EX-99.1 2 a20120630-scheduled.htm RELEASE REGARDING U.S. GAAP INVESTMENT PORTFOLIO IN A SCHEDULE D PART 1 FORMAT DATED JULY 26, 2012 2012.06.30 - Schedule D



Validus Holdings, Ltd June 30, 2012 GAAP fixed maturity portfolio in Schedule D format
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
1
2
Codes
6
7
FAIR VALUE
10
11
 CHANGE IN BOOK/ADJUSTED CARRYING VALUE
INTEREST
DATES
 
 
3
4
5
 
 
8
9
 
 
12
13
14
15
16
17
18
19
20
21
22
 
 
 
FOREIGN
BOND
NAIC
 
RATE USED TO
 GAAP FAIR
 
 GAAP
 
 CURRENT YEAR
 
 TOTAL FX CHG
INTEREST
EFFECTIVE
HOW
 ACCRUED
 GROSS REC'D
 
 
CUSIP
DESCRIPTION
*
CODE
CHAR
DESIG
 ACTUAL COST
OBTAIN FAIR VALUE
 MARKET VALUE
 PAR VALUE
 BOOK VALUE
 UGL
 AMORTIZATION
 IMPAIRMENTS
 IN B/A. C.V.
RATE
RATE OF
PAID
 INTEREST
 DURING YEAR
 ACQUIRED
MATURITY
466247E74
JPMMT CMO_06-A1 2A2
 
 
2

 
281,674.42

77.2

217,282.61

281,454.53

281,578.76

(64,296.15
)
(27.43
)


2.783

2.763

MON
652.79

4,122.38

2/6/2008
2/25/2036
00037BAA0
ABB FINANCE USA INC SENIOR CORP BND
 
 
 
 
4,766,400.00

100.302

4,814,497.54

4,800,000.00

4,767,347.41

47,150.13

947.41



1.625

1.772

MN
11,483.34

11,483.34

5/3/2012
5/8/2017
00101JAA4
ADT CORP SENIOR CORP BND 144A
 
 
 
 
2,896,984.00

100.474

2,913,741.10

2,900,000.00

2,896,984.00

16,757.10




2.25

2.272

JJ


6/27/2012
7/15/2017
00206RAQ5
AT&T INC CORP BND
 
 
 
 
531,385.50

106.408

532,041.74

500,000.00

512,393.98

19,647.76

(3,679.15
)


4.85

3.269

FA
9,161.11

12,125.00

10/29/2009
2/15/2014
00206RAT9
AT&T INC CORP BND
 
O
 
 
1,230,939.99


1,267,367.20

700,000.00

1,211,603.97

55,763.23

(12,996.68
)

2,954.74

5.875

3.403

APR
10,911.26

47,148.82

11/9/2011
4/28/2017
00206RAV4
AT&T CO CORP BND
 
 
 
 
5,989,142.50

104.114

5,986,583.00

5,750,000.00

5,960,516.52

26,066.48

(28,625.98
)


2.5

1.3

FA
54,305.56

62,690.98

1/19/2012
8/15/2015
00206RAW2
AT&T INC CORP BND
 
 
 
 
6,694,297.50

106.094

7,028,699.81

6,625,000.00

6,679,927.40

348,772.41

(5,594.74
)


2.95

2.723

MN
24,972.57

82,151.35

2/22/2012
5/15/2016
00206RBB7
AT&T INC SENIOR CORP BND
 
 
 
 
14,564,092.75

99.795

14,545,178.83

14,575,000.00

14,565,453.52

(20,274.69
)
1,630.79



0.875

0.9

FA
48,886.98

58,858.33

2/23/2012
2/13/2015
00206RBF8
AT&T INC SENIOR CORP BND
 
 
 
 
5,239,815.00

100.329

5,267,294.24

5,250,000.00

5,239,905.34

27,388.90

90.34



1.7

1.741

JD
4,214.58

4,214.58

6/11/2012
6/1/2017
002824AX8
ABBOTT LABORATORIES CORP BND
 
 
 
 
2,822,118.50

105.285

2,974,307.61

2,825,000.00

2,823,278.99

151,028.62

282.29



2.7

2.722

MN
7,203.75

38,137.50

5/24/2010
5/27/2015
00432CAY7
AGSL_03-1 ABS_03-1 A2
 
 
2

 
2,050,573.09

99.53

2,057,653.83

2,067,370.47

2,057,237.16

416.67

6,077.95



0.728

1.242

MJSD
250.70

9,403.56

3/31/2011
12/26/2013
00432CAZ4
AGSL_03-1 ABS 03-1-2003-1
 
 
2

 
360,500.00

80.819

323,276.40

400,000.00

366,747.84

(43,471.44
)
2,592.09



0.769

1.614

MON
155.06

2,356.37

3/29/2010
9/25/2023
00432CBB6
AGSL_03-1 ABS_03-1-2003-1
 
 
 
 
311,937.50

80.807

282,825.20

350,000.00

313,873.20

(31,048.00
)
1,502.96



0.54

4.25

APR
92.95

2,479.52

3/29/2010
12/26/2035
00432CBP5
AGSL_03-1 ABS_04-1-2004-1
 
 
2

 
435,625.00

80.814

404,068.50

500,000.00

444,891.68

(40,823.18
)
(2,703.56
)


