG6XW68	WINDSOR FINANCNG	0.00	11/7/2013	1,270,850	1,301,033
BRSG8Y7X3	HARBOURVEST PARTNERS LP	0.00	11/22/2013	679,884	683,283
BRSGE9A66	ALLIANT INSURANCE SERVICES INC	0.00	12/20/2019	875,600	874,873
BRSH6V6D4	OCWEN LOAN SERVICING LLC	0.00	1/28/2014	783,038	791,847
BRSHAJ5A3	TRANS UNION LLC/ TRANS UNION F	0.00	3/2/2014	2,134,977	2,143,874
BRSHE91P2	ASURION LLC	0.00	5/24/2019	1,850,700	1,831,897
BRSHLFL94	CONSTELLIUM HOLDCO BV	0.00	3/26/2016	1,681,550	1,719,385
BRSHQJZB1	TWIN RIVER MANAGEMENT GROUP IN	0.00	3/27/2014	1,151,252	1,159,886
BRSHTM755	MONEYGRAM INTL INC	0.00	3/27/2020	592,025	591,532
BRSHUN736	CGSC OF DELAWARE HOLDINGS CORP	0.00	4/16/2020	855,000	848,588
BRSHUNR00	CGSC OF DELAWARE HOLDINGS CORP	0.00	10/16/2020	400,000	394,000
BRSJ1A4B7	CAPITAL AUTOMOTIVE	0.00	5/13/2014	1,000,000	1,002,083
BRSJ2MY43	CAPITAL AUTOMOTIVE	0.00	4/29/2016	1,000,000	1,022,500
BRSJ58PC3	NUVEEN INVESTMENTS INC	0.00	5/13/2017	466,202	461,074
BRSJ58QQ1	NUVEEN INVESTMENTS INC	0.00	2/28/2019	886,000	879,355
BRSJCK8J2	KCG HOLDINGS INC	0.00	12/5/2017	885,000	884,447
BRSJNKJ74	NATIONAL FIN PRT	0.00	12/19/2013	369,075	370,690
BRSKLC6Z3	HUB INTERNATIONAL LIMITED	0.00	3/16/2014	1,760,000	1,761,466
BRSKQTLF8	SEARS ROEBUCK ACCEPTANCE CORP/	0.00	6/30/2018	470,000	467,453
E19794CQ2	BANCO SANTANDER SA	3.50	2/6/2014	4,000,000	5,465,389
G5577Y5Y2	LLOYDS TSB BANK PLC - LT GTD	1.50	5/2/2017	3,300,000	5,387,454
N9636WAL1	WHITE NIGHTS FINANCE BV	10.50	3/8/2014	2,400,000	2,496,000
Y4864WAG4	KOREA EXCHANGE BANK	4.88	1/14/2016	2,000,000	2,132,940
				801,147,087	841,930,125
Corporate Debt Securities - Industrials
00037BAA0	ABB FINANCE USA INC	1.63	5/8/2017	250,000	249,433
00206RAV4	AT&T INC	2.50	8/15/2015	4,725,000	4,867,121
00206RBC5	AT&T INC	1.60	2/15/2017	6,000,000	6,001,934
00206RBM3	AT&T INC	1.40	12/1/2017	8,450,000	8,251,542
002447AA8	AWAS AVIATION CAPITAL LTD	7.00	10/18/2015	76,000	78,280
00287YAG4	ABBVIE INC	1.20	11/6/2015	500,000	502,314
00287YAJ8	ABBVIE INC	1.75	11/6/2017	4,100,000	4,069,439
00724FAA9	ADOBE SYSTEMS INC	3.25	2/1/2015	200,000	206,413
00817YAK4	AETNA INC	1.75	5/15/2017	750,000	746,336
00817YAL2	AETNA INC	1.50	11/15/2017	4,100,000	4,020,846
00846UAC5	AGILENT TECH INC	6.50	11/1/2017	100,000	117,387
009363AN2	AIRGAS INC	1.65	2/15/2018	100,000	97,351
013817AL5	ALCOA INC	5.55	2/1/2017	250,000	267,688
018490AP7	ALLERGAN INC/UNITED STATES	1.35	3/15/2018	950,000	926,185
023135AH9	AMAZON.COM INC	1.20	11/29/2017	150,000	146,762
02364WBC8	AMERICA MOVIL SA DE CV	2.38	9/8/2016	2,100,000	2,138,703
02666QM26	AMERICAN HONDA FINANCE CORPORA	1.60	2/16/2018	1,690,000	1,661,109
031162BF6	AMGEN INC	2.30	6/15/2016	500,000	514,928
031162BQ2	AMGEN INC	2.13	5/15/2017	500,000	507,607
032511AX5	ANADARKO PETROLEUM CORP	5.95	9/15/2016	250,000	280,688
032511BH9	ANADARKO PETROLEUM CORP	6.38	9/15/2017	200,000	232,785
034863AA8	ANGLO AMERICAN CAPITAL PLC	9.38	4/8/2014	6,280,000	6,531,338
03523TAM0	ANHEUSER-BUSCH INBEV WORLDWIDE	4.13	1/15/2015	9,525,000	9,958,340

03523TBA5	ANHEUSER-BUSCH INBEV WORLDWIDE	2.88	2/15/2016	6,000,000	6,282,487
03523TBM9	ANHEUSER-BUSCH INBEV WORLDWIDE	0.80	7/15/2015	100,000	100,362
03523TBN7	ANHEUSER-BUSCH INBEV WORLDWIDE	1.38	7/15/2017	5,000,000	4,986,200
035242AC0	ANHEUSER-BUSCH INBEV FINANCE I	1.25	1/17/2018	500,000	490,717
035242AD8	ANHEUSER-BUSCH INBEV FINANCE I	0.80	1/15/2016	400,000	399,770
037411AS4	APACHE CORP	5.63	1/15/2017	5,900,000	6,649,637
03746AAC4	APACHE FIN CANADA CORP	4.38	5/15/2015	270,000	285,856
037833AH3	APPLE INC	0.45	5/3/2016	9,875,000	9,805,386
037833AJ9	APPLE INC	1.00	5/3/2018	450,000	433,438
039483AY8	ARCHER-DANIELS-MIDLAND COMPANY	5.45	3/15/2018	2,884,000	3,314,066
042735BB5	ARROW ELECTRONICS INC	3.00	3/1/2018	75,000	75,649
046353AB4	ASTRAZENECA PLC	5.90	9/15/2017	300,000	347,503
053332AK8	AUTOZONE INC	5.75	1/15/2015	300,000	318,894
053499AG4	AVAYA INC.	7.00	4/1/2019	290,000	271,150
05367AAF0	AVIATION CAPITAL GROUP COR	3.88	9/27/2016	6,850,000	6,889,936
054303AU6	AVON PRODUCTS INC	5.75	3/1/2018	150,000	162,165
054303AY8	AVON PRODUCTS INC	2.38	3/15/2016	5,600,000	5,673,564
055451AK4	BHP BILLITON FINANCE LTD	1.88	11/21/2016	250,000	255,218
055451AN8	BHP BILLITON FINANCE LTD	1.00	2/24/2015	300,000	301,975
055451AP3	BHP BILLITON FINANCE LTD	1.63	2/24/2017	250,000	251,361
05565QBH0	BP CAPITAL MARKETS PLC	3.88	3/10/2015	5,735,000	5,997,711
05565QBY3	BP CAPITAL MARKETS PLC	1.85	5/5/2017	7,300,000	7,357,350
05565QCE6	BP CAPITAL MARKETS PLC	1.38	5/10/2018	500,000	484,584
05565QCG1	BP CAPITAL MARKETS PLC	2.24	9/26/2018	16,000,000	16,053,413
067901AF5	BARRICK GOLD CORP	2.90	5/30/2016	300,000	303,259
067901AN8	BARRICK GOLD CORP	2.50	5/1/2018	4,100,000	3,895,931
07556QBB0	BEAZER HOMES USA INC	6.63	7/15/2017	425,000	444,125
075887BB4	BECTON DICKINSON	1.75	11/8/2016	500,000	503,389
097014AK0	BOEING CAPITAL CORPORATION	3.25	10/27/2014	100,000	102,963
097023BC8	BOEING CO	3.75	11/20/2016	150,000	160,417
10138MAH8	BOTTLING GROUP LLC	6.95	3/15/2014	7,000,000	7,201,040
110122AS7	BRISTOL-MYERS SQUIBB CO	0.88	8/1/2017	100,000	97,717
120568AV2	BUNGE LIMITED FINANCE CORP	3.20	6/15/2017	300,000	309,640
124857AH6	CBS CORP	1.95	7/1/2017	200,000	200,430
12543DAR1	CHS/COMMUNITY HEALTH SYSTEMS I	5.13	8/15/2017	4,000,000	4,070,000
12626PAG8	CRH AMERICA INC.	6.00	9/30/2016	500,000	562,953
126408GM9	CSX CORPORATION	6.25	3/15/2018	300,000	350,739
126650BE9	CVS CAREMARK CORP	6.13	8/15/2016	250,000	282,567
126650BQ2	CVS CAREMARK CORP	6.94	1/10/2030	1,905,788	2,227,125
127055AJ0	CABOT CORP	2.55	1/15/2018	150,000	149,152
12800UAL4	LA CAISSE CENTRALE DESJARDINS	1.60	3/6/2017	6,000,000	6,075,960
134429AV1	CAMPBELL SOUP COMPANY	3.05	7/15/2017	200,000	209,939
136385AK7	CANADIAN NATURAL RESOURCES LTD	5.70	5/15/2017	250,000	282,721
14149YAG3	CARDINAL HEALTH INC	4.00	6/15/2015	400,000	420,054
141781BA1	CARGILL INC	1.90	3/1/2017	6,000,000	6,061,593
141781BB9	CARGILL INC	3.30	3/1/2022	4,000,000	3,936,846
143658AY8	CARNIVAL CORP	1.88	12/15/2017	250,000	244,474
143658AZ5	CARNIVAL CORP	1.20	2/5/2016	150,000	149,130
14912L4S7	CATERPILLAR INC	2.65	4/1/2016	250,000	258,743
14912L5D9	CATERPILLAR INC	1.10	5/29/2015	250,000	251,953
14912L5E7	CATERPILLAR INC	1.63	6/1/2017	6,200,000	6,218,683
14912L5H0	CATERPILLAR INC	0.70	11/6/2015	5,550,000	5,541,189
14912L5J6	CATERPILLAR INC	1.25	11/6/2017	150,000	147,105
14912L5S6	CATERPILLAR INC	1.35	9/6/2016	350,000	352,765
14987BAD5	CC HLD V	2.38	12/15/2017	100,000	98,191
151020AG9	CELGENE CORPORATION	1.90	8/15/2017	300,000	300,109
166764AA8	CHEVRON CORP	1.10	12/5/2017	350,000	343,150
166764AE0	CHEVRON CORP	1.72	6/24/2018	300,000	298,347
17275RAC6	CISCO SYSTEMS INC	5.50	2/22/2016	2,775,000	3,081,557
17275RAG7	CISCO SYSTEMS INC	2.90	11/17/2014	500,000	514,186
17275RAK8	CISCO SYSTEMS INC	3.15	3/14/2017	2,500,000	2,634,830
18538RAE3	CLEARWATER PAPER CORP	7.13	11/1/2014	3,000,000	3,225,000
18683KAF8	CLIFFS NATURAL RESOURCES INC	3.95	1/15/2018	250,000	250,086
191216AU4	COCA-COLA COMPANY (THE)	1.80	9/1/2016	1,000,000	1,026,568
19416QDW7	COLGATE-PALMOLIVE CO	0.60	11/15/2014	250,000	250,625

