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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
 
 FORM 11-K
 FOR ANNUAL REPORTS OF EMPLOYEE STOCK PURCHASE, SAVINGS AND SIMILAR
PLANS PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
 ý
    ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE
                    SECURITIES EXCHANGE ACT OF 1934For the fiscal year ended December 31, 2010ORo
    TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934For the transition period from __________ to __________
 Commission file number:  1-15062
 A.
    
    Full title of the plan and the address of the plan, if different from that of the
issuer named below:
 TIME WARNER SAVINGS PLAN
 B.
    
    Name of issuer of the securities held pursuant to the plan and the address of its
principal
executive office:




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F
i n a n c i a l S t a t e m e n t s a n d S u p p l e m e n t a l
S c h e d u l e s




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##### 



Contents
 Report of Independent Registered Public Accounting Firm
    
    
    1Financial StatementsStatements of Net Assets Available for Benefits
    
    
    2Statements of Changes in Net Assets Available for Benefits
    
    
    3Notes to Financial Statements
    
    
    4Supplemental SchedulesSchedule G, Part I  Loans or Fixed Income Obligations in Default or Classified
as Uncollectible
    
    
    21Schedule H, Part IV, Line 4(i)  Schedule of Assets (Held at End of Year)
    
    
    22EX-23.1




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1




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December 31,2010
    
    2009(In Thousands)Investments  at fair value:Commingled trust funds
    
    $
    1,036,406
    
    
    $
    890,449Time Warner common stock
    
    
    285,363
    
    
    
    290,995Other common stocks
    
    
    586,681
    
    
    
    526,119Preferred stocks
    
    
    758
    
    
    
    226Synthetic investment contracts
    
    
    596,176
    
    
    
    595,667Mutual funds
    
    
    683,248
    
    
    
    602,510U.S. government and agency securities
    
    
    178,693
    
    
    
    116,360Other fixed income securities
    
    
    141,827
    
    
    
    109,802Cash, cash equivalents and other investments
    
    
    92,766
    
    
    
    45,451Total investments, at fair value
    
    
    3,601,918
    
    
    
    3,177,579Contributions receivable:Employer
    
    
    629
    
    
    
    1,950Participants
    
    
    15
    
    
    
    8Notes receivable from participants
    
    
    57,389
    
    
    
    56,805Receivables for securities sold
    
    
    90,773
    
    
    
    2,314Other assets
    
    
    4,366
    
    
    
    13,048Total assets
    
    
    3,755,090
    
    
    
    3,251,704Payables for securities purchased
    
    
    172,772
    
    
    
    31,838Other liabilities
    
    
    4,789
    
    
    
    8,383Total liabilities
    
    
    177,561
    
    
    
    40,221Net assets available for benefits, at fair value
    
    
    3,577,529
    
    
    
    3,211,483Adjustment from fair value to contract value for fully
benefit-responsive investment contracts
    
    
    (17,389
    )
    
    
    (7,657
    )Net assets available for benefits
    
    $
    3,560,140
    
    
    $
    3,203,826
 See accompanying notes.
 2




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Year Ended December 31,2010
    
    2009(In Thousands)Net assets available for benefits at beginning of year
    
    $
    3,203,826
    
    
    $
    2,995,653Changes in net assets:Investment income, net of fees
    
    
    39,468
    
    
    
    112,484Net realized and unrealized appreciation in the fair value
of investments
    
    
    331,730
    
    
    
    564,387Net investment income
    
    
    371,198
    
    
    
    676,871Employing company contributions
    
    
    108,003
    
    
    
    102,004Participant contributions, including rollover contributions
    
    
    169,539
    
    
    
    194,646Participant loan interest income
    
    
    2,985
    
    
    
    4,077Participant withdrawals
    
    
    (296,055
    )
    
    
    (292,106
    )Administrative expenses
    
    
    (4,600
    )
    
    
    (5,579
    )Net asset transfers to the AOL Savings Plan
    
    
    
    
    
    
    (471,740
    )Other income
    
    
    5,244
    
    
    
    Net change
    
    
    356,314
    
    
    
    208,173Net assets available for benefits at end of year
    
    $
    3,560,140
    
    
    $
    3,203,826
 See accompanying notes.
 3




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1. Description of the Plan
  General
    Significant Events
  4




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1. Description of the Plan (continued)
      5




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1. Description of the Plan (continued)
   Investment Funds, Contributions and Vesting
    6




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1. Description of the Plan (continued)
      7




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1. Description of the Plan (continued)
  Matching Contributions Made and Earnings Thereon:
 March 1, 2007 toPrior to March 1, 2007
    
    
    June 30, 2010
    
    On or After July 1, 2010Years or Periods
    
    Vested
    
    
    Years or Periods
    
    Vested
    
    Years or Periods
    
    Vestedof Service
    
    Percentage
    
    
    of Service
    
    Percentage
    
    of Service (1)
    
    PercentageLess than 2 years
    
    
    0
    %
    
    
    Less than 1 year
    
    
    0
    %
    
    Less than 2 years
    
    
    0
    %2 but less than 3 years
    
    
    25
    
    
    
    1 but less than 2 years

    
    20
    
    
    2 years or more
    
    
    1003 but less than 4 years
    
    
    50
    
    
    
    2 but less than 3 years

    
    404 but less than 5 years
    
    
    75
    
    
    
    3 but less than 4 years

    
    605 years or more
    
    
    100
    
    
    
    4 but less than 5 years

    
    805 years or more
    
    
    100
    Forfeited Accounts
  8




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1. Description of the Plan (continued)
 Notes Receivable From Participants
  Payment of Benefits
   9




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1. Description of the Plan (continued)
 Plan Termination
  2. Basis of Presentation and Summary of Significant Accounting Policies
 Basis of Presentation
   Administrative Expenses
  Reclassification
  Use of Estimates
  10




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2. Basis of Presentation and Summary of Significant Accounting Policies (continued)
 Investment Valuation and Income Recognition
    Recent Accounting Standards
   11




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2. Basis of Presentation and Summary of Significant Accounting Policies (continued)
 Recent Accounting Standards
   3. Investments
  12




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3. Investments (continued)
  Year Ended December 31,2010
    
    
    2009(In Thousands)Net realized and unrealized appreciation (depreciation)
in fair value of investments:Commingled trust funds
    
    $
    122,966
    
    
    $
    236,031Time Warner common stock
    
    
    28,826
    
    
    
    9,465Other common stocks
    
    
    94,639
    
    
    
    145,375Preferred stocks
    
    
    48
    
    
    
    1,371Mutual funds
    
    
    70,250
    
    
    
    152,421U.S. government and agency securities
    
    
    10,737
    
    
    
    6,344Other fixed income securities
    
    
    6,238
    
    
    
    12,085Cash, cash equivalents and other investments
    
    
    (1,974
    )
    
    
    1,295Total net realized and unrealized appreciation
in the fair value of investments
    
    $
    331,730
    
    
    $
    564,387
  December 31,2010
    
    
    2009(In Thousands)Commingled Trust Fund:BlackRock
Equity IndexFund H,
6,885,050 and 6,959,090 units,
respectively
    
    $
    293,923
    
    
    $
    257,904Common Stock:Time Warner, 8,870,458 and 9,986,087
shares,respectively
    
    
    285,363
    
    
    
    290,995Mutual Fund:Dodge & Cox Stock Fund, 4,403,023 and
4,335,699shares, respectively
    
    
    474,470
    
    
    
    416,834
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3. Investments (continued)
   
    
    Complete or partial termination of the Plan;
    
    Any change in law, regulation or administrative ruling applicable to the Plan that
could have a material adverse effect on the funds cash flow;
    
    Merger or consolidation of the Plan with another plan, the transfer of Plan assets
to another plan, or the sale, spin-off or merger of a subsidiary or division of the Plan
sponsor; and
    
    Any early retirement program, group termination, group layoff, facility closing or
similar program.
   14




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3. Investments (continued)
  December 31,2010

    
    2009Crediting rate (a)
    
    
    2.5
    %
    
    
    2.5
    %Average annualized yield for the year
    
    
    2.5
    
    
    
    2.9
 
 (a)
  4. Fair Value Measurements
  15




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4. Fair Value Measurements (continued)
  December 31, 2010
    
    
    December 31, 2009Asset Category
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    Total
    
    
    Level 1
    
    
    Level 2
    
    
    Level 3
    
    
    TotalCommingled trust funds (a)
    
    $
    -
    
    
    $
    1,036,406
    
    
    $
    -
    
    
    $
    1,036,406
    
    
    $
    -
    
    
    $
    890,449
    
    
    $
    -
    
    
    $
    890,449Equity securities:Time Warner common stock
    
    
    285,363
    
    
    
    -
    
    
    
    -
    
    
    
    285,363
    
    
    
    290,995
    
    
    
    -
    
    
    
    -
    
    
    
    290,995Other common stocks:Domestic equities
    
    
    559,571
    
    
    
    -
    
    
    
    -
    
    
    
    559,571
    
    
    
    502,952
    
    
    
    -
    
    
    
    -
    
    
    
    502,952International equities
    
    
    27,110
    
    
    
    -
    
    
    
    -
    
    
    
    27,110
    
    
    
    23,167
    
    
    
    -
    
    
    
    -
    
    
    
    23,167Preferred stocks
    
    
    758
    
    
    
    -
    
    
    
    -
    
    
    
    758
    
    
    
    226
    
    
    
    -
    
    
    
    -
    
    
    
    226Synthetic investment contracts:U.S. government and agency securities
    
    
    265,648
    
    
    
    99,784
    
    
    
    -
    
    
    
    365,432
    
    
    
    190,850
    
    
    
    135,909
    
    
    
    -
    
    
    
    326,759Mortgage related obligations
    
    
    -
    
    
    
    66,137
    
    
    
    -
    
    
    
    66,137
    
    
    
    -
    
    
    
    104,993
    
    
    
    -
    
    
    
    104,993Investment grade corporate bonds(b)
    
    
    -
    
    
    
    160,370
    
    
    
    -
    
    
    
    160,370
    
    
    
    -
    
    
    
    158,173
    
    
    
    -
    
    
    
    158,173Cash, cash equivalents and other investments
    
    
    2,854
    
    
    
    1,383
    
    
    
    -
    
    
    
    4,237
    
    
    
    2,568
    
    
    
    3,174
    
    
    
    -
    
    
    
    5,742Mutual funds (c)
    
    
    683,248
    
    
    
    -
    
    
    
    -
    
    
    
    683,248
    
    
    
    602,510
    
    
    
    -
    
    
    
    -
    
    
    
    602,510Fixed income securities:U.S. government and agency securities
    
    
    47,437
    
    
    
    127,525
    
    
    
    3,731
    
    
    
    178,693
    
    
    
    45,911
    
    
    
    68,577
    
    
    
    1,872
    
    
    
    116,360Mortgage related obligations
    
    
    -
    
    
    
    41,236
    
    
    
    -
    
    
    
    41,236
    
    
    
    -
    
    
    
    33,961
    
    
    
    -
    
    
    
    33,961Investment grade corporate bonds(b)
    
    
    -
    
    
    
    80,892
    
    
    
    2,053
    
    
    
    82,945
    
    
    
    -
    
    
    
    60,951
    
    
    
    -
    
    
    
    60,951Non-investment grade corporate bonds(b)
    
    
    -
    
    
    
    17,646
    
    
    
    -
    
    
    
    17,646
    
    
    
    -
    
    
    
    14,890
    
    
    
    -
    
    
    
    14,890Cash, cash equivalents and other investments (d)
    
    
    6,708
    
    
    
    86,058
    
    
    
    -
    
    
    
    92,766
    
    
    
    3,549
    
    
    
    41,902
    
    
    
    -
    
    
    
    45,451Total
    
    $
    1,878,697
    
    
    $
    1,717,437
    
    
    $
    5,784
    
    
    $
    3,601,918
    
    
    $
    1,662,728
    
    
    $
    1,512,979
    
    
    $
    1,872
    
    
    $
    3,177,579
 
 (a)
    
    The underlying securities held in commingled trust funds
generally consist of marketable equity and fixed income securities.(b)
    
    Investment grade corporate bonds have an S&P rating of BBB- or
higher and non-investment grade corporate bonds
have an S&P rating of BB+ and below.(c)
    
    At December 31, 2010 and December 31, 2009, mutual funds include
$474,470 and $416,834 in the Dodge & Cox Stock Fund and $208,778 and $185,676
in Fidelity BrokerageLink, respectively.(d)
    
    At December 31, 2010 and December 31, 2009, includes cash and
cash equivalents of $92,776 and $42,297 and derivative contracts of ($10) and
$3,154, respectively.
 16




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4. Fair Value Measurements (continued)
  December 31, 2010
    
    
    December 31, 2009Investment
    
    
    US
    
    
    
    
    
    
    USGrade
    
    
    Government
    
    
    
    
    
    
    GovernmentCorporate
    
    
    and Agency
    
    
    
    
    
    
    and AgencyBonds
    
    
    Securities
    
    
    Total
    
    
    Securities
    
    
    TotalBalance at beginning of period
    
    $
    -
    
    
    $
    1,872
    
    
    $
    1,872
    
    
    $
    -
    
    
    $
    -Actual return on plan assets:Relating to assets still held at end of period
    
    
    -
    
    
    
    (16
    )
    
    
    (16
    )
    
    
    -
    
    
    
    -Relating to assets sold during the period
    
    
    -
    
    
    
    -
    
    
    
    -
    
    
    
    -
    
    
    
    -Purchases, sales, issuances and settlements
    
    
    -
    
    
    
    867
    
    
    
    867
    
    
    
    1,872
    
    
    
    1,872Transfers in and/or out of Level 3
    
    
    2,053
    
    
    
    1,008
    
    
    
    3,061
    
    
    
    -
    
    
    
    -Balance at end of period
    
    $
    2,053
    
    
    $
    3,731
    
    
    $
    5,784
    
    
    $
    1,872
    
    
    $
    1,872
  Commingled trust funds:
 Equity securities:
 Synthetic investment contracts:
 Mutual funds:
 17




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4. Fair Value Measurements (continued)
 Fixed income securities:
 Cash equivalents and other investments:
 5. Transactions with Parties-in-Interest
   6. Tax Status of Plan
  18




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6. Tax Status of Plan (continued)
  7. Subsequent Events
  Deferral Limit for Highly Compensated Employees.
 Qualified Automatic Contribution Arrangement
 Automatic Contribution Rates.
 8. Reconciliation to Form 5500
  December 31,2010
    
    
    2009Net assets available for benefits per the
financial statements
    
    $
    3,560,140,091
    
    
    $
    3,203,825,895Adjustment from contract value to fair value for
fully benefit-responsive investment contracts
    
    
    17,389,164
    
    
    
    7,657,113Net assets per the Form 5500
    
    $
    3,577,529,255
    
    
    $
    3,211,483,008
 19




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8. Reconciliation to Form 5500 (continued)
 Year EndedDecember 31,2010Net investment income from the Plan per the financial statements
    
    $
    371,197,574Reversal of prior year adjustment from contract value to fair value
for fully benefit-responsive investment contracts
    
    
    (7,657,113
    )Adjustment from contract value to fair value for fully
benefit-responsive investment contracts
    
    
    17,389,164Net investment income from the Plan per the Form 5500
    
    $
    380,929,625
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Amount ReceivedDuring Reporting Year
    
    
    
    
    
    
    Amount Overdue(a)
    
    (b)
    
    (c)
    
    
    (d)
    
    
    (e)

    
    (f)

    
    (g)

    
    (h)
    
    
    (i)Detailed Description of Loan IncludingDates of Making and Maturity, InterestRate, the Type and Value of Collateral,any Renegotiation of The Loan and the
    
    
    Original
    
    
    
    
    
    
    
    
    
    
    UnpaidParty-In-
    

    Identity and Address of
    
    Terms of the Renegotiation and Other
    
    
    Amount of
    
    
    
    
    
    
    
    
    
    
    Balance atInterest
    
    Obligor
    
    Material Items
    
    
    Loan
    
    
    Principal

    
    Interest

    
    End of Year

    
    Principal
    
    
    InterestGlitnir Bank
    
    GLITNIR 3ML+273.25 6/16 144A
    
    $
    411,000
    
    
    $
    -
    
    
    $
    -
    
    
    $
    27,508
    
    
    $
    -
    
    
    $
    27,508Glitnir Bank
    
    GLITNIR BK MTN 6.33% 7/11 144A
    
    
    279,000
    
    
    
    -
    
    
    
    -
    
    
    
    17,661
    
    
    
    -
    
    
    
    17,661General Motors
    
    GM 8.25% 7/15/23
    
    
    1,672,000
    
    
    
    -
    
    
    
    -
    
    
    
    137,940
    
    
    
    -
    
    
    
    137,940General Motors
    
    GM GLBL 8.375% 7/15/33 DT
    
    
    21,000
    
    
    
    -
    
    
    
    -
    
    
    
    1,759
    
    
    
    -
    
    
    
    1,759Inn of the
Mountain Gods Resort and Casino
    
    INN OF MOUNT 12% 11/15/10
    
    
    21,000
    
    
    
    -
    
    
    
    -
    
    
    
    23,520
    
    
    
    21,000
    
    
    
    2,520Kaupthing Bank
    
    KAUPTHING BK 5.75% 10/14/11 144A
    
    
    120,000
    
    
    
    -
    
    
    
    -
    
    
    
    6,900
    
    
    
    -
    
    
    
    6,900Kaupthing Bank
    
    KAUPTHING BK 7.625% 2/28/15
    
    
    1,177,000
    
    
    
    -
    
    
    
    -
    
    
    
    89,746
    
    
    
    -
    
    
    
    89,746Kaupthing Bank
    
    KAUPTHING MTN 7.125% 5/19/16 144A
    
    
    130,000
    
    
    
    -
    
    
    
    -
    
    
    
    9,263
    
    
    
    -
    
    
    
    9,263Landsbankinn
    
    LANDSBANKI IS MTN 6.1% 8/25/11
    
    
    641,000
    
    
    
    -
    
    
    
    -
    
    
    
    39,101
    
    
    
    -
    
    
    
    39,101Lehman Brothers
    
    LEH 5.857% PERP-12 5/31/12
    
    
    369,000
    
    
    
    -
    
    
    
    -
    
    
    
    21,660
    
    
    
    -
    
    
    
    21,660Lehman Brothers
    
    LEHMAN BROS HLD 6.75% 12/28/17
    
    
    390,000
    
    
    
    -
    
    
    
    -
    
    
    
    26,325
    
    
    
    -
    
    
    
    26,325Lehman Brothers
    
    LEHMAN BROS 3ML 8/19/65
    
    
    220,000
    
    
    
    -
    
    
    
    -
    
    
    
    3,616
    
    
    
    -
    
    
    
    3,616Station Casinos Inc.
    