0.221

1.176

MON
82.88

3,411.98

3/29/2010
3/25/2026
00448MAA9
ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND
 
F
 
 
1,337,331.00

103.62

1,386,435.64

1,338,000.00

1,337,673.79

48,761.85

66.41



3.2

3.211

MN
6,898.13

21,408.00

10/26/2009
11/3/2014
00828EAJ8
AFRICAN DEVELOPMENT BANK CORP BND
 
F
 
 
5,979,360.00

100.664

6,039,815.46

6,000,000.00

5,995,708.17

44,107.29

3,462.81



1.625

1.743

FA
37,916.67

48,780.00

2/2/2010
2/11/2013
010392EY0
ALABAMA POWER COMPANY SENIOR CORP BND
 
 
 
 
7,047,877.50

101.951

6,881,692.50

6,750,000.00

6,799,428.28

82,264.22

(53,412.31
)


4.85

3.22

JD
14,550.01

163,687.50

2/10/2010
12/15/2012
01306GAA1
ALBERTA PROVINCE OF LOCAL BND 144A
 
A
 
 
2,248,357.50

100.377

2,258,482.48

2,250,000.00

2,248,366.27

10,116.21

8.77



1

1.015

JD
625.00

625.00

6/14/2012
6/21/2017
02005AAA6
AMOT_10-3 ABS_10-1 A
 
 
2

 
15,919,609.38

100.76

15,718,560.00

15,600,000.00

15,689,197.63

29,362.37

(80,073.03
)


1.992

0.772

MON
13,809.46

157,905.89

5/11/2011
12/17/2012
02005ACC0
AMOT_10-3 ABS 12-1
 
 
2

 
2,499,806.75

100.598

2,514,955.50

2,500,000.00

2,499,816.88

15,138.62

10.13



1.44

1.446

MON
1,600.00

12,900.00

2/15/2012
2/15/2015
02005EAC4
ALLYA_12-3 ABS 12-3
 
 
2

 
2,999,894.70

100.284

3,008,521.05

3,000,000.00

2,999,895.08

8,625.97

0.38



0.85

0.853

MON
1,133.33

2,195.83

5/22/2012
8/15/2016
02005HAB9
ALLY AUTO RECEIVABLES TRUST AA ABS_10-1
 
 
2

 
379,740.76

100.32

378,239.08

377,030.85

377,957.57

281.51

(2,461.79
)


1.45

0.704

MON
242.98

4,156.55

5/10/2011
2/15/2013
02005MAE2
ALLYA _10-3 ABS _10-3 A4
 
 
2

 
799,714.32

101.369

810,953.13

800,000.00

799,870.95

11,082.18

43.85



1.55

1.566

MON
551.11

6,199.98

8/12/2010
7/15/2014
02005RAB7
ALLYA_10-5 ABS 10-5 A3
 
 
2

 
3,194,530.77

100.386

3,210,275.22

3,197,945.54

3,196,893.40

13,381.82

1,082.30



1.11

1.167

MON
1,577.65

21,352.62

12/6/2010
8/15/2013
02005TAD9
ALLYA _11-1 ABS_11-1 A4
 
 
2

 
5,999,457.60

102.66

6,159,625.38

6,000,000.00

5,999,599.59

160,025.79

54.23



2.23

2.242

MON
5,946.67

66,900.00

2/4/2011
1/15/2015
02005XAC2
ALLYA_11-4 ABS_11-4 A3
 
 
2

 
5,429,662.25

100.168

5,439,113.66

5,430,000.00

5,429,770.66

9,343.00

71.14



0.79

0.794

MON
1906.53
21,448.50

9/8/2011
5/15/2014
02006AAD9
ALLY AUTO RECEIVABLES TRUST AL ABS 12-2
 
 
2

 
5,148,818.08

100.329

5,166,941.29

5,150,000.00

5,148,917.16

18,024.13

99.08



1

1.009

MON
2,288.89

15,306.95

3/7/2012
9/15/2015





021441AD2
ALTERA CORPORATION SENIOR CORP BND
 
 
 
 
4,018,841.75

100.325

4,038,092.81

4,025,000.00

4,019,012.19

19,080.62

170.44



1.75

1.782

MN
10,369.97

10,369.97

5/1/2012
5/15/2017
02209SAC7
ALTRIA GROUP INC. CORP BND
 
 
 
 
9,693,328.00

109.943

9,015,356.76

8,200,000.00

8,932,652.07

82,704.69

(297,456.39
)


8.5

1.811

MN
98,741.66

394,565.27

3/22/2011
11/10/2013
02582JCU2
AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2
 
 
2

 
5,007,812.50

100.164

5,008,200.05

5,000,000.00

5,005,125.06

3,074.99

(1,360.43
)


0.412

0.358

MON
915.00

10,671.98

7/1/2011
5/15/2014
02582JFV7
AMXCA ABS_09-2 A
 
 
2

 
13,104,761.72

102.515

12,993,776.12

12,675,000.00

12,972,678.99

21,097.13

(69,569.47
)


