```

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                                 UNITED STATES
                       SECURITIES AND EXCHANGE COMMISSION
                             Washington, D.C. 20549

                                   FORM N-Q

                   QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
    OF REGISTERED MANAGEMENT INVESTMENT COMPANY

  Investment Company Act file number 811-21558

                         Pioneer Short Term Income
               (Exact name of registrant as specified in charter)

                       60 State Street, Boston, MA 02109
              (Address of principal executive offices) (ZIP code)

            Terrence J. Cullen, Pioneer Investment Management, Inc.,
                       60 State Street, Boston, MA 02109
                    (Name and address of agent for service)

Registrant's telephone number, including area code:  (617) 742-7825

Date of fiscal year end:  August 31

Date of reporting period:  May 31, 2015

Form N-Q is to be used by management investment companies, other than small
business investment companies registered on Form N-5 (239.24 and 274.5 of this
chapter), to file reports with the Commission, not later than 60 days after
close of the first and third fiscal quarters, pursuant to Rule 30b1-5 under
the Investment Company Act of 1940 (17 CFR 270.30b1-5).  The Commission may
use the information provided on Form N-Q in its regulatory, disclosure review,
inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q,
and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-Q
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609.  The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.

<PAGE>
ITEM 1. Schedule of Investments.

File the schedules as of the close of the reporting period as set forth in
ss. 210.12-12  12-14 of Regulation S-X [17 CFR 210.12-12  12-14]. The
schedules need not be audited.
```

```

```

|                                                                                                                                                             |                 |                        |   | Pioneer Short Term Income Fund                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|------------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------|-----------------------------|--------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|---------------------------------------------------------------------------------------------------------------------------------------------------------|
|                                                                                                                                                             |                 |                        |   | Schedule of Investments 5/31/15 (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | Principal Amount ($) | FloatingRate (b)(unaudited) |   | Value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   | PREFERRED STOCKS - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Insurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Reinsurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 700,000              |                        |   | Pangaea Re., 7/1/18  (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 775,040                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 775,040                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | TOTAL PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $702,100)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 775,040                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | ASSET BACKED SECURITIES - 15.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 651,264              | 0.39                        |   | 321 Henderson Receivables I LLC, Floating Rate Note, 6/15/41 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 632,303                                                                                                                                                 |
|                                                                                                                                                             | 308,388              | 0.51                        |   | ACAS CLO 2007-1, Ltd., Floating Rate Note, 4/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 306,304                                                                                                                                                 |
|                                                                                                                                                             | 238,499              | 0.58                        |   | Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 234,813                                                                                                                                                 |
|                                                                                                                                                             | 28,794               | 6.50                        |   | ACE Securities Corp. Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 28,910                                                                                                                                                  |
|                                                                                                                                                             | 175,000              | 1.28                        |   | ACIS CLO 2014-4, Ltd., Floating Rate Note, 5/1/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 174,840                                                                                                                                                 |
|                                                                                                                                                             | 394,745              | 0.90                        |   | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 392,319                                                                                                                                                 |
|                                                                                                                                                             | 128,524              | 1.28                        |   | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 127,018                                                                                                                                                 |
|                                                                                                                                                             | 113,502              | 0.55                        |   | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 111,685                                                                                                                                                 |
|                                                                                                                                                             | 285,434              |                        |   | Alterna Funding I LLC, 1.639%, 2/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 286,233                                                                                                                                                 |
|                                                                                                                                                             | 5,683                |                        |   | American Credit Acceptance Receivables Trust 2013-1, 1.45%, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 5,685                                                                                                                                                   |
|                                                                                                                                                             | 6,875                |                        |   | American Credit Acceptance Receivables Trust 2013-2, 1.32%, 2/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 6,876                                                                                                                                                   |
|                                                                                                                                                             | 90,688               |                        |   | American Credit Acceptance Receivables Trust 2014-1, 1.14%, 3/12/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 90,711                                                                                                                                                  |
|                                                                                                                                                             | 141,842              |                        |   | American Credit Acceptance Receivables Trust 2014-2, 0.99%, 10/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 141,821                                                                                                                                                 |
|                                                                                                                                                             | 194,247              |                        |   | American Credit Acceptance Receivables Trust 2014-3, 0.99%, 8/10/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 194,167                                                                                                                                                 |
|                                                                                                                                                             | 760,000              | 0.99                        |   | American Express Credit Account Secured Note Trust 2012-4, Floating Rate Note, 5/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 763,642                                                                                                                                                 |
|                                                                                                                                                             | 665,000              | 1.60                        |   | American Homes 4 Rent 2014-SFR1, Floating Rate Note, 6/17/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 661,202                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | AmeriCredit Automobile Receivables Trust 2012-4, 3.82%, 2/10/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 513,232                                                                                                                                                 |
|                                                                                                                                                             | 150,000              |                        |   | AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 150,189                                                                                                                                                 |
|                                                                                                                                                             | 550,000              |                        |   | AmeriCredit Automobile Receivables Trust 2013-4, 3.31%, 10/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 565,325                                                                                                                                                 |
|                                                                                                                                                             | 230,210              | 0.46                        |   | AmeriCredit Automobile Receivables Trust 2014-2, Floating Rate Note, 10/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 230,106                                                                                                                                                 |
|                                                                                                                                                             | 568,217              | 0.51                        |   | Ameriquest Mortgage Securities, Inc., Asset Backed Pass-Through Ctfs Series 2005-R11, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 557,145   |
|                                                                                                                                                             | 62,562               | 3.93                        |   | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 03-AR3, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 63,878                                                                                                                                                  |
|                                                                                                                                                             | 252,946              | 0.86                        |   | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2005-R1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 252,035   |
|                                                                                                                                                             | 436,146              |                        |   | Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Ctfs Series 2005-R9, 4.627277%, 11/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 452,522   |
|                                                                                                                                                             | 140,812              | 0.74                        |   | AMRESCO Residential Securities Corp Mortgage Loan Trust 1997-3, Floating Rate Note, 9/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 136,033                                                                                                                                                 |
|                                                                                                                                                             | 94,547               | 0.74                        |   | ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 94,531                                                                                                                                                  |
|                                                                                                                                                             | 250,747              |                        |   | Ascentium Equipment Receivables 2014-1 LLC, 1.04%, 1/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 250,636                                                                                                                                                 |
|                                                                                                                                                             | 700,000              |                        |   | Ascentium Equipment Receivables 2014-1 LLC, 3.1%, 6/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 711,997                                                                                                                                                 |
|                                                                                                                                                             | 510,000              |                        |   | Ascentium Equipment Receivables 2015-1 LLC, 3.24%, 1/10/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 512,556                                                                                                                                                 |
|                                                                                                                                                             | 543,023              | 3.71                        |   | Asset Backed Securities Corp Home Equity Loan Trust Series 2003-HE1, Floating Rate Note, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 553,064                                                                                                                                                 |
|                                                                                                                                                             | 465,826              | 0.90                        |   | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE6, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 459,930                                                                                                                                                 |
|                                                                                                                                                             | 100,755              | 0.89                        |   | Asset Backed Securities Corp Home Equity Loan Trust Series 2005-HE3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 99,518                                                                                                                                                  |
|                                                                                                                                                             | 52,548               | 0.38                        |   | Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 50,117                                                                                                                                                  |
|                                                                                                                                                             | 399,955              |                        |   | AXIS Equipment Finance Receivables II LLC, 3.81%, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 402,379                                                                                                                                                 |
|                                                                                                                                                             | 699,922              |                        |   | AXIS Equipment Finance Receivables II LLC, 4.94%, 7/20/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 718,631                                                                                                                                                 |
|                                                                                                                                                             | 300,000              |                        |   | Axis Equipment Finance Receivables III LLC, 3.41%, 4/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 299,429                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.52                        |   | Barclays Dryrock Issuance Trust, Floating Rate Note, 3/16/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 499,562                                                                                                                                                 |
|                                                                                                                                                             | 22,182               | 0.81                        |   | Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 22,171                                                                                                                                                  |
|                                                                                                                                                             | 175,989              | 4.91                        |   | Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 177,337                                                                                                                                                 |
|                                                                                                                                                             | 1,349,578            | 0.69                        |   | Bayview Financial Mortgage Pass-Through Trust 2005-C, Floating Rate Note, 6/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,339,216                                                                                                                                               |
|                                                                                                                                                             | 26,194               | 0.54                        |   | Bayview Financial Mortgage Pass-Through Trust 2006-A, Floating Rate Note, 2/28/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 26,170                                                                                                                                                  |
|                                                                                                                                                             | 225,015              | 0.49                        |   | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 220,684                                                                                                                                                 |
|                                                                                                                                                             | 31,529               | 0.46                        |   | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 30,923                                                                                                                                                  |
|                                                                                                                                                             | 329,519              | 0.64                        |   | Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 326,567                                                                                                                                                 |
|                                                                                                                                                             | 357,687              | 3.72                        |   | Bayview Opportunity Master Fund IIA Trust 2012-4NPL Series III, Floating Rate Note, 2/28/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 358,241                                                                                                                                                 |
|                                                                                                                                                             | 303,564              |                        |   | Bayview Opportunity Master Fund IIa Trust 2014-20NPL, 3.475%, 8/28/44 (Step) (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 304,259                                                                                                                                                 |
|                                                                                                                                                             | 188,377              |                        |   | Bayview Opportunity Master Fund Trust IIIa 2014-12RPL, 3.6225%, 7/28/19 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 188,402                                                                                                                                                 |
|                                                                                                                                                             | 1,419                |                        |   | BCMSC Trust 1998-A, 6.65%, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,417                                                                                                                                                   |
|                                                                                                                                                             | 457,472              | 0.68                        |   | Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 455,240                                                                                                                                                 |
|                                                                                                                                                             | 54,603               | 1.38                        |   | Bear Stearns Asset Backed Securities Trust 2004-2, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 54,694                                                                                                                                                  |
|                                                                                                                                                             | 195,799              | 0.67                        |   | Bear Stearns Asset Backed Securities Trust 2006-SD2, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 192,217                                                                                                                                                 |
|                                                                                                                                                             | 15,625               | 0.93                        |   | Bear Stearns Asset Backed Securities Trust, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 15,620                                                                                                                                                  |
|                                                                                                                                                             | 201,992              | 1.18                        |   | Bear Stearns Structured Products Trust 2007-EMX1, Floating Rate Note, 3/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 197,776                                                                                                                                                 |
|                                                                                                                                                             | 43,587               |                        |   | California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 43,647                                                                                                                                                  |
|                                                                                                                                                             | 413,000              |                        |   | Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 414,643                                                                                                                                                 |
|                                                                                                                                                             | 125,000              |                        |   | Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 125,904                                                                                                                                                 |
|                                                                                                                                                             | 300,000              | 0.37                        |   | Capital One Multi-Asset Execution Trust, Floating Rate Note, 2/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 300,054                                                                                                                                                 |
|                                                                                                                                                             | 540,000              |                        |   | CarMax Auto Owner Trust 2013-3, 2.15%, 5/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 545,560                                                                                                                                                 |
|                                                                                                                                                             | 394,573              | 0.92                        |   | Carrington Mortgage Loan Trust Series 2005-NC1, Floating Rate Note, 2/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 394,350                                                                                                                                                 |
|                                                                                                                                                             | 952,790              | 0.36                        |   | Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 922,961                                                                                                                                                 |
|                                                                                                                                                             | 374,421              | 0.80                        |   | CDC Mortgage Capital Trust 2002-HE1, Floating Rate Note, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 343,763                                                                                                                                                 |
|                                                                                                                                                             | 500,538              |                        |   | Centerpoint Energy Transition Bond Co. II LLC, 5.17%, 8/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 523,162                                                                                                                                                 |
|                                                                                                                                                             | 148,498              |                        |   | Centex Home Equity Loan Trust 2005-B, 4.893%, 3/25/33 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 148,207                                                                                                                                                 |
|                                                                                                                                                             | 101,950              | 0.72                        |   | Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 92,789                                                                                                                                                  |
|                                                                                                                                                             | 215,334              |                        |   | Chase Funding Trust Series 2003-6, 4.277%, 11/27/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 218,761                                                                                                                                                 |
|                                                                                                                                                             | 300,000              |                        |   | Chase Issuance Trust, 0.59%, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 300,053                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.38                        |   | Chase Issuance Trust, Floating Rate Note, 4/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 749,869                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.31                        |   | Chase Issuance Trust, Floating Rate Note, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 749,967                                                                                                                                                 |
|                                                                                                                                                             | 76,858               | 0.63                        |   | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 76,871                                                                                                                                                  |
|                                                                                                                                                             | 250,000              | 2.03                        |   | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 250,464                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Citibank Credit Card Issuance Trust, 5.1%, 11/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 511,010                                                                                                                                                 |
|                                                                                                                                                             | 453,645              | 0.38                        |   | Citigroup Mortgage Loan Trust 2006-SHL1, Floating Rate Note, 11/27/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 439,308                                                                                                                                                 |
|                                                                                                                                                             | 58,832               | 1.20                        |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 55,054                                                                                                                                                  |
|                                                                                                                                                             | 397,531              | 0.93                        |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 5/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 395,565                                                                                                                                                 |
|                                                                                                                                                             | 28,264               |                        |   | CNH Equipment Trust 2012-C, 0.57%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 28,266                                                                                                                                                  |
|                                                                                                                                                             | 238,162              |                        |   | CNH Equipment Trust 2013-A, 0.69%, 6/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 238,311                                                                                                                                                 |
|                                                                                                                                                             | 525,000              | 0.79                        |   | CNH Wholesale Master Note Trust, Floating Rate Note, 8/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 525,664                                                                                                                                                 |
|                                                                                                                                                             | 700,000              | 2.10                        |   | Colony American Homes 2014-1, Floating Rate Note, 5/19/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 701,441                                                                                                                                                 |
|                                                                                                                                                             | 600,000              | 2.09                        |   | Colony American Homes 2014-2, Floating Rate Note, 7/19/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 602,398                                                                                                                                                 |
|                                                                                                                                                             | 115,570              |                        |   | Conseco Finance Corp., 7.55%, 4/15/32 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 116,620                                                                                                                                                 |
|                                                                                                                                                             | 753,286              | 1.69                        |   | Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 4/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 739,405                                                                                                                                                 |
|                                                                                                                                                             | 636,940              |                        |   | Consumer Credit Origination Loan Trust 2015-1, 2.82%, 3/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 637,919                                                                                                                                                 |
|                                                                                                                                                             | 175,303              | 0.36                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 171,651                                                                                                                                                 |
|                                                                                                                                                             | 70,504               | 0.77                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 69,683                                                                                                                                                  |
|                                                                                                                                                             | 346,796              | 4.92                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 358,275                                                                                                                                                 |
|                                                                                                                                                             | 384,528              | 1.08                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 381,133                                                                                                                                                 |
|                                                                                                                                                             | 46,038               | 1.00                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 45,947                                                                                                                                                  |
|                                                                                                                                                             | 880,806              | 0.80                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 849,533                                                                                                                                                 |
|                                                                                                                                                             | 466,874              | 0.73                        |   | Countrywide Asset-Backed Certificates, Floating Rate Note, 9/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 443,962                                                                                                                                                 |
|                                                                                                                                                             | 310,210              |                        |   | CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 309,779                                                                                                                                                 |
|                                                                                                                                                             | 66,261               |                        |   | CPS Auto Receivables Trust 2013-B, 1.82%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 65,992                                                                                                                                                  |
|                                                                                                                                                             | 108,236              |                        |   | CPS Auto Receivables Trust 2014-A, 1.21%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 107,913                                                                                                                                                 |
|                                                                                                                                                             | 68,837               |                        |   | Credit Acceptance Auto Loan Trust 2012-2, 1.52%, 3/16/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 68,953                                                                                                                                                  |
|                                                                                                                                                             | 1,000,000            |                        |   | Credit Acceptance Auto Loan Trust 2013-2, 1.5%, 4/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,003,621                                                                                                                                               |
|                                                                                                                                                             | 1,000,000            |                        |   | Credit Acceptance Auto Loan Trust 2014-2, 2.67%, 9/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,004,807                                                                                                                                               |
|                                                                                                                                                             | 14,161               | 5.15                        |   | CWABS Asset-Backed Certificates Trust 2005-1, Floating Rate Note, 2/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 14,177                                                                                                                                                  |
|                                                                                                                                                             | 750,000              |                        |   | Dell Equipment Finance Trust 2014-1, 2.68%, 6/22/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 753,214                                                                                                                                                 |
|                                                                                                                                                             | 364,991              |                        |   | Diamond Resorts Owner Trust 2013-2, 2.62%, 5/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 367,505                                                                                                                                                 |
|                                                                                                                                                             | 6,438                |                        |   | Direct Capital Funding V LLC, 1.673%, 12/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 6,444                                                                                                                                                   |
|                                                                                                                                                             | 750,000              |                        |   | Direct Capital Funding V LLC, 4.83%, 11/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 762,024                                                                                                                                                 |
|                                                                                                                                                             | 600,000              | 0.36                        |   | Discover Card Execution Note Trust, Floating Rate Note, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 599,947                                                                                                                                                 |
|                                                                                                                                                             | 634,680              | 3.13                        |   | Drug Royalty II LP 2, Floating Rate Note, 7/15/23 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 643,557                                                                                                                                                 |
|                                                                                                                                                             | 415,079              | 1.08                        |   | Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 408,753                                                                                                                                                 |
|                                                                                                                                                             | 103,724              | 0.65                        |   | Encore Credit Receivables Trust 2005-3, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 103,615                                                                                                                                                 |
|                                                                                                                                                             | 320,322              | 0.92                        |   | Equity One Mortgage Pass-Through Trust 2003-1, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 315,567                                                                                                                                                 |
|                                                                                                                                                             | 460,229              | 4.14                        |   | Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 466,080                                                                                                                                                 |
|                                                                                                                                                             | 486,710              | 4.62                        |   | Equity One Mortgage Pass-Through Trust 2004-2, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 493,895                                                                                                                                                 |
|                                                                                                                                                             | 190,526              |                        |   | Exeter Automobile Receivables Trust 2014-2, 1.06%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 190,199                                                                                                                                                 |
|                                                                                                                                                             | 906,406              | 2.18                        |   | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 10/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 919,874                                                                                                                                                 |
|                                                                                                                                                             | 223,305              |                        |   | Federal Home Loan Banks, 2.9%, 4/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 230,019                                                                                                                                                 |
|                                                                                                                                                             | 182,029              | 0.48                        |   | FHLMC Structured Pass Through Securities, Floating Rate Note, 12/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 179,030                                                                                                                                                 |
|                                                                                                                                                             | 85,767               | 1.26                        |   | Fieldstone Mortgage Investment Trust Series 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 85,745                                                                                                                                                  |
|                                                                                                                                                             | 252,112              | 1.68                        |   | First Franklin Mortgage Loan Trust 2002-FFA, Floating Rate Note, 9/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 246,321                                                                                                                                                 |
|                                                                                                                                                             | 404,986              | 1.48                        |   | First Franklin Mortgage Loan Trust 2003-FFC, Floating Rate Note, 11/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 386,550                                                                                                                                                 |
|                                                                                                                                                             | 429,160              | 0.69                        |   | First Franklin Mortgage Loan Trust 2005-FFH3, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 426,878                                                                                                                                                 |
|                                                                                                                                                             | 24,125               |                        |   | First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 24,152                                                                                                                                                  |
|                                                                                                                                                             | 55,000               |                        |   | First Investors Auto Owner Trust 2013-1, 1.81%, 10/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 55,221                                                                                                                                                  |
|                                                                                                                                                             | 200,000              |                        |   | First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 200,089                                                                                                                                                 |
|                                                                                                                                                             | 370,516              |                        |   | First Investors Auto Owner Trust 2013-2, 1.23%, 3/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 370,901                                                                                                                                                 |
|                                                                                                                                                             | 300,000              |                        |   | First Investors Auto Owner Trust 2013-3, 2.32%, 10/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 302,824                                                                                                                                                 |
|                                                                                                                                                             | 453,985              | 0.58                        |   | First NLC Trust 2005-2, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 452,793                                                                                                                                                 |
|                                                                                                                                                             | 191,286              | 0.64                        |   | Flagstar Home Equity Loan Trust 2005-1, Floating Rate Note, 6/25/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 190,492                                                                                                                                                 |
|                                                                                                                                                             | 175,236              | 0.53                        |   | Foothill CLO, Ltd., Floating Rate Note, 2/22/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 174,378                                                                                                                                                 |
|                                                                                                                                                             | 100,000              |                        |   | Ford Credit Auto Owner Trust 2013-D, 1.54%, 3/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 100,193                                                                                                                                                 |
|                                                                                                                                                             | 35,886               |                        |   | Ford Credit Auto Owner Trust 2014-A, 0.48%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 35,885                                                                                                                                                  |
|                                                                                                                                                             | 48,915               | 0.52                        |   | Fore CLO, Ltd., Floating Rate Note, 7/20/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 48,835                                                                                                                                                  |
|                                                                                                                                                             | 553,000              | 2.13                        |   | Four Corners CLO II, Ltd., Floating Rate Note, 1/26/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 534,500                                                                                                                                                 |
|                                                                                                                                                             | 524,478              | 1.63                        |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 11/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 526,681                                                                                                                                                 |
|                                                                                                                                                             | 270,589              | 0.52                        |   | Gale Force 3 CLO, Ltd., Floating Rate Note, 4/19/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 268,052                                                                                                                                                 |
|                                                                                                                                                             | 300,000              |                        |   | GCAT 2015-1 LLC, 3.625%, 5/26/20 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 300,000                                                                                                                                                 |
|                                                                                                                                                             | 121,737              | 0.56                        |   | GE Business Loan Trust 2003-2 REMICS, Floating Rate Note, 11/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 121,737                                                                                                                                                 |
|                                                                                                                                                             | 666,502              | 0.37                        |   | GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 637,571                                                                                                                                                 |
|                                                                                                                                                             | 256,000              | 0.62                        |   | GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 256,014                                                                                                                                                 |
|                                                                                                                                                             | 645,527              |                        |   | GLC Trust 2013-1, 3.0%, 7/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 642,784                                                                                                                                                 |
|                                                                                                                                                             | 380,912              |                        |   | Global Container Assets 2013-1, Ltd., 2.2%, 11/6/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 380,486                                                                                                                                                 |
|                                                                                                                                                             | 957,748              |                        |   | GMAT 2013-1 Trust, 3.9669%, 8/25/53 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 958,718                                                                                                                                                 |
|                                                                                                                                                             | 300,000              | 0.88                        |   | Gracechurch Card Funding Plc, Floating Rate Note, 6/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 300,032                                                                                                                                                 |
|                                                                                                                                                             | 25,527               | 0.86                        |   | GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 25,495                                                                                                                                                  |
|                                                                                                                                                             | 16,886               | 0.43                        |   | GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 16,851                                                                                                                                                  |
|                                                                                                                                                             | 397,337              | 0.98                        |   | GSAA Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 394,051                                                                                                                                                 |
|                                                                                                                                                             | 308,701              | 0.61                        |   | GSAA Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 290,976                                                                                                                                                 |
|                                                                                                                                                             | 91,217               | 0.93                        |   | GSAMP Trust 2005-HE1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 89,403                                                                                                                                                  |
|                                                                                                                                                             | 339,499              | 0.48                        |   | GSAMP Trust 2006-SEA1, Floating Rate Note, 5/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 335,759                                                                                                                                                 |
|                                                                                                                                                             | 216,182              | 1.53                        |   | GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 208,298                                                                                                                                                 |
|                                                                                                                                                             | 158,567              | 0.48                        |   | GSRPM Mortgage Loan Trust 2006-1, Floating Rate Note, 3/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 155,622                                                                                                                                                 |
|                                                                                                                                                             | 156,403              | 0.48                        |   | GSRPM Mortgage Loan Trust 2006-2, Floating Rate Note, 9/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 148,540                                                                                                                                                 |
|                                                                                                                                                             | 286,453              | 0.58                        |   | Hertz Fleet Lease Funding LP, Floating Rate Note, 4/10/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 286,247                                                                                                                                                 |
|                                                                                                                                                             | 594,570              |                        |   | Hilton Grand Vacations Trust 2014-A, 2.07%, 11/25/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 586,593                                                                                                                                                 |
|                                                                                                                                                             | 1,706,000            |                        |   | HLSS Servicer Advance Receivables Trust, 1.4953%, 1/16/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,704,294                                                                                                                                               |
