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Nationwide Short Duration Bond Fund

Investment Objective

The Fund seeks to provide a high level of current income while preserving capital and minimizing fluctuations in share value.

Investment Strategy

Under normal circumstances, the Fund invests at least 80% of its assets in investment-grade corporate bonds, U.S. government securities, and mortgage-backed and asset-backed securities. These securities may pay interest on either a fixed-rate or variable-rate basis.

Portfolio Management

Morley Capital Management, Inc., Subadviser

Perpetua M. Phillips and Paul Rocheleau are responsible for the day-to-day management of the Fund, including selection of the Fund's investments.

Nationwide Fund Distributors LLC is not an affiliate of Morley Capital Management, Inc.

Fund Documents

You can find more detailed information about the Fund in the summary prospectus, prospectus and other fund documents. You should carefully read the documents before investing.

Top Holdings (all classes) as of 12/30/201111/30/201110/31/2011

View all holdings as of 12/30/2011 | 11/30/2011 | 10/31/2011

Holding	Percent
FIDELITY INSTITUTIONAL MMKT PORTFOLIO INST CLASS -	9.47%
FEDERAL NATIONAL MORTGAGE ASSOC 1.5% NTS	2.23%
FEDERAL HOME LOAN MORTGAGE CORP 0.375% BDS	1.75%
UNITED STATES TREAS NTS 0.375% 15/NOV/2014	1.61%
UNITED STATES TREAS NTS 04.750% 15/MAY/2014	1.55%
CLECO KATRINA/RITA HURRICANE RECOVERY 2008-A A1	1.27%
AEP TEXAS CENTRAL TRANSITION 2006-2 A3 5.09%	1.10%
UNITED TECHNOLOGIES CORP 01/MAY/2015	0.98%
FEDERAL NATIONAL MORTGAGE ASSOC 4.625% NTS	0.97%
FANNIE MAE 2009-76 MA 4.000% 25/SEP/2024	0.97%