1.492

0.396

MON
8,403.53

96,258.96

7/18/2011
8/15/2014
03064RAB3
AMCAR_11-4 ABS_11-4 A2
 
 
2

 
2,711,468.79

100.177

2,716,439.21

2,711,634.74

2,711,534.93

4,904.28

78.83



0.92

0.926

MON
1,593.84

14,736.72

9/8/2011
8/8/2013
03064TAB9
AMCAR_11-5 ABS_11-5-A2
 
 
2

 
2,316,843.87

100.372

2,325,564.90

2,316,945.82

2,316,871.76

8,693.14

36.75



1.19

1.195

MON
1,761.52

15,180.62

10/26/2011
11/8/2013
034863AA8
ANGLO AMERICAN CAPITAL PLC CORP BND 144A
 
F
 
 
5,570,775.00

112.729

5,072,806.22

4,500,000.00

5,057,689.23

15,116.99

(152,852.34
)


9.375

2.197

AO
97,265.63

210,937.51

10/19/2010
4/8/2014
034863AE0
ANGLO AMERICAN CAPITAL PLC SENIOR CORP
 
F
 
 
4,989,050.00

100.287

5,014,360.05

5,000,000.00

4,989,556.55

24,803.50

506.55



2.625

2.672

AO
32,447.92

32,447.92

3/26/2012
4/3/2017
035229CY7
ANHEUSER-BUSCH SENIOR CORP BND
 
 
 
 
5,556,350.00

99.717

5,473,124.30

5,000,000.00

5,335,219.21

137,905.09

(21,451.18
)


5

2.267

JJ
115,277.78

41,666.66

9/23/2010
1/15/2015
03523TAM0
ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND
 
 
 
 
519,436.80

107.672

516,827.78

480,000.00

518,644.64

(1,816.86
)
(792.16
)


4.125

0.91

JJ
9,130.00

1,045.00

6/7/2012
1/15/2015
03523TBC1
ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND
 
 
 
 
12,300,000.00

100.816

12,400,368.25

12,300,000.00

12,300,000.00

100,368.25




1.016

0.854

JAJO
22,560.33

65,602.93

1/24/2011
1/27/2014
039483BA9
ARCHER DANIELS MIDLAND CO CORP BND
 
 
 
 
600,000.00

100.06

600,359.99

600,000.00

600,000.00

359.99




0.627

0.472

FMAN
511.93

1956.09
2/9/2011
8/13/2012
03979GAL9
ARDEN REALTY LP SENIOR CORP BND
 
 
1

 
3,226,650.00

107.497

3,224,913.48

3,000,000.00

3,155,927.78

68,985.70

(30,615.96
)


5.25

3.007

MS
52,500.00

78,750.00

4/28/2011
12/1/2014
04044TAG1
ARISTOTLE HOLDING INC CORP BND 144A
 
 
 
 
3,033,330.00

100.879

3,026,359.41

3,000,000.00

3,032,768.73

(6,409.32
)
(561.27
)


2.1

1.671

FA
24,850.00

2,975.00

6/11/2012
2/12/2015
04044TAL0
ARISTOTLE HOLDING INC CORP BND 144A
 
 
 
 
4,060,025.00

101.393

4,157,115.42

4,100,000.00

4,062,966.25

94,149.17

2,941.25



2.65

2.86

FA
42,856.39

42,856.39

2/6/2012
2/15/2017
046353AC2
ASTRAZENECA PLC CORP BND
 
F
 
 
3,492,916.66

100.99

3,282,175.00

3,250,000.00

3,273,305.08

8,869.92

(69,039.46
)


5.4

1.895

MS
51,675.00

110,250.00

11/12/2010
9/15/2012
05522RAB4
BACCT ABS_06 A7 A7
 
 
2

 
4,980,664.06

99.857

4,992,832.55

5,000,000.00

4,987,116.68

5,715.87

4,429.43



0.282

0.407

MON
626.11

10,640.01

6/17/2011
7/15/2014
05523RAA5
BAE SYSTEMS PLC CORP BND 144A
 
F
 
 
5,179,928.50

103.989

5,350,245.37

5,145,000.00

5,175,666.82

174,578.55

(2,542.20
)


3.5

3.348

AO
40,016.66

131,337.50

10/31/2011
10/11/2016
05541VAD8
BG ENERGY CAPITAL CORP BND 144A
 
F
 
 
4,292,819.00

104.797

4,506,250.88

4,300,000.00

4,293,794.40

212,456.48

679.49



2.875

2.911

AO
26,098.61

61,812.50

10/6/2011
10/15/2016
055451AA6
BHP BILLITON FINANCE (USA) LTD CORP BND
 
F
 
 
1,040,771.32

103.333

1,033,330.00

1,000,000.00

1,013,596.90

19,733.10

(8,407.76
)


4.8

3.042

AO
10,133.33

24,000.00

11/12/2010
4/15/2013
055451AG3
BHP BILLITON FINANCE (USA) LTD CORP BND
 
F
 
 
4,503,517.00

108.218

4,404,476.42

4,070,000.00

4,263,561.16

140,915.26

(89,945.32
)