20030NAB7	COMCAST CORP	6.50	1/15/2015	1,000,000	1,074,594
20030NAL5	COMCAST CORP	5.90	3/15/2016	7,500,000	8,374,548
20030NAR2	COMCAST CORP	5.88	2/15/2018	4,900,000	5,738,082
205363AM6	COMPUTER SCIENCES CORP	2.50	9/15/2015	111,000	113,290
205887BP6	CONAGRA FOODS INC.	1.30	1/25/2016	66,000	66,112
205887BQ4	CONAGRA FOODS INC.	1.90	1/25/2018	225,000	221,867
20825TAA5	CONOCO INC	5.63	10/15/2016	250,000	283,513
20826FAB2	CONOCOPHILLIPS CO	1.05	12/15/2017	250,000	243,530
21036PAH1	CONSTELLATION BRANDS INC	6.00	5/1/2022	4,000,000	4,240,000
21079UAA3	CONTINENTAL AIRLINES 2009 2 PA	7.25	5/10/2021	4,256,791	4,810,173
21079VAA1	UAL_12-2A	4.75	7/12/2022	2,141,028	2,242,727
22160KAD7	COSTCO WHSLE CORP	0.65	12/7/2015	200,000	199,885
22160KAE5	COSTCO WHSLE CORP	1.13	12/15/2017	6,150,000	6,058,800
22303QAG5	COVIDIEN INTERNATIONAL FINANCE	6.00	10/15/2017	250,000	287,669
22303QAK6	COVIDIEN INTERNATIONAL FINANCE	2.80	6/15/2015	10,800,000	11,113,653
224044BM8	COX COMMUNICATIONS INC	5.45	12/15/2014	80,000	84,377
22822RAZ3	CROWN CASTLE TOWERS LLC	4.88	8/15/2040	5,250,000	5,517,187
233835AW7	DAIMLERCHRYSLER NA HLDG	6.50	11/15/2013	6,200,000	6,242,904
233851AT1	DAIMLERCHRYSLER NA HLDG	1.25	1/11/2016	5,590,000	5,594,314
235851AL6	DANAHER CORPORATION	2.30	6/23/2016	200,000	206,019
237194AG0	DARDEN RESTAURANTS INC	6.20	10/15/2017	150,000	167,584
24422ERN1	JOHN DEERE CAPITAL CORP	1.40	3/15/2017	500,000	500,168
247361ZH4	DELTA AIR LINES INC	4.95	11/23/2020	123,197	130,897
24736TAA5	DELTA AIR LINES INC	7.75	6/17/2021	1,428,447	1,656,998
249030AB3	DENTSPLY INTL INC.	2.75	8/15/2016	1,475,000	1,494,338
25179MAM5	DEVON ENERGY CORPORATION	1.88	4/15/2017	300,000	300,358
25243YAM1	DIAGEO CAPITAL PLC	5.75	10/23/2017	250,000	287,550
25243YAR0	DIAGEO CAPITAL PLC	1.50	5/11/2017	3,150,000	3,145,579
25243YAS8	DIAGEO CAPITAL PLC	0.63	4/29/2016	3,190,000	3,165,648
25244SAC5	DIAGEO FINANCE	5.30	10/28/2015	150,000	163,613
25459HAV7	DIRECTV HOLDINGS LLC	3.13	2/15/2016	2,475,000	2,555,149
25459HBE4	DIRECTV HOLDINGS LLC	2.40	3/15/2017	800,000	800,260
25468PCG9	WALT DISNEY COMPANY (THE)	6.00	7/17/2017	150,000	173,062
25468PCS3	WALT DISNEY COMPANY (THE)	1.13	2/15/2017	500,000	492,394
25468PCV6	WALT DISNEY COMPANY (THE)	1.10	12/1/2017	6,100,000	5,992,062
25470XAE5	DISH DBS CORP	6.75	6/1/2021	4,000,000	4,200,000
256677AB1	DOLLAR GENERAL CORP	1.88	4/15/2018	200,000	193,913
263534BY4	EI DU PONT DE NEMOURS & CO	3.25	1/15/2015	500,000	517,467
268648AP7	EMC CORP	1.88	6/1/2018	250,000	248,723
26875PAJ0	EOG RESOURCES INC	1.02	2/3/2014	2,700,000	2,705,616
277432AM2	EASTMAN CHEMICAL COMPANY	2.40	6/1/2017	500,000	505,791
278642AD5	EBAY INC.	0.70	7/15/2015	250,000	250,326
278642AG8	EBAY INC.	1.35	7/15/2017	3,071,000	3,055,204
278865AK6	ECOLAB INC	3.00	12/8/2016	500,000	524,433
291011AZ7	EMERSON ELECTRIC CO	4.13	4/15/2015	250,000	262,583
29264FAG1	ENDO HEALTH SOLUTIONS INC	7.00	7/15/2017	1,000,000	1,030,000
29379VAA1	ENTERPRISE PRODUCTS OPERATING	6.30	9/15/2017	300,000	348,327
29379VAR4	ENTERPRISE PRODUCTS OPERATING	3.70	6/1/2015	2,858,000	2,986,344
29379VAX1	ENTERPRISE PRODUCTS OPERATING	1.25	8/13/2015	122,000	122,729
29977HAD2	EP ENERGY LLC/EVEREST ACQUISIT	6.88	5/1/2015	300,000	320,250
302182AF7	ARISTOTLE HOLDING INC	3.13	5/15/2016	2,500,000	2,618,855
30219GAC2	ARISTOTLE HOLDING INC	3.50	11/15/2016	750,000	793,801
30249UAA9	FMC TECHNOLOGIES INC	2.00	10/1/2017	1,650,000	1,631,812
314275AA6	MACYS RETAIL HLDGS INC	5.90	12/1/2016	300,000	338,426
31620MAJ5	FIDELITY NATIONAL INFORMATION	2.00	4/15/2018	293,000	284,415
337738AG3	FISERV INC	6.80	11/20/2017	50,000	58,418
337738AK4	FISERV INC	3.13	6/15/2016	200,000	208,988
345397VN0	FORD MOTOR CREDIT COMPANY LLC	7.00	4/15/2015	3,400,000	3,689,037
345397VP5	FORD MOTOR CREDIT COMPANY LLC	6.63	8/15/2017	300,000	345,272
345397WB5	FORD MOTOR CREDIT COMPANY LLC	4.21	4/15/2016	200,000	211,917
345397WC3	FORD MOTOR CREDIT COMPANY LLC	2.75	5/15/2015	250,000	255,407
345397WD1	FORD MOTOR CREDIT COMPANY LLC	3.00	6/12/2017	200,000	205,433
345397WE9	FORD MOTOR CREDIT COMPANY LLC	2.50	1/15/2016	300,000	306,073
35168XAA9	FRAC TECH SERVICES LLC	8.13	11/15/2014	367,000	397,278
35177PAU1	FRANCE TELECOM SA	2.13	9/16/2015	200,000	202,960

35671DAW5	FREEPORT-MCMORAN COPPER & GOLD	2.15	3/1/2017	250,000	248,203
35671DBE4	FREEPORT-MCMORAN COPPER & GOLD	2.38	3/15/2018	4,200,000	4,055,454
361448AP8	GATX CORP	2.38	7/30/2018	93,000	91,465
368266AN2	GAZ CAPITAL SA	5.09	11/29/2015	2,750,000	2,913,075
369550AV0	GENERAL DYNAMICS CORP	1.00	11/15/2017	200,000	193,748
369604BE2	GENERAL ELECTRIC CO	0.85	10/9/2015	4,675,000	4,684,700
370334BF0	GENERAL MILLS INC	5.20	3/17/2015	200,000	213,131
377372AD9	GLAXOSK CAP INC	5.65	5/15/2018	350,000	406,798
377373AB1	GLAXOSMITHKLINE CAPITAL PLC	0.75	5/8/2015	250,000	250,691
377373AC9	GLAXOSMITHKLINE CAPITAL PLC	1.50	5/8/2017	7,500,000	7,518,349
380956AC6	GOLDCORP INC.	2.13	3/15/2018	150,000	145,786
404119BK4	HCE-THE HEALTHCARE COMPANY	7.25	3/15/2015	3,500,000	3,815,000
404121AC9	HCE-THE HEALTHCARE COMPANY	6.50	2/15/2020	4,000,000	4,330,000
406216BB6	HALLIBURTON COMPANY	1.00	8/1/2016	4,835,000	4,824,850
41283LAC9	HARLEY-DAVIDSON FINANCIAL	1.15	9/15/2015	3,560,000	3,561,615
415864AK3	HARSCO CORP	2.70	10/15/2015	100,000	100,441
428236AS2	HEWLETT-PACKARD CO	5.50	3/1/2018	150,000	167,439
428236BC6	HEWLETT-PACKARD CO	2.13	9/13/2015	300,000	304,015
428236BL6	HEWLETT-PACKARD CO	2.65	6/1/2016	250,000	255,996
428236BP7	HEWLETT-PACKARD CO	3.00	9/15/2016	6,250,000	6,442,039
428236BT9	HEWLETT-PACKARD CO	2.63	12/9/2014	3,500,000	3,568,012
428236BW2	HEWLETT-PACKARD CO	2.60	9/15/2017	250,000	252,914
437076AP7	HOME DEPOT INC	5.40	3/1/2016	500,000	553,343
438516AS5	HONEYWELL INTERNATIONAL INC	5.30	3/15/2017	150,000	169,449
44701QAZ5	HUNTSMAN INTL LLC	4.88	11/15/2020	4,000,000	3,760,000
448055AC7	HUSKY ENERGY INC.	6.20	9/15/2017	100,000	114,909
453140AA3	IMPERIAL TOBACCO FIN PLC	2.05	2/11/2018	4,270,000	4,158,199
456866AS1	INGERSOLL-RAND COMPANY	4.75	5/15/2015	30,000	31,395
458140AH3	INTEL CORP	1.95	10/1/2016	6,300,000	6,481,109
458140AL4	INTEL CORP	1.35	12/15/2017	9,775,000	9,660,205
459200GX3	INTERNATIONAL BUSINESS MACHINE	1.95	7/22/2016	1,650,000	1,701,402
459200HD6	INTERNATIONAL BUSINESS MACHINE	0.75	5/11/2015	7,100,000	7,131,132
460146BU6	INTERNATIONAL PAPER COMPANY	5.30	4/1/2015	250,000	263,746
460146CA9	INTERNATIONAL PAPER COMPANY	7.95	6/15/2018	300,000	371,539
460690BJ8	INTERPUBLIC GRP OF CO INC	2.25	11/15/2017	100,000	98,293
471105AA4	JAPAN TOBACCO INC.	2.10	7/23/2018	3,250,000	3,244,050
478366AZ0	JOHNSON CONTROLS INC.	2.60	12/1/2016	200,000	206,932
481165AF5	JOY GLOBAL INC.	6.00	11/15/2016	150,000	165,311
487836BE7	KELLOGG COMPANY	3.25	5/21/2018	250,000	263,321
487836BH0	KELLOGG COMPANY	1.75	5/17/2017	150,000	150,842
494368BB8	KIMBERLY-CLARK CORPORATION	6.13	8/1/2017	250,000	291,994
500472AB1	ROYAL PHILIPS ELECTRONICS N.V.	5.75	3/11/2018	200,000	229,994
50075NAV6	MONDELEZ INTERNATIONAL INC	6.13	8/23/2018	250,000	290,998
50075NAX2	MONDELEZ INTERNATIONAL INC	6.75	2/19/2014	9,680,000	9,902,350
50075NBB9	MONDELEZ INTERNATIONAL INC	4.13	2/9/2016	500,000	534,159
50076QAK2	KRAFT FOODS GROUP INC	1.63	6/4/2015	500,000	507,046
50076QAX4	KRAFT FOODS GROUP INC	6.13	8/23/2018	5,000,000	5,870,264
501044CM1	KROGER CO (THE)	3.90	10/1/2015	300,000	316,410
502413BB2	L-3 COMMUNICATIONS CORP	3.95	11/15/2016	250,000	266,045
50540RAK8	LABORATORY CORP OF AMER HLDGS	2.20	8/23/2017	150,000	150,054
527298AJ2	LEVEL 3 FINANCING INC	4.15	2/15/2015	270,000	270,000
532457BB3	ELI LILLY AND COMPANY	5.20	3/15/2017	250,000	282,026
539830AX7	LOCKHEED MARTIN CORPORATION	2.13	9/15/2016	150,000	153,905
544152AF8	LORILLARD TOBACCO CO	2.30	8/21/2017	150,000	149,224
548661CY1	LOWE’S COS INC	1.63	3/15/2017	300,000	301,360
552081AG6	LYONDELLBASELL INDUSTRIES NV	5.00	1/15/2019	4,000,000	4,382,535
565849AJ5	MARATHON OIL CORP	0.90	11/1/2015	150,000	149,918
577081AX0	MATTEL INC	1.70	3/15/2018	100,000	97,930
58013MEB6	MCDONALDS CORP	5.80	10/15/2017	100,000	116,619
58013MEE0	MCDONALDS CORP	5.35	3/1/2018	150,000	172,922
58013MEP5	MCDONALDS CORP	0.75	5/29/2015	100,000	100,369
581557AY1	MCKESSON CORP	0.95	12/4/2015	2,100,000	2,101,059
58155QAC7	MCKESSON CORP	3.25	3/1/2016	8,000,000	8,423,699
58155QAF0	MCKESSON CORP	1.40	3/15/2018	2,300,000	2,237,607
58405UAF9	MEDCO HEALTH SOLUTIONS INC	2.75	9/15/2015	250,000	258,321

