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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 Fund
               (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, 2013

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.
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|                                                                                                                                                       |                |             |                                                                                                                                 | Pioneer Short Term Income Fund                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|------------------------------------------------------------------------------------------------------------------------------------------------------------|---------------------|------------------|--------------------------------------------------------------------------------------------------------------------------------------|------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------|-----------|-------------|--------|--------|--------|
|                                                                                                                                                       |                |             |                                                                                                                                 | Schedule of Investments 5/31/13 (unaudited)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | PrincipalAmount ($) | FloatingRate (b) | S&P/Moody'sRatings                                                                                                               |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | Value     |        |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | PREFERRED STOCKS - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Insurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Reinsurance - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | NR/NR                                                                                                                                | Altair Re, Floating Rate Note, 4/30/16 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 253,650     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 253,650     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL PREFERRED STOCKS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $250,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 253,650     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | ASSET BACKED SECURITIES - 16.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 240,000             | 0.59             | CCC/Baa3                                                                                                                             | Accredited Mortgage Loan Trust 2005-2, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 231,117     |   |   |   |
|                                                                                                                                                       | 109,234             | 0.37             | BB+/B3                                                                                                                               | ACE Securities Corp. Home Equity Loan Trust Series 2006-ASAP2, Floating Rate Note, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 105,607   |        |   |   |
|                                                                                                                                                       | 123,216             | 6.50             | BB+/Baa2                                                                                                                             | ACE Securities Corp. Manufactured Housing Trust Series 2003-MH1, Floating Rate Note, 8/15/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 124,149   |        |   |   |
|                                                                                                                                                       | 379,304             | 0.46             | BB+/Baa3                                                                                                                             | Aegis Asset Backed Securities Trust 2005-5, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 357,554     |   |   |   |
|                                                                                                                                                       | 605,050             | 0.55             | AAA/Aaa                                                                                                                              | Aegis Asset Backed Securities Trust Mortgage Pass- Through Ctfs Series 2004-3, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 594,516   |        |   |   |
|                                                                                                                                                       | 197,309             | 0.56             | A+/Baa1                                                                                                                              | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2005-4, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 187,052   |        |   |   |
|                                                                                                                                                       | 264,491             |             | A+/NR                                                                                                                                | American Credit Acceptance Receivables Trust, 1.64%, 11/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 264,498     |   |   |   |
|                                                                                                                                                       | 567,000             |             | AA/Aa2                                                                                                                               | AmeriCredit Automobile Receivables Trust 2010-2, 6.24%, 6/8/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 602,745     |   |   |   |
|                                                                                                                                                       | 150,000             |             | A+/NR                                                                                                                                | AmeriCredit Automobile Receivables Trust 2013-1, 1.57%, 1/8/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 148,608     |   |   |   |
|                                                                                                                                                       | 100,000             |             | NR/Aa3                                                                                                                               | AmeriCredit Automobile Receivables Trust, 4.04%, 7/10/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 105,011     |   |   |   |
|                                                                                                                                                       | 134,843             | 3.94             | A/Baa1                                                                                                                               | Ameriquest Mort Sec Inc Asset Backed Pass Thr Cert 03 AR3, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 140,332   |        |   |   |
|                                                                                                                                                       | 326,081             | 0.50             | AA+/Aa1                                                                                                                              | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-R11, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 324,010   |        |   |   |
|                                                                                                                                                       | 80,379              | 0.39             | AA+/Aaa                                                                                                                              | Ameriquest Mortgage Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-R6, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 78,690    |        |   |   |
|                                                                                                                                                       | 702,042             | 1.19             | AAA/Aa3                                                                                                                              | Amortizing Residential Collateral Trust 2004-1, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 691,879     |   |   |   |
|                                                                                                                                                       | 294,303             | 0.75             | AAA/NR                                                                                                                               | ARI Fleet Lease Trust 2012-A, Floating Rate Note, 3/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 295,159     |   |   |   |
|                                                                                                                                                       | 260,000             |             | AAA/NR                                                                                                                               | ARI Fleet Lease Trust 2013-A, 0.7%, 12/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 260,043     |   |   |   |
|                                                                                                                                                       | 360,363             |             | NR/NR                                                                                                                                | Ascentium Equipment Receivables LLC, 1.83%, 9/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 360,364     |   |   |   |
|                                                                                                                                                       | 79,691              | 0.39             | BB/Ba3                                                                                                                               | Asset Backed Securities Corp Home Equity Loan Trust Series AEG 2006-HE1, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 75,308    |        |   |   |
|                                                                                                                                                       | 22,543              | 0.85             | AA+/A3                                                                                                                               | Asset Backed Securities Corp. Home Equity, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 22,510      |   |   |   |
|                                                                                                                                                       | 500,000             | 0.60             | BBB/A3                                                                                                                               | BA Credit Card Trust, Floating Rate Note, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 500,180     |   |   |   |
|                                                                                                                                                       | 321,414             | 0.82             | AAA/Aaa                                                                                                                              | Bayview Financial Acquisition Trust, Floating Rate Note, 5/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 317,045     |   |   |   |
|                                                                                                                                                       | 204,271             | 0.78             | AAA/Aaa                                                                                                                              | Bayview Financial Acquisition Trust, Floating Rate Note, 8/28/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 203,251     |   |   |   |
|                                                                                                                                                       | 339,116             | 4.91             | AA+/NR                                                                                                                               | Bayview Financial Asset Trust 2003-A, Floating Rate Note, 2/25/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 345,871     |   |   |   |
|                                                                                                                                                       | 532,822             | 0.49             | AA+/A1                                                                                                                               | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 513,006   |        |   |   |
|                                                                                                                                                       | 74,660              | 0.46             | AA+/A1                                                                                                                               | Bayview Financial Mortgage Pass-Through Trust 2006-B, Floating Rate Note, 4/28/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 71,392    |        |   |   |
|                                                                                                                                                       | 425,000             | 0.64             | AA/Aa2                                                                                                                               | Bayview Financial Mortgage Pass-Through Trust Series 2005-B, Floating Rate Note, 4/28/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 416,824   |        |   |   |
|                                                                                                                                                       | 254,336             |             | NR/A1                                                                                                                                | BCMSC Trust 1998-A, 6.65%, 4/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 263,625     |   |   |   |
|                                                                                                                                                       | 300,000             | 1.24             | AA+/A3                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2004-BO1, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 283,940   |        |   |   |
|                                                                                                                                                       | 436,112             | 0.69             | A+/Ba3                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2005-FR1, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 426,128   |        |   |   |
|                                                                                                                                                       | 205,869             | 0.67             | AA+/A3                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2005-HE6, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 201,610   |        |   |   |
|                                                                                                                                                       | 244,242             | 0.69             | AA+/NR                                                                                                                               | Bear Stearns Asset Backed Securities I Trust 2005-HE8, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 243,182   |        |   |   |
|                                                                                                                                                       | 3,338               | 0.30             | AA+/Baa1                                                                                                                             | Bear Stearns Asset Backed Securities I Trust 2006-HE10, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 3,335     |        |   |   |
|                                                                                                                                                       | 362,572             | 4.64             | AA+/Ba2                                                                                                                              | Bear Stearns Asset Backed Securities Trust 2003-SD2, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 362,898   |        |   |   |
|                                                                                                                                                       | 370,000             |             | NR/Aaa                                                                                                                               | BMW Vehicle Lease Trust 2013-1, 0.4%, 1/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 369,873     |   |   |   |
|                                                                                                                                                       | 76,745              |             | NR/Aaa                                                                                                                               | BMW Vehicle Owner Trust 2011-A, 0.76%, 8/25/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 76,930      |   |   |   |
|                                                                                                                                                       | 507,900             | 1.65             | AAA/NR                                                                                                                               | Cabela's Master Credit Card Trust, Floating Rate Note, 1/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 518,086     |   |   |   |
|                                                                                                                                                       | 249,286             |             | NR/Aa3                                                                                                                               | California Republic Auto Receivables Trust 2012-1, 1.18%, 8/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 249,159     |   |   |   |
|                                                                                                                                                       | 300,000             |             | A/A1                                                                                                                                 | Capital Auto Receivables Asset Trust 2013-1, 1.74%, 10/22/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 298,723     |   |   |   |
|                                                                                                                                                       | 125,000             |             | BBB/Baa2                                                                                                                             | Capital Auto Receivables Asset Trust 2013-1, 2.19%, 9/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 124,108     |   |   |   |
|                                                                                                                                                       | 56,093              |             | AA/NR                                                                                                                                | CarNow Auto Receivables Trust 2012-1, 2.09%, 1/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 56,171      |   |   |   |
|                                                                                                                                                       | 1,345,119           | 0.37             | BBB-/Ba3                                                                                                                             | Carrington Mortgage Loan Trust Series 2006-OPT1, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,314,487   |   |   |   |
|                                                                                                                                                       | 193,890             | 0.73             | AAA/A3                                                                                                                               | Chase Funding Trust Series 2003-3, Floating Rate Note, 4/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 191,265     |   |   |   |
|                                                                                                                                                       | 200,000             | 0.65             | NR/Aaa                                                                                                                               | Chesapeake Funding LLC, Floating Rate Note, 5/7/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 200,087     |   |   |   |
|                                                                                                                                                       | 200,000             | 1.95             | AA-/Aa1                                                                                                                              | Chesapeake Funding LLC, Floating Rate Note, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 200,788     |   |   |   |
|                                                                                                                                                       | 171,135             | 1.21             | BBB-/Caa1                                                                                                                            | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 161,304     |   |   |   |
|                                                                                                                                                       | 219,487             | 0.60             | AAA/A3                                                                                                                               | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 219,426     |   |   |   |
|                                                                                                                                                       | 24,485              | 0.99             | AAA/Aa3                                                                                                                              | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 24,504      |   |   |   |
|                                                                                                                                                       | 952,941             | 1.70             | AAA/A1                                                                                                                               | Conseco Finance Home Equity Loan Trust 2002-C, Floating Rate Note, 5/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 936,618     |   |   |   |
|                                                                                                                                                       | 489,380             |             | AAA/Aaa                                                                                                                              | Conseco Finance, 7.55%, 4/15/32 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 505,869     |   |   |   |
|                                                                                                                                                       | 60,972              | 6.69             | AAA/Aaa                                                                                                                              | Conseco Finance, Floating Rate Note, 11/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 61,222      |   |   |   |
|                                                                                                                                                       | 121,959             | 0.56             | AA+/A2                                                                                                                               | Countrywide Asset-Backed Certificates, Floating Rate Note, 1/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 121,528     |   |   |   |
|                                                                                                                                                       | 28,871              | 5.60             | BB/B2                                                                                                                                | Countrywide Asset-Backed Certificates, Floating Rate Note, 10/25/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 28,764      |   |   |   |
|                                                                                                                                                       | 154,243             | 0.58             | AAA/Aa3                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 152,093     |   |   |   |
|                                                                                                                                                       | 346,796             | 5.07             | BB+/B2                                                                                                                               | Countrywide Asset-Backed Certificates, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 360,184     |   |   |   |
|                                                                                                                                                       | 384,528             | 1.09             | A+/Baa1                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 380,274     |   |   |   |
|                                                                                                                                                       | 11,763              | 0.30             | BBB-/Ba3                                                                                                                             | Countrywide Asset-Backed Certificates, Floating Rate Note, 5/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 11,742      |   |   |   |
|                                                                                                                                                       | 88,455              | 0.37             | B-/B2                                                                                                                                | Countrywide Asset-Backed Certificates, Floating Rate Note, 6/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 85,005      |   |   |   |
|                                                                                                                                                       | 639,579             | 0.63             | A+/A3                                                                                                                                | Countrywide Asset-Backed Certificates, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 638,912     |   |   |   |
|                                                                                                                                                       | 101,656             | 0.54             | BB+/Ba2                                                                                                                              | Countrywide Asset-Backed Certificates, Floating Rate Note, 8/25/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 101,126     |   |   |   |
|                                                                                                                                                       | 690,000             |             | A/A2                                                                                                                                 | CPS Auto Receivables Trust 2013-A, 1.89%, 6/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 689,515     |   |   |   |
|                                                                                                                                                       | 233,333             |             | A/NR                                                                                                                                 | Cronos Containers Program, Ltd., 3.81%, 9/18/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 238,105     |   |   |   |
|                                                                                                                                                       | 147,069             |             | AA/NR                                                                                                                                | Direct Capital Funding IV LLC, 1.673%, 12/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 147,069     |   |   |   |
|                                                                                                                                                       | 325,000             |             | BBB/NR                                                                                                                               | DT Auto Owner Trust 2011-1, 4.89%, 1/17/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 331,095     |   |   |   |
|                                                                                                                                                       | 550,000             | 1.09             | B-/Caa3                                                                                                                              | Ellington Loan Acquisition Trust 2007-1, Floating Rate Note, 5/28/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 531,385     |   |   |   |
|                                                                                                                                                       | 460,229             | 4.14             | AAA/Aaa                                                                                                                              | Equity One Mortgage Pass-Through Trust 2004-1, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 469,995     |   |   |   |
|                                                                                                                                                       | 166,299             |             | AAA/NR                                                                                                                               | First Investors Auto Owner Trust 2012-2, 1.47%, 5/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 167,831     |   |   |   |
|                                                                                                                                                       | 200,000             |             | A/NR                                                                                                                                 | First Investors Auto Owner Trust 2013-1, 2.02%, 1/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 198,610     |   |   |   |
|                                                                                                                                                       | 859,324             | 0.59             | AA+/Aa2                                                                                                                              | First NLC Trust 2005-2, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 837,277     |   |   |   |
| CAD                                                                                                                                                        | 285,558             |             | AAA/NR                                                                                                                               | Ford Auto Securitization Trust Series 2011-R1 Asset-Backed Notes, 2.431%, 11/15/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 279,089   |        |   |   |
|                                                                                                                                                       | 256,000             | 0.64             | NR/Aaa                                                                                                                               | GE Dealer Floorplan Master Note Trust, Floating Rate Note, 10/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 256,739     |   |   |   |
|                                                                                                                                                       | 670,000             | 0.60             | NR/Aaa                                                                                                                               | GE Dealer Floorplan Master Note Trust, Floating Rate Note, 4/20/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 670,779     |   |   |   |
|                                                                                                                                                       | 125,000             | 0.45             | BBB+/Baa3                                                                                                                            | GE Seaco Finance Srl, Floating Rate Note, 11/17/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 123,400     |   |   |   |
|                                                                                                                                                       | 229,167             |             | A/NR                                                                                                                                 | Global SC Finance II SRL, 4.11%, 7/19/27 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 234,165     |   |   |   |
|                                                                                                                                                       | 500,000             | 1.05             | AAA/Aaa                                                                                                                              | Gracechurch Card Funding Plc, Floating Rate Note, 5/15/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 506,055     |   |   |   |
|                                                                                                                                                       | 123,638             | 0.79             | A+/NR                                                                                                                                | GreenPoint Mortgage Funding Trust 2005-HE1, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 122,248     |   |   |   |
|                                                                                                                                                       | 198,533             | 0.63             | A+/B1                                                                                                                                | GreenPoint Mortgage Funding Trust 2005-HE4, Floating Rate Note, 7/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 196,907     |   |   |   |
|                                                                                                                                                       | 638,445             | 0.97             | AA+/Baa1                                                                                                                             | GSAA Home Equity Trust 2004-6, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 633,401     |   |   |   |
|                                                                                                                                                       | 408,241             | 0.44             | B+/B3                                                                                                                                | GSAA Home Equity Trust 2005-11, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 408,935     |   |   |   |
|                                                                                                                                                       | 407,394             | 0.62             | BBB+/B3                                                                                                                              | GSAA Trust, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 390,771     |   |   |   |
|                                                                                                                                                       | 48,776              | 0.84             | A/Baa3                                                                                                                               | GSAMP Trust 2005-HE2, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 48,441      |   |   |   |
|                                                                                                                                                       | 308,053             | 1.54             | BBB+/Baa3                                                                                                                            | GSRPM Mortgage Loan Trust 2003-2, Floating Rate Note, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 294,806     |   |   |   |
|                                                                                                                                                       | 217,600             |             | NR/A2                                                                                                                                | Hercules Capital Funding Trust 2012-1, 3.32%, 12/16/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 218,552     |   |   |   |
|                                                                                                                                                       | 450,000             |             | AAA/NR                                                                                                                               | HLSS Servicer Advance Receivables Backed Notes, 0.898%, 1/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 450,315     |   |   |   |
|                                                                                                                                                       | 200,000             |             | A/NR                                                                                                                                 | HLSS Servicer Advance Receivables Backed Notes, 1.644%, 1/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 200,640     |   |   |   |
