March, 2010 - Vermont State Treasurer

NQ2G EQUITY VITA ORTHOVITA INC '68750U102 2300 4.26 9798 0
NQ2H FIXED INCOME UBS AG STAMFORD CT '90261XGA4 1300000 100.476 1306188 1.35194 2/23/2012
NQ2H FUTURE GERMAN EURO BUND FUTURES '99XT88644 4200000 166.904812 0 0 6/8/2010
NQ2H FUTURE GERMAN EURO BOBL FUTURES '99XT88669 900000 158.420879 0 0 6/8/2010
NQ2H OPTIONS U S TREAS BONDS FUTURES (30YR) '99XU45740 -9000 0.25 -2250 0 5/21/2010
NQ2H OPTIONS U S TREAS BONDS FUTURES (30YR) '99XU45690 -9000 0.5 -4500 0 5/21/2010
NQ2H FIXED INCOME FNR 2006 14 FW '31395BEC3 137221.27 99.7478 136875.2 1.07875 3/25/2036
NQ2H FIXED INCOME FHR 3492 MF '31397YEJ6 151144.88 99.99635 151139.36 1.03 1/15/2036
NQ2H FIXED INCOME FNMA POOL AD0783 '31418M2R2 2935680.75 106.736 3133428.21 6 7/1/2039
NQ2H OPTIONS 317U527B2 IRO USD 10Y P 5.0 '99XU49940 -7100000 0.63131 -44823.01 0 10/29/2010
NQ2H OPTIONS 317U528B1 IRO USD 10Y C 3.25 '99XU49957 -7100000 0.42184 -29950.64 0 10/29/2010
NQ2H FIXED INCOME SWPC132G3 CDS USD R F 1.00000 '99S062FK2 1800000 100.072071 1801297.28 1 3/20/2011
NQ2H FIXED INCOME SWPC132G3 CDS USD P V 03MEVENT '99S062FL0 -1800000 100 -1800000 1 3/20/2011
NQ2H FIXED INCOME SWPC169G9 CDS USD R V 03MEVENT '99S063CQ0 300000 100.10321 300309.63 1 9/20/2012
NQ2H FIXED INCOME SWPC169G9 CDS USD P F 1.00000 '99S063CR8 -300000 100 -300000 1 9/20/2012
NQ2H OPTIONS 317U548B7 RYL IRO USD 5Y '99XU64089 -11400000 0.66674 -76008.36 0 12/1/2010
NQ2H FIXED INCOME SWPC30Z89 CDS USD R F 1.72000 '99S06EAZ8 400000 101.05116 404204.64 1.72 3/20/2020
NQ2H FIXED INCOME SWPC30Z89 CDS USD P V 03MEVENT '99S06EB04 -400000 100 -400000 1 3/20/2020
NQ2H OPTIONS S + P 500 INDEX FUTURES '99XU82024 -4500 3.4 -15300 0
NQ2H OPTIONS S + P 500 INDEX FUTURES '99XU82008 -4500 2.15 -9675 0
NQ2H FIXED INCOME WI TREASURY SEC '912828MV9 5100000 99.875 5093625 0 3/31/2017
NQ2H FIXED INCOME SWPC368G8 CDS USD R F 1.00000 '99S06LOK0 1000000 102.48765 1024876.5 1 6/20/2013
NQ2H FIXED INCOME SWPC368G8 CDS USD P V 03MEVENT '99S06LOL8 -1000000 100 -1000000 1 6/20/2013
NQ2H FIXED INCOME SWPC379G5 CDS USD R F 1.00000 '99S06LZT9 400000 102.48765 409950.6 1 6/20/2013
NQ2H FIXED INCOME SWPC379G5 CDS USD P V 03MEVENT '99S06LZU6 -400000 100 -400000 1 6/20/2013
NQ2H CASH EQUIVALENT BARCLAYS CAPITAL REPO '068992007 3100000 100 3100000 0.05 4/1/2010
NQ2H CASH EQUIVALENT CREDIT SUISSE FIRST BOSTON '319981007 4200000 100 4200000 0.16 4/5/2010
NQ2H FIXED INCOME FED HOME LN DISCOUNT NT '313385VV5 5000000 100 5000000 0 4/21/2010