|                                                                                                                                                             | 250,000              |                        |   | HLSS Servicer Advance Receivables Trust, 1.7436%, 1/16/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 250,050                                                                                                                                                 |
|                                                                                                                                                             | 350,000              |                        |   | HLSS Servicer Advance Receivables Trust, 4.94%, 10/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 350,035                                                                                                                                                 |
|                                                                                                                                                             | 56,457               | 0.35                        |   | Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 55,444                                                                                                                                                  |
|                                                                                                                                                             | 313,356              | 0.29                        |   | Home Equity Asset Trust 2006-8, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 309,051                                                                                                                                                 |
|                                                                                                                                                             | 93,942               | 1.32                        |   | Home Equity Mortgage Trust 2005-2, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 93,632                                                                                                                                                  |
|                                                                                                                                                             | 239,855              |                        |   | Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 244,740                                                                                                                                                 |
|                                                                                                                                                             | 79,097               |                        |   | Home Loan Trust 2003-HI1, 5.77%, 4/25/28 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 81,230                                                                                                                                                  |
|                                                                                                                                                             | 126,314              | 0.60                        |   | HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 125,842                                                                                                                                                 |
|                                                                                                                                                             | 269,213              | 0.64                        |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 268,366                                                                                                                                                 |
|                                                                                                                                                             | 179,998              |                        |   | Honda Auto Receivables 2013-2 Owner Trust, 0.53%, 2/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 179,991                                                                                                                                                 |
|                                                                                                                                                             | 165,865              |                        |   | Horizon Funding Trust 2013-1, 3.0%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 166,668                                                                                                                                                 |
|                                                                                                                                                             | 1,287,212            | 0.42                        |   | HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,278,172                                                                                                                                               |
|                                                                                                                                                             | 125,101              | 0.37                        |   | HSI Asset Securitization Corp. Trust 2006-OPT1, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 122,663                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Hyundai Auto Receivables Trust 2014-B, 2.1%, 11/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,888                                                                                                                                                 |
|                                                                                                                                                             | 1,164,051            | 1.04                        |   | Impac Secured Assets CMN Owner Trust, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,150,386                                                                                                                                               |
|                                                                                                                                                             | 750,000              | 2.10                        |   | Invitation Homes 2013-SFR1 Trust, Floating Rate Note, 12/19/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 751,404                                                                                                                                                 |
|                                                                                                                                                             | 600,000              | 1.79                        |   | Invitation Homes 2014-SFR2 Trust, Floating Rate Note, 9/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 601,730                                                                                                                                                 |
|                                                                                                                                                             | 240,512              | 0.50                        |   | Inwood Park CDO, Ltd., Floating Rate Note, 1/20/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 239,326                                                                                                                                                 |
|                                                                                                                                                             | 81,771               |                        |   | Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 80,749                                                                                                                                                  |
|                                                                                                                                                             | 471,211              | 1.68                        |   | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 465,948                                                                                                                                                 |
|                                                                                                                                                             | 112,178              | 3.18                        |   | Irwin Whole Loan Home Equity Trust 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 112,161                                                                                                                                                 |
|                                                                                                                                                             | 179,566              | 4.68                        |   | Irwin Whole Loan Home Equity Trust 2003-D, Floating Rate Note, 11/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 178,456                                                                                                                                                 |
|                                                                                                                                                             | 868,070              | 0.65                        |   | Irwin Whole Loan Home Equity Trust 2005-B, Floating Rate Note, 12/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 851,497                                                                                                                                                 |
|                                                                                                                                                             | 34,654               | 0.86                        |   | IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 34,083                                                                                                                                                  |
|                                                                                                                                                             | 167,642              | 0.33                        |   | JP Morgan Mortgage Acquisition Trust 2006-ACC1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 166,295                                                                                                                                                 |
|                                                                                                                                                             | 375,000              | 1.72                        |   | KKR Financial CLO 2007-1, Ltd., Floating Rate Note, 5/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 371,036                                                                                                                                                 |
|                                                                                                                                                             | 98,343               |                        |   | Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 98,465                                                                                                                                                  |
|                                                                                                                                                             | 311,966              |                        |   | Leaf Receivables Funding 8 LLC, 2.67%, 9/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 313,598                                                                                                                                                 |
|                                                                                                                                                             | 779,362              | 0.64                        |   | Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 759,548                                                                                                                                                 |
|                                                                                                                                                             | 204,589              | 2.43                        |   | Madison Avenue Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 3/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 204,545                                                                                                                                                 |
|                                                                                                                                                             | 378,722              |                        |   | Marriott Vacation Club Owner Trust 2012-1, 3.5%, 5/20/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 389,143                                                                                                                                                 |
|                                                                                                                                                             | 38,655               | 0.86                        |   | Mastr Asset Backed Securities Trust 2005-WMC1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 38,576                                                                                                                                                  |
|                                                                                                                                                             | 560,568              | 0.41                        |   | Mastr Asset Backed Securities Trust 2006-AB1 REMICS, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 556,041                                                                                                                                                 |
|                                                                                                                                                             | 140,362              | 0.37                        |   | Mastr Asset Backed Securities Trust 2006-NC1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 138,568                                                                                                                                                 |
|                                                                                                                                                             | 274,560              | 0.48                        |   | Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 266,889                                                                                                                                                 |
|                                                                                                                                                             | 415,600              | 0.64                        |   | Morgan Stanley ABS Capital I Inc Trust 2004-SD3, Floating Rate Note, 6/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 415,733                                                                                                                                                 |
|                                                                                                                                                             | 102,772              | 0.92                        |   | Morgan Stanley ABS Capital I Inc Trust 2005-WMC5, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 102,445                                                                                                                                                 |
|                                                                                                                                                             | 358,906              | 0.81                        |   | Morgan Stanley ABS Capital I, Inc. Trust 2005-NC2, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 355,868                                                                                                                                                 |
|                                                                                                                                                             | 604,561              | 0.50                        |   | Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 592,412                                                                                                                                                 |
|                                                                                                                                                             | 15,533               | 0.68                        |   | Motor 2013-1 Plc, Floating Rate Note, 2/25/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 15,536                                                                                                                                                  |
|                                                                                                                                                             | 647,419              |                        |   | MVW Owner Trust 2014-1, 2.7%, 9/20/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 644,283                                                                                                                                                 |
|                                                                                                                                                             | 474,507              |                        |   | Nations Equipment Finance Funding II LLC, 3.276%, 1/22/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 478,624                                                                                                                                                 |
|                                                                                                                                                             | 650,000              |                        |   | Navitas Equipment Receivables LLC 2013-1, 3.63%, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 651,716                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Navitas Equipment Receivables LLC 2015-1, 3.4%, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 500,892                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 1.68                        |   | NCF Dealer Floorplan Master Trust, Floating Rate Note, 10/20/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 749,999                                                                                                                                                 |
|                                                                                                                                                             | 334,713              | 0.88                        |   | New Century Home Equity Loan Trust 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 331,954                                                                                                                                                 |
|                                                                                                                                                             | 13,280               | 0.45                        |   | Nissan Auto Lease Trust 2013-B, Floating Rate Note, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 13,280                                                                                                                                                  |
|                                                                                                                                                             | 560,000              | 1.76                        |   | NovaStar Mortgage Funding Trust Series 2004-3, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 531,985                                                                                                                                                 |
|                                                                                                                                                             | 1,457,000            | 1.83                        |   | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,432,480                                                                                                                                               |
|                                                                                                                                                             | 77,437               | 1.26                        |   | NovaStar Mortgage Funding Trust Series 2004-4, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 77,459                                                                                                                                                  |
|                                                                                                                                                             | 289,212              |                        |   | Oak Hill Advisors Residential Loan Trust 2014-NPL1, 2.8828%, 5/25/54 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 289,791                                                                                                                                                 |
|                                                                                                                                                             | 393,428              | 0.44                        |   | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 388,701                                                                                                                                                 |
|                                                                                                                                                             | 189,545              | 1.31                        |   | Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 3/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 187,584                                                                                                                                                 |
|                                                                                                                                                             | 241,537              |                        |   | Orange Lake Timeshare Trust 2012-A, 4.87%, 3/10/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 251,222                                                                                                                                                 |
|                                                                                                                                                             | 221,077              | 5.91                        |   | Origen Manufactured Housing Contract Trust 2004-A, Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 232,313                                                                                                                                                 |
|                                                                                                                                                             | 345,240              | 5.46                        |   | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 351,898                                                                                                                                                 |
|                                                                                                                                                             | 212,676              | 5.41                        |   | Origen Manufactured Housing Contract Trust 2005-A, Floating Rate Note, 6/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 221,421                                                                                                                                                 |
|                                                                                                                                                             | 642,012              |                        |   | Oscar US Funding Trust 2014-1, 1.0%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 641,418                                                                                                                                                 |
|                                                                                                                                                             | 720,532              | 1.31                        |   | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2004-MHQ, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 721,830                                                                                                                                                 |
|                                                                                                                                                             | 459,097              | 0.55                        |   | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WHQ4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 456,134   |
|                                                                                                                                                             | 4,178                | 0.93                        |   | People's Choice Home Loan Securities Trust Series 2005-3, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 4,175                                                                                                                                                   |
|                                                                                                                                                             | 800,000              | 0.74                        |   | PFS Financing Corp., Floating Rate Note, 2/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 799,698                                                                                                                                                 |
|                                                                                                                                                             | 430,000              | 0.79                        |   | PFS Financing Corp., Floating Rate Note, 2/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 429,014                                                                                                                                                 |
|                                                                                                                                                             | 259,524              |                        |   | PFS Tax Lien Trust 2014-1, 1.44%, 5/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 260,335                                                                                                                                                 |
|                                                                                                                                                             | 516,009              |                        |   | Popular ABS Mortgage Pass-Through Trust 2004-4, 4.76929%, 9/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 492,311                                                                                                                                                 |
|                                                                                                                                                             | 161,695              | 4.66                        |   | Popular ABS Mortgage Pass-Through Trust 2004-5, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 161,495                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Progreso Receivables Funding I LLC, 4.0%, 7/9/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,001,250                                                                                                                                               |
|                                                                                                                                                             | 1,370,000            |                        |   | Progreso Receivables Funding II LLC, 3.5%, 7/8/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,370,856                                                                                                                                               |
|                                                                                                                                                             | 1,000,000            | 2.44                        |   | Progress Residential 2014-SFR1 Trust, Floating Rate Note, 10/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,006,214                                                                                                                                               |
|                                                                                                                                                             | 883,461              | 0.84                        |   | Quest Trust REMICS, Floating Rate Note, 3/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 861,058                                                                                                                                                 |
|                                                                                                                                                             | 267,630              | 1.13                        |   | RAAC Series 2005-RP1 Trust, Floating Rate Note, 7/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 264,292                                                                                                                                                 |
|                                                                                                                                                             | 67,827               | 0.83                        |   | RAAC Series 2005-RP2 Trust, Floating Rate Note, 6/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 67,859                                                                                                                                                  |
|                                                                                                                                                             | 337,687              | 0.43                        |   | RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 333,171                                                                                                                                                 |
|                                                                                                                                                             | 307,944              | 5.06                        |   | RAMP Series 2003-RS9 Trust, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 303,097                                                                                                                                                 |
|                                                                                                                                                             | 262,345              | 1.11                        |   | RAMP Series 2004-RS11 Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 258,455                                                                                                                                                 |
|                                                                                                                                                             | 108,333              | 0.68                        |   | RAMP Series 2005-RS6 Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 107,388                                                                                                                                                 |
|                                                                                                                                                             | 119,653              | 2.43                        |   | RFSC Series 2004-RP1 Trust, Floating Rate Note, 11/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 118,388                                                                                                                                                 |
|                                                                                                                                                             | 125,000              |                        |   | Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 126,586                                                                                                                                                 |
|                                                                                                                                                             | 327,735              | 0.73                        |   | SASCO Mortgage Loan Trust 2005-GEL1, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 319,683                                                                                                                                                 |
|                                                                                                                                                             | 105,443              | 0.74                        |   | SASCO Mortgage Loan Trust 2005-GEL2, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 104,488                                                                                                                                                 |
|                                                                                                                                                             | 39,918               | 2.66                        |   | SASCO Mortgage Pass-Through Certificates Series 2004-S4, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 39,910                                                                                                                                                  |
|                                                                                                                                                             | 410,586              | 0.64                        |   | Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 402,753                                                                                                                                                 |
|                                                                                                                                                             | 359,930              | 0.41                        |   | Saxon Asset Securities Trust 2005-4, Floating Rate Note, 11/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 357,819                                                                                                                                                 |
|                                                                                                                                                             | 337,048              |                        |   | Sierra Timeshare 2012-2 Receivables Funding LLC, 2.38%, 3/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 340,383                                                                                                                                                 |
|                                                                                                                                                             | 381,925              |                        |   | Sierra Timeshare 2012-3 Receivables Funding LLC, 1.87%, 8/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 383,194                                                                                                                                                 |
|                                                                                                                                                             | 47,651               |                        |   | Sierra Timeshare 2013-1 Receivables Funding LLC, 2.39%, 11/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 47,679                                                                                                                                                  |
|                                                                                                                                                             | 94,243               |                        |   | Sierra Timeshare 2013-2 Receivables Funding LLC, 2.92%, 11/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 94,840                                                                                                                                                  |
|                                                                                                                                                             | 314,143              |                        |   | Sierra Timeshare 2013-2 Receivables Funding LLC, 4.75%, 11/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 321,765                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 2.24                        |   | Silver Bay Realty 2014-1 Trust, Floating Rate Note, 9/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 754,610                                                                                                                                                 |
|                                                                                                                                                             | 290,130              | 0.62                        |   | SMART ABS Series 2013-2US Trust, Floating Rate Note, 1/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 290,061                                                                                                                                                 |
|                                                                                                                                                             | 259,985              | 0.49                        |   | SMART ABS Series 2014-1US Trust, Floating Rate Note, 7/14/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 259,989                                                                                                                                                 |
|                                                                                                                                                             | 94,306               |                        |   | SNAAC Auto Receivables Trust, 4.38%, 6/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 94,452                                                                                                                                                  |
|                                                                                                                                                             | 33,059               | 0.96                        |   | Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 32,919                                                                                                                                                  |
|                                                                                                                                                             | 196,707              | 0.44                        |   | Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 193,164                                                                                                                                                 |
|                                                                                                                                                             | 790,207              | 0.48                        |   | Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 765,536                                                                                                                                                 |
|                                                                                                                                                             | 814,972              |                        |   | SpringCastle America Funding LLC, 2.7%, 5/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 818,744                                                                                                                                                 |
|                                                                                                                                                             | 803,792              |                        |   | Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 806,091                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Springleaf Funding Trust 2014-A, 2.41%, 12/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,001,385                                                                                                                                               |
|                                                                                                                                                             | 131,945              |                        |   | Stanwich Mortgage Loan Trust, 2.9814%, 2/16/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 131,863                                                                                                                                                 |
|                                                                                                                                                             | 330,618              |                        |   | STORE Master Funding LLC, 5.77%, 8/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 356,959                                                                                                                                                 |
|                                                                                                                                                             | 559,742              | 0.90                        |   | Structured Asset Investment Loan Trust 2005-6, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 558,816                                                                                                                                                 |
|                                                                                                                                                             | 6,871                | 0.54                        |   | Structured Asset Securities Corp. Mortgage Loan Trust 2005-WF4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 6,867                                                                                                                                                   |
|                                                                                                                                                             | 711,517              |                        |   | Sunset Mortgage Loan Co 2014-NPL2 LLC, 3.721%, 11/16/44 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 714,753                                                                                                                                                 |
|                                                                                                                                                             | 720,213              |                        |   | SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 713,453                                                                                                                                                 |
|                                                                                                                                                             | 693,910              | 1.49                        |   | SWAY Residential 2014-1 Trust, Floating Rate Note, 1/20/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 695,453                                                                                                                                                 |
|                                                                                                                                                             | 297,903              |                        |   | TAL Advantage V LLC, 1.7%, 5/20/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 296,020                                                                                                                                                 |
|                                                                                                                                                             | 163,213              | 1.12                        |   | Terwin Mortgage Trust Series TMTS 2003-8HE, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 158,774                                                                                                                                                 |
|                                                                                                                                                             | 126,606              | 0.63                        |   | Terwin Mortgage Trust Series TMTS 2005-10HE, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 126,234                                                                                                                                                 |
|                                                                                                                                                             | 116,874              |                        |   | Terwin Mortgage Trust Series TMTS 2005-14HE, 4.8492%, 8/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 120,169                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 1.43                        |   | Trade MAPS 1, Ltd., Floating Rate Note, 12/10/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 250,160                                                                                                                                                 |
|                                                                                                                                                             | 400,000              | 1.14                        |   | Trafigura Securitisation Finance Plc. 2014-1, Floating Rate Note, 4/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 400,162                                                                                                                                                 |
|                                                                                                                                                             | 700,000              |                        |   | United Auto Credit Securitization Trust 2014-1, 2.38%, 10/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 697,714                                                                                                                                                 |
|                                                                                                                                                             | 517,663              |                        |   | VOLT XIX LLC, 3.875%, 4/26/55 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 519,709                                                                                                                                                 |
|                                                                                                                                                             | 691,273              |                        |   | VOLT XXXIII LLC, 3.5%, 3/25/55 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 692,259                                                                                                                                                 |
|                                                                                                                                                             | 78,198               | 0.92                        |   | Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 77,688                                                                                                                                                  |
|                                                                                                                                                             | 47,641               | 0.56                        |   | Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 47,123                                                                                                                                                  |
|                                                                                                                                                             | 654,698              |                        |   | Westgate Resorts 2012-A LLC, 2.25%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 656,008                                                                                                                                                 |
|                                                                                                                                                             | 177,076              |                        |   | Westgate Resorts 2012-A LLC, 3.75%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 178,102                                                                                                                                                 |
|                                                                                                                                                             | 74,482               |                        |   | Westgate Resorts LLC, 2.5%, 3/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 74,679                                                                                                                                                  |
|                                                                                                                                                             | 449,823              |                        |   | Westgate Resorts LLC, 9.5%, 2/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 454,941                                                                                                                                                 |
|                                                                                                                                                             | 27,551               |                        |   | Westlake Automobile Receivables Trust 2013-1, 1.12%, 1/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 27,560                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   | TOTAL ASSET BACKED SECURITIES                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $95,978,462)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 96,222,141                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | COLLATERALIZED MORTGAGE OBLIGATIONS - 36.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 143,376              |                        |   | A10 Securitization 2013-1 LLC, 2.4%, 11/17/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 143,790                                                                                                                                                 |
|                                                                                                                                                             | 846,135              |                        |   | A10 Term Asset Financing 2013-2 LLC, 2.62%, 11/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 851,221                                                                                                                                                 |
|                                                                                                                                                             | 700,000              | 1.63                        |   | ACRE Commercial Mortgage Trust 2014-FL2, Floating Rate Note, 8/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 698,675                                                                                                                                                 |
|                                                                                                                                                             | 273,405              | 0.46                        |   | Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 255,960                                                                                                                                                 |
|                                                                                                                                                             | 115,991              | 0.63                        |   | Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 110,832                                                                                                                                                 |
|                                                                                                                                                             | 153,164              |                        |   | Alternative Loan Trust 2003-J1, 4.75%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 156,138                                                                                                                                                 |
|                                                                                                                                                             | 83,718               |                        |   | Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 84,545                                                                                                                                                  |
|                                                                                                                                                             | 318,708              | 0.76                        |   | Alternative Loan Trust 2004-6CB, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 308,694                                                                                                                                                 |
|                                                                                                                                                             | 24,998               |                        |   | American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 24,967                                                                                                                                                  |
|                                                                                                                                                             | 669,802              | 0.43                        |   | ASG Resecuritization Trust 2010-3, Floating Rate Note, 12/29/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 644,989                                                                                                                                                 |
|                                                                                                                                                             | 800,000              | 2.39                        |   | BAMLL Commercial Mortgage Securities Trust 2014-FL1, Floating Rate Note, 12/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 802,198                                                                                                                                                 |
|                                                                                                                                                             | 580,000              | 1.29                        |   | BAMLL Commercial Mortgage Securities Trust 2014-ICTS, Floating Rate Note, 6/15/28 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 579,324                                                                                                                                                 |
|                                                                                                                                                             | 930,000              | 2.79                        |   | BAMLL Commercial Mortgage Securities Trust 2014-INLD REMICS, Floating Rate Note, 12/17/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 935,759                                                                                                                                                 |
|                                                                                                                                                             | 87,597               | 0.63                        |   | Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 87,002                                                                                                                                                  |
|                                                                                                                                                             | 1,412,321            | 5.37                        |   | Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,425,854                                                                                                                                               |
|                                                                                                                                                             | 1,000,000            | 5.46                        |   | Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,020,503                                                                                                                                               |
|                                                                                                                                                             | 1,750,000            | 5.42                        |   | Banc of America Commercial Mortgage Trust 2006-1, Floating Rate Note, 9/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,779,360                                                                                                                                               |
|                                                                                                                                                             | 1,711,437            |                        |   | Banc of America Commercial Mortgage Trust 2006-4 REMICS, 5.634%, 7/10/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,763,694                                                                                                                                               |
|                                                                                                                                                             | 98,520               |                        |   | Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 102,140                                                                                                                                                 |
|                                                                                                                                                             | 425,514              | 0.54                        |   | Banc of America Funding 2004-B Trust, Floating Rate Note, 12/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 415,784                                                                                                                                                 |
|                                                                                                                                                             | 276,757              |                        |   | Banc of America Merrill Lynch Commercial Mortgage, Inc., 4.933%, 7/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 277,056                                                                                                                                                 |
|                                                                                                                                                             | 762,929              | 5.12                        |   | Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 10/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 765,032                                                                                                                                                 |
|                                                                                                                                                             | 1,391,642            | 5.16                        |   | Banc of America Merrill Lynch Commercial Mortgage, Inc., Floating Rate Note, 9/10/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,401,323                                                                                                                                               |
|                                                                                                                                                             | 257,391              | 2.62                        |   | Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 258,823                                                                                                                                                 |
|                                                                                                                                                             | 1,038,029            | 2.72                        |   | Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,024,978                                                                                                                                               |
|                                                                                                                                                             | 484,390              | 2.68                        |   | Banc of America Mortgage 2004-D Trust, Floating Rate Note, 5/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 485,466                                                                                                                                                 |
|                                                                                                                                                             | 10,753               |                        |   | Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 10,627                                                                                                                                                  |
|                                                                                                                                                             | 373,704              | 0.72                        |   | Bayview Commercial Asset Trust 2004-1, Floating Rate Note, 4/25/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 356,221                                                                                                                                                 |
|                                                                                                                                                             | 698,410              | 0.55                        |   | Bayview Commercial Asset Trust 2004-3, Floating Rate Note, 1/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 644,451                                                                                                                                                 |
|                                                                                                                                                             | 1,865,532            |                        |   | Bayview Commercial Asset Trust 2007-2, 7/27/37 (Step) (144A) ©                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                          - |
|                                                                                                                                                             | 1,332,725            |                        |   | Bayview Commercial Asset Trust 2007-4, 3.491129%, 9/25/37 (Step) (144A) (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 49,044                                                                                                                                                  |
|                                                                                                                                                             | 180,000              | 1.79                        |   | BBCMS Trust 2014-BXO REMICS, Floating Rate Note, 8/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 179,622                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 2.19                        |   | BBCMS Trust 2015-SLP, Floating Rate Note, 2/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 750,536                                                                                                                                                 |
|                                                                                                                                                             | 572,777              | 2.77                        |   | BCAP LLC 2009-RR13-I Trust, Floating Rate Note, 9/26/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 586,241                                                                                                                                                 |
|                                                                                                                                                             | 344,929              | 0.00                        |   | BCAP LLC 2013-RR3 Trust, Floating Rate Note, 5/28/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 348,234                                                                                                                                                 |
|                                                                                                                                                             | 299,799              | 2.96                        |   | BCAP LLC 2013-RR7 Trust, Floating Rate Note, 12/27/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 309,894                                                                                                                                                 |
|                                                                                                                                                             | 350,497              | 1.02                        |   | Bear Stearns ALT-A Trust 2004-11, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 343,069                                                                                                                                                 |