|                                                                                                                                                       | 250,000             |             | AA/NR                                                                                                                                | HLSS Servicer Advance Receivables Backed Notes, 1.744%, 1/16/46 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 251,425     |   |   |   |
|                                                                                                                                                       | 125,000             |             | BBB/NR                                                                                                                               | HLSS Servicer Advance Receivables Backed Notes, 2.487%, 1/15/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 125,425     |   |   |   |
|                                                                                                                                                       | 350,000             |             | BBB/NR                                                                                                                               | HLSS Servicer Advance Receivables Backed Notes, 4.94%, 10/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 364,245     |   |   |   |
|                                                                                                                                                       | 100,754             | 0.85             | AA/A1                                                                                                                                | Home Equity Asset Trust 2005-3, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 98,362      |   |   |   |
|                                                                                                                                                       | 168,340             | 0.60             | AAA/Aaa                                                                                                                              | Home Equity Asset Trust 2005-5, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 167,001     |   |   |   |
|                                                                                                                                                       | 76,279              | 0.37             | BBB+/A1                                                                                                                              | Home Equity Asset Trust 2006-3, Floating Rate Note, 7/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 75,896      |   |   |   |
|                                                                                                                                                       | 102,721             | 0.36             | BB+/Baa2                                                                                                                             | Home Equity Asset Trust 2006-4, Floating Rate Note, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 100,715     |   |   |   |
|                                                                                                                                                       | 315,599             |             | A+/B1                                                                                                                                | Home Equity Mortgage Trust, 5.821%, 4/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 310,327     |   |   |   |
|                                                                                                                                                       | 146,167             |             | A+/Baa1                                                                                                                              | Home Loan Trust 2003-HI1, 5.27%, 4/25/28 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 153,249     |   |   |   |
|                                                                                                                                                       | 500,000             |             | AAA/NR                                                                                                                               | Honda Auto Receivables Owner Trust 2013-1, 0.35%, 6/22/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 499,982     |   |   |   |
|                                                                                                                                                       | 1,005,000           | 0.44             | AAA/Aaa                                                                                                                              | HSBC Home Equity Loan Trust USA 2006-3, Floating Rate Note, 3/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 974,172     |   |   |   |
|                                                                                                                                                       | 115,411             | 0.39             | AA+/Aa1                                                                                                                              | HSBC Home Equity Loan Trust USA 2007-2, Floating Rate Note, 7/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 112,916     |   |   |   |
|                                                                                                                                                       | 533,979             | 1.20             | AA-/NR                                                                                                                               | Hyundai Capital Auto Funding VIII, Ltd., Floating Rate Note, 9/20/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 534,780     |   |   |   |
|                                                                                                                                                       | 256,209             |             | NR/Baa1                                                                                                                              | Irwin Home Equity Loan Trust 2005-1, 5.32%, 6/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 250,087     |   |   |   |
|                                                                                                                                                       | 75,347              | 0.53             | BB/A2                                                                                                                                | IXIS Real Estate Capital Trust 2005-HE4, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 73,207      |   |   |   |
|                                                                                                                                                       | 195,000             |             | NR/Aaa                                                                                                                               | Leaf Receivables Funding 8 LLC, 1.55%, 11/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 196,556     |   |   |   |
|                                                                                                                                                       | 1,339,772           | 0.65             | AAA/A2                                                                                                                               | Lehman ABS Manufactured Housing Contract Trust 2002-A, Floating Rate Note, 6/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 1,306,261 |        |   |   |
|                                                                                                                                                       | 549,089             | 2.44             | A+/Baa1                                                                                                                              | Madison Avenue Manufactured Housing Contract, Floating Rate Note, 3/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 551,476     |   |   |   |
|                                                                                                                                                       | 976,656             | 0.42             | BB+/A2                                                                                                                               | Mastr Asset Backed Securities Trust 2006-AB1, Floating Rate Note, 2/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 957,587     |   |   |   |
|                                                                                                                                                       | 417,372             | 0.49             | A/NR                                                                                                                                 | Mastr Specialized Loan Trust, Floating Rate Note, 1/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 388,138     |   |   |   |
|                                                                                                                                                       | 132,540             | 0.39             | BBB-/Baa1                                                                                                                            | Morgan Stanley ABS Capital I Inc Trust 2006-WMC1, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 131,962   |        |   |   |
|                                                                                                                                                       | 123,198             | 0.51             | A+/Ba1                                                                                                                               | Morgan Stanley Home Equity Loan Trust 2005-4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 118,435     |   |   |   |
|                                                                                                                                                       | 550,000             |             | AAA/NR                                                                                                                               | Nationstar Agency Advance Funding Trust 2013-T1A, 0.997%, 2/15/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 550,715     |   |   |   |
|                                                                                                                                                       | 800,000             | 2.69             | NR/A2                                                                                                                                | Navistar Financial Dealer Note Master Owner Trust II, Floating Rate Note, 10/25/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 804,395   |        |   |   |
|                                                                                                                                                       | 162,497             | 0.54             | AAA/Aaa                                                                                                                              | New Century Home Equity Loan Trust Series 2005-1, Floating Rate Note, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 158,341   |        |   |   |
|                                                                                                                                                       | 458,263             | 0.49             | AAA/Aa1                                                                                                                              | New Century Home Equity Loan Trust Series 2005-2, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 455,507   |        |   |   |
|                                                                                                                                                       | 244,726             | 3.94             | A/NR                                                                                                                                 | Newtek Small Business Loan Trust 2013-1, Floating Rate Note, 7/25/38 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 244,726     |   |   |   |
|                                                                                                                                                       | 183,415             | 0.45             | AA+/Aa3                                                                                                                              | Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates Series 2005-4, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 180,282   |        |   |   |
|                                                                                                                                                       | 18,604              | 0.31             | A+/Aa3                                                                                                                               | Option One Mortgage Loan Trust 2007-HL1, Floating Rate Note, 2/25/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 18,573      |   |   |   |
|                                                                                                                                                       | 451,717             | 1.32             | NR/Baa1                                                                                                                              | Option One Woodbridge Loan Trust 2002-1, Floating Rate Note, 9/25/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 447,645     |   |   |   |
|                                                                                                                                                       | 260,000             | 5.46             | AAA/Aa3                                                                                                                              | Origen Manufactured Housing Contract Trust 2004-B, Floating Rate Note, 11/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 272,239   |        |   |   |
|                                                                                                                                                       | 316,967             |             | NR/A2                                                                                                                                | Oxford Finance Funding Trust 2012-1, 3.9%, 3/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 319,741     |   |   |   |
|                                                                                                                                                       | 207,555             | 0.81             | AA+/A3                                                                                                                               | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2004-WCW2, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 207,245   |        |   |   |
|                                                                                                                                                       | 348,766             | 0.56             | BBB+/Ba3                                                                                                                             | Park Place Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-WHQ4, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 346,782   |        |   |   |
|                                                                                                                                                       | 250,000             | 0.77             | AAA/Aaa                                                                                                                              | Penarth Master Issuer Plc, Floating Rate Note, 3/18/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 250,018     |   |   |   |
|                                                                                                                                                       | 923,000             | 1.40             | AAA/Aaa                                                                                                                              | PFS Financing Corp., Floating Rate Note, 2/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 927,888     |   |   |   |
|                                                                                                                                                       | 761,886             |             | BB-/Ba1                                                                                                                              | Popular ABS Mortgage Pass-Through Trust 2004-4, 5.1%, 9/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 763,615     |   |   |   |
|                                                                                                                                                       | 209,259             | 0.44             | B/Baa2                                                                                                                               | RAAC Series 2006-RP2 Trust, Floating Rate Note, 2/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 201,192     |   |   |   |
|                                                                                                                                                       | 481,826             | 0.45             | AA+/A1                                                                                                                               | RAMP Series 2005-RZ4 Trust, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 477,955     |   |   |   |
|                                                                                                                                                       | 135,213             | 0.63             | AA+/A1                                                                                                                               | RASC Series 2005-KS7 Trust, Floating Rate Note, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 132,066     |   |   |   |
|                                                                                                                                                       | 214,737             | 0.37             | CCC/Caa1                                                                                                                             | RASC Series 2007-KS3 Trust, Floating Rate Note, 4/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 211,075     |   |   |   |
|                                                                                                                                                       | 49,602              |             | A/NR                                                                                                                                 | Santander Drive Auto Receivables Trust 2010-1, 1.89%, 5/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 49,776      |   |   |   |
|                                                                                                                                                       | 285,000             |             | NR/Aaa                                                                                                                               | Santander Drive Auto Receivables Trust 2011-2, 2.66%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 288,918     |   |   |   |
|                                                                                                                                                       | 171,004             |             | A+/NR                                                                                                                                | Santander Drive Auto Receivables Trust 2011-S2, 3.35%, 6/15/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 172,184     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A/A1                                                                                                                                 | Santander Drive Auto Receivables Trust 2012-1, 3.78%, 11/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 522,646     |   |   |   |
|                                                                                                                                                       | 125,000             |             | A/A1                                                                                                                                 | Santander Drive Auto Receivables Trust 2012-5, 2.7%, 8/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 127,956     |   |   |   |
|                                                                                                                                                       | 361,000             | 0.65             | A+/A3                                                                                                                                | Saxon Asset Securities Trust 2005-3, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 347,303     |   |   |   |
|                                                                                                                                                       | 396,265             | 1.20             | A+/Baa3                                                                                                                              | Sierra Timeshare 2007-2 Receivables Funding LLC, Floating Rate Note, 9/20/19 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 396,688   |        |   |   |
|                                                                                                                                                       | 380,000             | 1.03             | AAA/Aaa                                                                                                                              | SLM Student Loan Trust 2004-10, Floating Rate Note, 4/27/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 379,392     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.63             | NR/Aaa                                                                                                                               | SMART Trust/Australia, Floating Rate Note, 1/14/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 502,166     |   |   |   |
|                                                                                                                                                       | 600,000             | 0.53             | NR/Aaa                                                                                                                               | SMART Trust/Australia, Floating Rate Note, 6/14/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 600,375     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.65             | NR/Aaa                                                                                                                               | SMART Trust/Australia, Floating Rate Note, 9/14/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 501,475     |   |   |   |
|                                                                                                                                                       | 328,788             |             | AA/NR                                                                                                                                | SNAAC Auto Receivables Trust 2013-1, 1.14%, 7/16/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 328,761     |   |   |   |
|                                                                                                                                                       | 516,627             |             | AA/NR                                                                                                                                | SNAAC Auto Receivables Trust, 1.78%, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 519,706     |   |   |   |
|                                                                                                                                                       | 183,567             | 0.97             | AA/Baa3                                                                                                                              | Soundview Home Loan Trust 2005-3, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 181,437     |   |   |   |
|                                                                                                                                                       | 335,454             | 0.45             | BB+/NR                                                                                                                               | Soundview Home Loan Trust 2005-OPT4, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 331,924     |   |   |   |
|                                                                                                                                                       | 461,773             | 0.59             | B/B3                                                                                                                                 | Southern Pacific Secured Asset Corp., Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 362,033     |   |   |   |
|                                                                                                                                                       | 790,207             | 0.49             | BBB+/B2                                                                                                                              | Specialty Underwriting & Residential Finance Trust Series 2006-BC1, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 758,505   |        |   |   |
|                                                                                                                                                       | 500,000             |             | A/NR                                                                                                                                 | Springleaf Funding Trust 2013-A, 2.58%, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 500,000     |   |   |   |
|                                                                                                                                                       | 320,684             |             | NR/NR                                                                                                                                | Stanwich Mortgage Loan Trust, 2.981%, 2/16/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 320,886     |   |   |   |
|                                                                                                                                                       | 340,549             |             | A/NR                                                                                                                                 | STORE Master Funding LLC, 5.77%, 8/20/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 355,417     |   |   |   |
|                                                                                                                                                       | 375,781             |             | BBB+/Ba2                                                                                                                             | Structured Asset Securities Corp Mortgage Loan Trust 2005-2XS, 4.65%, 2/25/35 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 385,070   |        |   |   |
|                                                                                                                                                       | 181,718             | 0.30             | BBB+/A3                                                                                                                              | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 180,492   |        |   |   |
|                                                                                                                                                       | 13,829              | 0.24             | A+/Aa1                                                                                                                               | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC1, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 13,806    |        |   |   |
|                                                                                                                                                       | 163,212             |             | A+/NR                                                                                                                                | SVO 2012-A VOI Mortgage LLC, 2.0%, 9/20/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 163,792     |   |   |   |
|                                                                                                                                                       | 151,967             |             | AA-/A1                                                                                                                               | Terwin Mortgage Trust Series TMTS 2005-14HE, 4.849%, 8/25/36 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 157,865     |   |   |   |
|                                                                                                                                                       | 240,552             |             | A/NR                                                                                                                                 | Trinity Rail Leasing LP, 2.266%, 1/15/43 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 245,241     |   |   |   |
|                                                                                                                                                       | 455,000             | 0.36             | BBB/Baa2                                                                                                                             | Triton Container Finance LLC, Floating Rate Note, 11/26/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 447,508     |   |   |   |
|                                                                                                                                                       | 675,000             |             | AA/NR                                                                                                                                | United Auto Credit Securitization Trust, 1.74%, 4/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 674,240     |   |   |   |
|                                                                                                                                                       | 282,707             | 0.56             | AA+/A2                                                                                                                               | Wachovia Mortgage Loan Trust Series 2005-WMC1, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 278,225     |   |   |   |
|                                                                                                                                                       | 111,072             | 0.57             | AA+/NR                                                                                                                               | Wells Fargo Home Equity Asset-Backed Securities 2005-3 Trust, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | 109,311   |        |   |   |
|                                                                                                                                                       | 47,999              | 0.28             | NR/Aa1                                                                                                                               | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust, Floating Rate Note, 4/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 47,668    |        |   |   |
|                                                                                                                                                       | 264,294             |             | A/NR                                                                                                                                 | Westgate Resorts 2012-2 LLC, 3.0%, 1/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 267,681     |   |   |   |
|                                                                                                                                                       | 290,000             |             | NR/NR                                                                                                                                | Westgate Resorts LLC, 2.25%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 290,272     |   |   |   |
|                                                                                                                                                       | 207,998             |             | A/NR                                                                                                                                 | Westgate Resorts LLC, 2.5%, 3/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 209,428     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL ASSET BACKED SECURITIES                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $50,454,536)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 50,886,163  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | COLLATERALIZED MORTGAGE OBLIGATIONS - 33.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 300,000             |             | NR/NR                                                                                                                                | A10 Securitization 2013-1 LLC, 2.4%, 11/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 298,010     |   |   |   |
|                                                                                                                                                       | 365,032             | 0.47             | A+/Ba1                                                                                                                               | Adjustable Rate Mortgage Trust 2005-5, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 341,451     |   |   |   |
|                                                                                                                                                       | 221,013             | 0.64             | CCC/NR                                                                                                                               | Alternative Loan Trust 2003-14T1, Floating Rate Note, 8/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 207,684     |   |   |   |
|                                                                                                                                                       | 22,189              | 0.74             | A+/NR                                                                                                                                | Alternative Loan Trust 2003-9T1, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 22,133      |   |   |   |
|                                                                                                                                                       | 379,559             |             | BB-/B2                                                                                                                               | Alternative Loan Trust 2003-J1, 4.75%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 387,409     |   |   |   |
|                                                                                                                                                       | 192,964             | 0.64             | BBB+/Ba1                                                                                                                             | Alternative Loan Trust 2004-18CB, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 191,546     |   |   |   |
|                                                                                                                                                       | 303,920             |             | BB+/Ba2                                                                                                                              | Alternative Loan Trust 2004-4CB, 4.25%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 305,633     |   |   |   |
|                                                                                                                                                       | 642,801             | 0.63             | A+/Ba1                                                                                                                               | Alternative Loan Trust 2005-J4, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 609,208     |   |   |   |
|                                                                                                                                                       | 655,106             |             | AAA/Aaa                                                                                                                              | American Home Mortgage Investment Trust 2004-3, 5.01%, 10/25/34 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 676,988     |   |   |   |
|                                                                                                                                                       | 279,760             | 2.42             | AA+/Ba1                                                                                                                              | American Home Mortgage Investment Trust 2005-1, Floating Rate Note, 6/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 284,566     |   |   |   |
|                                                                                                                                                       | 309,223             | 0.64             | NR/A1                                                                                                                                | Banc of America Alternative Loan Trust 2003-10, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 297,142     |   |   |   |
|                                                                                                                                                       | 171,850             |             | NR/B3                                                                                                                                | Banc of America Alternative Loan Trust 2004-2, 5.5%, 3/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 176,510     |   |   |   |
|                                                                                                                                                       | 248,167             |             | NR/B2                                                                                                                                | Banc of America Alternative Loan Trust 2004-4, 5.25%, 5/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 252,156     |   |   |   |
|                                                                                                                                                       | 200,196             |             | BBB+/NR                                                                                                                              | Banc of America Funding 2003-3 Trust, 5.5%, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 210,371     |   |   |   |
