Exhibit 99.1

 

Validus Holdings, Ltd December 31, 2011 GAAP fixed maturity portfolio in Schedule D format

 

 

 

 

 

Codes

 

 

 

 

 

FAIR VALUE

 

 

 

 

 

CHANGE IN BOOK/ADJUSTED CARRYING VALUE

 

INTEREST

 

DATES

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

8

 

9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

20

 

 

 

 

 

 

 

 

 

 

 

4

 

5

 

6

 

7

 

RATE
USED TO

 

GAAP
FAIR

 

10

 

11
GAAP

 

 

 

13

 

 

 

15
TOTAL

 

16

 

17

 

18

 

19

 

GROSS
REC’D

 

 

 

 

 

1
CUSIP

 

2
DESCRIPTION

 

3
*

 

FOREIGN
CODE

 

BOND
CHAR

 

NAIC
DESIG

 

ACTUAL
COST

 

OBTAIN
FAIR VALUE

 

MARKET
VALUE

 

PAR
VALUE

 

BOOK
VALUE

 

12
UGL

 

CURRENT YEAR
AMORTIZATION

 

14
IMPAIRMENTS

 

FX CHG
IN B/A. C.V.

 

INTEREST
RATE

 

EFFECTIVE
RATE OF

 

HOW
PAID

 

ACCRUED
INTEREST

 

DURING
YEAR

 

21
ACQUIRED

 

22
MATURITY

 

88579EAD7

 

3M COMPANY CORP BND

 

 

 

 

 

 

 

 

 

4,363,958.25

 

104.003

 

4,238,139.28

 

4,075,000.00

 

4,158,613.97

 

79,525.31

 

(85,620.24

)

 

 

4.65

 

2.459

 

JD

 

8,421.66

 

189,488.00

 

7/20/2009

 

12/15/2012

 

88579YAD3

 

3M COMPANY CORP BND

 

 

 

 

 

 

 

  1FE

 

13,039,014.00

 

100.623

 

13,231,861.38

 

13,150,000.00

 

13,044,549.03

 

187,312.35

 

5,535.03

 

 

 

1.375

 

1.551

 

MS

 

46,207.64

 

 

9/26/2011

 

9/29/2016

 

002824AX8

 

ABBOTT LABORATORIES CORP BND

 

 

 

 

 

 

 

  1FE

 

2,822,118.50

 

105.026

 

2,966,998.12

 

2,825,000.00

 

2,822,996.70

 

144,001.42

 

554.15

 

 

 

2.7

 

2.722

 

MN

 

7,203.75

 

76,275.00

 

5/24/2010

 

5/27/2015

 

00084DAA8

 

ABN AMRO BANK NV CORP BND 144A

 

 

 

F

 

 

 

 

 

2,126,805.10

 

96.931

 

2,067,539.36

 

2,133,000.00

 

2,128,581.16

 

(61,041.80

)

3,179.93

 

 

 

3

 

3.104

 

JJ

 

26,840.25

 

31,817.00

 

2/16/2011

 

1/31/2014

 

00084DAB6

 

ABN AMRO BANK NV CORP BND 144A

 

 

 

F

 

 

 

 

 

2,273,000.00

 

97.533

 

2,216,925.02

 

2,273,000.00

 

2,273,000.00

 

(56,074.98

)

 

 

 

2.198

 

2.074

 

JAJO

 

8,604.55

 

35,117.00

 

1/27/2011

 

1/30/2014

 

00448MAA9

 

ACHMEA HYPOTHEEKBANK N.V. - LT CORP BND

 

 

 

F

 

 

 

 

 

1,337,331.00

 

103.73

 

1,387,907.35

 

1,338,000.00

 

1,337,607.38

 

50,299.97

 

(2,352.02

)

 

 

3.2

 

3.211

 

MN

 

6,898.13

 

42,816.00

 

10/26/2009

 

11/3/2014

 

BRSBHT2D4

 

ACOSTA TERM LOAN

 

 

 

 

 

2

 

  4FE

 

3,002,500.00

 

97.5

 

2,910,375.00

 

2,985,000.00

 

3,000,668.38

 

(90,293.38

)

(1,831.62

)

 

 

0

 

-0.084

 

FMAN

 

 

97,929.00

 

2/23/2011

 

3/1/2018

 

48238NAC6

 

ADESA TERM LOAN

 

 

 

 

 

 

 

  3FE

 

 

 

 

 

 

 

 

 

 

 

0

 

0

 

MON

 

 

 

00/00/0000

 

10/21/2013

 

BRSAQNGR3

 

ADVANCE PIERRE FOODS TERM LOAN

 

 

 

 

 

2

 

 

 

1,975,050.00

 

99.594

 

1,971,961.20

 

1,980,000.00

 

1,975,927.32

 

(3,966.12

)

905.99

 

 

 

0

 

0.043

 

MJSD

 

 

113,847.00

 

12/14/2010

 

9/30/2016

 

BRSB9FG89

 

ADVANTAGE SALES & MARKETING IN TERM LOAN

 