585055AR7	MEDTRONIC INC	3.00	3/15/2015	200,000	206,719
585055AU0	MEDTRONIC INC	2.63	3/15/2016	200,000	205,524
58933YAB1	MERCK & CO INC	2.25	1/15/2016	400,000	412,893
58933YAD7	MERCK & CO INC	0.70	5/18/2016	150,000	149,434
58933YAG0	MERCK & CO INC	1.30	5/18/2018	150,000	146,420
626717AE2	MURPHY OIL CORP	2.50	12/1/2017	100,000	99,449
628530AZ0	MYLAN INC/PA	1.80	6/24/2016	2,455,000	2,471,633
62875FAB4	NAI ENTERTAINMENT HOLDINGS LLC	5.00	8/1/2017	285,000	289,275
629568AY2	NABORS INDUSTRIES INC	2.35	9/15/2016	4,060,000	4,115,132
64110DAC8	NETAPP INC	2.00	12/15/2017	350,000	343,188
652482BG4	NEWS AMERICA HOLDINGS	5.30	12/15/2014	3,750,000	3,953,111
654624AE5	NTT CORP	1.40	7/18/2017	250,000	246,888
655844BB3	NORFOLK SOUTHERN CORPORATION	5.75	1/15/2016	350,000	386,888
66989HAC2	NOVARTIS CAPITAL CORP	2.90	4/24/2015	300,000	311,075
66989PAA8	NOVATEK FINANCE LIMITED	5.33	2/3/2016	4,000,000	4,180,100
670704AC9	NUVASIVE INC	2.75	7/1/2017	3,955,000	3,844,735
674599CB9	OCCIDENTAL PETROLEUM CORPORATI	1.75	2/15/2017	250,000	252,129
674599CD5	OCCIDENTAL PETROLEUM CORPORATI	1.50	2/15/2018	250,000	245,409
675757AA6	ODEBRECHT DRILL VIII/IX	6.35	6/30/2020	1,850,000	1,905,500
68268NAF0	ONEOK PARTNERS LP	3.25	1/1/2016	1,225,000	1,272,931
68389XAC9	ORACLE CORP	5.75	4/15/2018	1,370,000	1,595,728
68389XAN5	ORACLE CORP	1.20	10/15/2017	3,300,000	3,237,125
68402LAC8	ORACLE CORP	5.25	1/15/2016	100,000	109,891
709599AC8	PENSKE TRUCK LEASING CO	3.13	5/11/2015	1,825,000	1,868,328
709599AJ3	PENSKE TRUCK LEASING CO	2.50	3/15/2016	6,775,000	6,908,834
709629AC3	PENTAIR FINANCE SA	1.35	12/1/2015	150,000	150,555
713448CA4	PEPSICO INC	0.70	8/13/2015	500,000	500,681
713448CB2	PEPSICO INC	1.25	8/13/2017	500,000	493,647
71647NAC3	PETROBRAS INT BRASPETRO BV	2.00	5/20/2016	2,900,000	2,875,978
716495AL0	PETROHAWK ENERGY	7.25	8/15/2014	175,000	189,438
717081DD2	PFIZER INC	0.90	1/15/2017	3,500,000	3,480,201
718172AA7	PHILIP MORRIS INTERNATIONAL IN	5.65	5/16/2018	500,000	578,788
718172AJ8	PHILIP MORRIS INTERNATIONAL IN	2.50	5/16/2016	6,000,000	6,239,661
718172AS8	PHILIP MORRIS INTERNATIONAL IN	1.13	8/21/2017	7,753,000	7,617,549
718546AE4	PHILLIPS 66	1.95	3/5/2015	4,000,000	4,060,789
723787AE7	PIONEER NAT RES CO	5.88	7/15/2016	250,000	278,484
72447XAC1	PITNEY BOWES INC.	5.75	9/15/2017	350,000	383,044
72650RAX0	PLAINS ALL AMERICAN PIPELINE L	3.95	9/15/2015	250,000	264,614
73755LAG2	POTASH CORP OF SASKATCHEWAN IN	3.75	9/30/2015	3,500,000	3,687,970
73755LAJ6	POTASH CORPORATION OF SASKETCH	3.25	12/1/2017	100,000	104,401
74005PBE3	PRAXAIR INC	0.75	2/21/2016	300,000	299,042
740189AJ4	PRECISION CASTPARTS CORP	0.70	12/20/2015	100,000	99,722
740189AK1	PRECISION CASTPARTS CORP	1.25	1/15/2018	150,000	146,062
742718DQ9	PROCTER & GAMBLE COMPANY	3.15	9/1/2015	1,315,000	1,378,122
742718DS5	PROCTER & GAMBLE COMPANY	1.80	11/15/2015	500,000	512,350
74913GAT2	QWEST CORP	6.50	6/1/2017	500,000	565,136
751212AA9	RALPH LAUREN CORP	2.13	8/26/2018	5,325,000	5,351,012
75405UAB2	RAS LAFFAN LNG 3	5.83	9/30/2016	258,500	274,878
75886AAK4	REGENCY ENERGY	5.75	6/1/2020	4,000,000	4,020,000
761713AE6	REYNOLDS AMERICAN INC	7.63	6/1/2016	250,000	292,203
761713AV8	REYNOLDS AMERICAN INC	1.05	10/30/2015	83,000	83,040
767201AC0	RIO TINTO FINANCE (USA) LTD	6.50	7/15/2018	125,000	147,058
767201AF3	RIO TINTO FINANCE (USA) LTD	8.95	5/1/2014	9,175,000	9,610,629
767201AJ5	RIO TINTO FINANCE (USA) LTD	1.88	11/2/2015	3,200,000	3,247,912
76720AAA4	RIO TINTO FINANCE (USA) PLC	1.13	3/20/2015	200,000	199,938
76720AAE6	RIO TINTO FINANCE (USA) PLC	1.63	8/21/2017	200,000	196,911
77509NAK9	ROGERS COMMUN INC.	5.50	3/15/2014	10,000,000	10,215,200
77531QAM0	ROGERS COMMUN INC.	7.50	3/15/2015	250,000	273,129
776696AD8	ROPER IND, INC.	1.85	11/15/2017	100,000	99,056
77819RAA7	ROSNEFT INTERNATIONAL FINANCE	4.20	3/6/2022	2,090,000	1,939,588
78355HJR1	RYDER SYSTEM INC.	3.50	6/1/2017	5,875,000	6,050,333
78355HJS9	RYDER SYSTEM INC.	2.50	2/1/2017	350,000	350,111
78387GAL7	AT&T INC	5.63	6/15/2016	1,350,000	1,498,013
78572MAD7	SABMILLER PLC	6.50	7/1/2016	6,250,000	7,147,803
78659QAA0	SAFWAY GROUP HOLDING LLC	7.00	5/15/2017	237,000	239,963

790849AH6	ST JUDE MEDICAL INC	2.50	1/15/2016	5,000,000	5,143,373
79546VAJ5	SALLY HOLDINGS LLC/SALLY CAPIT	5.75	6/1/2022	5,000,000	4,987,500
801060AB0	SANOFI SA	1.25	4/10/2018	5,538,000	5,396,761
806854AA3	SCHLUMBERGER GER INV	1.95	9/14/2016	1,950,000	1,989,141
80685PAC2	SCHLUMBERGER NORGE AS	1.95	9/14/2016	2,700,000	2,770,040
811065AA9	SCRIPPS NETWORKS INTERACTIVE I	2.70	12/15/2016	250,000	259,150
822582AH5	SHELL INTERNATIONAL FINANCE BV	3.25	9/22/2015	750,000	788,258
824348AP1	SHERWIN-WILLIAMS COMPANY (THE)	1.35	12/15/2017	350,000	343,507
83404DAA7	SOFTBANK CORP	4.50	4/15/2020	2,000,000	1,909,167
843452BC6	SOUTHERN NAT GAS CO LLC	5.90	4/1/2017	250,000	282,891
844741AX6	SOUTHWEST AIRLINES CO.	5.13	3/1/2017	250,000	274,024
852061AQ3	SPRINT NEXTEL CORPORATION	7.00	3/1/2020	3,000,000	3,240,000
871503AG3	SYMANTEC CORP	2.75	9/15/2015	100,000	102,935
871503AJ7	SYMANTEC CORP	2.75	5/15/2017	100,000	101,415
871829AL1	SYSCO CORP	5.25	2/12/2018	250,000	284,459
872882AC9	TSMC GLOBAL LTD	1.63	4/3/2018	4,000,000	3,867,800
87612EAP1	TARGET CORPORATION	5.38	5/1/2017	250,000	284,234
87612EAS5	TARGET CORPORATION	6.00	1/15/2018	200,000	234,606
878237AF3	TECH DATA CORP	3.75	9/21/2017	300,000	306,220
878742AX3	TECK RESOURCES LIMITED	2.50	2/1/2018	150,000	147,631
87938WAJ2	TELEFONICA EMISIONES SAU	4.95	1/15/2015	12,000,000	12,435,960
87938WAN3	TELEFONICA EMISIONES SAU	3.99	2/16/2016	650,000	672,588
87938WAQ6	TELEFONICA EMISIONES SAU	3.19	4/27/2018	350,000	344,604
88165FAC6	TEVA PHARMAC FIN	2.40	11/10/2016	300,000	308,703
882508AR5	TEXAS INSTRUMENTS INCORPORATED	2.38	5/16/2016	250,000	260,039
883556AW2	THERMO FISHER SCIENTIFIC INC	2.05	2/21/2014	2,000,000	2,009,920
883556BA9	THERMO FISHER SCIENTIFIC INC	2.25	8/15/2016	3,850,000	3,922,631
884903BL8	THOMSON REUTERS CORP	0.88	5/23/2016	3,400,000	3,373,480
88579YAD3	3M CO	1.38	9/29/2016	150,000	152,434
88579YAE1	3M CO	1.00	6/26/2017	300,000	294,676
88632QAB9	TIBCO SOFTWARE INC	2.25	5/5/2017	3,750,000	3,806,325
887317AC9	TIME WARNER INC	5.88	11/15/2016	250,000	283,028
887317AJ4	TIME WARNER INC	3.15	7/15/2015	4,250,000	4,421,100
88732JAH1	TIME WARNER CABLE INC	5.85	5/1/2017	250,000	271,459
88732JAL2	TIME WARNER CABLE INC	6.75	7/1/2018	300,000	333,426
89152UAG7	TOTAL CAPITAL S.A.	2.13	8/10/2018	250,000	250,861
89153VAA7	TOTAL CAPITAL INTERNATIONAL SA	1.50	2/17/2017	500,000	502,632
89153VAC3	TOTAL CAPITAL INTERNATIONAL SA	1.55	6/28/2017	6,500,000	6,518,828
89153VAD1	TOTAL CAPITAL INTERNATIONAL SA	0.75	1/25/2016	4,550,000	4,536,942
89153VAF6	TOTAL CAPITAL INTERNATIONAL SA	1.00	8/12/2016	3,360,000	3,357,595
89233P4B9	TOYOTA MOTOR CREDIT CORP	3.20	6/17/2015	2,409,000	2,513,497
89233P6D3	TOYOTA MOTOR CREDIT CORP	1.75	5/22/2017	650,000	655,504
89233P6J0	TOYOTA MOTOR CREDIT CORP	0.88	7/17/2015	150,000	150,745
89233P7E0	TOYOTA MOTOR CREDIT CORP	1.38	1/10/2018	200,000	196,841
89236TAL9	TOYOTA MOTOR CREDIT CORP	0.80	5/17/2016	250,000	249,382
89378TAB9	TRANSNET LTD	4.50	2/10/2016	5,950,000	6,160,954
893830AS8	TRANSOCEAN INC	6.00	3/15/2018	250,000	280,615
893830BA6	TRANSOCEAN INC	5.05	12/15/2016	250,000	273,347
900212AE1	EATON CORPORATION	0.95	11/2/2015	250,000	250,121
900212AG6	EATON CORPORATION	1.50	11/2/2017	250,000	246,182
902133AF4	TYCO ELECTRONICS GROUP SA	6.55	10/1/2017	250,000	287,902
90345WAD6	US AIRWAYS P-T TR	4.63	9/20/2021	1,450,000	1,392,000
904764AP2	UNILEVER CAPITAL CORP	0.85	8/2/2017	6,275,000	6,132,691
907818CV8	UNION PACIFIC CORP	4.88	1/15/2015	250,000	263,445
911365AY0	UNITED RENTALS (N AMER), INC.	5.75	7/15/2017	145,000	152,069
913017BU2	UNITED TECH CORP	1.80	6/1/2017	15,175,000	15,396,582
91324PBJ0	UNITEDHEALTH GROUP INCORPORATE	6.00	2/15/2018	300,000	351,502
91324PBY7	UNITEDHEALTH GROUP INCORPORATE	1.40	10/15/2017	2,725,000	2,694,271
91911TAF0	VALE OVERSEAS LIMITED	6.25	1/11/2016	300,000	329,473
91913YAM2	VALERO ENERGY CORPORATION	6.13	6/15/2017	450,000	514,404
92343VAM6	VERIZON COMMUNICATIONS LLC	6.10	4/15/2018	150,000	173,661
92343VAY0	VERIZON COMMUNICATIONS LLC	3.00	4/1/2016	15,700,000	16,364,174
92343VBB9	VERIZON COMMUNICATIONS LLC	1.25	11/3/2014	250,000	251,417
92343VBD5	VERIZON COMMUNICATIONS LLC	2.00	11/1/2016	250,000	253,560
92343VBF0	VERIZON COMMUNICATIONS LLC	1.10	11/1/2017	250,000	240,837