|                                                                                                                                                       | 35,420              |             | B+/B1                                                                                                                                | Banc of America Funding 2005-6 Trust, 5.75%, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 35,487      |   |   |   |
|                                                                                                                                                       | 467,975             | 0.40             | A/NR                                                                                                                                 | Banc of America Funding 2010-R4 Trust, Floating Rate Note, 6/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 465,633     |   |   |   |
|                                                                                                                                                       | 650,000             | 1.30             | A-/Aa2                                                                                                                               | Banc of America Large Loan Trust 2007-BMB1, Floating Rate Note, 8/15/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 644,091   |        |   |   |
|                                                                                                                                                       | 257,230             | 3.13             | AA+/NR                                                                                                                               | Banc of America Mortgage 2003-F Trust, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 259,133     |   |   |   |
|                                                                                                                                                       | 1,587,495           | 3.14             | NR/Baa3                                                                                                                              | Banc of America Mortgage 2003-H Trust, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,608,453   |   |   |   |
|                                                                                                                                                       | 24,100              |             | BB+/NR                                                                                                                               | Banc of America Mortgage Trust 2004-7, 4.5%, 8/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 24,479      |   |   |   |
|                                                                                                                                                       | 1,833,202           |             | NR/Caa2                                                                                                                              | Bayview Commercial Asset Trust, 3.89%, 9/25/37 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 168,838     |   |   |   |
|                                                                                                                                                       | 2,552,557           | 4.70             | NR/Caa2                                                                                                                              | Bayview Commercial Asset Trust, Floating Rate Note, 7/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 130,436     |   |   |   |
|                                                                                                                                                       | 135,056             | 0.93             | AA+/Baa1                                                                                                                             | Bear Stearns ALT-A Trust 2004-13, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 133,475     |   |   |   |
|                                                                                                                                                       | 597,624             | 0.79             | A+/Ba3                                                                                                                               | Bear Stearns ALT-A Trust 2004-4, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 575,989     |   |   |   |
|                                                                                                                                                       | 159,187             | 5.15             | BBB/B2                                                                                                                               | Bear Stearns ARM Trust 2004-10, Floating Rate Note, 1/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 161,002     |   |   |   |
|                                                                                                                                                       | 113,944             | 3.07             | BBB+/B3                                                                                                                              | Bear Stearns ARM Trust 2004-3, Floating Rate Note, 7/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 112,372     |   |   |   |
|                                                                                                                                                       | 111,368             | 3.48             | BBB+/Ba1                                                                                                                             | Bear Stearns ARM Trust 2004-9, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 112,993     |   |   |   |
|                                                                                                                                                       | 236,628             |             | AAA/Aaa                                                                                                                              | Bear Stearns Commercial Mortgage Securities Trust 2004-PWR6, 4.705%, 11/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 239,850   |        |   |   |
|                                                                                                                                                       | 150,000             | 5.21             | NR/Baa2                                                                                                                              | Bear Stearns Commercial Mortgage Securities Trust 2005-PWR7, Floating Rate Note, 2/11/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 153,708   |        |   |   |
|                                                                                                                                                       | 687,923             |             | NR/NR                                                                                                                                | Cendant Mortgage Corp., 6.25%, 3/25/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 703,416     |   |   |   |
|                                                                                                                                                       | 282,046             |             | NR/B2                                                                                                                                | Chase Mortgage Finance Trust Series 2005-S1, 5.5%, 5/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 289,410     |   |   |   |
|                                                                                                                                                       | 497,689             | 0.39             | A+/Baa1                                                                                                                              | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-A, Floating Rate Note, 1/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 428,013   |        |   |   |
|                                                                                                                                                       | 798,632             |             | A/NR                                                                                                                                 | CHL Mortgage Pass-Through Trust 2002-J4, 5.5%, 10/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 825,466     |   |   |   |
|                                                                                                                                                       | 265,105             | 4.92             | BBB+/Ba1                                                                                                                             | CHL Mortgage Pass-Through Trust 2004-14, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 268,711     |   |   |   |
|                                                                                                                                                       | 553,588             | 0.73             | AA+/Baa1                                                                                                                             | CHL Mortgage Pass-Through Trust 2004-29, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 523,195     |   |   |   |
|                                                                                                                                                       | 173,290             |             | NR/Baa3                                                                                                                              | CHL Mortgage Pass-Through Trust 2004-9, 5.25%, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 178,055     |   |   |   |
|                                                                                                                                                       | 212,237             |             | NR/Caa1                                                                                                                              | CHL Mortgage Pass-Through Trust 2005-19, 5.5%, 8/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 220,334     |   |   |   |
|                                                                                                                                                       | 600,000             | 5.44             | AAA/Aaa                                                                                                                              | Citigroup Commercial Mortgage Trust 2004-C1, Floating Rate Note, 4/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 615,933     |   |   |   |
|                                                                                                                                                       | 26,657              | 0.34             | AAA/Aaa                                                                                                                              | Citigroup Commercial Mortgage Trust 2007-FL3A, Floating Rate Note, 4/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 26,417    |        |   |   |
|                                                                                                                                                       | 522,521             | 0.41             | A/Aa2                                                                                                                                | Citigroup Commercial Mortgage Trust 2007-FL3A, Floating Rate Note, 4/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 512,585   |        |   |   |
|                                                                                                                                                       | 193,665             |             | NR/Aa2                                                                                                                               | Citigroup Mortgage Loan Trust, Inc., 7.0%, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 200,161     |   |   |   |
|                                                                                                                                                       | 207,737             | 5.50             | CC/NR                                                                                                                                | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 24,284      |   |   |   |
|                                                                                                                                                       | 246,813             | 2.83             | CC/NR                                                                                                                                | Citigroup Mortgage Loan Trust, Inc., Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 201,560     |   |   |   |
|                                                                                                                                                       | 126,197             | 0.79             | AA+/Aaa                                                                                                                              | CNL Commercial Mortgage Loan Trust 2002-1, Floating Rate Note, 10/25/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 121,780   |        |   |   |
|                                                                                                                                                       | 170,295             | 0.63             | BBB+/A2                                                                                                                              | CNL Commercial Mortgage Loan Trust 2003-2, Floating Rate Note, 10/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | 151,784   |        |   |   |
|                                                                                                                                                       | 87,504              | 1.19             | NR/WR                                                                                                                                | Collateralized Mortgage Obligation Trust 44, Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 88,368      |   |   |   |
|                                                                                                                                                       | 302,000             | 5.35             | AAA/Aaa                                                                                                                              | COMM 2004-LNB3 Mortgage Trust, Floating Rate Note, 7/10/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 310,816     |   |   |   |
|                                                                                                                                                       | 69,131              | 0.30             | AAA/Aaa                                                                                                                              | COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 68,208      |   |   |   |
|                                                                                                                                                       | 1,000,000           | 0.33             | AA-/A1                                                                                                                               | COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 958,321     |   |   |   |
|                                                                                                                                                       | 352,862             | 0.37             | BBB/A3                                                                                                                               | COMM 2006-FL12 Mortgage Trust, Floating Rate Note, 12/15/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 336,885     |   |   |   |
|                                                                                                                                                       | 317,956             | 0.38             | A+/A1                                                                                                                                | COMM 2007-FL14 Mortgage Trust, Floating Rate Note, 6/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 314,882     |   |   |   |
|                                                                                                                                                       | 594,311             | 2.14             | AAA/NR                                                                                                                               | Commercial Mortgage Pass Through Certificates, Floating Rate Note, 11/17/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 602,221   |        |   |   |
|                                                                                                                                                       | 26,993              |             | NR/Aaa                                                                                                                               | Commercial Mortgage Pass-Through Certificates Series 2007-C1, 5.268%, 2/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 26,987      |   |   |   |
|                                                                                                                                                       | 325,937             | 0.32             | AA/Aaa                                                                                                                               | Commercial Mortgage Pass-Through Certificates Series 2007-TFL1, Floating Rate Note, 2/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 322,760   |        |   |   |
|                                                                                                                                                       | 100,613             |             | BBB/NR                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., 5.25%, 10/25/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 102,072     |   |   |   |
|                                                                                                                                                       | 69,797              |             | B+/NR                                                                                                                                | Credit Suisse First Boston Mortgage Securities Corp., 5.5%, 6/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 69,642      |   |   |   |
|                                                                                                                                                       | 622,976             |             | NR/Aaa                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., 7.13%, 11/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 623,887     |   |   |   |
|                                                                                                                                                       | 341,502             |             | BBB+/Baa3                                                                                                                            | Credit Suisse First Boston Mortgage Securities Corp., 7.5%, 5/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 353,514     |   |   |   |
|                                                                                                                                                       | 99,450              | 2.70             | BBB+/Ba1                                                                                                                             | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 11/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 99,370    |        |   |   |
|                                                                                                                                                       | 121,317             | 4.90             | AAA/NR                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 121,886   |        |   |   |
|                                                                                                                                                       | 94,173              | 1.54             | AA+/A3                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 92,735    |        |   |   |
|                                                                                                                                                       | 129,697             | 1.69             | NR/WR                                                                                                                                | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 123,929     |   |   |   |
|                                                                                                                                                       | 750,000             | 6.45             | D/Caa2                                                                                                                               | Credit Suisse First Boston Mortgage Securities Corp., Floating Rate Note, 9/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 352,050   |        |   |   |
|                                                                                                                                                       | 600,000             | 3.88             | NR/NR                                                                                                                                | CSMC Series 2010-16, Floating Rate Note, 6/25/50 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 590,168     |   |   |   |
|                                                                                                                                                       | 300,000             | 1.50             | AA-/NR                                                                                                                               | Del Coronado Trust 2013-DEL, Floating Rate Note, 3/15/26 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 300,070     |   |   |   |
|                                                                                                                                                       | 141,385             | 0.57             | AA+/Aa3                                                                                                                              | DSLA Mortgage Loan Trust 2004-AR3, Floating Rate Note, 7/19/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 134,598     |   |   |   |
|                                                                                                                                                       | 200,000             | 0.90             | AAA/Aaa                                                                                                                              | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 200,189     |   |   |   |
|                                                                                                                                                       | 200,000             | 1.30             | AA-/NR                                                                                                                               | Extended Stay America Trust 2013-ESH, Floating Rate Note, 12/5/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 200,000     |   |   |   |
|                                                                                                                                                       | 53,242              |             | AAA/Aaa                                                                                                                              | Fannie Mae Benchmark REMIC, 5.45%, 12/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 53,836      |   |   |   |
|                                                                                                                                                       | 4,102,618           | 3.78             | AAA/Aaa                                                                                                                              | Fannie Mae Grantor Trust 2001-T1, Floating Rate Note, 10/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 3,946,169   |   |   |   |
|                                                                                                                                                       | 1,119,697           | 3.39             | AAA/Aaa                                                                                                                              | Fannie Mae Grantor Trust 2004-T2, Floating Rate Note, 7/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 1,198,947   |   |   |   |
|                                                                                                                                                       | 295,412             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 1.5%, 11/25/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 298,186     |   |   |   |
|                                                                                                                                                       | 332,988             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 3.0%, 1/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 345,373     |   |   |   |
|                                                                                                                                                       | 193,811             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 4.0%, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 195,190     |   |   |   |
|                                                                                                                                                       | 46,488              |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 4.5%, 2/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 46,541      |   |   |   |
|                                                                                                                                                       | 188,137             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 5.0%, 2/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 189,954     |   |   |   |
|                                                                                                                                                       | 458,223             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 5.0%, 3/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 466,868     |   |   |   |
|                                                                                                                                                       | 37,163              |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 5.0%, 9/25/39                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 37,660      |   |   |   |
|                                                                                                                                                       | 234,620             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 5.5%, 5/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 239,751     |   |   |   |
|                                                                                                                                                       | 276,838             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 6.0%, 3/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 290,558     |   |   |   |
|                                                                                                                                                       | 165,983             |             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, 6.0%, 6/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 185,988     |   |   |   |
|                                                                                                                                                       | 719,420             | 1.07             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 1/25/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 722,834     |   |   |   |
|                                                                                                                                                       | 191,000             | 0.39             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 10/27/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 191,039     |   |   |   |
|                                                                                                                                                       | 226,982             | 0.59             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 11/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 227,991     |   |   |   |
|                                                                                                                                                       | 1,073,482           | 0.49             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 12/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,074,206   |   |   |   |
|                                                                                                                                                       | 285,606             | 0.51             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 286,085     |   |   |   |
|                                                                                                                                                       | 421,579             | 0.44             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 2/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 421,199     |   |   |   |
|                                                                                                                                                       | 115,474             | 0.59             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 116,058     |   |   |   |
|                                                                                                                                                       | 510,985             | 0.74             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 5/25/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 513,943     |   |   |   |
|                                                                                                                                                       | 171,668             | 0.44             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 6/25/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 171,723     |   |   |   |
|                                                                                                                                                       | 220,377             | 0.49             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 220,490     |   |   |   |
|                                                                                                                                                       | 298,254             | 0.67             | AAA/Aaa                                                                                                                              | Fannie Mae REMICS, Floating Rate Note, 7/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 300,360     |   |   |   |
|                                                                                                                                                       | 1,103,729           | 2.79             | AAA/Aaa                                                                                                                              | Fannie Mae Trust 2003-W2, Floating Rate Note, 7/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,088,261   |   |   |   |
|                                                                                                                                                       | 276,871             | 2.75             | AAA/Aaa                                                                                                                              | Fannie Mae Trust 2005-W3, Floating Rate Note, 4/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 295,328     |   |   |   |
|                                                                                                                                                       | 296,302             | 2.29             | AAA/Aaa                                                                                                                              | Fannie Mae Trust 2005-W4, Floating Rate Note, 6/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 305,745     |   |   |   |
|                                                                                                                                                       | 63,347              | 2.59             | BBB+/A1                                                                                                                              | First Horizon Mortgage Pass-Through Trust 2004-AR1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | 63,068    |        |   |   |
|                                                                                                                                                       | 95,384              | 2.63             | NR/B2                                                                                                                                | First Horizon Mortgage Pass-Through Trust 2004-AR5, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 92,980    |        |   |   |
|                                                                                                                                                       | 33,756              |             | CCC/NR                                                                                                                               | First Horizon Mortgage Pass-Through Trust 2006-1, 6.0%, 5/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 33,753      |   |   |   |
|                                                                                                                                                       | 100,000             | 1.78             | AAA/Aaa                                                                                                                              | Fosse Master Issuer Plc, Floating Rate Note, 10/18/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 102,705     |   |   |   |
|                                                                                                                                                       | 341,754             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 3.5%, 6/15/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 349,210     |   |   |   |
|                                                                                                                                                       | 116,864             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 4.0%, 12/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 118,806     |   |   |   |
|                                                                                                                                                       | 208,287             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 4.0%, 6/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 210,462     |   |   |   |
|                                                                                                                                                       | 100,641             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 4.5%, 9/15/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 101,600     |   |   |   |
|                                                                                                                                                       | 245,583             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 5.0%, 6/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 252,286     |   |   |   |
|                                                                                                                                                       | 216,619             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 5.5%, 10/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 225,264     |   |   |   |
|                                                                                                                                                       | 4,247               |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 5.5%, 3/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 4,254       |   |   |   |
|                                                                                                                                                       | 38,176              |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 5.5%, 3/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 38,371      |   |   |   |
|                                                                                                                                                       | 360,530             |             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, 6.0%, 4/15/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 365,659     |   |   |   |
|                                                                                                                                                       | 124,022             | 0.50             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 1/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 124,340     |   |   |   |
|                                                                                                                                                       | 446,202             | 0.65             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 1/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 449,621     |   |   |   |
|                                                                                                                                                       | 172,827             | 0.55             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 173,330     |   |   |   |
|                                                                                                                                                       | 110,863             | 0.45             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 110,862     |   |   |   |
|                                                                                                                                                       | 120,462             | 0.60             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 12/15/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 120,845     |   |   |   |
|                                                                                                                                                       | 210,253             | 0.50             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 12/15/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 210,451     |   |   |   |
|                                                                                                                                                       | 406,193             | 0.50             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 2/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 406,629     |   |   |   |