 

 

 

 

 

 

  4FE

 

1,706,366.43

 

98.25

 

1,721,659.19

 

1,752,324.88

 

1,708,564.39

 

13,094.80

 

2,238.64

 

 

 

0

 

0.416

 

MJSD

 

 

 

8/15/2011

 

12/18/2017

 

BRSC10473

 

AEROFLEX INCORPORATED TERM LOAN

 

 

 

 

 

1

 

  4FE

 

4,175,605.00

 

94.25

 

3,938,707.50

 

4,179,000.00

 

4,175,947.30

 

(237,239.80

)

447.30

 

 

 

0

 

0.011

 

FMAN

 

 

86,306.00

 

5/19/2011

 

5/2/2018

 

00828EAF6

 

AFRICAN DEVELOPMENT BANK CORP BND

 

 

 

F

 

 

 

 

 

4,752,517.50

 

100.006

 

4,750,284.86

 

4,750,000.00

 

4,750,472.40

 

(187.54

)

(844.59

)

 

 

0.541

 

0.612

 

JAJO

 

4,921.35

 

19,568.00

 

7/24/2009

 

7/22/2012

 

00828EAJ8

 

AFRICAN DEVELOPMENT BANK CORP BND

 

 

 

F

 

 

 

 

 

5,979,360.00

 

101.214

 

6,072,839.34

 

6,000,000.00

 

5,992,245.36

 

80,593.98

 

6,852.90

 

 

 

1.625

 

1.743

 

FA

 

37,916.67

 

97,530.00

 

2/2/2010

 

2/11/2013

 

00432CAZ4

 

AGSL_03-1 ABS 03-1-2003-1

 

 

 

 

 

2

 

 

 

360,500.00

 

82.976

 

331,903.20

 

400,000.00

 

364,155.75

 

(32,252.55

)

2,061.77

 

 

 

1.603

 

2.354

 

MON

 

105.81

 

5,719.00

 

3/29/2010

 

9/25/2026

 

00432CAY7

 

AGSL_03-1 ABS_03-1 A2

 

 

 

 

 

2

 

 

 

2,464,232.08

 

98.39

 

2,444,418.84

 

2,484,417.97

 

2,468,206.71

 

(23,787.87

)

9,980.04

 

 

 

0.834

 

1.275

 

MJSD

 

287.69

 

10,790.00

 

3/31/2011

 

9/25/2014

 

00432CBB6

 

AGSL_03-1 ABS_03-1-2003-1

 

 

 

 

 

 

 

 

 

311,937.50

 

82.983

 

290,441.20

 

350,000.00

 

312,370.24

 

(21,929.04

)

(843.57

)

 

 

1.629

 

12.292

 

APR

 

62.31

 

4,422.00

 

3/29/2010

 

12/26/2035

 

00432CBP5

 

AGSL_03-1 ABS_04-1-2004-1

 

 

 

 

 

2

 

 

 

435,625.00

 

83.11

 

415,547.50

 

500,000.00

 

447,595.24

 

(32,047.74

)

6,769.80

 

 

 

1.631

 

3.398

 

MON

 

616.50

 

6,345.00

 

3/29/2010

 

9/25/2019

 

038461AC3

 

AID-EGYPT GOVT BND

 

 

 

F

 

 

 

  1FE

 

1,598,977.50

 

111.855

 

1,677,826.56

 

1,500,000.00

 

1,564,711.77

 

113,114.79

 

(16,184.83

)

 

 

4.45

 

3.205

 

MS

 

19,654.17

 

66,750.00

 

11/3/2009

 

9/15/2015

 

010392EY0

 

ALABAMA POWER COMPANY SENIOR CORP BND

 

 

 

 

 

 

 

  1FE

 

13,664,172.75

 

103.9

 

13,403,039.25

 

12,900,000.00

 

13,160,614.22

 

242,425.03

 

(268,178.62

)

 

 

4.85

 

2.686

 

JD

 

27,806.68

 

625,650.00

 

2/10/2010

 

12/15/2012

 

BRSCE52V7

 

ALERE INC

 

 

 

 

 

 

 

  1Z

 

3,523,419.37

 

97.719

 

3,460,351.94

 

3,541,125.00

 

3,524,663.84

 

(64,311.90

)

1,288.84

 

 

 

0

 

0.085

 

JD

 

 

59,794.00

 

6/30/2011

 

6/30/2017

 

BRS5BXCY7

 

ALLISON TRANSMIS LN1 TERM LOAN

 

 

 

 

 

2

 

 

 

6,319,658.73

 

97.264

 

6,210,224.72

 

6,384,916.03

 

6,331,922.18

 

(121,697.46

)

13,203.43

 

 

 

0

 

0.315

 

MON

 

 

112,202.00

 

6/20/2011

 

8/7/2014

 

02005HAB9

 

ALLY AUTO RECEIVABLES TRUST AA ABS_10-1

 

 

 

 

 

2

 

  1FE

 

788,512.45

 

100.29

 

785,155.83

 

782,885.46

 