92343VBN3	VERIZON COMMUNICATIONS LLC	2.50	9/15/2016	17,359,000	17,912,302
92343VBP8	VERIZON COMMUNICATIONS LLC	3.65	9/14/2018	1,350,000	1,425,122
92344SAK6	CELLCO PARTNERSHIP/VERIZON WIR	8.50	11/15/2018	9,000,000	11,510,877
92553PAG7	VIACOM INC	3.50	4/1/2017	250,000	263,570
92553PAS1	VIACOM INC	2.50	9/1/2018	2,540,000	2,541,124
92857WAP5	VODAFONE GROUP PLC	5.63	2/27/2017	10,300,000	11,544,789
92857WBE9	VODAFONE GROUP PLC	1.50	2/19/2018	3,200,000	3,101,640
928670AJ7	VOLKSWAGEN INTERNATIONAL FINAN	1.63	3/22/2015	7,500,000	7,561,141
931142CX9	WAL-MART STORES INC	1.50	10/25/2015	9,000,000	9,151,853
931142DA8	WAL-MART STORES INC	1.63	4/15/2014	4,600,000	4,632,476
931142DE0	WAL-MART STORES INC	0.60	4/11/2016	5,400,000	5,380,382
931142DF7	WAL-MART STORES INC	1.13	4/11/2018	500,000	486,667
931422AJ8	WALGREEN CO	1.80	9/15/2017	250,000	250,571
94106LAX7	WASTE MANAGEMENT INC	2.60	9/1/2016	150,000	154,581
942683AD5	WATSON PHARMACEUTICALS INC.	5.00	8/15/2014	4,000,000	4,141,240
942683AG8	WATSON PHARMACEUTICALS INC.	1.88	10/1/2017	4,950,000	4,909,371
947074AJ9	WEATHERFORD INTL INC	6.35	6/15/2017	600,000	678,061
947075AD9	WEATHERFORD INTERNATIONAL LTD	6.00	3/15/2018	1,347,000	1,508,971
94770VAF9	WEBMD HEALTH CORP	2.50	1/31/2018	4,100,000	3,861,278
94770VAH5	WEBMD HEALTH CORP	2.25	3/31/2016	4,680,000	4,584,037
94973VAK3	WELLPOINT INC	5.25	1/15/2016	500,000	545,274
94973VBC0	WELLPOINT INC	1.88	1/15/2018	250,000	247,803
950840AC2	WESFARMERS LTD	1.87	3/20/2018	825,000	812,225
96950HAD2	WILLIAMS PARTNERS LP	7.25	2/1/2017	250,000	290,879
983024AJ9	WYETH	5.50	2/15/2016	700,000	774,957
98310WAH1	WYNDHAM WORLDWIDE CORP	2.95	2/1/2017	250,000	254,863
984121CF8	XEROX CORPORATION	2.95	3/15/2017	250,000	256,289
98417EAU4	XSTRATA FINANCE CANADA LTD	2.70	10/25/2017	8,705,000	8,608,920
98419MAA8	XYLEM INC/NY	3.55	9/20/2016	4,475,000	4,697,073
989194AG0	ZAYO GROUP LLC/ZAYO CAPITAL IN	8.13	7/1/2015	780,000	853,125
98978VAF0	ZOETIS INC	1.88	2/1/2018	2,550,000	2,532,612
BRS3H8370	REALOGY CORP	0.00	10/10/2013	111,664	111,664
BRS748CX8	FEDERAL MOGUL CORP	0.00	12/29/2014	787,577	772,810
BRS748CY6	FEDERAL MOGUL CORP	0.00	12/28/2015	1,212,422	1,189,689
BRS75LWJ7	CLEAR CHANNEL COMMUN, INC.	0.00	1/29/2016	219,469	206,576
BRS7BLBP9	CLEAR CHANNEL COMMUN, INC.	0.00	1/29/2016	32,735	30,308
BRS9PGQM2	ARAMARK CORPORATION	0.00	7/26/2016	8,639	8,644
BRSAUE236	DAVITA HEALTHCARE PARTNERS INC	0.00	10/20/2016	1,452,871	1,457,690
BRSAZTC86	COMMUNITY HLTH SYST INC	0.00	1/25/2017	1,227,697	1,226,418
BRSB93KD0	CONVATEC INC	0.00	11/6/2013	1,333,326	1,339,437
BRSBBKBD9	UCI INTERNATIONAL TL B	0.00	7/26/2017	121,563	122,322
BRSBGXH81	DEL MONTE FOODS CO	0.00	3/8/2018	1,371,795	1,367,081
BRSBH7HM6	AVAYA INC.	0.00	10/26/2017	902,239	806,701
BRSBHFX32	AXCAN INTER HLDG	0.00	2/10/2017	2,304,833	2,304,118
BRSBHYHF2	WALTER ENERGY INC	0.00	4/2/2018	1,230,569	1,180,321
BRSBJ24Q0	WALTER ENERGY INC	0.00	4/1/2016	304,798	295,749
BRSBK2348	GYMBOREE CORP	0.00	2/23/2018	213,981	206,568
BRSBLUS55	US TELEPACI	0.00	2/23/2017	1,861,147	1,856,960
BRSBLUUU7	MICHAEL FOODS GROUP INC	0.00	2/25/2018	360,661	362,615
BRSBMSAB5	NEXEO SOLUTIONS LLC	0.00	9/8/2017	1,662,204	1,641,426
BRSBNJXW3	UNIVR INC	0.00	6/30/2017	647,049	623,132
BRSBPT1D6	GENTEK HOLDING LLC	0.00	10/6/2015	481,408	484,417
BRSBQ1JW5	CALPINE CORP	0.00	2/15/2014	1,743,849	1,744,005
BRSBQ8BN8	MIDCONTINENT COMMUNICATIONS	0.00	7/30/2020	326,572	326,436
BRSBQNA63	NXP BV AND NXP FUNDING LLC	0.00	3/4/2015	347,335	351,568
BRSBQPW49	UNIVERSAL HEALTH SERVICES INC	0.00	11/17/2013	147,024	147,389
BRSBR2E98	JMC STEEL GROUP	0.00	4/1/2017	759,329	760,753
BRSBR4P35	JO-ANN STORES	0.00	3/16/2018	918,185	916,463
BRSBRMCQ8	WARNER CHILCOTT CORP	0.00	3/15/2018	533,673	533,451
BRSBRMD95	WARNER CHILCOTT CORP	0.00	3/15/2018	419,468	419,293
BRSBT2DD8	FIRST DATA CORP	0.00	3/23/2018	3,661,168	3,626,518
BRSBYALT0	EMERGENCY MEDICAL SVCS CORP	0.00	5/25/2018	934,972	932,635
BRSBZZDX4	GOLDEN LIVING	0.00	5/4/2018	226,615	216,191
BRSC103Q2	KAR AUCTION SERVICES INC	0.00	11/29/2013	1,218,859	1,220,764
BRSC3G4F8	NEIMAN MARCUS GROUP INC. THE	0.00	5/16/2018	1,439,899	1,435,999

BRSC5JRR9	TOYS R US DELAWR	0.00	5/25/2018	362,553	346,782
BRSC6D3K2	QUINTILES TRANSNATIONAL CORP.	0.00	6/8/2018	1,373,232	1,370,657
BRSC7W2L8	AWAS AVIATION SERVICES INC	0.00	6/10/2016	712,925	712,034
BRSC8ZGD3	SRM	0.00	4/10/2020	540,417	530,959
BRSC96U16	LAUREATE EDUCATION INC	0.00	6/15/2018	1,641,229	1,642,254
BRSCDGPL1	INVENTIV HEALTH INC	0.00	8/4/2016	484,898	472,776
BRSCF42A5	INVENTIV HEALTH INC	0.00	5/15/2018	711,463	693,676
BRSCG97X8	SURGICAL CARE AFFILIATES INC	0.00	6/29/2018	758,100	752,414
BRSCH2HF0	AUTOPARTS HOLDINGS LTD	0.00	7/29/2017	1,229,716	1,204,359
BRSCHUN87	SUNCOKE ENERGY INC	0.00	7/26/2018	159,653	158,455
BRSDKUDY5	SIX FLAGS THEME PARKS INC	0.00	12/11/2013	483,183	486,505
BRSDLMQR3	CAPITAL SAFETY GROUP LTD	0.00	1/21/2019	1,503,765	1,501,885
BRSDYJ7G1	HAWAIIAN TELCOM COMMUNICATIONS	0.00	2/28/2014	999,904	1,000,904
BRSDYRD76	EMI MUSIC PUBLISHING LTD	0.00	6/29/2018	1,197,920	1,200,915
BRSDYT4C1	CEQUEL COMMUNICATIONS LLC	0.00	2/14/2019	952,582	950,201
BRSDZCRW8	SIEMENS FINANCIERINGSMAATSCHAP	1.65	8/16/2019	3,500,000	3,820,425
BRSE63UD6	CAESARS ENTERTAINMENT OPERATIN	0.00	1/28/2018	260,000	236,090
BRSE7U0Q9	COMMSCOPE INC.	0.00	1/14/2018	891,491	891,202
BRSE9A2P1	YANKEE CANDLE CO INC	0.00	4/2/2019	733,103	732,737
BRSE9C0N4	PROTECTION ONE, INC.	0.00	3/22/2014	913,442	913,442
BRSEE9HS6	ASCEND PERFORMANCE MATERIALS L	0.00	4/10/2018	1,778,917	1,683,301
BRSEEQB47	TOYS R US DELAWR	0.00	5/25/2018	154,983	147,234
BRSEF3LW4	GOODYEAR TIRE & RUBBER CO	0.00	4/30/2019	1,930,000	1,940,856
BRSEF7SN8	SPIRIT AROSYSTMS	0.00	4/18/2019	464,125	465,285
BRSEFJZU8	HD SUPPLY	0.00	4/3/2015	3,749,032	3,753,696
BRSEH00P6	TELESAT CANADA	0.00	3/28/2017	1,535,625	1,482,739
BRSEH0S92	CATALINA MARKETING CORPORATION	0.00	4/6/2014	1,087,807	1,098,346
BRSEHTXV4	FREEDOM GROUP INC	0.00	4/19/2019	318,185	318,185
BRSEKNUF1	INEOS US FINANCE LLC	0.00	5/4/2018	868,480	858,529
BRSELNYG4	INEOS US FINANCE LLC	0.00	4/27/2014	181,966	182,269
BRSEQCJ21	HARRAHS LAS VEGAS PROPCO LLC	0.00	2/13/2014	6,245,000	6,084,972
BRSES4VS6	BURLINGTON COAT FACTORY WAREHO	0.00	2/23/2017	443,090	442,979
BRSEW6RB8	GENERAC POWER SYSTEMS INC	0.00	5/31/2020	1,895,000	1,874,471
BRSEYJV56	THERMASYS CORP	0.00	5/3/2019	770,000	771,284
BRSEZ4VS8	ZAYO GROUP LLC	0.00	7/2/2019	1,493,466	1,492,300
BRSF2MUR4	AWAS AVIATION CAPITAL LTD	0.00	7/16/2018	80,845	80,845
BRSF8LRV5	INTELLIGRATED INC	0.00	7/30/2018	694,750	693,882
BRSFEPVD4	DAVITA HEALTHCARE PARTNERS INC	0.00	11/1/2019	1,339,042	1,342,389
BRSFFNE54	NAVISTAR INTERNATIONAL CORPORA	0.00	8/17/2014	420,542	424,221
BRSFGD3F5	GENPACT LTD	0.00	8/30/2019	2,114,052	2,117,576
BRSFKYGX1	WARNER CHILCOTT CORP	0.00	3/15/2018	232,321	232,224
BRSFP5V79	CNO FINANCIAL GROUP INC	0.00	11/21/2013	1,066,278	1,070,277
BRSFPRNH8	GETTY IMAGES INC.	0.00	10/18/2019	444,698	396,151
BRSFPTRK3	SAMSON INVESTMENT CO	0.00	9/25/2018	765,000	765,383
BRSFQ6PR9	FOXCO ACQSTN SUB	0.00	7/14/2017	930,117	933,605
BRSFRQMG1	REYNOLDS GROUP HOLDINGS INC	0.00	9/28/2018	2,101,955	2,104,583
BRSFS71H3	BJS WHOLESALE CLUB, INC.	0.00	9/6/2015	510,000	519,139
BRSFTR0V8	INFOR US INC	0.00	4/5/2018	2,531,441	2,536,188
BRSFVFMJ4	INTELSAT JACKSON	0.00	4/2/2018	2,989,189	2,992,926
BRSFVG4M5	LEVEL 3 FINANCING INC	0.00	10/4/2013	2,570,000	2,573,169
BRSFWACE6	LEAP WIRELESS INTL INC	0.00	10/10/2019	574,777	574,298
BRSFWQSC8	TRANSTAR HOLDING COMPANY	0.00	10/9/2013	1,009,800	1,012,325
BRSFX7D35	CDR DB SUB INC	0.00	10/12/2013	1,954,006	1,958,891
BRSFXK170	FMG RESOURCES (AUGUST 2006) PT	0.00	10/18/2013	2,643,031	2,650,841
BRSFXMS69	LESLIES POOLMART, INC.	0.00	10/16/2013	1,804,568	1,810,207
BRSFXW3C1	PROGRESSIVE WASTE SOLUTIONS LT	0.00	10/24/2019	888,288	886,067
BRSFXZ4E9	VANTAGE DRILLING CO	0.00	10/25/2013	1,121,315	1,122,249
BRSFYCTR3	HARVARD DRUG GROUP LLC /THE	0.00	10/29/2013	1,500,000	1,504,695
BRSFYE413	EVERGREEN ACQCO 1 LP	0.00	10/4/2013	2,209,666	2,212,428
BRSFYGWB5	TRUVEN HEALTH ANALYTICS INC	0.00	10/27/2013	886,067	886,067
BRSFZ15K7	GCA SERVICES GROUP INC	0.00	11/1/2019	844,115	843,324
BRSFZCHP9	GRAY TELEVISION INC.	0.00	10/12/2013	933,586	936,795
BRSFZGGS5	GARDA WORLD SEC	0.00	11/13/2019	466,475	465,892
BRSG1GA15	SPECTRUM BRANDS HOLDINGS INC	0.00	12/18/2013	1,514,271	1,516,542
BRSG2YW45	INSIGHT GLOBAL INC	0.00	10/31/2013	808,888	812,932