|                                                                                                                                                       | 229,193             | 0.50             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 4/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 229,490     |   |   |   |
|                                                                                                                                                       | 234,186             | 0.60             | AAA/Aaa                                                                                                                              | Freddie Mac REMICS, Floating Rate Note, 5/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 235,159     |   |   |   |
|                                                                                                                                                       | 91,148              | 0.63             | AA+/Aa2                                                                                                                              | GE Business Loan Trust 2003-1, Floating Rate Note, 4/15/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 87,354      |   |   |   |
|                                                                                                                                                       | 346,339             | 0.49             | AA/Aa2                                                                                                                               | GE Business Loan Trust 2004-1, Floating Rate Note, 5/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 335,000     |   |   |   |
|                                                                                                                                                       | 181,172             | 0.42             | AA-/Aa1                                                                                                                              | GE Business Loan Trust 2004-2, Floating Rate Note, 12/15/32 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 176,031     |   |   |   |
|                                                                                                                                                       | 284,577             | 0.45             | AA/Aa3                                                                                                                               | GE Business Loan Trust 2005-1, Floating Rate Note, 6/15/33 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 270,324     |   |   |   |
|                                                                                                                                                       | 379,403             | 0.38             | A/Aa3                                                                                                                                | GE Business Loan Trust 2006-2, Floating Rate Note, 11/15/34 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 350,961     |   |   |   |
|                                                                                                                                                       | 657,701             | 0.37             | A/Aa3                                                                                                                                | GE Business Loan Trust 2007-1, Floating Rate Note, 4/16/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 607,916     |   |   |   |
|                                                                                                                                                       | 448,169             |             | NR/A3                                                                                                                                | GE Capital Commercial Mortgage Corp., 5.208%, 3/10/39 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 456,660     |   |   |   |
|                                                                                                                                                       | 445,000             | 5.22             | NR/Aa3                                                                                                                               | GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 446,475     |   |   |   |
|                                                                                                                                                       | 600,000             | 5.22             | NR/Baa2                                                                                                                              | GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 600,896     |   |   |   |
|                                                                                                                                                       | 500,000             | 5.15             | BBB-/NR                                                                                                                              | GE Capital Commercial Mortgage Corp., Floating Rate Note, 7/10/45 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 503,010     |   |   |   |
|                                                                                                                                                       | 250,000             | 5.31             | BBB+/Baa1                                                                                                                            | GMAC Commercial Mortgage Securities Inc Series 2003-C1 Trust, Floating Rate Note, 5/10/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 249,936   |        |   |   |
|                                                                                                                                                       | 150,000             | 5.42             | B+/NR                                                                                                                                | GMAC Commercial Mortgage Securities Inc Series 2003-C2 Trust, Floating Rate Note, 5/10/40 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | 148,247   |        |   |   |
|                                                                                                                                                       | 474,346             |             | AAA/Aaa                                                                                                                              | GMAC Commercial Mortgage Securities Inc Series 2003-C3 Trust, 5.023%, 4/10/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 476,814   |        |   |   |
|                                                                                                                                                       | 300,000             | 5.30             | AAA/Aa3                                                                                                                              | GMAC Commercial Mortgage Securities Inc Series 2004-C2 Trust, Floating Rate Note, 8/10/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 310,446   |        |   |   |
|                                                                                                                                                       | 259,364             | 4.50             | AA/Baa3                                                                                                                              | GMACM Mortgage Loan Trust 2003-AR1, Floating Rate Note, 10/19/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 267,845     |   |   |   |
|                                                                                                                                                       | 176,950             | 3.25             | A+/NR                                                                                                                                | GMACM Mortgage Loan Trust 2004-AR1, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 178,507     |   |   |   |
|                                                                                                                                                       | 293,177             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, 3.0%, 4/20/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 304,355     |   |   |   |
|                                                                                                                                                       | 127,149             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, 4.5%, 5/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 128,833     |   |   |   |
|                                                                                                                                                       | 92,454              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, 4.549%, 6/16/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 92,882      |   |   |   |
|                                                                                                                                                       | 1,017,137           |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, 5.0%, 1/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,053,547   |   |   |   |
|                                                                                                                                                       | 197,632             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, 5.0%, 4/20/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 211,935     |   |   |   |
|                                                                                                                                                       | 730,875             | 0.65             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 1/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 731,781     |   |   |   |
|                                                                                                                                                       | 2,929,142           | 1.63             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 10/16/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 187,644     |   |   |   |
|                                                                                                                                                       | 11,916,160          | 0.56             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 11/16/51                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 444,413     |   |   |   |
|                                                                                                                                                       | 11,601,267          | 1.10             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 2/16/52                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 531,674     |   |   |   |
|                                                                                                                                                       | 1,969,989           | 1.03             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 2/16/53                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 169,520     |   |   |   |
|                                                                                                                                                       | 2,006,904           | 1.17             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 3/16/51                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 77,324      |   |   |   |
|                                                                                                                                                       | 1,181,251           | 1.05             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 3/16/53                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 98,612      |   |   |   |
|                                                                                                                                                       | 1,965,656           | 1.10             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 8/16/52                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 150,626     |   |   |   |
|                                                                                                                                                       | 1,770,083           | 1.07             | AAA/Aaa                                                                                                                              | Government National Mortgage Association, Floating Rate Note, 9/16/52                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 160,605     |   |   |   |
|                                                                                                                                                       | 400,000             | 1.65             | NR/Aa3                                                                                                                               | GS Mortgage Securities Corp II, Floating Rate Note, 11/8/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 402,251     |   |   |   |
|                                                                                                                                                       | 350,000             |             | NR/NR                                                                                                                                | GS Mortgage Securities Corp. II, 4.209%, 2/10/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 352,975     |   |   |   |
|                                                                                                                                                       | 500,000             | 1.26             | AAA/Aaa                                                                                                                              | GS Mortgage Securities Corp. II, Floating Rate Note, 3/6/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 501,654     |   |   |   |
|                                                                                                                                                       | 100,000             | 2.20             | AA/NR                                                                                                                                | GS Mortgage Securities Corp. II, Floating Rate Note, 3/6/20 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 100,343     |   |   |   |
|                                                                                                                                                       | 373,149             | 2.48             | A+/NR                                                                                                                                | GSR Mortgage Loan Trust 2003-9, Floating Rate Note, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 377,477     |   |   |   |
|                                                                                                                                                       | 400,764             | 2.77             | A+/B1                                                                                                                                | GSR Mortgage Loan Trust 2004-7, Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 405,773     |   |   |   |
|                                                                                                                                                       | 214,448             | 5.25             | BB-/NR                                                                                                                               | GSR Mortgage Loan Trust 2005-AR4, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 214,877     |   |   |   |
|                                                                                                                                                       | 250,000             | 2.48             | AA/Aa3                                                                                                                               | Holmes Master Issuer Plc, Floating Rate Note, 10/15/54 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 258,424     |   |   |   |
|                                                                                                                                                       | 374,846             | 0.61             | NR/Baa1                                                                                                                              | HomeBanc Mortgage Trust 2005-2, Floating Rate Note, 5/25/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 367,201     |   |   |   |
|                                                                                                                                                       | 453,505             | 0.54             | AA+/Aa3                                                                                                                              | Homestar Mortgage Acceptance Corp., Floating Rate Note, 6/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 455,819     |   |   |   |
|                                                                                                                                                       | 373,295             | 0.95             | AA+/A3                                                                                                                               | Impac CMB Trust Series 2003-11, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 372,101     |   |   |   |
|                                                                                                                                                       | 1,539,381           | 0.83             | BBB/Ba3                                                                                                                              | Impac CMB Trust Series 2004-4, Floating Rate Note, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 1,500,124   |   |   |   |
|                                                                                                                                                       | 160,588             | 0.97             | BBB/Baa1                                                                                                                             | Impac CMB Trust Series 2004-6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 155,947     |   |   |   |
|                                                                                                                                                       | 103,736             | 0.93             | BBB+/A3                                                                                                                              | Impac CMB Trust Series 2004-7, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 100,396     |   |   |   |
|                                                                                                                                                       | 228,743             | 0.39             | BB+/Baa2                                                                                                                             | Impac Secured Assets Trust 2006-5, Floating Rate Note, 12/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 216,390     |   |   |   |
|                                                                                                                                                       | 94,417              | 2.84             | BBB-/B1                                                                                                                              | IndyMac INDX Mortgage Loan Trust 2004-AR6, Floating Rate Note, 10/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 94,229      |   |   |   |
|                                                                                                                                                       | 112,830             | 2.77             | NR/NR                                                                                                                                | Jefferies & Co., Inc., Floating Rate Note, 5/26/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 113,766     |   |   |   |
|                                                                                                                                                       | 321,529             | 4.92             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Corp. Pass-Through Certificates Series 2003-LN1, Floating Rate Note, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                 | 322,357   |        |   |   |
|                                                                                                                                                       | 650,000             | 2.06             | AA/Aa2                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 10/15/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | 657,589   |        |   |   |
|                                                                                                                                                       | 300,000             | 2.00             | A-/NR                                                                                                                                | JP Morgan Chase Commercial Mortgage Securities Corp., Floating Rate Note, 4/15/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | 299,004   |        |   |   |
|                                                                                                                                                       | 198,801             |             | NR/Aaa                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC15, 5.819%, 6/12/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 198,578   |        |   |   |
|                                                                                                                                                       | 266,742             |             | NR/Aaa                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-CIBC17, 5.45%, 12/12/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 266,521   |        |   |   |
|                                                                                                                                                       | 1,288,153           | 0.33             | NR/Aa2                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 1,269,048 |        |   |   |
|                                                                                                                                                       | 211,896             | 0.56             | NR/Ba1                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-FL2, Floating Rate Note, 11/15/18 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 199,271   |        |   |   |
|                                                                                                                                                       | 250,000             | 0.35             | AA/Aa3                                                                                                                               | JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9, Floating Rate Note, 5/15/47                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 249,340   |        |   |   |
|                                                                                                                                                       | 396,241             | 5.71             | AAA/Aaa                                                                                                                              | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19, Floating Rate Note, 2/12/49                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 403,621   |        |   |   |
|                                                                                                                                                       | 744,082             | 2.14             | A+/Baa1                                                                                                                              | JP Morgan Mortgage Trust 2003-A1, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 763,085     |   |   |   |
|                                                                                                                                                       | 449,495             | 2.52             | AA+/Baa3                                                                                                                             | JP Morgan Mortgage Trust 2004-A1, Floating Rate Note, 2/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 465,046     |   |   |   |
|                                                                                                                                                       | 225,520             | 2.62             | AA+/Baa2                                                                                                                             | JP Morgan Mortgage Trust 2004-A5, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 230,774     |   |   |   |
|                                                                                                                                                       | 242,817             |             | B+/Baa3                                                                                                                              | JP Morgan Mortgage Trust 2004-S1, 5.0%, 9/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 250,436     |   |   |   |
|                                                                                                                                                       | 73,871              | 2.42             | BBB+/Ba1                                                                                                                             | JP Morgan Mortgage Trust 2005-A4, Floating Rate Note, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 74,743      |   |   |   |
|                                                                                                                                                       | 56,863              |             | NR/Caa3                                                                                                                              | JP Morgan Mortgage Trust 2006-S3, 6.0%, 8/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 2,509       |   |   |   |
|                                                                                                                                                       | 563,533             | 5.62             | BBB+/NR                                                                                                                              | LB-UBS Commercial Mortgage Trust 2002-C4, Floating Rate Note, 10/15/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 562,388   |        |   |   |
|                                                                                                                                                       | 237,554             |             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2004-C1, 4.568%, 1/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 242,192     |   |   |   |
|                                                                                                                                                       | 500,000             |             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2004-C2, 4.367%, 3/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 510,460     |   |   |   |
|                                                                                                                                                       | 101,717             |             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2005-C3, 4.664%, 7/15/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 103,057     |   |   |   |
|                                                                                                                                                       | 155,393             | 6.15             | AAA/Aaa                                                                                                                              | LB-UBS Commercial Mortgage Trust 2008-C1, Floating Rate Note, 4/15/41                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 164,015     |   |   |   |
|                                                                                                                                                       | 939,326             | 0.37             | AA+/Aaa                                                                                                                              | Lehman Brothers Floating Rate Commercial Mortgage Trust 2006-LLF C5, Floating Rate Note, 9/15/21 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 935,760   |        |   |   |
|                                                                                                                                                       | 76,111              | 0.90             | BB/Aaa                                                                                                                               | Lehman Brothers Floating Rate Commercial Mortgage Trust 2007-LLF C5, Floating Rate Note, 6/15/22 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 76,069    |        |   |   |
|                                                                                                                                                       | 466,904             | 1.24             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial Mortgage Trust 2007-3, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 466,029   |        |   |   |
|                                                                                                                                                       | 299,025             | 0.44             | A+/Aa1                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 2/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 269,123     |   |   |   |
|                                                                                                                                                       | 1,142,334           | 0.42             | A+/Aa2                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 4/25/31 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 988,145     |   |   |   |
|                                                                                                                                                       | 538,274             | 0.44             | A+/Aa3                                                                                                                               | Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 472,109     |   |   |   |
|                                                                                                                                                       | 339,476             | 0.71             | BB/B2                                                                                                                                | Lehman Brothers Small Balance Commercial, Floating Rate Note, 9/25/30 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 175,261     |   |   |   |
|                                                                                                                                                       | 250,000             | 1.29             | A+/B1                                                                                                                                | MASTR Adjustable Rate Mortgages Trust 2004-11, Floating Rate Note, 11/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 221,653     |   |   |   |
|                                                                                                                                                       | 33,273              |             | AAA/NR                                                                                                                               | MASTR Alternative Loan Trust 2004-13, 4.5%, 1/25/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 33,324      |   |   |   |
|                                                                                                                                                       | 143,738             | 0.59             | AA+/NR                                                                                                                               | MASTR Asset Securitization Trust 2003-6, Floating Rate Note, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 140,942     |   |   |   |
|                                                                                                                                                       | 209,750             | 6.60             | A-/NR                                                                                                                                | MASTR Seasoned Securitization Trust 2005-1, Floating Rate Note, 9/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 219,698     |   |   |   |
|                                                                                                                                                       | 563,345             | 1.28             | BBB+/Baa3                                                                                                                            | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-A, Floating Rate Note, 3/25/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 563,402   |        |   |   |
|                                                                                                                                                       | 208,115             | 2.20             | A+/Baa3                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2003-G, Floating Rate Note, 1/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 209,780   |        |   |   |
|                                                                                                                                                       | 290,631             | 0.65             | A+/A3                                                                                                                                | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-A, Floating Rate Note, 4/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 287,753   |        |   |   |
|                                                                                                                                                       | 268,828             | 0.69             | AA+/A3                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-B, Floating Rate Note, 5/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 261,489   |        |   |   |
|                                                                                                                                                       | 466,620             | 0.52             | A+/Ba2                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-E, Floating Rate Note, 11/25/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 453,227   |        |   |   |
|                                                                                                                                                       | 294,004             | 1.11             | A+/Baa2                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2004-G, Floating Rate Note, 1/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 288,684   |        |   |   |
|                                                                                                                                                       | 216,652             | 2.44             | BBB/B3                                                                                                                               | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-2, Floating Rate Note, 10/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 217,216   |        |   |   |
|                                                                                                                                                       | 624,784             | 0.65             | AA+/Ba3                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-A, Floating Rate Note, 3/25/30                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | 602,354   |        |   |   |
|                                                                                                                                                       | 142,712             | 2.52             | BBB+/NR                                                                                                                              | Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 146,279   |        |   |   |
|                                                                                                                                                       | 190,780             | 2.52             | A+/NR                                                                                                                                | Merrill Lynch Mortgage Investors Trust Series MLMI 2005-A2, Floating Rate Note, 2/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | 191,505   |        |   |   |
|                                                                                                                                                       | 137,459             | 5.29             | NR/Aaa                                                                                                                               | ML-CFC Commercial Mortgage Trust 2006-3, Floating Rate Note, 7/12/46                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 138,847     |   |   |   |
|                                                                                                                                                       | 416,790             |             | AAA/NR                                                                                                                               | Morgan Stanley Capital I Trust 2004-HQ4, 4.97%, 4/14/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 429,977     |   |   |   |
|                                                                                                                                                       | 955,055             | 5.11             | AAA/NR                                                                                                                               | Morgan Stanley Capital I Trust 2004-IQ8, Floating Rate Note, 6/15/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 984,237     |   |   |   |
|                                                                                                                                                       | 439,848             |             | NR/Aaa                                                                                                                               | Morgan Stanley Capital I Trust 2004-TOP13, 4.66%, 9/13/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 443,698     |   |   |   |