786,273.97

 

(1,118.14

)

(5,236.49

)

 

 

1.45

 

0.704

 

MON

 

504.53

 

7,568.00

 

5/10/2011

 

2/15/2013

 

02005VAC6

 

ALLY AUTO RECEIVABLES TRUST ABS _11-2-A3

 

 

 

 

 

2

 

 

 

749,998.28

 

100.389

 

752,919.05

 

750,000.00

 

749,994.81

 

2,924.24

 

(3.47

)

 

 

1.18

 

1.182

 

MON

 

393.33

 

5,408.00

 

4/27/2011

 

12/15/2013

 

02005VAB8

 

ALLY AUTO RECEIVABLES TRUST ABS 11-2 A2

 

 

 

 

 

2

 

 

 

4,533,520.16

 

99.971

 

4,532,241.24

 

4,533,570.48

 

4,533,523.07

 

(1,281.83

)

18.08

 

 

 

0.67

 

0.671

 

MON

 

1,350.00

 

18,562.00

 

4/27/2011

 

9/15/2012

 

36186CBF9

 

ALLY FINANCIAL INC CORP BND GOVT GUAR

 

 

 

 

 

 

 

  1FE

 

1,148,171.50

 

101.901

 

1,171,861.60

 

1,150,000.00

 

1,149,487.45

 

22,374.15

 

(21,120.86

)

 

 

2.2

 

2.247

 

JD

 

843.33

 

25,300.00

 

6/3/2009

 

12/19/2012

 

02005MAE2

 

ALLYA _10-3 ABS _10-3 A4

 

 

 

 

 

2

 

 

 

799,714.32

 

100.896

 

807,171.20

 

800,000.00

 

799,827.10

 

7,344.10

 

84.20

 

 

 

1.55

 

1.566

 

MON

 

551.11

 

12,400.00

 

8/12/2010

 

7/15/2014

 

02005TAD9

 

ALLYA _11-1 ABS_11-1 A4

 

 

 

 

 

2

 

  1FE

 

5,999,457.60

 

102.507

 

6,150,409.68

 

6,000,000.00

 

5,999,545.36

 

150,864.32

 

87.76

 

 

 

2.23

 

2.242

 

MON

 

5,946.67

 

113,730.00

 

2/4/2011

 

2/15/2015

 

02005RAB7

 

ALLYA_10-5 ABS 10-5 A3

 

 

 

 

 

2

 

  1FE

 

4,115,600.66

 

100.259

 

4,130,670.92

 

4,120,000.00

 

4,117,865.56

 

12,805.36

 

2,144.80

 

 

 

1.11

 

1.166

 

MON

 

2,032.53

 

46,367.00

 

12/6/2010

 

9/15/2013

 

02005XAC2

 

ALLYA_11-4 ABS_11-4 A3

 

 

 

 

 

2

 

 

 

7,369,541.58

 

99.569

 

7,338,219.01

 

7,370,000.00

 

7,369,592.17

 

(31,373.16

)

50.59

 

 

 

0.79

 

0.794

 

MON

 

2,587.69

 

14,717.00

 

9/8/2011

 

6/15/2014

 

02209SAC7

 

ALTRIA GROUP INC. CORP BND

 

 

 

 

 

 

 

  2FE

 

11,190,603.00

 

113.181

 

10,695,649.86

 

9,450,000.00

 

10,590,825.45

 

104,824.41

 

(514,335.21

)

 

 

8.5

 

1.855

 

MN

 

113,793.75

 

803,250.00

 

3/22/2011

 

11/10/2013

 

BRSB9YU33

 

AMC ENTERTAINMENT INC. TERM LOAN

 

 

 

 

 

 

 

 

 

572,555.95

 

97.65

 

596,374.27

 

610,726.34

 

573,647.01

 

22,727.26

 

1,192.58

 

 

 

0

 

1.25

 

JAJO

 

 

1,067.00

 

9/6/2011

 

12/15/2016

 

BRSCB4WP3

 

AMC NETWORKS INC TERM LOAN

 

 

 

 

 

1

 

  1Z

 

2,559,065.00

 

98.313

 

2,543,357.31

 

2,587,000.00

 

2,560,475.45

 

(17,118.14

)

1,475.45

 

 

 

0

 

0.144

 

MJSD

 

 

39,939.00

 

8/29/2011

 

12/31/2018

 

03064RAB3

 

AMCAR_11-4 ABS_11-4 A2

 

 

 

 

 

2

 

 

 

3,299,798.04

 

99.858

 

3,295,297.50

 

3,300,000.00

 

3,299,821.36

 

(4,523.86

)

23.32

 

 

 

0.92

 

0.924

 

MON

 

1,686.67

 

6,831.00

 

9/8/2011

 

12/8/2014

 

03064TAB9

 

AMCAR_11-5 ABS_11-5-A2

 

 

 

 

 

2

 

 

 

2,599,885.60

 

99.886

 

2,597,035.25

 

2,600,000.00

 

2,599,889.19

 

(2,853.94

)

3.59

 

 