    STATION CASINOS 6% 4/01/12
    
    
    63,000
    
    
    
    -
    
    
    
    -
    
    
    
    3,780
    
    
    
    -
    
    
    
    3,780Station Casinos Inc.
    
    STATION CASINOS INC 7.75% 8/16
    
    
    84,000
    
    
    
    -
    
    
    
    -
    
    
    
    6,510
    
    
    
    -
    
    
    
    6,510
  21




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December 31, 2010
  Shares orUnits
    
    
    Description
    
    Current ValueCommingled Trust Funds14,573,649
    
    
    AllianceBernstein International Style Blend Collective Trust
    
    $
    149,088,43311,168,011
    
    
    BlackRock EAFE Equity Index - Fund T
    
    
    159,056,1146,885,050
    
    
    BlackRock Equity Index - Fund H
    
    
    293,922,7982,689,799
    
    
    BlackRock Extended Equity - Market Fund K
    
    
    122,332,0519,439,414
    
    
    BlackRock US Debt Index - Fund T
    
    
    153,390,47910,483,566
    
    
    Wellington Trust Company Collective Investment Fund II Growth (Series 2)
    
    
    158,616,360Total Commingled Trust Funds
    
    $
    1,036,406,2358,870,458
    
    
    Time Warner Common Stock*
    
    $
    285,362,634Other Common Stocks123,362
    
    
    ACI WORLDWIDE INC
    
    $
    3,314,73765,104
    
    
    ACME PACKET INC
    
    
    3,460,92940,800
    
    
    ACUITY BRANDS INC
    
    
    2,352,93646,100
    
    
    AEROFLEX HLDG CORP
    
    
    758,345358,500
    
    
    AES CORP
    
    
    4,366,53042,100
    
    
    AETNA INC
    
    
    1,284,47129,500
    
    
    AFLAC INC
    
    
    1,664,68517,800
    
    
    ALIGN TECHNOLOGY INC
    
    
    347,81274,657
    
    
    AMAZON.COM INC
    
    
    13,438,26030,300
    
    
    AMERICAN EXPRESS CO
    
    
    1,300,4764,000
    
    
    AMGEN INC
    
    
    219,60062,663
    
    
    AMYRIS INC
    
    
    1,671,849105,413
    
    
    ANADARKO PETROLEUM CORP
    
    
    8,028,254189,319
    
    
    ANSYS INC
    
    
    9,857,84041,537
    
    
    APPLE INC
    
    
    13,398,175156,263
    
    
    ARES CAPITAL CORP
    
    
    2,575,214190,408
    
    
    ASSOCIATED BANC CORP
    
    
    2,884,68144,700
    
    
    ATHENAHEALTH INC
    
    
    1,831,80639,800
    
    
    ATHEROS COMMUNICATIONS INC
    
    
    1,429,616367,387
    
    
    ATMEL CORP
    
    
    4,526,208121,700
    
    
    BANK OF AMERICA CORPORATION
    
    
    1,623,478142,190
    
    
    BB&T CORP
    
    
    3,738,17530,900
    
    
    BEST BUY CO INC
    
    
    1,059,5618,000
    
    
    BJS RESTAURANTS INC
    
    
    283,44027,500
    
    
    BLACKBOARD INC
    
    
    1,135,7503,400
    
    
    BLACKROCK INC
    
    
    647,97210,000
    
    
    BOOZ ALLEN HAMILTON HLDG CL A
    
    
    194,30037,616
    
    
    BORGWARNER INC
    
    
    2,721,894
 22




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##### Table of Contents



December 31, 2010
  Shares orUnits
    
    
    Description
    
    Current ValueOther Common Stocks (continued)39,550
    
    
    BP PLC SPON ADR
    
    $
    1,746,924345,600
    
    
    BR MALLS PARTICIPACOES SA
    
    
    3,561,062109,400
    
    
    BRIGHTPOINT INC
    
    
    955,062169,680
    
    
    CALPINE CORP
    
    
    2,263,53134,000
    
    
    CAPITAL ONE FINANCIAL CORP
    
    
    1,447,04022,000
    
    
    CATALYST HEALTH SOLUTIONS
    
    
    1,022,780419,516
    
    
    CBS CORP CL B
    
    
    7,991,78088,400
    
    
    CEPHEID INC
    
    
    2,011,1006,617
    
    
    CHIPOTLE MEXICAN GRILL INC
    
    
    1,407,17181,400
    
    
    CISCO SYSTEMS INC
    
    
    1,646,722392,100
    
    
    CITIGROUP INC
    
    
    1,854,633128,074
    
    
    CITY NATIONAL CORP
    
    
    7,858,621132,482
    
    
    COLUMBIA BANKING SYSTEMS INC
    
    
    2,790,07142,434
    
    
    COMMERCE BANCSHARES INC
    
    
    1,685,90378,100
    
    
    COMMVAULT SYSTEMS INC
    
    
    2,235,22232,301
    
    
    COMPASS MINERALS INTL INC
    
    
    2,883,51029,000
    
    
    COMSTOCK RESOURCES INC NEW
    
    
    712,24030,805
    
    
    CONCHO RESOURCES INC
    
    
    2,700,67424,600
    
    
    CONCUR TECHNOLOGIES INC
    
    
    1,277,47826,350
    
    
    CONOCOPHILLIPS
    
    
    1,794,43516,800
    
    
    CONSTANT CONTACT INC
    
    
    520,63218,671
    
    
    COOPER COMPANIES INC
    
    
    1,051,92413,700
    
    
    CORE LABORATORIES NV
    
    
    1,219,985168,345
    
    
    CROWN CASTLE INTL CORP
    
    
    7,378,561151,225
    
    
    CSX CORP
    
    
    9,770,647160,689
    
    
    DENBURY RESOURCES INC
    
    
    3,067,55320,200
    
    
    DEXCOM INC
    
    
    275,7302,750
    
    
    DIRECTV CL A
    
    
    109,808430,407
    
    
    DISNEY (WALT) CO
    
    
    16,144,56718,800
    
    
    DRIL-QUIP INC
    
    
    1,461,13635,149
    
    
    DST SYSTEMS INC
    
    
    1,558,858243,500
    
    
    EASTMAN KODAK CO
    
    
    1,305,16057,500
    
    
    EBAY INC
    
    
    1,600,22555,422
    
    
    EHEALTH INC
    
    
    786,43828,900
    
    
    ELSTER GROUP SE ADR
    
    
    488,41051,400
    
    
    EMC CORP
    
    
    1,177,06045,409
    
    
    EMERGENCY MEDICAL SVCS CL A
    
    
    2,933,8759,500
    
    
    ENERNOC INC
    
    
    227,145
 23




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##### Table of Contents



December 31, 2010
  Shares orUnits
    
    
    Description
    
    Current ValueOther Common Stocks (continued)104,828
    
    
    EURONET WORLDWIDE INC
    
    $
    1,828,2001,354,796
    
    
    FIRST HORIZON NATIONAL CORP
    
    
    15,959,4971,138,988
    
    
    FIRST NIAGARA FINL GROUP INC
    
    
    15,923,05267,100
    
    
    FIRSTMERIT CORP
    
    
    1,327,909418,462
    
    
    FORD MOTOR CO
    
    
    7,025,97712,200
    
    
    FRESH MARKET INC
    
    
    502,640371,711
    
    
    FULTON FINANCIAL CORP
    
    
    3,843,492131,341
    
    
    GAMESTOP CORP CL A
    
    
    3,005,082106,100
    
    
    GENERAL ELECTRIC CO
    
    
    1,940,569414,007
    
    
    GENERAL MOTORS CO
    
    
    15,260,29865,800
    
    
    GENWORTH MI CANADA INC
    
    
    1,820,33742,700
    
    
    GILEAD SCIENCES INC
    
    
    1,547,448178,549
    
    
    GLACIER BANCORP INC
    
    
    2,697,8759,075
    
    
    GOLDMAN SACHS GROUP INC
    
    
    1,526,0525,200
    
    
    GREEN DOT CORP
    
    
    295,0486,100
    
    
    GREENHILL & CO INC
    
    
    498,24875,800
    
    
    GSI COMMERCE INC
    
    
    1,758,56025,457
    
    
    HARMAN INTL IND INC NEW
    
    
    1,178,65921,700
    
    
    HEALTH MGMNT ASSOC INC CL A
    
    
    207,0186,700
    
    
    HEARTWARE INTERNATIONAL INC
    
    
    586,71975,834
    
    
    HENRY (JACK) & ASSOCIATES INC
    
    
    2,210,56143,050
    
    
    HEWLETT-PACKARD CO
    
    
    1,812,40568,400
    
    
    HEXCEL CORPORATION
    
    
    1,237,35616,900
    
    
    HIBBETT SPORTS INC
    
    
    623,61021,100
    
    
    HMS HOLDINGS CORP
    
    
    1,366,64715,400
    
    
    HOME INNS &HO MGT INC SPON ADR
    
    
    630,784222,593
    
    
    HONEYWELL INTL INC
    
    
    11,833,04460,300
    
    
    ICONIX BRAND GROUP INC
    
    
    1,164,39360,600
    
    
    IDEX CORPORATION
    
    
    2,370,67235,600
    
    
    INCYTE CORP
    
    
    589,536241,552
    
    
    INFORMATICA CORP
    
    
    10,635,53533,594
    
    
    INTEGRATED DEVICE TECH INC
    
    
    223,73661,800
    
    
    INTEL CORP
    
    
    1,299,65412,900
    
    
    INTL BUS MACH CORP
    
    
    1,893,20460,834
    
    
    INTUITIVE SURGICAL INC
    
    
    15,679,96416,600
    
    
    ITC HLDGS CORP
    
    
    1,028,868270,848
    
    
    JEFFERIES GROUP INC
    
    
    7,212,68213,000
    
    
    JOHNSON & JOHNSON
    
    
    804,050
 24




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##### Table of Contents



December 31, 2010
  Shares orUnits
    
    
    Description
    
    Current ValueOther Common Stocks (continued)137,664
    
    
    JONES LANG LASALLE INC
    
    $
    11,552,76342,900
    
    
    JPMORGAN CHASE & CO
    
    
    1,819,81815,800
    
    
    K12 INC
    
    
    452,828151,378
    
    
    KEY ENERGY SERVICES INC
    
    
    1,964,88680,760
    
    
    LIVE NATION ENTERTAINMENT INC
    
    
    922,279104,100
    
    
    LKQ CORP
    
    
    2,365,15226,700
    
    
    LOGMEIN INC
    
    
    1,183,87815,700
    
    
    LULULEMON ATHLETICA INC
    
    
    1,074,19428,286
    
    
    MAGELLAN HLTH SERVICES INC
    
    
    1,337,3626,700
    
    
    MAKEMYTRIP LIMITED
    
    
    181,10162,200
    
    
    MASIMO CORP
    
    
    1,808,1543,820
    
    
    MASTERCARD INC CL A
    
    
    856,10051,100
    
    
    MB FINANCIAL INC
    
    
    885,05226,600
    
    
    MECOX LANE LTD ADR
    
    
    197,10619,200
    
    
    MEDTRONIC INC
    
    
    712,1286,600
    
    
    MERCADOLIBRE INC
    
    
    439,89036,000
    
    
    MERCK & CO INC NEW
    
    
    1,297,44025,400
    
    
    METLIFE INC
    
    
    1,128,776311,192
    
    
    MF GLOBAL HOLDINGS LTD
    
    
    2,601,565221,250
    
    
    MGIC INVESTMENT CORP
    
    
    2,254,53857,600
    
    
    MICROSEMI CORP
    
    
    1,319,04052,700
    
    
    MICROSOFT CORP
    
    
    1,471,38415,900
    
    
    MIDDLEBY CORP
    
    
    1,342,278328,534
    
    
    MONEYGRAM INTERNATIONAL INC
    
    
    890,32749,500
    
    
    MONRO MUFFLER BRAKE INC
    
    
    1,712,205181,653
    
    
    MONSANTO CO NEW
    
    
    12,650,31538,600
    
    
    MOOG INC CL A
    
    
    1,536,28031,900
    
    
    MORGAN STANLEY
    
    
    867,999142,194
    
    
    MYRIAD GENETICS INC
    
    
    3,247,71141,200
    
    
    NANOMETRICS INC
    
    
    528,59624,100
    
    
    NETSUITE INC
    
    
    602,500300,907
    
    
    NEW GOLD INC
    
    
    2,936,852395,968
    
    
    NUANCE COMMUNICATIONS INC
    
    
    7,198,69819,800
    
    
    NXSTAGE MEDICAL INC
    
    
    492,62458,725
    
    
    NYSE EURONEXT
    
    
    1,760,576462,500
    
    
    OGX PETROLEO E GAS PART SA
    
    
    5,573,80025,500
    
    
    OLD DOMINION FREIGHT LINES INC
    
    
    815,74548,259
    
    
    OPENTABLE INC
    
    
    3,401,294
 25




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##### Table of Contents



December 31, 2010
  Shares orUnits
    
    Description
    
    Current ValueOther Common Stocks (continued)186,468
    
    
    ORACLE CORP
    
    $
    5,836,44898,690
    
    
    PACIFIC BIOSCIENCES OF CALI INC
    
    
    1,570,15847,226
    
    
    PARAMETRIC TECHNOLOGY CORP
    
    
    1,064,002189,687
    
    
    PARK STERLING BANK
    
    
    1,168,47218,325
    
    
    PEPSICO INC
    
    
    1,197,17246,100
    
    
    PFIZER INC
    
    
    807,2112,029
    
    
    PICO HOLDINGS INC
    
    
    64,522337,196
    
    
    PNC FINANCIAL SERVICES GRP INC
    
    
    20,474,54183,276
    
    
    PRECISION CASTPARTS CORP
    
    
    11,592,8527,200
    
    
    PSS WORLD MEDICAL INC
    
    
    162,72033,325
    
    
    QUALCOMM INC
    
    
    1,649,2546,600
    
    
    QUALITY SYSTEMS INC
    
    
    460,81223,700
    
    
    QUEST SOFTWARE INC
    
    
    657,43812,500
    
    
    REALD INC
    
    
    324,00024,100
    
    
    REGAL-BELOIT CORP
    
    
    1,608,91633,700
    
    
    REGENERON PHARMACEUTICALS INC
    
    
    1,106,37121,500
    
    
    REINSURANCE GROUP OF AMERICA
    
    
    1,154,76524,450
    
    
    RESEARCH IN MOTION LTD
    
    
    1,421,27920,900
    
    
    RIVERBED TECHNOLOGY INC
    
    
    735,05364,500
    
    
    ROBBINS & MYERS INC
    
    
    2,307,81028,400
    
    
    ROVI CORPORATION
    
    
    1,761,08490,803
    
    
    RUE21 INC
    
    
    2,661,43656,350
    
    
    SALESFORCE.COM INC
    
    
    7,438,200300,510
    
    
    SENSATA TECHNOLOGIES HOLDG BV
    
    
    9,048,35636,766
    
    
    SIRONA DENTAL SYSTEMS INC
    
    
    1,536,08346,409
    
    
    STANCORP FINL GROUP INC
    
    
    2,094,902204,839
    
    
    STARWOOD HTLS & RESRT WRLDWIDE
    
    
    12,450,114216,428
    
    
    STATE STREET CORP*
    
    
    10,029,27412,100
    
    
    STRATASYS INC
    
    
    394,944162,774
    
    
    SUSQUEHANNA BANCSHARES INC PA
    
    
    1,575,6525,500
    
    
    TESLA MOTORS INC
    
    
    146,46555,350
    
    
    TEXAS INSTRUMENTS INC
    
    
    1,798,87524,100
    
    
    THOMAS & BETTS CORP
    
    
    1,164,03030,786
    
    
    TORCHMARK CORP
    
    
    1,839,15614,400
    
    
    TRANSOCEAN LTD
    
    
    1,000,94422,500
    
    
    TREEHOUSE FOODS INC
    
    
    1,149,52532,400
    
    
    ULTA SALON COSMETICS & FRG INC
    
    
    1,101,60051,150
    
    
    UNITED CONTINENTAL HLDGS INC
    
    
    1,218,393
 26




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##### Table of Contents



December 31, 2010
  Shares orUnits
    
    Description
    
    Current ValueOther Common Stocks (continued)30,050
    
    
    UNITEDHEALTH GROUP INC
    
    $
    1,085,10613,700
    
    
    UNIVERSAL DISPLAY CORP
    
    
    419,905119,953
    
    
    VAIL RESORTS INC
    
    
    6,242,35413,500
    
    
    VANCEINFO TECH INC ADR
    
    
    466,29029,500
    
    
    VARIAN SEMICONDCT EQP ASSC INC
    
    
    1,090,6159,700
    
    
    VERA BRADLEY INC
    
    
    320,10017,950
    
    
    WAL MART STORES INC
    
    
    968,04413,162
    
    
    WASTE CONNECTIONS INC
    
    
    362,350743,168
    
    
    WELLS FARGO & CO
    
    
    23,030,776172,161
    
    
    WHITNEY HOLDING CORP
    
    
    2,436,078460,718
    
    
    WILLIAMS-SONOMA INC
    
    
    16,443,02531,535
    
    
    WYNN RESORTS LTD
    
    
    3,274,59420,300
    
    
    YUM BRANDS INC
    
    
    995,715Total Other Common Stocks
    
    $
    586,681,063Preferred Stocks13625
    
    
    CITIGROUP CAP XIII 7.875% PFD
    
    $
    366,64913,800
    
    
    CITIGROUP CAP XII 8.5% PFD
    
    
    365,14825,550
    
    
    FREDDIE MAC 8.375% PREF PERP
    
    
    16,07117,900
    
    
    FNMA 8.25% PFD S PERP
    
    
    10,024800
    
    
    FNMA 0%/10YR CMT+237.5PFD PERP
    
    
    608Total Preferred Stocks
    
    $
    758,500Synthetic Investment Contracts(CASH)
    