Holding	Ticker	Security No	Shares	Market Value	Percent
FIDELITY INSTITUTIONAL MMKT PORTFOLIO INST CLASS -	N/A	89199B034	10,828,336	10,828,335.95	9.47%
FEDERAL NATIONAL MORTGAGE ASSOC 1.5% NTS	N/A	31398AT44	2,500,000	2,543,990.00	2.23%
FEDERAL HOME LOAN MORTGAGE CORP 0.375% BDS	N/A	3137EACP2	2,000,000	2,003,894.00	1.75%
UNITED STATES TREAS NTS 0.375% 15/NOV/2014	N/A	912828RQ5	1,835,000	1,836,146.88	1.61%
UNITED STATES TREAS NTS 04.750% 15/MAY/2014	N/A	912828CJ7	1,600,000	1,767,249.60	1.55%
CLECO KATRINA/RITA HURRICANE RECOVERY 2008-A A1	N/A	185506AA0	1,339,944	1,446,835.37	1.27%
AEP TEXAS CENTRAL TRANSITION 2006-2 A3 5.09%	N/A	00110AAC8	1,150,000	1,261,355.77	1.10%
UNITED TECHNOLOGIES CORP 01/MAY/2015	N/A	913017BH1	1,000,000	1,123,323.00	0.98%
FEDERAL NATIONAL MORTGAGE ASSOC 4.625% NTS	N/A	31359MWJ8	1,000,000	1,111,141.00	0.97%
FANNIE MAE 2009-76 MA 4.000% 25/SEP/2024	N/A	31396Q2N8	1,062,384	1,111,125.43	0.97%
GENERAL ELECTRIC CAPITAL CORP 4.375% LN STK	N/A	36962G4F8	1,000,000	1,075,721.00	0.94%
PROCTER & GAMBLE CO 3.15% NTS 01/SEP/2015 USD1000	N/A	742718DQ9	1,000,000	1,073,748.00	0.94%
FEDERAL NATIONAL MORTGAGE ASSOC 2.25% NTS	N/A	3135G0AL7	1,000,000	1,048,210.00	0.92%
WELLS FARGO & COMPANY 3.625% 15/APR/2015	N/A	94974BEU0	1,000,000	1,046,845.00	0.92%
FREDDIE MAC 3846 CK 1.500% 15/SEP/2020	N/A	3137A9BB1	1,026,976	1,033,653.04	0.90%
FANNIE MAE 2011-69 AB 1.500% 25/MAY/2018	N/A	3136A0AQ0	1,013,689	1,019,717.49	0.89%
UNITED STATES TREAS NTS 1.375% 15/MAY/2013	N/A	912828NC0	1,000,000	1,015,859.00	0.89%
UNITED STATES TREAS NTS 0.75% 15/JUN/2014	N/A	912828QS2	1,000,000	1,010,859.00	0.88%
FEDERAL NATIONAL MORTGAGE ASSOC 0.875% BDS	N/A	3135G0BY8	1,000,000	1,004,879.00	0.88%
UNITED STATES TREAS NTS 1.375% 15/MAY/2012	N/A	912828KP4	1,000,000	1,004,883.00	0.88%
JPMORGAN CHASE & CO 3.15% BDS 05/JUL/2016 USD100	N/A	46625HJA9	985,000	989,609.80	0.87%
FREDDIE MAC 3585 LA 3.500% 15/OCT/2024	N/A	31398K5J5	909,179	952,031.97	0.83%
WAL-MART STORES INC 7.25% BDS 01/JUN/2013 USD1000	N/A	931142AS2	800,000	874,836.00	0.77%
BLACKROCK INC 3.5% NTS 10/DEC/2014 USD1000	N/A	09247XAD3	800,000	854,260.80	0.75%
BAXTER INTERNATIONAL INC 4.0% BDS 01/MAR/2014	N/A	071813AZ2	800,000	851,784.00	0.75%
TXU ELECTRIC DELIVERY TRANSITION BOND COMPANY	N/A	87316YAC5	750,000	842,271.45	0.74%
DISCOVER CARD MASTER TRUST 2008-A4 A4 5.65%	N/A	254683AH8	775,000	829,323.55	0.73%
CISCO SYSTEMS INC 1.625% BDS 14/MAR/2014 USD1000	N/A	17275RAJ1	800,000	814,993.60	0.71%
BERKSHIRE HATHAWAY INC 2.125% BDS 11/FEB/2013	N/A	084670AU2	800,000	813,556.00	0.71%
BANK OF NEW YORK MELLON CORP 2.5% BDS 15/JAN/2016	N/A	06406HBS7	800,000	810,195.20	0.71%
CS FIRST BOSTON MORTGAGE SECURITIES 2005-C5 A3	N/A	225470AM5	794,860	808,844.26	0.71%
COSTCO WHOLESALE CORP 5.3% 15/MAR/2012	N/A	22160KAB1	800,000	807,411.20	0.71%
GE EQUIP MIDTICKET 0% BDS 14/JUL/2015 USD CL A-4	N/A	36161HAD3	790,000	793,741.20	0.69%
ORACLE CORP 4.95% NTS 15/APR/2013 USD1000	N/A	68389XAD7	750,000	792,036.00	0.69%
CREDIT SUISSE FB USA INC 5.125 15/AUG/2015	N/A	22541LBK8	735,000	774,216.66	0.68%
GLAXOSMITHKLINE CA 4.375% BDS 15/APR/2014 USD1000	N/A	377372AA5	700,000	757,562.40	0.66%
FEDERAL HOME LOAN MORTGAGE CORP 1.75% NTS	N/A	3137EACC1	750,000	755,545.50	0.66%
CHASE ISSUANCE TRUST 2008-11 A 5.400% 15/JUL/2015	N/A	161571DA9	700,000	749,308.98	0.66%
FEDERAL NALT MTG ASSOC POOL #555547 4.5% DUE	N/A	31385XEU7	698,741	748,179.86	0.65%
DELL INC 4.7% NTS 15/APR/2013 USD1000	N/A	24702RAD3	700,000	732,853.80	0.64%
DU PONT E I DE NEMOURS & CO 4.7500% DUE	N/A	263534BK4	700,000	723,868.60	0.63%
CONOCOPHILLIPS 4.75% DUE 150CT12	N/A	20825CAE4	700,000	720,900.60	0.63%
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2011-1 A-4	N/A	92867DAD2	700,000	717,236.10	0.63%
NEW YORK LIFE GLOBAL FUNDING 1.85% BDS 13/DEC/2013	N/A	64952WAX1	700,000	706,266.40	0.62%
GE EQUIP.SMAL.TICK 1.45% A/BKD 21/JAN/2018 USD1000	N/A	36830HAC6	700,000	702,086.98	0.61%
GE EQUIPMENT TRANSPORTATION LLC 1.33% 20/MAY/2019	N/A	36161XAD8	700,000	701,450.19	0.61%
COCA-COLA CO 0.75% SNR NTS 15/NOV/2013 USD1000	N/A	191216AN0	700,000	701,281.00	0.61%
LOUISIANA PUBLIC FACS AUTH REVENUES 5.75% BDS	N/A	546403AD8	600,000	669,438.00	0.59%
BOEING CO 1.875% 20/NOV/2012	N/A	097023BB0	650,000	656,778.85	0.57%
HEWLETT PACKARD CO 3% NTS 15/SEP/2016 USD1000	N/A	428236BP7	650,000	654,585.10	0.57%
UNITED PARCEL SERVICE INC 3.875% BDS 01/APR/2014	N/A	911312AL0	600,000	640,185.60	0.56%
MASSACHUSETTS RRB SPECIAL PURPOSE 4.4% MTG BDS	N/A	575800AE7	618,233	634,049.28	0.55%
CITIBANK CC ISSU T 4.85% A/BKD NTS 22/APR/2015 USD	N/A	17305EEH4	594,000	625,412.56	0.55%
LOWE'S COS INC 5.6% NTS 15/SEP/2012 USD1000	N/A	548661CM7	600,000	619,594.20	0.54%
FANNIE MAE 2011-69 AC 2.000% 25/MAY/2018	N/A	3136A0AR8	608,213	617,464.92	0.54%
FLORIDA POWER & LIGHT COMPANY 2007-A A-2 5.044%	N/A	302583AB5	594,752	615,101.97	0.54%
OCCIDENTAL PETROLEUM CORP 1.45% BDS 13/DEC/2013	N/A	674599CA1	600,000	610,402.80	0.53%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2011-A A4	N/A	89235XAD9	600,000	607,675.08	0.53%
FREDDIE MAC 3852 EA 4.500% 15/DEC/2021	N/A	3137AB6F3	558,809	597,015.34	0.52%
FANNIE MAE 2010-95 BK 1.500% 25/FEB/2020	N/A	31398NEG5	588,422	591,211.56	0.52%
CAPITAL AUTO RECEIVABLES 4.46% NTS 15/JUL/2014	N/A	13974WAK0	584,280	589,901.44	0.52%
FHLMCGLD MORTPASS 4% 01/FEB/2025 J1 PN# J11719	N/A	3128PQ4C2	558,470	586,290.98	0.51%
ONTARIO(PROVINCE OF) 1.875% BDS 19/NOV/2012	N/A	6832348E1	575,000	582,009.25	0.51%
HYUNDAI AUTO RECEIVABLES TST 2010-B 0.97% A/BKD	N/A	44923YAC1	575,000	576,202.67	0.50%