5.5

2.7

AO
55,962.50

183,700.00

4/16/2010
4/1/2014
055451AK4
BHP BILLITON FINANCE (USA) LTD CORP BND
 
F
 
 
2,586,194.00

102.1

2,654,612.06

2,600,000.00

2,587,811.04

66,801.02

1,738.11



1.875

1.987

MN
5,416.67

32,187.51

11/16/2011
11/21/2016
055451AM0
BHP BILLITON FINANCE (USA) LTD SENIOR
 
F
 
 
3,650,000.00

100.344

3,662,556.07

3,650,000.00

3,650,000.00

12,556.07




0.737

0.735

FMAN
3,287.17

9,548.45

2/21/2012
2/18/2014
055451AN8
BHP BILLITON FINANCE (USA) LTD SENIOR
 
F
 
 
4,989,550.00

100.119

5,005,948.65

5,000,000.00

4,990,758.62

15,190.03

1,208.62



1

1.071

FA
17,638.89

17,638.89

2/21/2012
2/24/2015
055451AP3
BHP BILLITON FINANCE (USA) LTD SENIOR
 
F
 
 
6,706,708.00

100.424

6,753,512.72

6,725,000.00

6,707,946.53

45,566.19

1,238.53



1.625

1.682

FA
38,552.00

38,552.00

2/21/2012
2/24/2017
05565QBF4
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
6,474,741.75

105.819

6,227,434.68

5,885,000.00

6,101,299.95

126,134.73

(78,063.10
)


5.25

2.465

MN
46,344.38

154,481.25

12/16/2010
11/7/2013
05565QBH0
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
3,182,550.00

107.244

3,217,322.85

3,000,000.00

3,151,966.83

65,356.02

(27,154.33
)


3.875

1.935

MS
35,843.75

58,125.00

12/6/2011
3/10/2015
05565QBL1
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
4,318,872.00

104.914

4,353,928.84

4,150,000.00

4,234,053.83

119,875.01

(21,965.56
)


3.625

2.499

MN
22,147.74

75,218.75

10/5/2010
5/8/2014
05565QBN7
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
2,991,480.00

106.004

3,180,115.80

3,000,000.00

2,994,309.44

185,806.36

820.14



3.125

3.187

AO
23,437.50

46,875.00

9/28/2010
10/1/2015
05565QBQ0
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
2,997,240.00

106.049

3,181,471.71

3,000,000.00

2,997,918.57

183,553.14

397.16



3.2

3.22

MS
29,333.33

73,244.45

3/8/2011
3/11/2016
05565QBS6
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
1,490,000.00

100.692

1,500,310.81

1,490,000.00

1,490,000.00

10,310.81




1.068

0.91

MJSD
883.94

8,274.61

3/8/2011
3/11/2014
05565QBT4
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
4,773,490.00

102.659

4,876,308.87

4,750,000.00

4,770,533.24

105,775.63

(2,242.36
)


2.248

2.143

MN
17,796.67

79,616.67

11/1/2011
11/1/2016
05565QBX5
BP CAPITAL MARKETS PLC CORP BND
 
F
 
 
7,224,566.50

101.692

7,347,240.50

7,225,000.00

7,224,645.88

122,594.62

69.50



1.7

1.702

JD
8,870.70

61,412.51

12/1/2011
12/5/2014
05565QBY3
BP CAPITAL MARKETS PLC SENIOR CORP BND
 
F
 
 
8,000,000.00

100.908

8,072,658.72

8,000,000.00

8,000,000.00

72,658.72




1.846

1.846

MN
22,152.01

22,152.01

5/2/2012
5/5/2017





05948XYC9
BOAMS WHOLE CMO 03-J-2A1
 
 
2

 
50,887.16

96.67

49,906.16

51,625.23

50,935.60

(1,029.44
)
46.35



2.839

3.102

MON
122.16

753.79

11/30/2007
11/25/2033
060505DP6
BANK OF AMERICA SENIOR CORP BND
 
 
 
 
1,052,175.00

106.539

1,065,386.82

1,000,000.00

1,050,737.95

14,648.87

(2,662.59
)


5.75

4.678

JD
4,791.66

22,680.54

6/20/2012
12/1/2017
06051GDX4
BANK OF AMERICA CORP BND
 
 
 
 
3,851,697.00

105.155

3,890,743.14

3,700,000.00

3,843,611.68

47,131.46

(8,085.32
)


5.65

4.877

MN
34,841.67

83,039.30

2/3/2012
5/1/2018
06051GEQ8
BANK OF AMERICA CORP BND
 
 
 
 
10,624,068.00

101.485

10,757,432.69

10,600,000.00

10,625,066.51

132,366.18

998.51



3.875

3.819

MS
112,956.26

82,602.09

6/21/2012
3/22/2017
06052MAC9
BAAT ABS_10-2 A3
 
 
2

 
372,094.39

100.27

373,109.34

372,104.66

372,102.82

1,006.52

4.81



1.31

1.315

MON
216.65

3,590.53

6/16/2010
2/15/2013
06052YAC3
BAAT_12-1 ABS 12-1
 
 
2

 
6,999,750.10

100.219

7,015,360.10

7,000,000.00

6,999,763.08

15,597.02

12.98



0.78

0.782

MON
2,426.67

11,071.67

4/11/2012
3/15/2015
06052YAD1
BANK OF AMERICA AUTO TRUST BAA ABS 12-1
 
 
2

 
4,998,468.00

100.542

5,027,115.50

5,000,000.00

4,998,556.82

28,558.68

88.82



1.03

1.041

MON
2,288.89

10,443.05

4/11/2012
12/15/2015
06366QGN1
BANK OF MONTREAL CORP BND
 
A
 
 
9,350,000.00

100.33

9,380,855.85

9,350,000.00

9,350,000.00

30,855.85




0.936

0.743

JAJO
15,069.78

46,014.60

4/26/2011
4/29/2014
06366QW86
BANK OF MONTREAL CORP BND MTN
 
A
 
 
6,083,670.00

102.898

6,173,901.66

6,000,000.00

6,081,331.90

92,569.76

(2,967.73
)