    $
    64,5692,788,921
    
    
    COLCHESTER STREET TRUST MONEY MARKET PORTFOLIO CLASS I
    
    
    2,788,9211,350,000
    
    
    ABBEY NATL 3.875% 11/10/14 144A
    
    
    1,345,177586,000
    
    
    ALABAMA POWER 4.85% 12/15/12
    
    
    629,797870,000
    
    
    ALLYA 10-4 A3 ABS .91 11/17/14
    
    
    864,782790,000
    
    
    ALLYA 2010-1 A3 1.45% 5/14
    
    
    794,50815,751
    
    
    AMCAR 2006-1 C 5.28% 11/11
    
    
    15,811319,455
    
    
    AMCAR 2006-BG A4 5.21% 9/13
    
    
    326,614606,000
    
    
    AMER HONDA 2.5% 9/21/15 144A
    
    
    602,6511,220,000
    
    
    AMERICAN EX CC 2.75% 9/15/15
    
    
    1,210,162300,000
    
    
    AMERICAN HONDA 2.375% 3/13 144A
    
    
    307,081600,000
    
    
    AMERICN EX FDIC 3.15% 12/09/11
    
    
    616,410217,000
    
    
    APART 2007-1 B 5.35% 9/13
    
    
    224,460133,000
    
    
    APART 2007-1 C 5.43% 7/11
    
    
    137,714
 27




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##### Table of Contents



December 31, 2010
  Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)2,430,000
    
    
    AT&T INC 2.5% 8/15/15
    
    $
    2,446,942483,000
    
    
    AT&T WIRE GLBL 8.125 5/1/12 DT
    
    
    534,1621,050,000
    
    
    BAAT 2010-2 A3 2.4% 7/14
    
    
    1,058,81980,495
    
    
    BACM 2003-2 A2 4.342% 3/41
    
    
    81,457504,047
    
    
    BACM 2005-3 A2 CSTR 7/43
    
    
    509,6254,714,301
    
    
    BACM 2005-3 XP CSTR 7/43
    
    
    29,24911,277,212
    
    
    BACM 2005-5 XP CSTR 10/45
    
    
    20,23211,623
    
    
    BACM 2006-5 A1 5.185% 9/47
    
    
    11,669445,000
    
    
    BALTIMORE G&E 6.125% 7/01/13
    
    
    504,7512,030,000
    
    
    BANK AMER 4.5% 4/1/15
    
    
    2,085,9981,890,000
    
    
    BANK AMER FDG 3.7% 9/1/15
    
    
    1,899,127990,000
    
    
    BANK NOVA SCOTIA 2.25% 1/22/13
    
    
    1,017,867311,000
    
    
    BANK NY MELLO GLB 4.95 11/12
    
    
    336,2491,900,000
    
    
    BANK OF NOVA SC 2.05% 10/07/15
    
    
    1,862,5101,690,000
    
    
    BARCLAYS MTN 2.5% 1/23/13
    
    
    1,735,9801,247,000
    
    
    BAXTER INTL 1.8% 3/15/13
    
    
    1,273,23715,662
    
    
    BAYC 2004-3 M2 1ML+100 1/35
    
    
    9,87158,714
    
    
    BAYC 2007-4A M1 1ML+95 9/37
    
    
    12,34458,714
    
    
    BAYC 2007-4A M2 1ML+105 9/37
    
    
    9,996155,173
    
    
    BAYC 2007-4A M4 1ML+160 9/37
    
    
    20,229155,173
    
    
    BAYC 2007-4A M5 1ML+175 9/37
    
    
    16,354155,173
    
    
    BAYC 2007-4A M6 1ML+195 9/37
    
    
    14,032327,000
    
    
    BB&T CORP GLBL 6.5% 8/01/11
    
    
    346,365266,000
    
    
    BEAR STEARNS CO INC 5.35% 2/12
    
    
    284,2771,170,000
    
    
    BERK HATH INC 2.125% 2/11/13
    
    
    1,204,618392,000
    
    
    BHP BILLITON 5.125% 3/29/12
    
    
    417,4391,220,000
    
    
    BMONT Q 2.125% 6/28/13
    
    
    1,241,854810,000
    
    
    BMWLT 2010-1 A3 1.18% 4/13
    
    
    810,396350,000
    
    
    BNP PARIBAS 2.125% 12/21/12
    
    
    355,848610,000
    
    
    BNP PARIBAS MTN 3.25% 3/11/15
    
    
    622,5752,079,000
    
    
    BOA FDIC 3.125% 6/15/12
    
    
    2,156,141550,000
    
    
    BOA FDIC GTD MTN 2.1% 4/30/12
    
    
    563,377666,000
    
    
    BONY MTN 4.3% 5/15/14
    
    
    714,2781,010,000
    
    
    BP CAPITAL MARKETS 3.125% 3/12
    
    
    1,042,498601,872
    
    
    BRHEA 2006-A A2R 3ML+75 12/41
    
    
    601,105547,752
    
    
    BSCMS 2006-PW12 A2 5.688 9/38
    
    
    554,961335,620
    
    
    BSCMS 2006-T24 A1 CSTR 10/41
    
    
    341,10129,212
    
    
    BSCMS 2007-PW15 A1 5.016% 2/44
    
    
    29,820
 28




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##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)335,939
    