|                                                                                                                                                             | 1,017,568            | 0.88                        |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 987,869                                                                                                                                                 |
|                                                                                                                                                             | 362,391              | 1.02                        |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 342,595                                                                                                                                                 |
|                                                                                                                                                             | 991,890              | 1.02                        |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 942,059                                                                                                                                                 |
|                                                                                                                                                             | 582,441              | 0.88                        |   | Bear Stearns ALT-A Trust 2004-12, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 563,135                                                                                                                                                 |
|                                                                                                                                                             | 119,404              | 0.92                        |   | Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 118,479                                                                                                                                                 |
|                                                                                                                                                             | 824,776              | 0.78                        |   | Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 789,594                                                                                                                                                 |
|                                                                                                                                                             | 251,111              | 2.59                        |   | Bear Stearns ARM Trust 2003-3, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 251,860                                                                                                                                                 |
|                                                                                                                                                             | 87,819               | 2.74                        |   | Bear Stearns ARM Trust 2004-10 REMICS, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 85,741                                                                                                                                                  |
|                                                                                                                                                             | 83,022               | 2.84                        |   | Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 80,704                                                                                                                                                  |
|                                                                                                                                                             | 915,216              | 5.40                        |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR10, Floating Rate Note, 12/11/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 922,278                                                                                                                                                 |
|                                                                                                                                                             | 550,000              | 5.21                        |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 550,016                                                                                                                                                 |
|                                                                                                                                                             | 415,000              |                        |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR8, 4.75%, 6/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 414,912                                                                                                                                                 |
|                                                                                                                                                             | 1,053,755            |                        |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, 4.871%, 9/11/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,054,625                                                                                                                                               |
|                                                                                                                                                             | 1,160,000            | 4.99                        |   | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR9, Floating Rate Note, 9/11/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,170,648                                                                                                                                               |
|                                                                                                                                                             | 1,370,672            | 5.14                        |   | Bear Stearns Commercial Mortgage Securities Trust 2005-TOP20, Floating Rate Note, 10/12/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,375,603                                                                                                                                               |
|                                                                                                                                                             | 172,069              |                        |   | Bear Stearns Commercial Mortgage Securities Trust 2006-PWR14, 5.171%, 12/11/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 174,239                                                                                                                                                 |
|                                                                                                                                                             | 1,001,993            | 5.57                        |   | Bear Stearns Commercial Mortgage Securities Trust 2006-TOP22, Floating Rate Note, 4/12/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,022,302                                                                                                                                               |
|                                                                                                                                                             | 103,555              | 2.65                        |   | Bear Stearns Mortgage Securities, Inc., Floating Rate Note, 6/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 105,613                                                                                                                                                 |
|                                                                                                                                                             | 323,535              | 0.88                        |   | Bella Vista Mortgage Trust 2004-1, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 287,691                                                                                                                                                 |
|                                                                                                                                                             | 1,610,000            | 1.54                        |   | BLCP Hotel Trust, Floating Rate Note, 8/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,592,183                                                                                                                                               |
|                                                                                                                                                             | 430,000              | 1.94                        |   | Boca Hotel Portfolio Trust 2013-BOCA, Floating Rate Note, 8/17/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 430,000                                                                                                                                                 |
|                                                                                                                                                             | 293,974              | 0.52                        |   | Castle Garden Funding, Floating Rate Note, 10/27/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 293,729                                                                                                                                                 |
|                                                                                                                                                             | 614,325              | 5.23                        |   | CD 2005-CD1 Commercial Mortgage Trust, Floating Rate Note, 7/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 616,291                                                                                                                                                 |
|                                                                                                                                                             | 1,974,266            | 5.30                        |   | CD 2006-CD2 Mortgage Trust, Floating Rate Note, 1/15/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,992,820                                                                                                                                               |
|                                                                                                                                                             | 1,340,000            | 2.69                        |   | CDGJ Commercial Mortgage Trust 2014-BXCH, Floating Rate Note, 12/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,342,793                                                                                                                                               |
|                                                                                                                                                             | 361,703              |                        |   | Cendant Mortgage Corp., 6.25%, 3/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 377,072                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Cent CLO 16 LP, 2.52%, 8/1/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,002,247                                                                                                                                               |
|                                                                                                                                                             | 310,000              | 1.39                        |   | CGBAM Commercial Mortgage Trust 2014-HD, Floating Rate Note, 2/18/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 309,484                                                                                                                                                 |
|                                                                                                                                                             | 1,630,000            | 1.14                        |   | CG-CCRE Commercial Mortgage Trust 2014-FL1, Floating Rate Note, 6/16/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,627,581                                                                                                                                               |
|                                                                                                                                                             | 1,720,000            | 2.09                        |   | CGWF Commercial Mortgage Trust 2013-RKWH REMICS, Floating Rate Note, 11/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,721,522                                                                                                                                               |
|                                                                                                                                                             | 45,867               |                        |   | Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 46,392                                                                                                                                                  |
|                                                                                                                                                             | 180,968              | 2.38                        |   | CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 177,662                                                                                                                                                 |
|                                                                                                                                                             | 102,934              |                        |   | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-4, 5.0%, 7/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 106,953                                                                                                                                                 |
|                                                                                                                                                             | 366,215              |                        |   | Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust Series 2005-7, 5.0%, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 374,272                                                                                                                                                 |
|                                                                                                                                                             | 1,250,000            | 2.29                        |   | Citigroup Commercial Mortgage Trust 2015-SSHP REMICS, Floating Rate Note, 9/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,249,201                                                                                                                                               |
|                                                                                                                                                             | 640,575              |                        |   | Citigroup Mortgage Loan Trust 2010-4 REMICS, 5.0%, 10/25/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 667,765                                                                                                                                                 |
|                                                                                                                                                             | 200,523              | 1.18                        |   | Citigroup Mortgage Loan Trust 2010-7 REMICS, Floating Rate Note, 9/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 200,435                                                                                                                                                 |
|                                                                                                                                                             | 62,765               |                        |   | Citigroup Mortgage Loan Trust, Inc., 7.0%, 11/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 64,488                                                                                                                                                  |
|                                                                                                                                                             | 83,684               | 5.50                        |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 10/25/35 (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 8,297                                                                                                                                                   |
|                                                                                                                                                             | 193,504              | 2.62                        |   | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 3/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 151,465                                                                                                                                                 |
|                                                                                                                                                             | 284,743              | 0.79                        |   | CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 274,065                                                                                                                                                 |
|                                                                                                                                                             | 407,496              | 0.69                        |   | CNL Commercial Mortgage Loan Trust 2003-1, Floating Rate Note, 5/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 370,853                                                                                                                                                 |
|                                                                                                                                                             | 89,818               | 0.63                        |   | CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 77,947                                                                                                                                                  |
|                                                                                                                                                             | 35,903               | 1.12                        |   | Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 36,116                                                                                                                                                  |
|                                                                                                                                                             | 263,221              | 5.12                        |   | COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 263,485                                                                                                                                                 |
|                                                                                                                                                             | 1,880,000            | 5.17                        |   | COMM 2005-C6 Mortgage Trust, Floating Rate Note, 6/10/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,884,764                                                                                                                                               |
|                                                                                                                                                             | 792,195              | 1.70                        |   | COMM 2013-FL3 Mortgage Trust, Floating Rate Note, 10/13/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 792,529                                                                                                                                                 |
|                                                                                                                                                             | 1,370,000            | 2.34                        |   | COMM 2014-FL5 Mortgage Trust, Floating Rate Note, 10/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,365,668                                                                                                                                               |
|                                                                                                                                                             | 1,630,000            | 1.83                        |   | COMM 2014-KYO Mortgage Trust, Floating Rate Note, 6/11/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,627,294                                                                                                                                               |
|                                                                                                                                                             | 820,000              | 1.78                        |   | COMM 2014-PAT Mortgage Trust, Floating Rate Note, 8/13/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 816,652                                                                                                                                                 |
|                                                                                                                                                             | 1,110,000            | 1.94                        |   | COMM 2014-SAVA Mortgage Trust, Floating Rate Note, 6/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,107,948                                                                                                                                               |
|                                                                                                                                                             | 1,850,000            | 1.79                        |   | COMM 2014-TWC Mortgage Trust, Floating Rate Note, 2/13/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,850,614                                                                                                                                               |
|                                                                                                                                                             | 206,139              | 2.13                        |   | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 206,073                                                                                                                                                 |
|                                                                                                                                                             | 850,000              | 1.79                        |   | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/19/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 849,726                                                                                                                                                 |
|                                                                                                                                                             | 128,008              | 4.89                        |   | Commercial Mortgage Trust 2005-GG3, Floating Rate Note, 8/10/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 128,335                                                                                                                                                 |
|                                                                                                                                                             | 2,075,000            | 5.28                        |   | Commercial Mortgage Trust 2005-GG5, Floating Rate Note, 4/10/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 2,095,843                                                                                                                                               |
|                                                                                                                                                             | 1,838,035            | 5.67                        |   | Credit Suisse Commercial Mortgage Trust Series 2006-C2 REMICS, Floating Rate Note, 3/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,870,481                                                                                                                                               |
|                                                                                                                                                             | 877,328              |                        |   | Credit Suisse Commercial Mortgage Trust Series 2007-C1, 5.361%, 2/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 919,711                                                                                                                                                 |
|                                                                                                                                                             | 390,942              |                        |   | Credit Suisse First Boston Mortgage Securities Corp., 4.877%, 4/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 391,405                                                                                                                                                 |
|                                                                                                                                                             | 38,864               |                        |   | Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 39,509                                                                                                                                                  |
|                                                                                                                                                             | 37,034               |                        |   | Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 37,538                                                                                                                                                  |
|                                                                                                                                                             | 271,629              |                        |   | Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 290,456                                                                                                                                                 |
|                                                                                                                                                             | 1,631,927            | 5.23                        |   | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/17/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,639,998                                                                                                                                               |
|                                                                                                                                                             | 194,912              | 5.10                        |   | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 194,663                                                                                                                                                 |
|                                                                                                                                                             | 395,906              | 0.45                        |   | Credit Suisse First Boston Mortgage Securities, 05-6, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 384,933                                                                                                                                                 |
|                                                                                                                                                             | 471,880              | 2.75                        |   | Credit Suisse Mortgage Capital Certificates REMICS, Floating Rate Note, 7/27/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 478,802                                                                                                                                                 |
|                                                                                                                                                             | 400,000              | 2.44                        |   | Credit Suisse Mortgage Capital Certificates, Floating Rate Note, 3/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 400,007                                                                                                                                                 |
|                                                                                                                                                             | 1,950,000            | 1.39                        |   | CSMC Series 2014-ICE, Floating Rate Note, 4/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,942,627                                                                                                                                               |
|                                                                                                                                                             | 700,000              | 0.00                        |   | CSMC Trust 2014-SURF, Floating Rate Note, 2/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 698,240                                                                                                                                                 |
|                                                                                                                                                             | 300,000              | 1.49                        |   | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 299,669                                                                                                                                                 |
|                                                                                                                                                             | 399,000              | 2.14                        |   | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 398,564                                                                                                                                                 |
|                                                                                                                                                             | 540,000              | 1.78                        |   | EQTY 2014-INNS Mortgage Trust REMICS, Floating Rate Note, 5/8/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 535,321                                                                                                                                                 |
|                                                                                                                                                             | 1,020,000            | 1.38                        |   | EQTY 2014-INNS Mortgage Trust, Floating Rate Note, 5/8/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,009,389                                                                                                                                               |
|                                                                                                                                                             | 723,000              |                        |   | Extended Stay America Trust 2013-ESH, 1.2783%, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 718,517                                                                                                                                                 |
|                                                                                                                                                             | 200,000              | 0.88                        |   | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 199,264                                                                                                                                                 |
|                                                                                                                                                             | 200,000              | 1.28                        |   | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 199,567                                                                                                                                                 |
|                                                                                                                                                             | 838,371              | 1.13                        |   | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 5/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 834,315                                                                                                                                                 |
|                                                                                                                                                             | 1,241,598            | 1.38                        |   | Fannie Mae Connecticut Avenue Securities, Floating Rate Note, 7/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,240,629                                                                                                                                               |
|                                                                                                                                                             | 224,285              | 2.26                        |   | Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 232,217                                                                                                                                                 |
|                                                                                                                                                             | 662,825              | 0.44                        |   | Fannie Mae Whole Loan, Floating Rate Note, 11/25/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 663,931                                                                                                                                                 |
|                                                                                                                                                             | 665,758              |                        |   | FDIC 2010-R1 Trust, 2.184%, 5/25/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 671,129                                                                                                                                                 |
|                                                                                                                                                             | 70,495               |                        |   | Federal Home Loan Mortgage Corp. REMICS, 3.5%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 72,725                                                                                                                                                  |
|                                                                                                                                                             | 81,349               |                        |   | Federal Home Loan Mortgage Corp. REMICS, 3.5%, 6/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 82,252                                                                                                                                                  |
|                                                                                                                                                             | 28,808               |                        |   | Federal Home Loan Mortgage Corp. REMICS, 5.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 29,029                                                                                                                                                  |
|                                                                                                                                                             | 69,467               | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 69,891                                                                                                                                                  |
|                                                                                                                                                             | 917,951              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 1/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 921,162                                                                                                                                                 |
|                                                                                                                                                             | 127,542              | 0.38                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 127,794                                                                                                                                                 |
|                                                                                                                                                             | 248,824              | 0.76                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 251,821                                                                                                                                                 |
|                                                                                                                                                             | 200,560              | 0.53                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 201,395                                                                                                                                                 |
|                                                                                                                                                             | 91,051               | 0.53                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 91,501                                                                                                                                                  |
|                                                                                                                                                             | 477,568              | 0.56                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 11/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 480,603                                                                                                                                                 |
|                                                                                                                                                             | 132,105              | 0.58                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 132,722                                                                                                                                                 |
|                                                                                                                                                             | 197,733              | 0.58                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 198,756                                                                                                                                                 |
|                                                                                                                                                             | 326,890              | 0.50                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 327,861                                                                                                                                                 |
|                                                                                                                                                             | 237,940              | 0.89                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 12/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 242,251                                                                                                                                                 |
|                                                                                                                                                             | 237,918              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 237,939                                                                                                                                                 |
|                                                                                                                                                             | 218,520              | 1.18                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 224,718                                                                                                                                                 |
|                                                                                                                                                             | 257,023              | 0.58                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 259,652                                                                                                                                                 |
|                                                                                                                                                             | 186,100              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 186,489                                                                                                                                                 |
|                                                                                                                                                             | 140,107              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 140,224                                                                                                                                                 |
|                                                                                                                                                             | 133,568              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 133,916                                                                                                                                                 |
|                                                                                                                                                             | 314,910              | 0.68                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 317,503                                                                                                                                                 |
|                                                                                                                                                             | 184,262              | 0.73                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 2/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 187,067                                                                                                                                                 |
|                                                                                                                                                             | 158,956              | 1.18                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 163,240                                                                                                                                                 |
|                                                                                                                                                             | 277,775              | 1.18                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 286,647                                                                                                                                                 |
|                                                                                                                                                             | 692,171              | 0.58                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 695,784                                                                                                                                                 |
|                                                                                                                                                             | 627,354              | 0.58                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 3/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 630,365                                                                                                                                                 |
|                                                                                                                                                             | 222,618              | 0.73                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 225,708                                                                                                                                                 |
|                                                                                                                                                             | 224,946              | 0.68                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 228,014                                                                                                                                                 |
|                                                                                                                                                             | 129,048              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 129,537                                                                                                                                                 |
|                                                                                                                                                             | 426,117              | 0.60                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 428,922                                                                                                                                                 |
|                                                                                                                                                             | 134,789              | 0.59                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 135,593                                                                                                                                                 |
|                                                                                                                                                             | 149,648              | 0.37                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 149,784                                                                                                                                                 |
|                                                                                                                                                             | 98,710               | 0.58                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 99,329                                                                                                                                                  |
|                                                                                                                                                             | 111,826              | 0.61                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 112,468                                                                                                                                                 |
|                                                                                                                                                             | 284,024              | 0.61                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 6/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 285,263                                                                                                                                                 |
|                                                                                                                                                             | 160,592              | 0.59                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 161,285                                                                                                                                                 |
|                                                                                                                                                             | 212,187              | 0.68                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 7/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 214,054                                                                                                                                                 |
|                                                                                                                                                             | 89,016               | 0.78                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 89,642                                                                                                                                                  |
|                                                                                                                                                             | 269,037              | 0.43                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 269,328                                                                                                                                                 |
|                                                                                                                                                             | 119,517              | 0.38                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 120,065                                                                                                                                                 |
|                                                                                                                                                             | 84,759               | 0.44                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 85,118                                                                                                                                                  |
|                                                                                                                                                             | 228,064              | 0.43                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 228,298                                                                                                                                                 |
|                                                                                                                                                             | 208,202              | 0.48                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/26                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 208,626                                                                                                                                                 |
|                                                                                                                                                             | 153,865              | 0.63                        |   | Federal Home Loan Mortgage Corp. REMICS, Floating Rate Note, 9/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 154,276                                                                                                                                                 |
|                                                                                                                                                             | 398,718              |                        |   | Federal Home Loan Mortgage Corp., 2.75%, 11/15/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 410,584                                                                                                                                                 |
|                                                                                                                                                             | 396,400              |                        |   | Federal Home Loan Mortgage Corp., 3.0%, 1/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 411,567                                                                                                                                                 |
|                                                                                                                                                             | 312,353              |                        |   | Federal Home Loan Mortgage Corp., 3.0%, 6/15/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 320,485                                                                                                                                                 |
|                                                                                                                                                             | 136,447              |                        |   | Federal Home Loan Mortgage Corp., 3.5%, 8/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 141,656                                                                                                                                                 |
|                                                                                                                                                             | 249,770              |                        |   | Federal Home Loan Mortgage Corp., 4.0%, 1/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 258,410                                                                                                                                                 |
|                                                                                                                                                             | 1,925                |                        |   | Federal Home Loan Mortgage Corp., 4.0%, 5/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,930                                                                                                                                                   |
|                                                                                                                                                             | 1,527,223            | 0.69                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,540,308                                                                                                                                               |
|                                                                                                                                                             | 206,117              | 0.43                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 207,332                                                                                                                                                 |
|                                                                                                                                                             | 93,227               | 0.50                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 93,241                                                                                                                                                  |
|                                                                                                                                                             | 316,093              | 0.63                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 2/17/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 319,016                                                                                                                                                 |
|                                                                                                                                                             | 412,484              | 0.54                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 413,802                                                                                                                                                 |
|                                                                                                                                                             | 350,088              | 0.76                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 355,569                                                                                                                                                 |
|                                                                                                                                                             | 868,073              | 0.50                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 874,575                                                                                                                                                 |
|                                                                                                                                                             | 575,485              | 0.54                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 578,081                                                                                                                                                 |
|                                                                                                                                                             | 78,312               | 0.33                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 78,368                                                                                                                                                  |
|                                                                                                                                                             | 332,419              | 0.69                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 336,379                                                                                                                                                 |
|                                                                                                                                                             | 483,958              | 0.68                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 491,223                                                                                                                                                 |
|                                                                                                                                                             | 168,732              | 0.48                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 169,234                                                                                                                                                 |
|                                                                                                                                                             | 865,670              | 3.41                        |   | Federal National Mortgage Association 2004-T2, Floating Rate Note, 7/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 900,331                                                                                                                                                 |
|                                                                                                                                                             | 199,513              |                        |   | Federal National Mortgage Association 2006-48-T, 5.5%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 201,455                                                                                                                                                 |
|                                                                                                                                                             | 148,360              |                        |   | Federal National Mortgage Association REMICS, 1.5%, 11/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 149,187                                                                                                                                                 |
|                                                                                                                                                             | 258,738              |                        |   | Federal National Mortgage Association REMICS, 1.75%, 12/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 261,190                                                                                                                                                 |
|                                                                                                                                                             | 659,364              |                        |   | Federal National Mortgage Association REMICS, 3.0%, 1/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 678,967                                                                                                                                                 |
|                                                                                                                                                             | 135,080              |                        |   | Federal National Mortgage Association REMICS, 3.0%, 4/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 139,098                                                                                                                                                 |
|                                                                                                                                                             | 258,958              |                        |   | Federal National Mortgage Association REMICS, 3.5%, 10/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 270,184                                                                                                                                                 |
|                                                                                                                                                             | 1,313,117            |                        |   | Federal National Mortgage Association REMICS, 4.0%, 5/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,335,061                                                                                                                                               |
|                                                                                                                                                             | 12,718               |                        |   | Federal National Mortgage Association REMICS, 5.0%, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 13,167                                                                                                                                                  |
|                                                                                                                                                             | 102,982              |                        |   | Federal National Mortgage Association REMICS, 6.0%, 6/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 117,814                                                                                                                                                 |
|                                                                                                                                                             | 65,845               | 0.83                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 67,016                                                                                                                                                  |
|                                                                                                                                                             | 150,422              | 1.03                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 150,821                                                                                                                                                 |
|                                                                                                                                                             | 86,528               | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 87,474                                                                                                                                                  |
|                                                                                                                                                             | 1,554,230            | 0.53                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,561,529                                                                                                                                               |
|                                                                                                                                                             | 170,323              | 0.48                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 170,958                                                                                                                                                 |
|                                                                                                                                                             | 400,441              | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 403,207                                                                                                                                                 |