 

1.19

 

1.194

 

MON

 

1,976.72

 

3,094.00

 

10/26/2011

 

8/8/2015

 

02582JCU2

 

AMERICAN EXPRESS CREDIT ACCOUN ABS 04-2

 

 

 

 

 

2

 

 

 

5,007,812.50

 

100.093

 

5,004,650.00

 

5,000,000.00

 

5,006,485.49

 

(1,835.49

)

(1,327.01

)

 

 

0.448

 

0.394

 

MON

 

1,058.49

 

9,831.00

 

7/1/2011

 

5/15/2014

 

02666QF32

 

AMERICAN HONDA FINANCE CORP BND 144A

 

 

 

 

 

 

 

  1FE

 

2,124,150.00

 

101.598

 

2,158,946.96

 

2,125,000.00

 

2,124,650.94

 

34,296.02

 

280.37

 

 

 

2.375

 

2.389

 

MS

 

14,439.67

 

50,469.00

 

3/9/2010

 

3/18/2013

 

BRSBW6C87

 

AMERISTAR CASINOS INC. TERM LOAN

 

 

 

 

 

1

 

  3FE

 

1,860,162.69

 

99.563

 

1,900,343.45

 

1,908,684.40

 

1,862,518.67

 

37,824.78

 

2,629.13

 

 

 

0

 

0.382

 

JAJO

 

 

35,555.00

 

8/15/2011

 

4/16/2018

 

02005AAA6

 

AMOT_10-3 ABS_10-1 A

 

 

 

 

 

2

 

 

 

15,919,609.38

 

101.31

 

15,804,360.00

 

15,600,000.00

 

15,769,270.66

 

35,089.34

 

(150,338.72

)

 

 

2.028

 

0.669

 

MON

 

14,941.81

 

209,232.00

 

5/11/2011

 

10/15/2012

 

02582JEV8

 

AMXCA ABS 07-8 A

 

 

 

 

 

2

 

 

 

5,211,171.88

 

100.176

 

5,209,143.16

 

5,200,000.00

 

5,206,255.90

 

2,887.26

 

(4,915.98

)

 

 

0.578

 

0.428

 

MON

 

1,420.05

 

15,818.00

 

5/16/2011

 

10/15/2012

 

02582JFV7

 

AMXCA ABS_09-2 A

 

 

 

 

 

2

 

 

 

13,104,761.72

 

102.87

 

13,038,772.50

 

12,675,000.00

 

13,042,248.46

 

(3,475.96

)

(62,513.26

)

 

 

1.528

 

0.432

 

MON

 

9,147.51

 

79,328.00

 

7/18/2011

 

8/15/2014

 

034863AA8

 

ANGLO AMERICAN CAPITAL PLC CORP BND 144A

 

 

 

F

 

 

 

  2FE

 

5,570,775.00

 

114.205

 

5,139,235.71

 

4,500,000.00

 

5,210,541.57

 

(71,305.86

)

(301,932.62

)

 

 

9.375

 

2.197

 

AO

 

97,265.63

 

421,875.00

 

10/19/2010

 

4/8/2014

 

034863AC4

 

ANGLO AMERICAN CAPITAL PLC CORP BND 144A

 

 

 

F

 

 

 

  2FE

 

1,298,908.00

 

99.497

 

1,293,454.97

 

1,300,000.00

 

1,299,359.61

 

(5,904.64

)

357.67

 

 

 

2.15

 

2.179

 

MS

 

7,298.06

 

27,950.00

 

9/20/2010

 

9/27/2013

 

035229CE1

 

ANHEUSER-BUSCH CORP BND

 

 

 

 

 

 

 

  1FE

 

1,198,937.20

 

101.332

 

1,129,849.99

 

1,115,000.00

 

1,129,815.82

 

34.17

 

(69,121.38

)

 

 

7.5

 

0.933

 

MS

 

24,622.92

 

83,625.00

 

1/13/2011

 

3/15/2012

 

03523TBC1

 

ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND

 

 

 

 

 

 

 

  1FE

 

22,712,734.58

 

100.186

 

22,754,245.46

 

22,712,000.00

 

22,712,717.91

 

41,527.55

 

(16.67

)

 

 

0.972

 

0.855

 

JAJO

 

40,481.94

 

139,463.00

 

12/9/2011

 

1/27/2014

 

03523TBG2

 

ANHEUSER-BUSCH INBEV WORLDWIDE CORP BND

 

 

 

 

 

 

 

  1FE

 

7,821,921.68

 

111.265

 

7,788,560.08

 

7,000,000.00

 

7,649,211.66

 

139,348.42

 

(172,710.02

)

 

 

5.375

 

2.243

 

MN

 

48,076.39

 

376,250.00

 

3/16/2011

 

11/15/2014

 

035229CY7

 

ANHEUSER-BUSCH SENIOR CORP BND

 

 

 

 

 

 

 

 

 

5,556,350.00

 

109.61

 

5,480,497.35

 

5,000,000.00

 

5,398,968.24

 

81,529.11

 