MERCK & CO INC 2.25% NTS 15/JAN/2016 USD1000	N/A	58933YAB1	555,000	575,904.08	0.50%
FREDDIE MAC 3840 BA 2.000% 15/FEB/2018	N/A	3137A9E28	561,912	571,064.23	0.50%
FHLMCGLD MORTPASS 3.5% 01/NOV/2025 J1 PN# J13543	N/A	3128PS5C7	546,833	570,470.10	0.50%
CHASE ISSUANCE TRUST 5.12% MTN 15/OCT/2014 USD1000	N/A	161571CH5	550,000	569,303.46	0.50%
GINNIE MAE 2004-76 QA 4.000% 20/JAN/2034	N/A	38374JCK0	537,510	569,251.05	0.50%
CAPITAL ONE MULTI ASET EXECUTION TRUST SERIES	N/A	14041NCH2	555,000	568,555.54	0.50%
JOHN DEERE OWNER TRUST 2010 A-4 2.130% 17/OCT/2016	N/A	47787AAE7	550,000	559,636.28	0.49%
BMW VEHICLE OWNER TRUST 2010-A A-4 2.100%	N/A	09657MAD0	550,000	559,122.41	0.49%
CITIBANK CREDIT CARD ISSUANCE TRUST 2005-A2 CL A2	N/A	17305ECJ2	500,000	559,042.10	0.49%
CITIBANK CREDIT CARD ISSUANCE TRUST 17305EBU8	N/A	17305EBU8	500,000	552,975.55	0.48%
AMERICAN EXPRESS CREDIT CORP 5.875% BDS	N/A	0258M0CW7	525,000	551,856.38	0.48%
ALABAMA POWER CO 4.85% BDS 15/DEC/2012 USD1000	N/A	010392EY0	530,000	550,979.52	0.48%
GS MORTGAGE SECURITIES CORPORATION II 2006-GG A-2	N/A	36228CWU3	544,383	547,980.98	0.48%
GENERAL DYNAMICS CORP 5.25% BDS 01/FEB/2014	N/A	369550AN8	500,000	545,563.50	0.48%
NOVARTIS CAPITAL 4.125% 10/FEB/2014	N/A	66989HAA6	500,000	534,961.50	0.47%
FNMA MORTPASS 3.5% 01/OCT/2025 CI PN# AE5487	N/A	31419GCZ5	510,986	534,834.69	0.47%
WALGREEN CO 4.875% BDS 01/AUG/2013 USD1000	N/A	931422AD1	500,000	533,446.50	0.47%
ONCOR ELECTRIC DELIVERY TRANSITION BOND CO 4.95%	N/A	68233LAC3	520,934	531,694.51	0.47%
COLGATE-PALMOLIVE CO 1.375% MTN 01/NOV/2015	N/A	19416QDQ0	525,000	530,628.00	0.46%
MEDTRONIC INC 3.00% 15/MAR/2015	N/A	585055AR7	500,000	528,012.50	0.46%
ROYAL BANK OF CANADA 1.45% BDS 30/OCT/2014 USD1000	N/A	78008TXA7	525,000	527,725.28	0.46%
PEPSICO INC 0.75% BDS 25/AUG/2014 USD1000	N/A	713448BV9	525,000	524,561.10	0.46%
CANADIAN NATIONAL RAILWAY CO 5.8% BDS 01/JUN/2016	N/A	136375BM3	450,000	523,080.90	0.46%
JOHNSON & JOHNSON 2.15% BDS 15/MAY/2016 USD1000	N/A	478160AY0	500,000	521,479.50	0.46%
INTERNATIONAL BUS MACH CORP 0.875% BDS 31/OCT/2014	N/A	459200GZ8	520,000	520,187.20	0.46%
VERIZON COMMUNICATIONS INC 4.35% BDS 15/FEB/2013	N/A	92343VAJ3	500,000	519,578.00	0.45%
FREDDIE MAC 3815 DE 3.000% 15/OCT/2021	N/A	3137A6DE9	500,434	517,890.82	0.45%
FEDERAL HOME LOAN MORTGAGE CORP 2.175% NTS	N/A	3128X9C73	500,000	517,583.50	0.45%
ASTRAZENECA PLC NT 5.4% 15/SEP/2012	N/A	046353AC2	500,000	517,271.00	0.45%
MERCEDES-BENZ AUTO RECEIVABLES TRUST 2011-1 A-4	N/A	587728AD8	515,000	517,285.98	0.45%
WORLD OMNI AUTO RECEIVABLES TRUST 2008-A A-4	N/A	98156TAF9	509,613	516,131.24	0.45%
FREDDIE MAC 3639 AB 2.750% 15/FEB/2025	N/A	31398WQ56	497,433	512,732.66	0.45%
HONDA AUTO RECEIVABLES 2010-2 OWNER TRUST 2010-2	N/A	43812KAD5	500,000	507,370.30	0.44%
FNMA MORTPASS 4% 01/JAN/2026 CI PN# AE0705	N/A	31419AYB7	480,078	506,469.17	0.44%
FREDDIE MAC 3609 LE 3.000% 15/DEC/2024	N/A	31398LNM6	487,715	505,723.56	0.44%
FEDERAL NATIONAL MORTGAGE ASSOC 1% BDS 23/SEP/2013	N/A	31398A2S0	500,000	505,172.50	0.44%
WESTPAC BANKING CORP 2.1% BDS 02/AUG/2013 USD1000	N/A	961214BM4	500,000	504,884.50	0.44%
FNMA MORTPASS 6% 01/OCT/2039 CL PN# AD0496	N/A	31418MRS3	457,091	504,244.31	0.44%
FEDERAL HOME LOAN MORTGAGE CORP 0.875% NTS	N/A	3137EACL1	500,000	503,915.00	0.44%
STATE STREET CORP 2.15% NTS 30/APR/2012 USD1000	N/A	85748KAA1	500,000	503,372.00	0.44%
CANADIAN IMPERIAL BANK OF COMMERCE 2.35% NTS	N/A	136069DS7	500,000	503,035.50	0.44%
US BANCORP 1.375% BDS 13/SEP/2013 USD1000	N/A	91159HGY0	500,000	503,043.00	0.44%
METLIFE INC 2% NTS 10/JAN/2014 USD1000 144A	N/A	59217GAE9	500,000	502,951.00	0.44%
US BANCORP FRN 13/MAR/2012 USD1000	N/A	91160HAA5	500,000	502,007.50	0.44%
FHLMC REMIC SERIES 2920 HC 4.500% 15/DEC/2018	N/A	31395LK75	488,950	501,203.31	0.44%
FEDERAL HOME LOAN BANKS 0.5% BDS 28/AUG/2013	N/A	313374Y61	500,000	500,912.00	0.44%
UNITED STATES TREAS NTS 0.25% 30/NOV/2013	N/A	912828RS1	500,000	500,058.50	0.44%
CFCRE COMMERCIAL MORTGAGE TRUST 2011-C2 A-1 1.558%	N/A	12527DAN0	500,000	499,702.00	0.44%
ALLY AUTO RECEIVABLES TRUST 2011-5 A-3 0.990%	N/A	02005WAC4	500,000	499,108.75	0.44%
FREDDIE MAC 3755 AL 1.500% 15/NOV/2020	N/A	3137A2EL1	494,441	497,550.10	0.44%
PG&E ENERGY RECOVERY FUNDING LLC 2005-1 A5 4.47%	N/A	693401AE1	475,000	487,292.57	0.43%
GS MORTGAGE SECURITIES TRUST 2011-GC5 A-1 1.468%	N/A	36191YAY4	483,436	481,578.08	0.42%
FREDDIE MAC 3728 CA 1.500% 15/OCT/2018	N/A	3137A1W74	475,122	477,550.86	0.42%
BK OF AMERICA CORP 0% BDS 15/JUN/2017 USD	N/A	06052MAD7	465,000	472,177.74	0.41%
BNP PARIBAS VAR 08/APR/2013	N/A	05567LH75	500,000	470,122.50	0.41%
FREDDIE MAC 3728 EA 3.500% 15/SEP/2020	N/A	3137A1WC3	449,676	463,885.94	0.41%
BANK OF AMERICA AUTO TRUST 2010-1 A-4 2.180%	N/A	06052JAD4	455,000	462,742.55	0.40%
FANNIE MAE 2006-22 CB RCR 4.500% 25/NOV/2021	N/A	31395BD59	442,520	455,238.12	0.40%
WALT DISNEY(HLDG)CO .875% BDS 01/DEC/2014 USD100	N/A	25468PCQ7	450,000	452,106.90	0.40%
PACCAR INC 6.875% 15/FEB/2014	N/A	69373UAA5	400,000	448,121.20	0.39%
FANNIE MAE POOL# 254833	N/A	31371LBA6	418,398	448,001.49	0.39%
BANK OF AMERICA CORP 3.7% MTN 01/SEP/2015 USD5000	N/A	06051GED7	480,000	446,602.08	0.39%
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2005-C21	N/A	9297667G2	400,000	438,436.40	0.38%
HYUNDAI AUTO RECEIVABLES TR 2010-A A4 2.45%	N/A	44923WAD3	425,000	438,145.68	0.38%
GENERAL ELECTRIC CO 369604AY9 5% 01/FEB/2013	N/A	369604AY9	420,000	437,679.90	0.38%
FREDDIE MAC 3718 BC 2.000% 15/FEB/2025	N/A	3137A1BX0	430,877	435,789.68	0.38%