|                                                                                                                                                       | 338,869             |             | NR/A3                                                                                                                                | Morgan Stanley Dean Witter Capital I Trust 2001-TOP3, 6.79%, 7/15/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 346,442     |   |   |   |
|                                                                                                                                                       | 663,035             | 0.46             | AA+/A3                                                                                                                               | Morgan Stanley Mortgage Loan Trust 2005-5AR, Floating Rate Note, 9/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 649,597     |   |   |   |
|                                                                                                                                                       | 673,213             | 0.47             | A+/Ba2                                                                                                                               | Morgan Stanley Mortgage Loan Trust 2005-6AR, Floating Rate Note, 11/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 653,751     |   |   |   |
|                                                                                                                                                       | 700,000             |             | NR/NR                                                                                                                                | Morgan Stanley Re-REMIC Trust 2010-R9, 5.0%, 11/26/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 742,245     |   |   |   |
|                                                                                                                                                       | 474,982             | 1.39             | AAA/Aaa                                                                                                                              | NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 474,614     |   |   |   |
|                                                                                                                                                       | 200,000             | 4.44             | BBB/Baa3                                                                                                                             | NorthStar 2012-1 Mortgage Trust, Floating Rate Note, 8/25/29 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 204,017     |   |   |   |
|                                                                                                                                                       | 149,302             | 0.44             | BB+/B2                                                                                                                               | Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-5, Floating Rate Note, 12/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 148,012   |        |   |   |
|                                                                                                                                                       | 155,410             |             | NR/Baa3                                                                                                                              | ORES NPL LLC, 4.0%, 9/25/44 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 155,248     |   |   |   |
|                                                                                                                                                       | 700,000             | 1.68             | AAA/Aaa                                                                                                                              | Permanent Master Issuer Plc, Floating Rate Note, 7/15/42 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 704,759     |   |   |   |
|                                                                                                                                                       | 180,238             |             | NR/A2                                                                                                                                | PHH Mortgage Capital LLC, 6.6%, 12/25/27 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 181,747     |   |   |   |
|                                                                                                                                                       | 635,032             |             | BB+/B2                                                                                                                               | RAAC Series 2004-SP2 Trust, 6.0%, 1/25/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 647,588     |   |   |   |
|                                                                                                                                                       | 403,414             | 0.74             | NR/Baa3                                                                                                                              | RALI Series 2002-QS16 Trust, Floating Rate Note, 10/25/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 382,350     |   |   |   |
|                                                                                                                                                       | 850,568             |             | BBB+/Baa3                                                                                                                            | RALI Series 2003-QR24 Trust, 4.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 846,658     |   |   |   |
|                                                                                                                                                       | 784,091             |             | BBB-/Baa3                                                                                                                            | RALI Series 2003-QR24 Trust, 4.0%, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 806,242     |   |   |   |
|                                                                                                                                                       | 60,924              |             | NR/Ba1                                                                                                                               | RALI Series 2003-QS14 Trust, 5.0%, 7/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 62,189      |   |   |   |
|                                                                                                                                                       | 239,526             |             | BB+/Ba3                                                                                                                              | RALI Series 2003-QS15 Trust, 5.5%, 8/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 246,522     |   |   |   |
|                                                                                                                                                       | 325,000             |             | BBB/Baa3                                                                                                                             | RALI Series 2003-QS17 Trust, 5.5%, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 333,413     |   |   |   |
|                                                                                                                                                       | 709,593             |             | BBB+/Ba1                                                                                                                             | RALI Series 2004-QS1 Trust, 4.25%, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 711,529     |   |   |   |
|                                                                                                                                                       | 156,331             | 0.74             | BBB+/Ba1                                                                                                                             | RALI Series 2004-QS1 Trust, Floating Rate Note, 1/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 153,699     |   |   |   |
|                                                                                                                                                       | 280,828             |             | NR/B3                                                                                                                                | RALI Series 2004-QS16 Trust, 5.5%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 288,611     |   |   |   |
|                                                                                                                                                       | 195,134             |             | BB+/Ba3                                                                                                                              | RALI Series 2004-QS5 Trust, 4.75%, 4/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 202,385     |   |   |   |
|                                                                                                                                                       | 243,487             | 6.26             | BBB+/NR                                                                                                                              | RAMP Series 2004-SL4 Trust, Floating Rate Note, 5/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 248,551     |   |   |   |
|                                                                                                                                                       | 340,624             | 1.60             | B-/Ba1                                                                                                                               | RESI Finance LP, Floating Rate Note, 9/10/35 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 296,734     |   |   |   |
|                                                                                                                                                       | 1,793,129           | 0.59             | BBB+/NR                                                                                                                              | Residential Asset Securitization Trust 2003-A2, Floating Rate Note, 5/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 1,622,185   |   |   |   |
|                                                                                                                                                       | 423,747             |             | B/NR                                                                                                                                 | Residential Asset Securitization Trust 2004-A9, 5.75%, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 434,884     |   |   |   |
|                                                                                                                                                       | 389,739             |             | CCC/NR                                                                                                                               | Residential Asset Securitization Trust 2005-A9, 5.5%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 396,524     |   |   |   |
|                                                                                                                                                       | 400,000             | 0.00             | NR/NR                                                                                                                                | Resimac MBS Trust, Floating Rate Note, 3/7/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 400,131     |   |   |   |
|                                                                                                                                                       | 155,589             |             | NR/B3                                                                                                                                | RFMSI Series 2005-S5 Trust, 5.25%, 7/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 162,908     |   |   |   |
|                                                                                                                                                       | 632,412             |             | NR/Baa3                                                                                                                              | RREF 2013 LT2 LLC, 2.833%, 5/22/28 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 631,745     |   |   |   |
|                                                                                                                                                       | 328,179             | 2.67             | BBB+/B2                                                                                                                              | SASCO Mortgage Pass-Through Certificates Series 2004-S4, Floating Rate Note, 12/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 333,537   |        |   |   |
|                                                                                                                                                       | 263,052             | 0.82             | AA+/Baa3                                                                                                                             | Sequoia Mortgage Trust 2003-5, Floating Rate Note, 9/20/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 263,631     |   |   |   |
|                                                                                                                                                       | 207,615             | 0.52             | A+/Baa3                                                                                                                              | Sequoia Mortgage Trust 2004-10, Floating Rate Note, 11/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 207,158     |   |   |   |
|                                                                                                                                                       | 860,156             | 0.47             | A/Baa1                                                                                                                               | Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 827,675     |   |   |   |
|                                                                                                                                                       | 299,702             | 0.80             | AA/A3                                                                                                                                | Sequoia Mortgage Trust 2004-12, Floating Rate Note, 1/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 287,743     |   |   |   |
|                                                                                                                                                       | 357,904             | 1.88             | AA+/Baa3                                                                                                                             | Sequoia Mortgage Trust 2004-7, Floating Rate Note, 8/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 359,515     |   |   |   |
|                                                                                                                                                       | 742,721             | 0.54             | A+/Baa2                                                                                                                              | Sequoia Mortgage Trust 2004-9, Floating Rate Note, 10/20/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 725,636     |   |   |   |
|                                                                                                                                                       | 536,349             | 0.74             | AA+/B1                                                                                                                               | Sequoia Mortgage Trust 2005-1, Floating Rate Note, 2/20/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 535,757     |   |   |   |
|                                                                                                                                                       | 290,000             | 1.93             | AAA/Aaa                                                                                                                              | Silverstone Master Issuer Plc, Floating Rate Note, 1/21/55 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 301,897     |   |   |   |
|                                                                                                                                                       | 94,092              |             | NR/Baa3                                                                                                                              | SMA Issuer I LLC, 3.5%, 8/20/25 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 94,551      |   |   |   |
|                                                                                                                                                       | 346,593             | 2.22             | AAA/NR                                                                                                                               | Springleaf Mortgage Loan Trust 2012-2, Floating Rate Note, 10/25/57 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 358,758     |   |   |   |
|                                                                                                                                                       | 216,854             | 2.99             | BB+/Ba2                                                                                                                              | Structured Adjustable Rate Mortgage Loan Trust Class 1A1, Floating Rate Note, 3/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 213,818   |        |   |   |
|                                                                                                                                                       | 286,270             | 0.86             | AA+/Baa1                                                                                                                             | Structured Asset Mortgage Investments II Trust 2004-AR5, Floating Rate Note, 10/19/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 287,873   |        |   |   |
|                                                                                                                                                       | 640,444             | 3.68             | CCC/Caa3                                                                                                                             | Structured Asset Mortgage Investments II Trust 2005-AR2, Floating Rate Note, 5/25/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 486,732   |        |   |   |
|                                                                                                                                                       | 435,257             | 0.75             | AA+/A1                                                                                                                               | Structured Asset Mortgage Investments II Trust 2005-F1, Floating Rate Note, 8/26/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 432,361   |        |   |   |
|                                                                                                                                                       | 266,951             | 2.69             | A+/Baa3                                                                                                                              | Structured Asset Securities Corp. Mortgage Certificates Series 2003-31A, Floating Rate Note, 10/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | 273,118   |        |   |   |
|                                                                                                                                                       | 1,178,512           | 2.59             | A+/Baa3                                                                                                                              | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-24A, Floating Rate Note, 7/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 1,172,264 |        |   |   |
|                                                                                                                                                       | 506,509             | 0.69             | A+/Baa3                                                                                                                              | Structured Asset Securities Corp. Mortgage Pass-Through Certificates Series 2003-35, Floating Rate Note, 12/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 492,057   |        |   |   |
|                                                                                                                                                       | 254,770             | 0.84             | NR/NR                                                                                                                                | Structured Asset Securities Corp. Reverse Mortgage Loan Trust 2002-RM1, Floating Rate Note, 10/25/37 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 252,382   |        |   |   |
|                                                                                                                                                       | 167,280             | 3.06             | NR/Baa2                                                                                                                              | Thornburg Mortgage Securities Trust 2003-3, Floating Rate Note, 6/25/43                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 169,137     |   |   |   |
|                                                                                                                                                       | 331,576             | 1.74             | AAA/A1                                                                                                                               | Thornburg Mortgage Securities Trust 2004-1, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 333,267     |   |   |   |
|                                                                                                                                                       | 1,398,212           | 0.93             | BBB+/Baa3                                                                                                                            | Thornburg Mortgage Securities Trust 2004-3, Floating Rate Note, 9/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,361,020   |   |   |   |
|                                                                                                                                                       | 316,210             | 1.79             | AA+/Baa3                                                                                                                             | Thornburg Mortgage Securities Trust Class II2A, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 319,149     |   |   |   |
|                                                                                                                                                       | 237,332             | 4.11             | AAA/Ba1                                                                                                                              | Thornburg Mortgage Securities Trust Class II4A, Floating Rate Note, 3/25/44                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 240,607     |   |   |   |
|                                                                                                                                                       | 525,000             |             | AAA/Aa1                                                                                                                              | Timberstar Trust, 5.668%, 10/15/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 592,686     |   |   |   |
|                                                                                                                                                       | 221,339             | 0.77             | BB+/Aaa                                                                                                                              | UBS Commercial Mortgage Trust 2007-FL1, Floating Rate Note, 7/15/24 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 220,265     |   |   |   |
|                                                                                                                                                       | 300,000             |             | NR/NR                                                                                                                                | Vericrest Opportunity Loan Transferee, 3.222%, 5/27/53 (Step) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 300,000     |   |   |   |
|                                                                                                                                                       | 342,902             | 2.73             | NR/NR                                                                                                                                | Vericrest Opportunity Loan Transferee, Floating Rate Note, 11/25/60 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 345,175     |   |   |   |
|                                                                                                                                                       | 78,410,257          | 0.01             | AAA/Aaa                                                                                                                              | Wachovia Bank Commercial Mortgage Trust Series 2006-C26, Floating Rate Note, 6/15/45                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | 784       |        |   |   |
|                                                                                                                                                       | 650,000             | 5.30             | BBB/NR                                                                                                                               | WAMU Commercial Mortgage Securities Trust, Floating Rate Note, 5/25/36 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | 659,424   |        |   |   |
|                                                                                                                                                       | 1,194,630           |             | AA+/NR                                                                                                                               | WaMu Mortgage Pass Through Certificates, 5.0%, 10/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,231,374   |   |   |   |
|                                                                                                                                                       | 100,406             | 1.57             | AA+/Ba3                                                                                                                              | WaMu Mortgage Pass Through Certificates, Floating Rate Note, 6/25/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 94,934      |   |   |   |
|                                                                                                                                                       | 482,875             | 2.43             | A+/A1                                                                                                                                | WaMu Mortgage Pass Through Certificates, Floating Rate Note, 9/25/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 494,609     |   |   |   |
|                                                                                                                                                       | 416,170             | 5.00             | NR/Ba2                                                                                                                               | Wells Fargo Mortgage Backed Securities 2005-AR6 Trust, Floating Rate Note, 4/25/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | 425,742   |        |   |   |
|                                                                                                                                                       | 61,115              |             | AA+/A1                                                                                                                               | Wells Fargo Mortgage Backed Securities 2006-16 Trust, 5.0%, 11/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 63,185      |   |   |   |
|                                                                                                                                                       | 575,726             |             | NR/Caa1                                                                                                                              | Wells Fargo Mortgage Backed Securities 2006-2 Trust, 5.75%, 3/25/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 585,753     |   |   |   |
|                                                                                                                                                       | 352,684             | 4.93             | BBB+/Ba3                                                                                                                             | Wells Fargo Mortgage Backed Securities Trust, Floating Rate Note, 8/25/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 364,005     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $100,699,713)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 99,314,210  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | CORPORATE BONDS - 30.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Energy - 1.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Integrated Oil & Gas - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 700,000             |             | A/A1                                                                                                                                 | ConocoPhillips Co., 1.05%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 688,498     |   |   |   |
|                                                                                                                                                       | 1,115,000           | 0.66             | AA-/Aa1                                                                                                                              | Total Capital Canada, Ltd., Floating Rate Note, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 1,120,238   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,808,736   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Oil & Gas Exploration & Production - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 250,000             |             | A/Aa3                                                                                                                                | Ras Laffan Liquefied Natural Gas Co, Ltd. III, 5.5%, 9/30/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 263,250     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Oil & Gas Storage & Transportation - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 650,000             |             | A-/A3                                                                                                                                | TransCanada PipeLines, Ltd., 0.75%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 647,538     |   |   |   |
|                                                                                                                                                       | 750,000             |             | BBB/Baa2                                                                                                                             | Williams Partners LP, 3.8%, 2/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 785,966     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,433,504   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Energy                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 3,505,490   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Materials - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Industrial Gases - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa2                                                                                                                             | Airgas, Inc., 2.85%, 10/1/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 503,613     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Construction Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       | 360,000             |             | BBB+/Baa2                                                                                                                            | CRH America, Inc., 5.3%, 10/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 366,025     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Gold - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa2                                                                                                                             | Barrick Gold Corp., 1.75%, 5/30/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 503,670     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 1,373,308   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Capital Goods - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Aerospace & Defense - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       | 360,000             |             | BB/Ba2                                                                                                                               | Bombardier, Inc., 4.25%, 1/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 372,600     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/A2                                                                                                                                | Precision Castparts Corp., 1.25%, 1/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 494,316     |   |   |   |
|                                                                                                                                                       | 1,050,000           |             | A/A2                                                                                                                                 | The Boeing Co., 0.95%, 5/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,021,789   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,888,705   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Industrial Conglomerates - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | AA+/Aa3                                                                                                                              | General Electric Co., 0.85%, 10/9/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 501,159     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Trading Companies & Distributors - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | BBB/Baa2                                                                                                                             | Glencore Funding LLC, 6.0%, 4/15/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 1,040,279   |   |   |   |
|                                                                                                                                                       | 500,000             | 1.43             | NR/Baa2                                                                                                                              | Glencore Funding LLC, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 499,996     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,540,275   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 3,930,139   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Transportation - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Railroads - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa2                                                                                                                             | CSX Corp., 5.3%, 2/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 516,007     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Transportation                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 516,007     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Automobiles & Components - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Auto Parts & Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 250,000             |             | BBB+/Baa1                                                                                                                            | Johnson Controls, Inc., 1.75%, 3/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 252,208     |   |   |   |
|                                                                                                                                                       | 725,000             | 0.68             | BBB+/Baa1                                                                                                                            | Johnson Controls, Inc., Floating Rate Note, 2/4/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 726,794     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 979,002     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Automobile Manufacturers - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | BBB+/Baa1                                                                                                                            | Hyundai Motor Manufacturing Czech sro, 4.5%, 4/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,052,195   |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/A3                                                                                                                                | Volkswagen International Finance NV, 1.6%, 11/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 498,160     |   |   |   |
|                                                                                                                                                       | 300,000             |             | A-/A3                                                                                                                                | Volkswagen International Finance NV, 1.875%, 4/1/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 302,497     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,852,852   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 2,831,854   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Media - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Broadcasting - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       | 750,000             |             | BBB/Baa2                                                                                                                             | Discovery Communications LLC, 3.7%, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 790,997     |   |   |   |