(125,472.80

)

 

 

5

 

2.267

 

JJ

 

115,277.78

 

250,000.00

 

9/23/2010

 

1/15/2015

 

BRS9PGR33

 

ARAMARK CORP LOAN TERM

 

 

 

 

 

2

 

 

 

3,184,500.77

 

97.429

 

3,199,593.80

 

3,284,026.11

 

3,185,530.47

 

14,063.33

 

1,395.74

 

 

 

0

 

0.651

 

JAJO

 

 

36,977.00

 

11/1/2011

 

7/26/2016

 

BRS9PGQM2

 

ARAMARK CORP TERM LOAN

 

 

 

 

 

2

 

 

 

216,407.28

 

 

 

210,421.21

 

215,973.89

 

216,390.49

 

(5,969.28

)

(19.48

)

 

 

0

 

0

 

MON

 

 

1,091.00

 

00/00/0000

 

1/26/2014

 

039483BA9

 

ARCHER DANIELS MIDLAND CO CORP BND

 

 

 

 

 

 

 

 

 

600,000.00

 

100.161

 

600,966.02

 

600,000.00

 

600,000.00

 

966.02

 

 

 

 

0.613

 

0.472

 

FMAN

 

500.44

 

2,047.00

 

2/9/2011

 

8/13/2012

 

03979GAL9

 

ARDEN REALTY LP SENIOR CORP BND

 

 

 

 

 

1

 

 

 

3,226,650.00

 

105.692

 

3,170,748.36

 

3,000,000.00

 

3,186,543.74

 

(15,795.38

)

(40,106.26

)

 

 

5.25

 

3.007

 

MS

 

52,500.00

 

78,750.00

 

4/28/2011

 

12/1/2014

 

BRS9WB7G9

 

ARKEL_10-1 ABS_10-1 5A

 

 

 

D

 

2

 

 

 

918,390.00

 

104.38

 

973,301.75

 

600,000.00

 

918,390.00

 

54,911.75

 

 

 

14,070.00

 

4.681

 

4.677

 

FA

 

16,249.56

 

45,945.00

 

4/30/2010

 

2/17/2017

 

046353AC2

 

ASTRAZENECA PLC CORP BND

 

 

 

F

 

 

 

  1FE

 

5,610,358.32

 

103.227

 

5,419,408.68

 

5,250,000.00

 

5,374,524.84

 

44,883.84

 

(174,111.44

)

 

 

5.4

 

1.984

 

MS

 

83,475.00

 

283,500.00

 

11/12/2010

 

9/15/2012

 

00206RAV4

 

AT&T CO CORP BND

 

 

 

 

 

 

 

 

 

2,990,820.00

 

103.371

 

3,101,126.85

 

3,000,000.00

 

2,993,302.94

 

107,823.91

 

897.82

 

 

 

2.5

 

2.565

 

FA

 

28,333.33

 

78,125.00

 

7/27/2010

 

8/15/2015

 

00206RAW2

 

AT&T INC CORP BND

 

 

 

 

 

 

 

  1FE

 

6,694,297.50

 

104.216

 

6,904,284.96

 

6,625,000.00

 

6,686,592.09

 

217,692.87

 

(7,253.07

)

 

 

2.95

 

2.723

 

MN

 

24,972.57

 

106,405.00

 

5/24/2011

 

5/15/2016

 

00206RAT9

 

AT&T INC CORP BND

 

 

 

O

 

 

 

 

 

2,116,010.52

 

115.42

 

2,242,177.00

 

1,250,000.00

 

2,095,043.38

 

147,133.62

 

(12,906.23

)

 

19,905.73

 

5.875

 

3.935

 

APR

 

77,333.45

 

77,646.00

 

11/9/2011

 

4/28/2017

 

00206RAF9

 

AT&T INC CORP BND

 

 

 

 

 

 

 

  1FE

 

4,158,679.00

 

104.182

 

4,115,182.04

 

3,950,000.00

 

4,086,934.35

 

28,247.69

 

(45,178.24

)

 

 

4.95

 

1.566

 

JJ

 

90,158.75

 

66,825.00

 

10/20/2011

 

1/15/2013

 

00206RAQ5

 

AT&T INC CORP BND

 

 

 

 

 

 

 

  1FE

 

1,611,715.50

 

107.599

 

1,613,980.52

 

1,500,000.00

 

1,558,311.08

 

55,669.44

 

(26,265.74

)

 

 

4.85

 

2.946

 

FA

 

27,483.33

 

72,750.00

 

12/16/2009

 

2/15/2014

 

78387GAP8

 

AT&T INC CORP BND

 

 

 

 

 

 

 

  1FE

 

3,183,016.41

 

110.176

 

3,305,276.88

 

3,000,000.00

 

3,131,280.26

 

173,996.62

 

(45,553.78

)

 

 

5.1

 

3.392

 

MS

 

45,050.00

 

153,000.00

 

11/12/2010

 

9/15/2014

 

BRSBPYZG1

 

ATLANTIC BROADBAND FINANCE LLC TERM LOAN

 