    
    BSCMS 2007-PW17 A1 5.282% 6/50
    
    $
    343,230169,824
    
    
    BSCMS 2007-T28 A1 5.422% 9/42
    
    
    174,84958,891,655
    
    
    BSCMS 2007-T28 X2 CSTR 9/42
    
    
    475,9531,800,000
    
    
    C 6.5% 08/13 SNR DT
    
    
    2,019,406530,000
    
    
    CANADIAN IMP BK 2.35% 12/11/15
    
    
    518,956399,000
    
    
    CARAT 2007-1 B 5.15% 9/12
    
    
    411,7641,773,000
    
    
    CARGILL INC 6.375% 6/12 144A
    
    
    1,909,116454,000
    
    
    CATERPILLAR FIN SVC MTN 2% 4/13
    
    
    464,021610,000
    
    
    CATERPILR FI INC MTN 1.55% 12/13
    
    
    610,867328,000
    
    
    CATERPILR FIN 2.75% 6/24/15
    
    
    332,942700,000
    
    
    CCCIT 2006-A4 A4 5.45% 5/13
    
    
    717,6551,000,000
    
    
    CCCIT 2009-A3 A3 2.7% 6/13
    
    
    1,011,452610,000
    
    
    CFAST 2010-A A3 .91% 8/13
    
    
    609,251740,000
    
    
    CHAIT 2007-A17 A 5.12% 10/14
    
    
    796,4311,130,000
    
    
    CHAIT 2008-A4 A4 4.65% 3/15
    
    
    1,218,029730,000
    
    
    CHAIT 2008-A9 A9 4.3% 5/13
    
    
    741,4282,330,000
    
    
    CHAIT 2009-A3 A3 2.4% 6/13
    
    
    2,351,813545,000
    
    
    CIBC 1.45% 9/13/13
    
    
    545,5582,800,000
    
    
    CITI FDG FDIC 1.875% 10/22/12
    
    
    2,866,1381,410,000
    
    
    CITIBANK FDIC MTN 1.875% 6/4/12
    
    
    1,436,7141,700,000
    
    
    CITIGR FDG FDIC 1.875% 11/15/12
    
    
    1,738,3401,200,000
    
    
    CITIGROUP 4.75% 5/19/15
    
    
    1,263,166224,000
    
    
    CITIGROUP 5.125% 5/5/14
    
    
    239,4621,271,000
    
    
    CITIGROUP 6.375% 8/12/14
    
    
    1,436,0031,529,000
    
    
    CITIGROUP FDIC 2.875% 12/09/11
    
    
    1,566,970656,000
    
    
    COCA-COAL ENT 1.125% 11/12/13
    
    
    650,612910,000
    
    
    COCA-COLA CO 1.5% 11/15/15
    
    
    875,20070,000
    
    
    COMERICA INC 3% 9/16/15
    
    
    69,813643,000
    
    
    COMET 2006-A6 A6 5.3% 2/14
    
    
    652,8822,048,000
    
    
    COMET 2009-A2 A2 3.2% 4/14
    
    
    2,074,156213,168
    
    
    COMM 2005-C6 A2 CSTR 6/44
    
    
    213,9095,570,632
    
    
    COMM 2005-C6 XP CSTR 6/44
    
    
    18,1133,180,000
    
    
    COMMONWETH MTN 2.9% 9/17/14 144A
    
    
    3,348,120592,000
    
    
    CON EDISON NY 5.55% 4/1/14
    
    
    659,309380,000
    
    
    COPAR 2007-1 B1 5.76% 12/13
    
    
    387,426331,000
    
    
    COVIDIEN INT GLB 5.45% 10/12
    
    
    360,583610,000
    
    
    COVIDIEN INTL 1.875% 6/15/13
    
    
    617,813484,074
    
    
    CPS 2006-D A4 5.115% 08/13
    
    
    493,532
 29




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)999
    
    
    CPS 2007-C A3 5.43% 5/12 144A
    
    $
    1,004550,000
    
    
    CREDIT SUIS(NY)MTN 3.5% 3/23/15
    
    
    568,6063,694,000
    
    
    CREDIT SUISSE NY 5% 5/15/13
    
    
    3,999,386206,379
    
    
    CSFB 2002-CP5 A1 4.106% 12/35
    
    
    210,169169,498
    
    
    CSFB 2003-C5 A3 4.429% 12/36
    
    
    174,101118,708
    
    
    CSFB 2004-C1 A3 4.321% 1/37
    
    
    120,48929,366
    
    
    CSMC 2007-C1 A1 5.227% 2/40
    
    
    29,6058,485
    
    
    CSMC 2007-C2 A1 5.237% 1/49
    
    
    8,521817,000
    
    
    DAIMLER CHRYSLER 6.5% 11/15/13
    
    
    931,6861,978,000
    
    
    DBS BK LTD 5.125% VAR 5/17 144A
    
    
    2,059,862730,000
    
    
    DCAT 2006-C B 5.11% 4/13
    
    
    732,681600,000
    
    
    DEERE J CAPMTN 1.875% 6/17/13
    
    
    607,4821,491,000
    
    
    DEUTSCHE TEL 5.375% 3/23/11
    
    
    1,527,901555,000
    
    
    DIAGEO CPTL GLB 5.2% 1/30/13
    
    
    610,622402,000
    
    
    DOMINION RESOUR 2.25% 9/1/15
    
    
    399,1821,004,000
    
    
    EDP FINANCE BV5.375% 11/12 144A
    
    
    1,025,931584,000
    
    
    ENEL FIN INTL 5.7% 1/15/13144A
    
    
    634,939270,000
    
    
    ERP OPERAT
LP 5.5% 10/1/12
    
    
    295,169935,000
    
    
    FHLB 0.875% 12/27/13
    
    
    926,8911,885,000
    
    
    FHLB 1.625% 11/21/12
    
    
    1,922,5802,360,000
    
    
    FHLB 1.875% 6/21/13
    
    
    2,416,2311,120,755
    
    
    FHLG 15YR   4.50% 8/18 #E98688
    
    
    1,185,329336,750
    
    
    FHLG 15YR   4.50% 9/18 #E99205
    
    
    356,152527,979
    
    
    FHLG 15YR   4.50% 10/18 #E99833
    
    
    558,399289,491
    
    
    FHLG 15YR   4.50% 11/18 #B10931
    
    
    306,1711,164,056
    
    
    FHLG 15YR   5.00% 3/19 #G13052
    
    
    1,246,9791,648,763
    
    
    FHLG 15YR   5.00% 6/24 #G13598
    
    
    1,766,216406,866
    
    
    FHLG 15YR   5.50% 4/18 #G11389
    
    
    440,248409,837
    
    
    FHLM ARM   3.53% 4/40 #1B4657
    
    
    425,439366,734
    
    
    FHLM ARM   3.58% 4/40 #1B4702
    
    
    381,38536,230
    
    
    FHLM ARM   3.88% 1/35 #848084
    
    
    37,90719,195
    
    
    FHLM ARM   4.305 6/35 #848083
    
    
    20,20862,380
    
    
    FHLM ARM   4.68% 1/36 #847584
    
    
    65,630282,173
    
    
    FHLM ARM   4.69% 11/35 #1B2428
    
    
    297,482204,323
    
    
    FHLM ARM   4.83% 11/35 #1Q0166
    
    
    215,318184,742
    
    
    FHLM ARM   4.93% 9/35 #1K1215
    
    
    194,089132,852
    
    
    FHLM ARM   5.26% 1/36 #1J1274
    
    
    140,240161,766
    
    
    FHLM ARM   5.37% 12/35 #1N0106
    
    
    167,934
 30




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)221,353
    
    
    FHLM ARM   5.62% 12/35 #1N0117
    
    $
    229,59525,136
    
    
    FHLM ARM   5.78% 10/35 #1N0063
    
    
    26,699106,874
    
    
    FHLM ARM   4.199% 8/36 #848185
    
    
    112,389204,683
    
    
    FHLM ARM   4.277% 2/35 #848090
    
    
    215,8921,464,283
    
    
    FHLM ARM   4.482% 4/35 #848088
    
    
    1,526,33228,942
    
    
    FHLM ARM   4.485% 1/35 #848089
    
    
    30,544168,805
    
    
    FHLM ARM   4.542% 4/35 #848085
    
    
    177,860140,474
    
    
    FHLM ARM   4.571% 3/35 #848186
    
    
    147,5993,755
    
    
    FHLM ARM   4.889% 3/33 #847126
    
    
    3,966157,429
    
    
    FHLM ARM   4.941% 11/35 #1J1228
    
    
    165,77154,392
    
    
    FHLM ARM   5.084% 8/35 #1J0005
    
    
    57,45893,409
    
    
    FHLM ARM   5.34% 6/35 #1L0097
    
    
    98,5563,241,000
    
    
    FHLMC .375% 11/30/12
    
    
    3,224,0366,280,000
    
    
    FHLMC .625% 12/28/12
    
    
    6,271,7261,415,000
    
    
    FHLMC 1.75% 9/10/15
    
    
    1,398,4771,500,000
    
    
    FHLMC 2.5% 1/07/14
    
    
    1,578,163448,000
    
    
    FHLMC 4.125% 12/21/12
    
    
    478,0192,539,000
    
    
    FHLMC 4.5% 1/15/14
    
    
    2,843,7542,570,000
    
    
    FHLREF NTS BE 2.5% 4/23/14
    
    
    2,674,86264,105
    
    
    FHR 2290 C 6% 2/31
    
    
    69,53797,902
    
    
    FHR 2313 C 6% 5/31
    
    
    105,244130,679
    
    
    FHR 2394 KD 6% 12/16
    
    
    142,00171,276
    
    
    FHR 2417 EH 6% 2/17
    
    
    77,15946,390
    
    
    FHR 2508 UL 5% 12/16
    
    
    47,24655,070
    
    
    FHR 2667 PC 3.8% 1/18
    
    
    55,641749,355
    
    
    FHR 2763 PD 4.5% 12/17
    
    
    779,3011,152,561
    
    
    FHR 2780 QD 4.5% 3/18
    
    
    1,202,864690,000
    
    
    FHR 2866 XE 4% 12/18
    
    
    723,865134,283
    
    
    FHR 2970 YA 5% 9/18
    
    
    137,9433,204,472
    
    
    FHR 3555 CM 4% 12/14
    
    
    3,320,5443,458,350
    
    
    FHR 3555 KH 4% 12/14
    
    
    3,605,471562,673
    
    
    FHR 3560 LA 2% 8/14
    
    
    569,897877,719
    
    
    FHR 3573 LC 1.85% 8/14
    
    
    887,9255,180,000
    
    
    FNMA .375% 12/28/12
    
    
    5,147,2845,200,000
    
    
    FNMA .5% 10/30/12
    
    
    5,190,6574,559,000
    
    
    FNMA 0.75% 12/18/13
    
    
    4,509,3115,515,000
    
    
    FNMA 1% 9/23/13
    
    
    5,521,669510,000
    
    
    FNMA 1.125% 7/30/12
    
    
    516,866
 31




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)820,000
    
    
    FNMA 1.25% 8/20/13
    
    $
    829,08812,079,343
    
    
    FNMA 15YR   3.50% 12/25 #AE0368
    
    
    12,219,325552,768
    
    
    FNMA 15YR   4.00% 9/18 #734729
    
    
    578,751431,278
    
    
    FNMA 15YR   4.50% 6/19 #745278
    
    
    457,475269,749
    
    
    FNMA 15YR   4.50% 7/20 #745874
    
    
    286,176207,264
    
    
    FNMA 15YR   4.50% 7/20 #888653
    
    
    219,854124,948
    
    
    FNMA 15YR   4.50% 8/18 #730721
    
    
    132,5574,339,139
    
    
    FNMA 15YR   4.50% 8/24 #AD0117
    
    
    4,603,385173,804
    
    
    FNMA 15YR   4.50% 11/18 #725857
    
    
    184,3888,311
    
    
    FNMA 15YR   7.00% 1/16 #535662
    
    
    9,0061,052
    
    
    FNMA 15YR   7.00% 3/12 #349639
    
    
    1,0899,849
    
    
    FNMA 15YR   7.00% 3/17 #633169
    
    
    10,7293,548
    
    
    FNMA 15YR   7.00% 5/15 #495848
    
    
    3,83220,201
    
    
    FNMA 15YR   7.00% 8/14 #783427
    
    
    21,6197,804
    
    
    FNMA 15YR   7.00% 11/18 #735420
    
    
    8,4521,277,000
    
    
    FNMA 2.5% 5/15/14
    
    
    1,328,9864,750,000
    
    
    FNMA 2.75% 3/13/14
    
    
    5,003,94928,915
    
    
    FNMA 20YR 5.50% 10/22 #254522
    
    
    31,404250,000
    
    
    FNMA 4.375% 9/15/12
    
    
    269,1024,355,000
    
    
    FNMA 4.625% 10/15/13
    
    
    4,822,7872,361,000
    
    
    FNMA 4.75% 11/19/12
    
    
    2,553,548588,411
    
    
    FNMA ARM   4.49% 4/35 #AD0176
    
    
    618,05947,254
    
    
    FNMA ARM   2.94% 8/35 #AD0710
    
    
    49,549543,908
    
    
    FNMA ARM   3.20% 1/40 #AC0599
    
    
    563,29467,315
    
    
    FNMA ARM   3.32% 9/34 #AD0177
    
    
    70,508623,869
    
    
    FNMA ARM   3.60% 3/40 #AD1555
    
    
    651,5841,331,386
    
    
    FNMA ARM   3.92% 2/39 #AC0036
    
    
    1,384,173235,915
    
    
    FNMA ARM   4.21% 5/35 #889946
    
    
    247,013496,478
    
    
    FNMA ARM   4.285% 7/33#AD0066
    
    
    519,857296,029
    
    
    FNMA ARM   4.30% 2/35 #995017
    
    
    309,244397,632
    
    
    FNMA ARM   4.38% 10/37 #AD0713
    
    
    419,083243,456
    
    
    FNMA ARM   4.53% 12/34 #802852
    
    
    255,280308,578
    
    
    FNMA ARM   4.58% 7/35 #826362
    
    
    323,565380,403
    
    
    FNMA ARM   4.59% 7/35 #995016
    
    
    399,979219,376
    
    
    FNMA ARM   4.68% 11/34 #735011
    
    
    229,99842,637
    
    
    FNMA ARM   4.75% 5/35 #815626
    
    
    44,75765,763
    
    
    FNMA ARM   4.82% 2/36 #AD0175
    
    
    68,867108,570
    
    
    FNMA ARM   4.96% 6/35 #825388
    
    
    114,001
 32




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)50,396
    
    
    FNMA ARM   5.12% 6/35 #823810
    
    $
    53,25213,463
    
    
    FNMA ARM   5.280% 3/35 #843014
    
    
    13,95417,635
    
    
    FNMA ARM   6.25% 6/36 #886983
    
    
    18,5181,153,771
    
    
    FNMA ARM   4.198% 11/34 #841068
    
    
    1,213,03894,786
    
    
    FNMA ARM   4.428% 7/36 #555923
    
    
    98,878236,331
    
    
    FNMA ARM   4.564% 4/33 #713937
    
    
    244,233137,355
    
    
    FNMA ARM   4.58% 7/35 #995273
    
    
    144,6534,017
    
    
    FNMA ARM   4.653% 3/35 #816322
    
    
    4,1756,863
    
    
    FNMA ARM   4.765% 1/34 #995274
    
    
    7,22540,745
    
    
    FNMA ARM   4.893% 10/35 #847787
    
    
    42,36624,995
    
    
    FNMA ARM   4.898% 5/35 #995272
    
    
    26,3199,982
    
    
    FNMA ARM   5.344% 7/35 #834917
    
    
    10,33122,829
    
    
    FNMA ARM   5.349% 12/34 #843013
    
    
    23,600151,154
    
    
    FNMA ARM   5.541% 11/36 #745972
    
    
    159,64538,780
    
    
    FNMA ARM 3.752% 10/33 #755148
    
    
    40,06522,782
    
    
    FNMA ARM 3.753% 10/33 #746320
    
    
    23,8912,614
    
    
    FNMA ARM 3.984% 5/33 #703915
    
    
    2,7318,324
    
    
    FNMA ARM 4.293% 3/35 #815586
    
    
    8,70414,706
    
    
    FNMA ARM 4.358% 10/33 #754672
    
    
    15,238245,629
    
    
    FNMA ARM 4.512% 12/36 #995606
    
    
    259,12264,649
    
    
    FNMA ARM 4.513% 12/34 #802695
    
    
    67,336278,818
    
    
    FNMA ARM 4.53% 10/35 #995414
    
    
    291,988299,302
    
    
    FNMA ARM 4.545% 12/36 #995607
    
    
    314,5961,413,000
    
    
    FNMA ARM 4.55% 10/35 #995415
    
    
    1,481,52923,266
    
    
    FNMA ARM 4.801% 2/33 #695019
    
    
    24,05717,415
    
    
    FNMA ARM 5.05% 7/34 #801635
    
    
    18,179107,289
    
    
    FNMA ARM 5.075% 7/34 #995609
    
    
    113,414111,609
    
    
    FNR 2002-56 MC 5.5% 9/17
    
    
    120,158141,961
    
    
    FNR 2004-15 AB 4% 9/17
    
    
    147,147216,849
    
    
    FNR 2004-3 HA 4% 7/17
    
    
    223,0591,770,956
    
    
    FNR 2008-95 AD 4.5% 12/23
    
    
    1,874,070587,413
    
    
    FNR 2010-123 DL 3.5% 11/25
    
    
    611,181923,408
    
    
    FNR 2010-143 B 3.5% 12/25
    
    
    961,596587,895
    
    
    FORDO 2006-B B 5.43% 2/12
    
    
    593,107390,000
    
    
    FORDO 2006-C B 5.3% 6/12
    
    
    399,625230,000
    
    
    FORDO 2007-A B 5.6% 10/12
    
    
    240,254741,123
    
    
    FORDO 2009-B A3 2.79% 8/13TALF
    
    
    751,788460,000
    
    
    FORDO 2009-C A4 4.43% 11/14
    
    
    490,403
 33




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)400,000
    
    
    FORDO 2009-D A3 2.17% 10/13
    
    $
    404,910700,000
    
    
    FORDO 2009-E A3 1.51% 1/14
    
    
    705,793560,000
    
    
    FORDO 2010-B A3 0.98% 10/14
    
    
    561,725847,000
    
    
    FRANCE TELE MTN 4.375% 7/14 DT
    
    
    922,803202,000
    
    
    FRANCE TELECOM 2.125% 9/16/15
    
    
    197,886118,000
    
    
    FRNK 2006-1 B1 5.14% 7/14
    
    
    118,702418,000
    
    
    FRNK 2007-1 B 5.13% 2/15
    
    
    431,80131,453,158
    
    
    GCCFC 2007-GG11 XP .48% 12/49
    
    
    304,572598,000
    
    
    GE CAP CORP 2.25% 11/9/15
    
    
    576,8343,434,000
    
    
    GE CAP CORP 3.5% 8/12
    
    
    3,603,7003,238,000
    
    
    GE CAP FDIC 3% 12/09/11
    
    
    3,321,7812,160,000
    
    
    GE CAP FDIC GMTN 2% 9/28/12
    
    
    2,217,4861,916,000
    
    
    GE CAP FDIC MTN 2.625% 12/28/12
    
    
    1,987,666345,000
    
    
    GE CAP MTN 2.8% 1/08/13
    
    
    357,336362,000
    
    
    GE CAP MTN 3.5% 6/28/15
    
    
    368,41316,682,061
    
    
    GECMC 2007-C1 XP CSTR 12/49
    
    
    98,2081,700,000
    
    
    GEMNT 2009-3 A 2.54% 9/14
    
    
    1,722,3441,316,000
    
    
    GENERAL ELEC MTN 1.875% 9/13
    
    
    1,323,901327,000
    
    
    GLAXOSMTH KLINE 4.85% 5/15/13
    
    
    357,082134,928
    
    
    GMACC 2004-C2 A2 CSTR 8/38
    
    
    136,7881,704,962
    
    
    GMACC 2005-C1 X2 CSTR 5/43
    
    
    15,210989,000
    
    
    GOLDMAN FDIC 3.25% 6/15/12
    
    
    1,028,105600,000
    
    
    GOLDMAN SA FDIC 2.15% 3/12
    
    
    615,482422,000
    
    
    GOLDMAN SACHS 4.75% 7/15/13 DT
    
    
    458,789951,000
    
    
    GOLDMAN SACHS MTN 3.7% 8/1/15
    
    
    983,9408,147
    
    
    GPMH 2001-1 IA 1ML+34 4/32
    
    
    8,08453,724
    
    
    GSALT 2007-1 B 5.53% 12/14
    
    
    55,085370,000
    
    
    GSMS 2005-GG4 A3 4.607 7/39
    
    
    377,045300,344
    
    
    GSMS 2006-GG6 A2 5.506% 4/38
    
    
    303,295350,000
    
    
    GSMS 2006-GG8 A2 5.479 11/39
    
    
    357,929477,230
    
    
    HAROT 2009-3 A3 2.31% 5/13
    
    
    483,051240,000
    
    
    HAROT 2010-1 A4 1.98% 5/23/16
    
    
    244,298670,000
    
    
    HAROT 2010-2 A3 1.34% 3/14
    
    
    675,3141,270,000
    
    
    HAROT 2010-3 A3 .7% 5/13
    
    
    1,264,380380,000
    
    
    HART 2009-A A3 2.03% 8/13
    
    
    384,659556,642
    
    
    HAT 2007-1 A4 5.33% 11/13
    
    
    564,630555,000
    
    
    HSBC USA FDIC 3.125% 12/16/11
    
    
    570,044910,000
    
    
    ING BANK NV 2% 10/18/13 144A
    
    
    902,733
 34




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)434,000
    
    
    JACKSON NATL 5.375% 5/8/13 144
    
    $
    472,387277,000
    
    
    JOHN DEERE
CAP 2.95% 3/9/15
    
    
    287,0982,975,000
    
    
    JPMC CO MTN 4.65% 6/14
    
    
    3,187,01031,298
    
    
    JPMCC 07-LDP10 A-1 5.122% 1/49
    
    
    31,654625,745
    
    
    JPMCC 2004-CB9 A2 CSTR 6/41
    
    
    633,497615,000
    
    
    JPMCC 2005-LDP2 A3 4.697% 7/42
    
    
    632,38115,254,912
    
    
    JPMCC 2005-LDP4 X2 CSTR 10/42
    
    
    63,671267,167
    
    
    JPMCC 2006-LDP7 A2 CSTR 4/45
    
    
    271,542110,737
    
    
    JPMCC 2006-LDP9 A1 CSTR 5/47
    
    
    112,1172,028,000
    
    
    JPMORGAN CHASE CO 3.4% 6/24/15
    
    
    2,069,404817,000
    
    
    JPMORGAN FDIC 3.125% 12/1/11 DT
    
    
    839,466192,753
    
    
    JPMRT 2006-A A4 5.14% 12/14
    
    
    193,52519,738,893
    
    
    LBUBS 04-C1
XCP 1.0542% 1/17/2034
    
    
    14,011904
    
    
    LBUBS 2000-C5 A2 6.51% 12/26
    
    
    9081,505,557
    
    
    LBUBS 2000-C5 E 7.29% 12/32
    
    
    1,511,442361,364
    
    
    LBUBS 2001-C3 B 6.512% 6/36
    
    
    370,54315,704,704
    
    
    LBUBS 2005-C5 XCP CSTR 9/40
    
    
    121,44818,323,861
    
    
    LBUBS 2005-C7 XCP CSTR 11/40
    
    
    77,2537,119
    
    
    LBUBS 2006-C3 A1 5.478% 3/32
    
    
    7,145149,993
    
    
    LBUBS 2006-C6 A1 5.23% 9/39
    
    
    150,50736,463
    
    
    LBUBS 2006-C7 A1 5.279% 11/38
    
    
    37,01382,275
    
    
    LBUBS 2007-C1 A1 CSTR 2/40
    
    
    83,933180,732
    
    
    LLL 1997-LLI D 7.15% 10/34
    
    
    186,0061,651,000
    
    
    MANUFTRS & TRD 3.85% VAR 4/1/13
    
    
    1,638,839500,000
    
    
    MASSMUTUAL GL 3.625% 7/12 144A
    
    
    526,535520,000
    
    
    MBART 2009-1 A3 1% 1/15/14
    
    
    525,567600,000
    
    
    MERCK & CO INC 2.15% 1/15/16
    
    
    593,245600,000
    
    
    MERRILL LYN CO 5.45% 2/05/13
    
    
    646,138346,000
    
    
    MERRILL LYNCH 5.45% 7/15/14
    
    
    372,4571,253,000
    
    
    MET LIFE GBL 2.875% 9/17/12 144
    
    
    1,294,6491,000,000
    
    
    MET LIFE GLBL 2.5% 9/29/15 144A
    
    
    991,870959,000
    
    
    METROPOLITAN MTN 2.5% 1/13 144A
    
    
    991,266917,000
    
    
    MIDAMERICAN ENRG 5.65% 7/15/12
    
    
    1,003,66561,390
    
    
    MLCFC 2007-6 A1 5.175% 3/51
    
    
    62,323141,000
    
    
    MLCFC 2007-8 A1 4.622% 8/49
    
    
    144,065478,384
    
    
    MLMT 2004-MKB1 A2 4.353% 2/42
    
    
    480,2731,030,107
    
    
    MLMT 2005-MKB2 XP CSTR 9/42
    
    
    6,000199,000
    
    
    MONUMENTAL GLBL 5.5% 4/13 144A
    
    
    215,052
 35




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)1,450,000
    
    
    MORGAN STAN FDIC 3.25% 12/1/11
    
    $
    1,491,655610,000
    
    
    MORGAN STANLEY 3.45% 11/2/15
    
    
    598,172610,000
    
    
    MORGAN STANLEY 4% 7/24/15
    
    
    623,6682,228,000
    
    
    MORGAN STANLEY 4.1% 1/26/15
    
    
    2,299,670720,000
    
    
    MORGAN STANLEY 6% 5/13/14
    
    
    783,706236,252
    
    
    MSC 2006-HQ9 A1 5.49% 7/44
    
    
    239,35632,973
    
    
    MSC 2006-T23 A1 5.682% 8/41
    
    
    33,32891,315
    
    
    MSC 2007-HQ11 A1 5.246% 2/44
    
    
    92,718151,942
    
    
    MSC 2007-IQ13 A1 5.05% 3/44
    
    
    154,310100,928
    
    
    MVCOT 2006-2A A 5.417% 10/28
    
    
    103,51434,779
    
    
    MVCOT 2006-2A B 5.467% 10/28
    
    
    32,44715,809
    
    
    MVCOT 2006-2A C 5.766% 10/28
    
    
    14,945750,000
    
    
    NALT 2009-B A3 1% 1/15
    
    
    755,753480,000
    
    
    NALT 2010-A A2 1.1% 3/13
    
    
    480,748570,000
    
    
    NALT 2010-B A3 1% 12/15/13
    
    
    569,119750,000
    
    
    NATL AUST BK 5.35% 6/12/13 144
    
    
    814,4481,767,000
    
    
    NATLAUST BK 2.35% 11/16/12 144A
    
    
    1,805,643463,817
    
    
    NEF 2005-1 A5 4.74% 10/45
    
    
    465,031910,000
    
    
    NORDEA BK AG 1.75% 10/4/13 144A
    
    
    909,356165,000
    
    
    NORTHERN TR CO 4.625% 5/1/14
    
    
    179,658175,000
    
    
    NORTHERN TRUST CO 5.5% 8/15/13
    
    
    197,356670,000
    
    
    NY LIFE 2.25% 12/14/12 144A
    
    
    687,094921,000
    
    
    NYLIFE GLB 4.65% 5/9/13 144A
    
    
    996,606114,000
    
    
    ORIX CORP 5.48% 11/22/11
    
    
    118,963540,000
    
    
    PACIFIC GAS & ELEC 6.25% 12/13
    
    
    608,164624,000
    
    
    PECO ENERGY MTN 5.6% 10/15/13
    
    
    698,461595,000
    
    
    PEPSICO INC 7.9% 11/01/18
    
    
    773,369970,000
    
    
    PNC FUND CORP MTN 3% 5/19/14
    
    
    991,115660,000
    
    
    PNCFUND MTN 3.625% 2/8/15
    
    
    691,913660,000
    
    
    PRICOA GLB 1 MTN 5.45% 6/14 144A
    
    
    733,672345,000
    
    
    PRICOA GLB FDG 5.4% 10/12 144A
    
    
    373,159481,000
    
    
    PUBLIC SVC ELEC 2.7% 5/01/15
    
    
    487,447590,000
    
    
    RABOBANK NED 3.2% 3/11/15 144A
    
    
    606,3892,815,000
    
    
    RABOBANK NEDER 2.65% 8/12 144A
    
    
    2,915,312600,000
    
    
    RBS 3.4% 08/13 SNR
    
    
    613,2911,709,000
    
    
    ROYAL BK CANADA 1.125% 1/15/14
    
    
    1,689,887982,000
    
    
    ROYAL BK CDA GMTN 2.625% 12/15
    
    
    985,1311,690,000
    
    
    ROYAL BK SCT 1.5% 3/30/12 144A
    
    
    1,706,741
 36




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##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)1,080,000
    