2.5

2.182

JJ
70,833.34

57,041.67

5/1/2012
1/11/2017
063679ZT4
BANK OF MONTREAL CORP BND 144A
 
A
 
 
4,791,600.00

103.241

4,955,568.24

4,800,000.00

4,792,275.16

163,293.08

675.16



1.95

1.987

JJ
39,260.00

39,260.00

1/23/2012
1/30/2017
064058AA8
BANK OF NEW YORK CO SENIOR CORP BND
 
 
 
 
5,023,120.00

100.895

5,044,742.95

5,000,000.00

5,022,794.69

21,948.26

(325.31
)


1.969

1.872

JD
3,008.19

10,938.89

5/10/2012
6/20/2017
06406HBE8
BANK OF NEW YORK CO CORP BND MTN
 
 
 
 
6,894,348.00

101.496

6,901,728.00

6,800,000.00

6,809,702.81

92,025.19

(14,194.15
)


4.95

4.552

MN
56,100.00

167,750.00

3/23/2009
11/1/2012
06406HBN8
BANK OF NEW YORK CO CORP BND
 
 
 
 
2,107,880.00

104.983

2,099,653.32

2,000,000.00

2,095,991.63

3,661.69

(11,888.37
)


3.1

1.175

JJ
28,588.89

19,805.56

3/1/2012
1/15/2015
06406HBQ1
BANK OF NEW YORK CO CORP BND MTN
 
 
 
 
2,996,130.00

105.217

3,156,516.28

3,000,000.00

2,997,636.98

158,879.30

376.48



2.95

2.978

JD
3,195.84

44,250.00

6/11/2010
6/18/2015
06406HBW8
BANK OF NEW YORK MELLON/THE CORP BND
 
 
 
 
3,350,000.00

100.109

3,353,651.80

3,350,000.00

3,350,000.00

3,651.80




0.736

0.523

JAJO
4,245.44

13,090.28

7/21/2011
7/28/2014
06406HCA5
BANK OF NEW YORK MELLON CORP BND MTN
 
 
1

 
2,994,570.00

103.27

3,098,110.20

3,000,000.00

2,995,134.12

102,976.08

490.08



2.4

2.438

JJ
32,800.00

36,000.00

11/17/2011
1/17/2017
06406HCC1
BANK OF NEW YORK CO CORP BND MTN
 
 
1

 
9,291,537.00

100.508

9,347,205.96

9,300,000.00

9,292,537.04

54,668.92

507.53



1.2

1.231

FA
40,300.00

20,300.00

2/13/2012
2/20/2015
064149B97
BANK OF NOVA SCOTIA CORP BND
 
A
 
 
2,989,500.00

102.103

3,063,089.92

3,000,000.00

2,995,505.02

67,584.90

1,492.78



2.375

2.48

JD
2,770.84

35,625.00

6/10/2010
12/17/2013
064149D87
BANK OF NOVA SCOTIA CORP BND
 
A
 
 
4,121,760.00

105.153

4,206,105.36

4,000,000.00

4,107,499.60

98,605.76

(13,590.83
)


2.9

2.149

MS
29,644.44

58,000.00

12/20/2011
3/29/2016
064159AM8
BANK OF NOVA SCOTIA CORP BND
 
A
 
 
4,491,000.00

103.647

4,664,102.82

4,500,000.00

4,491,797.40

172,305.42

890.66



2.55

2.593

JJ
53,868.75

60,243.75

1/5/2012
1/12/2017
06415CAA7
BANK OF NOVA SCOTIA CORP BND 144A
 
A
 
 
1,140,524.00

104.263

1,146,892.92

1,100,000.00

1,139,712.23

7,180.69

(811.77
)


2.15

1.242

FA
9,722.78

2036.53
5/24/2012
8/3/2016
06415CAD1
BANK OF NOVA SCOTIA SECURED CORP BND
 
A
 
 
4,200,824.80

100.714

4,229,987.54

4,200,000.00

4,200,804.46

29,183.08

(20.34
)


1.05

1.043

MS
12,127.50

10,616.66

4/12/2012
3/20/2015
06415CAE9
BANK OF NOVA SCOTIA SECURED LOCAL BND
 
A
 
 
2,197,580.00

102.335

2,251,369.98

2,200,000.00

2,197,707.63

53,662.35

127.63



1.75

1.773

MS
10,587.50

10,587.50

3/15/2012
3/22/2017
06739FFZ9
BARCLAYS BANK PLC LOCAL BND
 
F
 
 
528,417.00

105.475

527,377.25

500,000.00

512,842.42

14,534.83

(3,019.69
)


5.2

3.869

JJ
12,350.00

13,000.00

10/21/2009
7/10/2014
06739FGP0
BARCLAYS BANK PLC CORP BND
 
F
 
 
3,006,193.35

100.765

3,022,950.00

3,000,000.00

3,001,249.63

21,700.37

(1,099.91
)