|                                                                                                                                                             | 167,364              | 1.40                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 173,850                                                                                                                                                 |
|                                                                                                                                                             | 1,264,157            | 0.38                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 10/27/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,248,716                                                                                                                                               |
|                                                                                                                                                             | 408,380              | 1.18                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 11/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 419,194                                                                                                                                                 |
|                                                                                                                                                             | 283,777              | 0.54                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 285,379                                                                                                                                                 |
|                                                                                                                                                             | 420,108              | 0.88                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 11/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 426,144                                                                                                                                                 |
|                                                                                                                                                             | 231,408              | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 232,378                                                                                                                                                 |
|                                                                                                                                                             | 128,133              | 1.08                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 131,158                                                                                                                                                 |
|                                                                                                                                                             | 639,149              | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 646,609                                                                                                                                                 |
|                                                                                                                                                             | 161,484              | 0.80                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 12/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 163,937                                                                                                                                                 |
|                                                                                                                                                             | 197,620              | 0.53                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 199,144                                                                                                                                                 |
|                                                                                                                                                             | 181,754              | 0.49                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 182,238                                                                                                                                                 |
|                                                                                                                                                             | 155,522              | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 155,647                                                                                                                                                 |
|                                                                                                                                                             | 170,054              | 0.38                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 169,877                                                                                                                                                 |
|                                                                                                                                                             | 130,535              | 0.63                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 2/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 131,118                                                                                                                                                 |
|                                                                                                                                                             | 146,137              | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 147,871                                                                                                                                                 |
|                                                                                                                                                             | 274,908              | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 277,265                                                                                                                                                 |
|                                                                                                                                                             | 185,494              | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 186,625                                                                                                                                                 |
|                                                                                                                                                             | 215,368              | 0.53                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 216,314                                                                                                                                                 |
|                                                                                                                                                             | 1,197,546            | 0.48                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,206,204                                                                                                                                               |
|                                                                                                                                                             | 241,188              | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 241,924                                                                                                                                                 |
|                                                                                                                                                             | 223,502              | 0.54                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 224,495                                                                                                                                                 |
|                                                                                                                                                             | 123,592              | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 123,667                                                                                                                                                 |
|                                                                                                                                                             | 239,718              | 0.53                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 240,836                                                                                                                                                 |
|                                                                                                                                                             | 872,741              | 0.40                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 3/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 875,098                                                                                                                                                 |
|                                                                                                                                                             | 550,703              | 1.08                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 563,394                                                                                                                                                 |
|                                                                                                                                                             | 566,225              | 1.18                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 585,081                                                                                                                                                 |
|                                                                                                                                                             | 68,318               | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 69,066                                                                                                                                                  |
|                                                                                                                                                             | 301,634              | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 4/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 301,840                                                                                                                                                 |
|                                                                                                                                                             | 585,230              | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 590,634                                                                                                                                                 |
|                                                                                                                                                             | 75,497               | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 75,622                                                                                                                                                  |
|                                                                                                                                                             | 96,730               | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 97,740                                                                                                                                                  |
|                                                                                                                                                             | 175,018              | 0.53                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 175,878                                                                                                                                                 |
|                                                                                                                                                             | 217,499              | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 218,757                                                                                                                                                 |
|                                                                                                                                                             | 290,596              | 0.73                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 5/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 292,864                                                                                                                                                 |
|                                                                                                                                                             | 210,245              | 0.63                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 211,981                                                                                                                                                 |
|                                                                                                                                                             | 243,961              | 0.42                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 243,949                                                                                                                                                 |
|                                                                                                                                                             | 86,115               | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 86,216                                                                                                                                                  |
|                                                                                                                                                             | 282,041              | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 282,355                                                                                                                                                 |
|                                                                                                                                                             | 127,039              | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 6/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 127,877                                                                                                                                                 |
|                                                                                                                                                             | 102,104              | 0.58                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 103,170                                                                                                                                                 |
|                                                                                                                                                             | 151,487              | 0.48                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 151,725                                                                                                                                                 |
|                                                                                                                                                             | 330,761              | 0.43                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 332,846                                                                                                                                                 |
|                                                                                                                                                             | 332,591              | 1.08                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 7/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 341,549                                                                                                                                                 |
|                                                                                                                                                             | 411,515              | 0.60                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 415,183                                                                                                                                                 |
|                                                                                                                                                             | 288,255              | 0.48                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 8/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 289,671                                                                                                                                                 |
|                                                                                                                                                             | 473,165              | 0.68                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 477,203                                                                                                                                                 |
|                                                                                                                                                             | 154,490              | 0.53                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 155,241                                                                                                                                                 |
|                                                                                                                                                             | 197,611              | 0.75                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 199,235                                                                                                                                                 |
|                                                                                                                                                             | 99,539               | 0.63                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 100,449                                                                                                                                                 |
|                                                                                                                                                             | 290,166              | 0.75                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 293,528                                                                                                                                                 |
|                                                                                                                                                             | 313,206              | 0.76                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 317,509                                                                                                                                                 |
|                                                                                                                                                             | 78,197               | 0.75                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 79,022                                                                                                                                                  |
|                                                                                                                                                             | 93,662               | 0.73                        |   | Federal National Mortgage Association REMICS, Floating Rate Note, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 94,381                                                                                                                                                  |
|                                                                                                                                                             | 182,731              |                        |   | Federal National Mortgage Association, 2.5%, 4/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 186,654                                                                                                                                                 |
|                                                                                                                                                             | 370,073              |                        |   | Federal National Mortgage Association, 2.75%, 6/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 378,141                                                                                                                                                 |
|                                                                                                                                                             | 451,314              |                        |   | Federal National Mortgage Association, 3.0%, 6/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 460,267                                                                                                                                                 |
|                                                                                                                                                             | 139,660              |                        |   | Federal National Mortgage Association, 3.5%, 1/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 140,050                                                                                                                                                 |
|                                                                                                                                                             | 135,359              |                        |   | Federal National Mortgage Association, 3.5%, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 136,709                                                                                                                                                 |
|                                                                                                                                                             | 209,479              |                        |   | Federal National Mortgage Association, 3.5%, 7/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 215,275                                                                                                                                                 |
|                                                                                                                                                             | 34,944               |                        |   | Federal National Mortgage Association, 4.5%, 10/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 34,988                                                                                                                                                  |
|                                                                                                                                                             | 946,360              |                        |   | Federal National Mortgage Association, 4.5%, 6/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,014,043                                                                                                                                               |
|                                                                                                                                                             | 26,232               |                        |   | Federal National Mortgage Association, 4.5%, 8/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 26,243                                                                                                                                                  |
|                                                                                                                                                             | 122,391              |                        |   | Federal National Mortgage Association, 5.0%, 7/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 123,300                                                                                                                                                 |
|                                                                                                                                                             | 337,769              | 0.53                        |   | Federal National Mortgage Association, Floating Rate Note, 10/18/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 340,386                                                                                                                                                 |
|                                                                                                                                                             | 472,950              | 0.48                        |   | Federal National Mortgage Association, Floating Rate Note, 11/25/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 475,630                                                                                                                                                 |
|                                                                                                                                                             | 347,094              | 1.03                        |   | Federal National Mortgage Association, Floating Rate Note, 2/25/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 354,340                                                                                                                                                 |
|                                                                                                                                                             | 201,026              | 0.48                        |   | Federal National Mortgage Association, Floating Rate Note, 3/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 201,078                                                                                                                                                 |
|                                                                                                                                                             | 408,483              | 0.53                        |   | Federal National Mortgage Association, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 410,324                                                                                                                                                 |
|                                                                                                                                                             | 860,740              | 0.68                        |   | Federal National Mortgage Association, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 868,029                                                                                                                                                 |
|                                                                                                                                                             | 202,720              | 2.70                        |   | Federal National Mortgage Association, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 216,415                                                                                                                                                 |
|                                                                                                                                                             | 529,102              | 0.68                        |   | Federal National Mortgage Association, Floating Rate Note, 6/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 535,531                                                                                                                                                 |
|                                                                                                                                                             | 712,404              | 0.58                        |   | Federal National Mortgage Association, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 717,596                                                                                                                                                 |
|                                                                                                                                                             | 317,307              | 0.48                        |   | Federal National Mortgage Association, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 318,036                                                                                                                                                 |
|                                                                                                                                                             | 106,096              | 1.61                        |   | Federal National Mortgage Association, Floating Rate Note, 9/25/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 108,368                                                                                                                                                 |
|                                                                                                                                                             | 58,662               | 2.59                        |   | First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 58,055                                                                                                                                                  |
|                                                                                                                                                             | 50,300               | 2.55                        |   | First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 48,955                                                                                                                                                  |
|                                                                                                                                                             | 75,985               | 1.78                        |   | Fosse Master Issuer Plc, Floating Rate Note, 10/18/54                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 76,757                                                                                                                                                  |
|                                                                                                                                                             | 792,364              | 1.14                        |   | Freddie Mac REMICS, Floating Rate Note, 2/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 816,054                                                                                                                                                 |
|                                                                                                                                                             | 121,997              | 0.54                        |   | Freddie Mac Strips, Floating Rate Note, 12/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 122,405                                                                                                                                                 |
|                                                                                                                                                             | 302,709              | 0.48                        |   | Freddie Mac Strips, Floating Rate Note, 8/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 303,814                                                                                                                                                 |
|                                                                                                                                                             | 414,074              | 1.58                        |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 10/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 414,305                                                                                                                                                 |
|                                                                                                                                                             | 433,085              | 1.18                        |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 2/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 431,967                                                                                                                                                 |
|                                                                                                                                                             | 682,408              | 1.53                        |   | Freddie Mac Structured Agency Credit Risk Debt Notes, Floating Rate Note, 8/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 682,691                                                                                                                                                 |
|                                                                                                                                                             | 409,000              | 3.56                        |   | FREMF Mortgage Trust Class B, Floating Rate Note, 11/25/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 418,218                                                                                                                                                 |
|                                                                                                                                                             | 372,624              | 0.62                        |   | GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 372,624                                                                                                                                                 |
|                                                                                                                                                             | 355,542              | 0.41                        |   | GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 343,070                                                                                                                                                 |
|                                                                                                                                                             | 709,621              | 0.44                        |   | GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 687,827                                                                                                                                                 |
|                                                                                                                                                             | 618,248              | 0.36                        |   | GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 585,879                                                                                                                                                 |
|                                                                                                                                                             | 114,797              | 4.97                        |   | GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 114,698                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 5.13                        |   | GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 501,429                                                                                                                                                 |
|                                                                                                                                                             | 220,877              |                        |   | Global Mortgage Securitization, Ltd., 5.25%, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 213,401                                                                                                                                                 |
|                                                                                                                                                             | 702,138              | 0.45                        |   | Global Mortgage Securitization, Ltd., Floating Rate Note, 4/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 674,770                                                                                                                                                 |
|                                                                                                                                                             | 1,438,879            | 5.23                        |   | GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust, Floating Rate Note, 11/10/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,456,979                                                                                                                                               |
|                                                                                                                                                             | 9,937                | 5.30                        |   | GMAC Commercial Mortgage Securities, Inc. Series 2004-C2 Trust, Floating Rate Note, 8/10/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 9,947                                                                                                                                                   |
|                                                                                                                                                             | 203,292              | 2.93                        |   | GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 193,443                                                                                                                                                 |
|                                                                                                                                                             | 2,903,510            |                        |   | Government National Mortgage Association REMICS, 2.0%, 1/16/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,911,306                                                                                                                                               |
|                                                                                                                                                             | 2,410,433            |                        |   | Government National Mortgage Association REMICS, 4.0%, 9/20/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 2,536,060                                                                                                                                               |
|                                                                                                                                                             | 107,036              |                        |   | Government National Mortgage Association, 3.0%, 12/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 109,736                                                                                                                                                 |
|                                                                                                                                                             | 990,556              |                        |   | Government National Mortgage Association, 3.0%, 12/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,012,628                                                                                                                                               |
|                                                                                                                                                             | 226,206              |                        |   | Government National Mortgage Association, 3.0%, 4/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 234,851                                                                                                                                                 |
|                                                                                                                                                             | 447,912              |                        |   | Government National Mortgage Association, 3.5%, 5/20/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 470,280                                                                                                                                                 |
|                                                                                                                                                             | 302,534              |                        |   | Government National Mortgage Association, 3.5%, 8/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 313,416                                                                                                                                                 |
|                                                                                                                                                             | 84,330               |                        |   | Government National Mortgage Association, 5.0%, 4/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 88,177                                                                                                                                                  |
|                                                                                                                                                             | 300,135              |                        |   | Government National Mortgage Association, 5.0%, 9/20/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 302,624                                                                                                                                                 |
|                                                                                                                                                             | 67,964               |                        |   | Government National Mortgage Association, 5.25%, 5/20/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 68,015                                                                                                                                                  |
|                                                                                                                                                             | 253,390              | 0.43                        |   | Government National Mortgage Association, Floating Rate Note, 1/16/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 253,583                                                                                                                                                 |
|                                                                                                                                                             | 611,174              | 0.73                        |   | Government National Mortgage Association, Floating Rate Note, 1/16/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 617,883                                                                                                                                                 |
|                                                                                                                                                             | 198,588              | 0.83                        |   | Government National Mortgage Association, Floating Rate Note, 2/16/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 200,545                                                                                                                                                 |
|                                                                                                                                                             | 251,475              | 0.43                        |   | Government National Mortgage Association, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 251,899                                                                                                                                                 |
|                                                                                                                                                             | 188,714              | 0.68                        |   | Government National Mortgage Association, Floating Rate Note, 2/20/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 190,458                                                                                                                                                 |
|                                                                                                                                                             | 242,906              | 0.48                        |   | Government National Mortgage Association, Floating Rate Note, 4/16/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 243,585                                                                                                                                                 |
|                                                                                                                                                             | 133,109              | 0.68                        |   | Government National Mortgage Association, Floating Rate Note, 4/16/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 133,951                                                                                                                                                 |
|                                                                                                                                                             | 567,305              | 0.73                        |   | Government National Mortgage Association, Floating Rate Note, 4/16/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 574,347                                                                                                                                                 |
|                                                                                                                                                             | 51,793               | 0.58                        |   | Government National Mortgage Association, Floating Rate Note, 8/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 51,815                                                                                                                                                  |
|                                                                                                                                                             | 503,551              | 0.48                        |   | Government National Mortgage Association, Floating Rate Note, 8/20/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 498,325                                                                                                                                                 |
|                                                                                                                                                             | 32,817               | 0.48                        |   | Government National Mortgage Association, Floating Rate Note, 9/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 32,824                                                                                                                                                  |
|                                                                                                                                                             | 1,000,000            | 1.49                        |   | GP Portfolio Trust 2014-GGP, Floating Rate Note, 2/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,000,000                                                                                                                                               |
|                                                                                                                                                             | 1,020,000            | 5.55                        |   | GS Mortgage Securities Trust 2006-GG6 REMICS, Floating Rate Note, 4/10/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,028,511                                                                                                                                               |
|                                                                                                                                                             | 495,000              | 1.94                        |   | GS Mortgage Securities Trust 2014-GSFL, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 495,948                                                                                                                                                 |
|                                                                                                                                                             | 356,289              | 0.96                        |   | GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 345,747                                                                                                                                                 |
|                                                                                                                                                             | 241,099              | 2.45                        |   | GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 244,620                                                                                                                                                 |
|                                                                                                                                                             | 474,104              | 2.82                        |   | GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 462,092                                                                                                                                                 |
|                                                                                                                                                             | 171,516              | 2.70                        |   | HarborView Mortgage Loan Trust 2004-1, Floating Rate Note, 4/19/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 171,277                                                                                                                                                 |
|                                                                                                                                                             | 970,683              | 1.68                        |   | Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 970,683                                                                                                                                                 |
|                                                                                                                                                             | 492,733              | 2.93                        |   | Hilton USA Trust 2013-HLF, Floating Rate Note, 11/5/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 492,733                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 2.48                        |   | Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 260,461                                                                                                                                                 |
|                                                                                                                                                             | 1,449,671            | 0.82                        |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,392,741                                                                                                                                               |
|                                                                                                                                                             | 280,740              | 0.53                        |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 276,368                                                                                                                                                 |
|                                                                                                                                                             | 205,296              | 0.63                        |   | Homestar Mortgage Acceptance Corp., Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 203,547                                                                                                                                                 |
|                                                                                                                                                             | 1,359,257            | 0.82                        |   | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,297,333                                                                                                                                               |
|                                                                                                                                                             | 606,606              | 0.80                        |   | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 579,148                                                                                                                                                 |
|                                                                                                                                                             | 107,441              | 0.98                        |   | Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 102,147                                                                                                                                                 |
|                                                                                                                                                             | 65,464               | 2.81                        |   | Impac CMB Trust Series 2004-8, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 62,841                                                                                                                                                  |
|                                                                                                                                                             | 365,011              | 0.83                        |   | Impac CMB Trust Series 2005-4, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 310,074                                                                                                                                                 |
|                                                                                                                                                             | 417,310              | 0.53                        |   | Impac Secured Assets Trust 2006-1, Floating Rate Note, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 403,809                                                                                                                                                 |
|                                                                                                                                                             | 219,923              | 0.53                        |   | Impac Secured Assets Trust 2006-2, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 216,508                                                                                                                                                 |
|                                                                                                                                                             | 548,217              | 0.38                        |   | Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 514,633                                                                                                                                                 |
|                                                                                                                                                             | 70,556               | 2.70                        |   | IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 67,733                                                                                                                                                  |
|                                                                                                                                                             | 70,101               | 4.84                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2004-LN2, Floating Rate Note, 7/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 70,009                                                                                                                                                  |
|                                                                                                                                                             | 477,882              |                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP2, 4.78%, 7/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 477,468                                                                                                                                                 |
|                                                                                                                                                             | 139,633              | 4.94                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3 REMICS, Floating Rate Note, 8/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 139,640                                                                                                                                                 |
|                                                                                                                                                             | 800,000              | 4.97                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP3, Floating Rate Note, 8/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 801,895                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 5.04                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP4, Floating Rate Note, 10/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 502,751                                                                                                                                                 |
|                                                                                                                                                             | 1,263,715            | 5.24                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2005-LDP5, Floating Rate Note, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,271,558                                                                                                                                               |
|                                                                                                                                                             | 484,175              | 0.47                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 479,223                                                                                                                                                 |
|                                                                                                                                                             | 184,066              | 0.55                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 177,580                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 5.56                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP6, Floating Rate Note, 4/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 512,220                                                                                                                                                 |
|                                                                                                                                                             | 92,118               | 0.34                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 91,354                                                                                                                                                  |
|                                                                                                                                                             | 4,908                | 5.70                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 4,908                                                                                                                                                   |
|                                                                                                                                                             | 1,670,000            | 1.44                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-BXH, Floating Rate Note, 4/15/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,669,155                                                                                                                                               |
|                                                                                                                                                             | 510,000              | 2.14                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-CBM, Floating Rate Note, 10/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 512,159                                                                                                                                                 |
|                                                                                                                                                             | 1,030,000            | 1.68                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU REMICS, Floating Rate Note, 12/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 1,030,683 |
|                                                                                                                                                             | 945,000              | 2.18                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FBLU, Floating Rate Note, 12/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 945,885                                                                                                                                                 |
|                                                                                                                                                             | 410,000              | 1.94                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL4, Floating Rate Note, 12/16/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 410,276                                                                                                                                                 |
|                                                                                                                                                             | 650,000              | 2.29                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5 REMICS, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 647,408                                                                                                                                                 |
|                                                                                                                                                             | 490,000              | 1.54                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL5, Floating Rate Note, 7/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 488,641                                                                                                                                                 |
|                                                                                                                                                             | 1,170,000            | 1.59                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6, Floating Rate Note, 11/17/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,169,062                                                                                                                                               |
|                                                                                                                                                             | 900,000              | 1.11                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 897,819                                                                                                                                                 |
|                                                                                                                                                             | 650,000              | 1.89                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-INN, Floating Rate Note, 6/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 647,354                                                                                                                                                 |
|                                                                                                                                                             | 1,100,000            | 1.79                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH, Floating Rate Note, 8/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,098,849                                                                                                                                               |