    
    SANTANDER US 2.485% 1/13 144A
    
    $
    1,057,275260,000
    
    
    SBC COMM GLBL 5.875% 2/01/12
    
    
    280,0821,190,000
    
    
    SHELL INTL MTN 1.875 3/25/13
    
    
    1,213,898464,000
    
    
    SIMON PROPERTY 5.3% 5/30/13
    
    
    507,941198,749
    
    
    SLMA 2004-A B 3ML+58 6/33
    
    
    104,782482,000
    
    
    SOUTHERN CO 2.375% 9/15/15
    
    
    477,785239,000
    
    
    SOUTHERN CO 4.15% 5/14
    
    
    252,812140,000
    
    
    STATE ST
CORP 4.3% 5/30/14 DT
    
    
    150,3042,382,000
    
    
    SVENSKA MTN 2.875 9/14/12 144A
    
    
    2,460,135310,000
    
    
    TAOT 2010-A A3 1.27% 12/13
    
    
    312,050370,000
    
    
    TAOT 2010-B A3 1.04% 2/14
    
    
    371,739270,846
    
    
    TAROT 2006-B A4 5.52% 11/12
    
    
    271,998624,531
    
    
    TAROT 2006-C A4 5.31% 5/13
    
    
    634,3731,500,000
    
    
    TELEFONICA EMIS 2.582% 4/26/13
    
    
    1,508,200928,000
    
    
    TRANSCAPIT 5.67% 3/5/14 144A
    
    
    1,001,025989,000
    
    
    UNCREDIT LUX 5.584/VAR 1/13/17
    
    
    981,251600,000
    
    
    UNION BK NA 2.125% 12/16/13
    
    
    599,488610,000
    
    
    US BANCORP 2.45% 7/27/15
    
    
    612,479284,000
    
    
    US BANCORP 3.15% 3/4/15
    
    
    295,0611,030,000
    
    
    US BANCORP MTN 4.2% 5/15/14
    
    
    1,105,7901,020,000
    
    
    US CNTRL FED CU 1.9% 10/19/12
    
    
    1,045,258940,000
    
    
    USAOT 2009-2 A3 1.54% 02/14
    
    
    947,4382,794,000
    
    
    USTN .375% 9/30/12
    
    
    2,790,0195,227,000
    
    
    USTN 0.75% 12/15/13
    
    
    5,191,67230,000,000
    
    
    USTN 1.25% 8/31/15
    
    
    29,302,68037,520,000
    
    
    USTN 1.375% 2/15/13
    
    
    38,280,59123,193,000
    
    
    USTN 1.75% 3/31/14
    
    
    23,752,06416,475,000
    
    
    USTN 1.75% 4/15/13
    
    
    16,915,2123,096,000
    
    
    USTN 1.75% 7/31/15
    
    
    3,108,7666,549,000
    
    
    USTN 1.875% 2/28/14
    
    
    6,748,30514,661,000
    
    
    USTN 1.875% 4/30/14
    
    
    15,041,3842,866,000
    
    
    USTN 1.875% 6/30/15
    
    
    2,877,56713,768,000
    
    
    USTN 2% 11/30/13
    
    
    14,198,7905,225,000
    
    
    USTN 2.125% 5/31/15
    
    
    5,318,10111,500,000
    
    
    USTN 2.375% 10/31/14
    
    
    11,950,6691,546,000
    
    
    USTN 2.375% 9/30/14
    
    
    1,610,69920,800,000
    
    
    USTN 2.5% 3/31/15
    
    
    21,663,25522,501,000
    
    
    USTN 2.5% 4/30/15
    
    
    23,358,508
 37




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)3,243,000
    
    
    USTN 2.75% 10/31/13
    
    $
    3,424,38620,060,000
    
    
    USTN 3.125% 10/31/16
    
    
    21,033,58517,852,900
    
    
    USTN 3.125% 9/30/13
    
    
    19,081,951681,000
    
    
    VERIZON COM INC 5.25% 4/15/13
    
    
    747,991540,000
    
    
    VERIZON NE GLB 6.5% 9/15/11 DT
    
    
    571,337669,000
    
    
    VERIZON WIRELESS 5.25% 2/1/12
    
    
    714,8492,047,000
    
    
    VERIZON WRLSS 3.75% 5/20/11
    
    
    2,080,837310,000
    
    
    VODAFONE GRP PLC 4.15% 6/10/14
    
    
    326,616289,000
    
    
    VODAFONE GRP PLC 5.5% 6/15/11
    
    
    295,998733,774
    
    
    VWALT 2009-A A3 3.41% 4/12
    
    
    742,6821,220,000
    
    
    VWALT 2010-A A3 0.85% 11/13
    
    
    1,217,750504,000
    
    
    VWIF 1.625% 8/12/13 144A
    
    
    506,904751,000
    
    
    WAL MART STORES 2.25% 7/08/15
    
    
    754,282865,000
    
    
    WALMART STORES MTN 3.2% 5/14
    
    
    908,267863,000
    
    
    WALOT 2006-1 C 5.22% 11/12
    
    
    865,715186,141
    
    
    WALOT 2006-1B 5.15% 7/12
    
    
    186,84611,644
    
    
    WALOT 2006-2 B 5.29% 6/12
    
    
    11,690316,000
    
    
    WALOT 2006-2 C 5.34% 10/12
    
    
    318,838886,000
    
    
    WALOT 2007-1 B 5.38% 7/12
    
    
    896,519616,000
    
    
    WALOT 2007-1 C 5.45% 10/12
    
    
    629,172574,000
    
    
    WASHINGTON REIT 5.95% 6/15/11
    
    
    585,767207,577
    
    
    WBCMT 05-C16 APB 4.692% 10/41
    
    
    217,629284,552
    
    
    WBCMT 2004-C11 A3 4.719% 1/41
    
    
    286,9591,067,195
    
    
    WBCMT 2004-C15 A2 4.039% 10/41
    
    
    1,076,233592,668
    
    
    WBCMT 2006-C29 A1 5.121% 11/48
    
    
    600,82330,092
    
    
    WBCMT 2007-C30 A1 5.031% 12/43
    
    
    30,27017,004,375
    
    
    WBCMT 2007-C30 XP CSTR 12/43
    
    
    225,418731,000
    
    
    WBCMT 2007-C31A A2 5.421% 4/47
    
    
    758,2717,643,000
    
    
    WELLS FAR FDIC 3% 12/09/11
    
    
    7,840,7582,048,000
    
    
    WELLS FARGO 3.75% 10/1/14
    
    
    2,157,076371,000
    
    
    WELLS FARGO 5.25% 10/23/12
    
    
    401,420941,000
    
    
    WELLS FARGO MTN 3.625% 4/15/15
    
    
    982,965398,000
    
    
    WESTPAC BANK
CORP 2.1% 8/2/13
    
    
    405,4791,292,000
    
    
    WESTPAC BK
CORP 1.85% 12/09/13
    
    
    1,296,943420,000
    
    
    WOART 2010-A A3 1.34% 12/13
    
    
    423,000321,000
    
    
    WYETH 5.5% 2/01/14
    
    
    364,215540,000
    
    
    YALE UNIV MTN 2.9% 10/15/14
    
    
    560,278Total Wrap Rebid Value
    
    
    1,383,039
 38




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##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueSynthetic Investment Contracts (continued)Total Synthetic Investment Contracts
    
    $
    596,176,245Mutual FundsFidelity BrokerageLink*
    
    $
    208,777,9634,403,023
    
    
    Dodge & Cox Stock Fund
    
    
    474,469,754Total Mutual Funds
    
    $
    683,247,717U.S. Government and Agency SecuritiesUnited States Treasury Notes1,780,000
    
    
    USTN 0.75% 12/15/13
    
    $
    1,767,3462,650,000
    
    
    USTN 2.125% 12/31/15
    
    
    2,664,07710,130,000
    
    
    USTN 2.25% 11/30/17
    
    
    9,850,6354,845,000
    
    
    USTN 2.625% 11/15/20
    
    
    4,570,1965,700,000
    
    
    USTN 2.625% 8/15/20
    
    
    5,403,8683,840,000
    
    
    USTN 2.75% 12/31/17
    
    
    3,848,4025,460,000
    
    
    USTN 3.5% 5/15/20
    
    
    5,593,1152,022,000
    
    
    USTN TII 1.75% 1/15/28
    
    
    2,149,2501,050,000
    
    
    USTN TII 2% 2/15/40
    
    
    1,126,765307,000
    
    
    USTN TII 2.375% 1/15/25
    
    
    396,627910,000
    
    
    USTN TII 2.5% 1/15/29
    
    
    1,051,450Total United States Treasury Notes
    
    $
    38,421,731United States Treasury Bonds4,790,000
    
    
    USTB 4.25% 11/15/40
    
    $
    4,712,1637,750,000
    
    
    USTPRIN 2/15/25
    
    
    4,302,831Total United States Treasury Bonds
    
    $
    9,014,994Federal Agency ObligationsFederal National Mortgage Association1,960,000
    
    
    FANNIEMAE 5.625% 7/15/37
    
    $
    2,202,5992,970,000
    
    
    FNMA 0% 10/9/19
    
    
    1,875,3262,500,000
    
    
    FNMA 1.35% 8/16/13
    
    
    2,501,9782,200,000
    
    
    FNMA 4.75% 2/21/13
    
    
    2,382,7545,700,000
    
    
    FNMA DN 0% 7/08/11
    
    
    5,694,699600,000
    
    
    FNMA       3.50% 1/41 #TBA
    
    
    574,17310,300,000
    
    
    FNMA       4.00% 1/41 #TBA
    
    
    10,246,0861,000,000
    
    
    FNMA       4.00% 2/41 #TBA
    
    
    991,8361,000,000
    
    
    FNMA       4.50% 1/41 #TBA
    
    
    1,026,641
 39




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##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueU.S. Government and Agency Securities (continued)Federal Agency Obligations (continued)Federal National Mortgage Association (continued)100,000
    
    
    FNMA       5.00% 1/41 #TBA
    
    $
    105,1338,500,000
    
    
    FNMA       5.50% #TBA
    
    
    9,094,336280,433
    
    
    FNMA       5.50% 11/36 #745959
    
    
    300,7974,000,000
    
    
    FNMA       6.00% #TBA
    
    
    4,338,7508,500,000
    
    
    FNMA       6.00% 1/41 #TBA
    
    
    9,237,110128,308
    
    
    FNMA       6.00% 5/35 #821192
    
    
    140,307117,519
    
    
    FNMA       6.00% 9/37 #952504
    
    
    127,95844,760
    
    
    FNMA       6.00% 10/35 #745000
    
    
    48,85576,635
    
    
    FNMA       6.50% 1/37 #897910
    
    
    85,1012,400,000
    
    
    FNMA       6.50% 1/40 #TBA
    
    
    2,667,000107,554
    
    
    FNMA       6.50% 5/36 #895817
    
    
    119,839172,805
    
    
    FNMA       6.50% 8/36 #745744
    
    
    191,786158,744
    
    
    FNMA       6.50% 9/36 #897131
    
    
    176,18110,000,000
    
    
    FNMA 15YR 3.50% 1/26 #TBA
    
    
    10,071,8753,300,000
    
    
    FNMA 5.50% SHORT #TBA
    
    
    3,524,813549,430
    
    
    FNMA ARM 5.51% 2/37 #913990
    
    
    575,605367,206
    
    
    FNR 2004-38 FK 1ML+35 5/34
    
    
    367,062979,196
    
    
    FNR 2010-110 AE 9.75% 11/18
    
    
    1,146,858Total Federal National Mortgage Association
    
    $
    69,815,458Government National Mortgage Association198,275
    
    
    GNII         5.00% 9/40 #004802
    
    $
    211,0558,000,000
    
    
    GNII II     4.00% 01/41 #TBA
    
    
    8,046,8755,500,000
    
    
    GNII II     4.50% 1/41 #TBA
    
    
    5,710,97797,136
    
    
    GNII II     5.00% 7/40 #004747
    
    
    103,2751,006,308
    
    
    GNII II     5.00% 8/40 #004772
    
    
    1,071,1673,300,000
    
    
    GNII II     5.50% 1/41 #TBA
    
    
    3,553,9455,900,000
    
    
    GNII II     6.00% 1/41 #TBA
    
    
    6,442,9841,800,000
    
    
    GNMA     3.50% 1/41 #TBA
    
    
    1,732,500100,000
    
    
    GNMA     4.00% 1/41 #TBA
    
    
    100,6801,100,000
    
    
    GNMA     6.00% #TBA
    
    
    1,208,109389,325
    
    
    GNMA II    5.00% 7/40 #783050
    
    
    413,932205,284
    
    
    GNR 2005-13 SD -1ML+680 2/35
    
    
    31,935289,252
    
    
    GNR 2005-81 SD -1ML+630 12/34
    
    
    31,114593,556
    
    
    GNR 2006-47 SA 1ML+680 8/36
    
    
    110,178506,034
    
    
    GNR 2009-61 WQ 1ML+625 11/35
    
    
    68,673
 40




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##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueU.S. Government and Agency Securities (continued)Federal Agency Obligations (continued)Government National Mortgage Association (continued)1,849,085
    
    
    GNR 2009-HO1 FA 1.4% 11/59
    
    $
    1,928,257499,978
    
    
    GNR 2010-14 SC -1ML+480 8/35
    
    
    66,755367,518
    
    
    GNR 2010-47 VS -1ML+625 11/37
    
    
    48,056635,316
    
    
    GNR 2010-87 SK IML+650 7/40
    
    
    87,497843,421
    
    
    GNR 2010-H010 FC 1ML+100 5/60
    
    
    850,6261,529,784
    
    
    GNR 2010-H20 AF 1ML+33 10/60
    
    
    1,529,7241,350,458
    
    
    GNR 2010-H24 FA 1ML+35 10/60
    
    
    1,350,458Total Government National Mortgage Association
    
    $
    34,698,772Federal Home Loan Bank2,780,000
    
    
    FHLB .32% 11/30/11
    
    $
    2,778,4992,240,000
    
    
    FHLB .5% 12/23/11
    
    
    2,237,870Total Federal Home Loan Bank
    
    $
    5,016,369Freddie Mac313,505
    
    
    FHR 2808 FT 1ML+35 4/33
    
    $
    313,679726,515
    
    
    FHR 3702 FG 1ML+45 8/32
    
    
    721,376100,000
    
    
    FHR 3738 BP 4% 12/38
    
    
    98,775Total Freddie Mac
    
    $
    1,133,830Federal Home Loan Mortgage Corporation5,700,000
    
    
    FHLMC 1.125% 6/01/11
    
    $
    5,721,9742,500,000
    
    
    FHLMC 1.4% 7/26/13
    
    
    2,501,1301,350,000
    
    
    FHLMC 5% 2/16/17
    
    
    1,519,976295,000
    
    
    FHLMC DN 0% 5/09/11
    
    
    294,8662,780,000
    
    
    FHLMCDN 7/06/11
    
    
    2,777,442267,667
    
    
    FHLG     5.50% 11/35 #A39302
    
    
    286,602100,000
    
    
    FHLM     4.00% 1/41 #TBA
    
    
    99,2664,900,000
    
    
    FHLM     5.50% 1/41 #TBA
    
    
    5,221,180389,886
    
    
    FHLM ARM 5.65% 9/37 #1G3704
    
    
    405,23999,959
    
    
    FHLM ARM 5.84% 2/37 #1N1447
    
    
    105,524218,432
    
    
    FHLM ARM 5.95% 5/37 #1N1582
    
    
    229,064231,619
    
    
    FHLM ARM 6.03% 5/37 #1N1463
    
    
    245,031711,151
    
    
    FHLM ARM 6.12% 9/37 #1G2201
    
    
    758,336300,587
    
    
    FHLM ARM 4.433% 7/35 #1B3925
    
    
    313,9391,208,962
    
    
    FHMS K009 X1 CSTR 8/20
    
    
    111,832
 41




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    
    Description
    
    Current ValueU.S. Government and Agency Securities (continued)Federal Agency Obligations (continued)Federal Home Loan Mortgage Corporation (continued)Total Federal Home Loan Mortgage Corporation
    