BRSG3U4W1	MRC GLOBAL INC	0.00	11/9/2013	1,500,000	1,506,563
BRSG4MWC1	TALLGRASS ENERGY PARTNERS LP	0.00	11/13/2013	2,000,000	2,013,000
BRSG65QL3	CHESAPEAKE ENERGY CORP	0.00	11/10/2015	2,110,000	2,145,606
BRSG7ST70	CHG HEALTHCARE SERVICES INC	0.00	11/19/2013	837,039	841,486
BRSG82NP2	CONSOLIDATED COMMUNICATIONS IN	0.00	12/5/2013	1,846,050	1,852,373
BRSG8LKZ1	ACADEMY SPORTS & OUTDOORS INC	0.00	11/6/2013	2,306,802	2,312,938
BRSG8SYA6	BASS PRO GROUP LLC	0.00	11/20/2019	1,255,926	1,251,606
BRSG8THL9	SEALED AIR CORP	0.00	11/15/2013	786,000	791,109
BRSG8UAX7	FLEETPRIDE INC	0.00	11/19/2019	744,375	718,322
BRSG9SY49	ARDENT MEDICAL	0.00	1/2/2014	2,045,838	2,050,952
BRSGAECB6	NEWPAGE CORP	0.00	12/22/2015	746,241	756,190
BRSGASEE7	WEB.COM GROUP INC	0.00	11/21/2013	309,946	310,720
BRSGCQN17	SEQUA CORP	0.00	12/19/2013	2,389,062	2,393,045
BRSGEARA6	PVH CORP	0.00	2/13/2020	945,150	944,166
BRSGEC9C8	PATHEON	0.00	12/14/2013	530,988	533,642
BRSGF9UP1	SUNGARD DATA SYST INC.	0.00	12/18/2013	545,875	550,415
BRSGFA782	RIVERBED TECHNOLOGY INC	0.00	12/19/2013	1,196,051	1,202,031
BRSGGZLV9	MGM RESORTS INTERNATIONAL	0.00	12/20/2019	1,098,652	1,092,570
BRSGV88K1	MEDASSETS INC	0.00	12/14/2013	377,433	377,551
BRSGVPQQ0	REDPRAIRIE CORP	0.00	12/14/2013	243,478	244,898
BRSGWBFK5	MIRROR BIDCO CORP	0.00	12/28/2013	2,166,188	2,173,407
BRSGWY6Y5	CCC INFORMATION SERVICES GROUP	0.00	12/20/2019	441,663	439,730
BRSGYQEJ4	ALCATEL-LUCENT USA INC	0.00	2/17/2014	3,708,538	3,732,643
BRSGZU497	AVAYA INC.	0.00	3/31/2018	461,504	436,370
BRSGZV4B0	CUMULUS MED INC.	0.00	12/21/2013	1,289,765	1,298,094
BRSH21DB0	NEP/NCP HOLDCO INC	0.00	12/24/2015	274,286	280,229
BRSH3M7X2	FLASH DUTCH 2 BV AND US COATIN	0.00	2/1/2014	2,664,575	2,669,808
BRSH4GA51	AMERIFORGE GROUP INC	0.00	1/25/2014	858,936	858,936
BRSH4GDD1	AMERIFORGE GROUP INC	0.00	1/25/2016	390,000	393,171
BRSH4X0F3	DIGITALGLOBE INC	0.00	1/31/2020	1,064,650	1,064,650
BRSH583G2	TESORO CORP	0.00	5/30/2016	1,127,175	1,129,054
BRSH5BNL2	MICHAELS STORES INC	0.00	1/29/2014	1,600,988	1,602,417
BRSH62SH5	APEX TOOL GROUP LLC	0.00	2/1/2014	999,975	1,000,605
BRSH9LJ56	CROSSMARK HOLDINGS INC	0.00	12/20/2019	486,325	480,246
BRSH9VWL4	UNIFRAX I LLC	0.00	2/5/2014	456,550	456,892
BRSHA8HD8	VWR FUNDING INC	0.00	4/3/2017	572,125	571,410
BRSHAG9G2	SILVER II BORROWER SCA	0.00	12/13/2019	763,156	756,691
BRSHAH1M5	PHARMACEUTICAL PRODUCT DEV, IN	0.00	1/31/2014	2,078,385	2,081,849
BRSHB1YS0	RITE AID CORP	0.00	2/21/2020	691,525	691,957
BRSHB2956	RITE AID CORP	0.00	2/22/2016	520,000	530,920
BRSHB29T4	ADS WASTE ESCROW	0.00	10/9/2019	2,910,480	2,907,307
BRSHB7HU1	INTERACTIVE DATA CORP	0.00	2/11/2018	1,773,698	1,765,939
BRSHBDMR9	FREESCALE SEMICONDUCTOR INC	0.00	3/1/2014	1,716,375	1,721,507
BRSHBEH02	ARRIS GROUP INC.	0.00	4/17/2020	313,425	310,551
BRSHBEVL0	GO DADDY OPERATING CO LLC	0.00	12/17/2018	1,710,000	1,701,878
BRSHBRX70	J CREW GROUP INC	0.00	3/7/2018	306,086	304,874
BRSHBW711	TERVITA CORP	0.00	5/15/2018	376,731	367,627
BRSHC6N35	BAKERCORP INTERNATIONAL INC	0.00	2/7/2020	671,634	661,560
BRSHC7CJ0	IMS HEALTH INCORPORATED	0.00	9/1/2017	2,255,940	2,257,350
BRSHC8K00	VIRGIN MEDIA INV	0.00	6/8/2020	1,240,000	1,232,595
BRSHCC201	SOPHIA LP	0.00	7/19/2018	1,052,634	1,056,253
BRSHCGRY1	SABRE INC	0.00	2/20/2014	650,088	652,688
BRSHCL6M9	PARTY CITY HOLDINGS INC	0.00	7/27/2019	2,628,968	2,623,200
BRSHD4UZ0	PHARMACEUTICAL RSRCE INC	0.00	9/30/2019	2,773,549	2,758,525
BRSHDAGH2	SERVICEMASTER CO	0.00	1/31/2017	1,750,890	1,702,376
BRSHDDGD5	UNIVISION COMMUN INC.	0.00	3/1/2020	1,747,370	1,738,196
BRSHDW2Q9	INTEGRA TELECO	0.00	2/21/2014	510,000	522,325
BRSHE8JF7	KABEL DEUTSCHLAND VERTRIEB UND	0.00	2/1/2019	135,000	134,916
BRSHE90B4	ARAMARK CORPORATION	0.00	2/14/2014	2,845,000	2,845,882
BRSHE9156	TRANSDIGM INC	0.00	2/28/2020	377,150	375,406
BRSHE9J24	BJS WHOLESALE CLUB, INC.	0.00	9/26/2019	1,843,636	1,835,450
BRSHEMWF1	MEG ENERGY CORP	0.00	2/15/2014	748,303	750,641
BRSHGA5W8	IMMUCOR, INC.	0.00	2/20/2014	2,171,565	2,181,066
BRSHGQ826	STATION CASINOS LLC	0.00	3/1/2014	2,751,175	2,768,370
BRSHH3U39	IASIS HELTHCARE CORP	0.00	2/20/2014	469,396	471,860