NQ2H FIXED INCOME FNMA TBA APR 30 SINGLE FAM '01F052649 -19000000 105.391 -20024290 5.5 12/1/2099
NQ2H FIXED INCOME DENVER ARENA TR '249078AA4 41155.67 90.23577 37137.14 6.94 11/15/2019
NQ2H FIXED INCOME FNMA TBA MAY 30 SINGLE FAM '01F060659 -3000000 106.688 -3200640 6 12/1/2099
NQ2H CASH EQUIVALENT STATE STREET BANK + TRUST CO '8611239B5 5180008.41 100 5180008.41 0.116958 12/31/2030
NQ2H FIXED INCOME MELLON RESIDENTIAL FDG CORP '585525EN4 863491.11 90.12515 778222.66 0.67 12/15/2030
NQ2H FIXED INCOME SPRINT CAP CORP '852060AJ1 600000 102.875 617250 7.625 1/30/2011
NQ2H FIXED INCOME CENTEX CORP '152312AG9 1600000 104 1664000 7.875 2/1/2011
NQ2H FIXED INCOME FEDERAL HOME LN MTG DISC NTS '313397ZH7 12100000 99.95 12093950 0 7/14/2010
NQ2H FIXED INCOME FED HOME LN DISCOUNT NT '313385VD5 4900000 100 4900000 0 4/5/2010
NQ2H FIXED INCOME XL CAP FIN EUROPE PLC '983730AA0 1300000 105.302 1368926 6.5 1/15/2012
NQ2H FIXED INCOME MEADWESTVACO CORP '583334AA5 1000000 106.506 1065060 6.85 4/1/2012
NQ2H FIXED INCOME FIRST NATIONWIDE TRUST '22540VK43 17697.09 82.8394 14660.16 0.8372 3/25/2032
NQ2H FIXED INCOME STARWOOD HOTELS + RESORTS WORL '85590AAD6 900000 108.25 974250 7.875 5/1/2012
NQ2H FIXED INCOME MASCO CORP '574599AX4 700000 104.56 731920 5.875 7/15/2012
NQ2H FIXED INCOME FEDERAL NATL MTG ASSN DISC NTS '313589A45 5000000 99.93 4996500 0 8/2/2010
NQ2H FIXED INCOME HANSON AUSTRALIA FDG LTD '411336AA8 900000 101.002 909018 5.25 3/15/2013
NQ2H FIXED INCOME FNMA TBA MAY 30 SINGLE FAM '01F050650 -15000000 102.75 -15412500 5 12/1/2099
NQ2H FIXED INCOME AMERICAN GEN FIN CORP MTN '02635PSF1 200000 99.849 199698 4.625 9/1/2010
NQ2H FIXED INCOME FEDERAL HOME LN BK CONS DSC NT '313385VN3 4900000 100 4900000 0 4/14/2010
NQ2H FIXED INCOME BUNGE LTD FIN CORP '120568AH3 2900000 106.518 3089022 5.875 5/15/2013
NQ2H FIXED INCOME FEDERAL NATL MTG ASSN GTD '31393BX75 592318.24 97.88252 579776.02 0.59606 9/25/2042
NQ2H FIXED INCOME PULTE HOMES INC '745867AQ4 400000 98.375 393500 5.25 1/15/2014
NQ2H FIXED INCOME SLM CORP '778741II1 100000 126.433609 126433.61 4.75 3/17/2014
NQ2H FIXED INCOME WELLS FARGO MTG BKD SECS 2004 '949803AA8 25346.55 94.2095 23878.86 3.4404 10/25/2034
NQ2H FIXED INCOME STRUCTURED ASSET SECS CORP '86359BGG0 1070585.76 86.86785 929994.83 2.781417 2/25/2034
NQ2H FIXED INCOME CWMBS INC '12669GJB8 173115.73 54.50196 94351.47 0.57606 2/25/2035
NQ2H FIXED INCOME STRUCTURED ADJ RATE MTG LN TR '863579JG4 666558.07 47.2589 315008.01 1.87083 1/25/2035
NQ2H FIXED INCOME GS MTG SECS CORP '36242DLF8 1300000 78.7001 1023101.3 3.271722 12/25/2034