    $
    20,591,401Total U.S. Government and Agency Securities
    
    $
    178,692,555Other Fixed Income SecuritiesForeign Governmental Obligations1,177,000
    
    
    KAUPTHING BK 7.625% 2/28/15
    
    $
    314,84890,000
    
    
    MEXICO GOV 6.05% 1/11/40
    
    
    92,025411,000
    
    
    MEXICO GVT GLB 6.75% 9/27/34 EC
    
    
    463,4031,075,790
    
    
    RUSSIAN FD STP CPN 3/31/30REGS
    
    
    1,243,882Total Foreign Governmental Obligations
    
    $
    2,114,158Domestic Obligations390,000
    
    
    HERTZ 2009-2A A2 5.29% 3/16
    
    $
    423,6011,100,000
    
    
    HERTZ 2010-1A A1 2.6% 2/15
    
    
    1,098,824680,000
    
    
    ABBOTT LABS 5.125% 4/01/19
    
    
    748,724125,000
    
    
    AES CORP 7.75% 10/15/15
    
    
    132,813106,000
    
    
    AES CORP 7.75% 3/01/14
    
    
    112,890718,000
    
    
    AES CORP 8% 6/1/20
    
    
    761,080160,000
    
    
    AIG 6.25% 87-37 HYBRD
    
    
    141,496150,000
    
    
    AIG INTL 6.4% 12/15/20
    
    
    157,382334,000
    
    
    AIG INTL MTN 8.25% 8/15/18
    
    
    384,79027,000
    
    
    ALCOA INC 6% 7/15/13
    
    
    29,71120,000
    
    
    ALLY FINANCIAL INC 8% 3/15/20
    
    
    21,500260,000
    
    
    ALTRIA GROUP INC 8.5% 11/13
    
    
    307,746300,000
    
    
    ALTRIA GROUP INC 9.25% 8/6/19
    
    
    391,512190,000
    
    
    AMER GENL FIN MTN 6.9 12/15/17
    
    
    153,42584,000
    
    
    AMERADA HES CO 7.875% 10/01/29
    
    
    105,422282,000
    
    
    AMERADA HESS CO 7.3% 8/15/31
    
    
    338,207100,000
    
    
    AMERICA MOVIL 5% 3/30/20
    
    
    103,945169,000
    
    
    AMERICA MOVIL 5.625% 11/15/17
    
    
    184,23749,000
    
    
    AMERICAN EXP MTN 5.875% 5/13
    
    
    53,28977,000
    
    
    AMERICAN INTL 5.85% 1/16/18
    
    
    79,398293,000
    
    
    AMEX 6.8% 9/01/66
    
    
    290,070670,000
    
    
    AMEX MTN 8.125% 5/20/19
    
    
    833,62155,000
    
    
    ANADARKO PETRO 6.375% 9/15/17
    
    
    59,912
 42




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)420,000
    
    
    ANHEUSER BUSCH 5% 4/15/20
    
    $
    443,911440,000
    
    
    ANHEUSER BUSCH 5.375% 1/15/20
    
    
    476,779341,000
    
    
    APACHE CORP 6% 9/15/13
    
    
    382,907100,000
    
    
    APACHE CORP MTN 5.1% 9/01/40
    
    
    97,164167,000
    
    
    AT&T INC 5.5% 2/01/18
    
    
    185,517210,000
    
    
    AT&T INC 6.3% 1/15/38
    
    
    221,539370,000
    
    
    AT&T INC 6.55% 2/15/39
    
    
    402,728341,000
    
    
    BAC 8% PERP SERIES K PFD
    
    
    341,00014,000
    
    
    BAC CAP XIV 5.63% VR PERP
    
    
    9,943377,000
    
    
    BAKER HUGHES IN 7.5% 11/15/18
    
    
    472,738440,000
    
    
    BALL CORP 5.75% 5/15/21
    
    
    426,800200,000
    
    
    BALL CORP 6.75% 9/15/20
    
    
    210,000670,000
    
    
    BANK AMER 4.5% 4/1/15
    
    
    680,944410,000
    
    
    BANK OF AMER MTN 7.625 6/1/19
    
    
    472,088880,000
    
    
    BANK OF AMERICA 5.625% 7/01/20
    
    
    897,153340,000
    
    
    BANK TOKYO MIT 3.85% 1/15 144A
    
    
    354,481100,000
    
    
    BANKAMER CAP 8.07% 12/31/26 144
    
    
    100,625300,000
    
    
    BARCLAYS BANK MTN 5.2% 7/10/14
    
    
    324,025140,000
    
    
    BARCLAYS BK 6.05% 12/4/17 144A
    
    
    143,612170,000
    
    
    BARRICK GOLD 6.95% 4/01/19
    
    
    208,604(740,000
    )
    
    BC INT RATE
SWAP 2/15/25
    
    
    (421,732
    )740,000
    
    
    BC INT RATE
SWAP 2/15/25
    
    
    381,045(570,000
    )
    
    BC INT RATE SWAP PAY 2/15/25
    
    
    (324,847
    )570,000
    
    
    BC INT RATE SWAP PAY 2/15/25
    
    
    296,424(2,530,000
    )
    
    BC ZC INT
RATE SWAP PAY 2/15/25
    
    
    (1,441,866
    )2,530,000
    
    
    BC ZC INT
RATE SWAP PAY 2/15/25
    
    
    1,299,69597,000
    
    
    BEAR 7.25% 2/01/18
    
    
    114,95121,000
    
    
    BELLSOUTH 4.75% 11/15/12
    
    
    22,401400,000
    
    
    BERK HATH INC 3.2% 2/11/15
    
    
    412,752540,000
    
    
    BHP BILLITON FIN USA 6.5% 4/1/19
    
    
    642,138190,000
    
    
    BOEING CAP MTN 4.7% 10/27/19
    
    
    201,437120,000
    
    
    BOEING CO 4.875% 2/15/20
    
    
    129,179200,000
    
    
    BOEING CO MTN 6% 3/15/19
    
    
    230,10498,000
    
    
    BOYD GAMING 7.125% 2/01/16
    
    
    87,955680,000
    
    
    BP CAP MARKETS 3.125% 10/1/15
    
    
    679,533190,000
    
    
    CALPINE CONSTR 8% 6/01/16 144A
    
    
    200,925290,000
    
    
    CALPINE CORP 7.5% 2/15/21 144A
    
    
    285,650
 43




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)495,000
    
    
    CATERPILR FIN SERV 6.2 9/30/13
    
    $
    555,729(714,302
    )
    
    CDS- ABX 37YR 5/25/46 SWAP
    
    
    (558,049
    )714,302
    
    
    CDS- ABX 37YR 5/25/46 SWAP
    
    
    714,302(790,000
    )
    
    CDS CMBX @200BPS 12/13/49 SWP
    
    
    (758,321
    )790,000
    
    
    CDS CMBX @200BPS 12/13/49 SWP
    
    
    790,000(390,000
    )
    
    CDS CMBX@134 BPS 42.2 SWP
    
    
    (380,640
    )390,000
    
    
    CDS CMBX@134 BPS 42.2 SWP
    
    
    390,000(220,000
    )
    
    CDS CMBX@234BPS 40.6 YR SWP
    
    
    (220,000
    )220,000
    
    
    CDS CMBX@234BPS 40.6 YR SWP
    
    
    210,848(230,000
    )
    
    CDS CMBX3 12/13/49 SWAP
    
    
    (220,777
    )230,000
    
    
    CDS CMBX3 12/13/49 SWAP
    
    
    230,000(190,000
    )
    
    CDS CMBX3 SWP
    
    
    (182,381
    )190,000
    
    
    CDS CMBX3 SWP
    
    
    190,000(400,000
    )
    
    CDS CMBX4 12/13/49 SWAP
    
    
    (383,960
    )400,000
    
    
    CDS CMBX4 12/13/49 SWAP
    
    
    400,000(310,000
    )
    
    CDS CMBX4 SWP
    
    
    (297,104
    )310,000
    
    
    CDS CMBX4 SWP
    
    
    310,000(190,000
    )
    
    CDS CMBX5 12/13/49 SWAP
    
    
    (182,381
    )190,000
    
    
    CDS CMBX5 12/13/49 SWAP
    
    
    190,000(350,000
    )
    
    CDS MBX32007BAL 12/13/49 SWP
    
    
    (335,965
    )350,000
    
    
    CDS MBX32007BAL 12/13/49 SWP
    
    
    350,000400,000
    
    
    CDS SLMA @ 100BPS 5YR
    
    
    407,738(400,000
    )
    
    CDS SLMA @ 100BPS 5YR SHORT
    
    
    (400,000
    )(1,769,747
    )
    
    CDS-ABX @18 BPS 37.4YR 7/25/45
    
    
    (1,769,747
    )1,769,747
    
    
    CDS-ABX @18 BPS 37.4YR 7/25/45
    
    
    1,559,590(627,731
    )
    
    CDS-ABX.HE.AAA.06-1 37.6 SWAP SHORT
    
    
    (627,731
    )627,731
    
    
    CDS-ABX.HE.AAA.06-1 37.6 SWAP
    
    
    553,188(378,151
    )
    
    CDS-ABX@18 BPS 37.4YR 7/25/45
    
    
    (378,151
    )(226,891
    )
    
    CDS-ABX@18 BPS 37.4YR 7/25/45
    
    
    (226,891
    )378,151
    
    
    CDS-ABX@18 BPS 37.4YR 7/25/45
    
    
    333,246226,891
    
    
    CDS-ABX@18 BPS 37.4YR 7/25/45
    
    
    199,947(113,445
    )
    
    CDSABXHEAAA06-1@18BP36.8Y
    
    
    (113,445
    )113,445
    
    
    CDSABXHEAAA06-1@18BP36.8Y
    
    
    99,974(6,439,977
    )
    
    CDSCDXNAUGHVOL9@485 12/12 SWP
    
    
    (6,439,977
    )6,439,977
    
    
    CDSCDXNAUGHVOL9@485 12/12 SWP
    
    
    6,362,230(340,000
    )
    
    CDSCMBX .35% 2/17/51 SWAP
    
    
    (325,856
    )340,000
    
    
    CDSCMBX .35% 2/17/51 SWAP
    
    
    340,000
 44




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)(180,000
    )
    
    CDS-CMBX 12/13/49 SWAP
    
    $
    (172,782
    )170,000
    
    
    CDS-CMBX 12/13/49 SWAP
    
    
    170,000180,000
    
    
    CDS-CMBX 12/13/49 SWAP
    
    
    180,000(260,000
    )
    
    CDSCMBX 12/13/49 SWP
    
    
    (249,574
    )260,000
    
    
    CDSCMBX 12/13/49 SWP
    
    
    260,000(340,000
    )
    
    CDS-CMBX 12/13/49 SWP
    
    
    (326,366
    )(170,000
    )
    
    CDS-CMBX 12/13/49 SWP
    
    
    (163,183
    )340,000
    
    
    CDS-CMBX 12/13/49 SWP
    
    
    340,000(920,000
    )
    
    CDS-CMBX SWP
    
    
    (883,108
    )920,000
    
    
    CDS-CMBX SWP
    
    
    920,000(260,000
    )
    
    CDS-CMBX3L 12/13/49 SWAP
    
    
    (249,574
    )260,000
    
    
    CDS-CMBX3L 12/13/49 SWAP
    
    
    260,000(97,327
    )
    
    CDSPRIMEXARM 423BPS 6/25/10
    
    
    (97,327
    )(97,327
    )
    