2.5

2.425

JJ
32,916.67

37,500.00

2/19/2010
1/23/2013
06741CAB0
BARCLAYS PLC SENIOR LOCAL BND 144A
 
F
 
 
1,393,294.00

100.28

1,403,919.99

1,400,000.00

1,393,473.70

10,446.29

179.70



2.25

2.352

MN
4,462.50

4,462.50

5/2/2012
5/10/2017
067901AF5
BARRICK GOLD CORP CORP BND
 
A
 
 
2,747,701.82

104.718

2,879,747.37

2,750,000.00

2,748,134.76

131,612.61

223.06



2.9

2.137

MN
6,867.36

39,875.00

9/8/2011
5/30/2016
071813AZ2
BAXTER INTERNATIONAL INC CORP BND
 
 
 
 
4,010,640.00

105.009

4,200,341.20

4,000,000.00

4,003,779.56

196,561.64

(1,078.46
)


4

3.941

MS
53,333.34

80,000.00

2/23/2009
3/1/2014
071813BD0
BAXTER INTERNATIONAL INC CORP BND
 
 
 
 
2,668,424.70

101.618

2,713,204.57

2,670,000.00

2,668,597.97

44,606.60

141.14



1.85

1.862

JJ
26,344.00

20,072.50

12/14/2011
1/15/2017
07384M3D2
BSARM CMO 04-9 22A1
 
 
2

 
1,112,893.26

82.72

1,125,258.72

1,134,447.75

1,114,366.62

10,892.10

2,622.04



3.174

3.481

MON
3,000.78

19,258.89

8/13/2007
11/25/2034
07385TAJ5
BEAR STEARNS CO INC CORP BND
 
 
 
 
325,959.90

108.134

324,400.89

300,000.00

312,827.45

11,573.44

(2,554.46
)


5.7

3.797

MN
2,185.00

8,550.00

10/29/2009
11/15/2014
07387AAW5
BSARM CMO_05-3 2A1
 
 
2

 
1,285,553.87

76.48

1,001,658.38

1,309,701.48

1,287,093.87

(285,435.49
)
1,645.53



3.005

3.406

MON
3,279.90

19,477.62

8/10/2007
5/1/2035
075887BB4
BECTON DICKINSON AND COMPANY CORP BND
 
 
 
 
1,249,587.50

101.685

1,271,060.56

1,250,000.00

1,249,638.89

21,421.67

39.63



1.75

1.757

MN
3,220.49

10,937.50

11/3/2011
11/8/2016
079860AG7
BELLSOUTH CORPORATION CORP BND
 
 
 
 
1,257,904.09

108.307

1,244,449.45

1,149,000.00

1,216,382.38

28,067.07

(14,735.00
)


5.2

2.447

MS
17,592.47

29,874.00

7/6/2011
9/15/2014





09247XAK7
BLACKROCK CREDIT (OFFSHORE) CORP BND
 
 
 
 
2,746,837.50

100.631

2,767,348.62

2,750,000.00

2,746,937.55

20,411.07

100.05



1.375

1.414

JD
3,781.25

3,781.25

5/22/2012
6/1/2015
09657MAC2
BMWLT_10-1 ABS 10-1 A3
 
 
2

 
403,897.61

100.375

405,420.53

403,905.88

403,904.33

1,516.20

3.47



1.39

1.395

MON
93.57

4,201.70

4/15/2010
3/25/2013
097014AK0
BOEING CAPITAL CORPORATION CORP BND
 
 
 
 
3,023,300.00

105.713

3,171,402.06

3,000,000.00

3,011,811.29

159,590.77

(1,430.04
)


3.25

3.073

AO
17,333.34

28,437.51

1/28/2010
10/27/2014
097014AN4
BOEING CAPITAL CORPORATION CORP BND
 
 
1

 
5,034,707.25

103.791

5,163,593.15

4,975,000.00

5,028,764.70

134,828.45

(6,062.23
)


2.125

1.845

FA
39,938.19

51,544.52

1/5/2012
7/15/2016
097023BB0
BOEING CO CORP BND
 
 
 
 
526,825.30

100.609

533,227.70

530,000.00

529,581.02

3,646.68

537.25



1.875

2.082

MN
1,131.77

4,968.75

11/17/2009
11/20/2012
10138MAD7
BOTTLING GROUP LLC CORP BND
 
 
 
 
1,530,340.01

109.084

1,636,263.71

1,500,000.00

1,517,616.29

118,647.42

(1,636.41
)


4.125

3.702

JD
2,750.00

18,046.87

2/19/2010
6/15/2015
10138MAH8
BOTTLING GROUP LLC CORP BND
 
 
 
 
9,826,255.00

110.463

9,389,337.92

8,500,000.00

8,970,718.38

418,619.54

(81,335.38
)