BANC OF AMERICA COMMERCIAL MORTGAGE 4.668% MTG BDS	N/A	05947UR83	400,000	433,150.80	0.38%
HONDA AUTO RECEIVABLES OWNER TR 1.98% MTG BDS	N/A	43812BAH6	415,000	420,162.43	0.37%
LB UBS COML MTG TR 2005-C1 COML MTG PASSTHRU CTF	N/A	52108H2U7	390,000	416,639.73	0.36%
FANNIE MAE 2010-66 QA 4.500% 25/AUG/2039	N/A	31398RFJ9	379,266	408,979.58	0.36%
FNMA MORTPASS 3.5% 01/JAN/2026 CI PN# AB2130	N/A	31416XLL2	390,588	408,818.02	0.36%
GE CAPITAL CREDIT CARD MASTER NOTE TRUST 2010-3 A	N/A	36159JCC3	400,000	407,911.72	0.36%
FHLMCGLD MORTPASS 4% 01/OCT/2025 G1 PN# G13908	N/A	3128MCR56	360,230	378,175.18	0.33%
BEAR STEARNS COMM MTG SECURITIES 07383FA65 4.8%	N/A	07383FA65	370,835	375,488.11	0.33%
ANHEUSER BUSCH INBEV WORLDWIDE INC 3.625% GTD NT	N/A	03523TAT5	350,000	372,696.10	0.33%
TOYOTA MOTOR CRED 2.8% MTN 11/JAN/2016 USD1000	N/A	89233P4R4	360,000	371,943.36	0.33%
BROWN-FORMAN CORP 2.5% BDS 15/JAN/2016 USD1000	N/A	115637AK6	360,000	368,510.76	0.32%
WACHOVIA COMMERCIAL MORTGAGE TRUST 2005-C17 A2	N/A	929766B85	364,350	364,045.38	0.32%
STATE STREET CORP 2.875% BDS 07/MAR/2016 USD1000	N/A	857477AH6	350,000	360,244.50	0.32%
USAA AUTO OWNER TRUST 2010-1 A-4 2.140%	N/A	90290FAD8	350,000	355,013.93	0.31%
WACHOVIA BNK COMMERCIAL MTG TR VAR DUE 15/JUL/2042	N/A	9297664P5	346,409	353,318.90	0.31%
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES	N/A	46625MYT0	339,249	346,539.51	0.30%
FANNIE MAE 2010-30 DB 2.000% 25/AUG/2018	N/A	31398M5V4	340,326	346,375.26	0.30%
FHLMC REMIC SERIES 3501 AC 15/AUG/2023 4.00000	N/A	31397YS44	324,683	340,056.54	0.30%
FREDDIE MAC 3758 CD 1.500% 15/AUG/2017	N/A	3137A3CC1	328,330	329,949.27	0.29%
CONSUMERS FUNDING LLC 01-1 A-5 5.430% 20/APR/2015	N/A	210523AE6	315,130	326,405.51	0.29%
ABBOTT LABORATORIES BNDS DUE 15/MAR/2014 4.350	N/A	002824AQ3	300,000	324,435.30	0.28%
FANNIE MAE 2010-50 AD 3.000% 25/JAN/2024	N/A	31398PR76	309,547	316,583.11	0.28%
JOHN DEERE CAPITAL CORP 1.25% BDS 02/DEC/2014	N/A	24422ERK7	310,000	313,360.40	0.27%
JOHN DEERE CAPITAL CORP 1.875% NTS 17/JUN/2013	N/A	24422EQX0	300,000	305,432.10	0.27%
US BANCORP 2% MTN 14/JUN/2013 USD1000 165	N/A	91159HGW4	300,000	304,893.90	0.27%
PSE&G TRANSITION FUNDING LLG 6.61% AST BKD	N/A	69361YAF0	285,709	299,616.41	0.26%
VOLVO FINANCIAL EQUIPMENT LLC 2010-1 A-3 1.560%	N/A	92887BAC4	298,017	298,507.17	0.26%
ALLY AUTO RECEIVABLES TRUST 2010-1 A3 1.45%	N/A	02005HAB9	293,582	294,851.05	0.26%
FREDDIE MAC 3645 EH 3.000% 15/DEC/2020	N/A	31398VEK8	277,569	287,766.69	0.25%
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2010-1 A-4	N/A	92869AAD6	280,000	284,506.32	0.25%
INTERNATIONAL BUS MACH CORP 1.00% BDS 05/AUG/2013	N/A	459200GT2	280,000	282,204.44	0.25%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2010-A A-4	N/A	89232EAD4	275,000	278,049.92	0.24%
WESTERN UNION COMPANY (THE) 6.5% NTS 26/FEB/2014	N/A	959802AJ8	250,000	273,210.00	0.24%
FEDERAL HOME LOAN MORTGAGE CORP 5.5% MTG BDS	N/A	31283K4G0	248,345	269,631.88	0.24%
PNC FUNDING CORP 4.25% 21/SEP/2015	N/A	693476BG7	250,000	268,007.50	0.23%
FREDDIE MAC 3627 QG 4.000% 15/JUL/2023	N/A	31398LW87	257,641	266,963.95	0.23%
OCCIDENTAL PETRLM 2.5% SRN 01/FEB/2016 USD1000	N/A	674599BZ7	250,000	261,482.25	0.23%
METROPOLITAN LIFE GLOBAL FUNDING I 5.125% SNR NTS	N/A	592179JG1	250,000	261,158.25	0.23%
BANK OF NOVA SCOTIA 2.375% NTS 17/DEC/2013 USD2000	N/A	064149B97	250,000	256,674.75	0.22%
CATERPILLAR FINANCIAL SERVICES CORP 1.55% BDS	N/A	14912L4Q1	250,000	253,391.25	0.22%
WORLD OMNI AUTO RECEIVABLES TRUST 2011-A A-4	N/A	98158KAD1	240,000	244,146.38	0.21%
FREDDIE MAC 2695 DE 4.000% 15/JAN/2017	N/A	31394L7F3	233,236	235,744.51	0.21%
ALLY AUTO RECEIVABLES TRUST 2010-2 A-4 2.090%	N/A	02005LAD6	220,000	224,385.46	0.20%
FNMA MORTPASS 4% 01/JUN/2024 CI PN# AA5563	N/A	31416PFD4	197,722	208,591.15	0.18%
FORD CREDIT AUTO OWNER TRUST 2010-B A-3 0.980%	N/A	34529MAC6	203,255	203,601.15	0.18%
CITIGROUP INC 5.3% SNR NTS 17/OCT/2012 USD1000	N/A	172967EL1	200,000	203,249.60	0.18%
RABOBANK NEDERLAND 2.65% BDS 17/AUG/2012	N/A	74977RBU7	195,000	196,820.72	0.17%
MICROSOFT CORP 1.625% BDS 25/SEP/2015 USD1000	N/A	594918AG9	190,000	195,471.81	0.17%
TEVA PHARMACEUTICAL FINANCE IV 1.7% BDS	N/A	88166HAA5	185,000	186,430.24	0.16%
CATERPILLAR FINANCIAL SERVICES CORP 1.125% MTN	N/A	14912L4Y4	185,000	185,229.96	0.16%
CITIGROUP COMMERCIAL MTGE 5.7206% MTG BDS	N/A	17309DAB9	174,000	183,062.44	0.16%
CENTERPOINT ENERGY TRANS BD CO II 4.97% BDS	N/A	15200DAB3	174,428	175,779.50	0.15%
DAIMLERCHRYSLER AUTO TRUST 2007-A A-4 5.280%	N/A	233882AF6	172,669	172,837.55	0.15%
MORGAN STANLEY CAP I 2005-1Q10 AAB	N/A	617451AE9	162,996	169,160.00	0.15%
UNITEDHEALTH GROUP INC 4.875% SNR NTS 15/FEB/2013	N/A	91324PBH4	160,000	166,610.56	0.15%
NISSAN AUTO RECEIVABLES OWNER TRUST 2008-A A-4	N/A	65475FAF2	161,878	162,107.59	0.14%
SBC COMMUNICATIONS INC5.875%	N/A	78387GAK9	147,000	151,752.51	0.13%
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2006-C1	N/A	225470F57	140,450	148,546.71	0.13%
FANNIE MAE 2010-57 AQ 3.000% 25/AUG/2024	N/A	31398RB79	123,774	126,787.55	0.11%
TOYOTA MOTOR CREDIT CORP 1.25% BDS 17/NOV/2014	N/A	89233P5N2	125,000	125,697.38	0.11%
CONOCOPHILLIPS 4.4% BDS 15/MAY/2013 USD1000	N/A	20825CAM6	100,000	104,829.40	0.09%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2010-A A-3	N/A	89232EAC6	84,279	84,494.02	0.07%
FREDDIE MAC 2625 JD 3.250% 15/JUL/2017	N/A	31393RJY7	80,092	80,713.75	0.07%
FREDDIE MAC 2692 AB 4.000% 15/MAY/2016	N/A	31394KU69	58,466	58,506.33	0.05%
PG & E ENERGY RECOVERY FUNDING LLC 5.03%	N/A	693401AG6	52,640	53,177.03	0.05%