    CDSPRIMEXARM 423BPS 6/25/36
    
    
    (97,327
    )97,327
    
    
    CDSPRIMEXARM 423BPS 6/25/36
    
    
    101,67697,327
    
    
    CDSPRIMEXARM 423BPS 6/25/36
    
    
    101,676150,000
    
    
    CHESAPEAKE ENERGY 6.625% 8/20
    
    
    147,00020,000
    
    
    CHESAPEAKE ENERGY 6.875% 8/18
    
    
    20,050150,000
    
    
    CHESAPEAKE ENERGY 7.25% 12/18
    
    
    154,125683,000
    
    
    CITIGROUP 5% 9/15/14
    
    
    706,548650,000
    
    
    CITIGROUP 6% 12/13/13
    
    
    710,278200,000
    
    
    CITIGROUP 6.375% 8/12/14
    
    
    221,041474,000
    
    
    CITIGROUP 6.875% 3/05/38
    
    
    525,779660,000
    
    
    CITIGROUP MTN 6.01% 1/15/15
    
    
    724,037160,000
    
    
    CITIGROUP MTN 5.5% 10/15/14
    
    
    172,392195,000
    
    
    COMCAST CABLE 8.875% 5/01/17
    
    
    243,62690,000
    
    
    COMCAST CORP 5.65% 6/15/35
    
    
    87,43270,000
    
    
    COMCAST CORP 6.45% 3/15/37
    
    
    74,793697,000
    
    
    COMCAST CORP 6.5% 1/15/15
    
    
    793,69330,000
    
    
    COMCAST CORP 6.95% 8/15/37
    
    
    33,93263,000
    
    
    COMCAST CORP GLB 5.875 2/15/18
    
    
    69,945160,000
    
    
    COMCAST CORP MTN 6.4% 3/01/40
    
    
    171,498130,000
    
    
    COMMNWLTH BNK AUST 5% 10/19 144
    
    
    136,073132,000
    
    
    COMMUNITY HLTH 8.875% 7/15/15
    
    
    138,600122,000
    
    
    COMPLETE PRODTN 8% 12/15/16
    
    
    126,270300,000
    
    
    COMWLTH BK AUS 3.75% 10/14 144A
    
    
    311,221117,000
    
    
    CONOCO 6.95% 4/15/29
    
    
    143,792
 45




---



##### Table of Contents



December 31, 2010
 Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)250,000
    
    
    CONOCOPHILLIPS 6% 1/15/20
    
    $
    291,064260,000
    
    
    CONOCOPHILLIPS 6.5% 2/01/39
    
    
    309,167170,000
    
    
    CONSOL ENERGY 8.25% 4/1/20 144A
    
    
    181,900470,000
    
    
    CONTINENTL AIR 6.75% 9/15 144A
    
    
    482,314390,000
    
    
    COUNTRYWIDE FIN 6.25% 5/15/16
    
    
    399,940660,000
    
    
    CREDIT AG
MTN VAR PERP 144A
    
    
    678,150190,000
    
    
    CREDIT SUISSE 5.86/VAR PERP
    
    
    179,550165,000
    
    
    CRICKET COMM 7.75% 5/15/16 WI
    
    
    171,600424,881
    
    
    CVS CAREMARK 6.943% 1/10/30
    
    
    461,888580,000
    
    
    CVS/CAREMARK MTN 6.6% 3/15/19
    
    
    679,104279,000
    
    
    DAIMBZNA 5.875% 3/15/11
    
    
    281,829100,000
    
    
    DAVITA INC 6.625% 11/01/20
    
    
    98,250202,000
    
    
    DEUTSCHE TK GLBL 5.75% 3/23/16
    
    
    226,2372,280,000
    
    
    DEXIA CL SA NY 2% 3/05/13 144A
    
    
    2,292,855725,000
    
    
    DIAGEO CPTL PLC 4.828% 7/15/20
    
    
    764,998125,000
    
    
    DISH DBS
CORP 7.875% 9/01/19
    
    
    130,625509,000
    
    
    DOMINION RES DE 5.7% 9/17/12
    
    
    547,707260,000
    
    
    DOMINION RESOUR 8.875% 1/15/19
    
    
    336,886167,000
    
    
    DUKE ENERGY 5.625% 11/30/12
    
    
    180,964105,000
    
    
    ECHOSTAR DBS 7.75% 5/31/15
    
    
    111,4377,000
    
    
    ECHOSTAR DBS
CORP 7% 10/01/13
    
    
    7,4556,000
    
    
    EDISON MISSION 7.625 5/27
    
    
    4,320613,000
    
    
    EL PASO CORP 7% 6/15/17
    
    
    651,313125,000
    
    
    EL PASO ENERGY MTN 7.8% 8/1/31
    
    
    124,34391,000
    
    
    EL PASO ENGY MTN 7.75% 1/15/32
    
    
    90,521460,000
    
    
    EL PASO NAT GAS 8.375% 6/15/32
    
    
    541,05831,000
    
    
    ENERGY FUT CO 10% 12/01/20
    
    
    31,775310,000
    
    
    ENERGY TRANSFER 9% 4/15/19
    
    
    388,361500,000
    
    
    ENTERPRISE PRD 9.75% 1/31/14
    
    
    603,974300,000
    
    
    ENTERPRISE PROD 5.2% 9/1/20
    
    
    310,8072,720,000
    
    
    EUROPN INVT BK GLB 3.25 10/11
    
    
    2,777,795318,000
    
    
    EXELON CORP 5.625% 6/15/35
    
    
    302,7581,786,000
    
    
    FARMER MAC 7-1 5.125% 4/17 144A
    
    
    1,943,01613,000
    
    
    FIRSTENERGY 6.45% 11/15/11
    
    
    13,5291,031,000
    
    
    FIRSTENERGY GL 7.375 11/15/31C
    
    
    1,086,842202,000
    
    
    FMC FINANCE III 6.875% 7/15/17
    
    
    214,120606,000
    
    
    FORD MOTOR CRD LLC 12% 5/15/15
    
    
    754,470
 46




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)924,000
    
    
    FREEPORT MCMOR 8.375% 4/01/17
    
    $
    1,025,640725,000
    
    
    GE CAP CORP 11/15/67
    
    
    717,75020,000
    
    
    GE CAP CORP 6% 8/07/19
    
    
    22,2521,470,000
    
    
    GECAP MTN 6.875% 1/10/39
    
    
    1,698,820240,000
    
    
    GENERAL ELEC 4.375% 9/16/20
    
    
    236,19866,000
    
    
    GENERALE DS GEO 7.75% 5/17
    
    
    67,32094,000
    
    
    GEOPHYSIQUE CIE 7.5% 5/15/15
    
    
    95,41020,000
    
    
    GLDMN SCHS GP GLB 5.3 2/14/12
    
    
    20,928411,000
    
    
    GLITNIR 3ML+273.25 6/16 144A
    
    
    4279,000
    
    
    GLITNIR BK MTN 6.33% 7/11 144A
    
    
    83,0031,672,000
    
    
    GM 8.25% 7/15/23
    
    
    581,02021,000
    
    
    GM GLBL 8.375% 7/15/33 DT
    
    
    7,508975,000
    
    
    GMAC LLC MTN 6.625% 5/15/12
    
    
    1,011,563116,000
    
    
    GMAC LLC MTN 7.5% 12/31/13
    
    
    124,410110,000
    
    
    GOLDMAN SACH GLB 5.25 10/15/13
    
    
    119,04440,000
    
    
    GOLDMAN SACHS 4.75% 7/15/13 EC
    
    
    42,6111,110,000
    
    
    GOLDMAN SACHS 5.375% 3/15/20
    
    
    1,147,03121,000
    
    
    GOLDMAN SACHS 5.793% VR PERP
    
    
    17,79850,000
    
    
    GOLDMAN SACHS 6.6% 1/15/12
    
    
    52,873210,000
    
    
    GOLDMAN SACHS GLB 7.5% 2/15/19
    
    
    244,858120,000
    
    
    GOLDMAN SACHS GR 5.45% 11/1/12
    
    
    128,343600,000
    
    
    GOLDMAN
SACHS GROUP 6% 5/14 DT
    
    
    660,98370,000
    
    
    GOLDMAN SACHS MTN 3.625 8/1/12
    
    
    72,240120,000
    
    
    HBOS PLC 5.25% 2/21/17 144A
    
    
    124,446277,000
    
    
    HCA INC 5.75% 3/15/14
    
    
    270,768174,000
    
    
    HCA INC 6.25% 2/15/13
    
    
    177,4808,000
    
    
    HCA INC 6.3% 10/01/12
    
    
    8,18028,000
    
    
    HCA INC 9.125% 11/15/14
    
    
    29,330216,000
    
    
    HCA INC 9.25% 11/15/16
    
    
    231,12039,000
    
    
    HCA INC 9.625% 11/15/16
    
    
    41,925560,000
    
    
    HESS CORP 8.125% 2/15/19
    
    
    707,487700,000
    
    
    HSBC FIN CO 6.676% 1/21 144A
    
    
    707,197160,000
    
    
    ICICI BK 6.375% VAR 4/22 REGS
    
    
    152,491244,000
    
    
    ICICI BK LTD 6.375/VAR4/22 144
    
    
    244,625100,000
    
    
    ILFC ECAP TR II 6.25% 12/65 144
    
    
    76,000170,000
    
    
    ILFC MTN 6.5% 9/1/14 144A
    
    
    178,075860,000
    
    
    ILFC MTN 6.75% 9/1/16 144A
    
    
    900,850
 47




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)(183,951
    )
    
    INDEX SWAP IMO LIBOR SWAP
    
    $
    (183,956
    )(1,011,728
    )
    
    INDEX SWAP IMO LIBOR SWAP
    
    
    (1,011,760
    )1,011,728
    
    
    INDEX SWAP IMO LIBOR SWAP
    
    
    1,012,599183,951
    
    
    INDEX SWAP IMO LIBOR SWAP
    
    
    184,109(500,000
    )
    
    INDEX SWAP TRXCMBS
    
    
    (500,000
    )500,000
    
    
    INDEX SWAP TRXCMBS
    
    
    516,48521,000
    
    
    INN OF MOUNT 12% 11/15/10
    
    
    10,946(1,476,000
    )
    
    INT RATE
SWAP 2/15/25
    
    
    (841,184
    )1,476,000
    
    
    INT RATE
SWAP 2/15/25
    
    
    767,804(1,410,000
    )
    
    INT RATE
SWAP 2/15/25
    
    
    (803,570
    )1,410,000
    
    
    INT RATE
SWAP 2/15/25
    
    
    729,692(550,000
    )
    
    INT RATE SWAP PAY 2/15/25
    
    
    (313,449
    )550,000
    
    
    INT RATE SWAP PAY 2/15/25
    
    
    283,457210,000
    
    
    INTELSAT J H 7.25% 10/20 144A
    
    
    212,10090,000
    
    
    INTELSAT JACKSN 8.5% 11/19 144A
    
    
    96,75021,000
    
    
    INTELSAT JACKSON 9.5% 6/15/16
    
    
    22,155290,000
    
    
    INTESA SAN SPA 3.625 8/15 144A
    
    
    280,3542,780,000
    
    
    INTL BK R&D 0% 4/19/11
    
    
    2,779,099861,000
    
    
    JP MORGAN CHASE 5.125% 9/15/14
    
    
    916,165320,000
    
    
    JP MORGAN CHASE 6.125% 6/27/17
    
    
    351,083(1,500,000
    )
    
    JPM INT RATE SWAP PAY FWD
    
    
    (1,541,736
    )1,500,000
    
    
    JPM INT RATE SWAP PAY FWD
    
    
    1,500,032220,000
    
    
    JPMC CO 4.25% 10/15/20
    
    
    214,863502,000
    
    
    JPMORGAN CHASE 5.15% 10/01/15
    
    
    530,92594,000
    
    
    KANSAS CTY SOUT 12.5% 4/1/16
    
    
    115,150120,000
    
    
    KAUPTHING BK 5.75% 10/4/11 144A
    
    
    32,100130,000
    
    
    KAUPTHING MTN 7.125% 5/19 144A
    
    
    664,000
    
    
    KERR-MCGEE
CORP 7.875% 9/15/31
    
    
    761,172320,000
    
    
    KERR-MCGEE GLBL 6.95 7/1/24
    
    
    347,8341,100,000
    
    
    KFW 3.5% 3/10/14
    
    
    1,170,3601,700,000
    
    
    KFW GLB 4.625 1/20/11
    
    
    1,702,604230,000
    
    
    KINDER MORGAN 6.75% 3/15/11
    
    
    232,55363,000
    
    
    KINDER MORGAN EN 5.85 9/15/12
    
    
    67,552204,000
    
    
    KINDER MORGAN ENER 6% 2/1/17
    
    
    225,227362,000
    
    
    KPN NV GLBL 8.375% 10/01/30
    
    
    470,620620,000
    
    
    KRAFT FOODS INC 5.375% 2/10/20
    
    
    667,287100,000
    
    
    L-3 COMM 6.375% 10/15/15
    
    
    103,000641,000
    
    
    LANDSBANK IS MTN6.1% 8/11 144A
    
    
    70,510
 48




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)369,000
    
    
    LEH 5.857% PERP-12
    
    $
    37220,000
    
    
    LEHMAN BROS 3ML+78 8/19/65
    
    
    22390,000
    
    
    LEHMAN BROS HLD 6.75% 12/28/17
    
    
    39400,000
    
    
    LLOYDS TSB 4.375% 1/12/15 144A
    
    
    396,010100,000
    
    
    LLOYDS TSB BK 6.5% 9/14/20 144A
    
    
    92,003190,000
    
    
    MEDTRONIC INC MTN 4.45% 3/15/20
    
    
    197,253280,000
    
    
    METLIFE INC 6.75% 6/1/16
    
    
    323,544801,000
    
    
    METLIFE INC GLB 6.4% 12/15/36
    
    
    752,9405,000
    
    
    MGM MIRAGE 10.375% 5/15/14
    
    
    5,61335,000
    
    
    MGM MIRAGE INC 6.625% 7/15/15
    
    
    31,67550,000
    
    
    MGM MIRAGE INC 7.625% 1/15/17
    
    
    45,75020,000
    
    
    MGM RESORTS 11.125% 11/15/17
    
    
    22,900400,000
    
    
    MORGAN STANLEY 5.5% 7/24/20
    
    
    404,110110,000
    
    
    MORGAN STLY FRN 5.82% 10/18/16
    
    
    101,594409,000
    
    
    MORGAN STLY MTN 5.625% 1/09/12
    
    
    427,055190,000
    
    
    MUFG CAP FIN 6.346/VR PERP DT
    
    
    191,46140,000
    
    
    NATL SEMICOND GLB 6.6% 6/15/17
    
    
    44,190400,000
    
    
    NB CAP TR IV 8.25% 4/15/27
    
    
    405,00021,000
    
    
    NEWS AMER INC 6.65% 11/37
    
    
    23,25942,000
    
    
    NEWS AMERICA INC 6.2% 12/15/34
    
    
    44,099330,000
    
    
    NOBLE ENERGY IN 8.25% 3/01/19
    
    
    412,364430,000
    
    
    NORDEA BK MTN 3.7% 11/14 144A
    
    
    443,229500,000
    
    
    NORTHSTR ED FIN 2007-1 OT
    
    
    394,05815,000
    
    
    NRG ENERGY INC 7.375% 1/15/17
    
    
    15,45050,000
    
    
    NRG ENERGY INC 7.375% 2/1/16
    
    
    51,000592,000
    
    
    OCCIDENTAL PETE 7% 11/01/13
    
    
    685,2211,875,000
    
    
    PA HI ED SLR SR SUBER MM-1 OT
    
    
    1,659,481105,000
    
    
    PACIFIC GAS&ELEC 5.8% 3/1/37
    
    
    111,281200,000
    
    
    PEABODY ENERGY 6.5% 9/15/20
    
    
    213,50095,000
    
    
    PEMEX PRO FDG 6.625% 6/15/35
    
    
    95,47575,000
    
    
    PEPSICO INC 7.9% 11/01/18
    
    
    96,496152,000
    
    
    PETROBRAS INTL 5.75% 1/20/20
    
    
    157,710190,000
    
    
    PETROBRAS INTL 6.125% 10/06/16
    
    
    209,005210,000
    
    
    PETROLEOS MEX 5.5% 1/21/21
    
    
    213,150470,000
    
    
    PFIZER 6.2% 3/15/19
    
    
    552,828194,000
    
    
    PG&E 6.05% 3/01/34
    
    
    212,410105,000
    
    
    PG&E 8.25% 10/15/18
    
    
    136,422
 49




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)20,000
    
    
    POTASH CORP 4.875% 3/30/20
    
    $
    20,894210,000
    
    
    QEP RESOURCES 6.875% 3/01/21
    
    
    220,50073,000
    
    
    QWEST COMM 7.5% 2/15/14
    
    
    73,913295,000
    
    
    RABOBANK MTN
11%/VAR PERP 144A
    
    
    381,288208,000
    
    
    RAILAMERICA 9.25% 7/01/17
    
    
    228,540150,000
    
    
    RAYTHEON 3.125% 10/15/20
    
    
    138,313590,000
    
    
    RBS 3.95% 9/21/15
    
    
    579,989200,000
    
    
    RBS 4.875% 3/16/15
    
    
    204,585290,000
    
    
    REED ELSEVIER C 8.625% 1/15/19
    
    
    368,704300,000
    
    
    RESONA PFD
7.191% VR PERP 144AEC
    
    
    297,753120,000
    
    
    REYNOLDS AMER GLB 7.25% 6/1/12
    
    
    128,321153,000
    
    
    REYNOLDS AMERN 6.75% 6/15/17
    
    
    171,011285,000
    
    
    REYNOLDS GRP 7.75% 10/15/16 144
    
    
    301,388450,000
    
    
    RIO TINTO FIN 3.5% 11/02/20
    
    
    427,171467,000
    
    
    RIO TINTO FIN 6.5% 7/15/18
    
    
    544,450470,000
    
    
    RIO TINTO FIN 9% 5/1/19
    
    
    631,232270,000
    
    
    ROCHE HLDGS INC 6% 3/19 144A DT
    
    
    313,96763,000
    
    
    ROGERS CABLE 6.75% 3/15/15
    
    
    73,13030,000
    
    
    ROGERS COMMUNIC 6.8% 8/15/18
    
    
    36,068100,000
    
    
    ROYAL BK SCOT 7.64% VR PERP
    
    
    66,500390,000
    
    
    ROYAL BK SCOTLAND 5% 10/1/14
    
    
    375,17120,000
    
    
    ROYAL BK SCT YANK 6.375% 2/1/11
    
    
    20,065520,000
    
    
    ROYAL BK SCTLND 6.4% 10/21/19
    
    
    518,82580,000
    
    
    ROYAL BK SCTLND GLB 5% 11/12/13
    
    
    78,592110,000
    
    
    ROYAL BK SCTLND GLB 5.05% 1/8/15
    
    
    105,830165,000
    
    
    SANDRIDGE ENRGY 9.875% 5/16144
    
    
    174,488300,000
    
    
    SANTANDER 5.805% VAR 6/20/16
    
    
    290,852100,000
    
    
    SANTANDER MTN 3.724% 1/15 144A
    
    
    94,746200,000
    
    
    SANTANDER MTN 3.781% 10/15 144A
    
    
    187,917279,000
    
    
    SBC COMM GLBL 5.1% 9/15/14
    
    
    305,253120,000
    
    
    SEARS HLDGS 6.625% 10/18 144A
    
    
    112,50042,000
    
    
    SERVICE CO INT 7.625% 10/01/18
    
    
    44,10084,000
    
    
    SERVICE CO INTL 7.5% 4/1/27
    
    
    80,430100,000
    
    
    SHELL INTL FIN 4.375% 3/20
    
    
    104,886310,000
    
    
    SHELL INTL FIN 6.375% 12/15/38
    
    
    367,421240,000
    
    
    SLM CORP MEDIUM FRN 4/01/14
    
    
    216,21114,000
    
    
    SLM CORP MTN 5% 4/15/15
    
    
    13,487
 50




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)84,000
    
    
    SLM CORP MTN 5.05% 11/14/14
    
    $
    80,277519,000
    
    
    SLM CORP MTN 5.375% 5/15/14
    
    
    521,55866,000
    
    
    SLM CORP MTN 5.625% 8/01/33
    
    
    51,78763,000
    
    
    SOUTHRN NAT GAS 5.9% 4/1/17
    
    
    67,55921,000
    
    
    SOUTHRN NAT GAS 8% 3/01/32
    
    
    24,058341,000
    
    
    SPRINT CAP
CORP 8.375% 3/15/12
    
    
    360,60863,000
    
    
    STATION CASINOS 6% 4/01/12
    
    
    684,000
    
    
    STATION CASINOS INC 7.75% 8/16
    
    
    8101,000
    
    
    STEEL DYN INC 6.75% 4/15
    
    
    102,76831,000
    
    
    STEEL DYNAMICS 7.375% 11/1/12
    
    
    32,70560,000
    
    
    STEEL DYNAMICS 7.625% 3/20 144A
    
    
    63,900430,000
    
    
    SUMITOMO BKG 3.15% 7/22/15 144A
    
    
    437,651174,000
    
    
    SUNTRUST VIII 6.1%/VAR12/1/66
    
    
    159,210330,000
    
    
    TEACHERS INS 6.85% 12/16/39144
    
    
    386,1019,000
    
    
    TECK RESOURCES 10.25% 5/16
    
    
    11,1388,000
    
    
    TECK RESOURCES 9.75% 5/14
    
    
    10,011320,000
    
    
    TELECOM ITALI 5.25% 10/01/15
    
    
    327,635244,000
    
    
    TELECOM ITALI 6.999% 6/4/18
    
    
    258,354420,000
    
    
    TELEFONICA EMIS 5.134% 4/27/20
    
    
    404,35180,000
    
    
    TENET HEALTH 10% 5/01/18
    
    
    94,00040,000
    
    
    TENET HEALTH 9% 5/01/15
    
    
    44,600111,000
    
    
    TENET HEALTH 9.25% 2/01/15
    
    
    118,77049,000
    
    
    TENN GAS PIPELI 7.625% 4/01/37
    
    
    54,550100,000
    
    
    TNK BP FI MTN 6.625% 3/17 144A
    
    
    106,250470,000
    
    
    TOTAL CAP MTN 4.45% 6/24/20
    
    
    489,811400,000
    
    
    TRANSOCEAN INC 5.25% 3/15/13
    
    
    421,707(395,000
    )
    