|                                                                                                                                                       | 425,000             | 0.82             | A-/A3                                                                                                                                | NBCUniversal Enterprise, Inc., Floating Rate Note, 4/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 427,012     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,218,009   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Publishing - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 250,000             |             | A-/Baa1                                                                                                                              | Thomson Reuters Corp., 0.875%, 5/23/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 248,602     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 1,466,611   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Food & Staples Retailing - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Drug Retail - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa1                                                                                                                             | Walgreen Co., 4.875%, 8/1/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 503,282     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Food & Staples Retailing                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 503,282     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Food, Beverage & Tobacco - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Brewers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa1                                                                                                                            | SABMiller Holdings, Inc., 1.85%, 1/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 508,063     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Packaged Foods & Meats - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 250,000             | 0.57             | BBB+/A2                                                                                                                              | Campbell Soup Co., Floating Rate Note, 8/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 250,355     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Food, Beverage & Tobacco                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 758,418     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Health Care Equipment & Services - 0.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Health Care Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       | 510,000             |             | A/Baa1                                                                                                                               | St Jude Medical, Inc., 2.5%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 526,230     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Health Care Distributors - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/Baa2                                                                                                                              | Cardinal Health, Inc., 4.0%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 530,035     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Health Care Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | BBB+/Baa3                                                                                                                            | Express Scripts Holding Co., 3.125%, 5/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 1,055,314   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 2,111,579   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Pharmaceuticals, Biotechnology & Life Sciences - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Pharmaceuticals - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB-/Baa2                                                                                                                            | Zoetis, Inc., 1.15%, 2/1/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 501,213     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Life Sciences Tools & Services - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa2                                                                                                                            | Agilent Technologies, Inc., 2.5%, 7/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 501,080     |   |   |   |
|                                                                                                                                                       | 620,000             |             | BBB+/NR                                                                                                                              | Agilent Technologies, Inc., 5.5%, 9/14/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 681,557     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,182,637   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Pharmaceuticals, Biotechnology & Life Sciences                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 1,683,850   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Banks - 6.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Diversified Banks - 4.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |   |   |
|                                                                                                                                                       | 500,000             | 1.63             | A/NR                                                                                                                                 | Abbey National Treasury Services Plc London, Floating Rate Note, 6/10/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 500,100     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A/A2                                                                                                                                 | ABN AMRO Bank NV, 1.375%, 1/22/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 500,600     |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | AA-/Aa3                                                                                                                              | ANZ New Zealand Int'l, Ltd. London, 1.125%, 3/24/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 998,292     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A+/Aa3                                                                                                                               | Bank of Montreal, 0.8%, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 500,598     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A+/NR                                                                                                                                | Bank of Nova Scotia, 1.45%, 4/25/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 493,322     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB-/Baa3                                                                                                                            | BBVA US Senior SAU, 3.25%, 5/16/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 505,338     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.76             | AA-/Aa2                                                                                                                              | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA Netherlands, Floating Rate Note, 3/18/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | 500,839   |        |   |   |
|                                                                                                                                                       | 500,000             |             | A+/Aa3                                                                                                                               | Export-Import Bank of Korea, 1.25%, 11/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 496,993     |   |   |   |
|                                                                                                                                                       | 1,700,000           | 1.08             | AA-/Aa3                                                                                                                              | HSBC Bank Plc, Floating Rate Note, 1/17/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,708,017   |   |   |   |
|                                                                                                                                                       | 1,000,000           | 0.93             | AA-/Aa3                                                                                                                              | HSBC Bank Plc, Floating Rate Note, 8/12/13 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 1,001,257   |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa2                                                                                                                            | Intesa Sanpaolo S.p.A., 3.125%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 497,275     |   |   |   |
|                                                                                                                                                       | 500,000             | 2.67             | BBB+/Baa2                                                                                                                            | Intesa Sanpaolo S.p.A., Floating Rate Note, 2/24/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 502,536     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.74             | AA-/Aa3                                                                                                                              | Nordea Bank AB, Floating Rate Note, 5/13/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 249,858     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A+/A2                                                                                                                                | Standard Chartered Plc, 3.85%, 4/27/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 525,215     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A/Aa3                                                                                                                                | The Korea Development Bank, 1.0%, 1/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 493,574     |   |   |   |
|                                                                                                                                                       | 500,000             |             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, 1.4%, 4/30/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 493,063     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.45             | AA-/Aa1                                                                                                                              | The Toronto-Dominion Bank, Floating Rate Note, 5/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 500,100     |   |   |   |
|                                                                                                                                                       | 820,000             |             | A/A3                                                                                                                                 | Wachovia Corp., 5.25%, 8/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 862,173     |   |   |   |
|                                                                                                                                                       | 300,000             |             | A+/A2                                                                                                                                | Wells Fargo & Co., 1.5%, 7/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 304,493     |   |   |   |
|                                                                                                                                                       | 575,000             | 0.91             | A+/A2                                                                                                                                | Wells Fargo & Co., Floating Rate Note, 4/23/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 578,583     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 12,212,226  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Regional Banks - 2.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       | 103,000             |             | A-/A2                                                                                                                                | BB&T Corp., 1.6%, 8/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 103,139     |   |   |   |
|                                                                                                                                                       | 250,000             |             | A-/A2                                                                                                                                | BB&T Corp., 3.375%, 9/25/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 252,298     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/A2                                                                                                                                | BB&T Corp., 5.7%, 4/30/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 523,438     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.70             | BBB-/Baa2                                                                                                                            | Fifth Third Bancorp, Floating Rate Note, 12/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 490,836     |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | A-/A3                                                                                                                                | KeyBank NA Cleveland Ohio, 1.65%, 2/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,001,959   |   |   |   |
|                                                                                                                                                       | 275,000             |             | BBB+/Baa1                                                                                                                            | KeyBank NA Cleveland Ohio, 5.8%, 7/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 289,801     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa1                                                                                                                            | KeyCorp, 3.75%, 8/13/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 530,813     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.59             | A/A2                                                                                                                                 | PNC Bank NA, Floating Rate Note, 1/28/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 501,465     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.60             | A/A2                                                                                                                                 | PNC Bank NA, Floating Rate Note, 4/29/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 500,148     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.48             | A-/A3                                                                                                                                | PNC Funding Corp., Floating Rate Note, 1/31/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,512     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.48             | A+/Aa3                                                                                                                               | State Street Bank and Trust Co., Floating Rate Note, 12/8/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 248,758     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa1                                                                                                                             | SunTrust Banks, Inc., 3.5%, 1/20/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 532,302     |   |   |   |
|                                                                                                                                                       | 275,000             | 4.49             | BBB/Baa3                                                                                                                             | The PNC Financial Services Group, Inc., Floating Rate Note, 5/29/49 (Perpetual)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 273,625     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.48             | A+/A1                                                                                                                                | Wells Fargo Bank NA, Floating Rate Note, 5/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 247,116     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 5,996,210   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Thrifts & Mortgage Finance - 0.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       | 325,000             |             | BBB-/Baa2                                                                                                                            | Astoria Financial Corp., 5.0%, 6/19/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 345,089     |   |   |   |
|                                                                                                                                                       | 1,027,000           |             | BBB/Baa2                                                                                                                             | Santander Holdings USA, Inc. Pennsylvania, 3.0%, 9/24/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,058,187   |   |   |   |
|                                                                                                                                                       | 500,000             | 0.73             | AAA/Aaa                                                                                                                              | Swedbank Hypotek AB, Floating Rate Note, 3/28/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 501,669     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,904,945   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Banks                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 20,113,381  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Diversified Financials - 6.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Other Diversified Financial Services - 3.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/Baa2                                                                                                                              | Bank of America Corp., 3.7%, 9/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 525,820     |   |   |   |
|                                                                                                                                                       | 1,750,000           | 1.10             | A-/Baa2                                                                                                                              | Bank of America Corp., Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 1,750,968   |   |   |   |
|                                                                                                                                                       | 250,000             | 0.61             | A-/Baa2                                                                                                                              | Bank of America Corp., Floating Rate Note, 9/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 248,985     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/Baa2                                                                                                                              | Citigroup, Inc., 1.3%, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 499,073     |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | BBB+/Baa3                                                                                                                            | Citigroup, Inc., 5.0%, 9/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 1,046,064   |   |   |   |
|                                                                                                                                                       | 250,000             | 0.55             | A-/Baa2                                                                                                                              | Citigroup, Inc., Floating Rate Note, 11/5/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 249,448     |   |   |   |
|                                                                                                                                                       | 500,000             | 1.07             | A-/Baa2                                                                                                                              | Citigroup, Inc., Floating Rate Note, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 501,950     |   |   |   |
|                                                                                                                                                       | 485,000             |             | AA+/A1                                                                                                                               | General Electric Capital Corp., 1.625%, 7/2/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 492,814     |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | AA+/A1                                                                                                                               | General Electric Capital Corp., 1.875%, 9/16/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 1,004,463   |   |   |   |
|                                                                                                                                                       | 1,000,000           | 1.11             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 12/20/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,004,050   |   |   |   |
|                                                                                                                                                       | 500,000             | 0.98             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 4/24/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 503,060     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.91             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 4/7/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 502,815     |   |   |   |
|                                                                                                                                                       | 500,000             | 1.38             | AA+/A1                                                                                                                               | General Electric Capital Corp., Floating Rate Note, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 501,084     |   |   |   |
|                                                                                                                                                       | 265,000             |             | A/A2                                                                                                                                 | JPMorgan Chase & Co., 3.4%, 6/24/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 278,056     |   |   |   |
|                                                                                                                                                       | 500,000             | 4.00             | A/A2                                                                                                                                 | JPMorgan Chase & Co., Floating Rate Note, 2/25/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 509,150     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 9,617,800   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Specialized Finance - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       | 175,000             |             | BBB+/Baa1                                                                                                                            | Harley-Davidson Financial Services, Inc., 3.875%, 3/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 186,525     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A/A2                                                                                                                                 | National Rural Utilities Cooperative Finance Corp., 5.4%, 10/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 507,274     |   |   |   |
|                                                                                                                                                       | 500,000             | 0.53             | A/A2                                                                                                                                 | National Rural Utilities Cooperative Finance Corp., Floating Rate Note, 4/4/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 500,906     |   |   |   |
|                                                                                                                                                       | 150,000             |             | A/A3                                                                                                                                 | NYSE Euronext, 2.0%, 10/5/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 151,707     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,346,412   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Consumer Finance - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       | 270,000             | 1.90             | A-/A2                                                                                                                                | American Express Credit Corp., Floating Rate Note, 6/19/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 270,174     |   |   |   |
|                                                                                                                                                       | 500,000             | 1.13             | A-/A2                                                                                                                                | American Express Credit Corp., Floating Rate Note, 6/24/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 503,404     |   |   |   |
|                                                                                                                                                       | 380,000             |             | A+/A1                                                                                                                                | American Honda Finance Corp., 6.7%, 10/1/13 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 387,490     |   |   |   |
|                                                                                                                                                       | 175,000             | 0.65             | A+/A1                                                                                                                                | American Honda Finance Corp., Floating Rate Note, 5/26/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 175,179     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BB+/Ba1                                                                                                                              | Banque PSA Finance SA, 3.375%, 4/4/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 502,979     |   |   |   |
|                                                                                                                                                       | 475,000             |             | BBB/Baa1                                                                                                                             | Capital One Financial Corp., 1.0%, 11/6/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 472,065     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa1                                                                                                                             | Capital One Financial Corp., 2.125%, 7/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 506,754     |   |   |   |
|                                                                                                                                                       | 250,000             |             | BB+/Baa3                                                                                                                             | Ford Motor Credit Co LLC, 2.375%, 1/16/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 248,902     |   |   |   |
|                                                                                                                                                       | 200,000             |             | BB+/Baa3                                                                                                                             | Ford Motor Credit Co. LLC, 3.875%, 1/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 207,433     |   |   |   |
|                                                                                                                                                       | 100,000             |             | BBB+/A3                                                                                                                              | Nissan Motor Acceptance Corp., 4.5%, 1/30/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 105,875     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 3,380,255   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Asset Management & Custody Banks - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 300,000             |             | AA-/A1                                                                                                                               | Franklin Resources, Inc., 3.125%, 5/20/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 313,825     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Investment Banking & Brokerage - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/Baa2                                                                                                                              | Merrill Lynch & Co., Inc., 5.0%, 2/3/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 514,073     |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | A-/Baa1                                                                                                                              | Morgan Stanley, 4.0%, 9/22/20 (Step)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 1,001,982   |   |   |   |
|                                                                                                                                                       | 290,000             | 1.88             | A-/Baa1                                                                                                                              | Morgan Stanley, Floating Rate Note, 1/24/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 291,930     |   |   |   |
|                                                                                                                                                       | 275,000             | 3.10             | A-/Baa1                                                                                                                              | Morgan Stanley, Floating Rate Note, 11/9/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 284,427     |   |   |   |
|                                                                                                                                                       | 500,000             | 1.52             | A-/Baa1                                                                                                                              | Morgan Stanley, Floating Rate Note, 2/25/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 502,018     |   |   |   |
|                                                                                                                                                       | 250,000             |             | A/A2                                                                                                                                 | The Charles Schwab Corp., 0.85%, 12/4/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 250,803     |   |   |   |
|                                                                                                                                                       | 340,000             |             | A-/A3                                                                                                                                | The Goldman Sachs Group, Inc., 3.7%, 8/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 357,881     |   |   |   |
|                                                                                                                                                       | 250,000             | 1.27             | A-/A3                                                                                                                                | The Goldman Sachs Group, Inc., Floating Rate Note, 11/21/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 251,652     |   |   |   |
|                                                                                                                                                       | 1,000,000           | 1.27             | A-/A3                                                                                                                                | The Goldman Sachs Group, Inc., Floating Rate Note, 2/7/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 1,004,791   |   |   |   |
|                                                                                                                                                       | 475,000             | 0.73             | A-/A3                                                                                                                                | The Goldman Sachs Group, Inc., Floating Rate Note, 3/22/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 471,077     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 4,930,634   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 19,588,926  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Insurance - 5.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Life & Health Insurance - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/A3                                                                                                                                | Aflac, Inc., 3.45%, 8/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 528,986     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/NR                                                                                                                                | Jefferson-Pilot Corp., 4.75%, 1/30/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 513,274     |   |   |   |
|                                                                                                                                                       | 250,000             |             | A-/Baa2                                                                                                                              | Lincoln National Corp., 4.3%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 266,780     |   |   |   |
|                                                                                                                                                       | 390,000             | 0.64             | A+/Aa3                                                                                                                               | Principal Life Global Funding II, Floating Rate Note, 5/27/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 389,998     |   |   |   |
|                                                                                                                                                       | 450,000             |             | A/Baa2                                                                                                                               | Prudential Covered Trust 2012-1, 2.997%, 9/30/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 466,790     |   |   |   |
|                                                                                                                                                       | 250,000             | 3.10             | BBB-/NR                                                                                                                              | Vita Capital IV, Ltd., Floating Rate Note, 1/15/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 254,050     |   |   |   |
|                                                                                                                                                       | 750,000             | 2.90             | BBB-/NR                                                                                                                              | Vita Capital V, Ltd., Floating Rate Note, 1/15/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 767,100     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 3,186,978   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Multi-line Insurance - 0.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 300,000             |             | BBB/Baa2                                                                                                                             | Assurant, Inc., 2.5%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 299,111     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB-/Baa3                                                                                                                            | Genworth Holdings, Inc., 5.75%, 6/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 521,785     |   |   |   |
|                                                                                                                                                       | 350,000             |             | BBB-/Baa2                                                                                                                            | Liberty Mutual Group, Inc., 5.75%, 3/15/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 360,990     |   |   |   |
|                                                                                                                                                       | 410,000             |             | BBB-/Baa2                                                                                                                            | Liberty Mutual Group, Inc., 7.3%, 6/15/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 432,600     |   |   |   |
|                                                                                                                                                       | 350,000             | 1.03             | AA-/Aa3                                                                                                                              | Metropolitan Life Global Funding I, Floating Rate Note, 1/10/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 351,429     |   |   |   |