BRSHH6H11	VALEANT PHARMACEUTICALS INTERN	0.00	8/22/2014	1,259,063	1,260,825
BRSHH6K90	VALEANT PHARMACEUTICALS INTERN	0.00	8/22/2014	1,355,452	1,356,926
BRSHJ8GU2	SUNGARD DATA SYST INC.	0.00	3/8/2014	373,125	374,175
BRSHKFUT1	TOTAL SAFETY US INC	0.00	3/4/2014	512,425	516,268
BRSHKFUZ7	TOTAL SAFETY US INC	0.00	3/13/2014	324,188	329,861
BRSHKR2U3	NIELSEN FINANCE LLC/NIELSON FI	0.00	5/1/2016	1,161,464	1,162,190
BRSHM2RV7	NOVELIS INC/GA	0.00	3/5/2014	2,006,433	2,007,663
BRSHMA6X8	SALEM COMMUNS CORP	0.00	2/27/2014	793,267	794,258
BRSHNCDP2	SCHAEFFLER AG	0.00	1/27/2017	110,000	110,220
BRSHNYK50	PHILADELPHIA ENERGY SOLUTIONS	0.00	4/4/2018	1,202,013	1,051,761
BRSHP7WD7	VNGD HLTH HLD II	0.00	1/29/2016	581,427	580,839
BRSHQLXD4	SIRVA WORLDWIDE	0.00	9/26/2016	855,700	864,257
BRSHRVRB2	ROC FINANCE LLC	0.00	6/20/2019	510,000	509,522
BRSHSQTZ7	FENDER MUSICAL INSTRUMENTS COR	0.00	3/28/2014	197,313	197,313
BRSHT6NF0	REDDY ICE	0.00	5/1/2019	1,316,700	1,303,533
BRSHTPNN1	HEINZ H. J. COMPANY	0.00	6/7/2014	2,705,000	2,712,439
BRSHU3AD4	DONCASTERS FINANCE US LLC	0.00	4/9/2014	425,363	426,426
BRSHU5PD3	AMERICAN BUILDERS & CONTRACTOR	0.00	4/16/2020	2,255,000	2,235,833
BRSHU85V9	PANDA TEMPLE POWER II LLC	0.00	4/6/2019	720,000	732,600
BRSHUVL24	WIDEOPENWEST FINANCE LLC	0.00	4/1/2014	829,532	833,679
BRSHV5U04	LTS BUYER LLC	0.00	4/13/2020	1,250,000	1,249,219
BRSHV7WA6	CHARTER COM OPER	0.00	7/1/2020	997,500	986,123
BRSHVP672	OSI RESTAURANT PARTNERS INC	0.00	10/28/2019	680,000	678,159
BRSHXEJA4	AFFINIA GROUP	0.00	4/25/2020	733,163	733,163
BRSHY1MJ8	LIVINGSTON INTERNATIONAL INC	0.00	4/18/2019	628,425	625,283
BRSHY1NH1	LIVINGSTON INTERNATIONAL INC	0.00	4/9/2015	290,000	290,725
BRSHYMGK6	SPROUTS FARMERS MARKETS HOLDIN	0.00	4/23/2014	358,250	358,922
BRSHZJ1V4	EMDEON INC	0.00	11/2/2018	1,528,822	1,528,185
BRSJ0MJU4	PINACLE FOOD FIN	0.00	4/29/2020	1,496,250	1,482,410
BRSJ16FK4	FIRST DATA CORP	0.00	9/24/2018	1,555,000	1,542,560
BRSJ25YE8	DOLE FOOD CO INC.	0.00	4/1/2020	1,402,950	1,400,611
BRSJ3F663	EQUINOX HOLD	0.00	4/3/2014	937,650	940,580
BRSJ3RZP3	CATALENT PHARMA SOLUTIONS INC	0.00	12/31/2017	325,000	325,000
BRSJ4CG27	LA FRONTERA GENERATION LLC	0.00	4/25/2014	2,195,000	2,200,488
BRSJ4FFC9	HCE-THE HEALTHCARE COMPANY	0.00	5/1/2018	490,000	488,775
BRSJ4T9G7	DELTA AIR LINES INC	0.00	10/23/2013	980,240	982,158
BRSJ6G9A6	COINMACH SERVICE CORP	0.00	11/14/2019	1,605,000	1,598,981
BRSJ6GHT6	GIM CHANNELVIEW COGENERATION L	0.00	5/2/2014	608,475	610,757
BRSJ6JQ29	LEARNING CARE GROUP US NO 2 IN	0.00	5/8/2019	445,000	443,331
BRSJ6JRK8	COMPUCOM SYST INC	0.00	5/9/2020	324,188	322,297
BRSJ6XDV8	ON ASSIGNMENT, INC.	0.00	5/15/2020	511,290	510,437
BRSJ76A64	HCE-THE HEALTHCARE COMPANY	0.00	3/31/2017	760,000	758,236
BRSJ76ZK6	PERFORMANCE FOOD GRP CO	0.00	11/14/2019	1,481,288	1,463,697
BRSJ8J5P9	US AIRWAYS INC	0.00	5/23/2019	945,000	939,094
BRSJ8JHT8	PACT GROUP (USA) INC	0.00	5/29/2020	1,895,250	1,864,452
BRSJ8WDB2	MURRAY ENERGY CORP	0.00	5/24/2019	603,488	601,224
BRSJ9AL38	ALPHA NATURAL RESOURCES INC	0.00	5/22/2020	606,950	581,045
BRSJA8RE1	PACIFIC DRILLING SA	0.00	5/14/2014	1,127,175	1,129,993
BRSJAP2H3	JC PENNEY CORPORATION INC	0.00	5/22/2018	1,753,113	1,700,319
BRSJARDR5	SUPERVALU INC.	0.00	3/21/2019	2,047,827	2,038,868
BRSJB0KT1	STONERIVER GROUP LP	0.00	11/30/2019	925,000	916,906
BRSJB0UU7	STONERIVER GROUP LP	0.00	5/16/2015	755,000	764,438
BRSJBKD99	EP ENERGY LLC/EVEREST ACQUISIT	0.00	5/24/2018	1,920,000	1,905,600
BRSJBU1C3	PRIMEDIA INC.	0.00	5/29/2020	962,588	944,539
BRSJBU2A6	ARYSTA LIFESCIENCE SPC LLC	0.00	5/29/2020	2,114,700	2,108,525
BRSJBU2G3	ARYSTA LIFESCIENCE SPC LLC	0.00	11/30/2020	680,000	678,014
BRSJBUF61	CLEAR CHANNEL COMMUN, INC.	0.00	1/30/2019	2,158,288	1,990,347
BRSJEKH76	US FOODS INC	0.00	3/31/2019	473,813	471,592
BRSJFH1J3	ADVANSTAR COMMUN INC.	0.00	5/30/2014	530,000	530,000
BRSJFJJX9	MACDERMID INCORPORATED	0.00	6/7/2020	2,307,975	2,307,255
BRSJFJQ60	MACDERMID INCORPORATED	0.00	5/30/2016	200,000	202,000
BRSJH5AL2	SS&C TECHNOLOGIES INC	0.00	6/7/2019	1,232,293	1,231,267
BRSJHH680	ONEX CARESTREAM FINANCE LP	0.00	6/4/2014	2,364,063	2,373,668
BRSJHYSN6	QUICKSILVER RESOURCES INC	0.00	6/21/2019	445,000	426,644
BRSJKFHA3	INTEGRA TELECO	0.00	6/5/2014	965,150	969,373

BRSJKFTS1	TWCC HOLDING CORP	0.00	6/26/2014	960,000	984,000
BRSJKZTA6	SS&C TECHNOLOGIES HOLDINGS EUR	0.00	6/7/2019	122,770	122,463
BRSJL0JW5	KINETIC CONCEPTS INC / KCI USA	0.00	12/10/2013	345,000	346,725
BRSJL0SE5	CTI FOODS HOLDING CO LLC	0.00	6/29/2020	565,000	557,938
BRSJLDWX0	TRAVELPORT	0.00	6/21/2016	907,725	920,206
BRSJLE1E4	HGIM CORP	0.00	6/18/2020	910,000	910,000
BRSJLVU87	NIELSEN BUSINESS MEDIA HOLDING	0.00	6/17/2020	1,500,000	1,505,625
BRSJLW666	HGIM CORP	0.00	6/18/2018	530,000	530,000
BRSJM8HW9	MERLIN ENTERTAINMENTS SARL	0.00	7/3/2019	1,095,000	1,098,422
BRSJMTFF2	AMERICAN PETROLEUM TANKERS PAR	0.00	6/20/2020	1,240,000	1,240,000
BRSJNKBC1	FOUR SEASONS HOLDINGS INC	0.00	6/19/2014	675,000	688,500
BRSJR0BB3	VALEANT PHARMACEUTICALS INTERN	0.00	12/26/2013	1,682,288	1,692,277
BRSJRL7X4	BOULDER BRANDS INC	0.00	7/9/2020	324,188	323,782
BRSJRLTZ5	DRILLSHIPS FINANCING HOLDING I	0.00	7/2/2014	1,735,000	1,752,350
BRSJSQK33	IKARIA ACQUISITION INC	0.00	7/3/2018	404,875	404,875
BRSJW5QT1	SYNIVERSE HLDGS	0.00	4/23/2019	906,503	904,236
BRSJWZ2W4	HEMISPHERE MEDIA HOLDINGS LLC	0.00	7/16/2014	1,037,400	1,039,994
BRSJXHSQ8	LIONS GATE ENTERTAINMENT CORP	0.00	7/16/2016	305,000	306,271
BRSJXUUF0	OXBOW CARBON LLC	0.00	7/19/2019	1,431,875	1,437,245
BRSJXWB42	ALTICE FINANCING SA	0.00	7/3/2019	1,130,000	1,108,338
BRSJYB2V7	PINNACLE ENTERTAINMENT INC.	0.00	8/13/2020	1,075,000	1,075,672
BRSJYUDH4	SPRINGER SCIENCE+BUSINESS MEDI	0.00	8/14/2020	1,590,000	1,576,088
BRSJZPCA0	TRUE RELIGION APPAREL INC	0.00	7/30/2019	215,000	202,638
BRSK0K738	ROYAL ADHESIVES & SEALANTS LLC	0.00	7/25/2014	455,000	457,844
BRSK0X8H8	USIC HOLDINGS INC	0.00	7/10/2020	545,000	544,046
BRSK0ZGY7	FAENZA ACQUISITION GMBH	0.00	8/30/2020	850,000	847,875
BRSK103W1	FRESENIUS US FINANCE I INC	0.00	8/7/2019	1,765,000	1,760,588
BRSK3WDQ1	PLAYA RESORTS HOLDING BV	0.00	8/2/2014	825,000	829,125
BRSK3WF48	CONTINENTAL BUILDING PRODUCTS	0.00	8/28/2020	525,000	524,016
BRSK4S5S4	BMC SOFTWARE FINANCE INC	0.00	9/10/2020	2,970,000	2,968,515
BRSK5A7F8	BOYD GAMING CORP	0.00	8/14/2020	2,560,000	2,552,960
BRSK5UJM6	FORESIGHT ENERGY LLC	0.00	8/21/2020	1,990,000	1,972,588
BRSK5UM00	LEVEL 3 FINANCING INC	0.00	8/1/2019	895,000	894,776
BRSK5VFY2	US RENAL CARE INC	0.00	8/5/2016	210,000	210,525
BRSK69ZP7	REXNORD CORP	0.00	8/21/2020	1,237,766	1,221,908
BRSK6U7J5	SPECTRUM BRANDS HOLDINGS INC	0.00	9/11/2017	675,000	673,549
BRSK6U8L9	SPECTRUM BRANDS HOLDINGS INC	0.00	8/13/2019	135,000	134,578
BRSK6UML3	BALLY TECHNOLOGIES INC	0.00	8/21/2020	2,670,000	2,667,490
BRSK78NN6	TRINET HR CORP	0.00	8/20/2020	605,000	600,463
BRSK78QV5	LEVEL 3 FINANCING INC	0.00	1/15/2020	2,030,000	2,029,340
BRSK7APE9	US RENAL CARE INC	0.00	8/13/2014	1,003,850	1,005,105
BRSK7RBA5	LIVE NATION ENTERTAINMENT INC	0.00	8/17/2020	325,000	323,375
BRSK99312	CERIDIAN CORP	0.00	5/9/2017	1,978,902	1,977,253
BRSKCJ803	FAIRMOUNT MINERALS LTD	0.00	9/3/2019	3,000,000	3,002,775
BRSKH4DW5	ACTIVISION BLIZZARD INC	0.00	7/26/2020	2,190,000	2,188,642
BRSKKW4R0	CPG INTERNATIONAL INC	0.00	9/13/2020	3,100,000	3,084,500
BRSKM1X29	HILTON WORLDWIDE FINANCE LLC	0.00	9/23/2020	3,800,000	3,793,084
BRSKM5SR1	SABRE INC	0.00	2/19/2019	2,380,000	2,370,044
BRSKMVVS8	FIELDWOOD ENERGY LLC	0.00	9/28/2018	420,000	417,900
BRSKNAPF8	PACIFIC IND SRVCS BIDCO/SPOTLE	0.00	9/24/2018	2,190,000	2,191,380
BRSKNAQ00	FIELDWOOD ENERGY LLC	0.00	9/20/2015	720,000	720,511
BRSKNAQV2	PACIFIC IND SRVCS BIDCO/SPOTLE	0.00	9/20/2015	475,000	477,375
BRSKNUR05	DELL INTERNATIONAL LLC	0.00	9/24/2018	280,000	278,628
BRSKPTEP5	DELL INC	0.00	3/24/2020	6,750,000	6,649,452
C0102MAC9	AIR CANADA	0.00	9/20/2019	1,920,000	1,915,200
G6740DAD8	OFFSHORE GROUP INVESTMENT LTD/	0.00	3/28/2019	174,125	175,975
G90039AD3	TRANSCAPITAL BV	8.70	8/7/2018	700,000	848,841
L5582BAB3	ION TRADING TECHNOLOGIES SARL	0.00	5/22/2020	852,863	850,730
L7256GAB3	OXEA FINANCE & CY SCA	0.00	7/15/2020	915,000	906,994
L7256GAD9	OXEA FINANCE & CY SCA	0.00	1/15/2020	1,280,000	1,272,800
L9057MAA9	TNK-BP FINANCE SA	7.50	7/18/2016	2,750,000	3,077,113
N2109EAE0	CLONDALKIN ACQUISITION	0.00	5/31/2020	673,313	673,313
N5945LAG0	NXP BV AND NXP FUNDING LLC	0.00	12/11/2013	739,413	748,887
U3000JAD1	EVERTEC LLC/EVERTEC FINANCE CO	0.00	4/17/2020	583,538	561,655
				1,124,971,995	1,146,792,672