|                                                                                                                                                             | 700,000              | 2.44                        |   | JP Morgan Chase Commercial Mortgage Securities Trust 2015-COSMO, Floating Rate Note, 1/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 701,736                                                                                                                                                 |
|                                                                                                                                                             | 304,640              | 2.49                        |   | JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 310,991                                                                                                                                                 |
|                                                                                                                                                             | 151,613              |                        |   | JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 157,158                                                                                                                                                 |
|                                                                                                                                                             | 546,297              | 4.32                        |   | JP Morgan Mortgage Trust 2005-A3, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 534,656                                                                                                                                                 |
|                                                                                                                                                             | 12,324               |                        |   | JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36 (c)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 402                                                                                                                                                     |
|                                                                                                                                                             | 636,097              | 4.25                        |   | La Hipotecaria Panamanian Mortgage Trust 2007-1, Floating Rate Note, 12/23/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 623,375                                                                                                                                                 |
|                                                                                                                                                             | 226,439              | 0.78                        |   | Lanark Master Issuer Plc, Floating Rate Note, 12/22/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 226,622                                                                                                                                                 |
|                                                                                                                                                             | 28,949               |                        |   | LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 29,296                                                                                                                                                  |
|                                                                                                                                                             | 61,072               | 5.20                        |   | LB-UBS Commercial Mortgage Trust 2005-C7 REMICS, Floating Rate Note, 11/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 61,101                                                                                                                                                  |
|                                                                                                                                                             | 1,376,334            |                        |   | LB-UBS Commercial Mortgage Trust 2006-C1 REMICS, 5.156%, 2/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,392,410                                                                                                                                               |
|                                                                                                                                                             | 188,105              | 1.13                        |   | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3 Class 1A4, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 187,043   |
|                                                                                                                                                             | 298,090              | 1.23                        |   | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 290,662                                                                                                                                                 |
|                                                                                                                                                             | 619,620              | 0.43                        |   | Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 586,345                                                                                                                                                 |
|                                                                                                                                                             | 464,119              | 0.40                        |   | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 435,637                                                                                                                                                 |
|                                                                                                                                                             | 463,332              | 0.41                        |   | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 436,426                                                                                                                                                 |
|                                                                                                                                                             | 526,555              | 0.00                        |   | Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 495,916                                                                                                                                                 |
|                                                                                                                                                             | 1,256,339            | 2.18                        |   | LSTAR Securities Investment Trust 2015-5, Floating Rate Note, 4/1/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,249,371                                                                                                                                               |
|                                                                                                                                                             | 494,229              | 0.53                        |   | MASTR Alternative Loan Trust 2005-1, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 484,368                                                                                                                                                 |
|                                                                                                                                                             | 59,276               | 0.58                        |   | MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 57,454                                                                                                                                                  |
|                                                                                                                                                             | 206,846              | 0.67                        |   | Mellon Residential Funding Corp. Mortgage Pass-Through Trust Series 2000 TBC2, Floating Rate Note, 6/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 196,282                                                                                                                                                 |
|                                                                                                                                                             | 349,178              | 2.35                        |   | Merrill Lynch Mortgage Investors Trust Series 2005-2, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 351,599                                                                                                                                                 |
|                                                                                                                                                             | 1,167,877            | 0.45                        |   | Merrill Lynch Mortgage Investors Trust Series 2005-A3, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,119,715                                                                                                                                               |
|                                                                                                                                                             | 652,306              | 0.92                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 618,134                                                                                                                                                 |
|                                                                                                                                                             | 332,201              | 1.20                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 309,665                                                                                                                                                 |
|                                                                                                                                                             | 430,318              | 0.86                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-B, Floating Rate Note, 4/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 416,414                                                                                                                                                 |
|                                                                                                                                                             | 467,289              | 0.84                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C REMICS, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 444,247                                                                                                                                                 |
|                                                                                                                                                             | 309,295              | 1.06                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-C, Floating Rate Note, 6/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 304,868                                                                                                                                                 |
|                                                                                                                                                             | 380,172              | 0.80                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-E, Floating Rate Note, 10/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 362,937                                                                                                                                                 |
|                                                                                                                                                             | 50,316               | 1.89                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 50,170                                                                                                                                                  |
|                                                                                                                                                             | 358,250              | 0.82                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-H, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 352,276                                                                                                                                                 |
|                                                                                                                                                             | 506,226              | 0.64                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A REMICS, Floating Rate Note, 4/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 485,443                                                                                                                                                 |
|                                                                                                                                                             | 472,376              | 0.74                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-C, Floating Rate Note, 7/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 438,738                                                                                                                                                 |
|                                                                                                                                                             | 489,741              | 1.14                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 473,116                                                                                                                                                 |
|                                                                                                                                                             | 706,164              | 0.74                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 663,395                                                                                                                                                 |
|                                                                                                                                                             | 231,903              | 0.96                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 225,191                                                                                                                                                 |
|                                                                                                                                                             | 431,929              | 0.64                        |   | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 418,984                                                                                                                                                 |
|                                                                                                                                                             | 79,483               | 5.05                        |   | Merrill Lynch Mortgage Trust 2005-CIP1, Floating Rate Note, 7/12/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 79,495                                                                                                                                                  |
|                                                                                                                                                             | 1,166,772            | 5.45                        |   | Merrill Lynch Mortgage Trust 2005-CKI1, Floating Rate Note, 11/12/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,171,673                                                                                                                                               |
|                                                                                                                                                             | 1,421,966            | 5.29                        |   | Merrill Lynch Mortgage Trust 2005-LC1, Floating Rate Note, 1/12/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,436,521                                                                                                                                               |
|                                                                                                                                                             | 1,440,328            | 5.47                        |   | ML-CFC Commercial Mortgage Trust 2006-1, Floating Rate Note, 2/12/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,463,487                                                                                                                                               |
|                                                                                                                                                             | 136,893              | 5.07                        |   | Morgan Stanley Capital I Trust 2005-HQ6 REMICS, Floating Rate Note, 8/13/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 136,805                                                                                                                                                 |
|                                                                                                                                                             | 125,740              | 5.23                        |   | Morgan Stanley Capital I Trust 2005-IQ10, Floating Rate Note, 9/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 125,753                                                                                                                                                 |
|                                                                                                                                                             | 155,834              |                        |   | Morgan Stanley Capital I Trust 2005-TOP19, 4.89%, 6/12/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 155,689                                                                                                                                                 |
|                                                                                                                                                             | 600,000              | 5.79                        |   | Morgan Stanley Capital I Trust 2006-HQ9, Floating Rate Note, 7/12/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 625,646                                                                                                                                                 |
|                                                                                                                                                             | 1,435,000            | 5.16                        |   | Morgan Stanley Capital I Trust 2006-TOP21, Floating Rate Note, 10/12/52                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,445,296                                                                                                                                               |
|                                                                                                                                                             | 582,833              | 5.83                        |   | Morgan Stanley Capital I Trust 2006-TOP23, Floating Rate Note, 8/12/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 605,359                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 2.39                        |   | Morgan Stanley Capital I Trust 2015-XLF1, Floating Rate Note, 8/14/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 500,379                                                                                                                                                 |
|                                                                                                                                                             | 58,252               |                        |   | Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 59,417                                                                                                                                                  |
|                                                                                                                                                             | 689,126              | 0.45                        |   | Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 684,739                                                                                                                                                 |
|                                                                                                                                                             | 407,794              | 0.46                        |   | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 393,102                                                                                                                                                 |
|                                                                                                                                                             | 344,913              | 0.45                        |   | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 342,923                                                                                                                                                 |
|                                                                                                                                                             | 598,352              | 0.96                        |   | MortgageIT Trust 2004-1, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 571,840                                                                                                                                                 |
|                                                                                                                                                             | 763,956              | 0.92                        |   | MortgageIT Trust 2004-2, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 740,942                                                                                                                                                 |
|                                                                                                                                                             | 78,286               |                        |   | NCUA Guaranteed Notes Trust REMICS, 1.6%, 10/29/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 78,320                                                                                                                                                  |
|                                                                                                                                                             | 335,631              | 0.76                        |   | NCUA Guaranteed Notes Trust REMICS, Floating Rate Note, 3/2/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 336,291                                                                                                                                                 |
|                                                                                                                                                             | 200,112              | 0.50                        |   | NewStar Commercial Loan Trust 2007-1, Floating Rate Note, 9/30/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 197,065                                                                                                                                                 |
|                                                                                                                                                             | 173,927              |                        |   | Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2003-A3, 5.5%, 8/25/33 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 181,322                                                                                                                                                 |
|                                                                                                                                                             | 566,500              | 2.03                        |   | NorthStar 2013-1, Floating Rate Note, 8/27/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 567,031                                                                                                                                                 |
|                                                                                                                                                             | 1,339,952            | 0.49                        |   | Opteum Mortgage Acceptance Corp Trust 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,256,852                                                                                                                                               |
|                                                                                                                                                             | 277,582              |                        |   | ORES 2014-LV3 LLC, 3.0%, 3/27/24 (144A) (e)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 277,582                                                                                                                                                 |
|                                                                                                                                                             | 124,522              |                        |   | ORES NPL 2013-LV2 LLC, 3.081%, 9/25/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 124,522                                                                                                                                                 |
|                                                                                                                                                             | 120,130              |                        |   | PHH Mortgage Capital LLC, 6.0%, 12/25/27 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 120,542                                                                                                                                                 |
|                                                                                                                                                             | 375,958              |                        |   | RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 382,700                                                                                                                                                 |
|                                                                                                                                                             | 1,500,000            | 2.33                        |   | RAIT 2014-FL2 Trust, Floating Rate Note, 5/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,484,584                                                                                                                                               |
|                                                                                                                                                             | 979,151              | 1.43                        |   | RAIT 2014-FL3 Trust, Floating Rate Note, 12/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 986,346                                                                                                                                                 |
|                                                                                                                                                             | 150,613              | 0.73                        |   | RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 145,392                                                                                                                                                 |
|                                                                                                                                                             | 34,123               |                        |   | RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 34,092                                                                                                                                                  |
|                                                                                                                                                             | 744,607              |                        |   | RALI Series 2003-QR24 Trust REMICS, 4.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 748,231                                                                                                                                                 |
|                                                                                                                                                             | 609,020              | 0.68                        |   | RALI Series 2003-QS11 Trust, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 567,670                                                                                                                                                 |
|                                                                                                                                                             | 28,756               |                        |   | RALI Series 2003-QS14 Trust, 5.0%, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 29,168                                                                                                                                                  |
|                                                                                                                                                             | 135,332              |                        |   | RALI Series 2003-QS15 Trust, 5.5%, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 139,700                                                                                                                                                 |
|                                                                                                                                                             | 339,288              | 0.63                        |   | RALI Series 2003-QS9 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 331,254                                                                                                                                                 |
|                                                                                                                                                             | 144,410              |                        |   | RALI Series 2004-QR1 Trust, 5.25%, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 144,508                                                                                                                                                 |
|                                                                                                                                                             | 177,684              |                        |   | RALI Series 2004-QS5 Trust, 4.75%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 181,351                                                                                                                                                 |
|                                                                                                                                                             | 75,479               | 0.78                        |   | RALI Series 2004-QS5 Trust, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 74,597                                                                                                                                                  |
|                                                                                                                                                             | 857,555              | 0.48                        |   | RALI Series 2005-QA1 Trust, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 818,002                                                                                                                                                 |
|                                                                                                                                                             | 53,277               | 6.34                        |   | RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 53,820                                                                                                                                                  |
|                                                                                                                                                             | 790,847              | 0.67                        |   | RBSSP Resecuritization Trust 2009-5, Floating Rate Note, 8/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 757,745                                                                                                                                                 |
|                                                                                                                                                             | 167,937              | 0.52                        |   | Regatta Funding, Ltd., Floating Rate Note, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 167,283                                                                                                                                                 |
|                                                                                                                                                             | 594,329              | 1.63                        |   | RESI Finance LP 2003-CB1, Floating Rate Note, 7/9/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 570,503                                                                                                                                                 |
|                                                                                                                                                             | 422,952              | 0.97                        |   | RESI MAC, 2014-1A, Floating Rate Note, 6/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 423,198                                                                                                                                                 |
|                                                                                                                                                             | 1,323,323            | 0.58                        |   | Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,212,370                                                                                                                                               |
|                                                                                                                                                             | 346,275              |                        |   | Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 358,965                                                                                                                                                 |
|                                                                                                                                                             | 1,480,000            | 1.24                        |   | Resource Capital Corp 2014-CRE2, Ltd., Floating Rate Note, 4/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,472,033                                                                                                                                               |
|                                                                                                                                                             | 1,000,000            | 2.34                        |   | Resource Capital Corp. CRE Notes 2013, Ltd., Floating Rate Note, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,000,761                                                                                                                                               |
|                                                                                                                                                             | 138,273              |                        |   | RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 142,678                                                                                                                                                 |
|                                                                                                                                                             | 163,834              |                        |   | Rialto Capital Management LLC, 2.85%, 5/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 163,902                                                                                                                                                 |
|                                                                                                                                                             | 554,296              |                        |   | RREF 2014-LT6 LLC, 2.75%, 9/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 554,306                                                                                                                                                 |
|                                                                                                                                                             | 884,806              |                        |   | Selene Non-Performing Loans LLC, 2.9814%, 5/25/54 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 876,501                                                                                                                                                 |
|                                                                                                                                                             | 632,059              | 0.80                        |   | Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 596,429                                                                                                                                                 |
|                                                                                                                                                             | 208,954              | 0.82                        |   | Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 196,779                                                                                                                                                 |
|                                                                                                                                                             | 212,041              | 1.80                        |   | Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 213,468                                                                                                                                                 |
|                                                                                                                                                             | 737,979              | 0.61                        |   | Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 698,701                                                                                                                                                 |
|                                                                                                                                                             | 327,400              | 2.25                        |   | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 320,162                                                                                                                                                 |
|                                                                                                                                                             | 136,514              | 3.00                        |   | Sequoia Mortgage Trust 2013-8, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 134,066                                                                                                                                                 |
|                                                                                                                                                             | 347,455              |                        |   | SilverLeaf Finance XVII LLC, 2.71%, 3/16/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 347,485                                                                                                                                                 |
|                                                                                                                                                             | 290,000              | 1.93                        |   | Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 295,972                                                                                                                                                 |
|                                                                                                                                                             | 630,000              |                        |   | Small Business Administration Participation Certificates, 2.24%, 4/15/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 629,001                                                                                                                                                 |
|                                                                                                                                                             | 153,041              | 2.22                        |   | Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 153,450                                                                                                                                                 |
|                                                                                                                                                             | 136,608              | 2.86                        |   | Structured Adjustable Rate Mortgage Loan Trust Class 1A1, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 136,142                                                                                                                                                 |
|                                                                                                                                                             | 111,906              | 2.43                        |   | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 110,208                                                                                                                                                 |
|                                                                                                                                                             | 945,600              | 1.03                        |   | Structured Adjustable Rate Mortgage Loan Trust, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 862,834                                                                                                                                                 |
|                                                                                                                                                             | 1,213,887            | 0.87                        |   | Structured Asset Mortgage Investments II Trust 2004-AR8, Floating Rate Note, 5/19/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,179,878                                                                                                                                               |
|                                                                                                                                                             | 591,096              | 3.57                        |   | Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 457,188                                                                                                                                                 |
|                                                                                                                                                             | 104,201              | 0.68                        |   | Structured Asset Mortgage Investments II Trust 2005-F1 REMICS, Floating Rate Note, 8/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 103,552                                                                                                                                                 |
|                                                                                                                                                             | 362,889              | 1.09                        |   | Structured Asset Mortgage Investments Trust 2002-AR5, Floating Rate Note, 5/19/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 353,829                                                                                                                                                 |
|                                                                                                                                                             | 130,825              | 2.52                        |   | Structured Asset Securities Corp. Mortgage Certificates Series 2003-31A, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 129,703                                                                                                                                                 |
|                                                                                                                                                             | 93,526               |                        |   | Structured Asset Securities Corp. Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 95,195                                                                                                                                                  |
|                                                                                                                                                             | 905,376              | 2.44                        |   | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-24A, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 896,603                                                                                                                                                 |
|                                                                                                                                                             | 260,658              | 0.68                        |   | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-35, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 257,952                                                                                                                                                 |
|                                                                                                                                                             | 117,739              | 2.12                        |   | Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 116,993                                                                                                                                                 |
|                                                                                                                                                             | 189,875              | 1.55                        |   | Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 185,506                                                                                                                                                 |
|                                                                                                                                                             | 1,319,078            | 0.92                        |   | Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,264,070                                                                                                                                               |
|                                                                                                                                                             | 173,946              | 1.85                        |   | Thornburg Mortgage Securities Trust 2004-4, Floating Rate Note, 12/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 171,571                                                                                                                                                 |
|                                                                                                                                                             | 525,000              |                        |   | TimberStar Trust I REMICS, 5.668%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 552,642                                                                                                                                                 |
|                                                                                                                                                             | 627,320              | 2.18                        |   | Velocity Commercial Capital Loan Trust 2014-1, Floating Rate Note, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 629,202                                                                                                                                                 |
|                                                                                                                                                             | 1,084,489            |                        |   | Vericrest Opportunity Loan Transferee 2014-NPL4 LLC, 3.125%, 4/27/54 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,084,513                                                                                                                                               |
|                                                                                                                                                             | 550,409              |                        |   | VFC 2014-2 LLC, 2.75%, 7/20/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 550,398                                                                                                                                                 |
|                                                                                                                                                             | 363,966              |                        |   | VFC 2015-3 LLC, 2.75%, 12/20/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 363,128                                                                                                                                                 |
|                                                                                                                                                             | 400,719              | 5.25                        |   | Wachovia Bank Commercial Mortgage Trust Series 2005-C21, Floating Rate Note, 10/17/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 401,052                                                                                                                                                 |
|                                                                                                                                                             | 765,219              | 5.27                        |   | Wachovia Bank Commercial Mortgage Trust Series 2005-C22 REMICS, Floating Rate Note, 12/15/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 770,388                                                                                                                                                 |
|                                                                                                                                                             | 1,222,301            | 5.42                        |   | Wachovia Bank Commercial Mortgage Trust Series 2006-C23 REMICS, Floating Rate Note, 1/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,236,268                                                                                                                                               |
|                                                                                                                                                             | 272,000              | 5.66                        |   | Wachovia Bank Commercial Mortgage Trust Series 2006-C24, Floating Rate Note, 3/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 276,993                                                                                                                                                 |
|                                                                                                                                                             | 965,662              | 5.71                        |   | Wachovia Bank Commercial Mortgage Trust Series 2006-C25, Floating Rate Note, 5/15/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 984,295                                                                                                                                                 |
|                                                                                                                                                             | 360,182              | 1.55                        |   | WaMu Mortgage Pass-Through Certificates Series 2002-AR6 Trust, Floating Rate Note, 6/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 347,129                                                                                                                                                 |
|                                                                                                                                                             | 1,063,047            | 2.41                        |   | WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,073,491                                                                                                                                               |
|                                                                                                                                                             | 461,283              |                        |   | WaMu Mortgage Pass-Through Certificates Series 2003-S10, 5.0%, 10/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 467,628                                                                                                                                                 |
|                                                                                                                                                             | 500,587              |                        |   | Welk Resorts 2013-A LLC, 3.1%, 3/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 504,849                                                                                                                                                 |
|                                                                                                                                                             | 453,135              | 1.00                        |   | Wells Fargo Alternative Loan 2005-2 Trust, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 450,810                                                                                                                                                 |
|                                                                                                                                                             | 1,250,000            | 2.04                        |   | Wells Fargo Commercial Mortgage Trust 2014-TISH REMICS, Floating Rate Note, 2/16/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,251,410                                                                                                                                               |
|                                                                                                                                                             | 261,680              | 0.78                        |   | Wells Fargo Mortgage Backed Securities 2005-4 Trust, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 257,266                                                                                                                                                 |
|                                                                                                                                                             | 792,864              |                        |   | Westgate Resorts 2014-1 LLC, 2.15%, 12/20/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 788,213                                                                                                                                                 |
|                                                                                                                                                             | 328,881              | 0.50                        |   | Westwood CDO II, Ltd., Floating Rate Note, 4/25/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 323,728                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $233,878,677)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 231,763,331                                                                                                                                             |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | CORPORATE BONDS - 31.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Energy - 1.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Equipment & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 775,000              |                        |   | National Oilwell Varco, Inc., 1.35%, 12/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 771,351                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Integrated Oil & Gas - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            |                        |   | ConocoPhillips Co., 1.05%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 995,818                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.48                        |   | Shell International Finance BV, Floating Rate Note, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 751,455                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Total Capital International SA, 0.75%, 1/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 501,044                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,248,317                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Exploration & Production - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 277,000              | 0.65                        |   | Canadian Natural Resources, Ltd., Floating Rate Note, 3/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 276,592                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Hess Corp., 1.3%, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 745,468                                                                                                                                                 |
|                                                                                                                                                             | 1,496,000            |                        |   | Marathon Oil Corp., 0.9%, 11/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,495,515                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,517,575                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Refining & Marketing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | GS Caltex Corp., 3.25%, 10/1/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 512,054                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Phillips 66, 2.95%, 5/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 772,730                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,284,784                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Storage & Transportation - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              | 0.91                        |   | Enbridge, Inc., Floating Rate Note, 10/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 500,712                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Enterprise Products Operating LLC, 1.65%, 5/7/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 750,915                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Enterprise Products Operating LLC, 3.2%, 2/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,015,167                                                                                                                                               |
|                                                                                                                                                             | 1,010,000            |                        |   | Enterprise Products Operating LLC, 3.7%, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,010,000                                                                                                                                               |
|                                                                                                                                                             | 700,000              |                        |   | Kinder Morgan, Inc. Delaware, 2.0%, 12/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 701,560                                                                                                                                                 |
|                                                                                                                                                             | 375,000              |                        |   | TransCanada PipeLines, Ltd., 1.875%, 1/12/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 378,957                                                                                                                                                 |
|                                                                                                                                                             | 690,000              | 0.94                        |   | TransCanada PipeLines, Ltd., Floating Rate Note, 6/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 691,543                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 5,048,854                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 11,870,881                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Materials - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Fertilizers & Agricultural Chemicals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            |                        |   | Monsanto Co., 1.15%, 6/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 996,771                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Diversified Metals & Mining - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              | 0.52                        |   | BHP Billiton Finance USA, Ltd., Floating Rate Note, 9/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 500,252                                                                                                                                                 |
|                                                                                                                                                             | 560,000              | 1.11                        |   | Rio Tinto Finance USA Plc, Floating Rate Note, 6/17/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 561,559                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,061,811                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Steel - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            | 1.42                        |   | Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,002,880                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 3,061,462                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Capital Goods - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Aerospace & Defense - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 586,000              |                        |   | L-3 Communications Corp., 1.5%, 5/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 581,247                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Precision Castparts Corp., 1.25%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 498,755                                                                                                                                                 |
|                                                                                                                                                             | 1,050,000            |                        |   | The Boeing Co., 0.95%, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,039,034                                                                                                                                               |
|                                                                                                                                                             | 500,000              |                        |   | United Technologies Corp., 1.778%, 5/4/18 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 503,210                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.76                        |   | United Technologies Corp., Floating Rate Note, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,000                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,122,246                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Construction & Farm Machinery & Heavy Trucks - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,098,000            |                        |   | John Deere Capital Corp., 1.05%, 10/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,103,572                                                                                                                                               |
|                                                                                                                                                             | 750,000              |                        |   | John Deere Capital Corp., 1.05%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 753,273                                                                                                                                                 |