Holding	Ticker	Security No	Shares	Market Value	Percent
FIDELITY INSTITUTIONAL MMKT PORTFOLIO INST CLASS -	N/A	89199B034	4,229,178	4,229,177.53	4.07%
FEDERAL NATIONAL MORTGAGE ASSOC 1.5% NTS	N/A	31398AT44	2,500,000	2,545,972.50	2.45%
FEDERAL HOME LOAN MORTGAGE CORP 0.375% BDS	N/A	3137EACP2	2,000,000	2,004,072.00	1.93%
UNITED STATES TREAS NTS 0.375% 15/NOV/2014	N/A	912828RQ5	1,835,000	1,834,282.52	1.77%
UNITED STATES TREAS NTS 04.750% 15/MAY/2014	N/A	912828CJ7	1,600,000	1,772,499.20	1.71%
CLECO KATRINA/RITA HURRICANE RECOVERY 2008-A A1	N/A	185506AA0	1,339,944	1,458,026.57	1.40%
AEP TEXAS CENTRAL TRANSITION 2006-2 A3 5.09%	N/A	00110AAC8	1,150,000	1,265,940.24	1.22%
FANNIE MAE 2009-76 MA 4.000% 25/SEP/2024	N/A	31396Q2N8	1,093,057	1,147,807.87	1.11%
UNITED TECHNOLOGIES CORP 01/MAY/2015	N/A	913017BH1	1,000,000	1,118,562.00	1.08%
FEDERAL NATIONAL MORTGAGE ASSOC 4.625% NTS	N/A	31359MWJ8	1,000,000	1,113,531.00	1.07%
FREDDIE MAC 3846 CK 1.500% 15/SEP/2020	N/A	3137A9BB1	1,062,609	1,071,858.62	1.03%
PROCTER & GAMBLE CO 3.15% NTS 01/SEP/2015 USD1000	N/A	742718DQ9	1,000,000	1,070,925.00	1.03%
GENERAL ELECTRIC CAPITAL CORP 4.375% LN STK	N/A	36962G4F8	1,000,000	1,070,289.00	1.03%
FANNIE MAE 2011-69 AB 1.500% 25/MAY/2018	N/A	3136A0AQ0	1,051,582	1,061,053.92	1.02%
WELLS FARGO & COMPANY 3.625% 15/APR/2015	N/A	94974BEU0	1,000,000	1,045,111.00	1.01%
UNITED STATES TREAS NTS 1.375% 15/MAY/2013	N/A	912828NC0	1,000,000	1,016,719.00	0.98%
UNITED STATES TREAS NTS 0.75% 15/JUN/2014	N/A	912828QS2	1,000,000	1,010,312.00	0.97%
UNITED STATES TREAS NTS 1.375% 15/MAY/2012	N/A	912828KP4	1,000,000	1,005,938.00	0.97%
FEDERAL NATIONAL MORTGAGE ASSOC 0.875% BDS	N/A	3135G0BY8	1,000,000	1,004,242.00	0.97%
FREDDIE MAC 3585 LA 3.500% 15/OCT/2024	N/A	31398K5J5	942,051	989,677.95	0.95%
JPMORGAN CHASE & CO 3.15% BDS 05/JUL/2016 USD100	N/A	46625HJA9	985,000	970,333.35	0.93%
WAL-MART STORES INC 7.25% BDS 01/JUN/2013 USD1000	N/A	931142AS2	800,000	877,804.00	0.85%
BLACKROCK INC 3.5% NTS 10/DEC/2014 USD1000	N/A	09247XAD3	800,000	854,352.80	0.82%
BAXTER INTERNATIONAL INC 4.0% BDS 01/MAR/2014	N/A	071813AZ2	800,000	853,216.00	0.82%
TXU ELECTRIC DELIVERY TRANSITION BOND COMPANY	N/A	87316YAC5	750,000	843,386.10	0.81%
DISCOVER CARD MASTER TRUST 2008-A4 A4 5.65%	N/A	254683AH8	775,000	833,279.38	0.80%
CISCO SYSTEMS INC 1.625% BDS 14/MAR/2014 USD1000	N/A	17275RAJ1	800,000	815,064.80	0.79%
BERKSHIRE HATHAWAY INC 2.125% BDS 11/FEB/2013	N/A	084670AU2	800,000	813,083.20	0.78%
CS FIRST BOSTON MORTGAGE SECURITIES 2005-C5 A3	N/A	225470AM5	794,860	811,127.10	0.78%
COSTCO WHOLESALE CORP 5.3% 15/MAR/2012	N/A	22160KAB1	800,000	810,522.40	0.78%
BANK OF NEW YORK MELLON CORP 2.5% BDS 15/JAN/2016	N/A	06406HBS7	800,000	810,194.40	0.78%
GE EQUIP MIDTICKET 0% BDS 14/JUL/2015 USD CL A-4	N/A	36161HAD3	790,000	794,899.98	0.77%
ORACLE CORP 4.95% NTS 15/APR/2013 USD1000	N/A	68389XAD7	750,000	792,504.75	0.76%
FEDERAL NALT MTG ASSOC POOL #555547 4.5% DUE	N/A	31385XEU7	722,954	772,802.22	0.74%
CREDIT SUISSE FB USA INC 5.125 15/AUG/2015	N/A	22541LBK8	735,000	772,009.46	0.74%
GLAXOSMITHKLINE CA 4.375% BDS 15/APR/2014 USD1000	N/A	377372AA5	700,000	758,510.20	0.73%
FEDERAL HOME LOAN MORTGAGE CORP 1.75% NTS	N/A	3137EACC1	750,000	756,440.25	0.73%
CHASE ISSUANCE TRUST 2008-11 A 5.400% 15/JUL/2015	N/A	161571DA9	700,000	752,792.53	0.73%
DELL INC 4.7% NTS 15/APR/2013 USD1000	N/A	24702RAD3	700,000	733,903.80	0.71%
DU PONT E I DE NEMOURS & CO 4.7500% DUE	N/A	263534BK4	700,000	726,340.30	0.70%
CONOCOPHILLIPS 4.75% DUE 150CT12	N/A	20825CAE4	700,000	723,033.50	0.70%
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2011-1 A-4	N/A	92867DAD2	700,000	717,141.60	0.69%
NEW YORK LIFE GLOBAL FUNDING 1.85% BDS 13/DEC/2013	N/A	64952WAX1	700,000	706,482.00	0.68%
GE EQUIP.SMAL.TICK 1.45% A/BKD 21/JAN/2018 USD1000	N/A	36830HAC6	700,000	702,679.74	0.68%
GE EQUIPMENT TRANSPORTATION LLC 1.33% 20/MAY/2019	N/A	36161XAD8	700,000	702,329.60	0.68%
COCA-COLA CO 0.75% SNR NTS 15/NOV/2013 USD1000	N/A	191216AN0	700,000	701,295.70	0.68%
CAPITAL AUTO RECEIVABLES 4.46% NTS 15/JUL/2014	N/A	13974WAK0	668,299	675,584.41	0.65%
LOUISIANA PUBLIC FACS AUTH REVENUES 5.75% BDS	N/A	546403AD8	600,000	667,554.00	0.64%
HEWLETT PACKARD CO 3% NTS 15/SEP/2016 USD1000	N/A	428236BP7	650,000	666,190.85	0.64%
BOEING CO 1.875% 20/NOV/2012	N/A	097023BB0	650,000	657,068.75	0.63%
FANNIE MAE 2011-69 AC 2.000% 25/MAY/2018	N/A	3136A0AR8	630,949	642,517.52	0.62%
UNITED PARCEL SERVICE INC 3.875% BDS 01/APR/2014	N/A	911312AL0	600,000	641,572.80	0.62%
MASSACHUSETTS RRB SPECIAL PURPOSE 4.4% MTG BDS	N/A	575800AE7	618,233	636,191.15	0.61%
CITIBANK CC ISSU T 4.85% A/BKD NTS 22/APR/2015 USD	N/A	17305EEH4	594,000	628,033.41	0.60%
LOWE'S COS INC 5.6% NTS 15/SEP/2012 USD1000	N/A	548661CM7	600,000	622,278.00	0.60%
FREDDIE MAC 3852 EA 4.500% 15/DEC/2021	N/A	3137AB6F3	579,704	621,554.21	0.60%
FLORIDA POWER & LIGHT COMPANY 2007-A A-2 5.044%	N/A	302583AB5	594,752	617,494.30	0.59%
OCCIDENTAL PETROLEUM CORP 1.45% BDS 13/DEC/2013	N/A	674599CA1	600,000	610,795.80	0.59%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2011-A A4	N/A	89235XAD9	600,000	608,595.18	0.59%
FHLMCGLD MORTPASS 4% 01/FEB/2025 J1 PN# J11719	N/A	3128PQ4C2	581,024	608,097.12	0.59%
FANNIE MAE 2010-95 BK 1.500% 25/FEB/2020	N/A	31398NEG5	601,326	605,356.97	0.58%
FREDDIE MAC 3840 BA 2.000% 15/FEB/2018	N/A	3137A9E28	579,802	590,758.54	0.57%
ONTARIO(PROVINCE OF) 1.875% BDS 19/NOV/2012	N/A	6832348E1	575,000	582,314.00	0.56%
WORLD OMNI AUTO RECEIVABLES TRUST 2008-A A-4	N/A	98156TAF9	570,538	578,937.82	0.56%
GINNIE MAE 2004-76 QA 4.000% 20/JAN/2034	N/A	38374JCK0	546,450	577,874.71	0.56%
HYUNDAI AUTO RECEIVABLES TST 2010-B 0.97% A/BKD	N/A	44923YAC1	575,000	576,441.35	0.56%
MERCK & CO INC 2.25% NTS 15/JAN/2016 USD1000	N/A	58933YAB1	555,000	573,689.07	0.55%
CHASE ISSUANCE TRUST 5.12% MTN 15/OCT/2014 USD1000	N/A	161571CH5	550,000	571,649.60	0.55%
CAPITAL ONE MULTI ASET EXECUTION TRUST SERIES	N/A	14041NCH2	555,000	570,553.88	0.55%
BMW VEHICLE OWNER TRUST 2010-A A-4 2.100%	N/A	09657MAD0	550,000	561,157.91	0.54%
CITIBANK CREDIT CARD ISSUANCE TRUST 2005-A2 CL A2	N/A	17305ECJ2	500,000	560,958.20	0.54%
JOHN DEERE OWNER TRUST 2010 A-4 2.130% 17/OCT/2016	N/A	47787AAE7	550,000	560,819.71	0.54%
AMERICAN EXPRESS CREDIT CORP 5.875% BDS	N/A	0258M0CW7	525,000	552,694.80	0.53%
FNMA MORTPASS 3.5% 01/OCT/2025 CI PN# AE5487	N/A	31419GCZ5	530,529	551,779.53	0.53%
GS MORTGAGE SECURITIES CORPORATION II 2006-GG A-2	N/A	36228CWU3	546,536	550,861.58	0.53%
GENERAL DYNAMICS CORP 5.25% BDS 01/FEB/2014	N/A	369550AN8	500,000	547,021.00	0.53%
FREDDIE MAC 3815 DE 3.000% 15/OCT/2021	N/A	3137A6DE9	521,335	542,535.93	0.52%
FHLMC REMIC SERIES 2920 HC 4.500% 15/DEC/2018	N/A	31395LK75	524,580	538,977.29	0.52%
NOVARTIS CAPITAL 4.125% 10/FEB/2014	N/A	66989HAA6	500,000	535,321.00	0.52%
WALGREEN CO 4.875% BDS 01/AUG/2013 USD1000	N/A	931422AD1	500,000	535,121.50	0.52%
FREDDIE MAC 3639 AB 2.750% 15/FEB/2025	N/A	31398WQ56	516,176	533,855.32	0.51%
ONCOR ELECTRIC DELIVERY TRANSITION BOND CO 4.95%	N/A	68233LAC3	520,934	533,688.33	0.51%
COLGATE-PALMOLIVE CO 1.375% MTN 01/NOV/2015	N/A	19416QDQ0	525,000	528,413.55	0.51%
FREDDIE MAC 3609 LE 3.000% 15/DEC/2024	N/A	31398LNM6	504,849	526,765.41	0.51%
MEDTRONIC INC 3.00% 15/MAR/2015	N/A	585055AR7	500,000	526,787.50	0.51%
VERIZON COMMUNICATIONS INC 4.35% BDS 15/FEB/2013	N/A	92343VAJ3	500,000	520,112.50	0.50%
INTERNATIONAL BUS MACH CORP 0.875% BDS 31/OCT/2014	N/A	459200GZ8	520,000	519,806.04	0.50%
JOHNSON & JOHNSON 2.15% BDS 15/MAY/2016 USD1000	N/A	478160AY0	500,000	518,206.50	0.50%