 

 

 

 

1

 

  4FE

 

1,619,432.41

 

97.771

 

1,634,665.04

 

1,671,932.41

 

1,622,812.51

 

11,852.53

 

3,380.10

 

 

 

0

 

0.697

 

MJSD

 

 

28,894.00

 

8/22/2011

 

3/8/2016

 

048825BC6

 

ATLANTIC RICHFIELD COMPANY CORP BND

 

 

 

 

 

 

 

 

 

3,899,000.82

 

101.5

 

3,366,755.00

 

3,317,000.00

 

3,354,317.32

 

12,437.68

 

(147,049.84

)

 

 

8.5

 

3.887

 

AO

 

70,486.25

 

281,945.00

 

1/30/2008

 

4/1/2012

 

049455AB4

 

ATLAS REINSURANCE V LTD CORP BND 144A

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

11.872

 

0

 

JAJO

 

 

35,654.00

 

00/00/0000

 

2/24/2012

 

BRSBP35C1

 

ATTACHMATE CORP TERM LOAN

 

 

 

 

 

 

 

  4FE

 

782,100.00

 

97.55

 

770,645.00

 

790,000.00

 

782,996.69

 

(12,351.69

)

996.69

 

 

 

0

 

0.175

 

MJSD

 

 

24,819.00

 

2/25/2011

 

2/3/2017

 

05252AAM3

 

AUSTRALIA AND NEW ZEALAND BANK CORP BND

 

 

 

F

 

 

 

 

 

3,992,895.97

 

102.191

 

4,087,646.48

 

4,000,000.00

 

3,995,522.88

 

92,123.60

 

1,369.56

 

 

 

3.7

 

3.739

 

JJ

 

69,066.67

 

148,000.00

 

2/19/2010

 

1/13/2015

 

05252EAA1

 

AUSTRALIA AND NEW ZEALAND BANK LOCAL BND

 

 

 

F

 

 

 

 

 

4,979,650.00

 

98.782

 

4,939,099.90

 

5,000,000.00

 

4,980,062.22

 

(40,962.32

)

412.22

 

 

 

2.4

 

2.487

 

MN

 

12,666.67

 

 

11/15/2011

 

11/23/2016

 

BRSCH2HF0

 

AUTOPARTS HOLDINGS LTD TERM LOAN

 

 

 

 

 

2

 

  4FE

 

650,095.69

 

99.792

 

652,003.51

 

653,362.50

 

650,303.30

 

1,700.21

 

215.80

 

 

 

0

 

0.083

 

MAT

 

 

12,641.00

 

7/27/2011

 

7/29/2017

 

BRSCWX1K1

 

AVIS BUDGET TERM LOAN

 

 

 

 

 

1

 

  3FE

 

588,000.00

 

100.5

 

603,000.00

 

600,000.00

 

588,310.71

 

14,689.29

 

310.71

 

 

 

0

 

0.288

 

MJSD

 

 

417.00

 

9/21/2011

 

9/22/2018

 

BRSDMT7X5

 

AZ CHEMICALS US INC TERM LOAN

 

 

 

 

 

 

 

  4FE

 

1,225,110.00

 

97

 

1,225,110.00

 

1,263,000.00

 

1,225,110.00

 

 

 

 

 

0

 

0.514

 

MJSD

 

 

 

12/19/2011

 

12/19/2017

 

BRS3BP8V0

 

B&G FOODS INC LN1 TERM LOAN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1,338.57

 

 

 

0

 

0

 

FMAN

 

 

3,892.00

 

00/00/0000

 

2/26/2013

 

BRSDCHKT6

 

B&G FOODS INC TERM LOAN

 

 

 

 

 

1

 

 

 

668,250.00

 

100.083

 

675,560.25

 

675,000.00

 

668,316.13

 

7,244.12

 

66.13

 

 

 

0

 

0.143

 

MJSD

 

 

 

11/18/2011

 

11/18/2018

 

06052MAD7

 

BAAT ABS 10-2 A4

 

 

 

 

 

2

 

 

 

1,199,768.04

 

101.39

 

1,216,680.00

 

1,200,000.00

 

1,199,873.49

 

16,806.51

 

72.03

 

 

 

1.94

 

1.954

 

MON

 

1,034.67

 

23,280.00

 

6/16/2010

 

4/15/2014

 

06052MAC9

 

BAAT ABS_10-2 A3

 

 

 

 

 

2

 

  1FE

 

741,583.35

 

100.24

 

743,383.67

 

741,603.82

 

741,597.17

 

1,786.50

 

14.58

 

 

 

1.31

 

1.315

 

MON

 

431.78

 

9,715.00

 

6/16/2010

 

3/15/2013

 

06052DAC9

 

BAAT_09-1A ABS 09-1A A3 144A

 

 

 

 

 

2

 

  1FE

 

337,182.46

 

100.221

 

333,447.24

 

332,711.65

 

333,222.66

 

224.58

 

(19,252.40

)

 

 

2.67

 

1.417

 

MON

 