|                                                                                                                                                       | 250,000             |             | A/A2                                                                                                                                 | Metropolitan Life Insurance Co., 7.7%, 11/1/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 284,204     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 2,250,119   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Property & Casualty Insurance - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |   |   |
|                                                                                                                                                       | 250,000             | 4.37             | BB+/NR                                                                                                                               | Blue Danube II, Ltd., Floating Rate Note, 5/23/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 249,950     |   |   |   |
|                                                                                                                                                       | 750,000             |             | BBB/Baa3                                                                                                                             | Sirius International Group, Ltd., 6.375%, 3/20/17 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 831,914     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa2                                                                                                                            | XL Group Plc, 5.25%, 9/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 526,445     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,608,309   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Reinsurance - 3.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |   |   |   |
|                                                                                                                                                       | 250,000             | 8.15             | BB-/NR                                                                                                                               | Atlas Reinsurance VII, Ltd., Floating Rate Note, 1/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 255,450     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | BB+/NR                                                                                                                               | Bosphorus 1 Re, Ltd., Floating Rate Note, 5/3/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 249,000     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | BB-/NR                                                                                                                               | Caelus Re, Ltd., Floating Rate Note, 3/7/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 248,450     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | NR/NR                                                                                                                                | Caelus Re, Ltd., Floating Rate Note, 4/7/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 250,475     |   |   |   |
|                                                                                                                                                       | 250,000             | 4.50             | NR/Baa1                                                                                                                              | Combine Re, Ltd., Floating Rate Note, 1/7/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 257,900     |   |   |   |
|                                                                                                                                                       | 375,000             | 10.25            | BB-/NR                                                                                                                               | Compass Re, Ltd., Floating Rate Note, 1/8/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 391,238     |   |   |   |
|                                                                                                                                                       | 250,000             | 6.60             | BB-/NR                                                                                                                               | Embarcadero Reinsurance, Ltd., Floating Rate Note, 8/4/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 255,675     |   |   |   |
|                                                                                                                                                       | 500,000             | 5.00             | BB+/NR                                                                                                                               | Foundation Re III, Ltd., Floating Rate Note, 2/25/15 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 514,350     |   |   |   |
|                                                                                                                                                       | 500,000             | 5.75             | BB/NR                                                                                                                                | Foundation Re III, Ltd., Floating Rate Note, 2/3/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 500,950     |   |   |   |
|                                                                                                                                                       | 500,000             | 6.00             | BB/NR                                                                                                                                | Lodestone Re, Ltd., Floating Rate Note, 1/8/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 500,700     |   |   |   |
|                                                                                                                                                       | 500,000             | 7.25             | BB/NR                                                                                                                                | Lodestone Re, Ltd., Floating Rate Note, 1/8/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 501,250     |   |   |   |
|                                                                                                                                                       | 250,000             | 4.00             | BB/NR                                                                                                                                | Longpoint Re, Ltd. III, Floating Rate Note, 5/18/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 249,500     |   |   |   |
|                                                                                                                                                       | 250,000             | 6.00             | BB+/NR                                                                                                                               | Longpoint Re, Ltd., Floating Rate Note, 6/12/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      | 260,950     |   |   |   |
|                                                                                                                                                       | 250,000             | 8.71             | B+/NR                                                                                                                                | Mythen Re, Ltd. Series 2012-2 Class A, Floating Rate Note, 1/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | 258,750   |        |   |   |
|                                                                                                                                                       | 250,000             | 8.11             | NR/Ba3                                                                                                                               | Mythen, Ltd., Floating Rate Note, 5/7/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 268,300     |   |   |   |
|                                                                                                                                                       | 150,000             |             | NR/NR                                                                                                                                | Pangaea Re, 0.0%, 10/1/15 (Cat Bond)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 150,448     |   |   |   |
|                                                                                                                                                       | 250,000             | 7.50             | BB-/NR                                                                                                                               | Queen Street II Capital, Ltd., Floating Rate Note, 4/9/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 252,775     |   |   |   |
|                                                                                                                                                       | 250,000             | 8.60             | B/NR                                                                                                                                 | Queen Street VII Re, Ltd., Floating Rate Note, 4/8/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 254,650     |   |   |   |
|                                                                                                                                                       | 250,000             | 13.00            | B-/NR                                                                                                                                | Residential Reinsurance 2010, Ltd., Floating Rate Note, 6/6/13 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 249,825     |   |   |   |
|                                                                                                                                                       | 750,000             | 10.75            | NR/NR                                                                                                                                | Residential Reinsurance 2010, Ltd., Floating Rate Note, 6/6/13 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 749,400     |   |   |   |
|                                                                                                                                                       | 250,000             | 9.00             | BB-/NR                                                                                                                               | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 261,575     |   |   |   |
|                                                                                                                                                       | 250,000             | 8.75             | B+/NR                                                                                                                                | Residential Reinsurance 2011, Ltd., Floating Rate Note, 6/6/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 258,250     |   |   |   |
|                                                                                                                                                       | 650,000             | 4.50             | BB+/NR                                                                                                                               | Residential Reinsurance 2012, Ltd., Floating Rate Note, 12/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | 659,360   |        |   |   |
|                                                                                                                                                       | 250,000             | 8.00             | BB/NR                                                                                                                                | Residential Reinsurance 2012, Ltd., Floating Rate Note, 6/6/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 273,525     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | B-/NR                                                                                                                                | Residential Reinsurance 2013, Ltd., Floating Rate Note, 6/6/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 250,125     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | NR/NR                                                                                                                                | Sanders Re, Ltd., Floating Rate Note, 5/5/17 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 249,800     |   |   |   |
|                                                                                                                                                       | 250,000             |             | NR/NR                                                                                                                                | Sector Re V, Ltd., 3/1/18 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 253,850     |   |   |   |
|                                                                                                                                                       | 250,000             | 7.00             | BB/NR                                                                                                                                | Shore Re, Ltd., Floating Rate Note, 7/8/13 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 250,900     |   |   |   |
|                                                                                                                                                       | 350,000             | 12.93            | B-/NR                                                                                                                                | Successor X, Ltd. Class III-R3, Floating Rate Note, 1/7/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 350,560     |   |   |   |
|                                                                                                                                                       | 300,000             | 9.41             | B/NR                                                                                                                                 | Successor X, Ltd. Class IV-E3, Floating Rate Note, 2/25/14 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 301,530     |   |   |   |
|                                                                                                                                                       | 250,000             | 0.00             | B+/NR                                                                                                                                | Tar Heel Re, Ltd., Floating Rate Note, 5/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 256,700     |   |   |   |
|                                                                                                                                                       | 500,000             | 2.75             | BBB+/NR                                                                                                                              | Vitality Re IV, Ltd., Floating Rate Note, 1/9/16 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 516,650     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 10,502,861  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Insurance                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 17,548,267  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Real Estate - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Diversified REIT's - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 350,000             |             | BBB/Baa2                                                                                                                             | Digital Realty Trust LP, 4.5%, 7/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 369,484     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Office REIT's - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | 385,000             |             | BBB/Baa2                                                                                                                             | Mack-Cali Realty LP, 5.125%, 2/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 395,802     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Specialized REIT's - 0.9%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | BBB+/Baa1                                                                                                                            | HCP, Inc., 2.7%, 2/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 1,012,855   |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa2                                                                                                                             | Health Care Real Estate Investment Trust, Inc., 2.25%, 3/15/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 503,686     |   |   |   |
|                                                                                                                                                       | 780,000             |             | BBB-/Baa2                                                                                                                            | Hospitality Properties Trust, 7.875%, 8/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 816,158     |   |   |   |
|                                                                                                                                                       | 290,000             |             | BBB-/Baa3                                                                                                                            | Senior Housing Properties Trust, 4.3%, 1/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 302,665     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 2,635,364   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Real Estate                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 3,400,650   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Technology Hardware & Equipment - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Computer Hardware - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |   |   |
|                                                                                                                                                       | 400,000             | 0.32             | AA+/Aa1                                                                                                                              | Apple, Inc., Floating Rate Note, 5/3/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 400,229     |   |   |   |
|                                                                                                                                                       | 470,000             |             | BBB+/Baa1                                                                                                                            | Hewlett-Packard Co., 2.625%, 12/9/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 480,926     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 881,155     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 881,155     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Semiconductors & Semiconductor Equipment - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Semiconductors - 0.5%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       | 700,000             |             | A+/A1                                                                                                                                | Intel Corp., 1.35%, 12/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 695,541     |   |   |   |
|                                                                                                                                                       | 750,000             |             | BBB+/Baa1                                                                                                                            | Maxim Integrated Products, Inc., 3.45%, 6/14/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 750,542     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,446,083   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Semiconductors & Semiconductor Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 1,446,083   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Telecommunication Services - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Integrated Telecommunication Services - 1.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | NR/A2                                                                                                                                | GTP Acquisition Partners I LLC, 4.347%, 6/15/16 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 527,692     |   |   |   |
|                                                                                                                                                       | 550,000             |             | NR/A2                                                                                                                                | GTP Towers Issuer LLC, 4.436%, 2/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 572,331     |   |   |   |
|                                                                                                                                                       | 200,000             |             | NR/Ba2                                                                                                                               | GTP Towers Issuer LLC, 8.112%, 2/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 212,076     |   |   |   |
|                                                                                                                                                       | 750,000             |             | BBB-/Baa3                                                                                                                            | Telecom Italia Capital SA, 4.95%, 9/30/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 781,150     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/Baa2                                                                                                                             | Telefonica Emisiones SAU, 3.992%, 2/16/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 522,564     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/A3                                                                                                                                | Verizon Communications, Inc., 3.0%, 4/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 526,223     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 3,142,036   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Wireless Telecommunication Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | NR/A2                                                                                                                                | Crown Castle Towers LLC, 3.214%, 8/15/15 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 517,390     |   |   |   |
|                                                                                                                                                       | 275,000             | 0.66             | A-/A3                                                                                                                                | Vodafone Group Plc, Floating Rate Note, 2/19/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      | 275,270     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 792,660     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Telecommunication Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 3,934,696   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Utilities - 1.6%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Electric Utilities - 1.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | A-/A3                                                                                                                                | Commonwealth Edison Co., 1.95%, 9/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 515,308     |   |   |   |
|                                                                                                                                                       | 500,000             |             | A/A2                                                                                                                                 | Duke Energy Florida, Inc., 0.65%, 11/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 499,636     |   |   |   |
|                                                                                                                                                       | 350,000             | 0.60             | A/A3                                                                                                                                 | Georgia Power Co., Floating Rate Note, 3/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 350,193     |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | BBB/Baa1                                                                                                                             | Iberdrola Finance Ireland, Ltd., 3.8%, 9/11/14 (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 1,031,020   |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa1                                                                                                                            | NextEra Energy Capital Holdings, Inc., 2.55%, 11/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 504,278     |   |   |   |
|                                                                                                                                                       | 380,000             |             | BBB+/Baa2                                                                                                                            | Northeast Utilities, 5.65%, 6/1/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 380,000     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 3,280,435   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Multi-Utilities - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       | 580,000             |             | A-/Baa2                                                                                                                              | Dominion Resources, Inc. Virginia, 1.8%, 3/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 585,427     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Independent Power Producers & Energy Traders - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       | 500,000             | 6.65             | BB/NR                                                                                                                                | East Lane Re, Ltd., Floating Rate Note, 3/13/15 (Cat Bond) (144A)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 518,050     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB+/Baa1                                                                                                                            | PSEG Power LLC, 2.75%, 9/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 518,170     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,036,220   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 4,902,082   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL CORPORATE BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $89,489,874)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 90,495,778  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | U.S. GOVERNMENT AND AGENCY OBLIGATIONS - 13.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       | 59,993              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 5.0%, 7/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 64,078      |   |   |   |
|                                                                                                                                                       | 126,646             |             | AAA/Aaa                                                                                                                              | Fannie Mae, 5.5%, 12/1/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 138,012     |   |   |   |
|                                                                                                                                                       | 135,333             |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.0%, 2/1/34                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 150,950     |   |   |   |
|                                                                                                                                                       | 81,649              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.0%, 4/1/38                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 88,968      |   |   |   |
|                                                                                                                                                       | 371,476             |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 424,118     |   |   |   |
|                                                                                                                                                       | 1,066               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 6/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 1,075       |   |   |   |
|                                                                                                                                                       | 8,859               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 6/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 8,929       |   |   |   |
|                                                                                                                                                       | 5,061               |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 6/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 5,380       |   |   |   |
|                                                                                                                                                       | 10,965              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 7/1/32                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 12,431      |   |   |   |
|                                                                                                                                                       | 15                  |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 8/1/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 15          |   |   |   |
|                                                                                                                                                       | 802                 |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 8/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 823         |   |   |   |
|                                                                                                                                                       | 28,853              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 6.5%, 8/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 31,100      |   |   |   |
|                                                                                                                                                       | 82,228              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 7.0%, 1/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 96,614      |   |   |   |
|                                                                                                                                                       | 191,247             |             | AAA/Aaa                                                                                                                              | Fannie Mae, 7.0%, 10/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 212,584     |   |   |   |
|                                                                                                                                                       | 108,009             |             | AAA/Aaa                                                                                                                              | Fannie Mae, 7.0%, 7/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 115,327     |   |   |   |
|                                                                                                                                                       | 18,088              |             | AAA/Aaa                                                                                                                              | Fannie Mae, 8.0%, 4/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      | 18,256      |   |   |   |
|                                                                                                                                                       | 63,228              | 2.72             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 1/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 64,063      |   |   |   |
|                                                                                                                                                       | 91,366              | 2.40             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 95,665      |   |   |   |
|                                                                                                                                                       | 221,317             | 2.57             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 10/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 236,422     |   |   |   |
|                                                                                                                                                       | 327,547             | 2.56             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 10/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 341,853     |   |   |   |
|                                                                                                                                                       | 98,749              | 2.67             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 11/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 99,392      |   |   |   |
|                                                                                                                                                       | 4,389               | 2.24             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 11/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 4,668       |   |   |   |
|                                                                                                                                                       | 120,647             | 1.57             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 11/1/40                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 125,376     |   |   |   |
|                                                                                                                                                       | 82,503              | 2.44             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 12/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 88,203      |   |   |   |
|                                                                                                                                                       | 341,009             | 4.45             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 12/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      | 361,393     |   |   |   |
|                                                                                                                                                       | 20,252              | 2.58             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 2/1/27                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 20,401      |   |   |   |
|                                                                                                                                                       | 1,790               | 3.02             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 2/1/33                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,907       |   |   |   |
|                                                                                                                                                       | 3,570               | 2.59             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 4/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 3,819       |   |   |   |
|                                                                                                                                                       | 3,080               | 2.36             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 3,277       |   |   |   |
|                                                                                                                                                       | 70,132              | 2.86             | AAA/Aaa                                                                                                                              | Fannie Mae, Floating Rate Note, 7/1/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 75,267      |   |   |   |
|                                                                                                                                                       | 382,729             |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.0%, 5/1/24                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 403,699     |   |   |   |
|                                                                                                                                                       | 71,058              |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 74,682      |   |   |   |
|                                                                                                                                                       | 366,927             |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 390,342     |   |   |   |
|                                                                                                                                                       | 350,403             |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 4.5%, 7/1/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 372,271     |   |   |   |
|                                                                                                                                                       | 128,238             |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.0%, 2/1/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 137,675     |   |   |   |
|                                                                                                                                                       | 100,807             |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 5.5%, 8/1/23                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 109,165     |   |   |   |