Corporate Debt Securities - Utilities
010392FH6	ALABAMA POWER COMPANY	0.55	10/15/2015	78,000	77,518
025537AF8	AMERICAN ELECTRIC POWER COMPAN	1.65	12/15/2017	3,000,000	2,925,766
03040WAB1	AMERICAN WATER CAPITAL CORP.	6.09	10/15/2017	150,000	172,778
125896BA7	CMS ENERGY CO	6.55	7/17/2017	350,000	402,089
131347BP0	CALPINE CORP	7.25	10/15/2014	283,000	293,259
196522AK2	COLORADO INTERSTATE GAS CO LLC	6.80	11/15/2015	150,000	168,470
207597ED3	CONNECTICUT LIGHT & PWR CO	5.65	5/1/2018	500,000	580,490
209111ET6	CONSOLIDATED EDISON INC	5.85	4/1/2018	250,000	292,163
256882AD3	DPL INC	7.25	7/15/2021	5,000,000	5,087,500
25746UBJ7	DOMINION RESOURCES INC	2.25	9/1/2015	250,000	256,367
25746UBR9	DOMINION RESOURCES INC	1.40	9/15/2017	4,945,000	4,866,075
264399EQ5	DUKE ENERGY CORP	6.30	2/1/2014	4,000,000	4,074,520
26441CAG0	DUKE ENERGY CORP	2.15	11/15/2016	300,000	305,414
26441CAH8	DUKE ENERGY CORP	1.63	8/15/2017	250,000	246,798
26441CAK1	DUKE ENERGY CORP	2.10	5/15/2018	2,700,000	2,703,539
26875PAF8	EOG RESOURCES INC	2.95	6/1/2015	2,900,000	3,009,073
281020AF4	EDISON INTERNATIONAL INC	3.75	9/15/2017	250,000	264,407
283695BP8	EL PASO NATURAL GAS COMPANY	5.95	4/15/2017	150,000	168,559
29269QAA5	ENERGY FUTURE INTERMEDIATE HOL	10.00	12/1/2018	1,325,000	1,397,875
29273RAH2	ENERGY TRANSFER PARTNERS LP	6.70	7/1/2018	250,000	292,584
29273RAW9	ENERGY TRANSFER PARTNERS LP	3.28	11/1/2066	4,850,000	4,365,000
29364GAG8	ENTERGY CORP	4.70	12/15/2016	250,000	267,157
29379VAS2	ENTERPRISE PRODUCTS OPERATING	3.20	2/1/2016	300,000	314,646
30161MAE3	EXELON GENERATION CO LLC	6.20	10/1/2017	300,000	340,657
30161NAD3	EXELON CORPORATION	4.90	6/15/2015	3,500,000	3,705,281
302570AX4	FPL GROUP CAPITAL INC	6.65	6/15/2017	200,000	203,500
302570AY2	NEXTERA ENERGY CAPITAL HOLDING	7.30	9/1/2017	100,000	105,000
340711AQ3	FL GAS TSMN CO	7.90	5/15/2019	3,400,000	4,178,758
373334JY8	GEORGIA POWER COMPANY	0.75	8/10/2015	300,000	299,688
373334JZ5	GEORGIA POWER COMPANY	0.63	11/15/2015	300,000	297,916
494550AU0	KINDER MORGAN ENERGY PARTNERS	6.00	2/1/2017	250,000	283,035
50064YAB9	KOREA HYDRO & NUCLEAR POWER CO	3.13	9/16/2015	3,100,000	3,195,504
595620AG0	MIDAMERICAN ENERGY CO	5.95	7/15/2017	200,000	229,391
636274AC6	NATIONAL GRID PLC	6.30	8/1/2016	150,000	170,320
65339KAF7	NEXTERA ENERGY CAPITAL HOLDING	1.20	6/1/2015	4,167,000	4,183,730
65473QAS2	NISOURCE FINANCE CORP	6.40	3/15/2018	150,000	173,218
693304AL1	PECO ENERGY CO	5.35	3/1/2018	200,000	227,640
693304AQ0	PECO ENERGY CO	1.20	10/15/2016	111,000	111,578
69352PAG8	PPL CAPITAL FUNDING LLC	1.90	6/1/2018	400,000	392,605
69353UAB7	PPL WEM HOLDINGS PLC	3.90	5/1/2016	2,500,000	2,574,624
698455AB8	PANHANDLE EAST PIPE LINE	7.00	6/15/2018	155,000	182,085
743263AL9	PROGRESS ENERGY INC	5.63	1/15/2016	250,000	273,971
74456QAW6	PUBLIC SERVICE ELECTRIC AND GA	2.70	5/1/2015	425,000	437,975
81013TAB7	SCOTTISH POWER PLC	5.38	3/15/2015	250,000	263,610
816851AS8	SEMPRA ENERGY	2.30	4/1/2017	300,000	305,374
84755TAA5	SPECTRA ENERGY CAPITAL	6.20	4/15/2018	200,000	227,969
84756NAC3	SPECTRA ENERGY PARTNERS LP	2.95	8/25/2018	5,000,000	5,077,771
893526DH3	TRANS-CANADA PIPELINES	3.40	6/1/2015	500,000	520,828
893526DL4	TRANS-CANADA PIPELINES	0.88	3/2/2015	7,000,000	6,999,852
89354FAE1	TRANSCAPITAL BV	8.70	8/7/2018	1,700,000	2,074,000
927804FM1	VIRGINIA ELECTRIC AND POWER CO	1.20	1/15/2018	450,000	439,449
976656CF3	WISCONSIN ELECTRIC POWER COMPA	1.70	6/15/2018	150,000	147,589
98389BAK6	XCEL ENERGY INC	5.61	4/1/2017	200,000	223,303
BRSCAHX41	CALPINE CORP	0.00	4/1/2018	984,887	985,625
BRSFF9019	ESSENTIAL POWER LLC	0.00	8/8/2019	1,000,000	999,200
BRSJ0RC63	DYNEGY INC	0.00	4/23/2020	927,675	925,356
BRSJ6T4S4	POWER BUYER LLC	0.00	5/6/2020	391,111	385,489
BRSJ6T8E1	POWER BUYER LLC	0.00	11/6/2020	215,000	213,208
BRSJ9HMB4	POWERTEAM SERVICES LLC	0.00	5/6/2020	48,889	48,156
BRSJH5B15	STAR WEST GENERATION LLC	0.00	3/13/2014	825,850	828,947
				72,782,412	74,764,248
Asset Backed Securities - Credit Cards
14041NDX6	CAPITAL ONE MULTI-ASSET EXECUT	5.75	9/15/2017	1,350,000	1,565,300
161571FJ8	CHASE ISSUANCE TRUST CHAIT_12-	0.79	6/15/2015	1,300,000	1,304,108

161571FQ2	CHASE ISSUANCE TRUST CHAIT_12-	2.16	9/15/2022	500,000	455,105
17305ECJ2	CCCIT_13-A1	4.85	3/10/2015	2,000,000	2,123,043
17305ECX1	CCCIT_13-A1	5.10	11/20/2015	1,000,000	1,091,742
17305EDE2	CITIBANK CREDIT CARD ISSUANCE	5.30	3/15/2016	2,000,000	2,215,400
17305EDT9	CCCIT_13-A1	6.15	6/15/2039	550,000	636,546
17305EDY8	CCCIT_13-A1	5.65	9/20/2017	3,000,000	3,471,860
17305EEE1	CITIBANK CREDIT CARD ISSUANCE	5.35	2/7/2018	436,000	502,148
254683AC9	DCENT_07-A1	5.65	9/15/2017	1,500,000	1,733,427
36159JDE8	GE CAPITAL CREDIT CARD MASTER	0.95	6/15/2015	275,000	275,913
36159JDH1	GEMNT_12-6	1.36	8/15/2017	900,000	888,590
70659PAD3	PENARTH MASTER ISSUER PENAR_12	0.75	3/18/2014	6,000,000	6,007,460
				20,811,000	22,270,640
Asset Backed Securities - Auto
02006EAC3	ALLY AUTO RECEIVABLES TRUST AL	0.59	1/1/2015	605,000	604,789
13975EAC7	AFIN_13-1	0.79	4/21/2016	1,178,000	1,171,354
14313KAC2	CARMX_12-3	0.52	4/15/2015	275,000	274,479
14313MAC8	CARMX_13-2	0.64	11/1/2015	1,500,000	1,493,714
34529RAD3	FORDO_11-B	1.35	12/16/2014	372,000	375,249
34530AAC9	FORDO_12-D	0.51	4/1/2015	2,200,000	2,196,560
43813CAC4	HONDA AUTO RECEIVABLES OWNER T	0.52	3/4/2015	2,000,000	1,998,930
43813UAD2	HONDA AUTO RECEIVABLES OWNER T	0.97	5/15/2015	500,000	502,904
43814CAD1	HONDA AUTO RECEIVABLES OWNER T	0.62	3/6/2016	615,000	611,440
44924CAA2	HCAF_10-8A	1.18	4/14/2015	1,112,649	1,101,523
58768VAC5	MBALT_13-A	0.59	12/17/2014	1,350,000	1,347,450
65475QAD3	NISSAN AUTO RECEIVABLES OWNER	1.24	7/1/2015	1,600,000	1,615,688
65476GAD4	NISSAN AUTO RECEIVABLES OWNER	0.66	2/28/2016	1,300,000	1,295,954
80283GAC8	SDART_13-3	0.70	5/1/2015	500,000	498,568
98158QAD8	WOART_12-B	0.81	6/13/2016	500,000	496,458
L2R424AA3	ECAR_12-1	1.38	3/19/2017	1,503,574	2,047,403
Z9195VUA5	CAR_12-F1F	1.38	7/12/2014	2,051,671	2,786,965
				19,162,894	20,419,430
Asset Backed Securities - Student Loans
00432CAZ4	AGSL_03-1	1.63	2/23/2025	4,100,000	3,764,493
00432CBB6	AGSL_03-1	1.62	6/8/2027	3,600,000	3,305,318
00432CBP5	AGSL_03-1	0.18	6/25/2027	5,350,000	4,913,884
041150DJ9	ASLA_10-1	1.16	9/3/2018	5,072,210	5,067,087
10620NAC2	BRAZOS HIGHER EDUCATION AUTHOR	0.37	5/16/2015	1,050,000	1,041,511
10620NAH1	BRHEA_05-3A	0.36	5/27/2016	270,706	270,296
12556PAC1	CITEL_05-1	0.37	11/23/2016	6,200,000	6,088,288
19458LBA7	COELT_05-A	0.34	5/14/2014	91,942	91,690
26845BAA7	EFSV2_ 2012-1	1.06	3/29/2016	4,435,082	4,482,892
28140VAB9	EFCT_04-1	0.41	9/16/2014	560,590	559,479
36156YAN1	GCO EDUCATION LOAN FUNDING TRU	0.33	7/17/2015	1,056,039	1,044,423
429827AB4	HEF_04-1	1.65	11/11/2018	2,100,000	1,938,527
429827AE8	HIGHER EDUCATION FUNDING HEF_0	1.67	1/1/2025	2,100,000	1,955,678
429827AF5	HEF_04-1	1.63	8/13/2020	2,100,000	1,938,527
429827AJ7	HIGHER EDUCATION FUNDING HEF_0	1.67	6/12/2026	2,100,000	1,956,072
429827AK4	HIGHER EDUCATION FUNDING HEF_0	1.67	7/8/2021	2,300,000	2,123,148
429827AN8	HEF_04-1	1.66	7/2/2022	2,100,000	1,938,527
429827AQ1	HEF_04-1	1.66	1/1/2044	2,950,000	2,780,024
57563NAA6	MEFA	1.22	9/13/2027	2,619,692	2,619,823
61205PAK5	MHESA_12-1	1.18	12/11/2017	10,850,000	10,905,943
64033GAA9	NSLT_13-5A	0.81	8/24/2025	6,850,000	6,766,896
66704JAZ1	NORTHSTAR GUARANTEE INC DIV B	0.38	1/28/2014	532,207	526,565
66705EAA6	NEF_12-1	0.88	11/3/2018	2,004,043	2,000,857
698475AM2	PANHANDLE-PLAINS HIGHER EDUCAT	1.40	8/29/2018	5,221,373	5,300,189
71722TAF1	PHEAA_04-1	0.01	9/12/2019	2,000,000	1,893,440
71722TAG9	PHEAA_04-1	0.00	8/27/2020	6,000,000	5,680,578
78442GHY5	SLMA	1.67	12/15/2016	400,000	400,000
78442GHZ2	SLMA	1.67	4/2/2014	2,100,000	2,100,000
78442GJA5	SLM STUDENT LOAN TR 2003-10A	1.67	4/11/2014	600,000	600,000
78442GJC1	SLMA	1.67	4/12/2014	50,000	50,000
78442GJD9	SLM STUDENT LOAN TR 2003-10A	1.67	4/8/2014	2,300,000	2,300,000
80705WAA7	SCHOL_12-B	0.58	8/19/2015	2,515,125	2,493,591
80705XAA5	SCHOL_13-A	0.83	5/11/2022	1,163,428	1,153,073