394.82

 

8,883.00

 

6/1/2010

 

3/15/2012

 

06052JAC6

 

BAAT_10-1 ABS_10-1A A3 144A

 

 

 

 

 

2

 

 

 

3,255,011.41

 

100.22

 

3,266,766.30

 

3,259,595.19

 

3,258,328.22

 

8,438.08

 

5,421.36

 

 

 

1.39

 

1.48

 

MON

 

2,013.71

 

45,308.00

 

5/26/2010

 

11/15/2012

 

05522RBD9

 

BACCT ABS 07-A8 A8

 

 

 

 

 

2

 

  1FE

 

2,974,441.60

 

102.239

 

2,918,918.03

 

2,855,000.00

 

2,920,578.79

 

(1,660.76

)

(53,862.81

)

 

 

5.59

 

0.541

 

MON

 

7,093.09

 

53,198.00

 

8/11/2011

 

6/15/2012

 

05522RAB4

 

BACCT ABS_06 A7 A7

 

 

 

 

 

2

 

  1FE

 

9,961,328.13

 

99.668

 

9,966,838.10

 

10,000,000.00

 

9,967,960.04

 

(1,121.94

)

6,631.91

 

 

 

0.318

 

0.444

 

MON

 

1,503.08

 

13,044.00

 

6/17/2011

 

7/15/2014

 

05523RAA5

 

BAE SYSTEMS PLC CORP BND 144A

 

 

 

F

 

 

 

 

 

7,571,528.50

 

100.481

 

7,581,259.99

 

7,545,000.00

 

7,570,919.67

 

10,340.32

 

(608.83

)

 

 

3.5

 

3.421

 

AO

 

58,683.33

 

 

10/31/2011

 

10/11/2016

 

BRSC4T6W0

 

BAKERCORP TERM LOAN

 

 

 

 

 

1

 

  1Z

 

1,191,015.00

 

98.85

 

1,183,234.50

 

1,197,000.00

 

1,191,510.49

 

(8,275.99

)

510.49

 

 

 

0

 

0.072

 

FMAN

 

 

15,129.00

 

5/19/2011

 

6/1/2018

 

N6520WTR3

 

BANK NEDERLANDSE GEMEENTEN CORP BND

 

 

 

F

 

 

 

 

 

10,614,199.80

 

107.763

 

10,776,300.00

 

10,000,000.00

 

10,322,227.98

 

454,072.02

 

(142,519.42

)

 

 

5

 

3.526

 

MAY

 

312,500.00

 

500,000.00

 

8/31/2009

 

5/16/2014

 

N6521AVK2

 

BANK NEDERLANDSE GEMEENTEN CORP BND

 

 

 

F

 

 

 

 

 

5,264,500.00

 

103.399

 

5,169,950.10

 

5,000,000.00

 

5,239,779.61

 

(69,829.51

)

(66,597.42

)

 

 

3.75

 

0.605

 

JUL

 

86,458.33

 

 

11/1/2011

 

7/15/2013

 

BRS96AL33

 

BANK NEDERLANDSE GEMEENTEN CORP BND EMTN

 

 

 

D

 

 

 

 

 

2,949,500.73

 

102.032

 

3,092,061.03

 

1,950,000.00

 

2,942,310.04

 

149,750.99

 

(5,098.02

)

 

97,405.47

 

2.625

 

2.447

 

DEC

 

4,781.72

 

79,960.00

 

4/27/2010

 

12/10/2013

 

N6521APY9

 

BANK NEDERLANDSE GEMEENTEN CORP BND EMTN

 

 

 

F

 

 

 

 

 

 

 

 

 

 

 

 

(134,513.70

)

 

 

6

 

0

 

MAR

 

 

300,000.00

 

00/00/0000

 

3/26/2012

 

06051GEG0

 

BANK OF AMERICA CORP BND

 

 

 

 

 

 

 

  1FE

 

2,279,595.50

 

91.831

 

2,089,162.58

 

2,275,000.00

 

2,279,142.34

 

(189,979.76

)

2,578.36

 

 

 

3.625

 

3.578

 

MS

 

23,824.31

 

41,234.00

 

5/24/2011

 

3/17/2016

 

05947ULH9

 

BANK OF AMERICA CO CMBS 03-1

 

 

 

 

 

2

 

 

 

388,742.09

 

99.996

 

403,091.79

 

403,107.92

 

401,692.38

 

1,399.41

 

13,841.85

 

 

 

3.878

 

5.146

 

MON

 

1,302.71

 

15,633.00

 

8/27/2008

 

5/11/2012

 

06050BAA9

 

BANK OF AMERICA CORP - GTD CORP BND GOVT

 

 

 

 

 

 

 

  1FE

 

1,299,337.00

 

101.274

 

1,316,565.89

 

1,300,000.00

 

1,299,942.35

 

16,623.54

 

(29,041.50

)

 

 

3.125

 

3.135

 

JD

 

1,805.56

 

40,625.00

 

12/1/2008

 

6/15/2012

 

06050BAG6

 