|                                                                                                                                                             | 1,090,000            | 0.54                        |   | John Deere Capital Corp., Floating Rate Note, 10/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,092,467                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,949,312                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Trading Companies & Distributors - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,100,000            |                        |   | Aircastle, Ltd., 6.75%, 4/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 1,182,500                                                                                                                                               |
|                                                                                                                                                             | 750,000              |                        |   | GATX Corp., 1.25%, 3/4/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 747,564                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,930,064                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 8,001,622                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Automobiles & Components - 1.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Auto Parts & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 700,000              |                        |   | Johnson Controls, Inc., 1.4%, 11/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 699,532                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Automobile Manufacturers - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            |                        |   | Daimler Finance North America LLC, 1.45%, 8/1/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,006,125                                                                                                                                               |
|                                                                                                                                                             | 750,000              | 0.59                        |   | Daimler Finance North America LLC, Floating Rate Note, 3/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 750,652                                                                                                                                                 |
|                                                                                                                                                             | 617,000              | 0.59                        |   | Daimler Finance North America LLC, Floating Rate Note, 8/1/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 615,891                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Ford Motor Credit Co. LLC, 1.7%, 5/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 502,868                                                                                                                                                 |
|                                                                                                                                                             | 700,000              |                        |   | Ford Motor Credit Co. LLC, 1.724%, 12/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 698,562                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Ford Motor Credit Co. LLC, 2.375%, 1/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 253,454                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Ford Motor Credit Co. LLC, 2.875%, 10/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,024,377                                                                                                                                               |
|                                                                                                                                                             | 750,000              | 0.78                        |   | Ford Motor Credit Co. LLC, Floating Rate Note, 9/8/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 745,308                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Nissan Motor Acceptance Corp., 2.65%, 9/26/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,028,448                                                                                                                                               |
|                                                                                                                                                             | 500,000              | 0.78                        |   | Nissan Motor Acceptance Corp., Floating Rate Note, 3/3/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 501,913                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Toyota Motor Credit Corp., 1.125%, 5/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 753,068                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.48                        |   | Volkswagen Group of America Finance LLC, Floating Rate Note, 5/23/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,000,638                                                                                                                                               |
|                                                                                                                                                             | 750,000              |                        |   | Volkswagen International Finance NV, 1.125%, 11/18/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 751,808                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Volkswagen International Finance NV, 1.15%, 11/20/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 752,408                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Volkswagen International Finance NV, 1.6%, 11/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 502,738                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 10,888,258                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 11,587,790                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Consumer Durables & Apparel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Homebuilding - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             | 650,000              |                        |   | DR Horton, Inc., 4.0%, 2/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 653,250                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 653,250                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Consumer Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Restaurants - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 605,000              |                        |   | Starbucks Corp., 0.875%, 12/5/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 605,424                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 605,424                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Media - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Publishing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 250,000              |                        |   | Thomson Reuters Corp., 0.875%, 5/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 249,910                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Thomson Reuters Corp., 1.3%, 2/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 500,184                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 750,094                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 750,094                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Automotive Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Volkswagen Group of America Finance LLC, 1.65%, 5/22/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 501,415                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 501,415                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Food & Staples Retailing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Food Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              | 0.71                        |   | Walgreens Boots Alliance, Inc., Floating Rate Note, 5/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 750,993                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Hypermarkets & Super Centers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 740,000              |                        |   | Costco Wholesale Corp., 1.125%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 740,034                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,491,027                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Food, Beverage & Tobacco - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Brewers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              | 0.45                        |   | Anheuser-Busch InBev Finance, Inc., Floating Rate Note, 1/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 499,312                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Soft Drinks - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 189,000              |                        |   | Coca-Cola Enterprises, Inc., 2.125%, 9/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 189,784                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Packaged Foods & Meats - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 250,000              |                        |   | General Mills, Inc., 0.875%, 1/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 250,289                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Wm Wrigley Jr Co., 2.0%, 10/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,012,862                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,263,151                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Tobacco - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 310,000              |                        |   | Altria Group, Inc., 4.125%, 9/11/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 313,056                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,265,303                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Household & Personal Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Household Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Reckitt Benckiser Treasury Services Plc, 2.125%, 9/21/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 505,788                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 505,788                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Health Care Equipment & Services - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Health Care Equipment - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Baxter International, Inc., 0.95%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 500,752                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Becton Dickinson and Co., 1.45%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 751,681                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Becton Dickinson and Co., 1.8%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 755,234                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Boston Scientific Corp., 2.65%, 10/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 508,754                                                                                                                                                 |
|                                                                                                                                                             | 460,000              |                        |   | Medtronic, Inc., 4.75%, 9/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 465,891                                                                                                                                                 |
|                                                                                                                                                             | 510,000              |                        |   | St. Jude Medical, Inc., 2.5%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 515,340                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,497,652                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Health Care Distributors - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 235,000              | 0.66                        |   | McKesson Corp., Floating Rate Note, 9/10/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 235,055                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Health Care Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              |                        |   | Express Scripts Holding Co., 2.25%, 6/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 749,301                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Express Scripts Holding Co., 3.125%, 5/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,019,801                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,769,102                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Managed Health Care - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | UnitedHealth Group, Inc., 1.875%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 507,964                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 6,009,773                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Pharmaceuticals, Biotechnology & Life Sciences - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Biotechnology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Amgen, Inc., 2.5%, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 510,164                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Pharmaceuticals - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              |                        |   | Bayer US Finance LLC, 1.5%, 10/6/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 755,210                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.42                        |   | Pfizer, Inc., Floating Rate Note, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 749,762                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Zoetis, Inc., 1.15%, 2/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,481                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,005,453                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Life Sciences Tools & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            |                        |   | Thermo Fisher Scientific, Inc., 2.4%, 2/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,007,363                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 3,522,980                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Banks - 8.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Diversified Banks - 5.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              | 0.66                        |   | Abbey National Treasury Services Plc London, Floating Rate Note, 9/29/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 747,731                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | ABN AMRO Bank NV, 1.375%, 1/22/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 501,710                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 1.08                        |   | ABN AMRO Bank NV, Floating Rate Note, 10/28/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 754,620                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,004,016                                                                                                                                               |
|                                                                                                                                                             | 575,000              |                        |   | Bank of America Corp., 1.25%, 1/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 576,353                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Bank of America Corp., 1.35%, 11/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 501,028                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Bank of America Corp., 3.7%, 9/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 503,690                                                                                                                                                 |
|                                                                                                                                                             | 408,000              | 0.89                        |   | Bank of America Corp., Floating Rate Note, 8/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 408,041                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Bank of America NA, 1.75%, 6/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 749,348                                                                                                                                                 |
|                                                                                                                                                             | 1,135,000            |                        |   | Bank of Montreal, 0.8%, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,136,897                                                                                                                                               |
|                                                                                                                                                             | 229,000              | 0.86                        |   | Barclays Bank Plc, Floating Rate Note, 2/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 229,561                                                                                                                                                 |
|                                                                                                                                                             | 550,000              | 1.51                        |   | BPCE SA, Floating Rate Note, 4/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 554,524                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Citigroup, Inc., 1.3%, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 501,745                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Citigroup, Inc., 1.8%, 2/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 750,148                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.95                        |   | Citigroup, Inc., Floating Rate Note, 11/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 751,688                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.06                        |   | Citigroup, Inc., Floating Rate Note, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 501,442                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 1.24                        |   | Citigroup, Inc., Floating Rate Note, 7/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 753,132                                                                                                                                                 |
|                                                                                                                                                             | 650,000              | 0.63                        |   | Commonwealth Bank of Australia, Floating Rate Note, 3/13/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 650,335                                                                                                                                                 |
|                                                                                                                                                             | 460,000              | 1.04                        |   | Commonwealth Bank of Australia, Floating Rate Note, 9/18/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 461,028                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.53                        |   | Commonwealth Bank of Australia, Floating Rate Note, 9/8/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 749,657                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.75                        |   | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA New York, Floating Rate Note, 3/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 501,455                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | HSBC Bank Middle East, Ltd., 3.0%, 10/21/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 754,650                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | HSBC Bank Plc, 3.5%, 6/28/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 751,867                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.56                        |   | HSBC USA, Inc., Floating Rate Note, 6/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 747,770                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Intesa Sanpaolo S.p.A., 3.125%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 505,978                                                                                                                                                 |
|                                                                                                                                                             | 1,375,000            |                        |   | Intesa Sanpaolo S.p.A., 3.625%, 8/12/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,381,868                                                                                                                                               |
|                                                                                                                                                             | 492,000              |                        |   | JPMorgan Chase & Co., 1.1%, 10/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 492,497                                                                                                                                                 |
|                                                                                                                                                             | 265,000              |                        |   | JPMorgan Chase & Co., 3.4%, 6/24/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 265,437                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.79                        |   | JPMorgan Chase & Co., Floating Rate Note, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,970                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.93                        |   | JPMorgan Chase & Co., Floating Rate Note, 2/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 498,650                                                                                                                                                 |
|                                                                                                                                                             | 320,000              | 0.90                        |   | JPMorgan Chase & Co., Floating Rate Note, 2/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 320,728                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 0.72                        |   | Nordea Bank AB, Floating Rate Note, 5/13/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 250,942                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Royal Bank of Canada, 1.45%, 9/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,008,829                                                                                                                                               |
|                                                                                                                                                             | 550,000              | 0.61                        |   | Royal Bank of Canada, Floating Rate Note, 1/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 551,134                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.51                        |   | Royal Bank of Canada, Floating Rate Note, 6/16/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,000,184                                                                                                                                               |
|                                                                                                                                                             | 750,000              | 0.68                        |   | Sumitomo Mitsui Banking Corp., Floating Rate Note, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 749,848                                                                                                                                                 |
|                                                                                                                                                             | 300,000              | 0.93                        |   | Sumitomo Mitsui Banking Corp., Floating Rate Note, 7/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 301,006                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.02                        |   | Sumitomo Mitsui Trust Bank, Ltd., Floating Rate Note, 9/16/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 502,232                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.72                        |   | Svenska Handelsbanken AB, Floating Rate Note, 9/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,004,664                                                                                                                                               |
|                                                                                                                                                             | 500,000              |                        |   | The Bank of Nova Scotia, 1.1%, 12/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 501,073                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | The Bank of Nova Scotia, 1.375%, 7/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 503,802                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | The Bank of Nova Scotia, 1.45%, 4/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 500,040                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., 1.55%, 9/9/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,005,429                                                                                                                                               |
|                                                                                                                                                             | 305,000              |                        |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., 2.7%, 9/9/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 313,450                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.65                        |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 3/10/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 499,644                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.55                        |   | The Bank of Tokyo-Mitsubishi UFJ, Ltd., Floating Rate Note, 9/8/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 498,426                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | The Huntington National Bank, 1.3%, 11/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 496,876                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.68                        |   | The Huntington National Bank, Floating Rate Note, 4/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 498,701                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.88                        |   | The Korea Development Bank, Floating Rate Note, 1/22/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 749,658                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | The Toronto-Dominion Bank, 1.4%, 4/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,040                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.49                        |   | The Toronto-Dominion Bank, Floating Rate Note, 5/2/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 500,243                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.72                        |   | The Toronto-Dominion Bank, Floating Rate Note, 9/9/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 501,765                                                                                                                                                 |
|                                                                                                                                                             | 755,000              |                        |   | US Bancorp, 2.45%, 7/27/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 757,400                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Wells Fargo & Co., 1.25%, 7/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 501,804                                                                                                                                                 |
|                                                                                                                                                             | 575,000              | 0.91                        |   | Wells Fargo & Co., Floating Rate Note, 4/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 578,943                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.59                        |   | Westpac Banking Corp., Floating Rate Note, 5/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,001,057                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 34,785,754                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Regional Banks - 3.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             | 103,000              |                        |   | BB&T Corp., 1.6%, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 103,732                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Branch Banking & Trust Co., 1.35%, 10/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 501,566                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Branch Banking & Trust Co., 2.3%, 10/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 511,764                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 0.56                        |   | Branch Banking & Trust Co., Floating Rate Note, 5/23/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 248,792                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.59                        |   | Branch Banking & Trust Co., Floating Rate Note, 9/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 498,544                                                                                                                                                 |
|                                                                                                                                                             | 700,000              | 0.70                        |   | Capital One NA, Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 700,615                                                                                                                                                 |
|                                                                                                                                                             | 730,000              | 0.69                        |   | Fifth Third Bancorp, Floating Rate Note, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 726,065                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Fifth Third Bank Cincinnati Ohio, 1.15%, 11/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 751,319                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.67                        |   | Fifth Third Bank Cincinnati Ohio, Floating Rate Note, 2/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 500,752                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | KeyBank NA Cleveland Ohio, 1.1%, 11/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 500,566                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | KeyBank NA Cleveland Ohio, 1.65%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,003,058                                                                                                                                               |
|                                                                                                                                                             | 931,000              |                        |   | KeyCorp, 3.75%, 8/13/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 936,580                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.65                        |   | Manufacturers & Traders Trust Co., Floating Rate Note, 1/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 500,012                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.56                        |   | Manufacturers & Traders Trust Co., Floating Rate Note, 7/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 995,676                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | MUFG Union Bank NA, 2.625%, 9/26/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,026,661                                                                                                                                               |
|                                                                                                                                                             | 1,450,000            | 1.00                        |   | MUFG Union Bank NA, Floating Rate Note, 9/26/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,456,412                                                                                                                                               |
|                                                                                                                                                             | 250,000              | 0.62                        |   | National City Bank Cleveland Ohio, Floating Rate Note, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 249,278                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.45                        |   | Nordea Bank Finland Plc New York, Floating Rate Note, 6/13/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,000,190                                                                                                                                               |
|                                                                                                                                                             | 450,000              |                        |   | PNC Bank NA, 0.8%, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 450,742                                                                                                                                                 |
|                                                                                                                                                             | 450,000              |                        |   | PNC Bank NA, 1.125%, 1/27/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 450,677                                                                                                                                                 |
|                                                                                                                                                             | 550,000              |                        |   | PNC Bank NA, 1.3%, 10/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 552,809                                                                                                                                                 |
|                                                                                                                                                             | 600,000              |                        |   | PNC Bank NA, 1.6%, 6/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 601,411                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.57                        |   | PNC Bank NA, Floating Rate Note, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,632                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.55                        |   | PNC Bank NA, Floating Rate Note, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 748,554                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | SunTrust Bank, 1.35%, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 501,452                                                                                                                                                 |
|                                                                                                                                                             | 805,000              | 0.70                        |   | SunTrust Bank, Floating Rate Note, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 804,137                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | SunTrust Banks, Inc., 3.5%, 1/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 517,121                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.71                        |   | The Toronto-Dominion Bank, Floating Rate Note, 7/2/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 748,463                                                                                                                                                 |
|                                                                                                                                                             | 1,077,000            | 0.54                        |   | Wachovia Corp., Floating Rate Note, 6/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,073,307                                                                                                                                               |
|                                                                                                                                                             | 1,050,000            |                        |   | Wells Fargo & Co., 1.5%, 7/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,050,982                                                                                                                                               |
|                                                                                                                                                             | 585,000              | 1.19                        |   | Wells Fargo & Co., Floating Rate Note, 6/26/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 585,395                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 0.47                        |   | Wells Fargo Bank NA, Floating Rate Note, 5/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 249,632                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 21,046,896                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 55,832,650                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Diversified Financials - 5.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Other Diversified Financial Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Bank of America NA, 1.25%, 2/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 500,516                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.54                        |   | General Electric Capital Corp., Floating Rate Note, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 752,236                                                                                                                                                 |
|                                                                                                                                                             | 296,000              | 0.90                        |   | General Electric Capital Corp., Floating Rate Note, 7/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 298,124                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.38                        |   | General Electric Capital Corp., Floating Rate Note, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 507,751                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,058,627                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Multi-Sector Holdings - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            | 0.42                        |   | Berkshire Hathaway Finance Corp., Floating Rate Note, 1/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,001,075                                                                                                                                               |
|                                                                                                                                                             | 1,000,000            | 0.40                        |   | Berkshire Hathaway Finance Corp., Floating Rate Note, 8/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 999,818                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,000,893                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Specialized Finance - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 700,000              |                        |   | Harley-Davidson Financial Services, Inc., 1.15%, 9/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 701,222                                                                                                                                                 |
|                                                                                                                                                             | 175,000              |                        |   | Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 179,379                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.56                        |   | National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 11/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 500,380                                                                                                                                                 |
|                                                                                                                                                             | 150,000              |                        |   | NYSE Holdings LLC, 2.0%, 10/5/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 151,861                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,532,842                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Consumer Finance - 2.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Ally Financial, Inc., 3.6%, 5/21/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 502,500                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | American Express Credit Corp., 1.3%, 7/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 502,649                                                                                                                                                 |
|                                                                                                                                                             | 200,000              | 1.37                        |   | American Express Credit Corp., Floating Rate Note, 6/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 200,059                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            | 0.56                        |   | American Express Credit Corp., Floating Rate Note, 9/22/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 997,916                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | American Honda Finance Corp., 1.125%, 10/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 502,515                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | American Honda Finance Corp., 1.2%, 7/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 751,512                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.58                        |   | American Honda Finance Corp., Floating Rate Note, 12/11/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 751,870                                                                                                                                                 |
|                                                                                                                                                             | 1,675,000            | 0.64                        |   | American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,680,326                                                                                                                                               |
|                                                                                                                                                             | 975,000              |                        |   | Capital One Financial Corp., 1.0%, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 976,342                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Capital One NA, 1.65%, 2/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 746,837                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Caterpillar Financial Services Corp., 1.0%, 11/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,003,842                                                                                                                                               |
|                                                                                                                                                             | 1,125,000            |                        |   | Caterpillar Financial Services Corp., 1.35%, 9/6/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,134,806                                                                                                                                               |
|                                                                                                                                                             | 500,000              |                        |   | Hyundai Capital America, 1.875%, 8/9/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 504,566                                                                                                                                                 |
|                                                                                                                                                             | 1,375,000            |                        |   | Hyundai Capital America, 3.75%, 4/6/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 1,404,645                                                                                                                                               |
|                                                                                                                                                             | 485,000              | 0.43                        |   | PACCAR Financial Corp., Floating Rate Note, 6/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 485,289                                                                                                                                                 |
|                                                                                                                                                             | 3,150,000            |                        |   | Toyota Motor Credit Corp., 0.75%, 3/3/17 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 3,153,011                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 15,298,685                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Asset Management & Custody Banks - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              |                        |   | The Bank of New York Mellon Corp., 1.969%, 6/20/17 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 763,414                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | The Bank of New York Mellon Corp., 2.95%, 6/18/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 750,793                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,514,207                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Investment Banking & Brokerage - 1.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              | 1.01                        |   | Morgan Stanley, Floating Rate Note, 1/5/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 753,067                                                                                                                                                 |
|                                                                                                                                                             | 275,000              | 3.10                        |   | Morgan Stanley, Floating Rate Note, 11/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 289,394                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.53                        |   | Morgan Stanley, Floating Rate Note, 2/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 503,456                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.11                        |   | Morgan Stanley, Floating Rate Note, 6/6/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 502,510                                                                                                                                                 |
|                                                                                                                                                             | 650,000              |                        |   | North American Development Bank, 2.3%, 10/10/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 662,219                                                                                                                                                 |
|                                                                                                                                                             | 2,108,000            |                        |   | Raymond James Financial, Inc., 4.25%, 4/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,168,502                                                                                                                                               |
|                                                                                                                                                             | 1,500,000            | 0.67                        |   | The Bear Stearns Companies LLC, Floating Rate Note, 11/21/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,499,204                                                                                                                                               |
|                                                                                                                                                             | 250,000              |                        |   | The Charles Schwab Corp., 0.85%, 12/4/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 250,558                                                                                                                                                 |
|                                                                                                                                                             | 2,125,000            |                        |   | The Goldman Sachs Group, Inc., 1.6%, 11/23/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,134,125                                                                                                                                               |
|                                                                                                                                                             | 340,000              |                        |   | The Goldman Sachs Group, Inc., 3.7%, 8/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 341,644                                                                                                                                                 |
|                                                                                                                                                             | 475,000              | 0.71                        |   | The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 474,772                                                                                                                                                 |
|                                                                                                                                                             | 700,000              | 0.68                        |   | The Goldman Sachs Group, Inc., Floating Rate Note, 7/22/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 700,125                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 10,279,576                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 32,684,830                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Insurance - 6.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Insurance Brokers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              |                        |   | Aon Corp., 3.125%, 5/27/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 766,298                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Life & Health Insurance - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Aflac, Inc., 3.45%, 8/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 502,694                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Lincoln National Corp., 4.3%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 250,332                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.48                        |   | Pricoa Global Funding I, Floating Rate Note, 6/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,054                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Principal Life Global Funding II, 1.2%, 5/19/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 752,132                                                                                                                                                 |
|                                                                                                                                                             | 390,000              | 0.63                        |   | Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 390,727                                                                                                                                                 |
|                                                                                                                                                             | 350,000              |                        |   | Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 352,395                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,748,334                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Multi-line Insurance - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 300,000              |                        |   | Assurant, Inc., 2.5%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 304,918                                                                                                                                                 |
|                                                                                                                                                             | 300,000              | 0.81                        |   | Metropolitan Life Global Funding I, Floating Rate Note, 7/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 301,466                                                                                                                                                 |
|                                                                                                                                                             | 1,250,000            |                        |   | Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,282,858                                                                                                                                               |
|                                                                                                                                                             | 500,000              |                        |   | New York Life Global Funding, 1.125%, 3/1/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 501,352                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | New York Life Global Funding, 1.45%, 12/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 753,840                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.28                        |   | New York Life Global Funding, Floating Rate Note, 10/29/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 749,818                                                                                                                                                 |
|                                                                                                                                                             | 1,050,000            | 0.61                        |   | New York Life Global Funding, Floating Rate Note, 5/23/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,053,024                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 4,947,276                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Reinsurance - 5.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 250,000              | 6.36                        |   | Alamo Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 251,425                                                                                                                                                 |
|                                                                                                                                                             | 350,000              | 0.00                        |   | Alamo Re, Ltd., Floating Rate Note, 6/7/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 350,035                                                                                                                                                 |
|                                                                                                                                                             | 218,850              |                        |   | Altair Re, Variable Rate Notes, 6/30/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 127,021                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Altair Re, Variable Rate Notes, 6/30/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 512,350                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Arlington Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 8/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 284,625                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 3.46                        |   | Atlas IX Capital, Ltd., Floating Rate Note, 1/17/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 507,700                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 8.14                        |   | Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 251,300                                                                                                                                                 |
|                                                                                                                                                             | 800,000              | 4.28                        |   | Blue Danube II, Ltd., Floating Rate Note, 5/23/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 798,640                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 5.27                        |   | Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 493,500                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 6.86                        |   | Caelus Re, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 759,150                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 4.26                        |   | Citrus Re, Ltd., Floating Rate Note, 4/18/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 243,775                                                                                                                                                 |
|                                                                                                                                                             | 600,000              | 3.76                        |   | Citrus Re, Ltd., Floating Rate Note, 4/24/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 585,300                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 0.00                        |   | Compass Re II, Ltd., Floating Rate Note, 12/8/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 237,500                                                                                                                                                 |
|                                                                                                                                                             | 350,000              | 0.00                        |   | East Lane Re VI, Ltd., Floating Rate Note, 3/13/20 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 344,470                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 2.76                        |   | East Lane Re VI, Ltd., Floating Rate Note, 3/14/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 491,850                                                                                                                                                 |
|                                                                                                                                                             | 700,000              |                        |   | Eden Re II, Ltd., 4/19/18 (Cat Bond) (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 713,300                                                                                                                                                 |
|                                                                                                                                                             | 685,125              |                        |   | Exeter Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 689,784                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Fairfield Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 2/2/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 237,225                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 7.43                        |   | Galileo Re, Ltd., Floating Rate Note, 1/9/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 508,450                                                                                                                                                 |
|                                                                                                                                                             | 600,000              | 6.70                        |   | Gator Re, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 541,440                                                                                                                                                 |
|                                                                                                                                                             | 600,000              |                        |   | Gloucester Segregated Account (Kane SAC Ltd.), Variable Rate Notes, 6/12/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 599,580                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 2.22                        |   | Golden State Re II, Ltd., Floating Rate Note, 1/8/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 747,375                                                                                                                                                 |
|                                                                                                                                                             | 800,000              |                        |   | Gullane Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/22/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 834,240                                                                                                                                                 |
|                                                                                                                                                             | 210,250              |                        |   | Hereford Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/7/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 211,743                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 4.00                        |   | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 499,750                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 4.51                        |   | Ibis Re II, Ltd., Floating Rate Note, 6/28/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 249,525                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 3.77                        |   | Kilimanjaro Re, Ltd., Floating Rate Note, 11/25/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 741,450                                                                                                                                                 |
|                                                                                                                                                             | 650,000              | 4.77                        |   | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 647,075                                                                                                                                                 |
|                                                                                                                                                             | 350,000              | 4.52                        |   | Kilimanjaro Re, Ltd., Floating Rate Note, 4/30/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 349,300                                                                                                                                                 |
|                                                                                                                                                             | 450,000              | 2.27                        |   | Kizuna Re II, Ltd., Floating Rate Note, 4/6/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 450,405                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Lahinch Re, 6/15/16 (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 241,225                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 3.97                        |   | Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 501,200                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 0.00                        |   | Longpoint Re, Ltd. III, Floating Rate Note, 5/24/21 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 249,275                                                                                                                                                 |
|                                                                                                                                                             | 900,000              | 6.02                        |   | Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 900,810                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Lorenz Re, Ltd., 3/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 252,825                                                                                                                                                 |