83715AAK5	SOUTH CAROLINA STUDENT LN CORP	0.72	1/27/2014	1,352,307	1,352,929
86386MAY0	STUDENT LOAN CON	1.40	3/18/2022	17,331,786	17,694,714
B0A0BSZC0	SLMA_03-5	0.49	1/30/2018	1,210,200	1,603,333
U8280TAR8	SLMA	0.77	9/26/2021	2,670,000	3,485,909
				115,306,729	114,187,705
Asset Backed Securities - CLO
00083VAA9	ACASC_07-1	0.50	6/19/2016	6,750,000	6,620,015
00089KAB5	ACIS_13	1.14	12/29/2018	12,211,343	11,932,326
00089RAA2	ACIS_13-1	0.00	6/20/2018	17,400,000	16,825,800
00306LAA2	ABERD_08-1A	0.92	3/27/2016	19,890,489	19,352,909
03761QAA3	APID_06-QA	0.52	9/13/2015	6,129,997	6,105,819
04011XAB2	ARES	0.51	3/1/2015	222,882	222,483
04011XAC0	ARES	0.51	5/7/2014	243,321	242,591
04012VAA7	ARES	0.89	10/26/2015	6,424,534	6,375,065
04963VAC2	ATR_4C-DO	0.51	11/7/2015	1,998,986	1,984,458
05615MAA5	BABSN_05-3A	0.51	8/19/2015	1,917,856	1,884,293
09202XAA2	BLACK DIAMOND CLO LTD BLACK_06	0.51	4/1/2016	3,896,966	3,788,439
107265AL4	BRENTWOOD CLO LTD BRENT_06-1A	0.54	8/12/2016	9,881,575	9,595,019
18971XAA2	CLYDS_05-1A	0.53	4/19/2015	916,336	916,119
26828RAA3	ECP_08-1A	1.10	5/19/2017	3,500,000	3,435,901
345447AA4	FORE_07-1A	0.51	11/7/2016	8,850,000	8,730,197
352569AB3	FCLO_5	0.51	4/1/2016	4,049,967	3,989,217
355524AB5	FRASR_06-1A	0.51	9/23/2015	1,798,085	1,782,062
363206AF0	GALE	0.51	4/27/2015	8,461,779	8,302,917
36361RAB3	GALLATIN FUNDING LTD GALL_13-1	1.41	12/26/2018	12,000,000	11,856,000
378663AA6	GLEAG_05-1A	0.54	6/24/2015	4,308,044	4,257,477
38136TAA1	GOLDS_07-5A	0.96	5/7/2016	7,550,000	7,460,163
42822XAA3	HICDO_07-1RA	0.66	7/17/2016	11,496,786	11,239,396
476759AA3	JERSEY STREET CLO LTD JERSY_06	0.52	5/6/2016	3,312,565	3,283,096
482474AA1	KKR FINANCIAL CLO LTD KKR_05-1	0.53	8/5/2015	116,780	116,196
48248CAA2	KKR FINANCIAL CLO LTD KKR_07-1	0.61	6/10/2015	27,005,316	26,397,696
506828AA0	LAFC_12-1A	1.66	2/2/2016	1,683,567	1,685,849
530361AE4	LIBERTY CLO	0.52	6/17/2014	5,971,945	5,931,586
53225UAA9	LIGHT_2005-3	0.51	9/23/2015	1,060,615	1,044,308
67089NAE2	OCP_12-2A	1.08	2/6/2018	10,171,481	9,940,955
74981TAA2	RACEP_06-3	0.53	2/9/2017	4,679,854	4,642,329
87155MAA9	SYMPH_5	1.02	5/9/2017	10,000,000	9,816,630
929260AA5	WGH_06-1A	0.52	9/5/2015	3,285,838	3,211,907
BRS6DUE27	STANFIELD VEYRON	0.49	10/21/2014	3,301,410	3,297,204
BRS89G5B9	DRYD_05-10EX	0.60	2/11/2016	842,771	1,116,092
BRSJRCWG3	GALATTIN FUNDS LTD GALL_13-1X	0.00	7/18/2023	7,350,000	6,762,000
G0684GAA8	AVOVA_III-X	0.59	7/2/2016	798,362	1,067,168
G37116AC7	GALLATIN FUNDING LTD GALL_12-1	0.00	4/29/2019	3,445,000	2,563,080
				232,924,448	227,774,762
Asset Backed Securities - Other
00104UAC2	AEPTC TEXAS CENTRAL TRANSITION	2.84	12/9/2022	700,000	670,247
00935WAA7	AIREM_06-1A	0.47	4/22/2020	1,629,091	1,534,604
02005ACC0	AMOT 2013-2	1.44	2/16/2015	4,300,000	4,337,324
03072SKH7	AMSI_03-10	0.94	5/15/2024	7,532,958	7,224,686
04542BDG4	ABFC_03-OPT1	0.86	9/28/2020	2,706,437	2,523,839
15200NAB1	CNP	3.46	12/5/2016	1,650,000	1,763,302
15200DAD9	CENTERPOINT ENERGY TRANSITION	5.17	11/26/2015	1,000,000	1,092,450
29365KAB9	ETI	3.65	11/1/2016	1,000,000	1,072,272
34528QBK9	FORDF	0.65	1/15/2014	6,050,000	6,053,933
67103QAA5	OFSBS_13-5A	1.20	9/23/2018	9,500,000	9,419,326
83611MAQ1	SOUNDVIEW HOME EQUITY LOAN TRU	1.48	2/18/2020	2,773,337	2,766,922
86358EAJ5	SAIL_03-B2	0.86	7/14/2016	9,049,364	8,627,130
86358EJS6	STRUCTURED ASSET INVESTMENT LO	0.98	2/11/2021	8,135,629	7,450,983
86358EKH8	STRUCTURED ASSET INVESTMENT LO	1.02	1/24/2017	10,032,551	9,591,871
Z914HKQ87	GFUND_11-1	1.96	10/25/2017	4,337,291	7,112,309
				70,396,657	71,241,197
Total Fixed income Securities				6,176,496,569	6,047,883,284

Other Invested Assets - High Yield Fund
	CRESCENT CAPITAL HIGH YIELD FUND	497,316	31,100,099
Equities
18802108	ALLIANT ENERGY CORP	141,800	7,026,190
23608102	AMEREN CORP	274,700	9,570,548
24835100	AMER CMPS COMM	162,200	5,539,130
25537101	AMERICAN ELECTRIC POWER CO INC	103,000	4,465,050
110122108	BRISTOL MYERS SQUIBB CO	168,900	7,816,692
166764100	CHEVRONTEXACO CORP	89,500	10,874,250
369550108	GENERAL DYNAMICS CORP	92,700	8,113,104
369604103	GENERAL ELEC CAP CO	296,200	7,076,218
391164100	GREAT PLAINS ENERGY INCORPORAT	308,000	6,837,600
438516106	HONEYWELL INTERNATIONAL INC	42,800	3,554,112
478160104	JOHNSON & JOHNSON	87,200	7,559,368
494368103	KIMBERLY-CLARK CORPORATION	63,000	5,935,860
594918104	MICROSOFT CORP	255,500	8,510,705
655844108	NORFOLK SOUTHERN CORPORATION	94,100	7,278,635
693475105	PNC FINANCIAL SERVICES GROUP I	107,300	7,773,885
718172109	PHILIP MORRIS INTERNATIONAL IN	111,300	9,637,467
718252604	PHILIPPINE LONG DISTANCE TEL C	8,022	544,212
729251108	PLUM CREEK TIMBER COMPANY INC.	175,100	8,199,933
771195104	ROCHE HOLDING AG	120,000	8,103,600
816851109	SEMPRA ENERGY	78,900	6,753,840
828806109	SIMON PROPERTY GROUP INC	52,500	7,782,075
847560109	SPECTRA ENERGY CORP	148,500	5,083,155
904784709	UNILEVER N.V.	215,700	8,136,204
929042109	VORNADO REALTY TRUST	24,300	2,042,658
949746101	WELLS FARGO CORP	177,100	7,317,772
969457100	WILLIAMS COS INC	170,700	6,206,652
976657106	WISCONSIN ENERGY CORPORATION	168,400	6,799,992
00208D408	ARC RESOURCES LTD	142,800	3,632,832
09247X101	BLACKROCK INC.	17,700	4,789,974
12572Q105	CME GROUP INC	158,000	11,673,040
13643E105	CANADIAN OIL SANDS	141,800	2,750,920
15189T107	CENTERPOINT ENERGY INC.	341,200	8,178,564
17275R102	CISCO SYSTEMS INC	347,900	8,147,818
25746U109	DOMINION RESOURCES INC	186,100	11,627,528
29250N105	ENBRIDGE INC	159,200	6,645,008
29476L107	EQUITY RESIDENTIAL PROP TR	116,900	6,262,333
30225T102	EXTRA SPACE STORAGE INC	142,098	6,500,984
30231G102	EXXON MOBIL CO	61,100	5,257,044
40414L109	HCP	171,100	7,006,545
46625H100	JP MORGAN CHASE & CO	84,700	4,378,143
49456B101	KINDER MORGAN HOLDCO LLC	262,700	9,344,239
55261F104	M&T BK CORP	45,600	5,103,552
65339F101	FPL GROUP INC.	109,800	8,801,568
65473P105	NISOURCE INC	133,600	4,126,904
66987V109	NOVARTIS AG	88,800	6,811,848
74340W103	PROLOGIS INC	290,000	10,909,800
74460D109	PUBLIC STORAGE INC	66,600	10,692,630
78462F103	SPDR TRUST SERIES 1	941,000	158,182,100
80105N105	SANOFI SA	120,400	6,095,852
92276F100	VENTAS, INC.	108,401	6,666,673
97717W851	WISDOMTREE JAPAN DIVIDEND FUND	1,010,000	48,409,300
BRSGCE0T8	GLP J-REIT	4,660	5,209,702
BRSHQHA14	TF ADMINISTRADORA INDUSTRIAL S	1,247,400	2,458,080
N6983Q147	PHILIPS ELECTRONICS	280,900	9,061,126
S09895293	ASTRAZENECA PLC	151,300	7,878,464
S28409704	CCR SA	362,000	2,821,455
S47324959	TELENOR ASA	31,930	729,465
S61446902	BHP BILLITON LTD	198,000	6,616,900
S62435862	SINGAPORE AIRPORT TERMINAL SER	1,700,700	4,418,635
S63521470	FLIGHT CENTRE LTD	93,500	4,222,733
S65638751	ASCENDAS REAL ESTATE INVESTMEN	1,682,000	3,056,354
S69488369	WESFARMERS LTD	131,300	5,049,615

SB02PY225	SINGAPORE TELECOM	2,346,000	6,973,963
SB03FYZ44	GOODMAN GROUP	1,427,800	6,515,114
SB04PZ723	SUNTEC REAL ESTATE INVESTMENT	1,302,000	1,696,569
SB08SNH35	NATIONAL GRID PLC	483,000	5,713,753
SB0D6P437	MAPLETREE LG TR	4,607,000	3,928,663
SB10SSL76	ASCOTT RESIDENCE TRUST	3,416,000	3,430,293
SB1HL3P85	CAPITARETAIL CHINA TRUST	3,115,000	3,413,529
SB23WXW97	PARKWAY HOLDINGS LIMITED	782,000	1,464,595
SB671GT81	FIBRA UNO ADMINISTRACION SA	1,261,700	3,475,396
SB84XBP29	INFRAESTRUCTURA ENERGETICA NOV	553,200	2,123,498
SB87ZDH17	TELEVISION BROADCASTS LTD	581,400	3,666,010
SB98BC671	NIPPON PROLOGIS REIT INC	100	999,745
	NEUBERGER BERMAN GREATER CHINA EQUITY FUND LTD	60,000	67,471,633
		34,803,811	708,929,395