The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete. | |||||||||||||||||
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UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F INFORMATION TABLE |
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| COLUMN 1 | COLUMN 2 | COLUMN 3 | COLUMN 4 | COLUMN 5 | COLUMN 6 | COLUMN 7 | COLUMN 8 | ||||
| VALUE | SHRS OR | SH/ | PUT/ | INVESTMENT | OTHER | VOTING AUTHORITY | |||||
| NAME OF ISSUER | TITLE OF CLASS | CUSIP | (x$1000) | PRN AMT | PRN | CALL | DISCRETION | MANAGER | SOLE | SHARED | NONE |
| HATTERAS FINL CORP | COM | 41902R103 | 34,212 | 2,093,778 | SH | DFND | 1 | 2,093,778 | 0 | 0 | |
| ANNALY CAP MGMT INC | COM | 035710409 | 180,188 | 18,072,972 | SH | DFND | 1 | 18,072,972 | 0 | 0 | |
| CYS INVTS INC | COM | 12673A108 | 15,842 | 2,137,928 | SH | DFND | 1 | 2,137,928 | 0 | 0 | |
| ARMOUR RESIDENTIAL REIT INC | COM | 042315101 | 7,176 | 1,789,488 | SH | DFND | 1 | 1,789,488 | 0 | 0 | |
| HATTERAS FINL CORP | COM | 41902R103 | 5,394 | 330,082 | SH | DFND | 330,082 | 0 | 0 | ||
| ANNALY CAP MGMT INC | COM | 035710409 | 29,352 | 2,944,011 | SH | DFND | 2,944,011 | 0 | 0 | ||
| CYS INVTS INC | COM | 12673A108 | 2,796 | 377,280 | SH | DFND | 377,280 | 0 | 0 | ||
| ARMOUR RESIDENTIAL REIT INC | COM | 042315101 | 1,266 | 315,792 | SH | DFND | 315,792 | 0 | 0 | ||