FEDERAL HOME LOAN MORTGAGE CORP 2.175% NTS	N/A	3128X9C73	500,000	518,110.00	0.50%
MERCEDES-BENZ AUTO RECEIVABLES TRUST 2011-1 A-4	N/A	587728AD8	515,000	517,871.49	0.50%
CITIBANK CREDIT CARD ISSUANCE TRUST CLS'2009-A5'	N/A	17305EER2	500,000	508,393.55	0.49%
HONDA AUTO RECEIVABLES 2010-2 OWNER TRUST 2010-2	N/A	43812KAD5	500,000	508,364.95	0.49%
FREDDIE MAC 3755 AL 1.500% 15/NOV/2020	N/A	3137A2EL1	505,785	507,902.47	0.49%
FEDERAL NATIONAL MORTGAGE ASSOC 1% BDS 23/SEP/2013	N/A	31398A2S0	500,000	505,289.50	0.49%
STATE STREET CORP 2.15% NTS 30/APR/2012 USD1000	N/A	85748KAA1	500,000	504,309.50	0.49%
FEDERAL HOME LOAN MORTGAGE CORP 0.875% NTS	N/A	3137EACL1	500,000	503,933.50	0.49%
WESTPAC BANKING CORP 2.1% BDS 02/AUG/2013 USD1000	N/A	961214BM4	500,000	503,546.50	0.48%
US BANCORP 1.375% BDS 13/SEP/2013 USD1000	N/A	91159HGY0	500,000	503,248.00	0.48%
US BANCORP FRN 13/MAR/2012 USD1000	N/A	91160HAA5	500,000	503,072.50	0.48%
FEDERAL HOME LOAN BANKS 0.5% BDS 28/AUG/2013	N/A	313374Y61	500,000	500,832.50	0.48%
METLIFE INC 2% NTS 10/JAN/2014 USD1000 144A	N/A	59217GAE9	500,000	500,876.00	0.48%
ALLY AUTO RECEIVABLES TRUST 2011-5 A-3 0.990%	N/A	02005WAC4	500,000	499,581.10	0.48%
FREDDIE MAC 3728 CA 1.500% 15/OCT/2018	N/A	3137A1W74	489,493	493,640.63	0.48%
GS MORTGAGE SECURITIES TRUST 2011-GC5 A-1 1.468%	N/A	36191YAY4	492,243	490,889.78	0.47%
PG&E ENERGY RECOVERY FUNDING LLC 2005-1 A5 4.47%	N/A	693401AE1	475,000	488,983.91	0.47%
BNP PARIBAS VAR 08/APR/2013	N/A	05567LH75	500,000	484,530.00	0.47%
FANNIE MAE 2006-22 CB RCR 4.500% 25/NOV/2021	N/A	31395BD59	467,585	482,334.73	0.46%
FREDDIE MAC 3728 EA 3.500% 15/SEP/2020	N/A	3137A1WC3	462,797	481,191.10	0.46%
BK OF AMERICA CORP 0% BDS 15/JUN/2017 USD	N/A	06052MAD7	465,000	473,124.57	0.46%
FANNIE MAE POOL# 254833	N/A	31371LBA6	433,597	463,494.11	0.45%
PACCAR INC 6.875% 15/FEB/2014	N/A	69373UAA5	400,000	450,556.00	0.43%
WALT DISNEY COMPANY/THE 0.875% 01/DEC/2014	N/A	25468PCQ7	450,000	449,166.15	0.43%
FREDDIE MAC 3718 BC 2.000% 15/FEB/2025	N/A	3137A1BX0	437,814	443,969.26	0.43%
HYUNDAI AUTO RECEIVABLES TR 2010-A A4 2.45%	N/A	44923WAD3	425,000	438,713.09	0.42%
GENERAL ELECTRIC CO 369604AY9 5% 01/FEB/2013	N/A	369604AY9	420,000	438,482.52	0.42%
BANK OF AMERICA CORP 3.7% MTN 01/SEP/2015 USD5000	N/A	06051GED7	480,000	430,034.40	0.41%
HONDA AUTO RECEIVABLES OWNER TR 1.98% MTG BDS	N/A	43812BAH6	415,000	420,874.16	0.41%
FANNIE MAE 2010-66 QA 4.500% 25/AUG/2039	N/A	31398RFJ9	385,213	417,710.27	0.40%
FNMA MORTPASS 3.5% 01/JAN/2026 CI PN# AB2130	N/A	31416XLL2	399,051	415,034.90	0.40%
GE CAPITAL CREDIT CARD MASTER NOTE TRUST 2010-3 A	N/A	36159JCC3	400,000	407,775.24	0.39%
FHLMCGLD MORTPASS 4% 01/OCT/2025 G1 PN# G13908	N/A	3128MCR56	371,623	388,938.89	0.37%
BEAR STEARNS COMM MTG SECURITIES 07383FA65 4.8%	N/A	07383FA65	380,012	385,040.96	0.37%
ANHEUSER BUSCH INBEV WORLDWIDE INC 3.625% GTD NT	N/A	03523TAT5	350,000	372,221.85	0.36%
TOYOTA MOTOR CRED 2.8% MTN 11/JAN/2016 USD1000	N/A	89233P4R4	360,000	370,504.44	0.36%
BROWN-FORMAN CORP 2.5% BDS 15/JAN/2016 USD1000	N/A	115637AK6	360,000	367,008.84	0.35%
WACHOVIA COMMERCIAL MORTGAGE TRUST 2005-C17 A2	N/A	929766B85	365,964	365,798.85	0.35%
FANNIE MAE 2010-30 DB 2.000% 25/AUG/2018	N/A	31398M5V4	354,290	361,926.99	0.35%
WACHOVIA BNK COMMERCIAL MTG TR VAR DUE 15/JUL/2042	N/A	9297664P5	353,674	361,206.69	0.35%
STATE STREET CORP 2.875% BDS 07/MAR/2016 USD1000	N/A	857477AH6	350,000	358,765.75	0.35%
3501 AC 0.000% 15/AUG/2023	N/A	31397YS44	340,397	358,151.27	0.34%
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES	N/A	46625MYT0	347,898	355,765.26	0.34%
USAA AUTO OWNER TRUST 2010-1 A-4 2.140%	N/A	90290FAD8	350,000	355,630.21	0.34%
VOLVO FINANCIAL EQUIPMENT LLC 2010-1 A-3 1.560%	N/A	92887BAC4	352,691	353,461.53	0.34%
PSE&G TRANSITION FUNDING LLG 6.61% AST BKD	N/A	69361YAF0	335,561	351,186.49	0.34%
FREDDIE MAC 3758 CD 1.500% 15/AUG/2017	N/A	3137A3CC1	340,421	342,969.01	0.33%
FANNIE MAE 2010-50 AD 3.000% 25/JAN/2024	N/A	31398PR76	326,323	335,552.88	0.32%
CONSUMERS FUNDING LLC 01-1 A-5 5.430% 20/APR/2015	N/A	210523AE6	315,130	327,281.25	0.32%
ABBOTT LABORATORIES BNDS DUE 15/MAR/2014 4.350	N/A	002824AQ3	300,000	325,139.70	0.31%
ALLY AUTO RECEIVABLES TRUST 2010-1 A3 1.45%	N/A	02005HAB9	321,304	322,910.36	0.31%
JOHN DEERE CAPITAL CORP 1.25% 02/DEC/2014	N/A	24422ERK7	310,000	310,563.27	0.30%
BANK OF AMERICA AUTO TRUST 2010-1 A-4 2.180%	N/A	06052JAD4	300,000	305,722.83	0.29%
JOHN DEERE CAPITAL CORP 1.875% NTS 17/JUN/2013	N/A	24422EQX0	300,000	305,532.90	0.29%
US BANCORP 2% MTN 14/JUN/2013 USD1000 165	N/A	91159HGW4	300,000	305,427.30	0.29%
FREDDIE MAC 3645 EH 3.000% 15/DEC/2020	N/A	31398VEK8	287,047	299,604.74	0.29%
FREDDIE MAC 3627 QG 4.000% 15/JUL/2023	N/A	31398LW87	275,464	286,550.86	0.28%
INTERNATIONAL BUS MACH CORP 1.00% BDS 05/AUG/2013	N/A	459200GT2	280,000	281,835.40	0.27%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2010-A A-4	N/A	89232EAD4	275,000	278,500.53	0.27%
FEDERAL HOME LOAN MORTGAGE CORP 5.5% MTG BDS	N/A	31283K4G0	254,847	276,244.80	0.27%
PEPSICO INC 0.75% BDS 25/AUG/2014 USD1000	N/A	713448BV9	275,000	274,571.28	0.26%
WESTERN UNION COMPANY (THE) 6.5% NTS 26/FEB/2014	N/A	959802AJ8	250,000	274,043.50	0.26%
PNC FUNDING CORP 4.25% 21/SEP/2015	N/A	693476BG7	250,000	268,514.50	0.26%
FREDDIE MAC 2695 DE 4.000% 15/JAN/2017	N/A	31394L7F3	259,876	263,236.61	0.25%
METROPOLITAN LIFE GLOBAL FUNDING I 5.125% SNR NTS	N/A	592179JG1	250,000	261,303.25	0.25%
OCCIDENTAL PETRLM 2.5% SRN 01/FEB/2016 USD1000	N/A	674599BZ7	250,000	260,505.50	0.25%
CATERPILLAR FINANCIAL SERVICES CORP 1.55% BDS	N/A	14912L4Q1	250,000	253,412.00	0.24%
FNMA MORTPASS 4% 01/JUN/2024 CI PN# AA5563	N/A	31416PFD4	217,008	228,000.79	0.22%
DAIMLERCHRYSLER AUTO TRUST 2007-A A-4 5.280%	N/A	233882AF6	218,443	219,302.15	0.21%
FORD CREDIT AUTO OWNER TRUST 2010-B A-3 0.980%	N/A	34529MAC6	215,000	215,518.99	0.21%
CITIGROUP INC 5.3% SNR NTS 17/OCT/2012 USD1000	N/A	172967EL1	200,000	203,625.60	0.20%
RABOBANK NEDERLAND 2.65% BDS 17/AUG/2012	N/A	74977RBU7	195,000	197,144.03	0.19%
MICROSOFT CORP 1.625% BDS 25/SEP/2015 USD1000	N/A	594918AG9	190,000	194,393.75	0.19%
NISSAN AUTO RECEIVABLES OWNER TRUST 2008-A A-4	N/A	65475FAF2	185,305	186,467.64	0.18%
TEVA PHARMACEUTICAL FINANCE IV 1.7% BDS	N/A	88166HAA5	185,000	185,431.79	0.18%
CITIGROUP COMMERCIAL MTGE 5.7206% MTG BDS	N/A	17309DAB9	174,000	182,991.80	0.18%
CENTERPOINT ENERGY TRANS BD CO II 4.97% BDS	N/A	15200DAB3	174,428	176,433.71	0.17%
UNITEDHEALTH GROUP INC 4.875% SNR NTS 15/FEB/2013	N/A	91324PBH4	160,000	166,883.68	0.16%
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2005-C21	N/A	9297667G2	150,000	164,320.20	0.16%
CATERPILLAR FINANCIAL SE 2.00% 05/APR/2013	N/A	14912L4L2	150,000	152,755.95	0.15%
SBC COMMUNICATIONS INC5.875%	N/A	78387GAK9	147,000	152,164.55	0.15%
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2006-C1	N/A	225470F57	140,450	148,167.22	0.14%
PG & E ENERGY RECOVERY FUNDING LLC 5.03%	N/A	693401AG6	146,498	147,519.99	0.14%
FANNIE MAE 2010-57 AQ 3.000% 25/AUG/2024	N/A	31398RB79	132,614	136,602.01	0.13%
TOYOTA MOTOR CREDIT CORP 1.25% BDS 17/NOV/2014	N/A	89233P5N2	125,000	124,718.63	0.12%
CONOCOPHILLIPS 4.4% BDS 15/MAY/2013 USD1000	N/A	20825CAM6	100,000	105,109.00	0.10%
FREDDIE MAC 2625 JD 3.250% 15/JUL/2017	N/A	31393RJY7	93,820	94,717.33	0.09%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2010-A A-3	N/A	89232EAC6	92,654	92,935.37	0.09%
FREDDIE MAC 2692 AB 4.000% 15/MAY/2016	N/A	31394KU69	86,397	86,549.12	0.08%