|                                                                                                                                                             | 650,000              | 2.02                        |   | Merna Re V, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 646,815                                                                                                                                                 |
|                                                                                                                                                             | 400,000              | 4.52                        |   | MetroCat Re, Ltd., Floating Rate Note, 8/5/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 402,520                                                                                                                                                 |
|                                                                                                                                                             | 444,667              |                        |   | Muirfield Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 446,757                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 8.60                        |   | Mythen Re, Ltd., Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 518,700                                                                                                                                                 |
|                                                                                                                                                             | 700,000              | 8.02                        |   | Mythen Re, Ltd., Series 2013-1 Class B, Floating Rate Note, 7/9/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 701,330                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 7.27                        |   | Northshore Re, Ltd., Floating Rate Note, 7/5/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 510,350                                                                                                                                                 |
|                                                                                                                                                             | 1,000,000            |                        |   | Pangaea Re, Series 2015-1, Principal at Risk Notes, 2/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 1,056,700                                                                                                                                               |
|                                                                                                                                                             | 500,000              | 3.51                        |   | Queen City Re, Floating Rate Note, 1/6/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 492,800                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 8.61                        |   | Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 508,850                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 0.00                        |   | Queen Street X RE, Ltd., Floating Rate Note, 6/8/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 245,350                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 8.76                        |   | Residential Reinsurance 2011, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 499,800                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 9.01                        |   | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 499,800                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 8.91                        |   | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 499,550                                                                                                                                                 |
|                                                                                                                                                             | 1,150,000            | 4.51                        |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,164,720                                                                                                                                               |
|                                                                                                                                                             | 250,000              | 5.76                        |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 255,150                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 12.76                       |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 262,825                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 8.01                        |   | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 261,575                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 9.26                        |   | Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 259,500                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 3.51                        |   | Residential Reinsurance 2014, Ltd., Floating Rate Note, 6/6/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 251,450                                                                                                                                                 |
|                                                                                                                                                             | 320,000              | 4.02                        |   | Riverfront Re, Ltd., Floating Rate Note, 1/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 316,544                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 3.54                        |   | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 738,150                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 4.02                        |   | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 738,150                                                                                                                                                 |
|                                                                                                                                                             | 650,000              | 3.92                        |   | Sanders Re, Ltd., Floating Rate Note, 6/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 643,760                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Sector Re V, Ltd., 12/1/19  (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 262,775                                                                                                                                                 |
|                                                                                                                                                             | 516                  |                        |   | Sector Re V, Ltd., 3/30/19  (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 70,038                                                                                                                                                  |
|                                                                                                                                                             | 300,000              |                        |   | Sector Re V, Ltd., 3/1/20  (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 300,810                                                                                                                                                 |
|                                                                                                                                                             | 250,000              |                        |   | Silverton Re, Ltd., 9/16/16  (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 9,750                                                                                                                                                   |
|                                                                                                                                                             | 400,000              |                        |   | Silverton RE, Ltd., 9/18/17  (144A) (d)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 435,880                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 8.51                        |   | Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 255,750                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 5.03                        |   | Tradewynd Re, Ltd., Floating Rate Note, 1/8/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 246,025                                                                                                                                                 |
|                                                                                                                                                             | 458,833              |                        |   | Troon Segregated Account (KANE SAC Ltd.), Variable Rate Notes, 1/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 460,393                                                                                                                                                 |
|                                                                                                                                                             | 800,000              |                        |   | Versutus Ltd., Series 2015-A, Variable Rate Notes, 12/31/2017                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 829,520                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 2.76                        |   | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 761,400                                                                                                                                                 |
|                                                                                                                                                             | 250,000              | 3.46                        |   | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 253,925                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 2.77                        |   | Vitality Re IV, Ltd., Floating Rate Note, 1/9/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 509,100                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 1.77                        |   | Vitality Re V, Ltd., Floating Rate Note, 1/7/19 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 501,350                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 33,222,480                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 41,684,388                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | Real Estate - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Health Care REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 506,592                                                                                                                                                 |
|                                                                                                                                                             | 290,000              |                        |   | Senior Housing Properties Trust, 4.3%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 293,327                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 799,919                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Specialized REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Ventas Realty LP, 3.125%, 11/30/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 505,407                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,305,326                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Software & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Systems Software - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 300,000              |                        |   | Oracle Corp., 2.25%, 10/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 304,242                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Oracle Corp., 2.375%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 511,977                                                                                                                                                 |
|                                                                                                                                                             | 575,000              | 0.47                        |   | Oracle Corp., Floating Rate Note, 7/7/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 576,050                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,392,269                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,392,269                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Technology Hardware & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Computer Storage & Peripherals - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 400,000              | 0.30                        |   | Apple, Inc., Floating Rate Note, 5/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 400,285                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 400,285                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Semiconductors & Semiconductor Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Semiconductors - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Altera Corp., 2.5%, 11/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 510,440                                                                                                                                                 |
|                                                                                                                                                             | 700,000              |                        |   | Intel Corp., 1.35%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 704,130                                                                                                                                                 |
|                                                                                                                                                             | 400,000              |                        |   | Micron Semiconductor Asia Pte, Ltd., 1.258%, 1/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 399,954                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Texas Instruments, Inc., 0.875%, 3/12/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,940                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,115,464                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 2,115,464                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Telecommunication Services - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Integrated Telecommunication Services - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            |                        |   | GTP Acquisition Partners I LLC, 2.35%, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,003,030                                                                                                                                               |
|                                                                                                                                                             | 500,000              |                        |   | Ooredoo International Finance, Ltd., 3.375%, 10/14/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 512,339                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Telefonica Emisiones SAU, 3.992%, 2/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 510,120                                                                                                                                                 |
|                                                                                                                                                             | 935,000              |                        |   | Verizon Communications, Inc., 0.7%, 11/2/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 934,959                                                                                                                                                 |
|                                                                                                                                                             | 1,285,000            | 1.80                        |   | Verizon Communications, Inc., Floating Rate Note, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,304,008                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 4,264,456                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Wireless Telecommunication Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            | 1.24                        |   | America Movil SAB de CV, Floating Rate Note, 9/12/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,002,897                                                                                                                                               |
|                                                                                                                                                             | 275,000              | 0.66                        |   | Vodafone Group Plc, Floating Rate Note, 2/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 274,881                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,277,778                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 5,542,234                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Utilities - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Electric Utilities - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | American Electric Power Co., Inc., 1.65%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 501,102                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | Commonwealth Edison Co., 1.95%, 9/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 507,244                                                                                                                                                 |
|                                                                                                                                                             | 750,000              |                        |   | Duke Energy Carolinas LLC, 1.75%, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 761,227                                                                                                                                                 |
|                                                                                                                                                             | 695,000              |                        |   | Duke Energy Florida, Inc., 0.65%, 11/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 695,603                                                                                                                                                 |
|                                                                                                                                                             | 303,000              | 0.60                        |   | Duke Energy Indiana, Inc., Floating Rate Note, 7/11/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 303,397                                                                                                                                                 |
|                                                                                                                                                             | 411,000              | 0.44                        |   | Duke Energy Progress, Inc., Floating Rate Note, 3/6/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 410,424                                                                                                                                                 |
|                                                                                                                                                             | 750,000              | 0.72                        |   | Electricite de France SA, Floating Rate Note, 1/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 750,802                                                                                                                                                 |
|                                                                                                                                                             | 827,000              | 0.59                        |   | Georgia Power Co., Floating Rate Note, 3/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 826,741                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 0.66                        |   | Georgia Power Co., Floating Rate Note, 8/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 499,470                                                                                                                                                 |
|                                                                                                                                                             | 341,000              | 0.50                        |   | NSTAR Electric Co., Floating Rate Note, 5/17/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 340,862                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 5,596,872                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Gas Utilities - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | DCP Midstream Operating LP, 3.25%, 10/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 500,014                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | PSEG Power LLC, 2.75%, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 511,073                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 6,607,959                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Government - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Government - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,000,000            |                        |   | Banco Nacional de Desenvolvimento Economico e Social, 3.375%, 9/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,013,750                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Government                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,013,750                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | TOTAL CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $199,392,270)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 199,405,964                                                                                                                                             |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 7.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,724,498            |                        |   | Fannie Mae, 2.0%, 11/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,749,591                                                                                                                                               |
|                                                                                                                                                             | 1,175,585            |                        |   | Fannie Mae, 2.5%, 3/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,206,936                                                                                                                                               |
|                                                                                                                                                             | 372,064              |                        |   | Fannie Mae, 2.5%, 6/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 383,531                                                                                                                                                 |
|                                                                                                                                                             | 1,182,255            |                        |   | Fannie Mae, 3.0%, 10/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,237,111                                                                                                                                               |
|                                                                                                                                                             | 1,405,601            |                        |   | Fannie Mae, 3.0%, 11/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,473,014                                                                                                                                               |
|                                                                                                                                                             | 913,954              |                        |   | Fannie Mae, 3.0%, 5/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 955,647                                                                                                                                                 |
|                                                                                                                                                             | 562,254              |                        |   | Fannie Mae, 4.0%, 12/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 592,467                                                                                                                                                 |
|                                                                                                                                                             | 253,835              |                        |   | Fannie Mae, 4.5%, 1/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 278,756                                                                                                                                                 |
|                                                                                                                                                             | 425,598              |                        |   | Fannie Mae, 4.5%, 5/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 469,764                                                                                                                                                 |
|                                                                                                                                                             | 722,179              |                        |   | Fannie Mae, 4.5%, 5/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 803,368                                                                                                                                                 |
|                                                                                                                                                             | 637,823              |                        |   | Fannie Mae, 5.0%, 10/1/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 709,130                                                                                                                                                 |
|                                                                                                                                                             | 221,778              |                        |   | Fannie Mae, 5.0%, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 236,827                                                                                                                                                 |
|                                                                                                                                                             | 293                  |                        |   | Fannie Mae, 5.0%, 7/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 294                                                                                                                                                     |
|                                                                                                                                                             | 53,458               |                        |   | Fannie Mae, 5.5%, 12/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 60,564                                                                                                                                                  |
|                                                                                                                                                             | 293,855              |                        |   | Fannie Mae, 5.5%, 8/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 333,635                                                                                                                                                 |
|                                                                                                                                                             | 224,701              |                        |   | Fannie Mae, 6.0%, 10/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 244,855                                                                                                                                                 |
|                                                                                                                                                             | 33,179               |                        |   | Fannie Mae, 6.0%, 2/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 37,856                                                                                                                                                  |
|                                                                                                                                                             | 30,441               |                        |   | Fannie Mae, 6.0%, 4/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 34,829                                                                                                                                                  |
|                                                                                                                                                             | 251,747              |                        |   | Fannie Mae, 6.5%, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 291,431                                                                                                                                                 |
|                                                                                                                                                             | 999                  |                        |   | Fannie Mae, 6.5%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,013                                                                                                                                                   |
|                                                                                                                                                             | 6,526                |                        |   | Fannie Mae, 6.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 7,577                                                                                                                                                   |
|                                                                                                                                                             | 12,562               |                        |   | Fannie Mae, 6.5%, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 12,987                                                                                                                                                  |
|                                                                                                                                                             | 20,260               |                        |   | Fannie Mae, 7.0%, 1/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 22,205                                                                                                                                                  |
|                                                                                                                                                             | 33,269               |                        |   | Fannie Mae, 7.0%, 7/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 33,910                                                                                                                                                  |
|                                                                                                                                                             | 53,558               | 2.60                        |   | Fannie Mae, Floating Rate Note, 1/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 54,744                                                                                                                                                  |
|                                                                                                                                                             | 100,733              | 2.57                        |   | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 103,234                                                                                                                                                 |
|                                                                                                                                                             | 82,338               | 2.28                        |   | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 83,615                                                                                                                                                  |
|                                                                                                                                                             | 307,763              | 1.90                        |   | Fannie Mae, Floating Rate Note, 10/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 309,997                                                                                                                                                 |
|                                                                                                                                                             | 83,835               | 2.55                        |   | Fannie Mae, Floating Rate Note, 11/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 87,385                                                                                                                                                  |
|                                                                                                                                                             | 2,195                | 2.24                        |   | Fannie Mae, Floating Rate Note, 11/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 2,323                                                                                                                                                   |
|                                                                                                                                                             | 30,817               | 1.55                        |   | Fannie Mae, Floating Rate Note, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 31,252                                                                                                                                                  |
|                                                                                                                                                             | 49,773               | 2.47                        |   | Fannie Mae, Floating Rate Note, 12/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 52,032                                                                                                                                                  |
|                                                                                                                                                             | 211,713              | 4.35                        |   | Fannie Mae, Floating Rate Note, 12/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 225,630                                                                                                                                                 |
|                                                                                                                                                             | 11,254               | 2.45                        |   | Fannie Mae, Floating Rate Note, 2/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 11,309                                                                                                                                                  |
|                                                                                                                                                             | 1,282                | 3.04                        |   | Fannie Mae, Floating Rate Note, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,352                                                                                                                                                   |
|                                                                                                                                                             | 3,143                | 2.71                        |   | Fannie Mae, Floating Rate Note, 4/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,164                                                                                                                                                   |
|                                                                                                                                                             | 2,757                | 2.46                        |   | Fannie Mae, Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,831                                                                                                                                                   |
|                                                                                                                                                             | 48,604               | 2.37                        |   | Fannie Mae, Floating Rate Note, 7/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 52,431                                                                                                                                                  |
|                                                                                                                                                             | 893,309              |                        |   | Federal Home Loan Mortgage Corp., 2.5%, 10/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 916,160                                                                                                                                                 |
|                                                                                                                                                             | 197,152              |                        |   | Federal Home Loan Mortgage Corp., 4.0%, 5/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 210,439                                                                                                                                                 |
|                                                                                                                                                             | 161,088              |                        |   | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 168,212                                                                                                                                                 |
|                                                                                                                                                             | 132,947              |                        |   | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 138,826                                                                                                                                                 |
|                                                                                                                                                             | 101,652              |                        |   | Federal Home Loan Mortgage Corp., 5.0%, 12/1/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 113,265                                                                                                                                                 |
|                                                                                                                                                             | 65,616               |                        |   | Federal Home Loan Mortgage Corp., 5.0%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 70,197                                                                                                                                                  |
|                                                                                                                                                             | 45,120               |                        |   | Federal Home Loan Mortgage Corp., 5.5%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 48,897                                                                                                                                                  |
|                                                                                                                                                             | 4,572                |                        |   | Federal Home Loan Mortgage Corp., 6.5%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,676                                                                                                                                                   |
|                                                                                                                                                             | 2,203                | 2.48                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,323                                                                                                                                                   |
|                                                                                                                                                             | 326,779              | 2.41                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 332,217                                                                                                                                                 |
|                                                                                                                                                             | 5,790                | 2.38                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 6,182                                                                                                                                                   |
|                                                                                                                                                             | 260,666              | 2.41                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 261,501                                                                                                                                                 |
|                                                                                                                                                             | 16,753               | 2.60                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 17,249                                                                                                                                                  |
|                                                                                                                                                             | 1,962                | 2.62                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,988                                                                                                                                                   |
|                                                                                                                                                             | 5,489                | 2.17                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 5,505                                                                                                                                                   |
|                                                                                                                                                             | 3,439                | 2.88                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 3,446                                                                                                                                                   |
|                                                                                                                                                             | 86,559               | 2.41                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 90,275                                                                                                                                                  |
|                                                                                                                                                             | 859                  | 2.38                        |   | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 885                                                                                                                                                     |
|                                                                                                                                                             | 1,104,010            |                        |   | Federal National Mortgage Association, 2.0%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,119,983                                                                                                                                               |
|                                                                                                                                                             | 1,150,005            |                        |   | Federal National Mortgage Association, 2.5%, 9/1/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,185,405                                                                                                                                               |
|                                                                                                                                                             | 780,125              |                        |   | Federal National Mortgage Association, 3.0%, 12/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 815,713                                                                                                                                                 |
|                                                                                                                                                             | 975,705              |                        |   | Federal National Mortgage Association, 4.0%, 1/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,028,122                                                                                                                                               |
|                                                                                                                                                             | 1,015,755            |                        |   | Federal National Mortgage Association, 4.0%, 10/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,070,960                                                                                                                                               |
|                                                                                                                                                             | 1,013,216            |                        |   | Federal National Mortgage Association, 4.0%, 3/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,068,117                                                                                                                                               |
|                                                                                                                                                             | 349,658              |                        |   | Federal National Mortgage Association, 4.0%, 8/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 368,373                                                                                                                                                 |
|                                                                                                                                                             | 289,760              |                        |   | Government National Mortgage Association I, 5.0%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 309,306                                                                                                                                                 |
|                                                                                                                                                             | 154,442              |                        |   | Government National Mortgage Association I, 6.0%, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 180,889                                                                                                                                                 |
|                                                                                                                                                             | 54,309               |                        |   | Government National Mortgage Association I, 6.0%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 63,623                                                                                                                                                  |
|                                                                                                                                                             | 111,958              |                        |   | Government National Mortgage Association I, 6.0%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 114,780                                                                                                                                                 |
|                                                                                                                                                             | 34,100               |                        |   | Government National Mortgage Association I, 6.5%, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 38,973                                                                                                                                                  |
|                                                                                                                                                             | 32,250               |                        |   | Government National Mortgage Association I, 6.5%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 38,692                                                                                                                                                  |
|                                                                                                                                                             | 7,237                |                        |   | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 8,271                                                                                                                                                   |
|                                                                                                                                                             | 51,707               |                        |   | Government National Mortgage Association I, 7.5%, 10/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 60,748                                                                                                                                                  |
|                                                                                                                                                             | 347,546              |                        |   | Government National Mortgage Association II, 6.0%, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 369,126                                                                                                                                                 |
|                                                                                                                                                             | 217,760              |                        |   | Government National Mortgage Association II, 6.0%, 11/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 243,153                                                                                                                                                 |
|                                                                                                                                                             | 162,546              |                        |   | Government National Mortgage Association II, 6.0%, 4/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 173,508                                                                                                                                                 |
|                                                                                                                                                             | 120,451              |                        |   | Government National Mortgage Association II, 6.0%, 8/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 125,963                                                                                                                                                 |
|                                                                                                                                                             | 3,000,000            |                        |   | U.S. Treasury Notes, 0.5%, 3/31/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 2,996,718                                                                                                                                               |
|                                                                                                                                                             | 10,500,000           |                        |   | U.S. Treasury Notes, 0.5%, 7/31/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 10,516,401                                                                                                                                              |
|                                                                                                                                                             | 12,000,000           |                        |   | U.S. Treasury Notes, 0.875%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 12,013,125                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   | TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $48,205,434)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 48,500,789                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | MUNICIPAL BONDS - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Municipal Airport - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             | 475,000              |                        |   | Massachusetts Port Authority, 5.0%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 497,059                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Municipal Development - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 250,000              | 3.00                        |   | Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 254,538                                                                                                                                                 |
|                                                                                                                                                             | 500,000              |                        |   | State of Ohio, 3.0%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 500,590                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 755,128                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Municipal General - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 510,470                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Higher Municipal Education - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | University of California, 0.966%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 501,110                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Municipal Obligation - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 500,000              |                        |   | City of Pittsburgh Pennsylvania, 0.87%, 9/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 500,870                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | TOTAL MUNICIPAL BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $2,795,135)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 2,764,637                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | SENIOR FLOATING RATE LOAN INTERESTS - 7.9% **                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Energy - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Equipment & Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 347,375              | 3.75                        |   | 77 Energy, Tranche B Loan (First Lien), 6/17/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 326,822                                                                                                                                                 |
|                                                                                                                                                             | 986,241              | 3.88                        |   | Fieldwood Energy LLC, Closing Date Loan, 9/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 959,859                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,286,681                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Integrated Oil & Gas - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 839,375              | 4.00                        |   | Seadrill Operating LP, Initial Term Loan, 2/14/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 691,610                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Exploration & Production - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 748,125              | 5.50                        |   | TPF II Power, LLC, Term Loan, 10/2/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 759,934                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Oil & Gas Storage & Transportation - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 278,824              | 4.00                        |   | Energy Transfer Equity LP, Tranche B Loan (First Lien), 12/2/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 279,434                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Coal & Consumable Fuels - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 67,011               | 5.50                        |   | Foresight Energy LLC, Term Loan, 8/21/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 66,676                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 3,084,335                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Materials - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Commodity Chemicals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 523,688              | 4.75                        |   | Eco Services Operations, Initial Term Loan, 10/8/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 523,688                                                                                                                                                 |
|                                                                                                                                                             | 448,858              | 4.25                        |   | Tronox Pigments Holland BV, New Term Loan, 3/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 451,074                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 974,762                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Specialty Chemicals - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 548,625              | 3.75                        |   | Huntsman International LLC, 2014-1 Incremental Term Loan, 9/30/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 551,197                                                                                                                                                 |
|                                                                                                                                                             | 1,244,934            | 4.50                        |   | MacDermid, Inc., Tranche B Term Loan (First Lien), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,252,714                                                                                                                                               |
|                                                                                                                                                             | 72,115               | 2.75                        |   | WR Grace & Co-Conn, Delayed Draw Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 72,270                                                                                                                                                  |
|                                                                                                                                                             | 200,406              | 2.75                        |   | WR Grace & Co-Conn, U.S. Term Loan, 1/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 200,835                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,077,016                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Construction Materials - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             | 204,460              | 4.25                        |   | CeramTec Service GmbH, Initial Dollar Term B-1 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 205,355                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Metal & Glass Containers - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 99,250               | 5.50                        |   | BWay Intermediate, Initial Term Loan, 8/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 100,007                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Diversified Metals & Mining - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 73,828               | 3.75                        |   | Fortescue Metals Group Ltd., Bank Loan, 6/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 66,989                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   | Steel - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | 146,199              | 4.50                        |   | TMS International Corp., Term B Loan, 10/2/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 146,564                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Paper Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             | 498,731              | 5.75                        |   | Appvion, Inc., Term Commitment, 6/28/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 465,275                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 4,035,968                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Capital Goods - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Aerospace & Defense - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 197,252              | 3.50                        |   | Orbital ATK, Inc., Term B Loan, 10/22/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 197,784                                                                                                                                                 |
|                                                                                                                                                             | 850,938              | 3.25                        |   | Wesco Aircraft Hardare Corp., Tranche B Term Loan (First Lien), 2/24/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 850,672                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,048,456                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Building Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 497,487              | 4.25                        |   | Unifrax Corp., New Term B Loan, 12/31/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 497,487                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Construction & Engineering - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             | 319,103              | 3.75                        |   | Aecom Technology, Term Loan B, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 322,544                                                                                                                                                 |
|                                                                                                                                                             | 29,113               | 6.75                        |   | International Equipment Solutions LLC, Initial Loan, 8/16/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 29,204                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 351,748                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Electrical Components & Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 401,198              | 3.25                        |   | Southwire Co., Term Loan, 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 401,549                                                                                                                                                 |
|                                                                                                                                                             | 417,058              | 6.00                        |   | WireCo WorldGroup, Inc., Term Loan, 2/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 418,622                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 820,171                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Industrial Conglomerates - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 20,744               | 4.25                        |   | CeramTec Acquisition Corp., Initial Dollar Term B-2 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 20,835                                                                                                                                                  |