|                                                                                                                                                       | 5,558               |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 6.5%, 6/1/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 5,711       |   |   |   |
|                                                                                                                                                       | 19,687              |             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., 6.5%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      | 20,890      |   |   |   |
|                                                                                                                                                       | 3,641               | 2.50             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 1/1/28                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 3,902       |   |   |   |
|                                                                                                                                                       | 460,278             | 2.94             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 10/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 464,711     |   |   |   |
|                                                                                                                                                       | 7,626               | 2.42             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 11/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 8,126       |   |   |   |
|                                                                                                                                                       | 284,557             | 2.78             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 12/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      | 286,826     |   |   |   |
|                                                                                                                                                       | 19,609              | 2.77             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 19,748      |   |   |   |
|                                                                                                                                                       | 2,074               | 2.65             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 4/1/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 2,094       |   |   |   |
|                                                                                                                                                       | 7,692               | 2.16             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 5/1/25                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 7,716       |   |   |   |
|                                                                                                                                                       | 6,566               | 2.35             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 7/1/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 6,812       |   |   |   |
|                                                                                                                                                       | 1,571               | 2.38             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 1,570       |   |   |   |
|                                                                                                                                                       | 117,765             | 2.98             | AAA/Aaa                                                                                                                              | Federal Home Loan Mortgage Corp., Floating Rate Note, 8/1/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 121,009     |   |   |   |
|                                                                                                                                                       | 451,950             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 5.0%, 8/15/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 493,806     |   |   |   |
|                                                                                                                                                       | 309,410             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.0%, 11/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 345,939     |   |   |   |
|                                                                                                                                                       | 74,750              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.0%, 12/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 84,501      |   |   |   |
|                                                                                                                                                       | 423,273             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.0%, 3/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 458,964     |   |   |   |
|                                                                                                                                                       | 71,561              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.5%, 10/15/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 82,012      |   |   |   |
|                                                                                                                                                       | 47,845              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.5%, 5/15/31                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 51,718      |   |   |   |
|                                                                                                                                                       | 19,457              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 6.5%, 7/15/35                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 20,924      |   |   |   |
|                                                                                                                                                       | 658                 |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 7.0%, 11/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 661         |   |   |   |
|                                                                                                                                                       | 92,323              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 7.5%, 10/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 108,690     |   |   |   |
|                                                                                                                                                       | 10,196              |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association I, 7.5%, 6/15/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 10,302      |   |   |   |
|                                                                                                                                                       | 753,857             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 10/20/21                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 829,288     |   |   |   |
|                                                                                                                                                       | 392,982             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 11/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      | 444,437     |   |   |   |
|                                                                                                                                                       | 283,903             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 4/20/22                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 310,415     |   |   |   |
|                                                                                                                                                       | 306,472             |             | AAA/Aaa                                                                                                                              | Government National Mortgage Association II, 6.0%, 8/20/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 329,694     |   |   |   |
|                                                                                                                                                       | 12,500,000          |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.125%, 12/31/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 12,500,971  |   |   |   |
|                                                                                                                                                       | 4,200,000           |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.125%, 9/30/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 4,200,655   |   |   |   |
|                                                                                                                                                       | 2,000,000           |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.25%, 1/31/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,001,718   |   |   |   |
|                                                                                                                                                       | 7,750,000           |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.25%, 10/31/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 7,755,146   |   |   |   |
|                                                                                                                                                       | 3,500,000           |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.375%, 2/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      | 3,492,342   |   |   |   |
|                                                                                                                                                       | 2,500,000           |             | AA+/Aaa                                                                                                                              | U.S. Treasury Notes, 0.5%, 11/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      | 2,504,492   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $41,059,293)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 41,353,990  |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | MUNICIPAL BONDS - 3.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Municipal Airport - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |   |   |
|                                                                                                                                                       | 300,000             |             | A/A2                                                                                                                                 | Massachusetts Port Authority, 5.0%, 7/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 312,333     |   |   |   |
|                                                                                                                                                       | 475,000             |             | A/A2                                                                                                                                 | Massachusetts Port Authority, 5.0%, 7/1/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      | 520,087     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 832,420     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Municipal Development - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       | 250,000             | 3.00             | AA-/Aa2                                                                                                                              | Massachusetts Development Finance Agency, Floating Rate Note, 2/15/36                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 265,570     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Municipal General - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | AA/A2                                                                                                                                | JobsOhio Beverage System, 0.872%, 1/1/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 500,565     |   |   |   |
|                                                                                                                                                       | 1,500,000           | 1.28             | A+/A1                                                                                                                                | New Jersey Economic Development Authority, Floating Rate Note, 6/15/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 1,500,000   |   |   |   |
|                                                                                                                                                       | 2,000,000           |             | NR/NR                                                                                                                                | State of California, 2.5%, 6/20/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           |      | 2,034,020   |   |   |   |
|                                                                                                                                                       | 500,000             |             | AA/Aa2                                                                                                                               | State of Ohio, 3.0%, 6/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      | 520,375     |   |   |   |
|                                                                                                                                                       | 500,000             |             | BBB/A3                                                                                                                               | Texas Municipal Gas Acquisition & Supply Corp III, 5.0%, 12/15/15                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      | 540,395     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 5,095,355   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Higher Municipal Education - 0.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 690,000             | 2.70             | NR/A2                                                                                                                                | Massachusetts Health & Educational Facilities Authority, Floating Rate Note, 10/1/37                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 700,598     |   |   |   |
|                                                                                                                                                       | 200,000             |             | AA-/Aa2                                                                                                                              | New York State Dormitory Authority, 3.0%, 7/1/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      | 200,472     |   |   |   |
|                                                                                                                                                       | 500,000             |             | AA/Aa1                                                                                                                               | University of California, 0.966%, 5/15/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 497,430     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 1,398,500   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Municipal Pollution - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       | 1,000,000           |             | A-/Baa1                                                                                                                              | County of Power Idaho, 5.625%, 10/1/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 1,000,940   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Municipal Transportation - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 500,000             |             | NR/NR                                                                                                                                | North Texas Tollway Authority, 2.441%, 9/1/13                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 502,530     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL MUNICIPAL BONDS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $9,054,527)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 9,095,315   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | SENIOR FLOATING RATE LOAN INTERESTS** - 1.7%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Materials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Metal & Glass Containers - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       | 194,513             | 4.50             | B/B1                                                                                                                                 | BWAY Holding Co., Initial Term Loan, 8/31/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 197,025     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Diversified Metals & Mining - 0.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       | 99,500              | 5.25             | BB+/Ba1                                                                                                                              | Fortescue Metals Group, Ltd., Term Loan, 9/18/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 100,260     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Materials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 297,285     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Capital Goods - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Aerospace & Defense - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       | 247,500             | 3.75             | BBB-/Ba1                                                                                                                             | Spirit Aerosystems, Inc., Term B Loan, 3/27/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 249,975     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Construction & Farm Machinery & Heavy Trucks - 0.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 111,896             | 4.50             | BB+/Ba1                                                                                                                              | Terex Corp., New US Term Loan, 4/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       | $         | 113,889     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Trading Companies & Distributors - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 244,388             | 4.50             | B+/Ba3                                                                                                                               | WESCO International, Inc., Tranche B-1 Loan, 12/4/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 246,754     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Capital Goods                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 610,618     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Commercial Services & Supplies - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Environmental & Facilities Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       | 170,443             | 2.28             | NR/WR                                                                                                                                | Synagro Technologies, Inc., Term Loan (First Lien), 4/2/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 168,313     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Commercial Services & Supplies                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 168,313     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Automobiles & Components - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Automobile Manufacturers - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 913,725             | 6.00             | BB/Ba1                                                                                                                               | Chrysler Group LLC, Tranche B Term Loan, 4/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 926,860     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Automobiles & Components                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 926,860     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Consumer Durables & Apparel - 0.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Apparel, Accessories & Luxury Goods - 0.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       | 115,000             | 3.25             | BBB-/Ba1                                                                                                                             | PVH Corp., Tranche B Term Loan, 12/19/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 116,014     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Consumer Durables & Apparel                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 116,014     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Consumer Services - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Casinos & Gaming - 0.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       | 349,125             | 3.50             | BB/Ba2                                                                                                                               | MGM Resorts International, Term B Loan, 12/13/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             | $         | 350,129     |   |   |   |
|                                                                                                                                                       | 467,616             | 3.75             | BBB-/Ba1                                                                                                                             | Penn National Gaming, Inc., Term B Facility Loan, 6/29/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | 472,777     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 822,906     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Consumer Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 822,906     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Media - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Movies & Entertainment - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       | 240,543             | 3.75             | NR/Baa3                                                                                                                              | Cinedigm Digital Funding I LLC, Term Loan, 3/31/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                           | $         | 242,046     |   |   |   |
|                                                                                                                                                       | 194,004             | 4.50             | BB-/Ba2                                                                                                                              | Live Nation Entertainment, Inc., Term B Loan, 10/20/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      | 196,105     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         | $         | 438,151     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Media                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 438,151     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Health Care Equipment & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Health Care Facilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       | 367,918             | 3.77             | BB/Ba3                                                                                                                               | Community Health Systems, Inc., Extended Term Loan, 7/25/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 371,453     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Health Care Equipment & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   | $         | 371,453     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Diversified Financials - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Investment Banking & Brokerage - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 148,500             | 0.00             | BB-/NR                                                                                                                               | LPL Holdings, Inc., 2013 Incremental Tranche B Term Loan, 3/29/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 148,500     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Diversified Financials                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 | $         | 148,500     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Internet Software & Services - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       | 245,000             | 4.00             | BB+/Ba3                                                                                                                              | Autotrader.com, Inc., Tranche B-1 Term Loan, 12/15/16                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 247,818     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | IT Consulting & Other Services - 0.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       | 166,042             | 3.95             | BB/Ba3                                                                                                                               | SunGard Data Systems, Inc., Tranche C Term Loan, 2/28/17                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     | $         | 167,219     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Software & Services                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                | $         | 415,037     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Technology Hardware & Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Communications Equipment - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              |      |        |   |   |   |
|                                                                                                                                                       | 465,638             | 4.00             | BBB-/Ba3                                                                                                                             | Riverbed Technology, Inc., Term Loan, 10/29/19                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               | $         | 472,138     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Technology Hardware & Equipment                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 472,138     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Utilities - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Independent Power Producers & Energy Traders - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       | 333,338             | 3.75             | BB+/Ba1                                                                                                                              | AES Corp. Virginia, 2013 Other Term Loan, 5/27/18                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 337,348     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Total Utilities                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 337,348     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL SENIOR FLOATING RATE LOAN INTERESTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $5,020,923)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 5,124,623   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TEMPORARY CASH INVESTMENTS - 1.4%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Certificate of Deposit - 0.1%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       | 350,000             | 0.44             | NR/NR                                                                                                                                | Svenska Handelsbanken New York NY, Floating Rate Note, 11/17/14                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 349,846     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL CERTIFICATE OF DEPOSIT                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $350,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                              | $         | 349,846     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Repurchase Agreements - 1.3%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       | 3,790,000           |             | NR/Aaa                                                                                                                               | Deutschebank AG, 0.06%, dated 5/31/13, repurchase price of                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | $590,000 plus accrued interest on 6/3/13 collateralized by                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | the following:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                               |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | $3,061,309 U.S. Treasury Strip, 0.0%, 8/15/13-8/15/42                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | $225,248 U.S. Treasury Notes, 1.25%, 1/31/19-2/29/20                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | $579,243 U.S. Treasury Bonds, 2.375-7.875%, 2/15/21-1/15/29                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  | $         | 3,790,000   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL REPURCHASE AGREEMENT                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                   |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $3,790,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 3,790,000   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL TEMPORARY CASH INVESTMENTS                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $4,140,000)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            | $         | 4,139,846   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL INVESTMENT IN SECURITIES - 99.8%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                       |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | (Cost $300,168,866) (a)                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      | $         | 300,663,575 |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | OTHER ASSETS & LIABILITIES - 0.2%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        | $         | 628,170     |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | TOTAL NET ASSETS - 100.0%                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 301,291,745 |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | NR                  |             |                                                                                                                                 | Not rated by either S&P or Moody's.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                      |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | WR                  |             |                                                                                                                                 | Withdrawn rating.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                            |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | (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, 2013, the value of these securities amounted to $75,382,191 or 25.0% of total net assets.                                                                                                                                                                                                                                           |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | (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. |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | (Perpetual)         |             | Security with no stated maturity date.                                                                                               |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | (Step)              |             |                                                                                                                                 | Bond issued with an initial coupon rate which converts to a higher rate at a later date.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                     |      |        |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | REIT's              |             |                                                                                                                                 | Real Estate Investment Trust.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | **                  |             |                                                                                                                                 | 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 or (iv) other base lending rates used by commercial lenders. The rate shown is the coupon rate at period end. |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | (a)                 |             |                                                                                                                                 | At May 31, 2013, the net unrealized gain on investments based on                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                             |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | cost for federal income tax purposes of $300,587,772 was as follows:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Aggregate gross unrealized gain for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | there is an excess of value over tax cost                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    | $         | 3,950,283   |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Aggregate gross unrealized loss for all investments in which                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                 |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | there is an excess of tax cost over value                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                    |      | (3,874,480) |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 | Net unrealized gain                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          | $         | 75,803      |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | (b)                 |             |                                                                                                                                 | Debt obligation with a variable interest rate. Rate shown is rate at end of period.                                                                                                                                                                                                                                                                                                                                                                                                                                                                                          |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | NOTE:               |             |                                                                                                                                 | Principal amounts are denominated in U.S. Dollars unless otherwise denoted:                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                  |      |        |   |   |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
|                                                                                                                                                       | CAD                 | Canadian Dollar. |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
| 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) as Level 3.                                                          |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |
|                                                                                                                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |        |   |   |   |
| The following is a summary of the inputs used as of May 31, 2013, in valuing the Fund's investments:                                                       |                |             |                                                                                                                                 |                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                         |      |

----

|                                                                                     |   | Level 1 |   |   | Level 2 |   |        | Level 3 |   |   | Total  |   |
|------------------------------------------------------------------------------------------|--------|---------|--------|--------|---------|--------|-------------|---------|--------|--------|--------|--------|
| Preferred  Stocks                                                              |   | $       | -      |   |    |   | 253,650     |    |   | $      | -      |   |   | $ | 253,650 |   |
| Asset Backed Securities                                                                  |   |    | -      |   |    |   | 50,886,163  |    |   |   | -      |   |   | $ | 50,886,163 |   |
| Collateralized Mortgage Obligations                                                      |   |    | -      |   |    |   | 99,314,210  |    |   |   | -      |   |   | $ | 99,314,210 |   |
| Corporate Bonds                                                                          |   |    | -      |   |    |   | 90,495,778  |    |   |   | -      |   |   | $ | 90,495,778 |   |
| U.S. Government Agency Obligations                                                       |   |    | -      |   |    |   | 41,353,990  |    |   |   | -      |   |   | $ | 41,353,990 |   |
| Municaipal Bonds                                                                         |   |    | -      |   |    |   | 9,095,315   |    |   |   | -      |   |   | $ | 9,095,315 |   |
| Senior Floating Rate Loan Interests                                                      |   |    | -      |   |    |   | 5,124,623   |    |   |   | -      |   |   | $ | 5,124,623 |   |
| Certificate of Deposit                                                                   |   |    | -      |   |    |   | 349,846     |    |   |   | -      |   |   | $ | 349,846 |   |
| Repurchase Agreement                                                                     |   |    | -      |   |    |   | 3,790,000   |    |   |   | -      |   |   | $ | 3,790,000 |   |
| Total                                                                                    |   | $       | -      |   |    | $      | 300,663,575 |    |   | $      | -      |   |   | $ | 300,663,575 |   |
|                                                                                     |   |    |   |   |    |   |        |    |   |   |   |   |   |   |   |   |
|                                                                                     |   |    |   |   |    |   |        |    |   |   |   |   |   |   |   |   |
| During the period ended May 31, 2013, there were no transfers between Levels 1, 2 and 3. |   |    |   |   |    |   |        |    |   |   |   |   |   |