Holding	Ticker	Security No	Shares	Market Value	Percent
FIDELITY INSTITUTIONAL MMKT PORTFOLIO INST CLASS -	N/A	89199B034	5,565,018	5,565,017.51	5.48%
FEDERAL NATIONAL MORTGAGE ASSOC 1.5% NTS	N/A	31398AT44	2,500,000	2,548,267.50	2.51%
UNITED STATES TREAS NTS 1.375% 15/MAY/2012	N/A	912828KP4	2,000,000	2,013,672.00	1.98%
FEDERAL HOME LOAN MORTGAGE CORP 0.375% BDS	N/A	3137EACP2	2,000,000	2,003,306.00	1.97%
UNITED STATES TREAS NTS 04.750% 15/MAY/2014	N/A	912828CJ7	1,600,000	1,777,500.80	1.75%
CLECO KATRINA/RITA HURRICANE RECOVERY 2008-A A1	N/A	185506AA0	1,339,944	1,458,026.57	1.44%
AEP TEXAS CENTRAL TRANSITION 2006-2 A3 5.09%	N/A	00110AAC8	1,150,000	1,271,647.81	1.25%
FANNIE MAE 2009-76 MA 4.000% 25/SEP/2024	N/A	31396Q2N8	1,122,947	1,174,624.28	1.16%
UNITED TECHNOLOGIES CORP 01/MAY/2015	N/A	913017BH1	1,000,000	1,121,380.00	1.10%
FEDERAL NATIONAL MORTGAGE ASSOC 4.625% NTS	N/A	31359MWJ8	1,000,000	1,116,183.00	1.10%
FANNIE MAE 2011-69 AB 1.500% 25/MAY/2018	N/A	3136A0AQ0	1,090,159	1,094,629.74	1.08%
GENERAL ELECTRIC CAPITAL CORP 4.375% LN STK	N/A	36962G4F8	1,000,000	1,074,715.00	1.06%
PROCTER & GAMBLE CO 3.15% NTS 01/SEP/2015 USD1000	N/A	742718DQ9	1,000,000	1,070,401.00	1.05%
WELLS FARGO COMPANY 4.375% 31/JAN/2013	N/A	949746NY3	1,000,000	1,039,985.00	1.02%
FREDDIE MAC 3585 LA 3.500% 15/OCT/2024	N/A	31398K5J5	982,654	1,029,855.85	1.01%
UNITED STATES TREAS NTS 1.375% 15/MAY/2013	N/A	912828NC0	1,000,000	1,017,700.00	1.00%
UNITED STATES TREAS NTS 0.75% 15/JUN/2014	N/A	912828QS2	1,000,000	1,010,078.00	1.00%
FEDERAL NATIONAL MORTGAGE ASSOC 0.875% BDS	N/A	3135G0BY8	1,000,000	1,006,901.00	0.99%
WAL-MART STORES INC 7.25% BDS 01/JUN/2013 USD1000	N/A	931142AS2	800,000	882,098.40	0.87%
BLACKROCK INC 3.5% NTS 10/DEC/2014 USD1000	N/A	09247XAD3	800,000	857,465.60	0.84%
BAXTER INTERNATIONAL INC 4.0% BDS 01/MAR/2014	N/A	071813AZ2	800,000	856,667.20	0.84%
TXU ELECTRIC DELIVERY TRANSITION BOND COMPANY	N/A	87316YAC5	750,000	847,220.63	0.83%
DISCOVER CARD MASTER TRUST 2008-A4 A4 5.65%	N/A	254683AH8	775,000	837,334.34	0.83%
BERKSHIRE HATHAWAY INC 2.125% BDS 11/FEB/2013	N/A	084670AU2	800,000	815,826.40	0.80%
BANK OF NEW YORK MELLON CORP 2.5% BDS 15/JAN/2016	N/A	06406HBS7	800,000	815,376.00	0.80%
CISCO SYSTEMS INC 1.625% BDS 14/MAR/2014 USD1000	N/A	17275RAJ1	800,000	815,100.80	0.80%
COSTCO WHOLESALE CORP 5.3% 15/MAR/2012	N/A	22160KAB1	800,000	814,106.40	0.80%
FEDERAL NALT MTG ASSOC POOL #555547 4.5% DUE	N/A	31385XEU7	759,804	814,106.18	0.80%
CS FIRST BOSTON MORTGAGE SECURITIES 2005-C5 A3	N/A	225470AM5	794,860	812,991.04	0.80%
GE EQUIP MIDTICKET 0% BDS 14/JUL/2015 USD CL A-4	N/A	36161HAD3	790,000	797,133.23	0.79%
ORACLE CORP 4.95% NTS 15/APR/2013 USD1000	N/A	68389XAD7	750,000	796,191.75	0.78%
CREDIT SUISSE FB USA INC 5.125 15/AUG/2015	N/A	22541LBK8	735,000	777,474.92	0.77%
CAPITAL AUTO RECEIVABLES 4.46% NTS 15/JUL/2014	N/A	13974WAK0	757,816	767,043.10	0.76%
GLAXOSMITHKLINE CA 4.375% BDS 15/APR/2014 USD1000	N/A	377372AA5	700,000	762,500.20	0.75%
FEDERAL HOME LOAN MORTGAGE CORP 1.75% NTS	N/A	3137EACC1	750,000	757,036.50	0.75%
CHASE ISSUANCE TRUST 2008-11 A 5.400% 15/JUL/2015	N/A	161571DA9	700,000	756,108.78	0.74%
DELL INC 4.7% NTS 15/APR/2013 USD1000	N/A	24702RAD3	700,000	738,627.40	0.73%
DU PONT E I DE NEMOURS & CO 4.7500% DUE	N/A	263534BK4	700,000	729,419.60	0.72%
CONOCOPHILLIPS 4.75% DUE 150CT12	N/A	20825CAE4	700,000	726,371.80	0.72%
VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2011-1 A-4	N/A	92867DAD2	700,000	720,106.03	0.71%
NEW YORK LIFE GLOBAL FUNDING 1.85% BDS 13/DEC/2013	N/A	64952WAX1	700,000	710,746.40	0.70%
GE EQUIP.SMAL.TICK 1.45% A/BKD 21/JAN/2018 USD1000	N/A	36830HAC6	700,000	704,991.35	0.69%
GE EQUIPMENT TRANSPORTATION LLC 1.33% 20/MAY/2019	N/A	36161XAD8	700,000	703,527.79	0.69%
COCA-COLA CO 0.75% SNR NTS 15/NOV/2013 USD1000	N/A	191216AN0	700,000	701,948.80	0.69%
LOUISIANA PUBLIC FACS AUTH REVENUES 5.75% BDS	N/A	546403AD8	600,000	672,222.00	0.66%
FANNIE MAE 2011-69 AC 2.000% 25/MAY/2018	N/A	3136A0AR8	654,095	663,079.72	0.65%
BOEING CO 1.875% 20/NOV/2012	N/A	097023BB0	650,000	659,583.60	0.65%
WORLD OMNI AUTO RECEIVABLES TRUST 2008-A A-4	N/A	98156TAF9	636,949	647,410.70	0.64%
UNITED PARCEL SERVICE INC 3.875% BDS 01/APR/2014	N/A	911312AL0	600,000	643,030.80	0.63%
FREDDIE MAC 3852 EA 4.500% 15/DEC/2021	N/A	3137AB6F3	602,096	641,651.99	0.63%
MASSACHUSETTS RRB SPECIAL PURPOSE 4.4% MTG BDS	N/A	575800AE7	618,233	638,362.14	0.63%
FHLMCGLD MORTPASS 4% 01/FEB/2025 PN# 1719	N/A	3128PQ4C2	606,331	636,249.59	0.63%
CITIBANK CC ISSU T 4.85% A/BKD NTS 22/APR/2015 USD	N/A	17305EEH4	594,000	630,731.59	0.62%
LOWE'S COS INC 5.6% NTS 15/SEP/2012 USD1000	N/A	548661CM7	600,000	625,168.20	0.62%
FLORIDA POWER & LIGHT COMPANY 2007-A A-2 5.044%	N/A	302583AB5	594,752	619,900.19	0.61%
FANNIE MAE 2010-95 BK 1.500% 25/FEB/2020	N/A	31398NEG5	615,673	616,115.35	0.61%
JOHN DEERE CAPITAL CORP 1.875% NTS 17/JUN/2013	N/A	24422EQX0	600,000	614,275.20	0.61%
OCCIDENTAL PETROLEUM CORP 1.45% BDS 13/DEC/2013	N/A	674599CA1	600,000	611,164.80	0.60%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2011-A A4	N/A	89235XAD9	600,000	609,886.92	0.60%
FREDDIE MAC 3840 BA 2.000% 15/FEB/2018	N/A	3137A9E28	598,529	607,047.76	0.60%
FREDDIE MAC 3846 CK 1.500% 15/SEP/2020	N/A	3137A9BB1	590,519	589,648.12	0.58%
GINNIE MAE 2004-76 QA 4.000% 20/JAN/2034	N/A	38374JCK0	554,460	589,024.85	0.58%
ONTARIO(PROVINCE OF) 1.875% BDS 19/NOV/2012	N/A	6832348E1	575,000	582,858.53	0.57%
FNMA MORTPASS 3.5% 01/OCT/2025 CI PN# AE5487	N/A	31419GCZ5	559,774	582,421.67	0.57%
HYUNDAI AUTO RECEIVABLES TST 2010-B 0.97% A/BKD	N/A	44923YAC1	575,000	577,067.13	0.57%
MERCK & CO INC 2.25% NTS 15/JAN/2016 USD1000	N/A	58933YAB1	555,000	575,093.22	0.57%
CHASE ISSUANCE TRUST 5.12% MTN 15/OCT/2014 USD1000	N/A	161571CH5	550,000	573,985.78	0.57%
CAPITAL ONE MULTI ASET EXECUTION TRUST SERIES	N/A	14041NCH2	555,000	572,563.47	0.56%
FHLMC REMIC SERIES 2920 HC 4.500% 15/DEC/2018	N/A	31395LK75	555,745	571,757.72	0.56%
DISNEY(WALT)CO 6.2% MED TERM NTS 20/JUN/2014	N/A	25468PCA2	500,000	568,352.50	0.56%
BMW VEHICLE OWNER TRUST 2010-A A-4 2.100%	N/A	09657MAD0	550,000	562,494.35	0.55%
JOHN DEERE OWNER TRUST 2010 A-4 2.130% 17/OCT/2016	N/A	47787AAE7	550,000	562,172.05	0.55%
GS MORTGAGE SECURITIES CORPORATION II 2006-GG A-2	N/A	36228CWU3	550,844	560,027.11	0.55%
FREDDIE MAC 3815 DE 3.000% 15/OCT/2021	N/A	3137A6DE9	541,082	559,468.86	0.55%
AMERICAN EXPRESS CREDIT CORP 5.875% BDS	N/A	0258M0CW7	525,000	558,299.18	0.55%
FREDDIE MAC 3639 AB 2.750% 15/FEB/2025	N/A	31398WQ56	537,031	551,518.97	0.54%
GENERAL DYNAMICS CORP 5.25% BDS 01/FEB/2014	N/A	369550AN8	500,000	550,958.50	0.54%
FREDDIE MAC 3609 LE 3.000% 15/DEC/2024	N/A	31398LNM6	522,519	540,832.37	0.53%
NOVARTIS CAPITAL 4.125% 10/FEB/2014	N/A	66989HAA6	500,000	539,582.50	0.53%
ONCOR ELECTRIC DELIVERY TRANSITION BOND CO 4.95%	N/A	68233LAC3	520,934	535,688.04	0.53%
WALGREEN CO 4.875% BDS 01/AUG/2013 USD1000	N/A	931422AD1	500,000	535,547.00	0.53%
MEDTRONIC INC 3.00% 15/MAR/2015	N/A	585055AR7	500,000	530,286.00	0.52%
COLGATE-PALMOLIVE CO 1.375% MTN 01/NOV/2015	N/A	19416QDQ0	525,000	527,344.65	0.52%
VERIZON COMMUNICATIONS INC 4.35% BDS 15/FEB/2013	N/A	92343VAJ3	500,000	522,533.50	0.51%
FREDDIE MAC 3755 AL 1.500% 15/NOV/2020	N/A	3137A2EL1	519,720	520,948.59	0.51%
IBM CORP 0.875% 31/OCT/2014	N/A	459200GZ8	520,000	520,493.48	0.51%
FEDERAL HOME LOAN MORTGAGE CORP 2.175% NTS	N/A	3128X9C73	500,000	518,615.00	0.51%
JOHNSON & JOHNSON 2.15% BDS 15/MAY/2016 USD1000	N/A	478160AY0	500,000	518,426.00	0.51%