BANK OF AMERICA CORP - GTD CORP BND GOVT

 

 

 

 

 

 

 

  1FE

 

14,921,651.85

 

100.592

 

15,088,866.60

 

15,000,000.00

 

14,991,617.68

 

97,248.92

 

4,902.14

 

 

 

2.1

 

2.272

 

AO

 

53,375.00

 

315,000.00

 

2/25/2009

 

4/30/2012

 

06051GED7

 

BANK OF AMERICA CORP BND

 

 

 

 

 

 

 

  1FE

 

1,505,805.00

 

92.401

 

1,386,021.54

 

1,500,000.00

 

1,504,700.30

 

(118,678.76

)

(5,445.37

)

 

 

3.7

 

3.608

 

MS

 

18,500.00

 

57,196.00

 

1/3/2011

 

9/1/2015

 

05522NAA5

 

BANK OF AMERICA CORP BND 144A

 

 

 

 

 

 

 

  1FE

 

5,084,782.57

 

102.013

 

5,100,650.00

 

5,000,000.00

 

5,024,688.89

 

75,961.11

 

(79,049.16

)

 

 

5.5

 

4.381

 

JD

 

12,986.11

 

275,000.00

 

11/12/2010

 

6/14/2012

 

06051GEB1

 

BANK OF AMERICA CORP BND MTN

 

 

 

 

 

 

 

  1FE

 

1,419,600.00

 

95.652

 

1,339,125.11

 

1,400,000.00

 

1,415,249.55

 

(76,124.44

)

(4,591.69

)

 

 

4.5

 

4.138

 

AO

 

15,750.00

 

63,000.00

 

12/16/2010

 

4/1/2015

 

06051GEL9

 

BANK OF AMERICA CORP BND MTN

 

 

 

 

 

 

 

  1FE

 

8,000,000.00

 

89.955

 

7,196,400.16

 

8,000,000.00

 

8,000,000.00

 

(803,599.84

)

 

 

 

1.941

 

1.796

 

JAJO

 

35,371.34

 

36,320.00

 

7/7/2011

 

7/11/2014

 

05949CED4

 

BANK OF AMERICA MTG SEC CMO_05-G 2A1

 

 

 

 

 

2

 

 

 

2,473,733.40

 

79.212

 

1,987,284.62

 

2,508,817.63

 

2,475,572.10

 

(488,287.48

)

6,098.54

 

 

 

2.802

 

3.112

 

MON

 

5,858.70

 

74,186.00

 

10/19/2006

 

8/25/2035

 

06366QGN1

 

BANK OF MONTREAL CORP BND

 

 

 

A

 

 

 

 

 

9,350,000.00

 

99.682

 

9,320,266.91

 

9,350,000.00

 

9,350,000.00

 

(29,733.09

)

 

 

 

0.898

 

0.743

 

JAJO

 

14,461.26

 

35,214.00

 

4/26/2011

 

4/29/2014

 

063679WH3

 

BANK OF MONTREAL CORP BND 144A

 

 

 

A

 

 

 

 

 

5,298,622.00

 

100.116

 

5,306,148.27

 

5,300,000.00

 

5,298,698.96

 

7,449.31

 

76.96

 

 

 

1.3

 

1.309

 

AO

 

11,674.72

 

 

10/26/2011

 

10/31/2014

 

06406HBE8

 

BANK OF NEW YORK CO CORP BND

 

 

 

 

 

 

 

  1FE

 

9,050,366.08

 

103.677

 

9,123,568.88

 

8,800,000.00

 

8,883,432.63

 

240,136.25

 

(95,342.77

)

 

 

4.95

 

3.778

 

MN

 

72,600.00

 

435,600.00

 

1/25/2011

 

11/1/2012

 

06406HBQ1

 

BANK OF NEW YORK CO CORP BND MTN

 

 

 

 

 

 

 

  1FE

 

2,996,130.00

 

103.71

 

3,111,304.08

 

3,000,000.00

 

2,997,260.50

 

114,043.58

 

740.48

 

 

 

2.95

 

2.978

 

JD

 

3,195.84

 

88,500.00

 

6/11/2010

 

6/18/2015

 

06406HCA5

 

BANK OF NEW YORK MELLON CORP BND MTN

 

 

 

 

 

1

 

 

 

2,994,570.00

 

99.72

 

2,991,608.04

 

3,000,000.00

 

2,994,644.04

 

(3,036.00

)

74.04

 

 

 

2.4

 

2.438

 

JJ

 

7,600.00

 

 

11/17/2011

 

1/17/2017

 

06406HBW8

 

BANK OF NEW YORK MELLON/THE CORP BND

 

 

 

 

 

 

 

  1FE

 

3,350,000.00

 

98.319

 

3,293,686.50

 

3,350,000.00

 

3,350,000.00

 

(56,313.50

)

 

 

 

0.695

 

0.523

 

JAJO

 

4,202.09

 

4,474.00

 

7/21/2011

 

7/28/2014

 

064149D87

 

BANK OF NOVA SCOTIA CORP BND