6.95

3.574

MS
173,943.06

181,800.41

2/5/2009
3/15/2014
10620NAC2
BRHEA_05-2 ABS_05--2 A10
 
 
2

 
4,224,000.00

98.591

4,337,985.08

4,400,000.00

4,266,881.78

71,103.30

15,530.48



0.588

1.619

MJSD
430.91

9,831.74

2/22/2012
9/26/2016
10620NAH1
BRHEA_05-3A ABS 05-3 A14
 
 
2

 
1,869,704.82

99.541

1,888,971.31

1,897,681.67

1,879,121.00

9,850.31

12,170.85



0.578

0.869

MJSD
182.68

7,343.87

5/26/2011
9/25/2018
10620NCG1
BRHEA_05-2 ABS 11-1 A2
 
 
2

 
3,748,794.81

99.798

3,792,323.89

3,800,000.00

3,757,884.39

34,439.50

4,721.88



1.267

1.471

FMAN
4,947.75

24,736.57

3/10/2011
11/26/2021
10778XAA4
BRFKREDIT AS CORP BND 144A
 
F
 
 
5,094,390.00

100.955

5,148,684.40

5,100,000.00

5,098,490.55

50,193.85

938.71



2.05

2.088

AO
22,071.67

52,275.00

4/8/2010
4/15/2013
110122AL2
BRISTOL MYERS SQUIBB CO CORP BND
 
 
 
 
6,916,260.00

105.363

6,848,610.28

6,500,000.00

6,611,963.76

236,646.52

(48,279.15
)


5.25

3.67

FA
128,916.67

170,625.00

3/5/2009
8/15/2013
1107098W5
BRITISH COLUMBIA PROVINCE OF CORP BND
 
A
 
 
10,569,800.00

106.454

10,645,400.20

10,000,000.00

10,437,707.75

207,692.45

(71,950.92
)


2.85

1.335

JD
12,666.67

142,500.00

7/27/2011
6/15/2015
1107098Z8
BRITISH COLUMBIA PROVINCE OF CORP BND
 
A
 
 
6,998,670.00

105.225

7,365,750.42

7,000,000.00

6,998,955.95

366,794.47

128.15



2.1

2.104

MN
17,558.33

73,500.00

5/11/2011
5/18/2016
11070TAA6
BRITISH COLUMBIA PROVINCE OF SENIOR CORP
 
A
 
 
4,996,350.00

100.936

5,046,799.85

5,000,000.00

4,996,480.02

50,319.83

130.02



1.2

1.215

AO
11,000.00

11,000.00

4/18/2012
4/25/2017
111021AG6
BRITISH TELECOMMUNICATIONS PLC SENIOR
 
F
 
 
724,898.50

101.145

733,300.67

725,000.00

724,899.31

8,401.36

0.81



2

2.005

JD
362.50

362.50

6/19/2012
6/22/2015
12591AAC1
CNH_12-B ABS 12-B
 
 
2

 
2,099,925.87

100.217

2,104,557.00

2,100,000.00

2,099,926.53

4,630.47

0.66



0.86

0.863

MON
551.83

551.83

6/12/2012
12/15/2015
12668AZL2
CWALT CMO_05-64CB 1A
 
 
2

 
385,575.08

72.5

284,974.26

393,067.95

385,219.84

(100,245.58
)
(4,272.01
)


5.5

5.841

MON
1,801.56

11,288.74

1/2/2008
12/25/2035
126802BS5
CABMT_10-IA ABS_11-2A A2
 
 
2

 
3,500,000.00

100.873

3,530,555.04

3,500,000.00

3,500,000.00

30,555.04




0.842

0.843

MON
1,304.72

15,087.17

6/22/2011
6/15/2016
12800UAK6
CAISSE CENTRALE CORP BND 144A
 
A
 
 
397,592.00

105.558

422,232.00

400,000.00

398,150.84

24,081.16

232.82



2.55

2.681

MS
2,748.33

5,100.00

4/18/2011
3/24/2016
12800UAL4
CAISSE CENTRALE SECURED LOCAL BND 144A
 
A
 
 
2,699,352.00

101.361

2,736,747.00

2,700,000.00

2,699,391.73

37,355.27

39.82



1.6

1.605

MS
13,800.00

13,800.00

2/28/2012
3/6/2017
136069DF5
CANADIAN IMPERIAL BK COMRC CORP BND 144A
 
A
 
 
1,999,520.00

100.923

2,018,460.00

2,000,000.00

1,999,903.02

18,556.98

80.72



2

2.008

FA
16,333.33

20,000.00

1/27/2010
2/4/2013
136069EH0
CANADIAN IMPERIAL BK COMRC CORP BND 144A
 
A
 
 
5,234,372.73

102.014

5,304,728.42

5,200,000.00

5,231,821.23

72,907.19

(2,551.50
)


1.5

1.245

JD
4,116.67

29,100.00

4/16/2012
12/12/2014
136375BH4
CANADIAN NATIONAL RAILWAY CORP BND
 
A
 
 
325,323.30

102.664

318,258.40

310,000.00

313,320.31

4,938.09

(2,297.93
)


4.4

2.856

MS
4,016.22

6,820.00

10/22/2009
3/15/2013
136375BU5
CANADIAN NATIONAL RAILWAY CORP BND
 
A
1

 
3,721,350.00

100.301

3,761,299.32

3,750,000.00

3,724,778.72

36,520.60

2,737.26



1.45

1.607

JD
2,416.66

27,187.50

11/7/2011
12/15/2016
14041NCK5
COMET ABS_05-A9 A
 
 
2

 
5,826,577.15

99.703

5,857,546.02

5,875,000.00

5,837,998.90

19,547.12

5,555.29



0.332

0.523

MON
866.24

10,185.00

6/17/2011
10/15/2015
14041NDB4
COMET ABS 06-A11 A11
 
 
2

 
5,248,035.16

99.544

5,275,856.17

5,300,000.00

5,258,282.16

17,574.01

4,984.74



0.332

0.523

MON
781.46

9,189.09

6/17/2011
8/15/2016
14170TAF8
CAREFUSION CORP CORP BND
 
 
 