FANNIE MAE 2006-22 CB RCR 4.500% 25/NOV/2021	N/A	31395BD59	497,997	514,591.69	0.51%
WACHOVIA COMMERCIAL MORTGAGE TRUST 2005-C17 A2	N/A	929766B85	512,117	512,007.42	0.50%
CITIBANK CREDIT CARD ISSUANCE TRUST CLS'2009-A5'	N/A	17305EER2	500,000	509,460.90	0.50%
HONDA AUTO RECEIVABLES 2010-2 OWNER TRUST 2010-2	N/A	43812KAD5	500,000	509,474.50	0.50%
WESTPAC BANKING CORP 2.1% BDS 02/AUG/2013 USD1000	N/A	961214BM4	500,000	507,823.50	0.50%
FREDDIE MAC 3728 EA 3.500% 15/SEP/2020	N/A	3137A1WC3	486,532	507,377.11	0.50%
FREDDIE MAC 3728 CA 1.500% 15/OCT/2018	N/A	3137A1W74	504,119	505,624.13	0.50%
FEDERAL NATIONAL MORTGAGE ASSOC 1% BDS 23/SEP/2013	N/A	31398A2S0	500,000	505,546.50	0.50%
US BANCORP 1.375% BDS 13/SEP/2013 USD1000	N/A	91159HGY0	500,000	504,909.50	0.50%
STATE STREET CORP 2.15% NTS 30/APR/2012 USD1000	N/A	85748KAA1	500,000	504,884.50	0.50%
FEDERAL HOME LOAN MORTGAGE CORP 0.875% NTS	N/A	3137EACL1	500,000	504,322.00	0.50%
US BANCORP FRN 13/MAR/2012 USD1000	N/A	91160HAA5	500,000	503,974.50	0.50%
METLIFE INC 2% NTS 10/JAN/2014 USD1000 144A	N/A	59217GAE9	500,000	503,072.00	0.50%
FEDERAL HOME LOAN BANKS 0.5% BDS 28/AUG/2013	N/A	313374Y61	500,000	500,706.50	0.49%
GS MORTGAGE SECURITIES TRUST 2011-GC5 A-1 1.468%	N/A	36191YAY4	500,000	499,425.45	0.49%
PG&E ENERGY RECOVERY FUNDING LLC 2005-1 A5 4.47%	N/A	693401AE1	475,000	490,698.70	0.48%
BNP PARIBAS VAR 08/APR/2013	N/A	05567LH75	500,000	483,473.50	0.48%
FANNIE MAE POOL# 254833	N/A	31371LBA6	446,297	478,192.83	0.47%
BK OF AMERICA CORP 0% BDS 15/JUN/2017 USD	N/A	06052MAD7	465,000	474,213.65	0.47%
BANK OF AMERICA CORP 3.7% MTN 01/SEP/2015 USD5000	N/A	06051GED7	480,000	461,063.52	0.45%
PACCAR INC 6.875% 15/FEB/2014	N/A	69373UAA5	400,000	452,502.00	0.45%
FREDDIE MAC 3718 BC 2.000% 15/FEB/2025	N/A	3137A1BX0	444,623	448,849.95	0.44%
GENERAL ELECTRIC CO 369604AY9 5% 01/FEB/2013	N/A	369604AY9	420,000	440,440.14	0.43%
HYUNDAI AUTO RECEIVABLES TR 2010-A A4 2.45%	N/A	44923WAD3	425,000	440,208.88	0.43%
JPMORGAN CHASE & CO 3.15% BDS 05/JUL/2016 USD100	N/A	46625HJA9	435,000	435,738.20	0.43%
FNMA MORTPASS 3.5% 01/JAN/2026 CI PN# AB2130	N/A	31416XLL2	412,819	429,521.00	0.42%
FANNIE MAE 2010-66 QA 4.500% 25/AUG/2039	N/A	31398RFJ9	391,203	424,642.24	0.42%
HONDA AUTO RECEIVABLES OWNER TR 1.98% MTG BDS	N/A	43812BAH6	415,000	421,656.97	0.42%
HEWLETT-PACKARD CO 4.5% BDS 03/SEP/2013 USD1000	N/A	428236AQ6	400,000	416,292.00	0.41%
FHLMCGLD MORTPASS 4% 01/OCT/2025 G1 PN# G13908	N/A	3128MCR56	390,305	409,564.28	0.40%
GE CAPITAL CREDIT CARD MASTER NOTE TRUST 2010-3 A	N/A	36159JCC3	400,000	408,722.28	0.40%
VOLVO FINANCIAL EQUIPMENT LLC 2010-1 A-3 1.560%	N/A	92887BAC4	407,546	408,201.02	0.40%
JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES	N/A	46625MYT0	396,002	405,024.99	0.40%
BEAR STEARNS COMM MTG SECURITIES 07383FA65 4.8%	N/A	07383FA65	388,569	394,417.58	0.39%
FANNIE MAE 2010-30 DB 2.000% 25/AUG/2018	N/A	31398M5V4	370,636	375,788.85	0.37%
TOYOTA MOTOR CRED 2.8% MTN 11/JAN/2016 USD1000	N/A	89233P4R4	360,000	374,161.68	0.37%
3501 AC 0.000% 15/AUG/2023	N/A	31397YS44	355,453	373,195.56	0.37%
WACHOVIA BNK COMMERCIAL MTG TR VAR DUE 15/JUL/2042	N/A	9297664P5	359,983	368,607.60	0.36%
BROWN-FORMAN CORP 2.5% BDS 15/JAN/2016 USD1000	N/A	115637AK6	360,000	368,528.04	0.36%
STATE STREET CORP 2.875% BDS 07/MAR/2016 USD1000	N/A	857477AH6	350,000	361,790.80	0.36%
USAA AUTO OWNER TRUST 2010-1 A-4 2.140%	N/A	90290FAD8	350,000	356,288.35	0.35%
FREDDIE MAC 3758 CD 1.500% 15/AUG/2017	N/A	3137A3CC1	354,129	355,555.63	0.35%
FANNIE MAE 2010-50 AD 3.000% 25/JAN/2024	N/A	31398PR76	344,340	353,052.87	0.35%
PSE&G TRANSITION FUNDING LLG 6.61% AST BKD	N/A	69361YAF0	335,561	352,960.37	0.35%
ALLY AUTO RECEIVABLES TRUST 2010-1 A3 1.45%	N/A	02005HAB9	349,650	351,460.19	0.35%
CONSUMERS FUNDING LLC 01-1 A-5 5.430% 20/APR/2015	N/A	210523AE6	315,130	328,654.88	0.32%
ABBOTT LABORATORIES BNDS DUE 15/MAR/2014 4.350	N/A	002824AQ3	300,000	325,381.20	0.32%
BANK OF AMERICA AUTO TRUST 2010-1 A-4 2.180%	N/A	06052JAD4	300,000	306,401.76	0.30%
US BANCORP 2% MTN 14/JUN/2013 USD1000 165	N/A	91159HGW4	300,000	306,333.60	0.30%
FREDDIE MAC 3645 EH 3.000% 15/DEC/2020	N/A	31398VEK8	295,705	305,925.52	0.30%
FREDDIE MAC 3627 QG 4.000% 15/JUL/2023	N/A	31398LW87	293,117	305,057.45	0.30%
FREDDIE MAC 2695 DE 4.000% 15/JAN/2017	N/A	31394L7F3	286,995	290,897.68	0.29%
FEDERAL HOME LOAN MORTGAGE CORP 5.5% MTG BDS	N/A	31283K4G0	261,158	282,374.65	0.28%
INTERNATIONAL BUS MACH CORP 1.00% BDS 05/AUG/2013	N/A	459200GT2	280,000	282,138.92	0.28%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2010-A A-4	N/A	89232EAD4	275,000	279,011.56	0.27%
WESTERN UNION COMPANY (THE) 6.5% NTS 26/FEB/2014	N/A	959802AJ8	250,000	274,719.75	0.27%
PEPSICO INC 0.75% BDS 25/AUG/2014 USD1000	N/A	713448BV9	275,000	274,336.70	0.27%
CITIFINANCIAL MORTGAGE SECURITIES INC.	N/A	17306UBW7	282,101	273,374.91	0.27%
DAIMLERCHRYSLER AUTO TRUST 2007-A A-4 5.280%	N/A	233882AF6	269,292	271,026.53	0.27%
PNC FUNDING CORP 4.25% 21/SEP/2015	N/A	693476BG7	250,000	269,648.25	0.27%
METROPOLITAN LIFE GLOBAL FUNDING I 5.125% SNR NTS	N/A	592179JG1	250,000	262,781.50	0.26%
OCCIDENTAL PETRLM 2.5% SRN 01/FEB/2016 USD1000	N/A	674599BZ7	250,000	261,712.75	0.26%
FNMA MORTPASS 4% 01/JUN/2024 CI PN# AA5563	N/A	31416PFD4	246,126	258,875.38	0.26%
CATERPILLAR FINANCIAL SERVICES CORP 1.55% BDS	N/A	14912L4Q1	250,000	253,410.00	0.25%
HEWLETT-PACKARD CO 2.2% BDS 01/DEC/2015 USD1000	N/A	428236BE2	250,000	250,775.50	0.25%
JPMORGAN CHASE & CO 5.375% SNR NTS 01/OCT/2012	N/A	46625HGT1	225,000	234,608.40	0.23%
FORD CREDIT AUTO OWNER TRUST 2010-B A-3 0.980%	N/A	34529MAC6	215,000	215,669.75	0.21%
NISSAN AUTO RECEIVABLES OWNER TRUST 2008-A A-4	N/A	65475FAF2	210,922	212,221.12	0.21%
ELI LILLY & CO 3.55% 06/MAR/2012	N/A	532457BD9	200,000	202,053.00	0.20%
RABOBANK NEDERLAND 2.65% BDS 17/AUG/2012	N/A	74977RBU7	195,000	197,968.10	0.19%
MICROSOFT CORP 1.625% BDS 25/SEP/2015 USD1000	N/A	594918AG9	190,000	194,450.75	0.19%
ANHEUSER-BUSCH INBEV SA 3% GTD NTS 15/OCT/2012	N/A	03523TAL2	185,000	188,840.23	0.19%
CITIGROUP COMMERCIAL MTGE 5.7206% MTG BDS	N/A	17309DAB9	174,000	180,018.83	0.18%
CENTERPOINT ENERGY TRANS BD CO II 4.97% BDS	N/A	15200DAB3	174,428	177,075.87	0.17%
SBC COMMUNICATIONS INC5.875%	N/A	78387GAK9	147,000	152,858.10	0.15%
CATERPILLAR FINANCIAL SE 2.00% 05/APR/2013	N/A	14912L4L2	150,000	152,493.00	0.15%
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST 2006-C1	N/A	225470F57	140,450	148,607.67	0.15%
PG & E ENERGY RECOVERY FUNDING LLC 5.03%	N/A	693401AG6	146,498	148,061.83	0.15%
FANNIE MAE 2010-57 AQ 3.000% 25/AUG/2024	N/A	31398RB79	143,436	147,332.73	0.15%
FREDDIE MAC 2692 AB 4.000% 15/MAY/2016	N/A	31394KU69	116,510	116,829.50	0.12%
FREDDIE MAC 2625 JD 3.250% 15/JUL/2017	N/A	31393RJY7	105,249	106,373.73	0.10%
CONOCOPHILLIPS 4.4% BDS 15/MAY/2013 USD1000	N/A	20825CAM6	100,000	105,645.60	0.10%
TOYOTA AUTO RECEIVABLES OWNER TRUST 2010-A A-3	N/A	89232EAC6	101,597	101,956.31	0.10%
WACHOVIA BANK COMMERCIAL MORTGAGE TRUST 2006-C2	N/A	92977QAB4	1,761	1,758.84	0.00%

View top ten holdings for 12/30/2011

Pricing and Performance

Pricing and performance for this fund
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Principal Risks

The Fund is subject to credit and liquidity risks associated with the underlying bonds owned by the Fund.

The Fund also is subject to prepayment and call risk, extension risk, and mortgage- and asset-backed securities risk to varying degrees.

NFW-1920AO.3

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