NQ2H FIXED INCOME SOUTHWEST AIRLS CO '844741AX6 1300000 97.343 1265459 5.125 3/1/2017
NQ2H FIXED INCOME WPP FIN UK '92931NAB6 2400000 105.74 2537760 5.875 6/15/2014
NQ2H FIXED INCOME BEAR STEARNS ALT A TR '07386HSN2 438477.21 69.61591 305249.9 2.734079 3/25/2035
NQ2H FIXED INCOME AMERICAN GEN FIN CORP MTN '02635PSV6 200000 99.959 199918 4.875 5/15/2010
NQ2H FIXED INCOME CITIGROUP MTG LN TR '17307GTJ7 1473820.14 86.11817 1269226.93 4.510817 8/25/2035
NQ2H FIXED INCOME BAC CAP TRUST VII 'B0G3ZQII2 500000 108.496312 542481.56 5.25 8/10/2035
NQ2H FIXED INCOME NEXTEL COMMUNICATIONS '65332VBG7 200000 95 190000 7.375 8/1/2015
NQ2H FIXED INCOME GS MTG SEC CORP '362341RX9 97634.88 92.24492 90063.22 2.953967 9/25/2035
NQ2H FIXED INCOME INTERNATIONAL LEASE FIN CORP '459745FS9 300000 100.118 300354 5.125 11/1/2010
NQ2H FIXED INCOME GS MTG SECS CORP '362341SF7 500000 73.55304 367765.2 4.546628 9/25/2035
NQ2H FIXED INCOME BEAR STEARNS ARM TR '07387AEG6 2481961.33 87.98824 2183834.09 4.625 10/25/2035
NQ2H FIXED INCOME WASHINGTON MUT MTG LN TR '93933TAS2 348597.76 90.7652 316405.45 1.7505 5/25/2041
NQ2H FIXED INCOME STRUCTURED ASSET MTG INVTS II '86359LRW1 1879859.88 57.71161 1084897.4 0.52606 2/25/2036
NQ2H FIXED INCOME CITIGROUP MTG LN TR '17307GW53 1285476.2 90.93263 1168917.32 2.99 12/25/2035
NQ2H FIXED INCOME BEAR STEARNS ASSET BCK SECS TR '07384YUG9 210370.62 98.52601 207269.78 0.57606 1/25/2036
NQ2H FIXED INCOME CITIGROUP MTG LN TR '17307GW79 3437850.63 91.58957 3148712.61 4.7 12/25/2035
NQ2H FIXED INCOME BANC AMER FDG TR '058927AA2 1812555.85 90.83804 1646490.21 4.457164 2/20/2036
NQ2H FIXED INCOME KINDER MORGAN FIN CORP ULC '49455WAB2 1100000 101.75 1119250 5.35 1/5/2011
NQ2H FIXED INCOME USB CAP IX '91731KAA8 600000 85.5 513000 6.189 10/29/2049
NQ2H FIXED INCOME GOLDMAN SACHS GROUP INC '38141GEG5 900000 94.895 854055 0.721 3/22/2016
NQ2H FIXED INCOME MORGAN STANLEY GROUP INC '990KQSII1 1000000 123.056273 1230562.73 1.089 4/13/2016
NQ2H FIXED INCOME INTERNATIONAL LEASE FIN CORP 'B01QCHII2 200000 134.396599 268793.2 1.15 7/6/2010
NQ2H FIXED INCOME STRUCTURED ASSET MTG INVTS II '86360KAA6 1268737 53.99979 685115.32 0.45606 4/25/2036
NQ2H FIXED INCOME GANNETT CO INC '364725AE1 1000000 101.625 1016250 5.75 6/1/2011
NQ2H FIXED INCOME TELECOM ITALIA CAP '87927VAT5 1000000 99.562 995620 0.86125 7/18/2011
NQ2H FIXED INCOME AMERISOURCEBERGEN CORP '03073EAF2 1900000 109.266 2076054 5.875 9/15/2015
NQ2H FIXED INCOME HSBC FIN CORP MED TRM NTS '40429JAS6 900000 99.389 894501 0.45969 8/9/2011