|                                                                                                                                                             | 61,556               | 4.25                        |   | CeramTec GmbH, Dollar Term B-3 Loan, 8/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 61,825                                                                                                                                                  |
|                                                                                                                                                             | 495,000              | 4.50                        |   | Milacron LLC, Tranche B Loan (First Lien), 9/28/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 498,094                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 580,754                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Construction & Farm Machinery & Heavy Trucks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 400,000              | 5.75                        |   | Navistar, Inc., Tranche B Term Loan, 8/17/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 402,500                                                                                                                                                 |
|                                                                                                                                                             | 257,041              | 3.50                        |   | Terex Corp., U.S. Term Loan, 8/13/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 257,844                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 660,344                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Industrial Machinery - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 389,286              | 6.00                        |   | NN, Inc., Term Loan, 8/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 391,714                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 4.25                        |   | Schaeffler AG, Facility B-USD, 5/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 503,592                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 895,306                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Trading Companies & Distributors - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             | 61,163               | 3.75                        |   | WESCO Distribution, Inc., Tranche B-1 Loan, 12/12/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 61,392                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 4,915,658                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Commercial Services & Supplies - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Environmental & Facilities Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 955,460              | 5.00                        |   | Wheelabrator, Term B Loan, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 968,590                                                                                                                                                 |
|                                                                                                                                                             | 42,146               | 5.00                        |   | Wheelabrator, Term C Loan, 10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 42,725                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,011,315                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Security & Alarm Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | 122,246              | 4.00                        |   | Garda World Security Corp., Term B Delayed Draw Loan, 11/8/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 122,246                                                                                                                                                 |
|                                                                                                                                                             | 477,869              | 4.00                        |   | Garda World Security Corp., Term B Loan, 11/1/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 477,869                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 600,115                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Human Resource & Employment Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 171,522              | 3.50                        |   | On Assignment, Inc., Initial Term B Loan, 5/15/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 171,736                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 1,783,166                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Transportation - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Airlines - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              | 3.75                        |   | American Airlines, Inc., Tranche B Loan (First lien), 10/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 753,375                                                                                                                                                 |
|                                                                                                                                                             | 98,737               | 3.25                        |   | Delta Air Lines, Inc., 2014 Term B-1 Loan, 10/18/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 98,907                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 852,282                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Marine - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 435,775              | 5.25                        |   | Navios Maritime Partners LP, Term Loan, 6/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 437,772                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,290,054                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Automobiles & Components - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Auto Parts & Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 533,333              | 6.00                        |   | BBB Industries US, Initial Term Loan,  10/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 538,333                                                                                                                                                 |
|                                                                                                                                                             | 488,341              | 3.75                        |   | MPG Holdco I, Inc., Initial Term Loan, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 490,066                                                                                                                                                 |
|                                                                                                                                                             | 997,449              | 4.25                        |   | Remy International, Inc., Term B Loan 2013, 3/5/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,001,189                                                                                                                                               |
|                                                                                                                                                             | 223,872              | 4.25                        |   | TI Group Automotive Systems LLC, Term Loan Facility, 7/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 224,572                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,254,160                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Automobile Manufacturers - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 895,125              | 3.50                        |   | Chrysler Group LLC, Term Loan B, 5/24/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 897,680                                                                                                                                                 |
|                                                                                                                                                             | 594,000              | 3.25                        |   | Chrysler Group LLC, Tranche B Term Loan, 12/29/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 595,361                                                                                                                                                 |
|                                                                                                                                                             | 298,500              | 6.00                        |   | Crown Group llc, Term Loan (First Lien), 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 297,754                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,790,795                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 4,044,955                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Consumer Durables & Apparel - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Housewares & Specialties - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 246,250              | 2.94                        |   | Jarden Corp., Tranche B1 Term Loan, 9/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 247,770                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Apparel, Accessories & Luxury Goods - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 317,061              | 3.25                        |   | PVH Corp., Tranche B Term Loan, 12/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 319,092                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 566,862                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Consumer Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Casinos & Gaming - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 342,125              | 3.50                        |   | MGM Resorts International, Term B Loan, 12/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 342,339                                                                                                                                                 |
|                                                                                                                                                             | 922,688              | 6.00                        |   | Scientific Games, Initial Term B-2, 10/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 927,590                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,269,929                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Hotels, Resorts & Cruise Lines - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 358,684              | 3.50                        |   | Hilton Worldwide Finance LLC, Initial Term Loan, 9/23/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 359,705                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Restaurants - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 533,037              | 3.75                        |   | Restaurant Brands International Inc., Tranche B Loan (First Lien), 12/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 535,036                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Education Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 394,957              | 4.00                        |   | Bright Horizons Family Solutions, Inc., Term B Loan, 1/14/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 396,315                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 2,560,985                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Media - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Broadcasting - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             | 350,000              | 3.00                        |   | CBS Outdoor Americas Capital llc, Tranche B Term Loan (First Lien), 1/15/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 349,956                                                                                                                                                 |
|                                                                                                                                                             | 275,000              | 3.50                        |   | E. W. Scripps Co., Term Loan (First Lien), 11/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 276,203                                                                                                                                                 |
|                                                                                                                                                             | 498,565              | 4.00                        |   | Entercom Radio llc, Term B-2 Loan, 11/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,356                                                                                                                                                 |
|                                                                                                                                                             | 801,032              | 3.75                        |   | Gray Television, Inc., Term Loan (First Lien), 6/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 803,619                                                                                                                                                 |
|                                                                                                                                                             | 197,985              | 3.25                        |   | Quebecor Media, Inc., Facility B-1 Tranche, 8/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 196,871                                                                                                                                                 |
|                                                                                                                                                             | 438,304              | 3.00                        |   | Sinclair Television Group, Inc., New Tranche B Term Loan, 4/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 437,959                                                                                                                                                 |
|                                                                                                                                                             | 806,849              | 4.00                        |   | Tribune Co., Tranche B Term Loan (First Lien), 11/20/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 808,967                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 3,373,931                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Cable & Satellite - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 396,000              | 2.65                        |   | Mediacom Illinois LLC, Tranche F Term Loan, 3/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 395,670                                                                                                                                                 |
|                                                                                                                                                             | 235,662              | 3.50                        |   | Virgin Media Investment Holdings, Ltd., New Term B Loan, 2/6/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 235,534                                                                                                                                                 |
|                                                                                                                                                             | 476,177              | 3.50                        |   | Ziggo BV, (USD) Tranche B-3 Term Loan, 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 475,195                                                                                                                                                 |
|                                                                                                                                                             | 449,291              | 3.50                        |   | Ziggo BV, Tranche B-1 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 448,365                                                                                                                                                 |
|                                                                                                                                                             | 289,532              | 3.50                        |   | Ziggo BV, Tranche B-2 Term Loan (First Lien), 1/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 288,935                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,843,699                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Movies & Entertainment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 246,231              | 3.50                        |   | AMC Entertainment, Inc., Initial Term Loan, 4/30/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 247,153                                                                                                                                                 |
|                                                                                                                                                             | 116,761              | 3.75                        |   | Cinedigm Digital Funding I LLC, Term Loan, 2/28/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 116,907                                                                                                                                                 |
|                                                                                                                                                             | 510,230              | 3.50                        |   | Live Nation Entertainment, Inc., Term B-1 Loan, 8/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 511,395                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 875,455                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 6,093,085                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Computer & Electronics Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 544,500              | 3.75                        |   | Rent-A-Center, Inc., Term Loan (2014), 2/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 545,181                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 545,181                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Food & Staples Retailing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Food Retail - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 646,754              | 5.38                        |   | Albertsons LLC, Term B-2 Loan, 3/21/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 651,039                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 651,039                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Food, Beverage & Tobacco - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Agricultural Products - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 519,750              | 3.25                        |   | Darling International, Inc., Term B USD Loan, 12/19/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 520,725                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Packaged Foods & Meats - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              | 3.75                        |   | Post Holdings, Inc., Tranche B Loan (First Lien), 5/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 750,117                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Other Diversified Financial Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             | 197,000              | 3.75                        |   | JBS USA LLC, Incremental Term Loan, 9/18/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 197,369                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,468,211                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Household & Personal Products - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Household Products - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 156,766              | 4.50                        |   | Polarpak, Inc., USD Term Loan (Canadian Borrower Portion), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 157,060                                                                                                                                                 |
|                                                                                                                                                             | 81,881               | 4.50                        |   | Polarpak, Inc., USD Term Loan (U.S. Borrower Portion), 6/7/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 82,034                                                                                                                                                  |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 239,094                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Personal Products - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             | 943,063              | 4.00                        |   | Party City Holdings, Inc., 2014 Replacement Term Loan, 7/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 946,094                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Household & Personal Products                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 1,185,188                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Health Care Equipment & Services - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Health Care Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 748,106              | 4.50                        |   | Kinetic Concepts, Inc., Term  DTL-E1 loan, 5/4/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 754,496                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Health Care Supplies - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             | 260,788              | 4.00                        |   | Halyard Health, Inc., Term Loan, 11/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 263,592                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Health Care Services - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 492,500              | 2.27                        |   | Fresenius US Finance I, Inc., Tranche B Term Loan, 8/7/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 492,090                                                                                                                                                 |
|                                                                                                                                                             | 647,289              | 4.25                        |   | US Renal Care, Inc., Tranche B-2 Term Loan (First Lien), 7/3/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 649,312                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,141,402                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Health Care Facilities - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 104,738              | 5.25                        |   | Capella Healthcare, Inc., Tranche B Term Loan (First Lien), 12/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 105,523                                                                                                                                                 |
|                                                                                                                                                             | 99,374               | 3.53                        |   | CHS, Incremental 2018 Term F Loans, 12/31/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 99,816                                                                                                                                                  |
|                                                                                                                                                             | 93,027               | 0.00                        |   | CHS, Incremental 2019 Term G Loan, 12/31/19 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 93,177                                                                                                                                                  |
|                                                                                                                                                             | 171,168              | 4.00                        |   | CHS, Incremental 2021 Term H Loan, 1/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 171,886                                                                                                                                                 |
|                                                                                                                                                             | 274,309              | 4.25                        |   | Kindred Healthcare, Inc., Tranche B Loan (First Lien), 4/10/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 276,023                                                                                                                                                 |
|                                                                                                                                                             | 295,489              | 6.75                        |   | Steward Health Care System LLC, Term Loan, 4/10/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 294,196                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,040,621                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Health Care Technology - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 398,000              | 3.75                        |   | Emdeon Inc., Term B-3 Loan, 2.50%, 11/2/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 399,368                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 3,599,479                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Pharmaceuticals, Biotechnology & Life Sciences - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Pharmaceuticals - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             | 495,000              | 3.25                        |   | Endo Luxembourg Finance I Company Sarl, Tranche B Term Loan (First Lien), 11/5/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 496,135                                                                                                                                                 |
|                                                                                                                                                             | 297,000              | 3.25                        |   | Mallinckrodt International Finance SA, Initial Term B Loan, 3/6/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 297,162                                                                                                                                                 |
|                                                                                                                                                             | 639,308              | 4.00                        |   | Par Pharmaceutical Companies, Inc., Term B-2 Loan, 9/28/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 640,174                                                                                                                                                 |
|                                                                                                                                                             | 498,750              | 4.25                        |   | Par Pharmaceutical, Term B-3 Loan, 3.25%, 9/30/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 500,724                                                                                                                                                 |
|                                                                                                                                                             | 265,059              | 3.50                        |   | Prestige Brands, Inc., Term B-3 Loan, 9/3/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 265,887                                                                                                                                                 |
|                                                                                                                                                             | 500,000              | 4.00                        |   | Valeant Pharmaceuticals, Series F-1,  3/11/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 502,046                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,702,128                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 2,702,128                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Diversified Financials - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Other Diversified Financial Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             | 425,000              | 3.50                        |   | Delos Finance SARL, Tranche B Term Loan, 2/27/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 425,974                                                                                                                                                 |
|                                                                                                                                                             | 370,000              | 3.50                        |   | Fly Funding II Sarl, Term Loan, 8/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 371,311                                                                                                                                                 |
|                                                                                                                                                             | 748,111              | 4.50                        |   | Nord Anglia Education, Initial Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 751,384                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,548,669                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Specialized Finance - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 198,500              | 3.25                        |   | SBA Senior Finance II LLC, Incremental Tranche B-1 Term Loan, 3/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 198,045                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Investment Banking & Brokerage - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             | 145,530              | 3.25                        |   | LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 145,756                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,892,470                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Real Estate - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Mortgage REIT - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 196,985              | 3.50                        |   | Starwood Property Trust, Inc., Term Loan (First Lien), 4/17/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 196,657                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Specialized REIT - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 492,462              | 3.25                        |   | The GEO Group, Inc., Term Loan, 4/3/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 493,693                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 690,350                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Software & Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Internet Software & Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 288,879              | 3.75                        |   | Vantiv LLC, Term B Loan, 6/12/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 290,502                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | IT Consulting & Other Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 198,500              | 5.75                        |   | Evergreen Skills Lux Sarl, Initial Term Loan (First Lien), 4/23/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 196,019                                                                                                                                                 |
|                                                                                                                                                             | 155,698              | 3.93                        |   | SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 156,209                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 352,228                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Application Software - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             | 261,457              | 3.50                        |   | Verint Systems, Inc., Tranche B-2 Term Loan (First Lien), 9/6/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 262,568                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Home Entertainment Software - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             | 573,304              | 3.25                        |   | Activision Blizzard, Inc., Term Loan, 7/26/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 576,573                                                                                                                                                 |
|                                                                                                                                                             | 352,941              | 5.25                        |   | Micro Focus International, Term Loan B, 10/7/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 354,391                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 930,964                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 1,836,262                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Technology Hardware & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Communications Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |                                                                                                                                                    |
|                                                                                                                                                             | 347,375              | 3.75                        |   | Ciena Corp., Term Loan, 7/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 348,895                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Electronic Equipment Manufacturers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 481,818              | 4.75                        |   | Zebra Technologies, Term Loan B, 9/30/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 488,142                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Electronic Components - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | 246,250              | 3.25                        |   | Belden Finance 2013 LP, Initial Term Loan, 9/9/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 246,712                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,083,749                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Semiconductors & Semiconductor Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Semiconductor Equipment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |                                                                                                                                                    |
|                                                                                                                                                             | 646,750              | 0.00                        |   | Sensata Technologies Holding N.V., Term Loan (First Lien), 10/14/21 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 649,378                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Semiconductors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |                                                                                                                                                    |
|                                                                                                                                                             | 341,089              | 3.75                        |   | Avago Technologies Ltd., Tranche B Term Loan (First Lien), 4/16/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 342,194                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 991,572                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Telecommunication Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Integrated Telecommunication Services - 0.0% †                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | 225,000              | 0.00                        |   | Level 3 Financing, Inc., Tranche B-2 Loan (First Lien), 5/31/22 (f)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 224,494                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Wireless Telecommunication Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |                                                                                                                                                    |
|                                                                                                                                                             | 348,237              | 3.00                        |   | Crown Castle International Corp., Tranche B-2 Term Loan (First Lien), 1/31/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 348,119                                                                                                                                                 |
|                                                                                                                                                             | 375,000              | 4.75                        |   | GCI Holdings, Inc., Tranche B Term Loan (First Lien), 12/22/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 378,750                                                                                                                                                 |
|                                                                                                                                                             | 925,000              | 4.00                        |   | Syniverse Holdings, Inc., Tranche B Term Loan, 4/23/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 884,531                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,611,400                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,835,894                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Utilities - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Electric Utilities - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,144,962            | 4.75                        |   | Atlantic Power LP, Term Loan, 2/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,150,687                                                                                                                                               |
|                                                                                                                                                             | 666,545              | 3.25                        |   | Calpine Construction Finance Co. LP, Term B-2 Loan, 1/3/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 660,713                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,811,400                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             | 748,082              | 4.00                        |   | Calpine Corp., Term Loan, 9/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 750,471                                                                                                                                                 |
|                                                                                                                                                             | 191,883              | 3.75                        |   | NSG Holdings LLC, New Term Loan, 12/11/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 192,123                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 942,594                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 2,753,994                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | TOTAL SENIOR FLOATING RATE LOAN INTERESTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $49,490,194)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 49,610,585                                                                                                                                              |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | TEMPORARY CASH INVESTMENTS - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Certificate of Deposit - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             | 750,000              | 0.60                        |   | Skandinaviska Enskilda Banken AB New York NY, Floating Rate Note, 9/21/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 750,412                                                                                                                                                 |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Repurchase Agreements - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |                                                                                                                                                    |
|                                                                                                                                                             | 1,590,000            |                        |   | $1,590,000 RBC Capital Markets, Inc., 0.10%, dated 5/29/15 plus accrued interest on 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 1,590,000                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   | collateralized by $1,617,717 Federal National Mortgage Association, 3.5-4.5%, 9/1/26-2/1/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | TOTAL TEMPORARY CASH INVESTMENTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $2,342,259)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 2,340,412                                                                                                                                               |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | TOTAL INVESTMENT IN SECURITIES - 100.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | (Cost $632,784,531) (a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 631,382,899                                                                                                                                             |
|                                                                                                                                                             |                 |                        |   | OTHER ASSETS & LIABILITIES - (0.2)%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | (1,142,015)                                                                                                                                             |
|                                                                                                                                                             |                 |                        |   | TOTAL NET ASSETS - 100.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 630,240,884                                                                                                                                             |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | †              |                        |   | Amount rounds to less than 0.1%.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (Cat Bond)           |                        |   | Catastrophe bond is a high-yield debt instrument that is usually insurance linked and meant to raise money in case of a catastrophe.                                                                                                                                                                                                                                                                                                                                                                                                                                   |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (Step)               |                        |   | Bond issued with an initial coupon rate which converts to a higher rate at a later date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | REMICS               |                        |   | Real Estate Mortgage Investment Conduits                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | REIT                 |                        |   | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | Strips               |                        |   | Separate trading of Registered interest and principal of securities.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | **                   |                        |   | Senior floating rate loan interests in which the Fund invests generally pay interest at rates that are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates are generally (i) the lending rate offered by one or more major European banks, such as LIBOR (London InterBank Offered Rate), (ii) the prime rate offered by one or more major United States banks, (iii) the certificate of deposit rate or (iv) other base lending rates used by commercial lenders. The rate shown is the coupon rate at period end. |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (144A)               |                        |   | Security is exempt from registration under Rule 144A of the Securities Act of 1933.  Such securities may be resold normally to qualified institutional buyers in a transaction exempt from registration.  At May 31, 2015, the value of these securities amounted to $183,961,793 or 29.2% of total net assets.                                                                                                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (a)                  |                        |   | At May 31, 2015, the net unrealized appreciation on investments based on cost for federal income tax purposes of $634,068,543 was as follows:                                                                                                                                                                                                                                                                                                                                                                                                                          |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Aggregate gross unrealized appreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | there is an excess of value over tax cost                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |  $            1,995,491                                                                |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Aggregate gross unrealized depreciation for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | there is an excess of tax cost over value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | (4,681,135)                                                                                                                                             |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   | Net unrealized appreciation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |  $           (2,685,644)                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (b)                  |                        |   | Debt obligation with a variable interest rate. Rate shown is rate at end of period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (c)                  |                        |   | Security represents the interest only portion payments on a pool of underlying mortgages or mortgage-backed securities                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (d)                  |                        |   | Security issued with a zero coupon. Income is earned through accretion of discount                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (e)                  |                        |   | Security is in default and is non-income producing.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
|                                                                                                                                                             | (f)                  |                        |   | Rate to be determined.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |                                                                                                                                                    |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
| Various inputs are used in determining the value of the Fund’s investments.  These inputs are summarized in the three broad levels listed below. |                 |                        |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
| Level 1 – quoted prices in active markets for identical securities                                                                                         |                 |                        |
| Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)       |                 |                        |
| Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining fair value of investments)                            |                 |                        |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
| Generally, equity securities are categorized as Level 1, fixed income securities and senior loans as Level 2 and securities valued                               |                 |                        |
| using fair value methods (other than prices supplied by independent pricing services or broker-dealers) as Level 3.                                              |                 |                        |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |
| The following is a summary of the inputs used as of May 31, 2015, in valuing the Fund’s assets:                                                            |                 |                        |
|                                                                                                                                                             |                 |                        |   |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |                                                                                                                                                    |

|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           | Level 1                                                                                                                                                                          | Level 2                                                                                                                                                                         | Level 3                                                                                                                                     | Total                                                      |
|------------------------------------------------------------------------------------------|--------|--------|---------------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------|----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------|
|                                                                                     |   |   | Preferred Stocks                      |                                                                                                                                                 |  $                         - |  $                            - |  $            775,040                                                                                          |  $         775,040                                                                        |
|                                                                                     |   |   | Asset Backed Securities               |                                                                                                                                                 |                          -        |                  96,222,141                                                                 |                        -                                     |         96,222,141                                                                                  |
|                                                                                     |   |   | Collateralized Mortgage Obligations   |                                                                                                                                                 |                          -        |                231,763,331                                                                            |                        -                                     |       231,763,331                                                                                             |
|                                                                                     |   |   | Corporate Bonds                       |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |
|                                                                                     |   |   |   Insurance                 |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
|                                                                                     |   |   |     Reinsurance   |                                                                                                                                                 |                                                                                                                                                           |                          -                          |                  25,359,239                                                                |              7,863,241                                                     |         33,222,480 |
|                                                                                     |   |   |   All Other Corporate Bonds |                                                                                                                                                 |                          -        |                166,183,484                                                                            |                        -                                     |       166,183,484                                                                                             |
|                                                                                     |   |   | U.S. Government Agency Obligations    |                                                                                                                                                 |                          -        |                  48,500,789                                                                 |                        -                                     |         48,500,789                                                                                  |
|                                                                                     |   |   | Municipal Bonds                       |                                                                                                                                                 |                          -        |                    2,764,637                                                      |                        -                                     |           2,764,637                                                                       |
|                                                                                     |   |   | Senior Floating Rate Loan Interests   |                                                                                                                                                 |                          -        |                  49,610,585                                                                 |                        -                                     |         49,610,585                                                                                  |
|                                                                                     |   |   | Certificate of Deposit                |                                                                                                                                                 |                          -        |                      750,412                                            |                        -                                     |             750,412                                                             |
|                                                                                     |   |   | Repurchase Agreement                  |                                                                                                                                                 |                          -        |                    1,590,000                                                      |                        -                                     |           1,590,000                                                                       |
|                                                                                     |   |   | Total                                 |                                                                                                                                                 |                                                                                                                                                           |  $                         -                   |  $            622,744,618                                                                                      |  $          8,638,281                                                                |  $   631,382,899                       |
|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
| Following is a reconciliation of assets using significant unobservable inputs (Level 3): |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           |
|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           | PreferredStocks                                                                                                                                                                  | CorporateBonds                                                                                                                                                                  | Total                                                                                                                                       |                                                       |
|                                                                                     |   |   |                                  | Balance as of 8/31/14                                                                                                                                |                                                                                                                                                           |                1,360,659                                                                              |                    1,846,491                                                     |              3,207,150                                                     |                                                       |
|                                                                                     |   |   |                                  | Realized gain (loss)                                                                                                                                 |                                                                                                                                                           |                          -                          |                            393           |                      393           |                                                       |
|                                                                                     |   |   |                                  | Change in unrealized appreciation (depreciation)                                                                                                     |                                                                                                                                                           |                  121,211                                                                    |                      (40,662)                                          |                  80,549                                |                                                       |
|                                                                                     |   |   |                                  | Net Purchases                                                                                                                                        |                                                                                                                                                           |                          -                          |                    6,565,275                                                     |              6,565,275                                                     |                                                       |
|                                                                                     |   |   |                                  | Net Sales                                                                                                                                            |                                                                                                                                                           |                   (84,180)                                                             |                  (1,130,906)                                                               |            (1,215,086)                                                               |                                                       |
|                                                                                     |   |   |                                  | Transfers in to Level 3*                                                                                                                             |                                                                                                                                                           |                          -                          |                              - |                        - |                                                       |
|                                                                                     |   |   |                                  | Transfers out of Level 3*                                                                                                                            |                                                                                                                                                           |                          -                          |                              - |                        - |                                                       |
|                                                                                     |   |   |                                  | Transfers in and out of Level 3 activity                                                                                                             |                                                                                                                                                           |                 (622,650)                                                                        |                      622,650                                           |                        - |                                                       |
|                                                                                     |   |   |                                  | Balance as of 5/31/15                                                                                                                                |                                                                                                                                                           |                  775,040                                                                    |                    7,863,241                                                     |              8,638,281                                                     |                                                       |
|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
|                                                                                     |   |   | *                                     | Transfers are calculated on the beginning of period values. During the period ended May 31, 2015, there were no transfers between Levels 1, 2 and 3. |                                                                                                                                                           |                                                                                                                                                                             |
|                                                                                     |   |   |                                  |                                                                                                                                                 |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
|                                                                                     |   |   |                                  | Net change in unrealized appreciation (depreciation) of investments                                                                                  |                                                                                                                                                           |                                                                                                                                                                             |                                                                                                                                                                            |                                                                                                                                        |                                                       |
|                                                                                     |   |   |                                  | still held as of 5/31/15                                                                                                                             |                                                                                                                                                           |  $                80,549                                                                    |                                                                                                                                                                            |                                                                                                                                        |                                                       |