    TRX CMBSRESET3 10/6/10 SWP
    
    
    (395,000
    )395,000
    
    
    TRX CMBSRESET3 10/6/10 SWP
    
    
    408,023(395,000
    )
    
    TRX CMBSRESET3 4/1/11 SWP
    
    
    (395,000
    )395,000
    
    
    TRX CMBSRESET3 4/1/11 SWP
    
    
    408,023(350,000
    )
    
    TRX CMBSRESET9 4/1/11 SWP
    
    
    (350,000
    )350,000
    
    
    TRX CMBSRESET9 4/1/11 SWP
    
    
    361,539300,000
    
    
    TXU CORP 5.55% 11/15/14
    
    
    182,250387,000
    
    
    TXU CORP 6.55% 11/15/34
    
    
    137,38514,517
    
    
    TXU ENRGY PIK 12.00% 11/17
    
    
    8,560949,000
    
    
    TYCO INTL
GRP 6% 11/15/13
    
    
    1,052,762340,000
    
    
    UBS AG STAM 3.875% 1/15/15
    
    
    350,411
 51




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Domestic Obligations (continued)170,000
    
    
    UBS AG STAM MTN 4.875% 8/04/20
    
    $
    172,948200,000
    
    
    UNITED BUSNS 5.75% 11/20 144A
    
    
    192,012370,000
    
    
    UNITEDHEALTH
GRP 6% 2/15/18
    
    
    420,004376,000
    
    
    VALE OVERSEAS 6.875% 11/21/36
    
    
    413,593272,000
    
    
    VEDANTA RES 8.75% 1/15/14 144A
    
    
    290,19414,000
    
    
    VERIZON COM INC 5.5% 2/15/18
    
    
    15,385202,000
    
    
    VERIZON GLBL 7.375% 9/01/12
    
    
    223,024376,000
    
    
    VERIZON NEW YOR 6.875% 4/01/12
    
    
    401,098370,000
    
    
    VERIZON WIRELESS 8.5% 11/15/18
    
    
    484,1641,017,000
    
    
    WACHOVIA 5.25% 8/14 LT2
    
    
    1,084,624488,000
    
    
    WASTE MANAGMENT 6.375% 11/15/12
    
    
    532,181242,000
    
    
    WB 5.8% 49-11 T1
    
    
    209,935510,000
    
    
    WELLPOINT INC 7% 2/15/19
    
    
    600,33928,000
    
    
    WELLPOINT
INC GLB 5.875% 6/15/17
    
    
    31,298676,000
    
    
    WELLS FARGO 9.75% 3ML+583 PERP
    
    
    752,050230,000
    
    
    WELLS FARGO
CAP 5.95% 12/15/36
    
    
    222,01124,000
    
    
    WESTLAKE CHEM 6.625% 1/15/16
    
    
    24,810170,000
    
    
    WILLIAMS COS 7.75% 6/15/31
    
    
    191,737160,000
    
    
    WILLIAMS COS 7.875% 9/01/21
    
    
    187,20021,000
    
    
    WILLIAMS COS 8.75% 3/15/32
    
    
    25,652475,000
    
    
    WILLIAMS COS GLB 7.5% 1/15/31
    
    
    533,450115,000
    
    
    WINDSTREAM 8.625% 8/01/16
    
    
    121,038320,000
    
    
    WPP FIN UK GTD SR NT 8% 9/15/14
    
    
    368,143334,000
    
    
    WYETH 5.95% 4/01/37
    
    
    369,613Total Domestic Obligations
    
    $
    96,343,938Mortgage Related Securities222,998
    
    
    ACCR 2003-3 A1 4.46% 12/33
    
    $
    175,297635,361
    
    
    ACE 2006-SL3 A1 1ML+10 6/36
    
    
    104,364300,000
    
    
    ACR10ARTA A2FX 4.9543% 1/29 14A
    
    
    302,009220,000
    
    
    AESOP 2010-3A A 4.64% 5/16
    
    
    231,738130,000
    
    
    AESOP 2010-5A A 3.15% 3/17 144A
    
    
    126,956691,234
    
    
    AHM 2005-4 1A1 1ML+29 3/35
    
    
    463,615800,000
    
    
    BACM 2005-5 A4 5.115% 10/45
    
    
    857,3031,609,000
    
    
    BACM 2005-6 A4 5.182% 9/47
    
    
    1,728,16040,000
    
    
    BACM 2007-5 A3 5.62% 2/51
    
    
    42,068587,107
    
    
    BALTA 2004-9 3A1 CSTR 9/34
    
    
    486,195
 52




---



##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Mortgage Related Securities (continued)496,872
    
    
    BALTA 2005-2 2A4 CSTR 4/35
    
    $
    393,843338,037
    
    
    BAYV 2004-C A1 1ML+42 5/44
    
    
    308,3281,166,846
    
    
    BFAT 2007-SR1A M2 1ML+90 3/37
    
    
    653,486395,894
    
    
    BSABS 05-SD4 2A1 1ML+40 2/35
    
    
    358,0111,194,577
    
    
    BSABS 2005-AQ2 A3 1ML+36 9/35
    
    
    1,074,266584,457
    
    
    BSABS 2005-CL1 A1 1ML+50 9/34
    
    
    465,652762,162
    
    
    BSARM 2004-10 12A3 CSTR 1/35
    
    
    687,824530,000
    
    
    BSCMS 2007-PW15 A4 5.331 2/44
    
    
    544,200248,300
    
    
    CMLTI 2005-HE2 A 1ML+40 5/35
    
    
    224,5621,571,497
    
    
    CWALT 05-36 2A1A 1ML+31 8/35
    
    
    834,707968,732
    
    
    CWALT 06-OA6 1A1A 1ML+21 6/46
    
    
    540,031770,865
    
    
    CWALT 2005-36 3A1 CSTR 8/35
    
    
    528,525231,955
    
    
    CWALT 2005-61 1A1 1ML+26 12/35
    
    
    173,340125,086
    
    
    CWALT 2006-OA1 2A1 1ML+21 3/46
    
    
    71,7591,122,773
    
    
    CWHEL 07-GW A FSA 1ML+55 8/37
    
    
    896,484177,821
    
    
    CWHL 2004-23 A CSTR 11/34
    
    
    118,403534,435
    
    
    CWHL 2006-HYB3 2A1A CSTR 6/36
    
    
    401,155169,825
    
    
    DELTA AIR 6.821% 8/22
    
    
    182,562240,788
    
    
    DMSI 2004-4 7AR2 1ML+45 6/34
    
    
    202,958150,000
    
    
    EFCT 2004-1 A5 VAR 6/43
    
    
    139,591199,680
    
    
    ESA 10-ESHA A 2.9505 11/27 144
    
    
    196,419371,484
    
    
    FFML 2004-FF3 M1 1ML+55 5/34
    
    
    319,70698,592
    
    
    FHAMS 2006-FA8 1A8 0 2/37
    
    
    50,86490,000
    
    
    FIRST SEC UT 9.35 1/10/23 144A
    
    
    92,749770,000
    
    
    GCCFC 07-GG11 A4 5.736% 12/49
    
    
    813,620260,000
    
    
    GECMC 2007-C1 A4 5.54% 12/49
    
    
    267,6971,004,227
    
    
    GMACM 04VF1 A1 MBIA1ML+75 2/31
    
    
    780,763750,323
    
    
    GSMPS 2005-RP1 1AF 1ML+35 1/35
    
    
    637,206300,000
    
    
    GSMS 2007-GG10 A4 CSTR 8/45
    
    
    313,624291,188
    
    
    GSR 2005-AR5 2A3 CSTR 10/35
    
    
    231,331368,916
    
    
    HVMLT 05-15 2A11 1ML+27 10/45
    
    
    233,2261,314,421
    
    
    HVMLT 2004-5 2A6 CSTR 6/34
    
    
    1,101,701565,769
    
    
    HVMLT 2006-13 A 1ML+18 11/46
    
    
    304,114615,470
    
    
    IMSA 2005-2 A1 1ML+32 3/36
    
    
    331,740205,659
    
    
    IMSA 2006-1 1A2B 1ML+20 5/36
    
    
    90,131604,385
    
    
    INDA 2007-AR7 1A1 CSTR 11/37
    
    
    489,2821,317,943
    
    
    INDX 05-AR14 2A1A 1ML+30 7/35
    
    
    879,371
 53




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##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Mortgage Related Securities (continued)192,301
    
    
    INDX 2006-AR6 2A1A 1ML+20 6/47
    
    $
    103,4341,100,000
    
    
    ISAC 2010-1 A3 3ML+90 7/45
    
    
    1,044,626510,000
    
    
    JPMCC 2007-LD12 A4 CSTR 2/51
    
    
    539,965400,000
    
    
    JPMMT 2004-A3 3A3 CSTR 7/34
    
    
    407,546385,433
    
    
    KSLT 2003-A 1A2 3ML+26 10/25
    
    
    375,229280,000
    
    
    LBUBS 2007-C6 A4 CSTR 7/40
    
    
    294,188380,000
    
    
    LBUBS 2007-C7 A3 5.886% 9/45
    
    
    399,8461,079,540
    
    
    LXS 06-14N 1A1B 1ML+21 9/46
    
    
    547,091383,816
    
    
    MARM 2005-1 7A1 CSTR 2/35
    
    
    328,228430,035
    
    
    MARM 2006-2 3A1 CSTR 1/36
    
    
    375,460904,431
    
    
    MARP 2005-2 1A1F 1ML+35 5/35
    
    
    738,294346,835
    
    
    MLCC 2003-F A1 1ML+32 10/28
    
    
    319,437130,000
    
    
    MLCFC 2007-5 A4 5.378 8/48
    
    
    132,7521,020,000
    
    
    MLCFC 2007-6 A4 CSTR 3/51
    
    
    1,039,97120,000
    
    
    MLCFC 2007-8 A3 CSTR 8/49
    
    
    21,525322,426
    
    
    MLMI 2004-A3 4A3 CSTR 5/34
    
    
    325,802158,496
    
    
    MLMI 2006-A1 1A1 CSTR 3/36
    
    
    96,7221,184,296
    
    
    MLMI 2007-SD1 A1 1ML+45 2/47
    
    
    695,840655,000
    
    
    MLMT 2006-C1 A4 CSTR 5/39
    
    
    705,931110,000
    
    
    MLMT 2007-C1 A4 CSTR 6/50
    
    
    117,14780,000
    
    
    MSC 2007-HQ13 A3 5.569% 12/44
    
    
    82,140320,000
    
    
    MSC 2007-IQ15 A4 6.078% 6/49
    
    
    342,64929,570
    
    
    MSM 2005-3AR 3A CSTR 7/35
    
    
    21,254378,918
    
    
    NGN 2010-C1 A 2.65% 10/20
    
    
    368,96140,000
    
    
    NGN 2010-C1 A2 2.9% 10/20
    
    
    38,891500,000
    
    
    NSLC 2004-2A A5C 1.09% 2/39
    
    
    452,492362,000
    
    
    NSLT 2008-4 A4 1ML+148 4/24
    
    
    373,870293,877
    
    
    PRIME 2005-2 2A1 CSTR 10/32
    
    
    291,312842,416
    
    
    RALI 2005-QA13 2A1 CSTR 12/35
    
    
    500,328535,094
    
    
    RBSGC 2007-B 1A4 1ML+45 1/37
    
    
    319,628457,219
    
    
    SACO 2005-WM3 A3 1ML+35 9/35
    
    
    203,042723,157
    
    
    SAMI 2006-AR6 1A1 1ML+18 07/46
    
    
    437,6361,364,245
    
    
    SASC 2007-TC1 A 1ML+30 4/31
    
    
    1,043,291103,686
    
    
    SAST 2002-3 M1 1ML+75 12/32
    
    
    84,423314,970
    
    
    SAST 2003-3 M1 1ML+65 12/33
    
    
    251,077300,000
    
    
    SLMA 2003-11 A6 3ML+29 12/25
    
    
    287,587171,311
    
    
    UAL PASS THRU ETC 9.75% 1/17
    
    
    197,435
 54




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##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueOther Fixed Income Securities (continued)Mortgage Related Securities (continued)818,302
    
    
    WAMU 05-AR15 A1A1 1ML+26 11/45
    
    $
    698,254673,916
    
    
    WAMU 05-AR15 A1A2 1ML+28 11/45
    
    
    513,704347,412
    
    
    WAMU 05-AR17 A1A2 1ML+29 12/45
    
    
    263,9981,200,000
    
    
    WAMU 06-AR14 1A3 CSTR 11/36
    
    
    888,062353,569
    
    
    WAMU 2004-AR8 A1 1ML+42 6/44
    
    
    263,6552,000,000
    
    
    WAMU 2005-AR18 1A3A CSTR 1/36
    
    
    1,596,955833,340
    
    
    WAMU 2005-AR7 A4 CSTR 8/35
    
    
    737,478132,738
    
    
    WAMU 2005-AR8 1A1A 1ML+27 7/45
    
    
    112,125396,043
    
    
    WAMU 2005-AR9 A1A 1ML+32 7/45
    
    
    335,939600,405
    
    
    WAMU 2007-HY4 4A1 CSTR 9/36
    
    
    478,9711,110,000
    
    
    WFMBS 2006-AR11 A6 CSTR 8/36
    
    
    990,488Total Mortgage Related Securities
    
    $
    41,235,615Other Agency Obligations240,000
    
    
    TVA 5.25% 9/15/39
    
    $
    253,732467,000
    
    
    TVA 5.98% 4/1/36
    
    
    539,779250,000
    
    
    CA ST 7.3% 10/01/39
    
    
    251,775200,000
    
    
    KY HIGHER ED VAR 05/01/34
    
    
    196,300190,000
    
    
    LA CA DWAP TAXM 6.574% 7/01/45
    
    
    193,781150,000
    
    
    MUNICIPAL EC AT GA 4.375% 4/57
    
    
    146,62580,000
    
    
    GA MEAG 6.655% 4/1/57
    
    
    77,378490,000
    
    
    NORTH TX STUD 3ML+90 07/01/30
    
    
    474,011Total Other Agency Obligations
    
    $
    2,133,381Total Other Fixed Income Securities
    
    $
    141,827,092Cash, Cash Equivalents and Other InvestmentsCash
    
    $
    (8,156,386
    )1,400,000
    
    
    SWAP CASH COLLATERAL
    
    
    1,400,00014,628,791
    
    
    State Street Bank Government Short Term Investment Fund*
    
    
    14,628,79170,039,256
    
    
    State Street Bank Short Term Investment Fund*
    
    
    70,039,25614,864,496
    
    
    Fidelity Institutional Money Market Portfolio*
    
    
    14,864,496(40
    )
    
    US 10YR FUT FEB11 PUT 1/21/11 117
    
    
    (5,000
    )(18
    )
    
    US 10YR FUT FEB11 CALL 1/21/11 122
    
    
    (6,469
    )(20
    )
    
    US 10YR FUT FEB11 CALL 1/21/11 121
    
    
    (14,063
    )(30
    )
    
    EURO$ 2Y MIDCV CALL 98.5 3/11/11
    
    
    (3,375
    )30
    
    
    EURO$ 2Y MIDCV CALL 98 3/11/11
    
    
    (7,875
    )
 55




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##### Table of Contents



Shares orUnits
    
    Description
    
    Current ValueCash, Cash Equivalents and Other Investments (continued)(14
    )
    
    EURO$ 2Y MIDCV MAR11 PUT 3/11/11 97.875
    
    $
    (8,400
    )(111
    )
    
    EURO$ 90 DAY FUT MAR 11 EDH1
    
    
    (19,425
    )(111
    )
    
    EURO$ 90 DAY EDH1 PUT 3/14/11
    
    
    (16,650
    )(71
    )
    
    UST LONG BOND FUT MAR11 USH1
    
    
    (79,875
    )(205
    )
    
    UST 5YR FUT MAR11 FVH1
    
    
    (64,063
    )(54
    )
    
    UST 2YR FUT MAR11 TUH1
    
    
    (14,344
    )132
    
    
    UST 10YR FUT MAR11 TYH1
    
    
    59,81397
    
    
    US ULTRA BOND(CBT) MAR11 WNH1
    
    
    169,750(29
    )
    
    EURO BUND FUTURE MAR11 RXH1
    
    
    -Total Cash, Cash Equivalents and Other Investments
    
    $
    92,766,181Total Investments Excluding Loans to Participants
    
    $
    3,601,918,222Notes Receivable From Participants (interest rate from 4.25%
to 10.50% maturing through September 2027)*
    
    
    57,388,610Total Investments
    
    $
    3,659,306,832
  56




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##### Table of Contents



SIGNATURES
  TIME WARNER SAVINGS PLANDate:  June 24, 2011
    By:
    /s/  Allan CohenName:
    Allan CohenMember of the Administrative Committee




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##### Table of Contents



EXHIBIT INDEX
 ExhibitNumber
    
    Description23.1
    
    Consent of Ernst & Young LLP,
Independent Registered Public Accounting Firm