 
6,453,470.60

107.059

6,273,660.86

5,860,000.00

6,211,697.68

61,963.18

(81,901.15
)


5.125

2.165

FA
125,135.42

150,162.50

9/12/2011
8/1/2014
149123BY6
CATERPILLAR INC SENIOR CORP BND
 
 
 
 
7,198,488.00

100.331

7,223,832.00

7,200,000.00

7,198,494.80

25,337.20

6.80



0.95

0.957

JD
950.00

950.00

6/21/2012
6/26/2015
14912L3N9
CATERPILLAR FINL SERV CORP CORP BND MTN
 
 
 
 
1,124,403.75

101.918

1,146,577.50

1,125,000.00

1,124,942.42

21,635.08

64.56



4.85

4.862

JD
3,637.50

27,281.25

12/3/2007
12/7/2012
14912L3S8
CATERPILLAR FINL SERV CORP CORP BND MTN
 
 
 
 
5,268,195.25

100.299

5,394,900.75

5,275,000.00

5,274,100.19

120,800.56

726.64



4.25

4.279

FA
89,052.25

112,093.75

2/4/2008
2/8/2013
14912L4J7
CATERPILLAR FINL SERV CORP CORP BND
 
 
 
 
649,226.50

100.719

654,673.50

650,000.00

649,878.05

4,795.45

130.16



1.9

1.941

JD
480.28

6,175.00

12/10/2009
12/17/2012
14912L4M0
CATERPILLAR FINL SERV CORP CORP BND
 
 
 
 
2,000,000.00

104.512

2,090,237.88

2,000,000.00

2,000,000.00

90,237.88




2.75

2.75

JD
1,069.44

16,041.66

11/12/2010
6/24/2015
14912L4Q1
CATERPILLAR FINL SERV CORP CORP BND
 
 
 
 
3,021,642.25

101.457

3,069,082.81

3,025,000.00

3,023,334.97

45,747.84

554.58



1.55

1.588

JD
1,432.67

23,443.75

12/13/2010
12/20/2013





<
14912L4U2
CATERPILLAR FINL SERV CORP CORP BND GMTN
 
 
 
 
4,219,068.00

100.346

4,214,532.00

4,200,000.00

4,212,331.54

2,200.46

(3,484.78
)


0.758

0.37

JAJO
7,960.58

17,260.57

7/12/2011
4/1/2014
14912L4Y4
CATERPILLAR FINL SERV CORP CORP BND MTN
 
 
 
 
4,989,810.90

100.636

5,031,777.55

5,000,000.00

4,991,543.00

40,234.55

1,685.80



1.125

1.195

JD
2,500.00

28,125.00

12/27/2011
12/15/2014
14912L5D9
CATERPILLAR FINL SERV CORP SENIOR CORP
 
 
 
 
2,999,040.00

100.274

3,008,211.81

3,000,000.00

2,999,067.43

9,144.38

27.43



1.1

1.111

MN
2,841.67

2,841.67

5/22/2012
5/29/2015
15200DAB3
CENTERPOINT ENERGY INC. ABS_05-A A2
 
 
2

 
46,269.90

100.399

45,026.20

44,847.40

44,910.05

116.15

(900.34
)


4.97

3.83

FA
928.71

1925.15
2/8/2008
9/1/2012
161571FH2
CHAIT_12-A2 ABS 12-A2
 
 
2

 
7,000,000.00

100.13

7,009,087.40

7,000,000.00

7,000,000.00

9,087.40




0.509

0.509

MON
2,572.01

2,572.01

5/29/2012
5/15/2019
161630BD9
CHASE CMO_07-A1 11M1
 
 
2

 
3,350,757.00

67.281

2,335,741.44

3,318,993.17

3,348,156.33

(1,012,414.89
)
(2,313.42
)


2.934

2.797

MON
8,113.69

48,755.81

1/18/2008
2/1/2037
165182BA3
CF_09-2A ABS 12-1A 144A
 
 
2

 
3,200,000.00

100

3,200,000.00

3,200,000.00

3,200,000.00





0.99

0.992

MON
2,111.47

3,957.14

5/10/2012
11/7/2023
166751AH0
CHEVRONTEXACO CORPORATION CORP BND
 
 
 
 
7,390,303.50

105.543

7,440,772.83

7,050,000.00

7,192,049.01

248,723.82

(38,864.36
)


3.95

2.71

MS
91,277.92

132,120.92

1/6/2010
3/3/2014
167562LV7
CHICAGO ILL MIDWAY ARPT REV MUNI BND REV
 
 
 
 
3,083,400.00

102.426

3,072,780.00

3,000,000.00

3,081,764.24

(8,984.24
)
(849.33
)


3.532

3.382

JJ
52,980.00

52,980.00

7/5/2011
1/1/2041
17275RAG7
CISCO SYSTEMS INC CORP BND
 
 
 
 
3,989,840.00

105.439

4,217,562.24

4,000,000.00

3,994,983.90

222,578.34

1,008.62



2.9

2.955

MN
14,177.78